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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, 2021
Table of Contents
Item 1. | Reports to Stockholders. |
(a) | The following is a copy of the report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940, as amended (the “1940 Act”): |
(b) | Not applicable. |
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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, 2021
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
September 30, 2021
Geographic Breakdown | Percentage of Total Net Assets | ||||
North America | 50.0 | % | |||
Europe | 1.3 | ||||
Asia | 0.8 | ||||
South America | 0.8 | ||||
Africa | 0.3 | ||||
Middle East | 0.1 | ||||
Oceania | 0.0 | 1 | |||
Other2, 3 | 14.1 | ||||
Securities Sold Short | (8.1 | ) | |||
Other Assets and Liabilities4 | 40.7 | ||||
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| ||||
Total | 100.0 | % | |||
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|
1 | Represents less than 0.1%. |
2 | Includes Sovereign Debt, Exchange-Traded Funds, Warrants, Rights, Commodities and Purchased Options. |
3 | See the below table for a geographic breakdown of Sovereign Debt. |
4 | 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. |
Sovereign Debt Geographic Breakdown | Percentage of Total Net Assets | ||||
Africa | 0.9 | % | |||
Middle East | 0.8 | ||||
Asia | 0.6 | ||||
Europe | 0.6 | ||||
South America | 0.2 | ||||
North America | 0.1 | ||||
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| ||||
Total | 3.2 | % | |||
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See Notes to Consolidated Financial Statements.
1
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Portfolio Information (Continued)
September 30, 2021
Portfolio Composition | Percentage of Total Net Assets | ||||
Common Stock | 18.6 | % | |||
Investments in Investee Funds | 14.7 | ||||
Corporate Bonds & Notes | 6.7 | ||||
Mortgage-Backed Securities | 5.0 | ||||
Bank Debt | 3.3 | ||||
Sovereign Debt | 3.2 | ||||
U.S. Treasury Notes | 2.8 | ||||
Asset-Backed Securities | 1.3 | ||||
Municipals | 0.5 | ||||
U.S. Government Sponsored Agency Securities | 0.2 | ||||
Convertible Bonds | 0.1 | ||||
Exchange-Traded Funds | 0.1 | ||||
Preferred Stock | 0.1 | ||||
Warrants | 0.1 | ||||
Convertible Preferred Stocks | 0.0 | 2 | |||
Other1 | 10.7 | ||||
Securities Sold Short | (8.1 | ) | |||
Other Assets and Liabilities3 | 40.7 | ||||
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| ||||
Total | 100.0 | % | |||
|
|
1 | Includes Commodities 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. |
Credit Quality Allocation1 | Percentage of Total Investments in Securities | ||||
AAA/Aaa2 | 4.4 | % | |||
AA/Aa | 0.1 | ||||
A | 0.2 | ||||
BBB/Baa | 1.8 | ||||
BB/Ba | 4.6 | ||||
B | 9.0 | ||||
CCC/Caa | 2.7 | ||||
CC/Ca | 0.3 | ||||
C | 0.0 | 3 | |||
D | 0.0 | 3 | |||
Not Rated | 23.1 | ||||
Other4 | 53.8 | ||||
|
| ||||
Total Investments in Securities | 100.0 | % | |||
|
|
1 | Using the higher of Standard & Poor’s (“S&P’s”) or Moody’s Investor Service (“Moody’s”) ratings. |
2 | Includes U.S. Government Sponsored Agency Securities that are deemed AAA/Aaa by the Investment Adviser. |
See Notes to Consolidated Financial Statements.
2
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Portfolio Information (Continued)
September 30, 2021
3 | Represents less than 0.1%. |
4 | Includes Common Stock, Exchange-Traded Funds and Purchased Options. |
Industry | Percentage of Total Net Assets | ||||
Financial Services | 9.6 | % | |||
Health Care | 3.3 | ||||
Software & Technology Services | 1.7 | ||||
Media | 0.9 | ||||
Industrial Other | 0.8 | ||||
Integrated Oils | 0.7 | ||||
Tech Hardware & Semiconductors | 0.7 | ||||
Health Care Facilities & Services | 0.6 | ||||
Travel & Lodging | 0.6 | ||||
Utilities | 0.6 | ||||
Consumer Discretionary Services | 0.5 | ||||
Banking | 0.4 | ||||
Banks | 0.4 | ||||
Entertainment Resources | 0.4 | ||||
Industrial Services | 0.4 | ||||
Machinery Manufacturing | 0.4 | ||||
Oil, Gas & Coal | 0.4 | ||||
Pipeline | 0.4 | ||||
Real Estate | 0.4 | ||||
Refining & Marketing | 0.4 | ||||
Retail & Wholesale - Discretionary | 0.4 | ||||
Consumer Services | 0.3 | ||||
Containers & Packaging | 0.3 | ||||
Exploration & Production | 0.3 | ||||
Industrial Products | 0.3 | ||||
Pharmaceuticals | 0.3 | ||||
Restaurants | 0.3 | ||||
Airlines | 0.2 | ||||
Consumer Finance | 0.2 | ||||
Manufactured Goods | 0.2 | ||||
Materials | 0.2 | ||||
Oil & Gas Services & Equipment | 0.2 | ||||
Software & Services | 0.2 | ||||
Transportation & Logistics | 0.2 | ||||
Aerospace & Defense | 0.1 | ||||
Apparel & Textile Products | 0.1 | ||||
Automobiles Manufacturing | 0.1 | ||||
Casinos & Gaming | 0.1 | ||||
Coal Operations | 0.1 | ||||
Consumer Discretionary Products | 0.1 | ||||
Consumer Staple Products | 0.1 | ||||
Consumer Products | 0.1 |
See Notes to Consolidated Financial Statements.
3
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Portfolio Information (Continued)
September 30, 2021
Industry | Percentage of Total Net Assets | ||||
Food & Beverage | 0.1 | % | |||
Home Improvement | 0.1 | ||||
Internet Media | 0.1 | ||||
Iron & Steel | 0.1 | ||||
Metals & Mining | 0.1 | ||||
Insurance | 0.1 | ||||
Property & Casualty Insurance | 0.1 | ||||
Publishing & Broadcasting | 0.1 | ||||
Biotechnology & Pharmaceuticals | 0.0 | 1 | |||
Chemicals | 0.0 | 1 | |||
Medical Equipment & Devices Manufacturing | 0.0 | 1 | |||
Private Equity | 0.0 | 1 | |||
Renewable Energy | 0.0 | 1 | |||
Retail & Wholesale - Staples | 0.0 | 1 | |||
Specialty Finance | 0.0 | 1 | |||
Telecommunications | 0.0 | 1 | |||
Wireline Telecommunications Services | 0.0 | 1 | |||
Other2 | 38.6 | ||||
Securities Sold Short | (8.1 | ) | |||
Other Assets and Liabilities3 | 40.7 | ||||
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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, Exchange-Traded Funds, Warrants, Rights, Investments in Investee Funds, Commodities 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
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments
September 30, 2021 (Unaudited)
Security Description | Shares | Value | ||||||||||
INVESTMENTS IN SECURITIES — 67.4% | ||||||||||||
COMMON STOCK — 18.6% | ||||||||||||
Africa — 0.0% | ||||||||||||
Materials — 0.0% | ||||||||||||
Platinum Group Metals Ltd. (a) | 400 | $ | 804 | |||||||||
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| |||||||||||
Total Africa | 804 | |||||||||||
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Asia — 0.5% | ||||||||||||
Consumer Discretionary Services — 0.0% | ||||||||||||
New Oriental Education & Technology Group, Inc., ADR (a) | 424,200 | 869,610 | ||||||||||
TAL Education Group, ADR (a) | 71,600 | 346,544 | ||||||||||
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| |||||||||||
1,216,154 | ||||||||||||
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| |||||||||||
Financial Services — 0.1% | ||||||||||||
360 DigiTech, Inc., ADR (a) | 500 | 10,160 | ||||||||||
FinVolution Group, ADR | 3,400 | 19,176 | ||||||||||
L Catterton Asia Acquisition Corp. (a),(b),(c) | 310,000 | 3,078,300 | ||||||||||
Noah Holdings Ltd., ADR (a) | 2,500 | 92,825 | ||||||||||
Oxus Acquisition Corp. (a),(b),(c) | 221,100 | 2,250,798 | ||||||||||
Up Fintech Holding Ltd., ADR (a) | 11,200 | 118,608 | ||||||||||
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5,569,867 | ||||||||||||
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| |||||||||||
Health Care — 0.0% | ||||||||||||
Sinovac Biotech Ltd. (a) | 200 | 1,294 | ||||||||||
Zai Lab Ltd., ADR (a) | 100 | 10,539 | ||||||||||
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| |||||||||||
11,833 | ||||||||||||
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| |||||||||||
Industrial Products — 0.0% | ||||||||||||
China Yuchai International Ltd. | 345 | 4,688 | ||||||||||
Hollysys Automation Technologies Ltd. | 2,500 | 51,725 | ||||||||||
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56,413 | ||||||||||||
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| |||||||||||
Industrial Services — 0.1% | ||||||||||||
DiDi Global, Inc., ADR (a),(b) | 846,500 | 6,594,235 | ||||||||||
Textainer Group Holdings Ltd. (a) | 900 | 31,419 | ||||||||||
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| |||||||||||
6,625,654 | ||||||||||||
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Materials — 0.0% | ||||||||||||
Tantech Holdings Ltd. (a) | 200 | 132 | ||||||||||
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Media — 0.2% | ||||||||||||
Autohome, Inc., ADR | 9,500 | 445,835 | ||||||||||
Baidu, Inc., ADR (a),(b) | 64,000 | 9,840,000 |
See Notes to Consolidated Financial Statements.
5
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Security Description | Shares | Value | ||||||||||
DouYu International Holdings Ltd., ADR (a) | 14,000 | $ | 46,060 | |||||||||
Tencent Music Entertainment Group, ADR (a) | 129,200 | 936,700 | ||||||||||
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11,268,595 | ||||||||||||
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Real Estate — 0.1% | ||||||||||||
KE Holdings, Inc., ADR (a) | 168,400 | 3,074,984 | ||||||||||
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| |||||||||||
Software & Technology Services — 0.0% | ||||||||||||
Agora, Inc., ADR (a) | 2,800 | 81,200 | ||||||||||
WNS Holdings Ltd., ADR (a) | 2,200 | 179,960 | ||||||||||
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261,160 | ||||||||||||
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Tech Hardware & Semiconductors — 0.0% | ||||||||||||
Himax Technologies, Inc., ADR | 30,500 | 325,435 | ||||||||||
MagnaChip Semiconductor Corp. (a) | 1,700 | 30,192 | ||||||||||
NXP Semiconductors NV | 32 | 6,268 | ||||||||||
Silicon Motion Technology Corp., ADR | 6,900 | 475,962 | ||||||||||
United Microelectronics Corp., ADR | 1,200 | 13,716 | ||||||||||
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851,573 | ||||||||||||
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Telecommunications — 0.0% | ||||||||||||
VEON Ltd., ADR (a) | 252,500 | 525,200 | ||||||||||
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| |||||||||||
Total Asia | 29,461,565 | |||||||||||
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Europe — 0.5% | ||||||||||||
Banking — 0.0% | ||||||||||||
Barclays plc, ADR | 19 | 196 | ||||||||||
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Consumer Discretionary Products — 0.0% | ||||||||||||
Autoliv, Inc. | 6,200 | 531,464 | ||||||||||
Veoneer, Inc. (a) | 2,000 | 68,120 | ||||||||||
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599,584 | ||||||||||||
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Financial Services — 0.2% | ||||||||||||
AerCap Holdings NV (a) | 5,000 | 289,050 | ||||||||||
ScION Tech Growth (a),(b),(c) | 300,000 | 2,982,000 | ||||||||||
ScION Tech Growth I, Class A (a),(c) | 465,000 | 4,524,450 | ||||||||||
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7,795,500 | ||||||||||||
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Health Care — 0.2% | ||||||||||||
Affimed NV (a) | 18,000 | 111,240 | ||||||||||
Artelo Biosciences, Inc. (a) | 1,300 | 1,028 | ||||||||||
AstraZeneca PLC, ADR | 29 | 1,742 | ||||||||||
Bicycle Therapeutics plc, ADR (a) | 500 | 20,795 | ||||||||||
Contra Aduro Biotech I (a) | 1,040 | 0 | ||||||||||
Galecto, Inc. (a) | 3,900 | 14,001 | ||||||||||
GlaxoSmithKline plc, ADR | 46,500 | 1,776,765 |
See Notes to Consolidated Financial Statements.
6
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Security Description | Shares | Value | ||||||||
ICON PLC (a) | 8,531 | $ | 2,235,292 | |||||||
Merus NV (a) | 3,200 | 70,400 | ||||||||
Novartis AG, ADR | 31,300 | 2,559,714 | ||||||||
Novo Nordisk A/S, ADR | 9,000 | 864,090 | ||||||||
Prothena Corp. plc (a) | 7,300 | 519,979 | ||||||||
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8,175,046 | ||||||||||
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Industrial Products — 0.0% | ||||||||||
Airbus SE (c) | 6,160 | 816,667 | ||||||||
Luxfer Holdings plc | 200 | 3,926 | ||||||||
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820,593 | ||||||||||
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Industrial Services — 0.0% | ||||||||||
Costamare, Inc. | 11,600 | 179,684 | ||||||||
Danaos Corp. | 1,000 | 81,900 | ||||||||
Diana Shipping, Inc. (a) | 21,794 | 124,662 | ||||||||
EuroDry Ltd. (a) | 600 | 18,636 | ||||||||
Euroseas Ltd. (a) | 1,100 | 36,993 | ||||||||
Global Ship Lease, Inc., Class A | 6,600 | 156,486 | ||||||||
Golden Ocean Group Ltd. (a) | 220 | 2,369 | ||||||||
Performance Shipping, Inc. | 500 | 2,700 | ||||||||
Safe Bulkers, Inc. (a) | 29,800 | 154,066 | ||||||||
SFL Corp. Ltd. | 200 | 1,676 | ||||||||
Star Bulk Carriers Corp. | 14,000 | 336,560 | ||||||||
Tsakos Energy Navigation Ltd. | 200 | 2,140 | ||||||||
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1,097,872 | ||||||||||
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Materials — 0.0% | ||||||||||
Mercer International, Inc. | 3,500 | 40,565 | ||||||||
Orion Engineered Carbons SA (a) | 5,000 | 91,150 | ||||||||
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131,715 | ||||||||||
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Media — 0.0% | ||||||||||
Trivago NV, ADR (a) | 13,100 | 32,357 | ||||||||
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Oil, Gas & Coal — 0.1% | ||||||||||
BP plc (c) | 187,438 | 853,753 | ||||||||
BP plc, ADR | 2,900 | 79,257 | ||||||||
Eni SpA (c) | 43,235 | 576,547 | ||||||||
Equinor ASA (c) | 7,700 | 195,817 | ||||||||
Royal Dutch Shell plc, Class A (c) | 45,963 | 1,027,074 | ||||||||
Royal Dutch Shell plc, Class A, ADR | 3,400 | 151,538 | ||||||||
TechnipFMC plc (a) | 111,400 | 838,842 | ||||||||
TotalEnergies SE (c) | 32,412 | 1,549,227 | ||||||||
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5,272,055 | ||||||||||
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|
See Notes to Consolidated Financial Statements.
7
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Security Description | Shares | Value | ||||||||||
Renewable Energy — 0.0% | ||||||||||||
Atlantica Sustainable Infrastructure PLC | 300 | $ | 10,353 | |||||||||
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Software & Technology Services — 0.0% | ||||||||||||
Endava plc, ADR (a) | 1,700 | 230,945 | ||||||||||
Kaleyra, Inc. (a) | 400 | 4,404 | ||||||||||
Materialise NV, ADR (a) | 4,800 | 96,480 | ||||||||||
Micro Focus International plc, ADR | 11,200 | 60,928 | ||||||||||
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392,757 | ||||||||||||
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Total Europe | 24,328,028 | |||||||||||
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Middle East — 0.1% | ||||||||||||
Consumer Discretionary Services — 0.0% | ||||||||||||
NEOGAMES SA (a) | 200 | 7,344 | ||||||||||
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Financial Services — 0.1% | ||||||||||||
ION Acquisition Corp. Ltd. (a),(b),(c) | 145,845 | 1,461,367 | ||||||||||
ION Acquisition Corp., 3 Ltd., Class A (a),(b),(c) | 209,600 | 2,047,792 | ||||||||||
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3,509,159 | ||||||||||||
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Health Care — 0.0% | ||||||||||||
Compugen Ltd. (a) | 800 | 4,776 | ||||||||||
InspireMD, Inc. (a) | 727 | 2,981 | ||||||||||
Teva Pharmaceutical Industries Ltd., ADR (a) | 1,000 | 9,740 | ||||||||||
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17,497 | ||||||||||||
|
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Industrial Products — 0.0% | ||||||||||||
Ituran Location and Control Ltd. | 300 | 7,617 | ||||||||||
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Materials — 0.0% | ||||||||||||
Eldorado Gold Corp. (a) | 40 | 309 | ||||||||||
|
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Software & Technology Services — 0.0% | ||||||||||||
Check Point Software Technologies Ltd. (a) | 16,100 | 1,819,944 | ||||||||||
JFrog Ltd. (a) | 9,500 | 318,250 | ||||||||||
Perion Network Ltd. (a) | 3,500 | 60,655 | ||||||||||
Radware Ltd. (a) | 5,700 | 192,204 | ||||||||||
Sapiens International Corp. NV | 100 | 2,878 | ||||||||||
Tufin Software Technologies Ltd. (a) | 400 | 3,932 | ||||||||||
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2,397,863 | ||||||||||||
|
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Tech Hardware & Semiconductors — 0.0% | ||||||||||||
Silicom Ltd. (a) | 100 | 4,325 | ||||||||||
Tower Semiconductor Ltd. (a) | 1,500 | 44,850 | ||||||||||
|
| |||||||||||
49,175 | ||||||||||||
|
|
See Notes to Consolidated Financial Statements.
8
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Security Description | Shares | Value | ||||||||||
Telecommunications — 0.0% | ||||||||||||
Allot Ltd. (a) | 400 | $ | 5,944 | |||||||||
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| |||||||||||
Total Middle East | 5,994,908 | |||||||||||
|
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North America — 17.5% | ||||||||||||
Banking — 0.4% | ||||||||||||
1st Constitution Bancorp | 100 | 2,367 | ||||||||||
Altabancorp | 800 | 35,328 | ||||||||||
Ames National Corp. | 100 | 2,326 | ||||||||||
Arrow Financial Corp. | 299 | 10,274 | ||||||||||
Atlantic Capital Bancshares, Inc. (a) | 1,500 | 39,735 | ||||||||||
Banc of California, Inc. | 3,000 | 55,470 | ||||||||||
BancFirst Corp. | 1,700 | 102,204 | ||||||||||
Bank of Hawaii Corp. | 200 | 16,434 | ||||||||||
Bank of Marin Bancorp | 700 | 26,425 | ||||||||||
Bank of NT Butterfield & Son Ltd. | 900 | 31,959 | ||||||||||
BankFinancial Corp. | 1,055 | 12,111 | ||||||||||
Bankwell Financial Group, Inc. | 200 | 5,886 | ||||||||||
BayCom Corp. (a) | 300 | 5,580 | ||||||||||
Blue Foundry Bancorp (a) | 6,800 | 93,772 | ||||||||||
Bridgewater Bancshares, Inc. (a) | 400 | 7,004 | ||||||||||
Business First Bancshares, Inc. | 300 | 7,017 | ||||||||||
Byline Bancorp, Inc. | 2,500 | 61,400 | ||||||||||
Cadence BanCorp | 10,240 | 224,871 | ||||||||||
California BanCorp (a) | 100 | 1,725 | ||||||||||
Capital City Bank Group, Inc. | 400 | 9,896 | ||||||||||
Capstar Financial Holdings, Inc. | 500 | 10,620 | ||||||||||
Carter Bankshares, Inc. (a) | 1,200 | 17,064 | ||||||||||
CBTX, Inc. | 200 | 5,276 | ||||||||||
Central Pacific Financial Corp. | 1,300 | 33,384 | ||||||||||
Central Valley Community Bancorp | 500 | 10,750 | ||||||||||
Century Bancorp, Inc., Class A | 100 | 11,524 | ||||||||||
ChoiceOne Financial Services, Inc. | 100 | 2,459 | ||||||||||
Citigroup, Inc. | 7,900 | 554,422 | ||||||||||
Civista Bancshares, Inc. | 400 | 9,292 | ||||||||||
CNB Financial Corp. | 500 | 12,170 | ||||||||||
Codorus Valley Bancorp, Inc. | 400 | 9,016 | ||||||||||
Colony Bankcorp, Inc. | 500 | 9,365 | ||||||||||
Columbia Banking System, Inc. | 1,300 | 49,387 | ||||||||||
Community Bankers Trust Corp. | 1,800 | 20,466 | ||||||||||
Community Trust Bancorp, Inc. | 500 | 21,050 | ||||||||||
ConnectOne Bancorp, Inc. | 300 | 9,003 | ||||||||||
CrossFirst Bankshares, Inc. (a) | 300 | 3,900 | ||||||||||
CVB Financial Corp. | 300 | 6,111 | ||||||||||
Enterprise Financial Services Corp. | 164 | 7,426 | ||||||||||
Farmers National Banc Corp. | 900 | 14,139 |
See Notes to Consolidated Financial Statements.
9
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Security Description | Shares | Value | ||||||||
Financial Institutions, Inc. | 500 | $ | 15,325 | |||||||
First BanCorp | 2,000 | 35,258 | ||||||||
First Busey Corp. | 1,700 | 41,871 | ||||||||
First Commonwealth Financial Corp. | 4,200 | 57,246 | ||||||||
First Community Bankshares, Inc. | 400 | 12,688 | ||||||||
First Community Corp. | 100 | 1,995 | ||||||||
First Financial Corp. | 600 | 25,230 | ||||||||
First Financial Northwest, Inc. | 100 | 1,637 | ||||||||
First Foundation, Inc. | 400 | 10,520 | ||||||||
First Internet Bancorp | 200 | 6,236 | ||||||||
First Merchants Corp. | 500 | 20,920 | ||||||||
First Midwest Bancorp, Inc. | 5,800 | 110,258 | ||||||||
First of Long Island Corp. (The) | 100 | 2,060 | ||||||||
Flushing Financial Corp. | 200 | 4,520 | ||||||||
FNB Corp. | 1,500 | 17,430 | ||||||||
FS Bancorp, Inc. | 200 | 6,922 | ||||||||
FVCBankcorp, Inc. (a) | 100 | 1,999 | ||||||||
German American Bancorp, Inc. | 200 | 7,726 | ||||||||
Great Southern Bancorp, Inc. | 100 | 5,481 | ||||||||
Hanmi Financial Corp. | 200 | 4,012 | ||||||||
HBT Financial, Inc. | 400 | 6,220 | ||||||||
Heritage Commerce Corp. | 3,000 | 34,890 | ||||||||
Heritage Financial Corp. | 800 | 20,400 | ||||||||
Home Bancorp, Inc. | 200 | 7,736 | ||||||||
Home BancShares, Inc. | 1,900 | 44,707 | ||||||||
HomeStreet, Inc. | 800 | 32,920 | ||||||||
HomeTrust Bancshares, Inc. | 400 | 11,192 | ||||||||
Hope Bancorp, Inc. | 1,700 | 24,548 | ||||||||
Horizon Bancorp, Inc. | 1,200 | 21,804 | ||||||||
Independent Bank Corp. | 1,500 | 48,621 | ||||||||
Investar Holding Corp. | 300 | 6,606 | ||||||||
Lakeland Bancorp, Inc. | 2,600 | 45,838 | ||||||||
LCNB Corp. | 400 | 7,056 | ||||||||
Luther Burbank Corp. | 400 | 5,364 | ||||||||
Macatawa Bank Corp. | 1,300 | 10,439 | ||||||||
Mercantile Bank Corp. | 500 | 16,015 | ||||||||
Merchants Bancorp | 100 | 3,947 | ||||||||
Meridian Bancorp, Inc. | 200 | 4,152 | ||||||||
Metrocity Bankshares, Inc. | 100 | 2,097 | ||||||||
Metropolitan Bank Holding Corp. (a) | 800 | 67,440 | ||||||||
Midland States Bancorp, Inc. | 800 | 19,784 | ||||||||
MidWestOne Financial Group, Inc. | 300 | 9,048 | ||||||||
National Bank Holdings Corp., Class A | 1,100 | 44,528 | ||||||||
National Bankshares, Inc. | 100 | 3,631 | ||||||||
NBT Bancorp, Inc. | 800 | 28,896 | ||||||||
Nicolet Bankshares, Inc. (a) | 100 | 7,418 |
See Notes to Consolidated Financial Statements.
10
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Security Description | Shares | Value | ||||||||
Northrim BanCorp, Inc. | 100 | $ | 4,251 | |||||||
Northwest Bancshares, Inc. | 7,500 | 99,600 | ||||||||
OceanFirst Financial Corp. (b),(c) | 687,883 | 14,727,575 | ||||||||
Old Second Bancorp, Inc. | 2,700 | 35,262 | ||||||||
OP Bancorp | 400 | 4,104 | ||||||||
Origin Bancorp, Inc. | 100 | 4,235 | ||||||||
Pacific Mercantile Bancorp (a) | 600 | 5,526 | ||||||||
PCB Bancorp | 1,424 | 28,352 | ||||||||
PCSB Financial Corp. | 300 | 5,532 | ||||||||
Peapack Gladstone Financial Corp. | 600 | 20,016 | ||||||||
People’s United Financial, Inc. | 15,800 | 276,026 | ||||||||
Peoples Bancorp, Inc. | 1,300 | 41,093 | ||||||||
Preferred Bank | 100 | 6,668 | ||||||||
Premier Financial Corp. | 548 | 17,448 | ||||||||
Primis Financial Corp. | 1,000 | 14,460 | ||||||||
Professional Holding Corp., Class A (a) | 500 | 9,400 | ||||||||
Provident Bancorp, Inc. | 400 | 6,408 | ||||||||
QCR Holdings, Inc. | 100 | 5,144 | ||||||||
Republic First Bancorp, Inc. (a) | 1,900 | 5,852 | ||||||||
Richmond Mutual BanCorp, Inc. | 200 | 3,178 | ||||||||
Riverview Bancorp, Inc. | 600 | 4,362 | ||||||||
S&T Bancorp, Inc. | 100 | 2,947 | ||||||||
Select Bancorp, Inc. (a) | 400 | 6,900 | ||||||||
Shore Bancshares, Inc. | 300 | 5,319 | ||||||||
Sierra Bancorp | 400 | 9,712 | ||||||||
Silvergate Capital Corp., Class A (a) | 5,200 | 600,600 | ||||||||
SmartFinancial, Inc. | 400 | 10,340 | ||||||||
Spirit of Texas Bancshares, Inc. | 600 | 14,520 | ||||||||
Stock Yards Bancorp, Inc. | 300 | 17,595 | ||||||||
Territorial Bancorp, Inc. | 300 | 7,614 | ||||||||
Texas Capital Bancshares, Inc. (a) | 4,000 | 240,080 | ||||||||
Timberland Bancorp, Inc. | 100 | 2,895 | ||||||||
Trico Bancshares | 800 | 34,720 | ||||||||
TriState Capital Holdings, Inc. (a) | 1,200 | 25,380 | ||||||||
TrustCo Bank Corp. | 1,120 | 35,806 | ||||||||
United Community Banks, Inc. | 200 | 6,564 | ||||||||
Washington Trust Bancorp, Inc. | 300 | 15,894 | ||||||||
Waterstone Financial, Inc. | 1,100 | 22,539 | ||||||||
WesBanco, Inc. | 200 | 6,816 | ||||||||
Western New England Bancorp, Inc. | 700 | 5,971 | ||||||||
William Penn Bancorp, Inc. | 600 | 7,326 | ||||||||
|
| |||||||||
18,897,269 | ||||||||||
|
| |||||||||
Biotechnology & Pharmaceuticals — 0.0% | ||||||||||
Omthera Pharmaceutical, Inc. (a) | 700 | 0 | ||||||||
|
|
See Notes to Consolidated Financial Statements.
11
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Security Description | Shares | Value | ||||||||
Consumer Discretionary Products — 0.1% | ||||||||||
ACCO Brands Corp. | 5,200 | $ | 44,668 | |||||||
Acushnet Holdings Corp. | 1,500 | 70,050 | ||||||||
Aeva Technologies, Inc. (a) | 100 | 794 | ||||||||
American Outdoor Brands, Inc. (a) | 1,000 | 24,560 | ||||||||
Armstrong Flooring, Inc. (a) | 3,800 | 11,894 | ||||||||
Beazer Homes USA, Inc. (a) | 5,100 | 87,975 | ||||||||
Caesarstone Ltd. | 1,300 | 16,146 | ||||||||
Callaway Golf Co. (a) | 6,800 | 187,884 | ||||||||
Charles & Colvard Ltd. (a) | 2,900 | 8,642 | ||||||||
Clarus Corp. | 9 | 231 | ||||||||
Cooper-Standard Holding, Inc. (a) | 1,900 | 41,629 | ||||||||
Crocs, Inc. (a) | 15,500 | 2,223,940 | ||||||||
Culp, Inc. | 400 | 5,152 | ||||||||
Dana, Inc. | 700 | 15,568 | ||||||||
Flexsteel Industries, Inc. | 300 | 9,264 | ||||||||
Funko, Inc., Class A (a) | 9,800 | 178,458 | ||||||||
Hanesbrands, Inc. | 36,600 | 628,056 | ||||||||
Harley-Davidson, Inc. | 1,000 | 36,610 | ||||||||
Herman Miller, Inc. | 900 | 33,894 | ||||||||
JAKKS Pacific, Inc. (a) | 1,900 | 22,572 | ||||||||
Kimball International, Inc., Class B | 1,800 | 20,160 | ||||||||
Kontoor Brands, Inc. | 5,900 | 294,705 | ||||||||
Levi Strauss & Co., Class A | 16,800 | 411,768 | ||||||||
Lovesac Co. (The) (a) | 400 | 26,436 | ||||||||
MasterCraft Boat Holdings, Inc. (a) | 2,000 | 50,160 | ||||||||
Modine Manufacturing Co. (a) | 2,900 | 32,857 | ||||||||
Movado Group, Inc. | 400 | 12,596 | ||||||||
Nautilus, Inc. (a) | 1,600 | 14,896 | ||||||||
Nova Lifestyle, Inc. (a) | 200 | 454 | ||||||||
OneWater Marine, Inc., Class A | 200 | 8,042 | ||||||||
Ralph Lauren Corp. | 6,500 | 721,760 | ||||||||
Steven Madden Ltd. | 4,200 | 168,672 | ||||||||
Superior Industries International, Inc. (a) | 3,200 | 22,560 | ||||||||
Tapestry, Inc. | 18,500 | 684,870 | ||||||||
Tenneco, Inc., Class A (a) | 20,200 | 288,254 | ||||||||
Tesla, Inc. (a) | 3 | 2,326 | ||||||||
Toll Brothers, Inc. | 300 | 16,587 | ||||||||
TRI Pointe Homes, Inc. (a) | 9,100 | 191,282 | ||||||||
Under Armour, Inc., Class A (a) | 26,800 | 540,824 | ||||||||
Unifi, Inc. (a) | 1,100 | 24,123 | ||||||||
VF Corp. | 1 | 67 | ||||||||
Westport Fuel Systems, Inc. (a) | 38,700 | 127,323 | ||||||||
|
| |||||||||
7,308,709 | ||||||||||
|
|
See Notes to Consolidated Financial Statements.
12
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Security Description | Shares | Value | ||||||||
Consumer Discretionary Services — 0.2% | ||||||||||
2U, Inc. (a) | 9,400 | $ | 315,558 | |||||||
Aaron’s Co., Inc. (The) | 800 | 22,032 | ||||||||
BJ’s Restaurants, Inc. (a) | 1,000 | 41,760 | ||||||||
Bluegreen Vacations Holding Corp. (a) | 400 | 10,320 | ||||||||
Brinker International, Inc. (a) | 300 | 14,715 | ||||||||
Carriage Services, Inc. | 1,400 | 62,426 | ||||||||
Carrols Restaurant Group, Inc. | 200 | 732 | ||||||||
Century Casinos, Inc. (a) | 2,800 | 37,716 | ||||||||
Cinemark Holdings, Inc. (a) | 18,800 | 361,148 | ||||||||
Dave & Buster’s Entertainment, Inc. (a) | 10,600 | 406,298 | ||||||||
Del Taco Restaurants, Inc. | 300 | 2,619 | ||||||||
Denny’s Corp. (a) | 1,000 | 16,340 | ||||||||
DineEquity, Inc. (a) | 1,900 | 154,299 | ||||||||
DraftKings, Inc., Class A (a) | 64,300 | 3,096,688 | ||||||||
Drive Shack, Inc. (a) | 8,133 | 22,854 | ||||||||
Everi Holdings, Inc. (a) | 17,700 | 427,986 | ||||||||
Full House Resorts, Inc. (a) | 2,400 | 25,464 | ||||||||
Golden Entertainment, Inc. (a) | 2,200 | 107,998 | ||||||||
International Game Technology PLC (a) | 36,400 | 958,048 | ||||||||
Laureate Education, Inc., Class A (a) | 900 | 15,291 | ||||||||
Lincoln Educational Services Corp. (a) | 1,200 | 8,028 | ||||||||
Lindblad Expeditions Holdings, Inc. (a) | 2,300 | 33,557 | ||||||||
Marcus Corp. (a) | 300 | 5,235 | ||||||||
Monarch Casino & Resort, Inc. (a) | 800 | 53,592 | ||||||||
Noodles & Co. (a) | 2,700 | 31,860 | ||||||||
ONE Group Hospitality, Inc. (The) (a) | 900 | 9,621 | ||||||||
Papa John’s International, Inc. | 200 | 25,398 | ||||||||
Planet Fitness, Inc., Class A (a) | 11,300 | 887,615 | ||||||||
Playa Hotels & Resorts NV (a) | 900 | 7,461 | ||||||||
Rave Restaurant Group, Inc. (a) | 100 | 131 | ||||||||
Red Robin Gourmet Burgers, Inc. (a) | 3,200 | 73,792 | ||||||||
Red Rock Resorts, Inc., Class A (a) | 4,400 | 225,368 | ||||||||
Rush Street Interactive, Inc. (a) | 600 | 11,526 | ||||||||
Ruth’s Hospitality Group, Inc. (a) | 6,100 | 126,331 | ||||||||
Scientific Games Corp., Class A (a) | 3,500 | 290,745 | ||||||||
SeaWorld Entertainment, Inc. (a) | 19,100 | 1,056,612 | ||||||||
Select Interior Concepts, Inc., Class A (a) | 2,900 | 41,818 | ||||||||
Service Corp. International/US | 100 | 6,026 | ||||||||
Six Flags Entertainment Corp. (a) | 13,700 | 582,250 | ||||||||
Target Hospitality Corp. (a) | 1,900 | 7,087 | ||||||||
Texas Roadhouse, Inc. | 200 | 18,266 | ||||||||
Universal Technical Institute, Inc. (a) | 1,200 | 8,112 | ||||||||
Virgin Galactic Holdings, Inc. (a) | 19,100 | 483,230 | ||||||||
Wendy’s Co. | 38,000 | 823,840 |
See Notes to Consolidated Financial Statements.
13
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Security Description | Shares | Value | ||||||||
Xponential Fitness, Inc., Class A (a) | 500 | $ | 6,345 | |||||||
XpresSpa Group, Inc. (a) | 800 | 1,176 | ||||||||
|
| |||||||||
10,925,314 | ||||||||||
|
| |||||||||
Consumer Products — 0.0% | ||||||||||
Contra Restorbio, Inc. (a) | 1,142 | 0 | ||||||||
|
| |||||||||
Consumer Staple Products — 0.1% | ||||||||||
Alico, Inc. | 176 | 6,026 | ||||||||
Altria Group, Inc. | 19,700 | 896,744 | ||||||||
AppHarvest, Inc. (a) | 300 | 1,956 | ||||||||
AquaBounty Technologies, Inc. (a) | 7,200 | 29,304 | ||||||||
BellRing Brands, Inc., Class A (a) | 4,000 | 123,000 | ||||||||
Calyxt, Inc. (a) | 2,300 | 7,751 | ||||||||
Canopy Growth Corp. (a) | 13,700 | 189,882 | ||||||||
Clorox Co. (The) | 5,900 | 977,099 | ||||||||
Coca-Cola Co. (The) | 3,200 | 167,904 | ||||||||
Coty, Inc., Class A (a) | 15 | 118 | ||||||||
Cronos Group, Inc. (a) | 4,900 | 27,734 | ||||||||
elf Beauty, Inc. (a) | 5,800 | 168,490 | ||||||||
Farmer Brothers Co. (a) | 1,400 | 11,774 | ||||||||
Hostess Brands, Inc. (a) | 14,500 | 251,865 | ||||||||
Mondelez International, Inc., Class A | 53,200 | 3,095,176 | ||||||||
National Beverage Corp. | 1,700 | 89,233 | ||||||||
Nature’s Sunshine Products, Inc. | 800 | 11,720 | ||||||||
Philip Morris International, Inc. | 6,100 | 578,219 | ||||||||
Quanex Building Products Corp. | 200 | 4,282 | ||||||||
RiceBran Technologies (a) | 2,900 | 1,711 | ||||||||
SunOpta, Inc. (a) | 4,200 | 37,506 | ||||||||
Tejon Ranch Co. (a) | 1,400 | 24,864 | ||||||||
Tootsie Roll Industries, Inc. | 300 | 9,129 | ||||||||
USANA Health Sciences, Inc. (a) | 700 | 64,540 | ||||||||
Vital Farms, Inc. (a) | 1,200 | 21,084 | ||||||||
|
| |||||||||
6,797,111 | ||||||||||
|
| |||||||||
Financial Services — 8.9% | ||||||||||
26 Capital Acquisition Corp., Class A (a),(b),(c) | 527,700 | 5,129,244 | ||||||||
7GC & Co. Holdings, Inc., Class A (a),(b),(c) | 436,938 | 4,247,037 | ||||||||
ABG Acquisition Corp. (a),(b),(c) | 300,000 | 2,922,000 | ||||||||
ACRES Commercial Realty Corp. (a) | 833 | 13,470 | ||||||||
Acropolis Infrastructure Acquisition Corp. (a),(b),(c) | 500,000 | 4,990,000 | ||||||||
Adit EdTech Acquisition Corp. (a),(b),(c) | 214,900 | 2,144,702 | ||||||||
AG Mortgage Investment Trust, Inc. | 4,033 | 46,097 | ||||||||
Air Lease Corp. | 1,500 | 59,010 | ||||||||
Alliance Data Systems Corp. | 1,129 | 113,905 | ||||||||
Alpha Capital Acquisition Co., Class A (a),(b),(c) | 417,952 | 4,062,493 |
See Notes to Consolidated Financial Statements.
14
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Security Description | Shares | Value | ||||||||
Alpha Partners Technology Merger Corp. (a),(b),(c) | 500,000 | $ | 4,945,000 | |||||||
AltC Acquisition Corp., Class A (a),(c) | 375,000 | 3,686,250 | ||||||||
Altus Midstream Co., Class A | 490 | 33,825 | ||||||||
Amerant Bancorp, Inc. (a) | 400 | 9,896 | ||||||||
Apollo Investment Corp. | 6,800 | 88,196 | ||||||||
Apollo Strategic Growth Capital, Class A (a),(b),(c) | 438,999 | 4,284,630 | ||||||||
Apollo Strategic Growth Capital II (a),(c) | 450,000 | 4,477,500 | ||||||||
ArcLight Clean Transition Corp. (a),(b),(c) | 310,000 | 3,078,300 | ||||||||
Ares Acquisition Corp. (a),(b),(c) | 323,581 | 3,203,517 | ||||||||
Ares Capital Corp. | 14,900 | 302,917 | ||||||||
Ares Commercial Real Estate Corp. | 11,400 | 171,912 | ||||||||
Argus Capital Corp. (a),(b),(c) | 261,500 | 2,641,150 | ||||||||
Arlington Asset Investment Corp., Class A (a) | 4,200 | 15,540 | ||||||||
ARMOUR Residential REIT, Inc. | 20,700 | 223,146 | ||||||||
ARYA Sciences Acquisition Corp., Class A (a),(b),(c) | 147,703 | 1,459,306 | ||||||||
AssetMark Financial Holdings, Inc. (a) | 1,700 | 42,279 | ||||||||
Athlon Acquisition Corp. (a),(b),(c) | 465,000 | 4,547,700 | ||||||||
Atlas Crest Investment Corp. II (a),(c) | 421,140 | 4,207,189 | ||||||||
Austerlitz Acquisition Corp. II, Class A (a),(c) | 465,000 | 4,533,750 | ||||||||
Authentic Equity Acquisition Corp., Class A (a),(b),(c) | 550,000 | 5,335,000 | ||||||||
Avista Public Acquisition Corp. (a),(b),(c) | 458,200 | 4,646,148 | ||||||||
B Riley Principal 250 Merger Corp. (a),(c) | 250,000 | 2,475,000 | ||||||||
Bain Capital Specialty Finance, Inc. | 2,400 | 35,616 | ||||||||
Barings BDC, Inc. | 4,400 | 48,488 | ||||||||
BGC Partners, Inc., Class A | 48,700 | 253,727 | ||||||||
Bilander Acquisition Corp. (a),(b),(c) | 365,048 | 3,643,179 | ||||||||
Biotech Acquisition Co. (a),(c) | 465,000 | 4,529,100 | ||||||||
BlackRock Capital Investment Corp. | 9,181 | 35,347 | ||||||||
BlackRock TCP Capital Corp. | 5,000 | 67,850 | ||||||||
Blucora, Inc. (a) | 2,900 | 45,211 | ||||||||
BlueRiver Acquisition Corp. (a),(b),(c) | 142,900 | 1,421,855 | ||||||||
Bridge Investment Group Holdings, Inc., Class A (a) | 2,000 | 35,340 | ||||||||
BrightSpire Capital, Inc. | 3,800 | 35,682 | ||||||||
Broadmark Realty Capital, Inc. | 10,300 | 101,558 | ||||||||
Broadscale Acquisition Corp. (a),(c) | 465,000 | 4,598,850 | ||||||||
Capital Southwest Corp. | 3,100 | 78,058 | ||||||||
Capstead Mortgage Corp. | 13,600 | 90,984 | ||||||||
Catalyst Partners Acquisition Corp. (a),(b),(c) | 250,000 | 2,462,500 | ||||||||
CC Neuberger Principal Holdings II, Class A (a),(b),(c) | 465,000 | 4,566,300 | ||||||||
CC Neuberger Principal Holdings III (a),(b),(c) | 405,677 | 4,036,486 | ||||||||
CF Acquisition Corp. (a),(b),(c) | 731,999 | 7,233,440 | ||||||||
Cherry Hill Mortgage Investment Corp. | 4,200 | 37,296 | ||||||||
Churchill Capital Corp. VI (a),(b),(c) | 296,862 | 2,980,494 | ||||||||
Churchill Capital Corp. VII (a),(b),(c) | 164,831 | 1,628,530 | ||||||||
CIIG Capital Partners II, Inc. (a),(b),(c) | 235,000 | 2,368,800 | ||||||||
CIM Commercial Trust Corp. | 1,600 | 14,496 |
See Notes to Consolidated Financial Statements.
15
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Security Description | Shares | Value | ||||||||
Climate Real Impact Solutions II Acquisition Corp. (a),(b),(c) | 407,004 | $ | 4,049,690 | |||||||
CME Group, Inc. | 1,200 | 232,056 | ||||||||
Colicity, Inc. (a),(c) | 465,000 | 4,612,800 | ||||||||
Colonnade Acquisition Corp. II (a),(b),(c) | 310,000 | 3,007,000 | ||||||||
Compass Diversified Holdings | 600 | 16,902 | ||||||||
Compute Health Acquisition Corp., Class A (a),(c) | 465,000 | 4,543,050 | ||||||||
Concord Acquisition Corp. (a),(b),(c) | 500,000 | 4,985,000 | ||||||||
Consumer Portfolio Services, Inc. (a) | 100 | 585 | ||||||||
Corner Growth Acquisition Corp. (a),(b),(c) | 375,000 | 3,746,250 | ||||||||
Corner Growth Acquisition Corp. 2 (a),(c) | 375,000 | 3,776,250 | ||||||||
Corsair Partnering Corp. (a),(c) | 375,000 | 3,641,250 | ||||||||
COVA Acquisition Corp. (a),(b),(c) | 186,700 | 1,855,798 | ||||||||
Cowen, Inc., Class A | 6,500 | 223,015 | ||||||||
Curo Group Holdings Corp. | 800 | 13,864 | ||||||||
Decarbonization Plus Acquisition Corp. (a),(c) | 334,400 | 3,387,472 | ||||||||
Direct Selling Acquisition Corp. (a),(c) | 233,300 | 2,351,664 | ||||||||
Dragoneer Growth Opportunities Corp., Class A (a),(b),(c) | 270,531 | 2,651,204 | ||||||||
DTRT Health Acquisition Corp. (a),(b),(c) | 316,200 | 3,190,458 | ||||||||
Elevate Credit, Inc. (a) | 7,100 | 29,323 | ||||||||
Ellington Residential Mortgage REIT | 3,100 | 34,596 | ||||||||
Elliott Opportunity II Corp. (a),(c) | 375,000 | 3,795,000 | ||||||||
Enova International, Inc. (a) | 339 | 11,712 | ||||||||
Entasis Therapeutics Holdings, Inc. (a) | 3,800 | 12,692 | ||||||||
Epiphany Technology Acquisition Corp. (a),(b),(c) | 291,000 | 2,918,730 | ||||||||
Executive Network Partnering Corp., Class A (a),(c) | 465,000 | 4,566,300 | ||||||||
EZCORP, Inc., Class A (a) | 3,600 | 27,252 | ||||||||
Federated Investors, Inc. | 100 | 3,250 | ||||||||
Fidelity National Financial, Inc. | 17 | 771 | ||||||||
Fidus Investment Corp. | 2,000 | 34,880 | ||||||||
Fifth Wall Acquisition Corp. III, Class A (a),(b),(c) | 299,136 | 2,937,515 | ||||||||
Figure Acquisition Corp. (a),(b),(c) | 355,047 | 3,412,002 | ||||||||
FinServ Acquisition Corp. (a),(b),(c) | 313,923 | 3,095,281 | ||||||||
Fintech Evolution Acquisition Group (a),(b),(c) | 310,000 | 3,062,800 | ||||||||
Forest Road Acquisition Corp. II (a),(b),(c) | 310,000 | 3,065,063 | ||||||||
Fortistar Sustainable Solutions Corp. (a),(b),(c) | 208,700 | 2,099,522 | ||||||||
Forum Merger IV Corp. (a),(b),(c) | 310,000 | 3,075,200 | ||||||||
Franklin Resources, Inc. | 3,400 | 101,048 | ||||||||
Frontier Acquisition Corp. (a),(b),(c) | 310,000 | 3,059,700 | ||||||||
FS Development Corp., Class A (a),(b),(c) | 379,005 | 3,771,100 | ||||||||
FS KKR Capital Corp. | 1,200 | 26,448 | ||||||||
FTAC Hera Acquisition Corp. (a),(b),(c) | 310,000 | 3,087,600 | ||||||||
FTAC Parnassus Acquisition Corp. (a),(b),(c) | 310,000 | 3,106,200 | ||||||||
G Squared Ascend II, Inc. (a),(b),(c) | 276,529 | 2,779,116 | ||||||||
GATX Corp. | 100 | 8,956 |
See Notes to Consolidated Financial Statements.
16
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Security Description | Shares | Value | ||||||||
GCM Grosvenor, Inc., Class A | 4,500 | $ | 51,840 | |||||||
Gladstone Capital Corp. | 2,500 | 28,250 | ||||||||
Gladstone Investment Corp. | 1,600 | 22,192 | ||||||||
Global Synergy Acquisition Corp., Class A (a),(b),(c) | 509,300 | 4,991,140 | ||||||||
GO Acquisition Corp., Class A (a),(c) | 348,700 | 3,420,747 | ||||||||
Golub Capital BDC, Inc. | 7,900 | 124,899 | ||||||||
Gores Technology Partners II, Inc. (a),(b),(c) | 230,709 | 2,297,862 | ||||||||
Gores Technology Partners, Inc. (a),(b),(c) | 211,498 | 2,112,865 | ||||||||
Granite Point Mortgage Trust, Inc. | 5,600 | 73,752 | ||||||||
Great Ajax Corp. | 1,400 | 18,886 | ||||||||
Great Elm Capital Corp. | 3,123 | 10,899 | ||||||||
Greenhill & Co., Inc. | 1,400 | 20,468 | ||||||||
HealthCor Catalio Acquisition Corp., Class A (a),(c) | 324,324 | 3,210,808 | ||||||||
Hercules Capital, Inc. | 12,100 | 200,981 | ||||||||
HIG Acquisition Corp., Class A (a),(c) | 465,000 | 4,543,050 | ||||||||
Horizon Technology Finance Corp. | 2,400 | 39,024 | ||||||||
Hudson Executive Investment Corp. II (a),(b),(c) | 504,448 | 4,918,368 | ||||||||
International Money Express, Inc. (a) | 1,800 | 30,060 | ||||||||
InterPrivate II Acquisition Corp. (a),(b),(c) | 238,909 | 2,384,312 | ||||||||
Invesco Ltd. | 18,500 | 446,035 | ||||||||
Invesco Mortgage Capital, Inc. | 72,400 | 228,060 | ||||||||
Jaws Hurricane Acquisition Corp. (a),(b),(c) | 262,600 | 2,623,374 | ||||||||
Jaws Juggernaut Acquisition Corp. (a),(b),(c) | 328,200 | 3,324,666 | ||||||||
Jaws Mustang Acquisition Corp., Class A (a),(c) | 380,700 | 3,715,632 | ||||||||
Kensington Capital Acquisition Corp. (a),(c) | 320,900 | 3,273,180 | ||||||||
Khosla Ventures Acquisition Co., Class A (a),(b),(c) | 310,000 | 3,038,000 | ||||||||
KKR Acquisition Holdings I Corp. (a),(b),(c) | 465,000 | 4,640,700 | ||||||||
KKR Real Estate Finance Trust, Inc. | 400 | 8,440 | ||||||||
Ladder Capital Corp. | 5,700 | 62,985 | ||||||||
Landcadia Holdings IV, Inc. (a),(b),(c) | 465,000 | 4,668,600 | ||||||||
Lazard Growth Acquisition Corp. (a),(c) | 450,000 | 4,464,000 | ||||||||
LDH Growth Corp. (a),(b),(c) | 310,000 | 3,053,500 | ||||||||
Lead Edge Growth Opportunities Ltd. (a),(c) | 434,621 | 4,341,864 | ||||||||
LendingClub Corp. (a) | 24,600 | 694,704 | ||||||||
LendingTree, Inc. (a) | 1,600 | 223,728 | ||||||||
Live Oak Mobility Acquisition Corp. (a),(b),(c) | 99,813 | 989,147 | ||||||||
Logan Ridge Financial Corp. (a) | 383 | 9,843 | ||||||||
Logistics Innovation Technologies Corp. (a),(b),(c) | 305,914 | 3,028,549 | ||||||||
Main Street Capital Corp. | 2,300 | 94,530 | ||||||||
Marlin Business Services Corp. | 1,200 | 26,676 | ||||||||
Marlin Technology Corp., Class A (a),(b),(c) | 619,998 | 6,051,180 | ||||||||
Mason Industrial Technology, Inc. (a),(c) | 465,000 | 4,626,750 | ||||||||
Medallion Financial Corp. (a) | 600 | 4,704 | ||||||||
MFA Financial, Inc. | 78,500 | 358,745 | ||||||||
Monroe Capital Corp. | 1,400 | 14,546 | ||||||||
Moringa Acquisition Corp., Class A (a),(b),(c) | 300,000 | 2,910,000 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Security Description | Shares | Value | ||||||||
MSD Acquisition Corp. (a),(b),(c) | 324,154 | $ | 3,244,782 | |||||||
New Mountain Finance Corp. | 6,300 | 83,853 | ||||||||
New York Mortgage Trust, Inc. | 44,300 | 188,718 | ||||||||
Newtek Business Services Corp. | 2,100 | 58,233 | ||||||||
Nexpoint Real Estate Finance, Inc. | 1,300 | 25,324 | ||||||||
NightDragon Acquisition Corp., Class A (a),(b),(c) | 465,000 | 4,543,050 | ||||||||
Noble Rock Acquisition Corp., Class A (a),(b),(c) | 600,000 | 5,826,000 | ||||||||
North Mountain Merger Corp., Class A (a),(c) | 465,000 | 4,552,350 | ||||||||
Northern Genesis Acquisition Corp. III, Class A (a),(b),(c) | 465,000 | 4,510,500 | ||||||||
Northern Star Investment Corp. III (a),(b),(c) | 310,000 | 3,056,600 | ||||||||
Northern Star Investment Corp. IV (a),(b),(c) | 310,000 | 3,056,600 | ||||||||
Oaktree Specialty Lending Corp. | 14,900 | 105,194 | ||||||||
OCA Acquisition Corp., Class A (a),(b),(c) | 467,500 | 4,628,250 | ||||||||
Ocwen Financial Corp. (a) | 694 | 19,522 | ||||||||
Omega Alpha SPAC, Class A (a),(b),(c) | 136,000 | 1,323,280 | ||||||||
One Equity Partners Open Water I Corp. (a),(b),(c) | 430,200 | 4,267,584 | ||||||||
OneMain Holdings, Inc. | 700 | 38,731 | ||||||||
Oppenheimer Holdings, Inc., Class A | 300 | 13,587 | ||||||||
Orion Acquisition Corp. (a),(b),(c) | 249,194 | 2,462,037 | ||||||||
Osiris Acquisition Corp. (a),(b),(c) | 243,900 | 2,424,366 | ||||||||
Oxford Square Capital Corp. | 5,000 | 20,250 | ||||||||
Panacea Acquisition Corp. II, Class A (a),(b),(c) | 310,000 | 3,022,500 | ||||||||
Parabellum Acquisition Corp. (a),(c) | 390,000 | 3,888,300 | ||||||||
Pathfinder Acquisition Corp., Class A (a),(b),(c) | 101,191 | 999,767 | ||||||||
Paysign, Inc. (a) | 1,300 | 3,510 | ||||||||
PennantPark Floating Rate Capital Ltd. | 4,600 | 58,834 | ||||||||
PennantPark Investment Corp. | 6,800 | 44,132 | ||||||||
Periphas Capital Partnering Corp. (a),(b),(c) | 186,025 | 4,591,097 | ||||||||
Pivotal Investment Corp. III (a),(b),(c) | 300,000 | 2,964,000 | ||||||||
PJT Partners, Inc., Class A | 500 | 39,555 | ||||||||
Plum Acquisition Corp. I (a),(b),(c) | 310,000 | 3,041,100 | ||||||||
Pontem Corp. (a),(b),(c) | 465,000 | 4,626,750 | ||||||||
Portage Fintech Acquisition Corp. (a),(b),(c) | 500,000 | 4,950,000 | ||||||||
Post Holdings Partnering Corp. (a),(c) | 92,463 | 934,801 | ||||||||
Powered Brands, Class A (a),(c) | 465,000 | 4,575,600 | ||||||||
PropTech Investment Corp. (a),(b),(c) | 126,993 | 1,263,580 | ||||||||
Prospect Capital Corp. | 28,100 | 216,370 | ||||||||
Ready Capital Corp. | 6,726 | 97,056 | ||||||||
RedBall Acquisition Corp. (a),(b),(c) | 465,000 | 4,575,600 | ||||||||
Regional Management Corp. | 100 | 5,818 | ||||||||
Revolution Healthcare Acquisition Corp. (a),(c) | 465,000 | 4,580,250 | ||||||||
Sachem Capital Corp. | 5,600 | 30,576 | ||||||||
Safeguard Scientifics, Inc. (a) | 1,700 | 15,096 | ||||||||
Saratoga Investment Corp. | 500 | 14,370 | ||||||||
Science Strategic Acquisition Corp. Alpha (a),(b),(c) | 465,000 | 4,631,400 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Security Description | Shares | Value | ||||||||
Sculptor Capital Management, Inc. | 2,500 | $ | 69,725 | |||||||
Senior Connect Acquisition Corp. I, Class A (a),(c) | 310,000 | 3,028,700 | ||||||||
Shelter Acquisition Corp. I (a),(c) | 375,000 | 3,731,250 | ||||||||
Silver Spike Acquisition Corp. (a),(b),(c) | 310,000 | 3,084,500 | ||||||||
Silvercrest Asset Management Group, Inc., Class A | 500 | 7,790 | ||||||||
Sixth Street Specialty Lending, Inc. | 6,200 | 137,702 | ||||||||
Skydeck Acquisition Corp. (a),(b),(c) | 243,900 | 2,426,805 | ||||||||
Slam Corp. (a),(c) | 449,298 | 4,452,543 | ||||||||
SLM Corp. | 300 | 5,280 | ||||||||
SLR Investment Corp. | 3,500 | 66,955 | ||||||||
SLR Senior Investment Corp. | 900 | 13,923 | ||||||||
Software Acquisition Group, Inc. (a),(b),(c) | 398,400 | 4,023,840 | ||||||||
Sprott, Inc. | 800 | 29,352 | ||||||||
Stellus Capital Investment Corp. | 1,000 | 13,060 | ||||||||
StepStone Group, Inc., Class A | 400 | 17,056 | ||||||||
Stewart Information Services Corp. | 300 | 18,978 | ||||||||
Supernova Partners Acquisition Co. II Ltd. (a),(b),(c) | 437,293 | 4,351,065 | ||||||||
SuRo Capital Corp. | 6,616 | 85,413 | ||||||||
SVF Investment Corp. 2 (a),(b),(c) | 310,000 | 3,044,200 | ||||||||
SVF Investment Corp. 3 (a),(b),(c) | 310,000 | 3,047,300 | ||||||||
Tailwind International Acquisition Corp. (a),(b),(c) | 300,000 | 2,973,000 | ||||||||
TCG BDC, Inc. | 4,100 | 54,981 | ||||||||
TCV Acquisition Corp., Class A (a),(b),(c) | 326,088 | 3,195,662 | ||||||||
Tekkorp Digital Acquisition Corp., Class A (a),(c) | 423,000 | 4,153,860 | ||||||||
Thunder Bridge Capital Partners III, Inc. (a),(b),(c) | 198,200 | 1,962,180 | ||||||||
TPG Pace Beneficial II Corp., Class A (a),(b),(c) | 228,473 | 2,248,174 | ||||||||
TPG RE Finance Trust, Inc. | 4,200 | 51,996 | ||||||||
Trepont Acquisition Corp. I, Class A (a),(c) | 338,000 | 3,369,860 | ||||||||
Trinity Capital, Inc. | 1,400 | 22,526 | ||||||||
TriplePoint Venture Growth BDC Corp. | 1,300 | 20,592 | ||||||||
Turmeric Acquisition Corp. (a),(b),(c) | 202,705 | 2,014,888 | ||||||||
Two Harbors Investment Corp. | 73,700 | 467,258 | ||||||||
TZP Strategies Acquisition Corp. (a),(c) | 447,500 | 4,439,200 | ||||||||
Upstart Holdings, Inc. (a) | 14,600 | 4,620,024 | ||||||||
Vector Acquisition Corp. II, Class A (a),(b),(c) | 515,579 | 5,026,895 | ||||||||
Virgin Group Acquisition Corp. II (a),(b),(c) | 310,000 | 3,069,000 | ||||||||
Vy Global Growth, Class A (a),(b),(c) | 474,373 | 4,653,599 | ||||||||
Warburg Pincus Capital Corp. (a),(b),(c) | 620,000 | 6,175,200 | ||||||||
Waverley Capital Acquisition Corp. 1 (a),(c) | 375,000 | 3,697,500 | ||||||||
Western Asset Mortgage Capital Corp. | 12,400 | 32,364 | ||||||||
WhiteHorse Finance, Inc. | 1,200 | 18,264 | ||||||||
WisdomTree Investments, Inc. | 12,700 | 72,009 | ||||||||
|
| |||||||||
475,927,544 | ||||||||||
|
|
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Security Description | Shares | Value | ||||||||
Health Care — 3.1% | ||||||||||
89bio, Inc. (a) | 1,800 | $ | 35,262 | |||||||
Abbott Laboratories | 9,800 | 1,157,674 | ||||||||
ABIOMED, Inc. (a) | 1,000 | 325,520 | ||||||||
Accelerate Diagnostics, Inc. (a) | 900 | 5,247 | ||||||||
Accolade, Inc. (a) | 600 | 25,302 | ||||||||
Accuray, Inc. (a) | 15,000 | 59,250 | ||||||||
Achieve Life Sciences, Inc. (a) | 200 | 1,700 | ||||||||
Acutus Medical, Inc. (a) | 1,100 | 9,724 | ||||||||
Adamas Pharmaceuticals, Inc. (a) | 5,500 | 27,005 | ||||||||
Adicet Bio, Inc. (a) | 1,542 | 12,089 | ||||||||
Adverum Biotechnologies, Inc. (a) | 24,500 | 53,165 | ||||||||
Aerie Pharmaceuticals, Inc. (a) | 4,100 | 46,740 | ||||||||
Agenus, Inc. (a) | 8,800 | 46,200 | ||||||||
Agilent Technologies, Inc. | 19,500 | 3,071,835 | ||||||||
Akero Therapeutics, Inc. (a) | 1,300 | 29,055 | ||||||||
Albireo Pharma, Inc. (a) | 1,500 | 46,800 | ||||||||
Aldeyra Therapeutics, Inc. (a) | 11,800 | 103,604 | ||||||||
Alector, Inc. (a) | 2,100 | 47,922 | ||||||||
Align Technology, Inc. (a) | 300 | 199,629 | ||||||||
Alkermes plc (a) | 5,600 | 172,704 | ||||||||
Alphatec Holdings, Inc. (a) | 8,600 | 104,834 | ||||||||
Alpine Immune Sciences, Inc. (a) | 800 | 8,536 | ||||||||
Amedisys, Inc. (a) | 400 | 59,640 | ||||||||
American Shared Hospital Services (a) | 200 | 552 | ||||||||
Amgen, Inc. (b) | 28,200 | 5,996,730 | ||||||||
Amicus Therapeutics, Inc. (a) | 200 | 1,910 | ||||||||
Amneal Pharmaceuticals, Inc. (a) | 1,100 | 5,874 | ||||||||
AnaptysBio, Inc. (a) | 2,200 | 59,664 | ||||||||
ANI Pharmaceuticals, Inc. (a) | 700 | 22,974 | ||||||||
Anika Therapeutics, Inc. (a) | 900 | 38,304 | ||||||||
Anixa Biosciences, Inc. (a) | 238 | 1,135 | ||||||||
Annovis Bio, Inc. (a) | 200 | 6,350 | ||||||||
Antares Pharma, Inc. (a) | 17,400 | 63,336 | ||||||||
Anthem, Inc. | 1,700 | 633,760 | ||||||||
Apellis Pharmaceuticals, Inc. (a) | 9,600 | 316,416 | ||||||||
Applied Genetic Technologies Corp. (a) | 6,100 | 18,361 | ||||||||
Applied Molecular Transport, Inc. (a) | 1,600 | 41,392 | ||||||||
Aptinyx, Inc. (a) | 5,200 | 12,168 | ||||||||
Aravive, Inc. (a) | 2,800 | 10,416 | ||||||||
Arbutus Biopharma Corp. (a) | 400 | 1,716 | ||||||||
Arcus Biosciences, Inc. (a) | 6,500 | 226,655 | ||||||||
Arcutis Biotherapeutics, Inc. (a) | 400 | 9,556 | ||||||||
Arvinas, Inc. (a) | 6,200 | 509,516 | ||||||||
Aspira Women’s Health, Inc. (a) | 300 | 975 | ||||||||
Assembly Biosciences, Inc. (a) | 1,500 | 5,220 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Security Description | Shares | Value | ||||||||
Astria Therapeutics, Inc. (a) | 16 | $ | 141 | |||||||
Atara Biotherapeutics, Inc. (a) | 7,900 | 141,410 | ||||||||
Athira Pharma, Inc. (a) | 300 | 2,814 | ||||||||
AtriCure, Inc. (a) | 600 | 41,730 | ||||||||
aTyr Pharma, Inc. (a) | 6,700 | 60,836 | ||||||||
Avalo Therapeutics, Inc. (a) | 11,800 | 25,724 | ||||||||
Avanos Medical, Inc. (a) | 5,000 | 156,000 | ||||||||
Avantor, Inc. (a) | 24,300 | 993,870 | ||||||||
Avid Bioservices, Inc. (a) | 3,800 | 81,966 | ||||||||
Avrobio, Inc. (a) | 5,300 | 29,574 | ||||||||
Axogen, Inc. (a) | 900 | 14,220 | ||||||||
Baxter International, Inc. (b) | 55,600 | 4,471,908 | ||||||||
Beam Therapeutics, Inc. (a) | 700 | 60,907 | ||||||||
Berkeley Lights, Inc. (a) | 16,700 | 326,652 | ||||||||
Beyond Air, Inc. (a) | 5,900 | 65,608 | ||||||||
BioCryst Pharmaceuticals, Inc. (a) | 32,200 | 462,714 | ||||||||
BioDelivery Sciences International, Inc. (a) | 13,900 | 50,179 | ||||||||
Biogen, Inc. (a),(b),(c) | 98,860 | 27,976,391 | ||||||||
Biohaven Pharmaceutical Holding Co. Ltd. (a) | 500 | 69,455 | ||||||||
Biolase, Inc. (a) | 7,300 | 4,667 | ||||||||
Black Diamond Therapeutics, Inc. (a) | 2,900 | 24,534 | ||||||||
Boston Scientific Corp. (a),(b) | 118,700 | 5,150,393 | ||||||||
Brickell Biotech, Inc. (a) | 3,000 | 2,160 | ||||||||
Bristol-Myers Squibb Co. (c) | 575,570 | 34,056,477 | ||||||||
Brookdale Senior Living, Inc. (a) | 16,409 | 103,377 | ||||||||
Bruker Corp. | 9,200 | 718,520 | ||||||||
Cabaletta Bio, Inc. (a) | 200 | 2,432 | ||||||||
Cardiff Oncology, Inc. (a) | 9,800 | 65,268 | ||||||||
Cardiovascular Systems, Inc. (a) | 200 | 6,566 | ||||||||
CareDx, Inc. (a) | 4,500 | 285,165 | ||||||||
Castle Biosciences, Inc. (a) | 1,600 | 106,400 | ||||||||
Catalyst Biosciences, Inc. (a) | 1,600 | 6,576 | ||||||||
Catalyst Pharmaceuticals, Inc. (a) | 3,200 | 16,960 | ||||||||
CEL-SCI Corp. (a) | 400 | 4,396 | ||||||||
Cellectar Biosciences, Inc. (a) | 300 | 278 | ||||||||
Celsion Corp. (a) | 900 | 832 | ||||||||
Cerus Corp. (a) | 6,000 | 36,540 | ||||||||
Checkpoint Therapeutics, Inc. (a) | 8,000 | 26,400 | ||||||||
Chimerix, Inc. (a) | 15,100 | 93,469 | ||||||||
Chinook Therapeutics, Inc. (a) | 6,020 | 76,815 | ||||||||
Cidara Therapeutics, Inc. (a) | 6,600 | 14,784 | ||||||||
Clearside Biomedical, Inc. (a) | 14,800 | 88,800 | ||||||||
Cohbar, Inc. (a) | 16,100 | 15,456 | ||||||||
Community Health Systems, Inc. (a) | 24,700 | 288,990 | ||||||||
Concert Pharmaceuticals, Inc. (a) | 1,500 | 4,905 | ||||||||
Conformis, Inc. (a) | 46,400 | 61,712 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Security Description | Shares | Value | ||||||||
Cooper Cos., Inc. (The) | 2,100 | $ | 867,951 | |||||||
CorMedix, Inc. (a) | 1,900 | 8,835 | ||||||||
Cortexyme, Inc. (a) | 300 | 27,498 | ||||||||
Crinetics Pharmaceuticals, Inc. (a) | 1,400 | 29,470 | ||||||||
CTI BioPharma Corp. (a) | 17,600 | 51,920 | ||||||||
Cue Biopharma, Inc. (a) | 3,400 | 49,538 | ||||||||
Cutera, Inc. (a) | 2,800 | 130,480 | ||||||||
Cyclacel Pharmaceuticals, Inc. (a) | 2,000 | 10,540 | ||||||||
Cyclerion Therapeutics, Inc. (a) | 9,800 | 30,086 | ||||||||
Cymabay Therapeutics, Inc. (a) | 2,700 | 9,855 | ||||||||
Cytokinetics, Inc. (a) | 15,200 | 543,248 | ||||||||
CytoSorbents Corp. (a) | 3,300 | 26,796 | ||||||||
Danaher Corp. | 13,700 | 4,170,828 | ||||||||
Delcath Systems, Inc. (a) | 600 | 6,264 | ||||||||
Denali Therapeutics, Inc. (a) | 7,100 | 358,195 | ||||||||
Dentsply Sirona, Inc. | 11,200 | 650,160 | ||||||||
DermTech, Inc. (a) | 1,700 | 54,587 | ||||||||
DiaMedica Therapeutics, Inc. (a) | 800 | 3,208 | ||||||||
Dicerna Pharmaceuticals, Inc. (a) | 11,100 | 223,776 | ||||||||
Durect Corp. (a) | 8,400 | 10,752 | ||||||||
Dynavax Technologies Corp. (a) | 28,600 | 549,406 | ||||||||
Eargo, Inc. (a) | 4,900 | 32,977 | ||||||||
Editas Medicine, Inc. (a) | 9,000 | 369,720 | ||||||||
Edwards Lifesciences Corp. (a) | 22,400 | 2,535,904 | ||||||||
Eiger BioPharmaceuticals, Inc. (a) | 1,500 | 10,020 | ||||||||
ElectroCore, Inc. (a) | 16,800 | 18,984 | ||||||||
Electromed, Inc. (a) | 500 | 5,410 | ||||||||
Eledon Pharmaceuticals, Inc. (a) | 1,800 | 11,124 | ||||||||
Eli Lilly & Co. (b) | 34,500 | 7,971,225 | ||||||||
Eloxx Pharmaceuticals, Inc. (a) | 12,500 | 20,375 | ||||||||
Enanta Pharmaceuticals, Inc. (a) | 1,600 | 90,896 | ||||||||
Endo International plc (a) | 33,600 | 108,864 | ||||||||
Envista Holdings Corp. (a) | 1,700 | 71,077 | ||||||||
Enzo Biochem, Inc. (a) | 3,200 | 11,328 | ||||||||
Essa Pharma, Inc. (a) | 9,200 | 73,600 | ||||||||
Establishment Labs Holdings, Inc. (a) | 1,200 | 85,896 | ||||||||
Evelo Biosciences, Inc. (a) | 2,400 | 16,896 | ||||||||
Evolus, Inc. (a) | 300 | 2,286 | ||||||||
Exelixis, Inc. (a) | 31,000 | 655,340 | ||||||||
Eyenovia, Inc. (a) | 1,700 | 8,330 | ||||||||
Fate Therapeutics, Inc. (a) | 6,400 | 379,328 | ||||||||
FibroGen, Inc. (a) | 15,100 | 154,322 | ||||||||
Five Star Senior Living, Inc. (a) | 1,100 | 4,818 | ||||||||
Flexion Therapeutics, Inc. (a) | 7,700 | 46,970 | ||||||||
Fluidigm Corp. (a) | 1,700 | 11,203 | ||||||||
FONAR Corp. (a) | 500 | 7,730 |
See Notes to Consolidated Financial Statements.
22
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Security Description | Shares | Value | ||||||||
Fortress Biotech, Inc. (a) | 4,600 | $ | 14,812 | |||||||
Frequency Therapeutics, Inc. (a) | 3,000 | 21,180 | ||||||||
Fulcrum Therapeutics, Inc. (a) | 2,100 | 59,241 | ||||||||
G1 Therapeutics, Inc. (a) | 4,900 | 65,758 | ||||||||
Genocea Biosciences, Inc. (a) | 3,300 | 6,336 | ||||||||
Gilead Sciences, Inc. | 42,900 | 2,996,565 | ||||||||
GlycoMimetics, Inc. (a) | 9,500 | 20,805 | ||||||||
Gossamer Bio, Inc. (a) | 3,900 | 49,023 | ||||||||
Gritstone Oncology, Inc. (a) | 4,400 | 47,520 | ||||||||
GT Biopharma, Inc. (a) | 300 | 2,022 | ||||||||
Haemonetics Corp. (a) | 4,300 | 303,537 | ||||||||
Hanger, Inc. (a) | 1,200 | 26,352 | ||||||||
Harpoon Therapeutics, Inc. (a) | 6,000 | 47,400 | ||||||||
Harrow Health, Inc. (a) | 3,600 | 32,724 | ||||||||
Harvard Bioscience, Inc. (a) | 4,300 | 30,014 | ||||||||
Hill-Rom Holdings, Inc. | 3,200 | 480,000 | ||||||||
Homology Medicines, Inc. (a) | 100 | 787 | ||||||||
Hookipa Pharma, Inc. (a) | 700 | 4,123 | ||||||||
iCAD, Inc. (a) | 2,600 | 27,950 | ||||||||
Ideaya Biosciences, Inc. (a) | 1,100 | 28,039 | ||||||||
Idera Pharmaceuticals, Inc. (a) | 13,000 | 13,390 | ||||||||
Illumina, Inc. (a) | 8,900 | 3,609,929 | ||||||||
IMARA, Inc. (a) | 4,300 | 17,544 | ||||||||
Immunic, Inc. (a) | 2,600 | 23,010 | ||||||||
ImmunoGen, Inc. (a) | 30,900 | 175,203 | ||||||||
Immunovant, Inc. (a) | 16,200 | 140,778 | ||||||||
Infinity Pharmaceuticals, Inc. (a) | 22,100 | 75,582 | ||||||||
InfuSystem Holdings, Inc. (a) | 1,500 | 19,545 | ||||||||
Inmode Ltd. (a) | 9,500 | 1,514,775 | ||||||||
Innoviva, Inc. (a) | 800 | 13,368 | ||||||||
Inogen, Inc. (a) | 700 | 30,163 | ||||||||
Inotiv, Inc. (a) | 1,000 | 29,240 | ||||||||
Insmed, Inc. (a) | 4,800 | 132,192 | ||||||||
Intellia Therapeutics, Inc. (a) | 5,500 | 737,825 | ||||||||
Intercept Pharmaceuticals, Inc. (a) | 7,500 | 111,375 | ||||||||
Intersect ENT, Inc. (a) | 6,100 | 165,920 | ||||||||
Intuitive Surgical, Inc. (a) | 4,200 | 4,175,430 | ||||||||
Invacare Corp. (a) | 3,600 | 17,136 | ||||||||
Ionis Pharmaceuticals, Inc. (a) | 1,700 | 57,018 | ||||||||
Iqvia Holdings, Inc. (a) | 6,400 | 1,533,056 | ||||||||
iRadimed Corp. (a) | 100 | 3,359 | ||||||||
iRhythm Technologies, Inc. (a) | 800 | 46,848 | ||||||||
Ironwood Pharmaceuticals, Inc. (a) | 1,800 | 23,508 | ||||||||
iTeos Therapeutics, Inc. (a) | 1,400 | 37,800 | ||||||||
IVERIC bio, Inc. (a) | 16,300 | 264,712 | ||||||||
Johnson & Johnson (b) | 59,500 | 9,609,250 |
See Notes to Consolidated Financial Statements.
23
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Security Description | Shares | Value | ||||||||
Joint Corp. (The) (a) | 2,700 | $ | 264,654 | |||||||
Jounce Therapeutics, Inc. (a) | 7,700 | 57,211 | ||||||||
Kadmon Holdings, Inc. (a) | 900 | 7,839 | ||||||||
KalVista Pharmaceuticals, Inc. (a) | 2,100 | 36,645 | ||||||||
Karyopharm Therapeutics, Inc. (a) | 17,500 | 101,850 | ||||||||
Keros Therapeutics, Inc. (a) | 100 | 3,956 | ||||||||
Kezar Life Sciences, Inc. (a) | 4,100 | 35,424 | ||||||||
Kodiak Sciences, Inc. (a) | 1,600 | 153,568 | ||||||||
Kura Oncology, Inc. (a) | 10,200 | 191,046 | ||||||||
La Jolla Pharmaceutical Co. (a) | 823 | 3,284 | ||||||||
Lannett Co., Inc. (a) | 100 | 300 | ||||||||
Larimar Therapeutics, Inc. (a) | 433 | 4,992 | ||||||||
Leap Therapeutics, Inc. (a) | 5,000 | 20,050 | ||||||||
LeMaitre Vascular, Inc. | 1,400 | 74,326 | ||||||||
Lineage Cell Therapeutics, Inc. (a) | 16,700 | 42,084 | ||||||||
LivaNova PLC (a) | 5,800 | 459,302 | ||||||||
Lyra Therapeutics, Inc. (a) | 700 | 6,398 | ||||||||
MacroGenics, Inc. (a) | 1,100 | 23,034 | ||||||||
Madrigal Pharmaceuticals, Inc. (a) | 800 | 63,832 | ||||||||
Magenta Therapeutics, Inc. (a) | 3,600 | 26,208 | ||||||||
Marinus Pharmaceuticals, Inc. (a) | 25 | 285 | ||||||||
Marker Therapeutics, Inc. (a) | 13,100 | 22,139 | ||||||||
Masimo Corp. (a) | 600 | 162,426 | ||||||||
Medtronic plc (b) | 40,100 | 5,026,535 | ||||||||
MEI Pharma, Inc. (a) | 6,600 | 18,216 | ||||||||
Merck & Co., Inc. (b) | 117,800 | 8,847,958 | ||||||||
Merrimack Pharmaceuticals, Inc. (a) | 400 | 1,932 | ||||||||
Mersana Therapeutics, Inc. (a) | 10,100 | 95,243 | ||||||||
Metacrine, Inc. (a) | 2,200 | 7,546 | ||||||||
Mirum Pharmaceuticals, Inc. (a) | 1,000 | 19,920 | ||||||||
Moderna, Inc. (a) | 9,950 | 3,829,357 | ||||||||
Molecular Templates, Inc. (a) | 5,528 | 37,093 | ||||||||
Mustang Bio, Inc. (a) | 19,200 | 51,648 | ||||||||
NanoString Technologies, Inc. (a) | 6,000 | 288,060 | ||||||||
Natera, Inc. (a) | 3,100 | 345,464 | ||||||||
Natus Medical, Inc. (a) | 500 | 12,540 | ||||||||
Navidea Biopharmaceuticals, Inc. (a) | 1,300 | 2,275 | ||||||||
Nektar Therapeutics (a) | 100 | 1,796 | ||||||||
Neoleukin Therapeutics, Inc. (a) | 2,000 | 14,460 | ||||||||
Neubase Therapeutics, Inc. (a) | 3,500 | 12,635 | ||||||||
Neuronetics, Inc. (a) | 6,500 | 42,640 | ||||||||
NextCure, Inc. (a) | 3,100 | 20,894 | ||||||||
NGM Biopharmaceuticals, Inc. (a) | 2,100 | 44,142 | ||||||||
Novocure Ltd. (a) | 5,500 | 638,935 | ||||||||
Ocular Therapeutix, Inc. (a) | 16,500 | 165,000 | ||||||||
Ocuphire Pharma, Inc. (a) | 500 | 2,575 |
See Notes to Consolidated Financial Statements.
24
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Security Description | Shares | Value | ||||||||
Odonate Therapeutics, Inc. (a) | 2,200 | $ | 6,402 | |||||||
Omeros Corp. (a) | 2,200 | 30,338 | ||||||||
Oncocyte Corp. (a) | 12,400 | 44,144 | ||||||||
OncoSec Medical, Inc. (a) | 6,700 | 14,271 | ||||||||
Oncternal Therapeutics, Inc. (a) | 2,200 | 9,174 | ||||||||
Ontrak, Inc. (a) | 2,900 | 29,116 | ||||||||
Opiant Pharmaceuticals, Inc. (a) | 1,000 | 25,740 | ||||||||
Organogenesis Holdings, Inc. (a) | 15,300 | 217,872 | ||||||||
Orthofix Medical, Inc. (a) | 800 | 30,496 | ||||||||
Otonomy, Inc. (a) | 5,900 | 11,328 | ||||||||
Outlook Therapeutics, Inc. (a) | 5,000 | 10,850 | ||||||||
Ovid therapeutics, Inc. (a) | 900 | 3,024 | ||||||||
Pacific Biosciences of California, Inc. (a) | 4,600 | 117,530 | ||||||||
Pacira BioSciences, Inc. (a) | 2,000 | 112,000 | ||||||||
Palatin Technologies, Inc. (a) | 2,800 | 1,240 | ||||||||
Paratek Pharmaceuticals, Inc. (a) | 6,500 | 31,590 | ||||||||
Passage Bio, Inc. (a) | 2,400 | 23,904 | ||||||||
PDS Biotechnology Corp. (a) | 7,100 | 105,790 | ||||||||
Pennant Group, Inc. (The) (a) | 100 | 2,809 | ||||||||
Personalis, Inc. (a) | 7,300 | 140,452 | ||||||||
PetVivo Holdings, Inc. (a) | 100 | 272 | ||||||||
Phathom Pharmaceuticals, Inc. (a) | 100 | 3,210 | ||||||||
Phibro Animal Health Corp., Class A | 300 | 6,462 | ||||||||
Phio Pharmaceuticals Corp. (a) | 2,400 | 4,848 | ||||||||
Pieris Pharmaceuticals, Inc. (a) | 16,600 | 85,822 | ||||||||
Plus Therapeutics, Inc. (a) | 300 | 573 | ||||||||
PLx Pharma, Inc. (a) | 6,700 | 129,310 | ||||||||
PPD, Inc. (a) | 17,000 | 795,430 | ||||||||
Precigen, Inc. (a) | 4,700 | 23,453 | ||||||||
Precision BioSciences, Inc. (a) | 200 | 2,308 | ||||||||
Prestige Consumer Healthcare, Inc. (a) | 300 | 16,833 | ||||||||
Protagonist Therapeutics, Inc. (a) | 2,400 | 42,528 | ||||||||
Protara Therapeutics, Inc. (a) | 2,800 | 19,376 | ||||||||
Pulse Biosciences, Inc. (a) | 551 | 11,902 | ||||||||
Puma Biotechnology, Inc. (a) | 3,400 | 23,834 | ||||||||
Quanterix Corp. (a) | 1,300 | 64,727 | ||||||||
Quotient Ltd. (a) | 7,500 | 17,550 | ||||||||
R1 RCM, Inc. (a) | 1,100 | 24,211 | ||||||||
Radius Health, Inc. (a) | 2,900 | 35,989 | ||||||||
RadNet, Inc. (a) | 2,600 | 76,206 | ||||||||
RAPT Therapeutics, Inc. (a) | 4,400 | 136,620 | ||||||||
Recro Pharma, Inc. (a) | 200 | 412 | ||||||||
REGENXBIO, Inc. (a) | 500 | 20,960 | ||||||||
Replimune Group, Inc. (a) | 4,100 | 121,524 | ||||||||
ResMed, Inc. | 4,300 | 1,133,265 | ||||||||
Rigel Pharmaceuticals, Inc. (a) | 31,000 | 112,530 |
See Notes to Consolidated Financial Statements.
25
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Security Description | Shares | Value | ||||||||
Rocket Pharmaceuticals, Inc. (a) | 3,600 | $ | 107,604 | |||||||
Rubius Therapeutics, Inc. (a) | 1,500 | 26,820 | ||||||||
Salarius Pharmaceuticals, Inc. (a) | 1,700 | 1,734 | ||||||||
Sangamo BioSciences, Inc. (a) | 19,000 | 171,190 | ||||||||
Satsuma Pharmaceuticals, Inc. (a) | 2,100 | 9,786 | ||||||||
Savara, Inc. (a) | 12,200 | 16,836 | ||||||||
SCYNEXIS, Inc. (a) | 3,300 | 17,490 | ||||||||
SeaSpine Holdings Corp. (a) | 2,400 | 37,752 | ||||||||
Seelos Therapeutics, Inc. (a) | 25,100 | 60,491 | ||||||||
Selecta Biosciences, Inc. (a) | 22,700 | 94,432 | ||||||||
Seres Therapeutics, Inc. (a) | 9,100 | 63,336 | ||||||||
Sesen Bio, Inc. (a) | 39,632 | 31,436 | ||||||||
SI-BONE, Inc. (a) | 2,300 | 49,266 | ||||||||
Sientra, Inc. (a) | 14,300 | 81,939 | ||||||||
Sierra Oncology, Inc. (a) | 600 | 13,152 | ||||||||
Silverback Therapeutics, Inc. (a) | 400 | 3,992 | ||||||||
Sio Gene Therapies, Inc. (a) | 700 | 1,519 | ||||||||
Soleno Therapeutics, Inc. (a) | 11,700 | 10,817 | ||||||||
Solid Biosciences, Inc. (a) | 8,300 | 19,837 | ||||||||
Spectrum Pharmaceuticals, Inc. (a) | 7,800 | 17,004 | ||||||||
STAAR Surgical Co. (a) | 2,800 | 359,884 | ||||||||
Stereotaxis, Inc. (a) | 6,200 | 33,356 | ||||||||
Stoke Therapeutics, Inc. (a) | 1,300 | 33,072 | ||||||||
Strongbridge Biopharma plc (a) | 5,000 | 10,200 | ||||||||
Surgalign Holdings, Inc. (a) | 3,500 | 3,815 | ||||||||
Surmodics, Inc. (a) | 300 | 16,680 | ||||||||
Sutro Biopharma, Inc. (a) | 2,200 | 41,558 | ||||||||
Syndax Pharmaceuticals, Inc. (a) | 6,400 | 122,304 | ||||||||
Synlogic, Inc. (a) | 5,400 | 16,470 | ||||||||
Synthetic Biologics, Inc. (a) | 2,400 | 1,103 | ||||||||
Syros Pharmaceuticals, Inc. (a) | 5,900 | 26,373 | ||||||||
Talaris Therapeutics, Inc. (a) | 100 | 1,356 | ||||||||
TCR2 Therapeutics, Inc. (a) | 3,800 | 32,338 | ||||||||
Tela Bio, Inc. (a) | 330 | 4,508 | ||||||||
Tempest Therapeutics, Inc. (a) | 24 | 347 | ||||||||
TFF Pharmaceuticals, Inc. (a) | 100 | 772 | ||||||||
Tivity Health, Inc. (a) | 800 | 18,448 | ||||||||
Tonix Pharmaceuticals Holding Corp. (a) | 200 | 120 | ||||||||
Tracon Pharmaceuticals, Inc. (a) | 4,800 | 18,576 | ||||||||
Tricida, Inc. (a) | 1,300 | 6,032 | ||||||||
Triple-S Management Corp., Class B (a) | 750 | 26,527 | ||||||||
United Therapeutics Corp. (a) | 3,500 | 646,030 | ||||||||
UNITY Biotechnology, Inc. (a) | 1,900 | 5,700 | ||||||||
Vanda Pharmaceuticals, Inc. (a) | 5,700 | 97,698 | ||||||||
Vapotherm, Inc. (a) | 1,400 | 31,178 | ||||||||
Varex Imaging Corp. (a) | 100 | 2,820 |
See Notes to Consolidated Financial Statements.
26
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Security Description | Shares | Value | ||||||||
Venus Concept, Inc. (a) | 6,400 | $ | 16,064 | |||||||
Verastem, Inc. (a) | 33,000 | 101,640 | ||||||||
Vericel Corp. (a) | 3,000 | 146,400 | ||||||||
Vertex Pharmaceuticals, Inc. (a) | 5,100 | 925,089 | ||||||||
Veru, Inc. (a) | 3,400 | 29,002 | ||||||||
ViewRay, Inc. (a) | 23,500 | 169,435 | ||||||||
Viking Therapeutics, Inc. (a) | 16,100 | 101,108 | ||||||||
Virios Therapeutics, Inc. (a) | 300 | 1,587 | ||||||||
VistaGen Therapeutics, Inc. (a) | 18,100 | 49,594 | ||||||||
Voyager Therapeutics, Inc. (a) | 600 | 1,578 | ||||||||
Xenetic Biosciences, Inc. (a) | 2,400 | 4,920 | ||||||||
Xenon Pharmaceuticals, Inc. (a) | 2,100 | 32,088 | ||||||||
Y-mAbs Therapeutics, Inc. (a) | 400 | 11,416 | ||||||||
Zentalis Pharmaceuticals, Inc. (a) | 1,500 | 99,960 | ||||||||
ZIOPHARM Oncology, Inc. (a) | 15,400 | 28,028 | ||||||||
Zoetis, Inc. | 400 | 77,656 | ||||||||
Zymeworks, Inc. (a) | 1,400 | 40,656 | ||||||||
Zynerba Pharmaceuticals, Inc. (a) | 2,100 | 8,904 | ||||||||
|
| |||||||||
166,692,313 | ||||||||||
|
| |||||||||
Health Care Facilities & Services — 0.0% | ||||||||||
DaVita, Inc. (a) | 200 | 23,252 | ||||||||
Medpace Holdings, Inc. (a) | 100 | 18,928 | ||||||||
Patterson Cos., Inc. | 14,100 | 424,974 | ||||||||
|
| |||||||||
467,154 | ||||||||||
|
| |||||||||
Industrial Products — 0.3% | ||||||||||
AAR Corp. (a) | 4,800 | 155,664 | ||||||||
Acuity Brands, Inc. | 200 | 34,674 | ||||||||
Advanced Emissions Solutions, Inc. (a) | 3,600 | 23,004 | ||||||||
Aerojet Rocketdyne Holdings, Inc. | 200 | 8,710 | ||||||||
Allegion PLC | 6,000 | 793,080 | ||||||||
Allied Motion Technologies, Inc. | 300 | 9,384 | ||||||||
AMETEK, Inc. | 300 | 37,203 | ||||||||
Astronics Corp. (a) | 2,900 | 40,774 | ||||||||
Babcock & Wilcox Enterprises, Inc. (a) | 11,000 | 70,510 | ||||||||
Barnes Group, Inc. | 300 | 12,519 | ||||||||
Bel Fuse, Inc., Class B | 900 | 11,187 | ||||||||
Blue Bird Corp. (a) | 500 | 10,430 | ||||||||
Capstone Green Energy Corp. (a) | 852 | 4,098 | ||||||||
Caterpillar, Inc. (b) | 30,000 | 5,759,100 | ||||||||
CECO Environmental Corp. (a) | 1,400 | 9,856 | ||||||||
Cognex Corp. | 3,800 | 304,836 | ||||||||
Columbus McKinnon Corp. | 700 | 33,845 | ||||||||
Commercial Vehicle Group, Inc. (a) | 3,700 | 35,002 | ||||||||
Core Molding Technologies, Inc. (a) | 200 | 2,302 |
See Notes to Consolidated Financial Statements.
27
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Security Description | Shares | Value | ||||||||
Crane Co. | 1,300 | $ | 123,253 | |||||||
CVD Equipment Corp. (a) | 400 | 1,832 | ||||||||
CyberOptics Corp. (a) | 600 | 21,348 | ||||||||
Donaldson Co., Inc. | 100 | 5,741 | ||||||||
Douglas Dynamics, Inc. | 700 | 25,410 | ||||||||
Ducommun, Inc. (a) | 200 | 10,070 | ||||||||
Emerson Electric Co. | 6,600 | 621,720 | ||||||||
Flowserve Corp. | 6,900 | 239,223 | ||||||||
Graco, Inc. | 200 | 13,994 | ||||||||
GrafTech International Ltd. | 32,500 | 335,400 | ||||||||
Graham Corp. | 200 | 2,480 | ||||||||
Hexcel Corp. (a) | 1,599 | 94,965 | ||||||||
Hillenbrand, Inc. | 16 | 682 | ||||||||
Honeywell International, Inc. | 1,200 | 254,736 | ||||||||
Hurco Cos., Inc. | 300 | 9,678 | ||||||||
Ichor Holdings Ltd. (a) | 3,600 | 147,924 | ||||||||
Insteel Industries, Inc. | 500 | 19,025 | ||||||||
Intevac, Inc. (a) | 1,000 | 4,780 | ||||||||
Kaman Corp. | 1,200 | 42,804 | ||||||||
Kimball Electronics, Inc. (a) | 400 | 10,308 | ||||||||
LB Foster Co., Class A (a) | 600 | 9,294 | ||||||||
LSI Industries, Inc. | 1,500 | 11,625 | ||||||||
Manitowoc Co., Inc. (The) (a) | 200 | 4,284 | ||||||||
National Instruments Corp. | 4,900 | 192,227 | ||||||||
NN, Inc. (a) | 3,900 | 20,475 | ||||||||
nVent Electric plc | 5,800 | 187,514 | ||||||||
Orion Energy Systems, Inc. (a) | 4,800 | 18,672 | ||||||||
Oshkosh Corp. | 700 | 71,659 | ||||||||
Otis Worldwide Corp. | 3,800 | 312,664 | ||||||||
Park Aerospace Corp. | 400 | 5,472 | ||||||||
Powell Industries, Inc. | 500 | 12,285 | ||||||||
Proto Labs, Inc. (a) | 4,600 | 306,360 | ||||||||
Ranpak Holdings Corp. (a) | 5,300 | 142,146 | ||||||||
REV Group, Inc. | 2,600 | 44,616 | ||||||||
Rockwell Automation, Inc. | 200 | 58,808 | ||||||||
SmartRent, Inc. (a) | 400,000 | 5,208,000 | ||||||||
Spirit AeroSystems Holdings, Inc., Class A | 19,600 | 866,124 | ||||||||
Standex International Corp. | 100 | 9,891 | ||||||||
TE Connectivity Ltd. | 200 | 27,444 | ||||||||
Tennant Co. | 200 | 14,790 | ||||||||
Thermon Group Holdings, Inc. (a) | 1,300 | 22,503 | ||||||||
Titan International, Inc. (a) | 6,300 | 45,108 | ||||||||
Triumph Group, Inc. (a) | 6,000 | 111,780 | ||||||||
|
| |||||||||
17,045,292 | ||||||||||
|
|
See Notes to Consolidated Financial Statements.
28
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Security Description | Shares | Value | ||||||||||
Industrial Services — 0.2% | ||||||||||||
Acacia Research Corp. (a) | 1,500 | $ | 10,185 | |||||||||
Alarm.com Holdings, Inc. (a) | 600 | 46,914 | ||||||||||
Alta Equipment Group, Inc. (a) | 900 | 12,357 | ||||||||||
American Airlines Group, Inc. (a) | 104,600 | 2,146,392 | ||||||||||
Aqua Metals, Inc. (a) | 1,100 | 2,277 | ||||||||||
ARC Document Solutions, Inc. | 2,000 | 5,900 | ||||||||||
Avalon Holdings Corp., Class A (a) | 700 | 2,723 | ||||||||||
Barrett Business Services, Inc. | 200 | 15,252 | ||||||||||
BGSF, Inc. | 900 | 11,511 | ||||||||||
Brady Corp., Class A | 1,500 | 76,050 | ||||||||||
Canadian National Railway Co. | 6,600 | 763,290 | ||||||||||
Canadian Pacific Railway Ltd. | 28,070 | 1,826,515 | ||||||||||
Charah Solutions, Inc. (a) | 1,300 | 5,980 | ||||||||||
Civeo Corp. (a) | 625 | 14,056 | ||||||||||
Concrete Pumping Holdings, Inc. (a) | 2,100 | 17,934 | ||||||||||
CoreCivic, Inc. (a) | 4,600 | 40,940 | ||||||||||
CorVel Corp. (a) | 300 | 55,866 | ||||||||||
Covenant Transportation Group, Inc., Class A (a) | 1,200 | 33,180 | ||||||||||
CRA International, Inc. | 300 | 29,802 | ||||||||||
CSX Corp. | 76,000 | 2,260,240 | ||||||||||
Custom Truck One Source, Inc. (a) | 900 | 8,397 | ||||||||||
Daseke, Inc. (a) | 9,600 | 88,416 | ||||||||||
DXP Enterprises, Inc. (a) | 300 | 8,871 | ||||||||||
Eagle Bulk Shipping, Inc. (a) | 3,297 | 166,235 | ||||||||||
Echo Global Logistics, Inc. (a) | 600 | 28,626 | ||||||||||
Emerald Holding, Inc. (a) | 2,300 | 9,982 | ||||||||||
Fluor Corp. (a) | 22,400 | 357,728 | ||||||||||
Franklin Covey Co. (a) | 500 | 20,395 | ||||||||||
Genco Shipping & Trading Ltd. | 10,400 | 209,352 | ||||||||||
Great Lakes Dredge & Dock Corp. (a) | 100 | 1,509 | ||||||||||
H&E Equipment Services, Inc. | 3,100 | 107,601 | ||||||||||
Hackett Group, Inc. | 1,400 | 27,468 | ||||||||||
Heartland Express, Inc. | 4,200 | 67,284 | ||||||||||
Heidrick & Struggles International, Inc. | 100 | 4,463 | ||||||||||
Heritage-Crystal Clean, Inc. (a) | 500 | 14,490 | ||||||||||
Hudson Technologies, Inc. (a) | 400 | 1,412 | ||||||||||
Information Services Group, Inc. | 4,600 | 33,028 | ||||||||||
Infrastructure and Energy Alternatives, Inc. (a) | 7,300 | 83,439 | ||||||||||
Insperity, Inc. | 300 | 33,222 | ||||||||||
Iteris, Inc. (a) | 900 | 4,752 | ||||||||||
Kforce, Inc. | 200 | 11,928 | ||||||||||
Limbach Holdings, Inc. (a) | 1,200 | 7,944 | ||||||||||
Manpowergroup, Inc. | 1,000 | 108,280 | ||||||||||
Marten Transport Ltd. | 4,299 | 67,451 | ||||||||||
Mesa Air Group, Inc. (a) | 8,900 | 68,174 |
See Notes to Consolidated Financial Statements.
29
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Security Description | Shares | Value | ||||||||
Mistras Group, Inc. (a) | 1,200 | $ | 12,192 | |||||||
MSC Industrial Direct Co., Inc. | 1,500 | 120,285 | ||||||||
Norfolk Southern Corp. | 700 | 167,475 | ||||||||
Orion Group Holdings, Inc. (a) | 600 | 3,264 | ||||||||
Overseas Shipholding Group, Inc., Class A (a) | 1,300 | 2,704 | ||||||||
Primoris Services Corp. | 1,500 | 36,735 | ||||||||
PureCycle Technologies, Inc. (a) | 1,600 | 21,248 | ||||||||
Quad/Graphics, Inc. (a) | 6,000 | 25,500 | ||||||||
Radiant Logistics, Inc. (a) | 3,100 | 19,809 | ||||||||
Republic Services, Inc. | 100 | 12,006 | ||||||||
Resideo Technologies, Inc. (a) | 8,600 | 213,194 | ||||||||
Resources Connection, Inc. | 1,600 | 25,248 | ||||||||
RR Donnelley & Sons Co. (a) | 16,366 | 84,121 | ||||||||
Schneider National, Inc., Class B | 900 | 20,466 | ||||||||
Seanergy Maritime Holdings Corp. (a) | 2,257 | 3,273 | ||||||||
Sharps Compliance Corp. (a) | 4,100 | 33,907 | ||||||||
ShotSpotter, Inc. (a) | 500 | 18,185 | ||||||||
Spirit Airlines, Inc. (a) | 10,900 | 282,746 | ||||||||
Sterling Construction Co., Inc. (a) | 1,500 | 34,005 | ||||||||
Teekay Corp. (a) | 600 | 2,196 | ||||||||
Teekay LNG Partners LP | 300 | 4,665 | ||||||||
Titan Machinery, Inc. (a) | 2,400 | 62,184 | ||||||||
Transcat, Inc. (a) | 200 | 12,896 | ||||||||
TriNet Group, Inc. (a) | 3,300 | 312,114 | ||||||||
Triton International Ltd. | 2,800 | 145,712 | ||||||||
Tutor Perini Corp. (a) | 5,200 | 67,496 | ||||||||
Universal Logistics Holdings, Inc. | 100 | 2,008 | ||||||||
USA Truck, Inc. (a) | 900 | 13,752 | ||||||||
Viad Corp. (a) | 1,500 | 68,115 | ||||||||
Volt Information Sciences, Inc. (a) | 4,800 | 17,040 | ||||||||
Wilhelmina International, Inc. (a) | 100 | 538 | ||||||||
|
| |||||||||
10,762,890 | ||||||||||
|
| |||||||||
Insurance — 0.1% | ||||||||||
American Equity Investment Life Holding Co. | 5,000 | 147,850 | ||||||||
AMERISAFE, Inc. | 300 | 16,848 | ||||||||
Argo Group International Holdings Ltd. | 100 | 5,222 | ||||||||
Brighthouse Financial, Inc. (a) | 6,900 | 312,087 | ||||||||
Citizens, Inc. (a) | 500 | 3,105 | ||||||||
Donegal Group, Inc., Class A | 600 | 8,694 | ||||||||
Genworth Financial, Inc., Class A (a) | 6,500 | 24,375 | ||||||||
GoHealth, Inc., Class A (a) | 100 | 503 | ||||||||
Greenlight Capital Re Ltd., A Shares (a) | 1,800 | 13,302 | ||||||||
Hallmark Financial Services, Inc. (a) | 2,900 | 10,585 | ||||||||
Heritage Insurance Holdings, Inc. | 3,100 | 21,111 | ||||||||
Kingstone Cos., Inc. | 200 | 1,324 |
See Notes to Consolidated Financial Statements.
30
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Security Description | Shares | Value | ||||||||
Lemonade, Inc. (a) | 10,000 | $ | 670,100 | |||||||
Lincoln National Corp. | 6,500 | 446,875 | ||||||||
Maiden Holdings Ltd. (a) | 2,200 | 6,952 | ||||||||
MetroMile, Inc. (a) | 100 | 355 | ||||||||
Radian Group, Inc. | 300 | 6,816 | ||||||||
Reinsurance Group of America, Inc. | 600 | 66,756 | ||||||||
Ryan Specialty Group Holdings, Inc., Class A (a) | 100 | 3,387 | ||||||||
Trean Insurance Group, Inc. (a) | 300 | 3,105 | ||||||||
United Insurance Holdings Corp. | 1,300 | 4,719 | ||||||||
Universal Insurance Holdings, Inc. | 2,600 | 33,904 | ||||||||
Unum Group | 27,900 | 699,174 | ||||||||
Willis Towers Watson plc | 600 | 139,476 | ||||||||
|
| |||||||||
2,646,625 | ||||||||||
|
| |||||||||
Materials — 0.2% | ||||||||||
A-Mark Precious Metals, Inc. | 100 | 6,002 | ||||||||
AdvanSix, Inc. (a) | 1,600 | 63,600 | ||||||||
Alcoa Corp. (a) | 42,501 | 2,079,999 | ||||||||
Allegheny Technologies, Inc. (a) | 11,000 | 182,930 | ||||||||
Alpha Metallurgical Resources, Inc. (a) | 4,600 | 229,034 | ||||||||
American Vanguard Corp. | 600 | 9,030 | ||||||||
Amyris, Inc. (a) | 800 | 10,984 | ||||||||
Arch Resources, Inc. (a) | 3,800 | 352,450 | ||||||||
Cameco Corp. | 17,600 | 382,448 | ||||||||
Carpenter Technology Corp. | 3,000 | 98,220 | ||||||||
Century Aluminum Co. (a) | 100 | 1,345 | ||||||||
Chemours Co. | 6,200 | 180,172 | ||||||||
Codexis, Inc. (a) | 5,300 | 123,278 | ||||||||
Coeur Mining, Inc. (a) | 936 | 5,775 | ||||||||
CONSOL Energy, Inc. (a) | 1,700 | 44,234 | ||||||||
Ecolab, Inc. | 4,900 | 1,022,238 | ||||||||
Ecovyst, Inc. | 100 | 1,166 | ||||||||
Endeavour Silver Corp. (a) | 100 | 409 | ||||||||
Ferroglobe plc (a) | 13,500 | 117,450 | ||||||||
Forterra, Inc. (a) | 2,300 | 54,188 | ||||||||
Freeport-McMoRan, Inc. | 120,500 | 3,919,865 | ||||||||
Gatos Silver, Inc. (a) | 1,600 | 18,608 | ||||||||
Gold Resource Corp. | 14,300 | 22,451 | ||||||||
Haynes International, Inc. | 100 | 3,725 | ||||||||
Hecla Mining Co. | 5,500 | 30,250 | ||||||||
Ingevity Corp. (a) | 1,500 | 107,055 | ||||||||
Innospec, Inc. | 800 | 67,376 | ||||||||
Intrepid Potash, Inc. (a) | 800 | 24,720 | ||||||||
Kraton Corp (a) | 1,500 | 68,460 | ||||||||
Livent Corp. (a) | 3,600 | 83,196 | ||||||||
McEwen Mining, Inc. (a) | 52,300 | 54,392 |
See Notes to Consolidated Financial Statements.
31
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Security Description | Shares | Value | ||||||||
Myers Industries, Inc. | 600 | $ | 11,742 | |||||||
NACCO Industries, Inc., Class A | 100 | 2,984 | ||||||||
New Gold, Inc. (a) | 38,800 | 41,128 | ||||||||
Newmont Mining Corp. | 2,600 | 141,180 | ||||||||
Nexa Resources SA | 1,700 | 12,920 | ||||||||
Peabody Energy Corp. (a) | 28,500 | 421,515 | ||||||||
Pretium Resources, Inc. (a) | 3,700 | 35,668 | ||||||||
Ramaco Resources, Inc. (a) | 3,500 | 43,085 | ||||||||
Rayonier Advanced Materials, Inc. (a) | 6,900 | 51,750 | ||||||||
Resolute Forest Products, Inc. | 11,600 | 138,040 | ||||||||
Ryerson Holding Corp. | 600 | 13,362 | ||||||||
Sierra Metals, Inc. (a) | 3,200 | 5,760 | ||||||||
Southern Copper Corp. | 10,500 | 589,470 | ||||||||
SunCoke Energy, Inc. | 15,200 | 95,456 | ||||||||
Taseko Mines Ltd. (a) | 12,700 | 24,003 | ||||||||
Ternium SA, ADR | 500 | 21,150 | ||||||||
TimkenSteel Corp. (a) | 10,600 | 138,648 | ||||||||
Tronox Holdings plc, Class A | 3,100 | 76,415 | ||||||||
United States Steel Corp. | 19,200 | 421,824 | ||||||||
Venator Materials plc (a) | 9,200 | 26,220 | ||||||||
Verso Corp., Class A | 3,800 | 78,850 | ||||||||
Warrior Met Coal, Inc. | 7,600 | 176,852 | ||||||||
Yield10 Bioscience, Inc. (a) | 100 | 607 | ||||||||
|
| |||||||||
11,933,679 | ||||||||||
|
| |||||||||
Media — 0.7% | ||||||||||
Alphabet, Inc., Class A (a),(b) | 3,800 | 10,159,376 | ||||||||
Altice USA, Inc., Class A (a) | 22,500 | 466,200 | ||||||||
Angi, Inc., Class A (a) | 18,300 | 225,822 | ||||||||
Cargurus, Inc. (a) | 17,800 | 559,098 | ||||||||
Cars.com, Inc. (a) | 7,800 | 98,670 | ||||||||
Charter Communications, Inc., Class A (a),(b) | 7,340 | 5,340,290 | ||||||||
Clear Channel Outdoor Holdings, Inc. (a) | 4,000 | 10,840 | ||||||||
Comcast Corp., Class A | 500 | 27,965 | ||||||||
Cumulus Media, Inc., Class A (a) | 600 | 7,350 | ||||||||
DHI Group, Inc. (a) | 2,100 | 9,996 | ||||||||
Discovery, Inc., Class A (a) | 42,200 | 1,071,036 | ||||||||
Dolphin Entertainment, Inc. (a) | 20 | 243 | ||||||||
Entercom Communications Corp. (a) | 12,000 | 44,160 | ||||||||
Eventbrite, Inc., Class A (a) | 16,700 | 315,797 | ||||||||
EverQuote, Inc., Class A (a) | 5,600 | 104,328 | ||||||||
Facebook, Inc., Class A (a) | 5,500 | 1,866,645 | ||||||||
Fluent, Inc. (a) | 2,900 | 6,583 | ||||||||
HealthStream, Inc. (a) | 1,000 | 28,580 | ||||||||
HyreCar, Inc. (a) | 300 | 2,550 | ||||||||
iHeartMedia, Inc., Class A (a) | 1,400 | 35,028 |
See Notes to Consolidated Financial Statements.
32
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Security Description | Shares | Value | ||||||||
IMAX Corp. (a) | 11,000 | $ | 208,780 | |||||||
Liberty Media Corp-Liberty SiriusXM, Class A (a),(b),(c) | 20,505 | 967,221 | ||||||||
Liberty Media Corp-Liberty SiriusXM, Class C (a),(b),(c) | 21,740 | 1,031,998 | ||||||||
Liberty Media Group, Class A (a) | 8 | 376 | ||||||||
Liberty TripAdvisor Holdings, Inc., Class A (a) | 12,600 | 38,934 | ||||||||
LifeMD, Inc. (a) | 6,800 | 42,228 | ||||||||
Lions Gate Entertainment Corp., Class A (a) | 5,500 | 78,045 | ||||||||
LiveXLive Media, Inc. (a) | 1,000 | 2,990 | ||||||||
Magnite, Inc. (a) | 4,400 | 123,200 | ||||||||
Marchex, Inc., Class B (a) | 1,100 | 3,284 | ||||||||
Meredith Corp. (a) | 100 | 5,570 | ||||||||
National CineMedia, Inc. | 5,800 | 20,648 | ||||||||
Omnicom Group, Inc. | 8,800 | 637,648 | ||||||||
QuinStreet, Inc. (a) | 1,600 | 28,096 | ||||||||
Quotient Technology, Inc. (a) | 20,800 | 121,056 | ||||||||
Salem Media Group, Inc. (a) | 700 | 2,597 | ||||||||
Sciplay Corp., Class A (a) | 6,100 | 126,209 | ||||||||
Shutterstock, Inc. | 100 | 11,332 | ||||||||
Snap, Inc., Class A (a),(b) | 141,700 | 10,467,379 | ||||||||
Spotify Technology SA (a) | 1,400 | 315,476 | ||||||||
TechTarget, Inc. (a) | 100 | 8,242 | ||||||||
Thryv Holdings, Inc. (a) | 100 | 3,004 | ||||||||
Townsquare Media, Inc., Class A (a) | 600 | 7,842 | ||||||||
Travelzoo (a) | 1,700 | 19,720 | ||||||||
TripAdvisor, Inc. (a) | 20,200 | 683,770 | ||||||||
TrueCar, Inc. (a) | 11,900 | 49,504 | ||||||||
Twitter, Inc. (a) | 17,900 | 1,080,981 | ||||||||
Urban One, Inc. (a) | 5,200 | 35,412 | ||||||||
ViacomCBS, Inc., Class B | 37,071 | 1,464,675 | ||||||||
Warner Music Group Corp., Class A | 2,100 | 89,754 | ||||||||
WideOpenWest, Inc. (a) | 4,000 | 78,600 | ||||||||
Yelp, Inc. (a) | 4,600 | 171,304 | ||||||||
|
| |||||||||
38,306,432 | ||||||||||
|
| |||||||||
Oil, Gas & Coal — 0.3% | ||||||||||
Amplify Energy Corp. (a) | 9,466 | 50,359 | ||||||||
Antero Midstream Corp. | 200 | 2,084 | ||||||||
Antero Resources Corp. (a) | 78,400 | 1,474,704 | ||||||||
Berry Corp. | 3,400 | 24,514 | ||||||||
Bonanza Creek Energy, Inc. | 400 | 19,160 | ||||||||
Cabot Oil & Gas Corp. | 1,900 | 41,344 | ||||||||
Centennial Resource Development, Inc., Class A (a) | 69,800 | 467,660 | ||||||||
Comstock Resources, Inc. (a) | 1,100 | 11,385 | ||||||||
Continental Resources, Inc. | 8,700 | 401,505 |
See Notes to Consolidated Financial Statements.
33
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Security Description | Shares | Value | ||||||||
Crescent Point Energy Corp. | 46,400 | $ | 213,904 | |||||||
CVR Energy, Inc. | 7,200 | 119,952 | ||||||||
Enerplus Corp. | 31,600 | 252,800 | ||||||||
EnLink Midstream LLC | 27,300 | 186,186 | ||||||||
Evolution Petroleum Corp. | 1,400 | 7,952 | ||||||||
Exterran Corp. (a) | 1,000 | 4,440 | ||||||||
Exxon Mobil Corp. | 300 | 17,646 | ||||||||
Falcon Minerals Corp. | 6,600 | 31,020 | ||||||||
Flotek Industries, Inc. (a) | 2,700 | 3,402 | ||||||||
Forum Energy Technologies, Inc. (a) | 300 | 6,762 | ||||||||
Helmerich & Payne, Inc. | 15,800 | 433,078 | ||||||||
HollyFrontier Corp. | 39,300 | 1,302,009 | ||||||||
Independence Contract Drilling, Inc. (a) | 1,300 | 3,900 | ||||||||
Kosmos Energy Ltd. (a) | 30,500 | 90,280 | ||||||||
Laredo Petroleum, Inc. (a) | 1,450 | 117,552 | ||||||||
Magnolia Oil & Gas Corp., Class A | 34,500 | 613,755 | ||||||||
Mammoth Energy Services, Inc. (a) | 1,400 | 4,074 | ||||||||
Marathon Oil Corp. | 40,800 | 557,736 | ||||||||
Marathon Petroleum Corp. (b),(c) | 58,977 | 3,645,368 | ||||||||
Matador Resources Co. | 7,300 | 277,692 | ||||||||
MRC Global, Inc. (a) | 10,194 | 74,824 | ||||||||
Murphy Oil Corp. | 300 | 7,491 | ||||||||
Natural Gas Services Group, Inc. (a) | 600 | 6,228 | ||||||||
Newpark Resources, Inc. (a) | 15,700 | 51,810 | ||||||||
NexTier Oilfield Solutions, Inc. (a) | 3,246 | 14,932 | ||||||||
Northern Oil and Gas, Inc. | 6,210 | 132,894 | ||||||||
NOW, Inc. (a) | 11,600 | 88,740 | ||||||||
Oceaneering International, Inc. (a) | 3,000 | 39,960 | ||||||||
Oil States International, Inc. (a) | 12,100 | 77,319 | ||||||||
Ovintiv, Inc. | 44,318 | 1,457,176 | ||||||||
Patterson-UTI Energy, Inc. | 28,900 | 260,100 | ||||||||
PBF Energy, Inc., Class A (a) | 29,900 | 387,803 | ||||||||
Penn Virginia Corp. (a) | 3,100 | 82,677 | ||||||||
PHX Minerals, Inc. | 5,400 | 16,524 | ||||||||
Plains GP Holdings LP, Class A (a) | 39,900 | 429,922 | ||||||||
Ring Energy, Inc. (a) | 24,800 | 73,160 | ||||||||
SandRidge Energy, Inc. (a) | 7,100 | 92,371 | ||||||||
Select Energy Services, Inc., Class A (a) | 700 | 3,633 | ||||||||
SilverBow Resources, Inc. (a) | 2,900 | 71,050 | ||||||||
SM Energy Co. | 30,000 | 791,400 | ||||||||
Solaris Oilfield Infrastructure, Inc., Class A | 100 | 834 | ||||||||
Talos Energy, Inc. (a) | 200 | 2,754 | ||||||||
TETRA Technologies, Inc. (a) | 4,400 | 13,728 | ||||||||
Tidewater, Inc. (a) | 800 | 9,648 | ||||||||
Transocean Ltd. (a) | 162,733 | 616,758 | ||||||||
TravelCenters of America, Inc. (a) | 1,540 | 76,677 |
See Notes to Consolidated Financial Statements.
34
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Security Description | Shares | Value | ||||||||
VAALCO Energy, Inc. (a) | 2,700 | $ | 7,938 | |||||||
Valero Energy Corp. | 200 | 14,114 | ||||||||
Vermilion Energy, Inc. (a) | 39,400 | 390,060 | ||||||||
W&T Offshore, Inc. (a) | 8,600 | 31,992 | ||||||||
Weatherford International plc (a) | 700 | 13,769 | ||||||||
Whiting Petroleum Corp. (a) | 1,200 | 70,092 | ||||||||
|
| |||||||||
15,790,601 | ||||||||||
|
| |||||||||
Private Equity — 0.0% | ||||||||||
Millennium Equity Private Equity (a),(c),(d) | 60,879 | 1,126,262 | ||||||||
|
| |||||||||
Real Estate — 0.1% | ||||||||||
Agree Realty Corp. | 2,200 | 145,706 | ||||||||
Alpine Income Property Trust, Inc. | 1,400 | 25,718 | ||||||||
American Finance Trust, Inc. | 4,400 | 35,376 | ||||||||
Apartment Investment and Management Co., Class A | 27,700 | 189,745 | ||||||||
Ashford Hospitality Trust, Inc. (a) | 7,520 | 110,695 | ||||||||
Bluerock Residential Growth REIT, Inc. | 4,100 | 52,234 | ||||||||
Braemar Hotels & Resorts, Inc. (a) | 8,700 | 42,195 | ||||||||
BRT Apartments Corp. | 300 | 5,784 | ||||||||
Cedar Realty Trust, Inc. | 1,184 | 25,681 | ||||||||
Chatham Lodging Trust (a) | 1,000 | 12,250 | ||||||||
Colliers International Group, Inc. | 100 | 12,771 | ||||||||
CorEnergy Infrastructure Trust, Inc. | 2,100 | 9,303 | ||||||||
CorePoint Lodging, Inc. (a) | 2,500 | 38,750 | ||||||||
CTO Realty Growth, Inc. | 600 | 32,256 | ||||||||
CubeSmart | 2,400 | 116,280 | ||||||||
DigitalBridge Group, Inc. (a) | 61,879 | 373,130 | ||||||||
Diversified Healthcare Trust | 5,100 | 17,289 | ||||||||
EPR Properties | 1,700 | 83,946 | ||||||||
Equity LifeStyle Properties, Inc. | 3,000 | 234,300 | ||||||||
Farmland Partners, Inc. | 1,200 | 14,388 | ||||||||
First Industrial Realty Trust, Inc. | 3,800 | 197,904 | ||||||||
Four Corners Property Trust, Inc. | 1,500 | 40,290 | ||||||||
Franklin Street Properties Corp. | 400 | 1,856 | ||||||||
Geo Group, Inc. (The) | 30,600 | 228,582 | ||||||||
Gladstone Land Corp. | 1,600 | 36,432 | ||||||||
Global Medical REIT, Inc. | 5,600 | 82,320 | ||||||||
Global Net Lease, Inc. | 1,400 | 22,428 | ||||||||
Hersha Hospitality Trust (a) | 4,600 | 42,918 | ||||||||
Independence Realty Trust, Inc. | 500 | 10,175 | ||||||||
Macerich Co. (The) | 51,000 | 852,210 | ||||||||
Marcus & Millichap, Inc. (a) | 300 | 12,186 | ||||||||
McGrath RentCorp | 1,000 | 71,950 | ||||||||
Medalist Diversified REIT, Inc. | 1,100 | 1,375 | ||||||||
National Storage Affiliates Trust | 6,100 | 322,019 | ||||||||
NETSTREIT Corp. | 4,500 | 106,425 |
See Notes to Consolidated Financial Statements.
35
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Security Description | Shares | Value | ||||||||||
Park Hotels & Resorts, Inc. (a) | 6,712 | $ | 128,468 | |||||||||
Plymouth Industrial REIT, Inc. | 4,700 | 106,925 | ||||||||||
Postal Realty Trust, Inc. | 1,100 | 20,504 | ||||||||||
Preferred Apartment Communities, Inc., Class A | 5,900 | 72,157 | ||||||||||
RE/MAX Holdings, Inc., Class A | 1,800 | 56,088 | ||||||||||
Realogy Holdings Corp. (a) | 21,700 | 380,618 | ||||||||||
Retail Opportunity Investments Corp. | 100 | 1,742 | ||||||||||
Retail Value, Inc. | 1,725 | 45,419 | ||||||||||
Seritage Growth Properties, Class A (a) | 200 | 2,966 | ||||||||||
Service Properties Trust | 400 | 4,484 | ||||||||||
SITE Centers Corp. | 5,400 | 83,376 | ||||||||||
Spirit Realty Capital, Inc. | 1,700 | 78,268 | ||||||||||
Tanger Factory Outlet Centers, Inc. | 12,900 | 210,270 | ||||||||||
Universal Health Realty Income Trust | 700 | 38,689 | ||||||||||
Washington Prime Group, Inc. (a) | 800 | 645 | ||||||||||
Wheeler Real Estate Investment Trust, Inc. (a) | 2,400 | 7,080 | ||||||||||
Whitestone REIT | 7,500 | 73,350 | ||||||||||
|
| |||||||||||
4,917,916 | ||||||||||||
|
| |||||||||||
Renewable Energy — 0.0% | ||||||||||||
American Superconductor Corp. (a) | 400 | 5,832 | ||||||||||
Eneti, Inc. | 190 | 3,173 | ||||||||||
FutureFuel Corp. | 1,300 | 9,269 | ||||||||||
SunPower Corp. (a) | 6,000 | 136,080 | ||||||||||
TPI Composites, Inc. (a) | 2,800 | 94,500 | ||||||||||
|
| |||||||||||
248,854 | ||||||||||||
|
| |||||||||||
Retail & Wholesale - Discretionary — 0.3% | ||||||||||||
1847 Goedeker, Inc. (a) | 7,300 | 22,922 | ||||||||||
Avis Budget Group, Inc. (a) | 13,400 | 1,561,234 | ||||||||||
Barnes & Noble Education, Inc. (a) | 3,400 | 33,966 | ||||||||||
Bassett Furniture Industries, Inc. | 1,200 | 21,732 | ||||||||||
BlueLinx Holdings, Inc. (a) | 2,400 | 117,312 | ||||||||||
Boot Barn Holdings, Inc. (a) | 4,100 | 364,367 | ||||||||||
Buckle, Inc. (The) | 4,700 | 186,073 | ||||||||||
Build-A-Bear Workshop, Inc. (a) | 4,000 | 67,760 | ||||||||||
Caleres, Inc. | 1,500 | 33,330 | ||||||||||
Chewy, Inc., Class A (a) | 11,200 | 762,832 | ||||||||||
Chico’s FAS, Inc. (a) | 5,200 | 23,348 | ||||||||||
Children’s Place, Inc. (a) | 800 | 60,208 | ||||||||||
Conn’s, Inc. (a) | 5,000 | 114,150 | ||||||||||
Container Store Group, Inc. (The) (a) | 10,500 | 99,960 | ||||||||||
Designer Brands, Inc., Class A (a) | 16,300 | 227,059 | ||||||||||
Destination XL Group, Inc. (a) | 1,700 | 10,404 | ||||||||||
Dick’s Sporting Goods, Inc. | 3,300 | 395,241 | ||||||||||
Duluth Holdings, Inc., Class B (a) | 700 | 9,541 |
See Notes to Consolidated Financial Statements.
36
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Security Description | Shares | Value | ||||||||||
Etsy, Inc. (a) | 13,000 | $ | 2,703,480 | |||||||||
Express, Inc. (a) | 16,700 | 78,824 | ||||||||||
FlexShopper, Inc. (a) | 1,300 | 4,043 | ||||||||||
Foot Locker, Inc. | 11,100 | 506,826 | ||||||||||
Gaia, Inc. (a) | 1,700 | 16,116 | ||||||||||
GMS, Inc. (a) | 100 | 4,380 | ||||||||||
Group 1 Automotive, Inc. | 200 | 37,576 | ||||||||||
Guess?, Inc. | 9,500 | 199,595 | ||||||||||
IAA, Inc. (a) | 400 | 21,828 | ||||||||||
iMedia Brands, Inc. (a) | 1,170 | 6,728 | ||||||||||
KAR Auction Services, Inc. (a) | 14,500 | 237,655 | ||||||||||
Kohl’s Corp. | 29,200 | 1,375,028 | ||||||||||
La-Z-Boy, Inc. | 1,100 | 35,453 | ||||||||||
Lands’ End, Inc. (a) | 800 | 18,832 | ||||||||||
Liquidity Services, Inc. (a) | 1,000 | 21,610 | ||||||||||
Lumber Liquidators Holdings, Inc. (a) | 500 | 9,340 | ||||||||||
Macy’s, Inc. | 77,400 | 1,749,240 | ||||||||||
Nordstrom, Inc. (a) | 39,700 | 1,050,065 | ||||||||||
Party City Holdco, Inc. (a) | 27,900 | 198,090 | ||||||||||
Poshmark, Inc., Class A (a) | 300 | 7,128 | ||||||||||
Qurate Retail, Inc., Class A | 34 | 346 | ||||||||||
RealReal, Inc. (The) (a) | 1,300 | 17,134 | ||||||||||
Revolve Group, Inc. (a) | 7,800 | 481,806 | ||||||||||
ScanSource, Inc. (a) | 100 | 3,479 | ||||||||||
Shift Technologies, Inc. (a) | 6,400 | 44,416 | ||||||||||
Shoe Carnival, Inc. | 4,600 | 149,132 | ||||||||||
Signet Jewelers Ltd. | 7,200 | 568,512 | ||||||||||
Sonic Automotive, Inc., Class A | 600 | 31,524 | ||||||||||
Tilly’s, Inc., Class A | 5,700 | 79,857 | ||||||||||
Vera Bradley, Inc. (a) | 3,600 | 33,876 | ||||||||||
Veritiv Corp. (a) | 900 | 80,604 | ||||||||||
|
| |||||||||||
13,883,962 | ||||||||||||
|
| |||||||||||
Retail & Wholesale—Staples — 0.0% | ||||||||||||
Chefs’ Warehouse, Inc. (a) | 2,700 | 87,939 | ||||||||||
OptimizeRx Corp. (a) | 2,400 | 205,320 | ||||||||||
Rite Aid Corp. (a) | 13,700 | 194,540 | ||||||||||
SpartanNash Co. | 500 | 10,950 | ||||||||||
Walgreens Boots Alliance, Inc. | 5,000 | 235,250 | ||||||||||
|
| |||||||||||
733,999 | ||||||||||||
|
| |||||||||||
Software & Technology Services — 1.7% | ||||||||||||
1Life Healthcare, Inc. (a) | 19,400 | 392,850 | ||||||||||
8x8, Inc. (a) | 5,000 | 116,950 | ||||||||||
Absolute Software Corp. | 1,300 | 14,287 | ||||||||||
Agilysys, Inc. (a) | 300 | 15,708 |
See Notes to Consolidated Financial Statements.
37
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Security Description | Shares | Value | ||||||||
Akamai Technologies, Inc. (a) | 200 | $ | 20,918 | |||||||
Alteryx, Inc., Class A (a) | 1,500 | 109,650 | ||||||||
Amdocs Ltd. | 100 | 7,571 | ||||||||
American Software, Inc., Class A | 100 | 2,375 | ||||||||
Appian Corp. (a) | 1,500 | 138,765 | ||||||||
Asana, Inc., Class A (a) | 6,900 | 716,496 | ||||||||
Asure Software, Inc. (a) | 900 | 8,109 | ||||||||
Atlassian Corp. PLC, Class A (a) | 4,800 | 1,878,816 | ||||||||
AudioEye, Inc. (a) | 100 | 1,103 | ||||||||
Automatic Data Processing, Inc. | 4,900 | 979,608 | ||||||||
Avid Technology, Inc. (a) | 8,900 | 257,388 | ||||||||
Benefitfocus, Inc. (a) | 5,100 | 56,610 | ||||||||
Blackline, Inc. (a) | 1,400 | 165,284 | ||||||||
Bottomline Technologies, Inc. (a) | 1,700 | 66,776 | ||||||||
Box, Inc., Class A (a) | 13,500 | 319,545 | ||||||||
Brightcove, Inc. (a) | 5,500 | 63,470 | ||||||||
C3.ai, Inc., Class A (a) | 2,300 | 106,582 | ||||||||
Cadence Design Systems, Inc. (a) | 300 | 45,432 | ||||||||
Calix, Inc. (a) | 1,300 | 64,259 | ||||||||
Cass Information Systems, Inc. | 600 | 25,110 | ||||||||
Castlight Health, Inc., Class B (a) | 3,700 | 5,809 | ||||||||
Cerner Corp. | 36,000 | 2,538,720 | ||||||||
ChannelAdvisor Corp. (a) | 2,800 | 70,644 | ||||||||
Citrix Systems, Inc. | 300 | 32,211 | ||||||||
CommVault Systems, Inc. (a) | 900 | 67,779 | ||||||||
Computer Programs & Systems, Inc. | 100 | 3,546 | ||||||||
comScore, Inc. (a) | 9,800 | 38,220 | ||||||||
Conduent, Inc. (a) | 24,000 | 158,160 | ||||||||
Crowdstrike Holdings, Inc. (a),(b) | 40,000 | 9,831,200 | ||||||||
CSG Systems International, Inc. | 1,800 | 86,760 | ||||||||
CyberArk Software Ltd. (a) | 2,600 | 410,332 | ||||||||
Datadog, Inc., Class A (a) | 14,500 | 2,049,575 | ||||||||
Descartes Systems Group, Inc. (a) | 100 | 8,126 | ||||||||
Digi International, Inc. (a) | 600 | 12,612 | ||||||||
Digimarc Corp. (a) | 1,500 | 51,660 | ||||||||
Domo, Inc., Class B (a) | 4,100 | 346,204 | ||||||||
Dropbox, Inc., Class A (a) | 54,600 | 1,595,412 | ||||||||
DXC Technology Co. (a) | 1 | 34 | ||||||||
Dynatrace, Inc. (a) | 17,400 | 1,234,878 | ||||||||
Ebix, Inc. | 2,500 | 67,325 | ||||||||
eGain Corp. (a) | 2,200 | 22,440 | ||||||||
EPAM Systems, Inc. (a) | 200 | 114,096 | ||||||||
Euronet Worldwide, Inc. (a) | 1,200 | 152,736 | ||||||||
ExlService Holdings, Inc. (a) | 400 | 49,248 | ||||||||
FactSet Research Systems, Inc. | 1,300 | 513,214 | ||||||||
Fastly, Inc., Class A (a) | 3,900 | 157,716 |
See Notes to Consolidated Financial Statements.
38
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Security Description | Shares | Value | ||||||||
FireEye, Inc. (a) | 28,600 | $ | 509,080 | |||||||
FleetCor Technologies, Inc. (a) | 4,800 | 1,254,096 | ||||||||
Forrester Research, Inc. (a) | 500 | 24,630 | ||||||||
Fortinet, Inc. (a) | 10,400 | 3,037,216 | ||||||||
Genpact Ltd. | 2,900 | 137,779 | ||||||||
Green Dot Corp., Class A (a) | 5,800 | 291,914 | ||||||||
GreenSky, Inc., Class A (a) | 20,200 | 225,836 | ||||||||
Grid Dynamics Holdings, Inc. (a) | 100 | 2,922 | ||||||||
Guidewire Software, Inc. (a) | 800 | 95,096 | ||||||||
IHS Markit Ltd. (b),(c) | 15,700 | 1,830,934 | ||||||||
Immersion Corp. (a) | 8,100 | 55,404 | ||||||||
Inseego Corp. (a) | 1,400 | 9,324 | ||||||||
Jack Henry & Associates, Inc. | 1,600 | 262,496 | ||||||||
Kubient, Inc. (a) | 400 | 1,292 | ||||||||
Limelight Networks, Inc. (a) | 30,300 | 72,114 | ||||||||
LivePerson, Inc. (a) | 2,600 | 153,270 | ||||||||
Manhattan Associates, Inc. (a) | 500 | 76,515 | ||||||||
MasterCard, Inc., Class A | 3,600 | 1,251,648 | ||||||||
McAfee Corp., Class A | 3,300 | 72,963 | ||||||||
Microsoft Corp. (b) | 28,400 | 8,006,528 | ||||||||
MicroStrategy, Inc., Class A (a) | 700 | 404,880 | ||||||||
Mimecast Ltd. (a) | 12,500 | 795,000 | ||||||||
Mitek Systems, Inc. (a) | 2,600 | 48,100 | ||||||||
Model N, Inc. (a) | 3,400 | 113,900 | ||||||||
Momentive Global, Inc. (a) | 9,200 | 180,320 | ||||||||
MoneyGram International, Inc. (a) | 4,600 | 36,892 | ||||||||
NetSol Technologies, Inc. (a) | 200 | 916 | ||||||||
New Relic, Inc. (a) | 8,000 | 574,160 | ||||||||
NextGen Healthcare, Inc. (a) | 4,400 | 62,040 | ||||||||
Nuance Communications, Inc. (a),(b),(c) | 32,000 | 1,761,280 | ||||||||
Nutanix, Inc., Class A (a) | 30,000 | 1,131,000 | ||||||||
ON24, Inc. (a) | 8,900 | 177,466 | ||||||||
OneSpan, Inc. (a) | 200 | 3,756 | ||||||||
Open Lending Corp., Class A (a) | 7,000 | 252,490 | ||||||||
Open Text Corp. | 5,100 | 248,574 | ||||||||
Oracle Corp. | 29,000 | 2,526,770 | ||||||||
PagerDuty, Inc. (a) | 19,000 | 786,980 | ||||||||
Palo Alto Networks, Inc. (a),(b) | 12,900 | 6,179,100 | ||||||||
Paychex, Inc. | 3,900 | 438,555 | ||||||||
Paycom Software, Inc. (a) | 600 | 297,450 | ||||||||
Paylocity Holding Corp. (a) | 3,000 | 841,200 | ||||||||
PayPal Holdings, Inc. (a) | 200 | 52,042 | ||||||||
PDF Solutions, Inc. (a) | 1,500 | 34,560 | ||||||||
PFSweb, Inc. (a) | 1,000 | 12,900 | ||||||||
Phreesia, Inc. (a) | 700 | 43,190 | ||||||||
Ping Identity Holding Corp. (a) | 7,400 | 181,818 |
See Notes to Consolidated Financial Statements.
39
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Security Description | Shares | Value | ||||||||
Progress Software Corp. | 2,700 | $ | 132,813 | |||||||
PROS Holdings, Inc. (a) | 2,300 | 81,604 | ||||||||
PTC, Inc. (a) | 4,600 | 551,034 | ||||||||
PubMatic, Inc., Class A (a) | 400 | 10,540 | ||||||||
Qualys, Inc. (a) | 3,900 | 434,031 | ||||||||
Qumu Corp. (a) | 3,700 | 9,176 | ||||||||
Rapid7, Inc. (a) | 800 | 90,416 | ||||||||
RealNetworks, Inc. (a) | 1,000 | 1,590 | ||||||||
Rimini Street, Inc. (a) | 2,000 | 19,300 | ||||||||
S&P Global, Inc. | 6,200 | 2,634,318 | ||||||||
Sabre Corp. (a) | 35,000 | 414,400 | ||||||||
Sailpoint Technologies Holdings, Inc. (a) | 7,900 | 338,752 | ||||||||
SeaChange International, Inc. (a) | 11,600 | 12,296 | ||||||||
SecureWorks Corp., Class A (a) | 1,100 | 21,868 | ||||||||
ServiceSource International, Inc. (a) | 4,400 | 5,940 | ||||||||
SilverSun Technologies, Inc. | 600 | 3,642 | ||||||||
Simulations Plus, Inc. | 100 | 3,950 | ||||||||
Smith Micro Software, Inc. (a) | 3,900 | 18,876 | ||||||||
Sprout Social, Inc., Class A (a) | 4,400 | 536,580 | ||||||||
SPS Commerce, Inc. (a) | 900 | 145,179 | ||||||||
Synchronoss Technologies, Inc. (a) | 200 | 480 | ||||||||
Synopsys, Inc. (a) | 700 | 209,587 | ||||||||
Tenable Holdings, Inc. (a) | 5,500 | 253,770 | ||||||||
Teradata Corp. (a) | 13,700 | 785,695 | ||||||||
Toast, Inc., Class A (a),(c) | 13,929 | 695,754 | ||||||||
Varonis Systems, Inc. (a) | 3,400 | 206,890 | ||||||||
Verint Systems, Inc. (a) | 300 | 13,437 | ||||||||
Veritone, Inc. (a) | 5,200 | 124,228 | ||||||||
Verra Mobility Corp. (a) | 11,400 | 171,798 | ||||||||
Visa, Inc., Class A(b) | 47,300 | 10,536,075 | ||||||||
Vislink Technologies, Inc. (a) | 34 | 61 | ||||||||
VMware, Inc., Class A (a) | 18,100 | 2,691,470 | ||||||||
Western Union Co. (The) | 6,900 | 139,518 | ||||||||
Workday, Inc., Class A (a) | 6,000 | 1,499,340 | ||||||||
Workiva, Inc. (a) | 3,200 | 451,072 | ||||||||
Zendesk, Inc. (a) | 5,300 | 616,867 | ||||||||
ZoomInfo Technologies, Inc., Class A (a) | 7,900 | 483,401 | ||||||||
Zovio, Inc. (a) | 1,900 | 4,541 | ||||||||
Zscaler, Inc. (a) | 14,400 | 3,775,968 | ||||||||
Zuora, Inc., Class A (a) | 13,500 | 223,830 | ||||||||
|
| |||||||||
88,098,802 | ||||||||||
|
| |||||||||
Specialty Finance — 0.0% | ||||||||||
NewStar Financial, Inc. (a) | 100 | 0 | ||||||||
|
|
See Notes to Consolidated Financial Statements.
40
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Security Description | Shares | Value | ||||||||
Tech Hardware & Semiconductors — 0.7% | ||||||||||
A10 Networks, Inc. (a) | 11,100 | $ | 149,628 | |||||||
Airgain, Inc. (a) | 700 | 8,827 | ||||||||
Alpha & Omega Semiconductor Ltd. (a) | 4,500 | 141,165 | ||||||||
Ambarella, Inc. (a) | 4,700 | 731,978 | ||||||||
Amkor Technology, Inc. | 1,900 | 47,405 | ||||||||
Amtech Systems, Inc. (a) | 1,500 | 17,145 | ||||||||
Analog Devices, Inc. | 14,183 | 2,375,369 | ||||||||
Anterix, Inc. (a) | 1,400 | 84,980 | ||||||||
Applied Materials, Inc. | 1,500 | 193,095 | ||||||||
Applied Optoelectronics, Inc. (a) | 6,700 | 48,106 | ||||||||
Arista Networks, Inc. (a) | 100 | 34,364 | ||||||||
Arlo Technologies, Inc. (a) | 13,100 | 83,971 | ||||||||
Autoscope Technologies Corp. | 1,300 | 9,633 | ||||||||
Avnet, Inc. | 7,600 | 280,972 | ||||||||
Axcelis Technologies, Inc. (a) | 2,750 | 129,333 | ||||||||
AXT, Inc. (a) | 4,900 | 40,817 | ||||||||
Benchmark Electronics, Inc. | 2,700 | 72,117 | ||||||||
CalAmp Corp. (a) | 2,400 | 23,880 | ||||||||
Cambium Networks Corp. (a) | 2,000 | 72,380 | ||||||||
Casa Systems, Inc. (a) | 5,600 | 37,968 | ||||||||
Celestica, Inc. (a) | 1,300 | 11,544 | ||||||||
CEVA, Inc. (a) | 100 | 4,267 | ||||||||
Cisco Systems, Inc. | 1,500 | 81,645 | ||||||||
Clearfield, Inc. (a) | 100 | 4,415 | ||||||||
Cohu, Inc. (a) | 100 | 3,194 | ||||||||
Comtech Telecommunications Corp. | 1,200 | 30,732 | ||||||||
Dell Technologies Inc., Class C (a) | 30 | 3,121 | ||||||||
DSP Group, Inc. (a) | 1,800 | 39,438 | ||||||||
DZS, Inc. (a) | 1,800 | 22,068 | ||||||||
EMCORE Corp. (a) | 7,600 | 56,848 | ||||||||
Everspin Technologies, Inc. (a) | 400 | 2,592 | ||||||||
ExOne Co. (The) (a) | 1,900 | 44,422 | ||||||||
Extreme Networks, Inc. (a) | 19,700 | 194,045 | ||||||||
FormFactor, Inc. (a) | 300 | 11,199 | ||||||||
Garmin Ltd. | 2,500 | 388,650 | ||||||||
Genasys, Inc. (a) | 100 | 518 | ||||||||
Harmonic, Inc. (a) | 7,100 | 62,125 | ||||||||
Hewlett Packard Enterprise Co. | 400 | 5,700 | ||||||||
Impinj, Inc. (a) | 2,900 | 165,677 | ||||||||
Intel Corp. (b) | 201,200 | 10,719,936 | ||||||||
InterDigital, Inc. | 500 | 33,910 | ||||||||
inTEST Corp. (a) | 2,100 | 24,108 | ||||||||
IPG Photonics Corp. (a) | 200 | 31,680 | ||||||||
Juniper Networks, Inc. | 20,000 | 550,400 | ||||||||
Knowles Corp. (a) | 4,400 | 82,456 |
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, 2021 (Unaudited)
Security Description | Shares | Value | ||||||||
Kopin Corp. (a) | 16,296 | $ | 83,598 | |||||||
Lam Research Corp. | 2,000 | 1,138,300 | ||||||||
MaxLinear, Inc., Class A (a) | 1,800 | 88,650 | ||||||||
Microchip Technology, Inc. | 21,200 | 3,253,988 | ||||||||
NeoPhotonics Corp. (a) | 9,300 | 81,003 | ||||||||
NetApp, Inc. | 7,300 | 655,248 | ||||||||
NetScout Systems, Inc. (a) | 3,900 | 105,105 | ||||||||
O2Micro International Ltd., ADR (a) | 200 | 1,208 | ||||||||
ON Semiconductor Corp. (a) | 9,200 | 421,084 | ||||||||
One Stop Systems, Inc. (a) | 900 | 4,527 | ||||||||
Ouster, Inc. (a) | 100 | 732 | ||||||||
PAR Technology Corp. (a) | 1,700 | 104,567 | ||||||||
Photronics, Inc. (a) | 7,100 | 96,773 | ||||||||
Pitney Bowes, Inc. | 20,600 | 148,526 | ||||||||
Pixelworks, Inc. (a) | 13,100 | 62,618 | ||||||||
PlayAGS, Inc. (a) | 5,000 | 39,400 | ||||||||
Power Integrations, Inc. | 2,000 | 197,980 | ||||||||
Powerfleet, Inc. (a) | 1,500 | 10,050 | ||||||||
Pure Storage, Inc., Class A (a) | 70,800 | 1,781,328 | ||||||||
QUALCOMM, Inc. (b) | 73,600 | 9,492,928 | ||||||||
Quantum Corp. (a) | 1,800 | 9,324 | ||||||||
QuickLogic Corp. (a) | 400 | 2,144 | ||||||||
Rambus, Inc. (a) | 9,300 | 206,460 | ||||||||
Rekor Systems, Inc. (a) | 1,300 | 14,937 | ||||||||
Resonant, Inc. (a) | 7,700 | 18,634 | ||||||||
Seagate Technology Holdings plc | 400 | 33,008 | ||||||||
Semtech Corp. (a) | 600 | 46,782 | ||||||||
SMART Global Holdings, Inc. (a) | 1,700 | 75,650 | ||||||||
Stratasys Ltd. (a) | 16,300 | 350,776 | ||||||||
Super Micro Computer, Inc. (a) | 1,100 | 40,227 | ||||||||
Teradyne, Inc. | 500 | 54,585 | ||||||||
Turtle Beach Corp. (a) | 300 | 8,346 | ||||||||
Veeco Instruments, Inc. (a) | 3,130 | 69,517 | ||||||||
Vishay Intertechnology, Inc. | 7,900 | 158,711 | ||||||||
Vishay Precision Group, Inc. (a) | 800 | 27,816 | ||||||||
Vocera Communications, Inc. (a) | 4,829 | 220,975 | ||||||||
VOXX International Corp. (a) | 3,000 | 34,350 | ||||||||
Vuzix Corp. (a) | 1,700 | 17,782 | ||||||||
Xerox Holdings Corp. | 36,300 | 732,171 | ||||||||
Xilinx, Inc. (b),(c) | 8,300 | 1,253,217 | ||||||||
|
| |||||||||
38,300,848 | ||||||||||
|
| |||||||||
Telecommunications — 0.0% | ||||||||||
BCE, Inc. | 6,000 | 300,360 | ||||||||
Cogent Communications Holdings, Inc. | 500 | 35,420 | ||||||||
Consolidated Communications Holdings, Inc. (a) | 24 | 220 | ||||||||
EchoStar Corp., Class A (a) | 7,600 | 193,876 |
See Notes to Consolidated Financial Statements.
42
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Security Description | Shares | Value | ||||||||||
ESC NII Holdings, Inc. (a),(d) | 50,677 | $ | 109,969 | |||||||||
Gogo, Inc. (a) | 21,000 | 363,300 | ||||||||||
INNOVATE Corp. (a) | 6,558 | 26,888 | ||||||||||
Ooma, Inc. (a) | 1,900 | 35,359 | ||||||||||
Spok Holdings, Inc. | 2,300 | 23,506 | ||||||||||
Switch, Inc., Class A | 900 | 22,851 | ||||||||||
Zix Corp. (a) | 6,700 | 47,369 | ||||||||||
|
| |||||||||||
1,159,118 | ||||||||||||
|
| |||||||||||
Utilities — 0.1% | ||||||||||||
Ameren Corp. (b),(c) | 1,857 | 150,417 | ||||||||||
American Water Works Co., Inc. (b),(c) | 491 | 82,999 | ||||||||||
CMS Energy Corp. (b),(c) | 2,077 | 124,059 | ||||||||||
Consolidated Water Co. Ltd. | 700 | 7,980 | ||||||||||
Duke Energy Corp. (b),(c) | 2,515 | 245,439 | ||||||||||
Eversource Energy (b),(c) | 1,306 | 106,778 | ||||||||||
NextEra Energy, Inc. (b),(c) | 2,480 | 194,730 | ||||||||||
PG&E Corp. (a),(b),(c) | 198,336 | 1,904,026 | ||||||||||
Unitil Corp. | 1,100 | 47,058 | ||||||||||
Via Renewables, Inc. | 1,200 | 12,228 | ||||||||||
WEC Energy Group, Inc. (b),(c) | 1,985 | 175,077 | ||||||||||
|
| |||||||||||
3,050,791 | ||||||||||||
|
| |||||||||||
Total North America | 935,021,485 | |||||||||||
|
| |||||||||||
Oceania — 0.0% | ||||||||||||
Materials — 0.0% | ||||||||||||
BHP Group plc, ADR | 600 | 30,414 | ||||||||||
|
| |||||||||||
Total Oceania | 30,414 | |||||||||||
|
| |||||||||||
South America — 0.0% | ||||||||||||
Banking — 0.0% | ||||||||||||
Grupo Aval Acciones y Valores SA, ADR | 400 | 2,312 | ||||||||||
|
| |||||||||||
Materials — 0.0% | ||||||||||||
Cia Siderurgica Nacional SA, ADR | 2,300 | 12,098 | ||||||||||
|
| |||||||||||
Oil, Gas & Coal — 0.0% | ||||||||||||
Geopark Ltd. | 1,000 | 12,760 | ||||||||||
Gran Tierra Energy, Inc. (a) | 14,000 | 10,345 | ||||||||||
|
| |||||||||||
23,105 | ||||||||||||
|
| |||||||||||
Software & Technology Services — 0.0% | ||||||||||||
Atento SA (a) | 219 | 6,178 | ||||||||||
|
| |||||||||||
Total South America | 43,693 | |||||||||||
|
| |||||||||||
TOTAL COMMON STOCK | 994,880,897 | |||||||||||
|
|
See Notes to Consolidated Financial Statements.
43
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Security Description | Shares | Value | ||||||||||
CONVERTIBLE PREFERRED STOCKS — 0.0% | ||||||||||||
North America — 0.0% | ||||||||||||
EPR Properties (b),(c) | 36,675 | $ | 973,637 | |||||||||
|
| |||||||||||
Total North America | 973,637 | |||||||||||
|
| |||||||||||
TOTAL CONVERTIBLE PREFERRED STOCKS | 973,637 | |||||||||||
|
| |||||||||||
PREFERRED STOCK — 0.1% | ||||||||||||
North America — 0.1% | ||||||||||||
Real Estate — 0.0% | ||||||||||||
EPR Properties (b),(c) | 91,225 | 2,364,552 | ||||||||||
|
| |||||||||||
Retail & Wholesale—Discretionary — 0.1% | ||||||||||||
Guitar Center, Inc. (a),(c),(d) | 38,645 | 4,862,828 | ||||||||||
|
| |||||||||||
Total North America | 7,227,380 | |||||||||||
|
| |||||||||||
TOTAL PREFERRED STOCK | 7,227,380 | |||||||||||
|
| |||||||||||
Security Description | Principal Amount | Value | ||||||||||
ASSET-BACKED SECURITIES — 1.3% | ||||||||||||
North America — 1.3% | ||||||||||||
AIG CLO Ltd., Series 2019-2A, Class E, 3 mo. USD LIBOR + 7.25%, 7.38%, 10/25/32 (b),(c),(e),(f) | $ | 250,000 | 250,559 | |||||||||
Ajax Mortgage Loan Trust, | ||||||||||||
Series 2021-E, Class B1, | 972,000 | 970,970 | ||||||||||
Series 2021-E, Class B2, | 762,000 | 733,043 | ||||||||||
Arbor Realty Collateralized Loan Obligation Ltd., Series 2020-FL1, Class C, Update Replacements.xls: SOFR30A + 2.16%, 2.21%, 02/15/35 (b),(c),(e),(f) | 1,792,000 | 1,793,122 | ||||||||||
Ares LIV CLO Ltd., Series 2019-54A, Class E, 3 mo. USD LIBOR + 7.34%, | 250,000 | 249,688 | ||||||||||
Ares LXI CLO Ltd., Series 2021-61A, Class E, 3 mo. USD LIBOR + 6.25%, 6.38%, 10/20/34 (c),(e),(f) | 1,000,000 | 997,500 | ||||||||||
Ares XLIII CLO Ltd., Series 2017-43A, Class ER, 3 mo. USD LIBOR + 6.86%, | 1,500,000 | 1,483,260 | ||||||||||
Balboa Bay Loan Funding Ltd., Series 2021-1A, Class E, 3 mo. USD LIBOR + 6.16%, | 1,000,000 | 988,310 |
See Notes to Consolidated Financial Statements.
44
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Barings CLO Ltd., | ||||||||||
Series 2019-2A, Class DR, 3 mo. USD LIBOR + 6.78%, 6.91%, 04/15/36 (b),(c),(e),(f) | $ | 500,000 | $ | 496,592 | ||||||
Series 2019-3A, Class ER, 3 mo. USD LIBOR + 6.70%, 6.83%, 04/20/31 (b),(c),(e),(f) | 1,000,000 | 997,456 | ||||||||
Barings CLO Ltd., Series 2020-2A, Class E2, 3 mo. USD LIBOR + 7.90%, | 1,000,000 | 998,472 | ||||||||
Barings CLO Ltd., Series 2021-2A, Class E, 3 mo. USD LIBOR + 6.25%, | 1,000,000 | 1,000,084 | ||||||||
Benefit Street Partners CLO IV Ltd., Series 2014-IVA, Class DRR, 3 mo. USD LIBOR + 7.20%, | 1,000,000 | 996,378 | ||||||||
Benefit Street Partners CLO XX Ltd., Series 2020-20A, Class ER, 3 mo. USD LIBOR + 6.75%, | 1,000,000 | 999,845 | ||||||||
Benefit Street Partners CLO XXI Ltd., Series 2020-21A, Class ER, 3 mo. USD LIBOR + 6.70%, 6.78%, 10/15/34 (c),(e),(f) | 1,000,000 | 997,425 | ||||||||
BlueMountain CLO XXVIII Ltd., Series 2021-28A, Class E, 3 mo. USD LIBOR + 6.40%, | 250,000 | 249,368 | ||||||||
Broad River Bsl Funding CLO Ltd., Series 2020-1A, Class ER, 3 mo. USD LIBOR + 6.50%, | 1,000,000 | 997,459 | ||||||||
CARLYLE US CLO Ltd., Series 2020-1A, Class DR, 3 mo. USD LIBOR + 6.25%, | 1,000,000 | 997,462 | ||||||||
CarVal CLO I Ltd., Series 2018-1A, Class E, 3 mo. USD LIBOR + 5.77%, | 2,000,000 | 1,966,190 | ||||||||
CarVal CLO II Ltd., Series 2019-1A, Class ER, 3 mo. USD LIBOR + 6.57%, | 2,500,000 | 2,469,577 | ||||||||
CarVal CLO IV Ltd., Series 2021-1A, Class E, 3 mo. USD LIBOR + 6.60%, 1.00%, 07/20/34 (c),(e),(f) | 1,000,000 | 987,806 | ||||||||
Cedar Funding IV CLO Ltd., Series 2014-4A, Class ERR, 3 mo. USD LIBOR + 6.61%, | 1,500,000 | 1,483,126 | ||||||||
Cedar Funding VI CLO Ltd., Series 2016-6A, Class ERR, 3 mo. USD LIBOR + 6.72%, | 1,250,000 | 1,246,820 | ||||||||
CIFC Funding Ltd., Series 2019-3A, Class DR, 3 mo. USD LIBOR + 6.80%, 6.90%, 10/16/34 (c),(e),(f) | 1,000,000 | 997,480 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Citigroup Mortgage Loan Trust, Series 2019-E, Class A2, 4.88%, 11/25/70 (b),(c),(e) | $ | 1,000,000 | $ | 1,014,369 | ||||||
CoreVest American Finance Trust, | ||||||||||
Series 2019-1, Class E, 5.49%, 03/15/52 (b),(c),(e) | 196,000 | 216,882 | ||||||||
Series 2019-2, Class XA, | 14,432,447 | 1,249,850 | ||||||||
Series 2019-2, Class E, | 707,000 | 764,748 | ||||||||
Series 2019-3, Class XA, | 12,232,735 | 824,829 | ||||||||
Series 2019-3, Class E, | 124,000 | 136,186 | ||||||||
Series 2020-1, Class E, | 100,000 | 108,912 | ||||||||
Series 2020-4, Class XB, | 1,000,000 | 147,183 | ||||||||
Series 2020-4, Class XA, | 950,842 | 143,914 | ||||||||
Series 2021-1, Class XA, | 908,179 | 108,086 | ||||||||
Series 2021-2, Class XA, | 997,381 | 141,883 | ||||||||
Countrywide Asset-Backed Certificates, Series 2007-3, Class 2A4, 1 mo. USD LIBOR + .32%, | 318,197 | 246,161 | ||||||||
Dryden 95 CLO Ltd., Series 2021-95A, Class E, 3 mo. USD LIBOR + 6.15%, | 1,000,000 | 999,967 | ||||||||
FBR Securitization Trust, Series 2005-5, Class M4, 1 mo. USD LIBOR + .98%, 1.06%, 11/25/35 (b),(c),(f) | 512,000 | 381,936 | ||||||||
Fort Washington CLO, Series 2019-1A, Class E, 3 mo. USD LIBOR + 7.25%, | 500,000 | 497,865 | ||||||||
Fort Washington CLO Ltd., Series 2021-2A, Class E, 3 mo. USD LIBOR + 6.61%, | 1,500,000 | 1,499,808 | ||||||||
Galaxy XXII CLO Ltd., Series 2016-22A, Class ERR, 3 mo. USD LIBOR + 6.50%, | 500,000 | 494,089 | ||||||||
Galaxy XXVII CLO Ltd., Series 2018-27A, Class E, 3 mo. USD LIBOR + 5.78%, | 1,000,000 | 984,102 | ||||||||
Goldentree Loan Management US CLO 8 Ltd., Series 2020-8A, Class ER, 3 mo. USD LIBOR + | 1,000,000 | 998,587 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Greywolf CLO II Ltd., Series 2013-1A, Class C1RR, 3 mo. USD LIBOR + 3.35%, | $ | 1,000,000 | $ | 998,492 | ||||||
GSAA Home Equity Trust, Series 2004-5, Class M2, | 299,694 | 249,967 | ||||||||
Gulf Stream Meridian 5 Ltd., Series 2021-5A, Class D, 3 mo. USD LIBOR + 6.33%, | 1,500,000 | 1,495,189 | ||||||||
HalseyPoint CLO 4 Ltd., Series 2021-4A, Class E, 3 mo. USD LIBOR + 6.71%, | 1,500,000 | 1,496,188 | ||||||||
Jamestown CLO XIV Ltd., Series 2019-14A, Class DR, 3 mo. USD LIBOR + 7.20%, | 1,000,000 | 977,500 | ||||||||
Kayne CLO II Ltd., Series 2018-2A, Class ER, 3 mo. USD LIBOR + 6.00%, | 416,667 | 411,115 | ||||||||
Kayne CLO III Ltd., Series 2019-3A, Class ER, 3 mo. USD LIBOR + 6.50%, | 1,000,000 | 1,002,393 | ||||||||
Long Beach Mortgage Loan Trust, | ||||||||||
Series 2006-10, Class 2A3, 1 mo. USD LIBOR + .16%, 0.25%, 11/25/36 (c),(f),(h) | 2,542,480 | 1,103,723 | ||||||||
Series 2006-4, Class 2A4, 1 mo. USD LIBOR + .52%, 0.61%, 05/25/36 (c),(f),(h) | 7,274,775 | 3,098,952 | ||||||||
Mastr Asset Backed Securities Trust, | ||||||||||
Series 2006-WMC3, Class A4, 1 mo. USD LIBOR + .16%, 0.25%, 08/25/36 (b),(c),(f) | 511,246 | 232,868 | ||||||||
Series 2006-WMC4, Class A5, 1 mo. USD LIBOR + .15%, 0.24%, 10/25/36 (b),(c),(f) | 542,818 | 233,558 | ||||||||
Morgan Stanley ABS Capital I, Inc., | ||||||||||
Series 2007-HE3, Class A2C, 1 mo. USD LIBOR + .15%, 0.24%, 12/25/36 (c),(f),(h) | 527,374 | 336,472 | ||||||||
Series 2007-HE3, Class A2D, 1 mo. USD LIBOR + .25%, 0.34%, 12/25/36 (c),(f),(h) | 640,873 | 417,123 | ||||||||
Neuberger Berman Loan Advisers CLO 38 Ltd., Series 2020-38A, Class ER, 3 mo. USD LIBOR + 6.25%, 1.00%, 10/20/35 (c),(e),(f) | 1,000,000 | 997,500 | ||||||||
New Mountain CLO 2 Ltd., Series CLO-2A, Class E, 3 mo. USD LIBOR + 6.36%, | 1,000,000 | 997,433 | ||||||||
Nomura CRE CDO Ltd., Series 2007-2A, Class D, 3 mo. USD LIBOR + .45%, | 226,257 | 84,847 | ||||||||
Parallel Ltd., Series 2019-1A, Class E, 3 mo. USD LIBOR + 6.72%, 6.85%, 07/20/32 (b),(c),(e),(f) | 666,500 | 649,922 |
See Notes to Consolidated Financial Statements.
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Pikes Peak CLO 6, Series 2020-6A, Class ER2, 3 mo. USD LIBOR + 6.43%, | $ | 500,000 | $ | 498,715 | ||||||
Post CLO 2021-1 Ltd., Series 2021-1A, Class E, | 1,000,000 | 999,851 | ||||||||
PPM CLO 2 Ltd., Series 2019-2A, Class E, 3 mo. USD LIBOR + 6.55%, 6.68%, 04/16/32 (b),(c),(e),(f) | 1,750,000 | 1,754,287 | ||||||||
PPM CLO 3 Ltd., Series 2019-3A, Class ER, 3 mo. USD LIBOR + 6.61%, | 500,000 | 494,429 | ||||||||
PRET 2021-NPL3 LLC, Series 2021-NPL3, Class A2, 3.72%, 07/25/51 (c),(e) | 101,000 | 100,938 | ||||||||
Romark CLO IV Ltd., Series 2021-4A, Class D, | 500,000 | 499,008 | ||||||||
RR 17 Ltd., Series 2021-17A, Class D, 3 mo. USD LIBOR + 6.50%, 6.64%, 07/15/34 (b),(c),(e),(f) | 1,000,000 | 997,137 | ||||||||
RR 2 Ltd., Series 2017-2A, Class DR, 3 mo. USD LIBOR + 5.80%, 5.93%, 04/15/36 (b),(c),(e),(f) | 1,000,000 | 987,952 | ||||||||
Shackleton XIV CLO Ltd., Series 2019-14A, Class ER, 3 mo. USD LIBOR + 7.32%, | 500,000 | 492,881 | ||||||||
Sound Point CLO XXIII, Series 2019-2A, Class ER, 3 mo. USD LIBOR + 6.47%, | 2,400,000 | 2,331,490 | ||||||||
TCI-Flatiron CLO Ltd., Series 2017-1A, Class E, | 750,000 | 749,974 | ||||||||
Trestles CLO IV Ltd., Series 2021-4A, Class E, | 1,000,000 | 997,326 | ||||||||
Trinitas CLO VI Ltd., Series 2017-6A, Class ER, | 1,000,000 | 976,112 | ||||||||
Trinitas CLO VIII Ltd., Series 2018-8A, Class E, | 500,000 | 473,242 | ||||||||
Vericrest Opportunity Loan Transferee, Series 2021-NP11, Class A2, 4.21%, 08/25/51 (c),(e) | 100,000 | 99,811 | ||||||||
Vibrant CLO XIII Ltd., Series 2021-13A, Class D, | 1,500,000 | 1,481,407 | ||||||||
VOLT CIII LLC, Series 2021-CF1, Class A2, | 124,000 | 123,933 | ||||||||
Voya CLO Ltd., Series 2018-3A, Class E, 3 mo. USD LIBOR + 5.75%, 5.88%, 10/15/31 (b),(c),(e),(f) | 1,500,000 | 1,434,564 |
See Notes to Consolidated Financial Statements.
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Security Description | Principal Amount | Value | ||||||||||
Washington Mutual Asset-Backed Certificates WMABS Trust, Series 2006-HE2, Class A3, 1 mo. USD LIBOR + .30%, 0.39%, 05/25/36 (b),(c),(f) | $ | 412,135 | $ | 368,259 | ||||||||
|
| |||||||||||
Total North America | 66,951,907 | |||||||||||
|
| |||||||||||
TOTAL ASSET-BACKED SECURITIES | 66,951,907 | |||||||||||
|
| |||||||||||
CONVERTIBLE BONDS — 0.1% | ||||||||||||
Asia — 0.0% | ||||||||||||
Internet Media — 0.0% | ||||||||||||
iQIYI, Inc., | ||||||||||||
2.00%, 04/01/25 (c) | 3,466,000 | 3,046,688 | ||||||||||
4.00%, 12/15/26 (c) | 151,000 | 128,727 | ||||||||||
|
| |||||||||||
3,175,415 | ||||||||||||
|
| |||||||||||
Total Asia | 3,175,415 | |||||||||||
|
| |||||||||||
North America — 0.1% | ||||||||||||
Financial Services — 0.1% | ||||||||||||
RWT Holdings, Inc., 5.75%, 10/01/25 (b),(c) | 3,418,000 | 3,485,830 | ||||||||||
|
| |||||||||||
Medical Equipment & Devices Manufacturing — 0.0% |
| |||||||||||
Haemonetics Corp., 0.00%, 03/01/26 (b),(c),(e),(i) | 1,396,000 | 1,203,833 | ||||||||||
|
| |||||||||||
Total North America | 4,689,663 | |||||||||||
|
| |||||||||||
TOTAL CONVERTIBLE BONDS | 7,865,078 | |||||||||||
|
| |||||||||||
BANK DEBT — 3.3% | ||||||||||||
Asia — 0.0% | ||||||||||||
Software & Services — 0.0% | ||||||||||||
Grab Holdings Inc Term Loan B, | 1,298,480 | 1,309,296 | ||||||||||
|
| |||||||||||
Total Asia | 1,309,296 | |||||||||||
|
| |||||||||||
Europe — 0.0% | ||||||||||||
Consumer Discretionary Services — 0.0% | ||||||||||||
McLaren Racing Limited, GBP Term Loan, PIK, 0.00%, 12/31/35 (c),(d),(j) | 1,807,064 | GBP | 2,531,697 | |||||||||
|
| |||||||||||
North America — 3.1% | ||||||||||||
Apparel & Textile Products — 0.1% | ||||||||||||
Mad Engine Global, LLC Term Loan, | $ | 1,188,094 | 1,161,362 | |||||||||
S&S Holdings LLC Term Loan, | 6,155,209 | 6,103,936 | ||||||||||
|
| |||||||||||
7,265,298 | ||||||||||||
|
|
See Notes to Consolidated Financial Statements.
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Casinos & Gaming — 0.1% | ||||||||||
Gateway Casinos & Entertainment Limited, 2018 Term Loan B, 3 mo. LIBOR + 3.50%, | $ | 6,645,340 | $ | 6,614,904 | ||||||
|
| |||||||||
Consumer Discretionary Services — 0.3% | ||||||||||
Hornblower Sub, LLC 2021 Incremental Term Loan, 9.13%, 11/10/25 (c),(d) | 1,110,886 | 1,160,875 | ||||||||
Infinity Bidco US LLC, | ||||||||||
2021 Incremental Fixed Term Loan, | 2,449,167 | 2,424,675 | ||||||||
Fixed Term Loan, 9.50%, 12/23/22 (c),(d) | 5,715,387 | 5,658,235 | ||||||||
Montreign Resort Casino 2021 2nd Lien Term Loan, 10.59%, 03/19/22 (c),(d) | 6,118,009 | 6,118,009 | ||||||||
|
| |||||||||
15,361,794 | ||||||||||
|
| |||||||||
Consumer Services — 0.1% | ||||||||||
KNS Acquisition Corp. Term Loan, | 4,200,372 | 4,176,766 | ||||||||
|
| |||||||||
Containers & Packaging — 0.2% | ||||||||||
Charter NEX US, Inc., 2021 Term Loan, 1 mo. LIBOR + 4.50%, 4.50%, 12/01/27 (c),(f) | 2,478 | 2,482 | ||||||||
Fort Dearborn Company, | ||||||||||
2016 1st Lien Term Loan, 5.00%, 10/19/23 (c),(f) | 5,047,810 | 5,043,620 | ||||||||
2016 2nd Lien Term Loan, 9.50%, 10/21/24 (c),(f) | 2,510,495 | 2,504,220 | ||||||||
|
| |||||||||
7,550,322 | ||||||||||
|
| |||||||||
Entertainment Resources — 0.4% | ||||||||||
Alterra Mountain Company, 2021 Series B-2 Consenting Term Loan, 1 mo. LIBOR + 4.00%, 4.00%, 08/17/28 (c),(f) | 110,000 | 109,587 | ||||||||
Bulldog Purchaser, Inc., 2018 Term Loan, 3 mo. LIBOR + 3.87%, 3.87%, 09/05/25 (c),(d),(f) | 4,319,183 | 4,173,410 | ||||||||
Equinox Holdings, Inc., | ||||||||||
2017 1st Lien Term Loan, 4.00%, 03/08/24 (c),(f) | 13,014,333 | 12,029,408 | ||||||||
2017 2nd Lien Term Loan, 8.00%, 03/08/25 (c),(f) | 3,225,786 | 2,803,756 | ||||||||
Life Time Fitness Inc 2021 Term Loan B, | 3,600,928 | 3,625,704 | ||||||||
|
| |||||||||
22,741,865 | ||||||||||
|
| |||||||||
Exploration & Production — 0.0% | ||||||||||
Par Pacific Holdings, Inc. Term Loan B, | 1,739,555 | 1,723,603 | ||||||||
|
| |||||||||
Financial Services — 0.0% | ||||||||||
Syncapay Inc Term Loan B, 7.50%, 12/10/27 (c),(f) | 1,195,346 | 1,198,335 | ||||||||
|
|
See Notes to Consolidated Financial Statements.
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Security Description | Principal Amount | Value | ||||||||||
Health Care — 0.0% | ||||||||||||
Azurity Pharmaceuticals, Inc., 2021 Term Loan B, 0.00%, 09/09/28 (c),(d),(j) | $ | 1,506,944 | $ | 1,473,038 | ||||||||
|
| |||||||||||
Health Care Facilities & Services — 0.2% | ||||||||||||
New Millennium HoldCo, Inc. 2020 Term Loan, 5.58%, 05/01/25 (c),(d) | 2,292,842 | 2,258,449 | ||||||||||
Quorum Health Corporation 2020 Term Loan, | 8,793,512 | 8,799,052 | ||||||||||
|
| |||||||||||
11,057,501 | ||||||||||||
|
| |||||||||||
Health Care Facilities & Services — 0.1% | ||||||||||||
Gordian Medical, Inc. Term Loan B, | 1,179,562 | 1,176,119 | ||||||||||
Team Health Holdings, Inc. 1st Lien Term Loan, 3.75%, 02/06/24 (c),(f) | 2,066,342 | 2,009,517 | ||||||||||
|
| |||||||||||
3,185,636 | ||||||||||||
|
| |||||||||||
Home Improvement — 0.0% | ||||||||||||
Stitch Acquisition Corporation Term Loan B, | 1,570,021 | 1,469,273 | ||||||||||
|
| |||||||||||
Industrial Other — 0.2% | ||||||||||||
Infinite Bidco LLC 2nd Lien Term Loan, | 1,544,345 | 1,552,067 | ||||||||||
QualTek USA, LLC 2018 1st Lien Term Loan, 7.25%, 07/18/25 (c),(f) | 10,135,299 | 9,983,269 | ||||||||||
|
| |||||||||||
11,535,336 | ||||||||||||
|
| |||||||||||
Machinery Manufacturing — 0.3% | ||||||||||||
Arcline FM Holdings, LLC 2021 2nd Lien Term Loan, 9.00%, 06/23/29 (c),(d),(f) | 2,174,679 | 2,174,679 | ||||||||||
Engineered Machinery Holdings, Inc., | ||||||||||||
2021 USD 2nd Lien Incremental Term Loan, 3 mo. LIBOR + 7.25%, | 190,451 | 191,879 | ||||||||||
2021 USD 2nd Lien Term Loan, | 11,545,028 | 11,631,616 | ||||||||||
|
| |||||||||||
13,998,174 | ||||||||||||
|
| |||||||||||
Manufactured Goods — 0.1% | ||||||||||||
WireCo WorldGroup, Inc. 1st Lien Term Loan, | 6,681,912 | 6,679,105 | ||||||||||
|
|
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, 2021 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Pharmaceuticals — 0.2% | ||||||||||
Mallinckrodt International Finance S.A., | ||||||||||
2018 Term Loan B, 1 mo. LIBOR + 6.25%, 3.75%, 02/24/25 (c),(f) | $ | 933,379 | $ | 878,935 | ||||||
2018 Term Loan B, 1 mo. LIBOR + 6.25%, 6.25%, 02/24/25 (c),(f) | 867,067 | 816,491 | ||||||||
Revolver, 0.00%, 02/28/22 (c),(f),(j) | — | 0 | ||||||||
USD Term Loan B, 6 mo. LIBOR + 6.00%, 3.50%, 09/24/24 (c),(f) | 4,266,326 | 4,024,553 | ||||||||
USD Term Loan B, 6 mo. LIBOR + 6.00%, 6.00%, 09/24/24 (c),(f) | 3,760,044 | 3,546,962 | ||||||||
|
| |||||||||
9,266,941 | ||||||||||
|
| |||||||||
Publishing & Broadcasting — 0.1% | ||||||||||
A-L Parent LLC 2016 1st Lien Term Loan, | 2,833,121 | 2,714,866 | ||||||||
LBI Media, Inc., Exit Term Loan, 3 mo. LIBOR + 8.50%, 8.50%, 10/15/24 (c),(d) | 334,049 | 103,889 | ||||||||
|
| |||||||||
2,818,755 | ||||||||||
|
| |||||||||
Real Estate — 0.0% | ||||||||||
Geo Group, Inc. (The) 2018 Term Loan B, | 2,135,104 | 1,969,868 | ||||||||
|
| |||||||||
Refining & Marketing — 0.2% | ||||||||||
CITGO Holding Inc. 2019 Term Loan B, | 3,980,263 | 3,924,539 | ||||||||
Citgo Petroleum Corporation 2019 Term Loan B, 7.25%, 03/28/24 (c),(f) | 5,369,541 | 5,365,084 | ||||||||
|
| |||||||||
9,289,623 | ||||||||||
|
| |||||||||
Software & Services — 0.2% | ||||||||||
Blackboard, Inc. 2019 Term Loan B5, | 4,262,930 | 4,282,114 | ||||||||
Constant Contact Inc, | ||||||||||
Second Lien Term Loan, 3 mo. LIBOR + 8.25%, 7.58%, 02/10/29 (c),(d),(f) | 1,486,672 | 1,464,372 | ||||||||
Second Lien Term Loan, 3 mo. LIBOR + 8.25%, 8.25%, 02/10/29 (c),(d),(f) | 1,343,870 | 1,323,712 | ||||||||
DMT Solutions Global Corporation 2020 Incremental Term Loan, 8.00%, 07/02/24 (c),(d),(f) | 3,189,257 | 3,183,293 | ||||||||
Project Ruby Ultimate Parent Corp., 2021 Term Loan, 1 mo. LIBOR + 4.00%, 4.00%, 03/10/28 (c),(f) | 308,783 | 308,301 | ||||||||
|
| |||||||||
10,561,792 | ||||||||||
|
|
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, 2021 (Unaudited)
Security Description | Principal Amount | Value | ||||||||||
Travel & Lodging — 0.3% | ||||||||||||
Casablanca US Holdings, Inc., 2018 1st Lien Term Loan, 1 mo. LIBOR + 4.08%, | $ | 1,962,916 | $ | 1,957,401 | ||||||||
Hilton Grand Vacations Borrower LLC, 2021 Term Loan B, 1 mo. LIBOR + 3.50%, | 1,114,000 | 1,116,506 | ||||||||||
Hornblower Sub, LLC, | ||||||||||||
2020 Repriced Term Loan B, | 10,582,670 | 9,990,040 | ||||||||||
2020 Term Loan, 6 mo. LIBOR + 9.13%, | 55,013 | 57,488 | ||||||||||
2020 Term Loan, 6 mo. LIBOR + 9.13%, | 53,035 | 55,422 | ||||||||||
|
| |||||||||||
13,176,857 | ||||||||||||
|
| |||||||||||
Utilities — 0.0% | ||||||||||||
Brazos Electric Power Cooperative Inc, Revolver, | 0 | 0 | ||||||||||
|
| |||||||||||
Total North America | 163,114,786 | |||||||||||
|
| |||||||||||
South America — 0.2% | ||||||||||||
Industrial Services — 0.1% | ||||||||||||
Latam Airlines Group S.A., | ||||||||||||
PIK DIP Delayed Draw Term Loan A, 3 mo. LIBOR, 0.15%, 04/08/22 (c),(d) | 2,186,159 | 2,197,090 | ||||||||||
PIK DIP Delayed Draw Term Loan C, 3 mo. LIBOR, 0.15%, 04/08/22 (c),(d) | 1,401,155 | 1,471,212 | ||||||||||
|
| |||||||||||
3,668,302 | ||||||||||||
|
| |||||||||||
Iron & Steel — 0.1% | ||||||||||||
Samarco Mineracao S.A., Fixed Rate Term Loan, | 11,623,127 | 6,755,943 | ||||||||||
|
| |||||||||||
Total South America | 10,424,245 | |||||||||||
|
| |||||||||||
TOTAL BANK DEBT | 177,380,024 | |||||||||||
|
| |||||||||||
CORPORATE BONDS & NOTES — 6.7% | ||||||||||||
Africa — 0.3% | ||||||||||||
Banks — 0.1% | ||||||||||||
Access Bank PLC, 9.13%, 12/31/99 (c),(f) | 3,296,000 | 3,296,000 | ||||||||||
|
|
See Notes to Consolidated Financial Statements.
53
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Security Description | Principal Amount | Value | ||||||||||
Utilities — 0.2% | ||||||||||||
Eskom Holdings SOC Ltd., | ||||||||||||
6.75%, 08/06/23 (c),(e) | $ | 6,668,000 | $ | 6,874,321 | ||||||||
8.45%, 08/10/28 (k) | 3,660,000 | 4,044,300 | ||||||||||
|
| |||||||||||
10,918,621 | ||||||||||||
|
| |||||||||||
Total Africa | 14,214,621 | |||||||||||
|
| |||||||||||
Asia — 0.3% | ||||||||||||
Banks — 0.1% | ||||||||||||
Bangkok Bank PCL, 5 year CMT + 2.15%, | 6,000,000 | 5,932,639 | ||||||||||
Tinkoff Bank JSC Via TCS Finance Ltd., 5 year CMT + 5.15%, 6.00%, 12/31/49 (c),(e),(f) | 2,884,000 | 2,882,270 | ||||||||||
|
| |||||||||||
8,814,909 | ||||||||||||
|
| |||||||||||
Coal Operations — 0.1% | ||||||||||||
Suek Securities DAC, 3.38%, 09/15/26 (c),(e) | 4,120,000 | 4,107,063 | ||||||||||
|
| |||||||||||
Financial Services — 0.1% | ||||||||||||
Huarong Finance 2017 Co., Ltd., MTN, 5 year CMT + 6.98%, 4.00%, 12/31/99 (c),(f),(k) | 1,236,000 | 1,137,120 | ||||||||||
VTB Bank OJSC Via VTB Capital SA, | 3,232,000 | 3,376,897 | ||||||||||
|
| |||||||||||
4,514,017 | ||||||||||||
|
| |||||||||||
Real Estate — 0.0% | ||||||||||||
China Evergrande Group, | ||||||||||||
8.75%, 06/28/25 (c),(k) | 853,000 | 200,455 | ||||||||||
9.50%, 04/11/22 (c),(k) | 434,000 | 105,245 | ||||||||||
|
| |||||||||||
305,700 | ||||||||||||
|
| |||||||||||
Total Asia | 17,741,689 | |||||||||||
|
| |||||||||||
Europe — 0.8% | ||||||||||||
Aerospace & Defense — 0.1% | ||||||||||||
Rolls-Royce plc, | ||||||||||||
4.63%, 02/16/26 (c),(k) | 1,161,000 | EUR | 1,489,442 | |||||||||
5.75%, 10/15/27 (b),(c),(e) | $ | 1,848,000 | 2,042,040 | |||||||||
MTN, 1.63%, 05/09/28 (c),(k) | 1,422,000 | EUR | 1,585,405 | |||||||||
|
| |||||||||||
5,116,887 | ||||||||||||
|
| |||||||||||
Automobiles Manufacturing — 0.1% | ||||||||||||
Aston Martin Capital Holdings Ltd., | $ | 5,404,000 | 6,018,705 | |||||||||
Mclaren Finance plc, 7.50%, 08/01/26 (b),(c),(e) | 2,023,000 | 2,047,782 | ||||||||||
|
| |||||||||||
8,066,487 | ||||||||||||
|
|
See Notes to Consolidated Financial Statements.
54
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Security Description | Principal Amount | Value | ||||||||||
Banks — 0.1% | ||||||||||||
HSBC Bank plc, | ||||||||||||
0.00%, 02/10/22 (e),(i) | 43,600,000 | EGP | $ | 2,652,333 | ||||||||
MTN, 0.00%, 12/23/21 (e),(i) | 28,750,000 | EGP | 1,778,952 | |||||||||
|
| |||||||||||
4,431,285 | ||||||||||||
|
| |||||||||||
Food & Beverage — 0.1% | ||||||||||||
Forno d’Asolo SpA, 3 mo. EURIBOR + 5.50%, 5.50%, 04/30/27 (c),(e),(f) | 3,404,000 | EUR | 3,821,578 | |||||||||
|
| |||||||||||
Real Estate — 0.0% | ||||||||||||
Unique Pub Finance Co. plc (The), | 78,864 | GBP | 112,320 | |||||||||
|
| |||||||||||
Restaurants — 0.2% | ||||||||||||
Stonegate Pub Co. Financing 2019 plc, | 9,577,000 | GBP | 13,562,158 | |||||||||
|
| |||||||||||
Transportation & Logistics — 0.2% | ||||||||||||
Heathrow Finance plc, | ||||||||||||
4.38%, 03/01/27 (c),(k) | 4,573,000 | GBP | 6,257,660 | |||||||||
4.63%, 09/01/29 (c),(k) | 1,483,000 | GBP | 2,030,245 | |||||||||
|
| |||||||||||
8,287,905 | ||||||||||||
|
| |||||||||||
Total Europe | 43,398,620 | |||||||||||
|
| |||||||||||
Middle East — 0.0% | ||||||||||||
Integrated Oils — 0.0% | ||||||||||||
OQ SAOC, 5.13%, 05/06/28 (e) | $ | 725,000 | 733,323 | |||||||||
|
| |||||||||||
Utilities — 0.0% | ||||||||||||
Oryx Funding Ltd., 5.80%, 02/03/31 (e) | 917,000 | 969,574 | ||||||||||
|
| |||||||||||
Total Middle East | 1,702,897 | |||||||||||
|
| |||||||||||
North America — 4.7% | ||||||||||||
Banks — 0.1% | ||||||||||||
JPMorgan Chase Bank N.A., MTN, | 48,555,000 | EGP | 2,919,169 | |||||||||
|
| |||||||||||
Chemicals — 0.0% | ||||||||||||
LyondellBasell Industries NV, | ||||||||||||
0.00%, 08/15/49 (c),(l) | $ | 16,732,095 | 120,471 | |||||||||
1.00%, 08/15/15 (c),(l) | 980,468 | EUR | 10,222 | |||||||||
|
| |||||||||||
130,693 | ||||||||||||
|
|
See Notes to Consolidated Financial Statements.
55
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Consumer Finance — 0.2% | ||||||||||
Curo Group Holdings Corp., | $ | 5,783,000 | $ | 5,842,102 | ||||||
PHH Mortgage Corp., 7.88%, 03/15/26 (b),(c),(e) | 2,705,000 | 2,752,338 | ||||||||
|
| |||||||||
8,594,440 | ||||||||||
|
| |||||||||
Consumer Products — 0.1% | ||||||||||
Kronos Acquisition Holdings, Inc., | 4,285,000 | 4,107,601 | ||||||||
|
| |||||||||
Consumer Services — 0.2% | ||||||||||
TKC Holdings, Inc., | ||||||||||
6.88%, 05/15/28 (b),(c),(e) | 6,519,000 | 6,730,868 | ||||||||
10.50%, 05/15/29 (b),(c),(e) | 5,613,000 | 6,153,251 | ||||||||
|
| |||||||||
12,884,119 | ||||||||||
|
| |||||||||
Containers & Packaging — 0.1% | ||||||||||
Mauser Packaging Solutions Holding Co., | 8,445,000 | 8,393,528 | ||||||||
|
| |||||||||
Exploration & Production — 0.3% | ||||||||||
Par Petroleum LLC/Par Petroleum Finance Corp., 12.88%, 01/15/26 (b),(c),(e) | 340,000 | 379,950 | ||||||||
Par Petroleum LLC/Petroleum Finance Corp., | 14,235,000 | 14,230,730 | ||||||||
Tullow Oil plc, 10.25%, 05/15/26 (e) | 2,843,000 | 2,968,831 | ||||||||
|
| |||||||||
17,579,511 | ||||||||||
|
| |||||||||
Financial Services — 0.1% | ||||||||||
Citigroup Global Markets Holdings, Inc., | ||||||||||
0.00%, 03/31/22 (e),(i) | 64,631,628 | EGP | 3,874,033 | |||||||
MTN, 0.00%, 12/16/21 (b),(e),(i) | 62,079,797 | EGP | 3,851,001 | |||||||
MF Global Holdings Ltd., | $ | 436,000 | 119,900 | |||||||
|
| |||||||||
7,844,934 | ||||||||||
|
| |||||||||
Food & Beverage — 0.0% | ||||||||||
Cooke Omega Investments, Inc. / Alpha VesselCo Holdings, Inc., 8.50%, 12/15/22 (b),(c),(e) | 564,000 | 573,870 | ||||||||
|
| |||||||||
Health Care Facilities & Services — 0.3% | ||||||||||
BCPE Cycle Merger Sub II, Inc., | 3,694,000 | 3,924,875 | ||||||||
CAN Community Health, Inc., | 4,230,000 | 4,695,300 | ||||||||
Team Health Holdings, Inc., | 6,732,000 | 6,505,670 | ||||||||
|
| |||||||||
15,125,845 | ||||||||||
|
|
See Notes to Consolidated Financial Statements.
56
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Home Improvement — 0.1% | ||||||||||
Werner FinCo LP / Werner FinCo, Inc., | $ | 4,383,000 | $ | 4,566,538 | ||||||
|
| |||||||||
Industrial Other — 0.6% | ||||||||||
Brand Industrial Services, Inc., | 8,460,000 | 8,491,725 | ||||||||
IEA Energy Services LLC, 6.63%, 08/15/29 (b),(c),(e) | 3,561,000 | 3,527,883 | ||||||||
Michael Baker International LLC, | 20,814,000 | 20,970,105 | ||||||||
|
| |||||||||
32,989,713 | ||||||||||
|
| |||||||||
Integrated Oils — 0.5% | ||||||||||
Petroleos Mexicanos, | ||||||||||
3.50%, 01/30/23 | 2,372,000 | 2,401,650 | ||||||||
4.50%, 01/23/26 | 1,027,000 | 1,032,854 | ||||||||
5.95%, 01/28/31 | 1,712,000 | 1,659,613 | ||||||||
6.35%, 02/12/48 | 5,773,000 | 4,877,983 | ||||||||
6.38%, 01/23/45 | 2,673,000 | 2,272,344 | ||||||||
6.75%, 09/21/47 (c) | 5,699,000 | 4,970,468 | ||||||||
6.88%, 10/16/25 (c),(e) | 9,182,000 | 10,054,290 | ||||||||
6.95%, 01/28/60 | 1,976,000 | 1,726,826 | ||||||||
|
| |||||||||
28,996,028 | ||||||||||
|
| |||||||||
Internet Media — 0.1% | ||||||||||
Getty Images, Inc., 9.75%, 03/01/27 (b),(c),(e) | 3,162,000 | 3,367,530 | ||||||||
|
| |||||||||
Machinery Manufacturing — 0.1% | ||||||||||
Husky III Holding Ltd., PIK, | 4,110,000 | 4,366,875 | ||||||||
|
| |||||||||
Manufactured Goods — 0.1% | ||||||||||
FXI Holdings, Inc., 12.25%, 11/15/26 (b),(c),(e) | 4,730,000 | 5,368,550 | ||||||||
|
| |||||||||
Oil & Gas Services & Equipment — 0.2% | ||||||||||
CSI Compressco LP / CSI Compressco Finance, Inc., | ||||||||||
7.25%, 08/15/22 (b),(c) | 9,455,000 | 9,171,350 | ||||||||
7.50%, 04/01/25 (b),(c),(e) | 1,433,000 | 1,411,505 | ||||||||
|
| |||||||||
10,582,855 | ||||||||||
|
| |||||||||
Pharmaceuticals — 0.1% | ||||||||||
Endo Luxembourg Finance Co. I Sarl / Endo US, Inc., 6.13%, 04/01/29 (b),(c),(e) | 5,243,000 | 5,243,000 | ||||||||
|
|
See Notes to Consolidated Financial Statements.
57
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Pipeline — 0.4% | ||||||||||
Martin Midstream Partners LP / Martin Midstream Finance Corp., | ||||||||||
10.00%, 02/29/24 (b),(c),(e) | $ | 3,151,352 | $ | 3,230,136 | ||||||
11.50%, 02/28/25 (b),(c),(e) | 16,204,133 | 16,811,788 | ||||||||
|
| |||||||||
20,041,924 | ||||||||||
|
| |||||||||
Property & Casualty Insurance — 0.1% | ||||||||||
Highlands Holdings Bond Issuer Ltd. / Highlands Holdings Bond Co-Issuer, Inc., PIK, | 3,145,044 | 3,339,643 | ||||||||
|
| |||||||||
Publishing & Broadcasting — 0.0% | ||||||||||
Clear Channel Outdoor Holdings, Inc., | 1,550,000 | 1,612,000 | ||||||||
|
| |||||||||
Real Estate — 0.2% | ||||||||||
EPR Properties, 3.75%, 08/15/29 (b),(c) | 2,523,000 | 2,600,527 | ||||||||
Kennedy-Wilson, Inc., 4.75%, 03/01/29 (b),(c) | 1,000,000 | 1,017,500 | ||||||||
MGM Growth Properties Operating Partnership LP / MGP Finance Co-Issuer, Inc., | 1,000,000 | 1,065,000 | ||||||||
Park Intermediate Holdings LLC / PK Domestic Property LLC / PK Finance Co-Issuer, | 112,000 | 115,273 | ||||||||
Service Properties Trust, | ||||||||||
3.95%, 01/15/28 (b),(c) | 905,000 | 852,963 | ||||||||
4.38%, 02/15/30 (b),(c) | 5,605,000 | 5,325,927 | ||||||||
4.95%, 10/01/29 (b),(c) | 1,216,000 | 1,189,491 | ||||||||
5.50%, 12/15/27 (b),(c) | 134,000 | 142,805 | ||||||||
XHR LP, 4.88%, 06/01/29 (b),(c),(e) | 123,000 | 126,332 | ||||||||
|
| |||||||||
12,435,818 | ||||||||||
|
| |||||||||
Refining & Marketing — 0.1% | ||||||||||
Citgo Holding, Inc., 9.25%, 08/01/24 (b),(c),(e) | 3,727,000 | 3,754,952 | ||||||||
CITGO Petroleum Corp., | 567,000 | 578,340 | ||||||||
|
| |||||||||
4,333,292 | ||||||||||
|
| |||||||||
Restaurants — 0.1% | ||||||||||
GPS Hospitality Holding Co. LLC / GPS Finco, Inc., 7.00%, 08/15/28 (c),(e) | 2,771,000 | 2,750,217 | ||||||||
|
|
See Notes to Consolidated Financial Statements.
58
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Security Description | Principal Amount | Value | ||||||||||
Travel & Lodging — 0.3% | ||||||||||||
Viking Cruises Ltd., | ||||||||||||
5.88%, 09/15/27 (b),(c),(e) | $ | 7,967,000 | $ | 7,708,072 | ||||||||
6.25%, 05/15/25 (b),(c),(e) | 5,384,000 | 5,397,460 | ||||||||||
7.00%, 02/15/29 (b),(c),(e) | 1,477,000 | 1,493,616 | ||||||||||
13.00%, 05/15/25 (c),(e) | 1,791,000 | 2,061,889 | ||||||||||
|
| |||||||||||
16,661,037 | ||||||||||||
|
| |||||||||||
Utilities — 0.3% | ||||||||||||
Ferrellgas LP / Ferrellgas Finance Corp., | ||||||||||||
5.38%, 04/01/26 (b),(c),(e) | 3,094,000 | 3,024,060 | ||||||||||
5.88%, 04/01/29 (b),(c),(e) | 4,925,000 | 4,777,250 | ||||||||||
Pacific Gas and Electric Co., 3.15%, 01/01/26 (c) | 1,076 | 1,112 | ||||||||||
Rockpoint Gas Storage Canada Ltd., | 5,985,000 | 6,074,775 | ||||||||||
|
| |||||||||||
13,877,197 | ||||||||||||
|
| |||||||||||
Wireline Telecommunications Services — 0.0% | ||||||||||||
Switch Ltd., 3.75%, 09/15/28 (b),(c),(e) | 790,000 | 801,850 | ||||||||||
|
| |||||||||||
Total North America | 249,487,777 | |||||||||||
|
| |||||||||||
South America — 0.6% | ||||||||||||
Airlines — 0.2% | ||||||||||||
Azul Investments LLP, | ||||||||||||
5.88%, 10/26/24 (b),(c),(e),(k) | 3,995,000 | 3,765,327 | ||||||||||
7.25%, 06/15/26 (b),(c),(k) | 122,000 | 116,510 | ||||||||||
Latam Finance Ltd., | ||||||||||||
6.88%, 04/11/24 (b),(c),(e),(k),(l) | 3,202,000 | 2,901,845 | ||||||||||
7.00%, 03/01/26 (b),(c),(e),(k),(l) | 3,517,000 | 3,187,316 | ||||||||||
|
| |||||||||||
9,970,998 | ||||||||||||
|
| |||||||||||
Integrated Oils — 0.2% | ||||||||||||
Petrobras Global Finance BV, | ||||||||||||
5.30%, 01/27/25 (c) | 1,464,000 | 1,635,873 | ||||||||||
5.75%, 02/01/29 (c) | 11,452,000 | 12,785,013 | ||||||||||
|
| |||||||||||
14,420,886 | ||||||||||||
|
| |||||||||||
Metals & Mining — 0.1% | ||||||||||||
CSN Inova Ventures, 6.75%, 01/28/28 (e) | 1,972,000 | 2,102,941 | ||||||||||
Samarco Mineracao SA, 4.13%, 11/01/22 (c),(k),(l) | 1,600,000 | 1,048,000 | ||||||||||
|
| |||||||||||
3,150,941 | ||||||||||||
|
| |||||||||||
Refining & Marketing — 0.1% | ||||||||||||
MC Brazil Downstream Trading SARL, | 3,877,000 | 3,898,324 | ||||||||||
|
|
See Notes to Consolidated Financial Statements.
59
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Security Description | Principal Amount | Value | ||||||||||
Utilities — 0.0% | ||||||||||||
Alfa Desarrollo SpA, 4.55%, 09/27/51 (c),(e) | $ | 2,472,000 | $ | 2,411,436 | ||||||||
|
| |||||||||||
Total South America | 33,852,585 | |||||||||||
|
| |||||||||||
TOTAL CORPORATE BONDS & NOTES | 360,398,189 | |||||||||||
|
| |||||||||||
SOVEREIGN DEBT — 3.2% | ||||||||||||
Angolan Government International Bond, | ||||||||||||
9.38%, 05/08/48 (k) | 1,442,000 | 1,486,068 | ||||||||||
9.50%, 11/12/25 (c),(e) | 5,300,000 | 5,830,212 | ||||||||||
MTN, 8.00%, 11/26/29 (k) | 2,884,000 | 2,950,678 | ||||||||||
Argentine Republic Government International Bond, 1.13%, 07/09/35 (c) | 12,228,000 | 3,999,290 | ||||||||||
Bahamas Government International Bond, | 2,049,000 | 1,926,060 | ||||||||||
Bahrain Government International Bond, | 2,600,000 | 2,877,722 | ||||||||||
Banque Centrale de Tunisie International Bond, 5.75%, 01/30/25 (k) | 2,882,000 | 2,436,454 | ||||||||||
Egypt Government International Bond, | ||||||||||||
5.88%, 02/16/31 (e) | 1,584,000 | 1,455,332 | ||||||||||
7.50%, 01/31/27 (k) | 4,424,000 | 4,673,337 | ||||||||||
8.75%, 09/30/51 (c),(e) | 1,874,000 | 1,827,900 | ||||||||||
8.88%, 05/29/50 (k) | 2,237,000 | 2,212,760 | ||||||||||
MTN, 7.60%, 03/01/29 (k) | 2,517,000 | 2,606,681 | ||||||||||
French Republic Government Bond OAT, | 4,136,170 | EUR | 5,525,134 | |||||||||
Gabon Government International Bond, | $ | 6,500,000 | 6,907,290 | |||||||||
Ghana Government International Bond, | 900,000 | 694,098 | ||||||||||
Indonesia Government International Bond, | ||||||||||||
1.30%, 03/23/34 (c) | 4,120,000 | EUR | 4,657,864 | |||||||||
2.15%, 07/28/31 (c) | $ | 4,944,000 | 4,825,945 | |||||||||
Iraq International Bond, 5.80%, 01/15/28 (c),(e) | 6,562,563 | 6,321,388 | ||||||||||
Kingdom of Jordan, | ||||||||||||
4.95%, 07/07/25 (e) | 2,099,000 | 2,188,207 | ||||||||||
5.85%, 07/07/30 (e) | 1,404,000 | 1,453,884 | ||||||||||
Lebanon Government International Bond, MTN, 6.38%, 03/09/20 (c),(l) | 10,300,000 | 1,701,560 | ||||||||||
Nigeria Government International Bond, | ||||||||||||
6.38%, 07/12/23 (c),(e) | 1,704,000 | 1,797,720 | ||||||||||
7.38%, 09/28/33 (c),(e) | 4,024,000 | 4,056,192 | ||||||||||
7.63%, 11/21/25 (k) | 6,135,000 | 6,786,905 | ||||||||||
8.25%, 09/28/51 (c),(e) | �� | 11,379,000 | 11,458,653 |
See Notes to Consolidated Financial Statements.
60
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Security Description | Principal Amount | Value | ||||||||||
Oman Government International Bond, | ||||||||||||
6.25%, 01/25/31 (e) | $ | 1,367,000 | $ | 1,461,148 | ||||||||
6.75%, 01/17/48 (k) | 1,360,000 | 1,344,768 | ||||||||||
7.00%, 01/25/51 (e) | 911,000 | 924,007 | ||||||||||
Oman Sovereign Sukuk Co., 4.88%, 06/15/30 (b),(e) | 718,000 | 755,273 | ||||||||||
Pakistan Government International Bond, | ||||||||||||
8.25%, 04/15/24 (c),(e) | 1,667,000 | 1,779,116 | ||||||||||
8.88%, 04/08/51 (c),(e) | 2,205,000 | 2,216,025 | ||||||||||
Paraguay Government International Bond, | 7,644,000 | 7,949,760 | ||||||||||
Philippine Government International Bond, | 1,236,000 | 1,914,243 | ||||||||||
Republic of Ghana, 7.75%, 04/07/29 (e) | 1,203,000 | 1,145,497 | ||||||||||
Republic of Guatemala, | ||||||||||||
3.70%, 10/07/33 (c),(k) | 2,472,000 | 2,413,389 | ||||||||||
4.65%, 10/07/41 (c),(k) | 1,648,000 | 1,606,108 | ||||||||||
Republic of South Africa Government Bond, | ||||||||||||
8.00%, 01/31/30 | 43,585,155 | ZAR | 2,689,145 | |||||||||
8.25%, 03/31/32 | 45,590,000 | ZAR | 2,706,823 | |||||||||
8.88%, 02/28/35 | 45,293,552 | ZAR | 2,672,314 | |||||||||
Russian Federal Bond - OFZ, | ||||||||||||
6.10%, 07/18/35 | 459,286,000 | RUB | 5,621,882 | |||||||||
7.15%, 11/12/25 | 326,157,000 | RUB | 4,484,058 | |||||||||
7.40%, 07/17/24 | 380,731,000 | RUB | 5,269,403 | |||||||||
Saudi Government International Bond, | $ | 1,685,000 | 1,757,303 | |||||||||
Turkey Government International Bond, | ||||||||||||
5.25%, 03/13/30 (c) | 6,180,000 | 5,698,504 | ||||||||||
6.38%, 10/14/25 | 2,656,000 | 2,726,065 | ||||||||||
6.50%, 09/20/33 | 1,987,000 | 1,905,700 | ||||||||||
Ukraine Government International Bond, | ||||||||||||
1.26%, 05/31/40 (f),(k) | 2,867,000 | 3,127,278 | ||||||||||
6.88%, 05/21/29 (e),(k) | 5,492,000 | 5,565,757 | ||||||||||
7.38%, 09/25/32 (k) | 3,015,000 | 3,086,636 | ||||||||||
7.75%, 09/01/23 - 09/01/26 (c),(e) | 6,945,000 | 7,484,084 | ||||||||||
|
| |||||||||||
TOTAL SOVEREIGN DEBT | 170,961,620 | |||||||||||
|
| |||||||||||
MORTGAGE-BACKED SECURITIES — 5.0% | ||||||||||||
Europe — 0.0% | ||||||||||||
Commercial Mortgage-Backed Securities — 0.0% | ||||||||||||
Magnolia Finance XI DAC, | ||||||||||||
Series 2018-2MGN, Class A, 3 mo. EURIBOR + 3.25%, 3.25%, 02/16/25 (c),(f),(k) | 95,687 | EUR | 107,237 |
See Notes to Consolidated Financial Statements.
61
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Security Description | Principal Amount | Value | ||||||||||
Series 2018-2MGN, Class B, 3 mo. EURIBOR + 4.75%, 4.75%, 02/16/25 (c),(f),(k) | 95,727 | EUR | $ | 106,750 | ||||||||
|
| |||||||||||
213,987 | ||||||||||||
|
| |||||||||||
Total Europe | 213,987 | |||||||||||
|
| |||||||||||
North America — 5.0% | ||||||||||||
Collateralized Mortgage Obligation (Residential) — 1.1% |
| |||||||||||
Alternative Loan Trust, | ||||||||||||
Series 2004-2CB, Class M, | $ | 513,450 | 438,596 | |||||||||
Series 2004-4CB, Class M, | 275,317 | 243,918 | ||||||||||
Series 2005-46CB, Class A9, | 2,078,216 | 1,908,950 | ||||||||||
Series 2006-H, Class 5A1, 1 mo. USD LIBOR + .36%, 0.45%, 10/20/36 (c),(f),(h) | 4,440,553 | 2,148,837 | ||||||||||
Series 2006-OA17, Class 1A1D, 1 mo. USD LIBOR + .29%, 0.38%, 12/20/46 (b),(c),(f) | 315,343 | 262,683 | ||||||||||
Series 2006-OA19, Class A1, 1 mo. USD LIBOR + .18%, 0.27%, 02/20/47 (b),(c),(f) | 466,819 | 367,353 | ||||||||||
Series 2006-OA19, Class A4, 1 mo. USD LIBOR + .21%, 0.30%, 02/20/47 (b),(c),(f) | 446,762 | 355,970 | ||||||||||
Series 2006-OA2, Class A1, 1 mo. USD LIBOR + .42%, 0.51%, 05/20/46 (b),(c),(f) | 732,512 | 666,662 | ||||||||||
Series 2006-OA8, Class 2A4, 1 mo. USD LIBOR + .52%, 0.61%, 07/25/46 (b),(c),(f) | 331,868 | 249,717 | ||||||||||
Series 2006-OA9, Class 2A1A, 1 mo. USD LIBOR + ..21%, 0.30%, 07/20/46 (b),(c),(f) | 290,701 | 218,574 | ||||||||||
American Home Mortgage Investment Trust, Series 2005-2, Class 5A4C, 5.91%, 09/25/35 (c),(h) | 964,450 | 715,774 | ||||||||||
Banc of America Funding Trust, Series 2005-B, Class 3M2, 1 mo. USD LIBOR + 1.05%, | 1,531,157 | 1,361,221 | ||||||||||
Chase Mortgage Finance Trust, Series 2007-A1, Class 1M, 2.47%, 02/25/37 (b),(c),(f) | 269,504 | 232,233 | ||||||||||
CHL Mortgage Pass-Through Trust, Series 2005-3, Class 1A4, 1 mo. USD LIBOR + .72%, | 714,257 | 599,358 | ||||||||||
COLT Mortgage Loan Trust, Series 2021-HX1, Class B3A, 4.19%, 10/25/66 (c),(e),(f) | 100,000 | 100,014 | ||||||||||
Deutsche Alt-A Securities Mortgage Loan Trust, Series 2007-OA3, Class A2, 1 mo. USD LIBOR + .25%, 0.34%, 07/25/47 (b),(c),(f) | 239,645 | 221,048 |
See Notes to Consolidated Financial Statements.
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September 30, 2021 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Eagle RE Ltd., | ||||||||||
Series 2019-1, Class M2, 1 mo. USD LIBOR + 3.30%, 3.39%, 04/25/29 (b),(c),(e),(f) | $ | 8,674,000 | $ | 8,761,252 | ||||||
Series 2020-1, Class M2, 1 mo. USD LIBOR + 2.00%, 2.09%, 01/25/30 (c),(e),(f),(h) | 10,192,000 | 10,114,714 | ||||||||
Federal Home Loan Mortgage Corp., | ||||||||||
Series 2017-DNA2, Class M2AI, | 1,381,500 | 25,548 | ||||||||
Series 2017-DNA3, Class M2AI, | 1,935,200 | 23,085 | ||||||||
Series 2017-HQA1, Class M2AI, | 3,680,298 | 40,049 | ||||||||
Series 2017-HQA2, Class M2AI, | 6,984,890 | 76,477 | ||||||||
Series 2018-DNA1, Class M2AI, | 5,873,435 | 36,398 | ||||||||
Series 2018-HQA1, Class M2AI, | 2,007,015 | 13,341 | ||||||||
Federal National Mortgage Association, | ||||||||||
Series 2017-C01, Class 1X1, | 7,695,486 | 102,104 | ||||||||
Series 2017-C02, Class 2X3, | 7,981,815 | 146,794 | ||||||||
Series 2017-C02, Class 2X4, | 2,595,821 | 59,566 | ||||||||
Series 2017-C03, Class 1X2, | 11,775,876 | 153,169 | ||||||||
Series 2017-C04, Class 2X2, | 21,150,670 | 350,170 | ||||||||
Series 2017-C05, Class 1X3, | 9,101,618 | 51,342 | ||||||||
Series 2017-C06, Class 2X1, | 6,247,605 | 83,930 | ||||||||
Series 2017-C07, Class 1X3, | 2,489,555 | 19,023 | ||||||||
Series 2018-C01, Class 1X2, | 27,612,503 | 267,013 | ||||||||
Series 2018-C02, Class 2X2, | 2,546,155 | 23,628 | ||||||||
Series 2018-C03, Class 1X2, | 11,392,535 | 115,053 | ||||||||
Government National Mortgage Association, | 4,497,408 | 4,841,212 | ||||||||
HarborView Mortgage Loan Trust, | ||||||||||
Series 2004-10, Class B1, 1 mo. USD LIBOR + .90%, | 298,377 | 231,611 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Series 2006-4, Class 1A1A, 1 mo. USD LIBOR + .36%, | $ | 636,550 | $ | 360,055 | ||||||
Legacy Mortgage Asset Trust, | ||||||||||
Series 2020-GS4, Class A2, | 1,000,000 | 1,008,687 | ||||||||
Series 2021-GS3, Class A2, | 556,000 | 555,884 | ||||||||
LHOME Mortgage Trust, | ||||||||||
Series 2021-RTL1, Class M, | 1,884,000 | 1,884,912 | ||||||||
Series 2021-RTL2, Class M, | 684,000 | 683,615 | ||||||||
Mortgage Insurance-Linked Notes, | ||||||||||
Series 2019-1, Class M2, 1 mo. USD LIBOR + 2.90%, | 6,908,715 | 6,908,142 | ||||||||
Series 2020-1, Class M2B, 1 mo. USD LIBOR + 2.25%, | 1,425,000 | 1,417,956 | ||||||||
PMT Credit Risk Transfer Trust, Series 2019-2R, Class A, 1 mo. USD LIBOR + 2.75%, | 2,884,846 | 2,840,550 | ||||||||
Point Securitization Trust, Series 2021-1, Class A2, 5.56%, 02/25/52 (c),(e),(f),(g) | 1,000,000 | 999,943 | ||||||||
PRPM 2021-6 LLC, Series 2021-6, Class A2, | 100,000 | 99,661 | ||||||||
PRPM 2021-7 LLC, Series 2021-7, Class A2, | 207,000 | 206,859 | ||||||||
PRPM 2021-8 LLC, Series 2021-8, Class A2, | 129,000 | 128,917 | ||||||||
STACR Trust, | ||||||||||
Series 2018-DNA2, Class M2AI, | 7,780,200 | 79,249 | ||||||||
Series 2018-DNA3, Class M2AI, | 7,351,600 | 68,620 | ||||||||
Series 2018-HRP2, Class M3AI, | 1,358,000 | 27,599 | ||||||||
Series 2018-HRP2, Class B1, 1 mo. | 1,198,000 | 1,269,880 | ||||||||
UBS Commercial Mortgage Trust, | ||||||||||
Series 2018-C11, Class D, | 168,000 | 145,693 |
See Notes to Consolidated Financial Statements.
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September 30, 2021 (Unaudited)
Security Description | Principal Amount | Value | ||||||||||
Series 2019-C17, Class D, 2.50%, 10/15/52 (c),(e) | $ | 103,000 | $ | 90,480 | ||||||||
WaMu Mortgage Pass-Through Certificates Series, | ||||||||||||
Series 2005-AR19, Class B1, 1 mo. | 1,698,496 | 1,433,899 | ||||||||||
Series 2006-AR1, Class 2A1C, | 318,416 | 301,298 | ||||||||||
WaMu Mortgage Pass-Through Certificates Series 2005-AR17 Trust, Series 2005-AR17, | 282,614 | 244,218 | ||||||||||
WaMu Mortgage Pass-Through Certificates Series 2005-AR9 Trust, Series 2005-AR9, | 254,325 | 238,577 | ||||||||||
WaMu Mortgage Pass-Through Certificates Trust, Series 2006-AR17, Class 1A, 12 mo. MTA + ..82%, | 1,924,291 | 1,772,585 | ||||||||||
Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 2007-OA3, Class 2A, 12 mo. MTA + .75%, | 252,624 | 239,300 | ||||||||||
|
| |||||||||||
58,632,966 | ||||||||||||
|
| |||||||||||
Commercial Mortgage-Backed Securities — 3.2% | ||||||||||||
Arbor Multifamily Mortgage Securities Trust, Series 2021-MF3, Class E, 2.00%, 10/15/54 (c),(e) | 100,000 | 80,603 | ||||||||||
Ashford Hospitality Trust, Series 2018-KEYS, | 90,000 | 89,681 | ||||||||||
BAMLL Commercial Mortgage Securities Trust, | ||||||||||||
Series 2019-BPR, Class EMP, | 8,817,000 | 8,392,858 | ||||||||||
Series 2019-BPR, Class FMP, | 4,408,000 | 4,046,443 | ||||||||||
Bear Stearns Commercial Mortgage Securities Trust, Series 2007-PW18, Class B, | 6,394,787 | 5,966,336 | ||||||||||
Benchmark Mortgage Trust, Series 2018-B7, Class D, 3.00%, 05/15/53 (c),(e) | 290,000 | 259,618 | ||||||||||
BHMS Mortgage Trust, Series 2018-ATLS, Class E, 1 mo. USD LIBOR + 3.00%, | 1,067,000 | 1,063,103 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Security Description | Principal Amount | Value | ||||||||||
BX Commercial Mortgage Trust, | $ | 1,000,000 | $ | 992,254 | ||||||||
BX Trust, Series 2018-GW, Class F, 1 mo. USD LIBOR + 2.42%, | 106,000 | 105,602 | ||||||||||
CFCRE Commercial Mortgage Trust, | 3,158,000 | 1,944,381 | ||||||||||
Citigroup Commercial Mortgage Trust, | ||||||||||||
Series 2012-GC8, Class C, | 112,000 | 111,658 | ||||||||||
Series 2014-GC25, Class D, | 155,000 | 153,979 | ||||||||||
Series 2015-GC29, Class D, | 1,000,000 | 970,825 | ||||||||||
Series 2015-GC33, Class D, | 100,000 | 90,918 | ||||||||||
Series 2016-C3, Class D, | 1,826,000 | 1,425,023 | ||||||||||
Series 2016-GC37, Class D, | 100,000 | 91,073 | ||||||||||
Series 2018-C6, Class D, | 100,000 | 106,992 | ||||||||||
Series 2019-C7, Class E, | 697,000 | 600,889 | ||||||||||
COMM Mortgage Trust, | ||||||||||||
Series 2014-CR14, Class D, | 591,000 | 589,322 | ||||||||||
Series 2014-CR18, Class D, | 2,161,000 | 2,171,850 | ||||||||||
Series 2014-CR21, Class E, | 1,686,000 | 849,407 | ||||||||||
Series 2015-CR27, Class E, | 1,439,000 | 1,210,291 | ||||||||||
Series 2019-GC44, Class 180C, | 334,000 | 317,201 | ||||||||||
Series 2019-GC44, Class 180D, | 227,000 | 202,720 | ||||||||||
Commercial Mortgage Trust, | ||||||||||||
Series 2015-CR22, Class E, | 239,000 | 200,173 | ||||||||||
Series 2015-CR23, Class E, | 4,794,000 | 4,017,123 | ||||||||||
Series 2015-CR23, Class D, | 502,000 | 510,106 |
See Notes to Consolidated Financial Statements.
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September 30, 2021 (Unaudited)
Security Description | Principal Amount | Value | ||||||||||
Series 2015-CR25, Class D, | $ | 479,000 | $ | 442,126 | ||||||||
Series 2015-CR27, Class D, | 2,955,000 | 2,884,701 | ||||||||||
Series 2015-LC21, Class D, | 1,127,000 | 1,144,409 | ||||||||||
Series 2016-CD1, Class D, | 2,075,000 | 1,716,455 | ||||||||||
Crescent Capital Trust, Series 2021-MOON, | 1,000,000 | 1,000,417 | ||||||||||
CSAIL 2015-C4 Commercial Mortgage Trust, | 100,000 | 98,453 | ||||||||||
CSAIL Commercial Mortgage Trust, | ||||||||||||
Series 2015-C2, Class D, | 843,000 | 664,337 | ||||||||||
Series 2015-C3, Class D, | 3,139,000 | 1,797,316 | ||||||||||
Series 2015-C4, Class F, | 5,568,000 | 4,932,201 | ||||||||||
Series 2018-C14, Class D, | 100,000 | 102,353 | ||||||||||
Series 2018-CX11, Class D, | 604,000 | 498,509 | ||||||||||
Series 2019-C16, Class D, | 163,000 | 137,559 | ||||||||||
Series 2019-C17, Class D, | 1,409,000 | 1,175,936 | ||||||||||
DBWF 2018-GLKS Mortgage Trust, Series 2018-GLKS, Class D, 1 mo. USD LIBOR + 2.40%, 2.49%, 12/19/30 (b),(c),(e),(f) | 1,000,000 | 999,561 | ||||||||||
DBWF Mortgage Trust, Series 2018-GLKS, | 2,202,000 | 2,136,217 | ||||||||||
Federal Home Loan Mortgage Corp., | 100,000 | 17,154 | ||||||||||
FHLMC, Series 2021-MN1, Class M2, | 100,000 | 104,304 | ||||||||||
FREMF Mortgage Trust, | ||||||||||||
Series 2017-KGX1, Class CFX, | 1,000,000 | 962,780 | ||||||||||
Series 2017-KL1P, Class BP, | 1,000,000 | 1,023,465 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Security Description | Principal Amount | Value | ||||||||||
GS Mortgage Securities Corp., | ||||||||||||
Series 2013-GC10, Class E, | $ | 3,900,000 | $ | 3,247,425 | ||||||||
Series 2018-GS10, Class E, | 1,393,000 | 1,255,837 | ||||||||||
GS Mortgage Securities Corp. Trust, | ||||||||||||
Series 2021-ROSS, Class F, | 1,000,000 | 1,002,566 | ||||||||||
Series 2021-ROSS, Class G, | 1,000,000 | 1,002,572 | ||||||||||
Series 2021-ROSS, Class H, | 1,000,000 | 1,002,452 | ||||||||||
GS Mortgage Securities Trust, | ||||||||||||
Series 2012-GCJ9, Class D, | 215,000 | 214,953 | ||||||||||
Series 2014-GC20, Class D, | 1,199,911 | 703,201 | ||||||||||
Series 2014-GC20, Class C, | 1,453,000 | 1,427,128 | ||||||||||
Series 2014-GC24, Class B, | 100,000 | 103,888 | ||||||||||
Series 2014-GC24, Class C, | 303,000 | 262,910 | ||||||||||
Series 2016-GS2, Class D, | 1,415,000 | 1,305,371 | ||||||||||
Series 2016-GS4, Class D, | 200,000 | 167,290 | ||||||||||
Series 2017-GS8, Class D, | 1,593,000 | 1,491,483 | ||||||||||
Hilton USA Trust, | ||||||||||||
Series 2016-HHV, Class E, | 1,003,000 | 1,042,488 | ||||||||||
Series 2016-HHV, Class F, | 20,139,000 | 20,232,546 | ||||||||||
IMT Trust, Series 2017-APTS, Class FFX, | 625,000 | 624,834 | ||||||||||
JP Morgan Chase Commercial Mortgage Securities Corp., | ||||||||||||
Series 2019-MARG, Class E, 1 mo. USD LIBOR + 2.50%, | 3,258,000 | 3,250,777 | ||||||||||
Series 2020-NNNZ SEQ, Class M, 8.54%, 01/16/37 (b),(e) | 2,049,774 | 1,688,782 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2016-JP3, Class D, | $ | 100,000 | $ | 87,953 | ||||||
JPMBB Commercial Mortgage Securities Trust, | ||||||||||
Series 2014-C23, Class D, | 100,000 | 100,279 | ||||||||
Series 2015-C28, Class D, | 2,537,000 | 2,255,259 | ||||||||
Series 2015-C29, Class D, | 112,000 | 93,216 | ||||||||
Series 2015-C30, Class D, | 4,360,000 | 4,131,850 | ||||||||
Series 2015-C31, Class E, | 1,093,000 | 741,941 | ||||||||
Series 2016-C1, Class E, | 3,126,000 | 2,675,575 | ||||||||
KKR Industrial Portfolio Trust, | ||||||||||
Series 2020-AIP, Class F, 1 mo. | 4,828,742 | 4,830,234 | ||||||||
Series 2021-KDIP, Class G, 1 mo. | 1,000,000 | 1,005,507 | ||||||||
LB-UBS Commercial Mortgage Trust, | 5,200,821 | 2,805,843 | ||||||||
LSTAR Commercial Mortgage Trust, | ||||||||||
Series 2017-5, Class D, | 1,125,000 | 1,063,882 | ||||||||
Series 2017-5, Class C, | 967,000 | 972,892 | ||||||||
Morgan Stanley Bank of America Merrill Lynch Trust, | ||||||||||
Series 2014-C17, Class D, | 100,000 | 99,207 | ||||||||
Series 2015-C20, Class D, | 176,000 | 171,198 | ||||||||
Series 2015-C21, Class D, | 3,575,000 | 2,582,451 | ||||||||
Series 2015-C22, Class D, | 870,000 | 720,792 | ||||||||
Series 2016-C29, Class D, | 2,517,000 | 1,867,873 | ||||||||
Series 2016-C30, Class D, | 1,323,000 | 1,008,582 | ||||||||
Series 2016-C31, Class D, | 2,354,000 | 1,859,867 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Series 2016-C32, Class D, | $ | 991,000 | $ | 787,274 | ||||||
Morgan Stanley Capital I Trust, | ||||||||||
Series 2016-UB11, Class E, | 3,200,500 | 1,793,989 | ||||||||
Series 2016-UB12, Class D, | 1,761,000 | 1,009,354 | ||||||||
Series 2018-SUN, Class F, 1 mo. | 1,000,000 | 994,368 | ||||||||
Natixis Commercial Mortgage Securities Trust, | ||||||||||
Series 2018-RIVA, Class D, 1 mo. | 250,000 | 238,531 | ||||||||
Series 2019-MILE, Class D, 1 mo. | 102,000 | 101,976 | ||||||||
Series 2019-MILE, Class E, 1 mo. | 105,000 | 104,489 | ||||||||
New Orleans Hotel Trust, Series 2019-HNLA, | 1,301,000 | 1,263,224 | ||||||||
Prima Capital CRE Securitization Ltd., | ||||||||||
Series 2019-1S, Class C, | 1,000,000 | 1,065,715 | ||||||||
Series 2019-RK1, Class BD, | 100,000 | 100,565 | ||||||||
Series 2019-RK1, Class DD, | 1,648,000 | 1,641,677 | ||||||||
Series 2019-RK1, Class CG, | 339,000 | 325,853 | ||||||||
Series 2019-RK1, Class BT, | 1,173,000 | 1,151,188 | ||||||||
Series 2019-RK1, Class CT, | 121,000 | 115,864 | ||||||||
ReadyCap Commercial Mortgage Trust, | ||||||||||
Series 2019-6, Class C, | 1,691,000 | 1,708,015 | ||||||||
Series 2019-6, Class D, | 227,000 | 228,248 | ||||||||
SG Commercial Mortgage Securities Trust, | ||||||||||
Series 2016-C5, Class D, | 295,000 | 252,576 | ||||||||
Series 2019-PREZ, Class E, | 1,720,000 | 1,667,426 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
TPGI Trust 2021-DGWD, | ||||||||||
Series 2021-DGWD, Class F, 1 mo. | $ | 1,000,000 | $ | 998,675 | ||||||
Series 2021-DGWD, Class G, 1 mo. | 1,000,000 | 999,987 | ||||||||
UBS Commercial Mortgage Trust, | 331,000 | 332,173 | ||||||||
Wells Fargo Commercial Mortgage Trust, | ||||||||||
Series 2014-LC18, Class D, | 992,000 | 918,212 | ||||||||
Series 2015-C26, Class D, | 4,590,000 | 4,558,122 | ||||||||
Series 2015-C27, Class D, | 5,146,000 | 3,767,562 | ||||||||
Series 2015-C31, Class D, 3.85%, 11/15/48 (b),(c) | 2,058,000 | 1,892,778 | ||||||||
Series 2015-NXS4, Class D, | 100,000 | 100,528 | ||||||||
Series 2016-LC24, Class D, | 4,253,000 | 3,918,191 | ||||||||
Series 2019-JWDR, Class D, | 100,000 | 98,467 | ||||||||
Series 2019-JWDR, Class E, | 1,983,000 | 1,944,026 | ||||||||
Series 2019-JWDR, Class F, | 2,300,000 | 2,222,984 | ||||||||
Series 2019-JWDR, Class G, | 2,074,000 | 1,990,281 | ||||||||
WFRBS Commercial Mortgage Trust, | ||||||||||
Series 2014-C19, Class D, | 379,000 | 376,164 | ||||||||
Series 2014-C22, Class D, | 4,703,000 | 4,449,565 | ||||||||
Worldwide Plaza Trust, Series 2017-WWP, Class F, | 129,000 | 118,099 | ||||||||
|
| |||||||||
170,735,732 | ||||||||||
|
| |||||||||
Interest Only Commercial Mortgage-Backed Securities — 0.7% |
| |||||||||
CFK Trust, Series 2020-MF2, Class X, | 19,612,000 | 777,165 | ||||||||
Citigroup Commercial Mortgage Trust, | ||||||||||
Series 2019-C7, Class XD, | 5,347,000 | 465,574 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Series 2019-GC43, Class XD, | $ | 5,918,000 | $ | 270,701 | ||||||
Commercial Mortgage Trust, | 16,007,590 | 392,874 | ||||||||
CSAIL Commercial Mortgage Trust, | ||||||||||
Series 2015-C2, Class XA, | 36,288,647 | 797,443 | ||||||||
Series 2015-C3, Class XA, | 95,407,405 | 2,053,835 | ||||||||
Series 2019-C18, Class XD, | 4,452,333 | 453,132 | ||||||||
DC Office Trust, Series 2019-MTC, Class X, | 64,579,000 | 639,461 | ||||||||
Federal Home Loan Mortgage Corp., | ||||||||||
Series K-1514, Class X3, | 13,043,739 | 3,516,422 | ||||||||
Series K049, Class X3, | 2,177,000 | 111,247 | ||||||||
Series K061, Class X1, | 17,427,073 | 150,762 | ||||||||
Series K071, Class X1, | 88,746,801 | 1,388,532 | ||||||||
Series K089, Class X3, 2.37%, 01/25/46 (b),(c),(f) | 7,963,000 | 1,164,183 | ||||||||
Series K095, Class X3, | 9,297,000 | 1,284,585 | ||||||||
Series K102, Class X3, 1.96%, 12/25/46 (b),(c),(f) | 20,880,337 | 2,634,639 | ||||||||
Series K105, Class X3, 2.04%, 03/25/53 (b),(c),(f) | 8,413,000 | 1,198,617 | ||||||||
Series K154, Class X1, | 32,311,285 | 818,477 | ||||||||
Series K725, Class X1, | 136,918,180 | 1,832,787 | ||||||||
Series KG01, Class X3, | 9,477,000 | 1,927,366 | ||||||||
Series KLU1, Class X3, | 24,847,185 | 3,753,615 | ||||||||
Series KLU2, Class X1, | 63,516,627 | 3,981,730 | ||||||||
Series KLU2, Class X3, | 9,433,732 | 1,971,527 | ||||||||
Series KS11, Class XFX, | 25,265,000 | 2,460,483 | ||||||||
Series KW08, Class X3, | 6,701,000 | 1,222,115 | ||||||||
Series KW09, Class X3, | 6,749,000 | 1,267,314 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Security Description | Principal Amount | Value | ||||||||||
Series KW10, Class X3, | $ | 5,935,000 | $ | 1,020,642 | ||||||||
GS Mortgage Securities Corp. Trust, | 15,243,000 | 152 | ||||||||||
GS Mortgage Securities Trust, | 2,219,000 | 187,576 | ||||||||||
JPMDB Commercial Mortgage Securities Trust, | 4,231,000 | 419,588 | ||||||||||
MFT Trust, Series 2020-ABC, Class XA, | 20,401,000 | 230,919 | ||||||||||
Wells Fargo Commercial Mortgage Trust, | 100,000 | 101,253 | ||||||||||
|
| |||||||||||
38,494,716 | ||||||||||||
|
| |||||||||||
Total North America |
| 267,863,414 | ||||||||||
|
| |||||||||||
TOTAL MORTGAGE-BACKED SECURITIES |
| 268,077,401 | ||||||||||
|
| |||||||||||
U.S. GOVERNMENT SPONSORED AGENCY SECURITIES — 0.2% |
| |||||||||||
North America — 0.2% | ||||||||||||
Inverse Interest Only Collateralized Mortgage Obligations — 0.2% |
| |||||||||||
Government National Mortgage Association, | ||||||||||||
Series 2015-151, Class SC, 1 mo. USD LIBOR + 6.15%, 6.06%, 10/20/45 (c),(f),(g) | 4,351,964 | 862,037 | ||||||||||
Series 2015-161, Class AS, 1 mo. USD LIBOR + 6.20%, 6.11%, 11/20/45 (c),(f),(g) | 4,942,851 | 1,036,333 | ||||||||||
Series 2017-114, Class SP, 1 mo. USD LIBOR + 6.20%, 6.11%, 07/20/47 (c),(f),(g) | 3,700,100 | 657,996 | ||||||||||
Series 2017-117, Class SA, 1 mo. USD LIBOR + 6.20%, 6.11%, 08/20/47 (c),(f),(g) | 4,932,637 | 1,045,172 | ||||||||||
Series 2017-156, Class SB, 1 mo. USD LIBOR + 6.20%, 6.11%, 10/20/47 (c),(f),(g) | 4,842,113 | 943,142 | ||||||||||
Series 2017-56, Class AS, 1 mo. USD LIBOR + 6.15%, 6.06%, 04/20/47 (c),(f),(g) | 4,151,116 | 793,166 | ||||||||||
Series 2017-73, Class SM, 1 mo. USD LIBOR + 6.20%, 6.11%, 05/20/47 (c),(f),(g) | 4,227,857 | 847,537 | ||||||||||
Series 2018-48, Class SA, 1 mo. USD LIBOR + 6.20%, 6.11%, 04/20/48 (c),(f),(g) | 6,186,643 | 1,269,753 | ||||||||||
Series 2018-65, Class PS, 1 mo. USD LIBOR + 6.15%, 6.06%, 05/20/48 (c),(f),(g) | 3,876,258 | 620,891 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Security Description | Principal Amount | Value | ||||||||||
Series 2018-93, Class SA, 1 mo. USD LIBOR + 6.20%, 6.11%, 07/20/48 (c),(f),(g) | $ | 3,176,100 | $ | 494,871 | ||||||||
|
| |||||||||||
8,570,898 | ||||||||||||
|
| |||||||||||
Total North America |
| 8,570,898 | ||||||||||
|
| |||||||||||
TOTAL U.S. GOVERNMENT SPONSORED AGENCY SECURITIES |
| 8,570,898 | ||||||||||
|
| |||||||||||
MUNICIPALS — 0.5% | ||||||||||||
North America — 0.5% | ||||||||||||
California Housing Finance, Rev., Series 2019 X, (SER X), 0.29%, 01/15/35 (b),(c),(f) | 15,045,911 | 309,473 | ||||||||||
Puerto Rico, | ||||||||||||
GO, (REF-PUB IMPT-SER A-PSA),, 5.00%, 07/01/41 (b),(l) | 5,505,000 | 4,816,875 | ||||||||||
GO, (REF-PUB IMPT-SER A-PSA),, 5.50%, 07/01/39 (b),(l) | 3,740,000 | 3,431,450 | ||||||||||
GO, (REF-PUB IMPT-SER A-PSA),, 8.00%, 07/01/35 (b),(l) | 24,010,000 | 20,708,625 | ||||||||||
|
| |||||||||||
Total North America | 29,266,423 | |||||||||||
|
| |||||||||||
TOTAL MUNICIPALS | 29,266,423 | |||||||||||
|
| |||||||||||
U.S. TREASURY NOTES — 2.8% | ||||||||||||
North America — 2.8% | ||||||||||||
U.S. Treasury Notes, | ||||||||||||
0.25%, 05/15/24 - 06/15/24 | 100,000,000 | 99,482,422 | ||||||||||
0.38%, 04/15/24 | 50,000,000 | 49,943,359 | ||||||||||
|
| |||||||||||
Total North America | 149,425,781 | |||||||||||
|
| |||||||||||
TOTAL U.S. TREASURY NOTES |
| 149,425,781 | ||||||||||
|
| |||||||||||
Security Description | Shares | Value | ||||||||||
EXCHANGE-TRADED FUNDS — 0.1% | ||||||||||||
Invesco Emerging Markets Sovereign Debt ETF (c) | 4,662 | 124,336 | ||||||||||
SPDR Dow Jones International Real Estate ETF (b),(c) | 100,850 | 3,580,175 | ||||||||||
Vanguard Emerging Markets Government Bond ETF (c) | 1,375 | 107,662 | ||||||||||
Vanguard Real Estate ETF (b),(c) | 21,412 | 2,179,313 | ||||||||||
|
| |||||||||||
TOTAL EXCHANGE-TRADED FUNDS | 5,991,486 | |||||||||||
|
|
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Security Description | Shares | Value | ||||||||||
WARRANTS — 0.1% | ||||||||||||
26 Capital Acquisition Corp., A Shares (a),(b),(c) | 263,850 | $ | 218,995 | |||||||||
7GC & Co. Holdings, Inc., A Shares (a),(c) | 218,469 | 120,158 | ||||||||||
Alpha Capital Acquisition Co., A Shares (a),(b),(c) | 208,976 | 114,937 | ||||||||||
Apollo Strategic Growth Capital (a),(c) | 146,333 | 119,261 | ||||||||||
Athlon Acquisition Corp. (a),(b),(c) | 232,500 | 162,750 | ||||||||||
Austerlitz Acquisition Corp. II, A Shares (a),(b),(c) | 116,250 | 122,063 | ||||||||||
Authentic Equity Acquisition Corp. (a),(c) | 275,000 | 187,000 | ||||||||||
Biotech Acquisition Co., A Shares (a),(b),(c) | 232,500 | 153,380 | ||||||||||
Capstar Special Purpose Acquisition Corp. (a),(b),(c) | 268,650 | 233,725 | ||||||||||
Cartesian Growth Corp., A Shares (a),(c) | 108,117 | 114,604 | ||||||||||
CC Neuberger Principal Holdings II, A Shares (a),(b),(c) | 130,450 | 131,754 | ||||||||||
CHP Merger Corp., Class A (a),(b),(c) | 291,000 | 160,050 | ||||||||||
Compute Health Acquisition Corp., A Shares (a),(b),(c) | 116,250 | 112,216 | ||||||||||
E.Merge Technology Acquisition Corp. (a),(b),(c) | 213,333 | 149,120 | ||||||||||
ECP Environmental Growth Opportunities Corp. (a),(c) | 75,000 | 62,010 | ||||||||||
Executive Network Partnering Corp. (a),(b),(c) | 116,250 | 94,163 | ||||||||||
Global Synergy Acquisition Corp. (a),(b),(c) | 254,650 | 143,826 | ||||||||||
GO Acquisition Corp., A Shares (a),(b),(c) | 188,000 | 138,255 | ||||||||||
HIG Acquisition Corp., A Shares (a),(b),(c) | 155,000 | 106,392 | ||||||||||
Hudson Executive Investment Corp. II (a),(b),(c) | 126,112 | 114,775 | ||||||||||
Isleworth Healthcare Acquisition (a),(b),(c) | 114,434 | 62,939 | ||||||||||
Jaws Mustang Acquisition Corp., C Shares (a),(b),(c) | 132,975 | 152,921 | ||||||||||
Marlin Technology Corp. (a),(b),(c) | 206,666 | 165,333 | ||||||||||
McLaren Racing Ltd. (c),(d) | 22,935 | 231,028 | ||||||||||
Moringa Acquisition Corp. (a),(b),(c) | 150,000 | 90,000 | ||||||||||
NightDragon Acquisition Corp. (a),(b),(c) | 93,000 | 79,162 | ||||||||||
Noble Rock Acquisition Corp., A Shares (a),(b),(c) | 200,000 | 136,000 | ||||||||||
North Mountain Merger Corp. (a),(b),(c) | 232,500 | 209,250 | ||||||||||
Northern Genesis Acquisition Corp. III (a),(b),(c) | 116,250 | 106,950 | ||||||||||
OCA Acquisition Corp., A Shares (a),(b),(c) | 233,750 | 123,607 | ||||||||||
Pathfinder Acquisition Corp., A Shares (a),(c) | 71,467 | 67,879 | ||||||||||
Poema Global Holdings Corp., A Shares (a),(b),(c) | 232,500 | 206,925 | ||||||||||
Powered Brands, A Shares (b),(c) | 155,000 | 93,000 | ||||||||||
RedBall Acquisition Corp. (b),(c) | 181,700 | 146,178 | ||||||||||
ScION Tech Growth I, A Shares (a),(b),(c) | 155,000 | 119,459 | ||||||||||
SCVX Corp., Class A (a),(b),(c) | 168,443 | 134,754 | ||||||||||
Senior Connect Acquisition Corp. I, A Shares (a),(c) | 155,000 | 110,050 | ||||||||||
Spartan Acquisition Corp. III, A Shares (a),(c) | 61,275 | 67,403 | ||||||||||
Tekkorp Digital Acquisition Corp. (c) | 211,500 | 188,235 | ||||||||||
Trebia Acquisition Corp. (b),(c) | 159,050 | 230,622 | ||||||||||
Trepont Acquisition Corp. I (a),(b),(c) | 232,500 | 148,823 | ||||||||||
Vy Global Growth, A Shares (a),(c) | 51,052 | 68,747 | ||||||||||
Yucaipa Acquisition Corp. (a),(b),(c) | 115,630 | 122,568 | ||||||||||
|
| |||||||||||
TOTAL WARRANTS | 5,821,267 | |||||||||||
|
|
See Notes to Consolidated Financial Statements.
75
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Security Description | Shares | Value | ||||||||||
INVESTMENTS IN INVESTEE FUNDS — 14.7% |
| |||||||||||
North America — 14.7% | ||||||||||||
Aeolus Property Catastrophe Keystone PF Fund LP | 4 | $ | 115,546,828 | |||||||||
Asgard Fixed Income Risk Premia Fund | 250,000 | 245,932,551 | ||||||||||
Atreides Co. | 1 | 3,000,000 | ||||||||||
Atreides Foundation Fund Ltd. | 1 | 97,226,633 | ||||||||||
Islet Offshore Fund Ltd. | 1 | 173,186,425 | ||||||||||
Islet Onshore Fund LP | 1 | 23,890,375 | ||||||||||
PIMCO ILS Fund SP II | 1 | 19,628,572 | ||||||||||
Rokos Global Macro Fund Ltd., Class S | 1 | 74,659,200 | ||||||||||
Saba Capital Carry Neutral Tail Hedge Offshore Fund Ltd. | 1 | 19,992,807 | ||||||||||
Saba Capital Carry Neutral Tail Hedge Partners, L.P. | 1 | 10,773,128 | ||||||||||
|
| |||||||||||
Total North America | 783,836,519 | |||||||||||
|
| |||||||||||
TOTAL INVESTMENTS IN INVESTEE FUNDS |
| 783,836,519 | ||||||||||
|
| |||||||||||
TOTAL LONG-TERM INVESTMENTS | 3,037,628,507 | |||||||||||
|
| |||||||||||
Security Description | Certificates | Value | ||||||||||
COMMODITIES — 7.9% | ||||||||||||
California Carbon Allowance Vintage Specific 2017 (a),(c) | 1,640,876 | 44,828,732 | ||||||||||
California Carbon Allowance Vintage Specific 2020 (a),(c) | 9,527,124 | 260,281,028 | ||||||||||
California Carbon Allowance Vintage Specific 2022 (a),(c) | 1,161,000 | 31,706,910 | ||||||||||
California Carbon Allowance Vintage Specific 2023 (a),(c) | 525,000 | 14,469,000 | ||||||||||
California Carbon Allowance Vintage Specific 2024 (a),(c) | 2,482,000 | 69,049,240 | ||||||||||
|
| |||||||||||
TOTAL COMMODITIES | 420,334,910 | |||||||||||
|
|
See Notes to Consolidated Financial Statements.
76
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Strike | Expiration Date | Contracts | Notional Amount | Premium Paid | Market Value | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
PURCHASED OPTIONS — 2.8% |
| |||||||||||||||||||||||
Exchange-Traded Call Options — 2.7% |
| |||||||||||||||||||||||
CALL Russell 2000 INDEX 2335.03 EURO 12/31/2021 | 2,335.03 USD | 12/31/21 | 16,600 | 16,600 | $ | 1,318,040 | $ | 772,019 | $ | (546,021 | ) | |||||||||||||
Cap Call | 0.01 USD | 03/31/22 | 800,000,000 | 800,000,000 | 1,700,000 | 323,488 | (1,376,512 | ) | ||||||||||||||||
Cap Call | 0.01 USD | 04/05/22 | 800,000,000 | 800,000,000 | 1,680,000 | 447,720 | (1,232,280 | ) | ||||||||||||||||
CRUDE OIL FUT OPT DEC21 | 70.00 USD | 11/16/21 | 125 | 9,337,500 | 62,690 | 817,500 | 754,810 | |||||||||||||||||
CRUDE OIL FUT OPT DEC21 | 75.00 USD | 11/16/21 | 240 | 17,928,000 | 901,395 | 844,800 | (56,595 | ) | ||||||||||||||||
CRUDE OIL FUT OPT DEC22 | 80.00 USD | 11/16/22 | 300 | 20,310,000 | 435,456 | 1,410,000 | 974,544 | |||||||||||||||||
CRUDE OIL FUT OPT DEC22 | 98.00 USD | 11/16/22 | 13,499 | 913,882,300 | 7,025,128 | 23,353,270 | 16,328,142 | |||||||||||||||||
CRUDE OIL FUT OPT NOV21 | 80.00 USD | 10/15/21 | 300 | 22,509,000 | 57,456 | 165,000 | 107,544 | |||||||||||||||||
NAT GAS CAL STRIP DEC21 | 4.00 USD | 12/29/21 | 300 | 9,000,000 | 198,000 | 5,138,100 | 4,940,100 | |||||||||||||||||
NAT GAS EURO OPT APR22 | 2.50 USD | 03/28/22 | 307 | 12,267,720 | 977,175 | 4,724,423 | 3,747,248 | |||||||||||||||||
NAT GAS EURO OPT APR22 | 3.00 USD | 03/28/22 | 57 | 2,277,720 | 62,852 | 647,007 | 584,155 | |||||||||||||||||
NAT GAS EURO OPT APR22 | 5.00 USD | 03/28/22 | 183 | 7,312,680 | 147,779 | 607,194 | 459,415 | |||||||||||||||||
NAT GAS EURO OPT APR23 | 4.00 USD | 03/28/23 | 21 | 673,470 | 16,856 | 51,576 | 34,720 | |||||||||||||||||
NAT GAS EURO OPT APR24 | 3.50 USD | 03/25/24 | 225 | 2,250,000 | 276,226 | 694,125 | 417,899 | |||||||||||||||||
NAT GAS EURO OPT AUG22 | 3.00 USD | 07/26/22 | 75 | 2,927,250 | 82,700 | 769,725 | 687,025 | |||||||||||||||||
NAT GAS EURO OPT AUG22 | 5.00 USD | 07/26/22 | 183 | 1,830,000 | 147,779 | 369,477 | 221,698 | |||||||||||||||||
NAT GAS EURO OPT AUG23 | 4.00 USD | 07/26/23 | 21 | 679,980 | 16,856 | 47,229 | 30,373 | |||||||||||||||||
NAT GAS EURO OPT AUG24 | 3.50 USD | 07/26/24 | 225 | 2,250,000 | 276,226 | 603,900 | 327,674 | |||||||||||||||||
NAT GAS EURO OPT DEC21 | 5.00 USD | 11/24/21 | 22 | 1,318,020 | 45,159 | 314,666 | 269,507 | |||||||||||||||||
NAT GAS EURO OPT DEC21 | 8.00 USD | 11/24/21 | 794 | 7,940,000 | 1,035,610 | 3,715,920 | 2,680,310 | |||||||||||||||||
NAT GAS EURO OPT DEC23 | 4.00 USD | 11/27/23 | 21 | 752,430 | 16,856 | 102,774 | 85,918 | |||||||||||||||||
NAT GAS EURO OPT FEB22 | 3.00 USD | 01/26/22 | 43 | 2,558,930 | 175,985 | 1,290,774 | 1,114,789 | |||||||||||||||||
NAT GAS EURO OPT FEB22 | 3.25 USD | 01/26/22 | 354 | 21,066,540 | 1,386,195 | 9,867,042 | 8,480,847 |
See Notes to Consolidated Financial Statements.
77
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Strike | Expiration Date | Contracts | Notional Amount | Premium Paid | Market Value | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
NAT GAS EURO OPT FEB22 | 8.00 USD | 01/26/22 | 301 | 3,010,000 | $ | 250,634 | $ | 3,121,671 | $ | 2,871,037 | ||||||||||||||
NAT GAS EURO OPT FEB23 | 4.00 USD | 01/26/23 | 21 | 868,770 | 16,856 | 181,041 | 164,185 | |||||||||||||||||
NAT GAS EURO OPT JAN22 | 3.50 USD | 12/28/21 | 696 | 42,268,080 | 2,637,621 | 18,422,424 | 15,784,803 | |||||||||||||||||
NAT GAS EURO OPT JAN22 | 4.00 USD | 12/28/21 | 150 | 9,109,500 | 472,840 | 3,395,550 | 2,922,710 | |||||||||||||||||
NAT GAS EURO OPT JAN22 | 8.00 USD | 12/28/21 | 301 | 3,010,000 | 250,634 | 2,499,203 | 2,248,569 | |||||||||||||||||
NAT GAS EURO OPT JAN23 | 4.00 USD | 12/27/22 | 21 | 887,040 | 16,856 | 181,734 | 164,878 | |||||||||||||||||
NAT GAS EURO OPT JUL22 | 3.00 USD | 06/27/22 | 75 | 2,922,000 | 82,700 | 762,750 | 680,050 | |||||||||||||||||
NAT GAS EURO OPT JUL22 | 5.00 USD | 06/27/22 | 183 | 7,129,680 | 147,779 | 359,229 | 211,450 | |||||||||||||||||
NAT GAS EURO OPT JUL23 | 4.00 USD | 06/27/23 | 21 | 677,250 | 16,856 | 45,360 | 28,504 | |||||||||||||||||
NAT GAS EURO OPT JUL24 | 3.50 USD | 06/25/24 | 225 | 2,250,000 | 276,226 | 594,675 | 318,449 | |||||||||||||||||
NAT GAS EURO OPT JUN22 | 3.00 USD | 05/25/22 | 75 | 2,891,250 | 82,700 | 731,625 | 648,925 | |||||||||||||||||
NAT GAS EURO OPT JUN22 | 5.00 USD | 05/25/22 | 183 | 7,054,650 | 147,779 | 316,956 | 169,177 | |||||||||||||||||
NAT GAS EURO OPT JUN23 | 4.00 USD | 05/25/23 | 21 | 666,750 | 16,856 | 42,105 | 25,249 | |||||||||||||||||
NAT GAS EURO OPT JUN24 | 3.50 USD | 05/28/24 | 225 | 2,250,000 | 276,226 | 573,525 | 297,299 | |||||||||||||||||
NAT GAS EURO OPT MAR22 | 25.00 USD | 02/23/22 | 493 | 4,930,000 | 423,491 | 936,700 | 513,209 | |||||||||||||||||
NAT GAS EURO OPT MAR22 | 3.75 USD | 02/23/22 | 129 | 7,116,930 | 316,394 | 2,771,565 | 2,455,171 | |||||||||||||||||
NAT GAS EURO OPT MAR22 | 8.00 USD | 02/23/22 | 301 | 11,748,030 | 250,634 | 3,037,692 | 2,787,058 | |||||||||||||||||
NAT GAS EURO OPT MAR23 | 4.00 USD | 02/23/23 | 21 | 802,830 | 16,856 | 154,938 | 138,082 | |||||||||||||||||
NAT GAS EURO OPT MAY22 | 3.00 USD | 04/26/22 | 75 | 2,868,000 | 82,700 | 723,450 | 640,750 | |||||||||||||||||
NAT GAS EURO OPT MAY22 | 5.00 USD | 04/26/22 | 183 | 6,997,920 | 147,779 | 391,071 | 243,292 | |||||||||||||||||
NAT GAS EURO OPT MAY23 | 4.00 USD | 04/25/23 | 21 | 657,510 | 16,856 | 41,118 | 24,262 | |||||||||||||||||
NAT GAS EURO OPT MAY24 | 3.50 USD | 04/25/24 | 225 | 2,250,000 | 276,226 | 582,075 | 305,849 | |||||||||||||||||
NAT GAS EURO OPT NOV21 | 3.75 USD | 10/26/21 | 257 | 15,078,190 | 251,261 | 5,458,680 | 5,207,419 | |||||||||||||||||
NAT GAS EURO OPT NOV21 | 4.00 USD | 10/26/21 | 536 | 31,447,120 | 1,115,531 | 10,083,768 | 8,968,237 | |||||||||||||||||
NAT GAS EURO OPT NOV21 | 6.00 USD | 10/26/21 | 343 | 3,430,000 | 629,476 | 1,866,949 | 1,237,473 |
See Notes to Consolidated Financial Statements.
78
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Strike | Expiration Date | Contracts | Notional Amount | Premium Paid | Market Value | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
NAT GAS EURO OPT NOV21 | 8.00 USD | 10/26/21 | 301 | 17,659,670 | $ | 250,634 | $ | 428,022 | $ | 177,388 | ||||||||||||||
NAT GAS EURO OPT NOV23 | 4.00 USD | 10/26/23 | 21 | 709,590 | 16,856 | 71,841 | 54,985 | |||||||||||||||||
NAT GAS EURO OPT OCT22 | 3.00 USD | 09/27/22 | 75 | 2,934,750 | 82,700 | 798,825 | 716,125 | |||||||||||||||||
NAT GAS EURO OPT OCT22 | 5.00 USD | 09/27/22 | 183 | 1,830,000 | 147,779 | 453,108 | 305,329 | |||||||||||||||||
NAT GAS EURO OPT OCT23 | 4.00 USD | 09/26/23 | 21 | 686,700 | 16,856 | 55,062 | 38,206 | |||||||||||||||||
NAT GAS EURO OPT OCT24 | 3.50 USD | 09/25/24 | 225 | 2,250,000 | 276,226 | 651,600 | 375,374 | |||||||||||||||||
NAT GAS EURO OPT SEP22 | 3.00 USD | 08/26/22 | 75 | 2,913,000 | 82,700 | 768,525 | 685,825 | |||||||||||||||||
NAT GAS EURO OPT SEP22 | 5.00 USD | 08/26/22 | 183 | 1,830,000 | 147,779 | 396,195 | 248,416 | |||||||||||||||||
NAT GAS EURO OPT SEP23 | 4.00 USD | 08/28/23 | 21 | 679,140 | 16,856 | 48,951 | 32,095 | |||||||||||||||||
NAT GAS EURO OPT SEP24 | 3.50 USD | 08/27/24 | �� | 225 | 2,250,000 | 276,226 | 607,275 | 331,049 | ||||||||||||||||
NAT GAS STRIP DEC22 | 3.00 USD | 12/22/22 | 410 | 12,300,000 | 1,350,375 | 8,911,350 | 7,560,975 | |||||||||||||||||
NATURAL GAS FUTURE APR23 | 3.00 USD | 03/28/23 | 139 | 4,457,730 | 272,349 | 777,149 | 504,800 | |||||||||||||||||
NATURAL GAS FUTURE AUG23 | 3.00 USD | 07/26/23 | 139 | 4,500,820 | 272,349 | 752,963 | 480,614 | |||||||||||||||||
NATURAL GAS FUTURE DEC23 | 3.00 USD | 11/27/23 | 139 | 4,980,370 | 272,349 | 1,251,278 | 978,929 | |||||||||||||||||
NATURAL GAS FUTURE FEB23 | 3.00 USD | 01/26/23 | 139 | 5,750,430 | 272,349 | 1,854,955 | 1,582,606 | |||||||||||||||||
NATURAL GAS FUTURE JAN23 | 3.00 USD | 12/27/22 | 139 | 5,871,360 | 272,349 | 1,919,034 | 1,646,685 | |||||||||||||||||
NATURAL GAS FUTURE JUL23 | 3.00 USD | 06/27/23 | 139 | 4,482,750 | 272,349 | 735,171 | 462,822 | |||||||||||||||||
NATURAL GAS FUTURE JUN23 | 3.00 USD | 05/25/23 | 139 | 4,413,250 | 272,349 | 692,498 | 420,149 | |||||||||||||||||
NATURAL GAS FUTURE MAR23 | 3.00 USD | 02/23/23 | 139 | 5,313,970 | 272,349 | 1,548,599 | 1,276,250 | |||||||||||||||||
NATURAL GAS FUTURE MAY23 | 3.00 USD | 04/25/23 | 139 | 4,352,090 | 272,349 | 669,702 | 397,353 | |||||||||||||||||
NATURAL GAS FUTURE NOV23 | 3.00 USD | 10/26/23 | 139 | 4,696,810 | 272,349 | 972,444 | 700,095 | |||||||||||||||||
NATURAL GAS FUTURE OCT23 | 3.00 USD | 09/26/23 | 139 | 4,545,300 | 272,349 | 818,710 | 546,361 | |||||||||||||||||
NATURAL GAS FUTURE SEP23 | 3.00 USD | 08/28/23 | 139 | 4,495,260 | 272,349 | 762,276 | 489,927 | |||||||||||||||||
PHE Strike Price 5.5 OCT21 CALL | 5.50 USD | 10/26/21 | 857 | 2,142,500 | 156,420 | 1,651,868 | 1,495,448 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
$ | 32,351,781 | $ | 141,950,984 | $ | 109,599,203 | |||||||||||||||||||
|
|
|
|
|
|
See Notes to Consolidated Financial Statements.
79
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Strike | Expiration Date | Contracts | Notional Amount | Premium Paid | Market Value | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
Exchange-Traded Put Options — 0.1% |
| |||||||||||||||||||||||
CRUDE OIL FUT OPT DEC21 | 40.00 USD | 11/16/21 | 22 | 1,643,400 | $ | 38,094 | $ | 440 | $ | (37,654 | ) | |||||||||||||
CRUDE OIL FUT OPT DEC21 | 42.00 USD | 11/16/21 | 60 | 60,000 | 1,891 | 1,800 | (91 | ) | ||||||||||||||||
NAT GAS EURO OPT APR22 | 2.00 USD | 03/28/22 | 387 | 15,464,520 | 149,893 | 35,604 | (114,289 | ) | ||||||||||||||||
NAT GAS EURO OPT APR22 | 2.50 USD | 03/28/22 | 482 | 19,260,720 | 288,077 | 208,706 | (79,371 | ) | ||||||||||||||||
NAT GAS EURO OPT APR23 | 2.00 USD | 03/28/23 | 21 | 673,470 | 25,309 | 8,358 | (16,951 | ) | ||||||||||||||||
NAT GAS EURO OPT AUG22 | 2.00 USD | 07/26/22 | 387 | 15,104,610 | 149,893 | 27,477 | (122,416 | ) | ||||||||||||||||
NAT GAS EURO OPT AUG23 | 2.00 USD | 07/26/23 | 21 | 679,980 | 25,309 | 5,628 | (19,681 | ) | ||||||||||||||||
NAT GAS EURO OPT DEC21 | 3.00 USD | 11/24/21 | 1 | 59,910 | 273 | 111 | (162 | ) | ||||||||||||||||
NAT GAS EURO OPT DEC21 | 3.25 USD | 11/24/21 | 300 | 17,973,000 | 210,801 | 60,300 | (150,501 | ) | ||||||||||||||||
NAT GAS EURO OPT DEC21 | 4.50 USD | 11/24/21 | 428 | 4,280,000 | 852,863 | 1,004,944 | 152,081 | |||||||||||||||||
NAT GAS EURO OPT DEC23 | 2.00 USD | 11/27/23 | 21 | 752,430 | 25,309 | 10,227 | (15,082 | ) | ||||||||||||||||
NAT GAS EURO OPT FEB23 | 2.00 USD | 01/26/23 | 21 | 868,770 | 25,309 | 4,599 | (20,710 | ) | ||||||||||||||||
NAT GAS EURO OPT JAN22 | 2.00 USD | 12/28/21 | 214 | 12,996,220 | 64,771 | 7,062 | (57,709 | ) | ||||||||||||||||
NAT GAS EURO OPT JAN22 | 2.50 USD | 12/28/21 | 214 | 12,996,220 | 279,306 | 13,268 | (266,038 | ) | ||||||||||||||||
NAT GAS EURO OPT JAN23 | 2.00 USD | 12/27/22 | 21 | 887,040 | 25,309 | 3,255 | (22,054 | ) | ||||||||||||||||
NAT GAS EURO OPT JUL22 | 2.00 USD | 06/27/22 | 387 | 15,077,520 | 149,893 | 25,542 | (124,351 | ) | ||||||||||||||||
NAT GAS EURO OPT JUL23 | 2.00 USD | 06/27/23 | 21 | 677,250 | 25,309 | 5,481 | (19,828 | ) | ||||||||||||||||
NAT GAS EURO OPT JUN22 | 2.00 USD | 05/25/22 | 387 | 15,464,520 | 149,893 | 23,607 | (126,286 | ) | ||||||||||||||||
NAT GAS EURO OPT JUN23 | 2.00 USD | 05/25/23 | 21 | 666,750 | 25,309 | 6,027 | (19,282 | ) | ||||||||||||||||
NAT GAS EURO OPT MAR22 | 2.25 USD | 02/23/22 | 407 | 22,454,190 | 217,257 | 96,052 | (121,205 | ) | ||||||||||||||||
NAT GAS EURO OPT MAR22 | 2.75 USD | 02/23/22 | 300 | 3,000,000 | 389,081 | 185,400 | (203,681 | ) | ||||||||||||||||
NAT GAS EURO OPT MAR22 | 3.50 USD | 02/23/22 | 643 | 35,474,310 | 1,930,717 | 1,743,173 | (187,544 | ) | ||||||||||||||||
NAT GAS EURO OPT MAR23 | 2.00 USD | 02/23/23 | 21 | 802,830 | 25,309 | 7,749 | (17,560 | ) | ||||||||||||||||
NAT GAS EURO OPT MAY22 | 2.00 USD | 04/26/22 | 387 | 14,798,880 | 149,893 | 38,700 | (111,193 | ) | ||||||||||||||||
NAT GAS EURO OPT MAY23 | 2.00 USD | 04/25/23 | 21 | 657,510 | 25,309 | 7,182 | (18,127 | ) |
See Notes to Consolidated Financial Statements.
80
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Strike | Expiration Date | Contracts | Notional Amount | Premium Paid | Market Value | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
NAT GAS EURO OPT NOV21 | 2.25 USD | 10/26/21 | 643 | 37,724,810 | $ | 265,237 | $ | 643 | $ | (264,594 | ) | |||||||||||||
NAT GAS EURO OPT NOV21 | 3.50 USD | 10/26/21 | 833 | 48,872,110 | 268,654 | 31,654 | (237,000 | ) | ||||||||||||||||
NAT GAS EURO OPT NOV23 | 2.00 USD | 10/26/23 | 21 | 709,590 | 25,309 | 8,547 | (16,762 | ) | ||||||||||||||||
NAT GAS EURO OPT OCT22 | 2.00 USD | 09/27/22 | 387 | 15,143,310 | 149,893 | 45,279 | (104,614 | ) | ||||||||||||||||
NAT GAS EURO OPT OCT23 | 2.00 USD | 09/26/23 | 21 | 686,700 | 25,309 | 6,930 | (18,379 | ) | ||||||||||||||||
NAT GAS EURO OPT SEP22 | 2.00 USD | 08/26/22 | 387 | 15,031,080 | 149,893 | 36,378 | (113,515 | ) | ||||||||||||||||
NAT GAS EURO OPT SEP23 | 2.00 USD | 08/28/23 | 21 | 679,140 | 25,309 | 6,216 | (19,093 | ) | ||||||||||||||||
NATURAL GAS FUTURE APR23 | 1.50 USD | 03/28/23 | 76 | 2,437,320 | 16,640 | 4,256 | (12,384 | ) | ||||||||||||||||
NATURAL GAS FUTURE AUG23 | 1.50 USD | 07/26/23 | 76 | 2,460,880 | 16,640 | 2,356 | (14,284 | ) | ||||||||||||||||
NATURAL GAS FUTURE DEC23 | 1.50 USD | 11/27/23 | 76 | 2,723,080 | 16,641 | 7,068 | (9,573 | ) | ||||||||||||||||
NATURAL GAS FUTURE FEB23 | 1.50 USD | 01/26/23 | 76 | 3,144,120 | 16,640 | 2,964 | (13,676 | ) | ||||||||||||||||
NATURAL GAS FUTURE JAN23 | 1.50 USD | 12/27/22 | 76 | 3,210,240 | 16,640 | 1,976 | (14,664 | ) | ||||||||||||||||
NATURAL GAS FUTURE JUL23 | 1.50 USD | 06/27/23 | 76 | 2,451,000 | 16,640 | 2,204 | (14,436 | ) | ||||||||||||||||
NATURAL GAS FUTURE JUN23 | 1.50 USD | 05/25/23 | 76 | 2,413,000 | 16,640 | 2,432 | (14,208 | ) | ||||||||||||||||
NATURAL GAS FUTURE MAR23 | 1.50 USD | 02/23/23 | 76 | 2,905,480 | 16,640 | 5,472 | (11,168 | ) | ||||||||||||||||
NATURAL GAS FUTURE MAY23 | 1.50 USD | 04/25/23 | 76 | 2,379,560 | 16,640 | 3,116 | (13,524 | ) | ||||||||||||||||
NATURAL GAS FUTURE NOV23 | 1.50 USD | 10/26/23 | 76 | 2,568,040 | 16,640 | 4,788 | (11,852 | ) | ||||||||||||||||
NATURAL GAS FUTURE OCT23 | 1.50 USD | 09/26/23 | 76 | 2,485,200 | 16,640 | 3,344 | (13,296 | ) | ||||||||||||||||
NATURAL GAS FUTURE SEP23 | 1.50 USD | 08/28/23 | 76 | 2,457,840 | 16,640 | 2,736 | (13,904 | ) | ||||||||||||||||
PHE Future Strike Price 3.25 OCT21 PUT | 3.25 USD | 10/26/21 | 857 | 2,142,500 | 60,007 | 4,499 | (55,508 | ) | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
6,419,669 | 3,713,550 | (2,706,119 | ) | |||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
Total Purchased Options Outstanding |
| $ | 38,771,450 | $ | 145,664,534 | $ | 106,893,084 | |||||||||||||||||
|
|
|
|
|
|
TOTAL INVESTMENTS IN SECURITIES — 67.4% |
| 3,603,627,951 | ||||||||||
|
| |||||||||||
TOTAL SECURITIES SOLD SHORT — (8.1)% |
| (430,266,116 | ) | |||||||||
|
| |||||||||||
Other Assets (o) — 40.7% | 2,170,665,208 | |||||||||||
|
| |||||||||||
Net Assets — 100.0% | $ | 5,344,027,043 | ||||||||||
|
|
See Notes to Consolidated Financial Statements.
81
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Security Description | Shares | Value | ||||||||||
SECURITIES SOLD SHORT — (8.1)% | ||||||||||||
COMMON STOCK — (8.0)% | ||||||||||||
Africa — (0.0)% | ||||||||||||
Materials — (0.0)% | ||||||||||||
AngloGold Ashanti Ltd., ADR | 23,900 | $ | (382,161 | ) | ||||||||
Caledonia Mining Corp. plc | 500 | (6,050 | ) | |||||||||
Gold Fields Ltd., ADR | 72,100 | (585,452 | ) | |||||||||
|
| |||||||||||
(973,663 | ) | |||||||||||
|
| |||||||||||
Software & Technology Services — (0.0)% | ||||||||||||
Karooooo Ltd. (a) | 100 | (2,952 | ) | |||||||||
|
| |||||||||||
Total Africa | (976,615 | ) | ||||||||||
|
| |||||||||||
Asia — (1.0)% | ||||||||||||
Banking — (0.1)% | ||||||||||||
HDFC Bank Ltd., ADR | 29,700 | (2,170,773 | ) | |||||||||
ICICI Bank Ltd., ADR | 32,900 | (620,823 | ) | |||||||||
KB Financial Group, Inc., ADR | 3,200 | (148,512 | ) | |||||||||
Mitsubishi UFJ Financial Group, Inc., ADR | 43,200 | (256,176 | ) | |||||||||
Mizuho Financial Group, Inc., ADR | 9,200 | (26,128 | ) | |||||||||
Shinhan Financial Group Co. Ltd., ADR | 1,900 | (63,973 | ) | |||||||||
Sumitomo Mitsui Financial Group, Inc., ADR | 32,800 | (229,928 | ) | |||||||||
|
| |||||||||||
(3,516,313 | ) | |||||||||||
|
| |||||||||||
Consumer Discretionary Products — (0.0)% | ||||||||||||
China Automotive Systems, Inc. (a) | 100 | (327 | ) | |||||||||
Ezgo Technologies Ltd. (a) | 200 | (584 | ) | |||||||||
Honda Motor Co. Ltd., ADR | 7,400 | (226,958 | ) | |||||||||
KBS Fashion Group Ltd. (a) | 1,300 | (3,835 | ) | |||||||||
Tata Motors Ltd., ADR (a) | 3,700 | (82,917 | ) | |||||||||
Toyota Motor Corp., ADR | 4,200 | (746,550 | ) | |||||||||
XPeng, Inc., ADR (a) | 3,000 | (106,620 | ) | |||||||||
Zepp Health Corp., ADR (a) | 3,200 | (25,696 | ) | |||||||||
|
| |||||||||||
(1,193,487 | ) | |||||||||||
|
| |||||||||||
Consumer Discretionary Services — (0.0)% | ||||||||||||
Bright Scholar Education Holdings Ltd., ADR | 100 | (287 | ) | |||||||||
China Liberal Education Holdings Ltd. (a) | 4,400 | (9,372 | ) | |||||||||
Huazhu Group Ltd., ADR (a) | 12,900 | (591,594 | ) | |||||||||
iHuman, Inc., ADR (a) | 800 | (3,768 | ) | |||||||||
Melco Resorts & Entertainment Ltd., ADR (a) | 34,500 | (353,280 | ) | |||||||||
Meten Holding Group Ltd. (a) | 46,900 | (16,870 | ) | |||||||||
OneSmart International Education Group Ltd., ADR (a) | 37,500 | (18,375 | ) | |||||||||
Puxin Ltd., ADR (a) | 25,600 | (14,848 | ) | |||||||||
RISE Education Cayman Ltd., ADR (a) | 99 | (61 | ) |
See Notes to Consolidated Financial Statements.
82
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Security Description | Shares | Value | ||||||||
RYB Education, Inc., ADR (a) | 900 | $ | (2,565 | ) | ||||||
Skillful Craftsman Education Technology Ltd. (a) | 4,300 | (5,289 | ) | |||||||
Tarena International, Inc., ADR (a) | 17,600 | (24,288 | ) | |||||||
Yum China Holdings, Inc. | 4,200 | (244,062 | ) | |||||||
|
| |||||||||
(1,284,659 | ) | |||||||||
|
| |||||||||
Consumer Staple Products — (0.0)% | ||||||||||
China Xiangtai Food Co. Ltd. (a) | 6,126 | (6,555 | ) | |||||||
Farmmi, Inc. (a) | 71,300 | (32,976 | ) | |||||||
TDH Holdings, Inc. (a) | 200 | (256 | ) | |||||||
Viomi Technology Co. Ltd., ADR (a) | 3,600 | (16,416 | ) | |||||||
|
| |||||||||
(56,203 | ) | |||||||||
|
| |||||||||
Financial Services — (0.0)% | ||||||||||
9F, Inc., ADR (a) | 14,900 | (25,330 | ) | |||||||
ATIF Holdings Ltd. (a) | 3,200 | (14,400 | ) | |||||||
Dunxin Financial Holdings Ltd., ADR (a) | 2,013 | (2,637 | ) | |||||||
Hudson Capital, Inc. (a) | 2,280 | (5,677 | ) | |||||||
Jianpu Technology, Inc., ADR (a) | 2,400 | (3,528 | ) | |||||||
Jiayin Group, Inc., ADR (a) | 1,100 | (4,103 | ) | |||||||
Lion Group Holding Ltd., ADR (a) | 10,500 | (13,230 | ) | |||||||
MMTEC, Inc. (a) | 800 | (944 | ) | |||||||
Nomura Holdings, Inc., ADR | 2,100 | (10,374 | ) | |||||||
ORIX Corp., ADR | 300 | (28,356 | ) | |||||||
Senmiao Technology Ltd. (a) | 4,700 | (2,761 | ) | |||||||
SOS Ltd., ADR (a) | 65,600 | (139,728 | ) | |||||||
|
| |||||||||
(251,068 | ) | |||||||||
|
| |||||||||
Health Care — (0.0)% | ||||||||||
111, Inc., ADR (a) | 4,000 | (24,680 | ) | |||||||
Adagene, Inc., ADR (a) | 500 | (7,250 | ) | |||||||
Aesthetic Medical International Holdings Group Ltd., ADR (a) | 1,500 | (6,015 | ) | |||||||
Anpac Bio-Medical Science Co., Ltd. (a) | 100 | (324 | ) | |||||||
Aslan Pharmaceuticals Ltd., ADR (a) | 300 | (534 | ) | |||||||
BeiGene Ltd., ADR (a) | 2,000 | (726,000 | ) | |||||||
Burning Rock Biotech Ltd., ADR (a) | 600 | (10,728 | ) | |||||||
China SXT Pharmaceuticals, Inc. (a) | 5,025 | (5,176 | ) | |||||||
Connect Biopharma Holdings Ltd., ADR (a) | 200 | (4,780 | ) | |||||||
Gracell Biotechnologies, Inc., ADR (a) | 1,400 | (19,418 | ) | |||||||
Happiness Biotech Group Ltd. (a) | 2,600 | (2,522 | ) | |||||||
Hutchmed China Ltd., ADR (a) | 1,100 | (40,271 | ) | |||||||
MEDIROM Healthcare Technologies, Inc., ADR (a) | 1,700 | (14,484 | ) | |||||||
Qilian International Holding Group Ltd. (a) | 700 | (2,835 | ) | |||||||
Shineco, Inc. (a) | 400 | (4,328 | ) |
See Notes to Consolidated Financial Statements.
83
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Security Description | Shares | Value | ||||||||
Takeda Pharmaceutical Co. Ltd., ADR | 47,291 | $ | (774,626 | ) | ||||||
|
| |||||||||
(1,643,971 | ) | |||||||||
|
| |||||||||
Industrial Products — (0.0)% | ||||||||||
Asia Pacific Wire & Cable Corp. Ltd. (a) | 500 | (1,615 | ) | |||||||
Greenland Technologies Holding Corp. (a) | 700 | (4,382 | ) | |||||||
|
| |||||||||
(5,997 | ) | |||||||||
|
| |||||||||
Industrial Services — (0.0)% | ||||||||||
BEST, Inc., ADR (a) | 90,200 | (150,634 | ) | |||||||
DiDi Global, Inc., ADR | 21,100 | (164,369 | ) | |||||||
EHang Holdings Ltd., ADR (a) | 11,800 | (282,138 | ) | |||||||
Euro Tech Holdings Co. Ltd. | 1,639 | (5,311 | ) | |||||||
Full Truck Alliance Co. Ltd., ADR (a) | 4,400 | (67,452 | ) | |||||||
MingZhu Logistics Holdings Ltd. (a) | 1,500 | (4,500 | ) | |||||||
Pop Culture Group Co., Ltd., Class A (a) | 2,100 | (6,363 | ) | |||||||
|
| |||||||||
(680,767 | ) | |||||||||
|
| |||||||||
Insurance — (0.0)% | ||||||||||
China Life Insurance Co. Ltd., ADR | 17,200 | (140,352 | ) | |||||||
Fanhua, Inc., ADR | 1,000 | (12,040 | ) | |||||||
Huize Holding Ltd., ADR (a) | 300 | (684 | ) | |||||||
TIAN RUIXIANG Holdings Ltd., Class A (a) | 400 | (1,376 | ) | |||||||
|
| |||||||||
(154,452 | ) | |||||||||
|
| |||||||||
Materials — (0.0)% | ||||||||||
Aluminum Corp. of China Ltd., ADR (a) | 400 | (7,476 | ) | |||||||
Antelope Enterprise Holdings Ltd. (a) | 1,700 | (4,760 | ) | |||||||
China Green Agriculture, Inc. (a) | 200 | (1,816 | ) | |||||||
Origin Agritech Ltd. (a) | 2,000 | (16,580 | ) | |||||||
ZK International Group Co. Ltd. (a) | 200 | (558 | ) | |||||||
|
| |||||||||
(31,190 | ) | |||||||||
|
| |||||||||
Media — (0.1)% | ||||||||||
51job, Inc., ADR (a) | 7,200 | (500,616 | ) | |||||||
Baosheng Media Group Holding Ltd. (a) | 200 | (350 | ) | |||||||
Blue Hat Interactive Entertainment Technology (a) | 8,700 | (5,307 | ) | |||||||
Dada Nexus Ltd., ADR (a) | 11,500 | (230,460 | ) | |||||||
Dragon Victory International Ltd. (a) | 2,100 | (3,150 | ) | |||||||
GigaMedia Ltd. (a) | 1,700 | (4,182 | ) | |||||||
HUYA, Inc., ADR (a) | 300 | (2,502 | ) | |||||||
iClick Interactive Asia Group Ltd., ADR (a) | 1,400 | (7,742 | ) | |||||||
iQIYI, Inc., ADR (a) | 136,200 | (1,093,686 | ) | |||||||
MakeMyTrip Ltd. (a) | 2,100 | (57,099 | ) | |||||||
Phoenix New Media Ltd., ADR | 3,200 | (4,096 | ) | |||||||
Pintec Technology Holdings Ltd., ADR (a) | 6,300 | (6,300 | ) |
See Notes to Consolidated Financial Statements.
84
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Security Description | Shares | Value | ||||||||
Trip.com Group Ltd., ADR (a) | 97,100 | $ | (2,985,825 | ) | ||||||
Uxin Ltd., ADR (a) | 69,400 | (191,544 | ) | |||||||
Weibo Corp., ADR (a) | 3,200 | (151,968 | ) | |||||||
Zhihu, Inc., ADR (a) | 23,800 | (219,674 | ) | |||||||
Zhongchao, Inc., Class A (a) | 4,500 | (7,380 | ) | |||||||
|
| |||||||||
(5,471,881 | ) | |||||||||
|
| |||||||||
Oil, Gas & Coal — (0.0)% | ||||||||||
China Petroleum & Chemical Corp., ADR | 700 | (34,419 | ) | |||||||
Recon Technology Ltd., Class A (a) | 1,400 | (3,962 | ) | |||||||
|
| |||||||||
(38,381 | ) | |||||||||
|
| |||||||||
Real Estate — (0.0)% | ||||||||||
Nam Tai Property, Inc. (a) | 1,000 | (23,250 | ) | |||||||
|
| |||||||||
Renewable Energy — (0.0)% | ||||||||||
Daqo New Energy Corp., ADR (a) | 2,500 | (142,500 | ) | |||||||
JinkoSolar Holding Co. Ltd., ADR (a) | 11,400 | (522,234 | ) | |||||||
ReneSola Ltd., ADR (a) | 300 | (1,971 | ) | |||||||
|
| |||||||||
(666,705 | ) | |||||||||
|
| |||||||||
Retail & Wholesale—Discretionary — (0.5)% | ||||||||||
Alibaba Group Holding Ltd., ADR (a) | 2,300 | (340,515 | ) | |||||||
Boqii Holding Ltd., ADR (a) | 4,900 | (11,319 | ) | |||||||
Coupang, Inc. (a) | 107,100 | (2,982,735 | ) | |||||||
DingDong Cayman Ltd., ADR (a) | 400 | (9,468 | ) | |||||||
Future FinTech Group, Inc. (a) | 25,200 | (52,668 | ) | |||||||
JD.com, Inc., ADR (a) | 143,400 | (10,359,216 | ) | |||||||
Jiuzi Holdings, Inc. (a) | 200 | (478 | ) | |||||||
LightInTheBox Holding Co. Ltd., ADR (a) | 15,500 | (21,390 | ) | |||||||
MINISO Group Holding Ltd., ADR | 3,000 | (45,720 | ) | |||||||
MOGU, Inc., ADR (a) | 2,400 | (2,328 | ) | |||||||
Newegg Commerce, Inc. (a) | 8,100 | (115,587 | ) | |||||||
Oriental Culture Holding Ltd. (a) | 6,300 | (24,822 | ) | |||||||
Renren, Inc., ADR (a) | 800 | (11,128 | ) | |||||||
Sea Ltd., ADR (a) | 30,400 | (9,689,392 | ) | |||||||
TD Holdings, Inc. (a) | 414 | (284 | ) | |||||||
Yatsen Holding Ltd., ADR (a) | 19,500 | (74,295 | ) | |||||||
Yunji, Inc., ADR (a) | 5,900 | (4,218 | ) | |||||||
|
| |||||||||
(23,745,563 | ) | |||||||||
|
| |||||||||
Retail & Wholesale—Staples — (0.0)% | ||||||||||
China Jo-Jo Drugstores Holdings, Inc. (a) | 6,400 | (4,072 | ) | |||||||
Wunong Net Technology Co. Ltd. (a) | 4,500 | (18,540 | ) | |||||||
|
| |||||||||
(22,612 | ) | |||||||||
|
|
See Notes to Consolidated Financial Statements.
85
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Security Description | Shares | Value | ||||||||
Software & Technology Services — (0.0)% | ||||||||||
17 Education & Technology Group, Inc., ADR (a) | 11,100 | $ | (9,991 | ) | ||||||
Baozun, Inc., ADR (a) | 17,200 | (301,516 | ) | |||||||
BlueCity Holdings Ltd., ADR (a) | 3,600 | (10,800 | ) | |||||||
Cango, Inc., ADR | 8,500 | (34,170 | ) | |||||||
Cloopen Group Holding Ltd., ADR (a) | 6,287 | (27,788 | ) | |||||||
CLPS, Inc. (a) | 900 | (2,601 | ) | |||||||
CooTek Cayman, Inc., ADR (a) | 6,000 | (7,320 | ) | |||||||
Diginex Ltd. (a) | 6,000 | (19,440 | ) | |||||||
Gaotu Techedu, Inc., ADR (a) | 12,000 | (36,840 | ) | |||||||
Infosys Ltd., ADR | 24,800 | (551,800 | ) | |||||||
Kingsoft Cloud Holdings Ltd., ADR (a) | 4,000 | (113,280 | ) | |||||||
LAIX, Inc., ADR (a) | 10,800 | (9,720 | ) | |||||||
Link Motion, Inc., ADR (a) | 11,000 | 0 | ||||||||
Lizhi, Inc., ADR (a) | 13,800 | (43,746 | ) | |||||||
Luokung Technology Corp. (a) | 137,600 | (159,616 | ) | |||||||
Molecular Data, Inc., ADR (a) | 59,200 | (20,815 | ) | |||||||
Powerbridge Technologies Co. Ltd. (a) | 17,300 | (19,376 | ) | |||||||
Qutoutiao, Inc., ADR (a) | 29,500 | (29,205 | ) | |||||||
Scienjoy Holding Corp. (a) | 1,800 | (7,776 | ) | |||||||
Taoping, Inc. (a) | 4,900 | (13,034 | ) | |||||||
TELUS International CDA, Inc. (a) | 4,300 | (150,543 | ) | |||||||
Triterras, Inc., Class A (a) | 1,800 | (10,530 | ) | |||||||
Tuya, Inc., ADR (a) | 11,600 | (105,212 | ) | |||||||
WiMi Hologram Cloud, Inc., ADR (a) | 11,300 | (46,556 | ) | |||||||
Wipro Ltd., ADR | 23,866 | (210,737 | ) | |||||||
Youdao, Inc., ADR (a) | 9,300 | (112,437 | ) | |||||||
|
| |||||||||
(2,054,849 | ) | |||||||||
|
| |||||||||
Tech Hardware & Semiconductors — (0.2)% | ||||||||||
ASE Technology Holding Co. Ltd., ADR | 5,200 | (40,820 | ) | |||||||
Canaan, Inc., ADR (a) | 54,300 | (331,773 | ) | |||||||
Ebang International Holdings, Inc., A Shares (a) | 50,100 | (95,190 | ) | |||||||
Sony Group Corp., ADR | 12,600 | (1,393,308 | ) | |||||||
Taiwan Semiconductor Manufacturing Co. Ltd., ADR | 53,900 | (6,017,935 | ) | |||||||
|
| |||||||||
(7,879,026 | ) | |||||||||
|
| |||||||||
Telecommunications — (0.1)% | ||||||||||
21Vianet Group, Inc., ADR (a) | 1,100 | (19,041 | ) | |||||||
Chindata Group Holdings Ltd., ADR (a) | 2,900 | (24,389 | ) | |||||||
GDS Holdings Ltd., ADR (a) | 33,500 | (1,896,435 | ) | |||||||
KT Corp., ADR | 2,400 | (32,688 | ) | |||||||
PLDT, Inc., ADR | 1,400 | (45,598 | ) | |||||||
SK Telecom Co. Ltd., ADR (a) | 4,500 | (135,450 | ) | |||||||
Telkom Indonesia Persero Tbk PT, ADR | 3,700 | (93,980 | ) | |||||||
|
| |||||||||
(2,247,581 | ) | |||||||||
|
|
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Security Description | Shares | Value | ||||||||||
Utilities — (0.0)% | ||||||||||||
Azure Power Global Ltd. (a) | 1,600 | $ | (35,200 | ) | ||||||||
Korea Electric Power Corp., ADR | 3,300 | (32,571 | ) | |||||||||
Smart Share Global Ltd., ADR (a) | 800 | (2,672 | ) | |||||||||
|
| |||||||||||
(70,443 | ) | |||||||||||
|
| |||||||||||
Total Asia | (51,038,398 | ) | ||||||||||
|
| |||||||||||
Europe — (0.1)% | ||||||||||||
Banking — (0.0)% | ||||||||||||
HSBC Holdings plc, ADR | 26 | (680 | ) | |||||||||
ING Groep NV, ADR | 11,100 | (160,839 | ) | |||||||||
|
| |||||||||||
(161,519 | ) | |||||||||||
|
| |||||||||||
Consumer Discretionary Services — (0.0)% | ||||||||||||
Esports Entertainment Group, Inc. (a) | 1,500 | (10,065 | ) | |||||||||
InterContinental Hotels Group plc, ADR (a) | 800 | (51,432 | ) | |||||||||
|
| |||||||||||
(61,497 | ) | |||||||||||
|
| |||||||||||
Consumer Staple Products — (0.0)% | ||||||||||||
Anheuser-Busch InBev NV, ADR | 18,200 | (1,026,116 | ) | |||||||||
Nomad Foods Ltd. (a) | 5,300 | (146,068 | ) | |||||||||
|
| |||||||||||
(1,172,184 | ) | |||||||||||
|
| |||||||||||
Financial Services — (0.0)% | ||||||||||||
Credit Suisse Group AG, ADR | 12,600 | (124,236 | ) | |||||||||
UBS Group AG | 6,600 | (105,204 | ) | |||||||||
|
| |||||||||||
(229,440 | ) | |||||||||||
|
| |||||||||||
Health Care — (0.1)% | ||||||||||||
Achilles Therapeutics plc, ADR (a) | 100 | (779 | ) | |||||||||
ADC Therapeutics SA (a) | 4,000 | (108,640 | ) | |||||||||
Aprea Therapeutics, Inc. (a) | 100 | (511 | ) | |||||||||
Ascendis Pharma A/S, ADR (a) | 2,600 | (414,414 | ) | |||||||||
BioNTech SE, ADR (a) | 2,000 | (545,980 | ) | |||||||||
Calliditas Therapeutics AB, ADR (a) | 100 | (2,162 | ) | |||||||||
Cellectis SA, ADR (a) | 700 | (8,827 | ) | |||||||||
CureVac NV (a) | 400 | (21,848 | ) | |||||||||
Galapagos NV, ADR (a) | 400 | (21,044 | ) | |||||||||
Immunocore Holdings plc, ADR (a) | 700 | (25,949 | ) | |||||||||
Koninklijke Philips NV | 8,338 | (370,541 | ) | |||||||||
Mereo Biopharma Group plc, ADR (a) | 22,300 | (53,966 | ) | |||||||||
Molecular Partners AG, ADR (a) | 300 | (5,919 | ) | |||||||||
NuCana plc, ADR (a) | 2,018 | (5,206 | ) | |||||||||
ObsEva SA (a) | 8,600 | (26,746 | ) | |||||||||
Olink Holding AB, ADR (a) | 4,900 | (118,825 | ) | |||||||||
Orphazyme A/S, ADR (a) | 300 | (1,233 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Security Description | Shares | Value | ||||||||||
uniQure NV (a) | 1,000 | $ | (32,010 | ) | ||||||||
Verona Pharma plc, ADR (a) | 1,900 | (10,412 | ) | |||||||||
|
| |||||||||||
(1,775,012 | ) | |||||||||||
|
| |||||||||||
Industrial Products — (0.0)% | ||||||||||||
Arrival SA (a) | 10,400 | (136,760 | ) | |||||||||
|
| |||||||||||
Industrial Services — (0.0)% | ||||||||||||
Ardmore Shipping Corp. (a) | 2,200 | (9,130 | ) | |||||||||
Frontline Ltd. | 40 | (375 | ) | |||||||||
Navios Maritime Acquisition Corp. | 1,400 | (5,740 | ) | |||||||||
Ryanair Holdings plc, ADR (a) | 4,700 | (517,282 | ) | |||||||||
|
| |||||||||||
(532,527 | ) | |||||||||||
|
| |||||||||||
Insurance — (0.0)% | ||||||||||||
Prudential plc, ADR | 4,100 | (160,638 | ) | |||||||||
|
| |||||||||||
Materials — (0.0)% | ||||||||||||
CRH plc, ADR | 7,300 | (341,202 | ) | |||||||||
|
| |||||||||||
Media — (0.0)% | ||||||||||||
Just Eat Takeaway.com NV, ADR (a) | 29,500 | (428,635 | ) | |||||||||
Liberty Global plc, Class A (a) | 2,800 | (83,440 | ) | |||||||||
Opera Ltd., ADR (a) | 300 | (2,655 | ) | |||||||||
WISeKey International Holding Ltd., ADR (a) | 1,100 | (6,875 | ) | |||||||||
WPP plc, ADR | 1,500 | (100,560 | ) | |||||||||
|
| |||||||||||
(622,165 | ) | |||||||||||
|
| |||||||||||
Metals & Mining — (0.0)% | ||||||||||||
Ferroglobe PLC | 400 | 0 | ||||||||||
|
| |||||||||||
Oil, Gas & Coal — (0.0)% | ||||||||||||
Equinor ASA, ADR | 26,900 | (685,950 | ) | |||||||||
|
| |||||||||||
Retail & Wholesale—Discretionary — (0.0)% | ||||||||||||
MYT Netherlands Parent BV, ADR (a) | 3,100 | (83,390 | ) | |||||||||
|
| |||||||||||
Tech Hardware & Semiconductors — (0.0)% | ||||||||||||
Telefonaktiebolaget LM Ericsson, ADR | 81,400 | (911,680 | ) | |||||||||
|
| |||||||||||
Utilities — (0.0)% | ||||||||||||
Fusion Fuel Green plc, Class A (a) | 300 | (3,258 | ) | |||||||||
National Grid plc, ADR | 300 | (17,889 | ) | |||||||||
|
| |||||||||||
(21,147 | ) | |||||||||||
|
| |||||||||||
Total Europe | (6,895,111 | ) | ||||||||||
|
|
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Security Description | Shares | Value | ||||||||||
Middle East — (0.1)% | ||||||||||||
Consumer Discretionary Products — (0.0)% | ||||||||||||
Foresight Autonomous Holdings Ltd., ADR (a) | 3,500 | $ | (10,955 | ) | ||||||||
|
| |||||||||||
(10,955 | ) | |||||||||||
|
| |||||||||||
Health Care — (0.0)% | ||||||||||||
Biondvax Pharmaceuticals Ltd., ADR (a) | 4,000 | (8,800 | ) | |||||||||
Cellect Biotechnology Ltd., ADR (a) | 200 | (3,692 | ) | |||||||||
Entera Bio Ltd. (a) | 300 | (1,413 | ) | |||||||||
Inspira Technologies Oxy BHN Ltd. (a) | 400 | (1,072 | ) | |||||||||
Kamada Ltd. (a) | 100 | (530 | ) | |||||||||
Nano-X Imaging Ltd. (a) | 10,000 | (225,000 | ) | |||||||||
ReWalk Robotics Ltd. (a) | 22,400 | (33,824 | ) | |||||||||
|
| |||||||||||
(274,331 | ) | |||||||||||
|
| |||||||||||
Industrial Products — (0.0)% | ||||||||||||
Elbit Systems Ltd. | 100 | (14,484 | ) | |||||||||
Kornit Digital Ltd. (a) | 100 | (14,474 | ) | |||||||||
|
| |||||||||||
(28,958 | ) | |||||||||||
|
| |||||||||||
Industrial Services — (0.0)% | ||||||||||||
Castor Maritime, Inc. (a) | 32,360 | (78,958 | ) | |||||||||
ZIM Integrated Shipping Services Ltd. | 400 | (20,280 | ) | |||||||||
|
| |||||||||||
(99,238 | ) | |||||||||||
|
| |||||||||||
Materials — (0.0)% | ||||||||||||
Evogene Ltd. (a) | 5,100 | (13,464 | ) | |||||||||
|
| |||||||||||
Media — (0.0)% | ||||||||||||
Eros STX Global Corp. (a) | 96,900 | (89,100 | ) | |||||||||
|
| |||||||||||
Oil, Gas & Coal — (0.0)% | ||||||||||||
Borr Drilling Ltd. (a) | 10,100 | (8,468 | ) | |||||||||
|
| |||||||||||
Renewable Energy — (0.0)% | ||||||||||||
Eco Wave Power Global AB, ADR (a) | 200 | (1,362 | ) | |||||||||
|
| |||||||||||
Software & Technology Services — (0.1)% | ||||||||||||
CYREN Ltd. (a) | 27,200 | (16,997 | ) | |||||||||
Global-e Online Ltd. (a) | 11,600 | (832,880 | ) | |||||||||
My Size, Inc. (a) | 2,100 | (2,877 | ) | |||||||||
Safe-T Group Ltd., ADR (a) | 498 | (543 | ) | |||||||||
Wix.com Ltd. (a) | 1,000 | (195,970 | ) | |||||||||
|
| |||||||||||
(1,049,267 | ) | |||||||||||
|
|
See Notes to Consolidated Financial Statements.
89
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Security Description | Shares | Value | ||||||||||
Tech Hardware & Semiconductors — (0.0)% | ||||||||||||
Nano Dimension Ltd., ADR (a) | 21,600 | $ | (121,824 | ) | ||||||||
SuperCom Ltd. (a) | 2,500 | (2,487 | ) | |||||||||
|
| |||||||||||
(124,311 | ) | |||||||||||
|
| |||||||||||
Total Middle East | (1,699,454 | ) | ||||||||||
|
| |||||||||||
North America — (6.7)% | ||||||||||||
Banking — (0.3)% | ||||||||||||
Ameris Bancorp | 4,399 | (228,220 | ) | |||||||||
Axos Financial, Inc. (a) | 100 | (5,154 | ) | |||||||||
Bank of America Corp. | 100 | (4,245 | ) | |||||||||
Bank of Montreal | 1,200 | (119,676 | ) | |||||||||
BankUnited, Inc. | 2,600 | (108,732 | ) | |||||||||
BOK Financial Corp. | 300 | (26,865 | ) | |||||||||
Broadway Financial Corp. (a) | 800 | (2,656 | ) | |||||||||
Canadian Imperial Bank of Commerce | 4,500 | (500,850 | ) | |||||||||
Capitol Federal Financial, Inc. | 4,100 | (47,109 | ) | |||||||||
Credicorp Ltd. | 1,600 | (177,504 | ) | |||||||||
Customers Bancorp, Inc. (a) | 1,700 | (73,134 | ) | |||||||||
Fifth Third Bancorp | 71,300 | (3,025,972 | ) | |||||||||
First Horizon National Corp. | 700 | (11,403 | ) | |||||||||
First Republic Bank | 9,600 | (1,851,648 | ) | |||||||||
Hilltop Holdings, Inc. | 1,700 | (55,539 | ) | |||||||||
Huntington Bancshares, Inc. | 39,900 | (616,854 | ) | |||||||||
Independent Bank Group, Inc. | 100 | (7,104 | ) | |||||||||
JPMorgan Chase & Co. | 7,400 | (1,211,306 | ) | |||||||||
Pacific Premier Bancorp, Inc. | 20 | (829 | ) | |||||||||
Park National Corp. | 100 | (12,195 | ) | |||||||||
Pinnacle Financial Partners, Inc. | 4,900 | (460,992 | ) | |||||||||
PNC Financial Services Group, Inc. | 21,000 | (4,108,440 | ) | |||||||||
Popular, Inc. | 10 | (777 | ) | |||||||||
Royal Bank of Canada | 1,000 | (99,480 | ) | |||||||||
ServisFirst Bancshares, Inc. | 200 | (15,560 | ) | |||||||||
Signature Bank | 1,100 | (299,508 | ) | |||||||||
Sterling Bancorp | 8 | (199 | ) | |||||||||
Truist Financial Corp. | 47,300 | (2,774,145 | ) | |||||||||
Umpqua Holdings Corp. | 1,900 | (38,475 | ) | |||||||||
Wells Fargo & Co. | 8,300 | (385,203 | ) | |||||||||
Western Alliance Bancorp | 400 | (43,528 | ) | |||||||||
|
| |||||||||||
(16,313,302 | ) | |||||||||||
|
| |||||||||||
Biotechnology & Pharmaceuticals — (0.0)% | ||||||||||||
Neurobo Pharmaceuticals, Inc. | 92 | (29 | ) | |||||||||
|
|
See Notes to Consolidated Financial Statements.
90
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Security Description | Shares | Value | ||||||||
Consumer Discretionary Products — (0.3)% | ||||||||||
American Woodmark Corp. (a) | 500 | $ | (32,685 | ) | ||||||
Aptiv plc (a) | 7,300 | (1,087,481 | ) | |||||||
BorgWarner, Inc. | 14,240 | (615,310 | ) | |||||||
Carter’s, Inc. | 4,100 | (398,684 | ) | |||||||
Casper Sleep, Inc. (a) | 7,800 | (33,306 | ) | |||||||
CBAK Energy Technology, Inc. (a) | 17,000 | (39,610 | ) | |||||||
Comstock Holding Cos., Inc. (a) | 800 | (3,828 | ) | |||||||
DR Horton, Inc. | 29,700 | (2,493,909 | ) | |||||||
Dream Finders Homes, Inc., Class A(a) | 1,200 | (20,796 | ) | |||||||
ElectraMeccanica Vehicles Corp. (a) | 40,600 | (144,536 | ) | |||||||
Fisker, Inc. (a) | 17,600 | (257,840 | ) | |||||||
Fox Factory Holding Corp. (a) | 2,200 | (317,988 | ) | |||||||
Gildan Activewear, Inc. | 3,600 | (131,436 | ) | |||||||
Green Brick Partners, Inc. (a) | 100 | (2,052 | ) | |||||||
Hooker Furnishings Corp. | 500 | (13,495 | ) | |||||||
Hovnanian Enterprises Inc., Class A (a) | 116 | (11,181 | ) | |||||||
Lakeland Industries, Inc. (a) | 300 | (6,300 | ) | |||||||
LCI Industries | 1,200 | (161,556 | ) | |||||||
Lennar Corp., Class A | 8,400 | (786,912 | ) | |||||||
LGI Homes, Inc. (a) | 3,000 | (425,730 | ) | |||||||
Lordstown Motors Corp., Class A (a) | 12,200 | (97,356 | ) | |||||||
Mattel, Inc. (a) | 22,500 | (417,600 | ) | |||||||
Mohawk Industries, Inc. (a) | 6,500 | (1,153,100 | ) | |||||||
Motorcar Parts of America, Inc. (a) | 500 | (9,750 | ) | |||||||
Newell Brands, Inc. | 18 | (399 | ) | |||||||
Peloton Interactive, Inc., Class A (a) | 63,000 | (5,484,150 | ) | |||||||
Purple Innovation, Inc. (a) | 3,700 | (77,774 | ) | |||||||
PVH Corp. (a) | 7,500 | (770,925 | ) | |||||||
QuantumScape Corp. (a) | 3,700 | (90,798 | ) | |||||||
Romeo Power, Inc. (a) | 3,700 | (18,315 | ) | |||||||
Stellantis NV | 45,800 | (874,780 | ) | |||||||
Tupperware Brands Corp. (a) | 1,700 | (35,904 | ) | |||||||
Vista Outdoor, Inc. (a) | 3,300 | (133,023 | ) | |||||||
Whirlpool Corp. | 700 | (142,702 | ) | |||||||
Worksport Ltd. (a) | 200 | (1,252 | ) | |||||||
YETI Holdings, Inc. (a) | 800 | (68,552 | ) | |||||||
|
| |||||||||
(16,361,015 | ) | |||||||||
|
| |||||||||
Consumer Discretionary Services — (0.2)% | ||||||||||
Bright Horizons Family Solutions, Inc. (a) | 700 | (97,594 | ) | |||||||
BurgerFi International, Inc. (a) | 1,200 | (10,392 | ) | |||||||
Caesars Entertainment, Inc. (a) | 41,476 | (4,656,925 | ) | |||||||
Cannae Holdings, Inc. (a) | 5,600 | (174,216 | ) | |||||||
Coursera, Inc. (a) | 10,200 | (322,830 | ) | |||||||
Dutch Bros, Inc., Class A (a) | 1,800 | (77,976 | ) |
See Notes to Consolidated Financial Statements.
91
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Security Description | Shares | Value | ||||||||
Elite Education Group International Ltd. (a) | 3,100 | $ | (12,741 | ) | ||||||
Fiesta Restaurant Group, Inc. (a) | 1,400 | (15,344 | ) | |||||||
Golden Nugget Online Gaming, Inc. (a) | 6,700 | (116,379 | ) | |||||||
Grand Canyon Education, Inc. (a) | 1,700 | (149,532 | ) | |||||||
Hall of Fame Resort & Entertainment Co. (a) | 2,900 | (7,685 | ) | |||||||
Hilton Grand Vacations, Inc. (a) | 5,300 | (252,121 | ) | |||||||
Kura Sushi USA, Inc., Class A(a) | 400 | (17,472 | ) | |||||||
Las Vegas Sands Corp. (a) | 40,000 | (1,464,000 | ) | |||||||
Liberty Media Corp-Liberty Braves, Class C(a) | 1,300 | (34,346 | ) | |||||||
Luby’s, Inc. (a) | 500 | (2,090 | ) | |||||||
Madison Square Garden Entertainment Corp. (a) | 2,500 | (181,675 | ) | |||||||
Madison Square Garden Sports Corp. (a) | 1,800 | (334,710 | ) | |||||||
Marriott International, Inc., Class A(a) | 12,100 | (1,791,889 | ) | |||||||
Marriott Vacations Worldwide Corp. | 3,400 | (534,922 | ) | |||||||
OneSpaWorld Holdings Ltd. (a) | 900 | (8,973 | ) | |||||||
Potbelly Corp. (a) | 1,300 | (8,814 | ) | |||||||
Regis Corp. (a) | 12,900 | (44,892 | ) | |||||||
Restaurant Brands International, Inc. | 14,700 | (899,493 | ) | |||||||
Royal Caribbean Cruises Ltd. (a) | 3,700 | (329,115 | ) | |||||||
Strategic Education, Inc. | 400 | (28,200 | ) | |||||||
Waitr Holdings, Inc. (a) | 18,900 | (16,734 | ) | |||||||
Wingstop, Inc. | 1,400 | (229,502 | ) | |||||||
Wynn Resorts Ltd. (a) | 14,000 | (1,186,500 | ) | |||||||
Yum! Brands, Inc. | 100 | (12,231 | ) | |||||||
|
| |||||||||
(13,019,293 | ) | |||||||||
|
| |||||||||
Consumer Staple Products — (0.1)% | ||||||||||
Alkaline Water Co., Inc. (The) (a) | 34,000 | (54,060 | ) | |||||||
Aurora Cannabis, Inc. (a) | 71,300 | (493,396 | ) | |||||||
Beyond Meat, Inc. (a) | 18,500 | (1,947,310 | ) | |||||||
Cal-Maine Foods, Inc. | 3,300 | (119,328 | ) | |||||||
Celsius Holdings, Inc. (a) | 18,100 | (1,630,629 | ) | |||||||
Clearwater Paper Corp. (a) | 400 | (15,332 | ) | |||||||
Clever Leaves Holdings, Inc. (a) | 2,100 | (16,296 | ) | |||||||
Conagra Brands, Inc. | 100 | (3,387 | ) | |||||||
DavidsTea, Inc. (a) | 2,700 | (6,777 | ) | |||||||
Dole plc (a) | 100 | (1,696 | ) | |||||||
Duckhorn Portfolio, Inc. (The) (a) | 3,700 | (84,693 | ) | |||||||
Eastside Distilling, Inc. (a) | 100 | (260 | ) | |||||||
Energizer Holdings, Inc. | 100 | (3,905 | ) | |||||||
Flora Growth Corp. (a) | 100 | (565 | ) | |||||||
Fresh Del Monte Produce, Inc. | 600 | (19,332 | ) | |||||||
FSD Pharma, Inc., Class B(a) | 8,100 | (12,798 | ) | |||||||
Helen of Troy Ltd. (a) | 1,700 | (381,956 | ) | |||||||
Herbalife Nutrition Ltd. (a) | 900 | (38,142 | ) | |||||||
Hershey Co. | 900 | (152,325 | ) |
See Notes to Consolidated Financial Statements.
92
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Security Description | Shares | Value | ||||||||
HEXO Corp. (a) | 400 | $ | (736 | ) | ||||||
Honest Co., Inc. (The) (a) | 7,500 | (77,850 | ) | |||||||
NewAge, Inc. (a) | 26,100 | (36,279 | ) | |||||||
Nu Skin Enterprises, Inc. | 700 | (28,329 | ) | |||||||
Oatly Group AB, ADR (a) | 3,800 | (57,456 | ) | |||||||
Ocean Bio-Chem, Inc. | 300 | (2,793 | ) | |||||||
Organigram Holdings, Inc. (a) | 1,200 | (2,760 | ) | |||||||
Pilgrim’s Pride Corp. (a) | 1,200 | (34,896 | ) | |||||||
Post Holdings, Inc. (a) | 2,500 | (275,400 | ) | |||||||
Primo Water Corp. | 6,500 | (102,180 | ) | |||||||
Reed’s, Inc. (a) | 9,975 | (5,985 | ) | |||||||
Revlon, Inc., Class A(a) | 100 | (1,011 | ) | |||||||
Reynolds Consumer Products, Inc. | 5,700 | (155,838 | ) | |||||||
Seneca Foods Corp., Class A(a) | 100 | (4,822 | ) | |||||||
Simply Good Foods Co. (The) (a) | 6,100 | (210,389 | ) | |||||||
Spectrum Brands Holdings, Inc. | 4,800 | (459,216 | ) | |||||||
Splash Beverage Group, Inc. (a) | 100 | (200 | ) | |||||||
Tilray, Inc., Class 2(a) | 98,300 | (1,109,807 | ) | |||||||
TreeHouse Foods, Inc. (a) | 1,500 | (59,820 | ) | |||||||
Utz Brands, Inc. | 400 | (6,852 | ) | |||||||
Vector Group Ltd. | 28 | (357 | ) | |||||||
Village Farms International, Inc. (a) | 7,400 | (61,716 | ) | |||||||
|
| |||||||||
(7,676,879 | ) | |||||||||
|
| |||||||||
Financial Services — (0.2)% | ||||||||||
Altisource Portfolio Solutions SA (a) | 300 | (2,964 | ) | |||||||
Annaly Capital Management, Inc. | 2,900 | (24,418 | ) | |||||||
Ault Global Holdings, Inc. (a) | 100 | (243 | ) | |||||||
Brookfield Asset Management, Inc., Class A | 50,567 | (2,705,840 | ) | |||||||
Charles Schwab Corp. | 25,497 | (1,857,202 | ) | |||||||
Cohen & Co., Inc. | 400 | (7,728 | ) | |||||||
Coinbase Global, Inc., Class A(a) | 8,300 | (1,888,084 | ) | |||||||
Columbia Financial, Inc. (a) | 800 | (14,800 | ) | |||||||
Cuentas, Inc. (a) | 3,300 | (9,537 | ) | |||||||
Encore Capital Group, Inc. (a) | 900 | (44,343 | ) | |||||||
Federal Agricultural Mortgage Corp., Class C | 100 | (10,852 | ) | |||||||
Goldman Sachs Group, Inc. | 7,400 | (2,797,422 | ) | |||||||
Guild Holdings Co., Class A | 100 | (1,376 | ) | |||||||
Home Point Capital, Inc. | 3,300 | (13,596 | ) | |||||||
loanDepot, Inc., Class A | 500 | (3,385 | ) | |||||||
Mogo, Inc. (a) | 1,000 | (4,320 | ) | |||||||
Mr. Cooper Group, Inc. (a) | 1,400 | (57,638 | ) | |||||||
Navient Corp. | 24,800 | (489,304 | ) | |||||||
Nelnet, Inc., Class A | 600 | (47,544 | ) | |||||||
Patria Investments Ltd., Class A | 1,700 | (27,761 | ) | |||||||
PennyMac Mortgage Investment Trust | 14,100 | (277,629 | ) |
See Notes to Consolidated Financial Statements.
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September 30, 2021 (Unaudited)
Security Description | Shares | Value | ||||||||
Performant Financial Corp. (a) | 1,100 | $ | (4,356 | ) | ||||||
Reliance Global Group, Inc. (a) | 400 | (1,044 | ) | |||||||
Rocket Cos., Inc., Class A | 14,700 | (235,788 | ) | |||||||
Santander Consumer USA Holdings, Inc. | 15,500 | (646,350 | ) | |||||||
T Rowe Price Group, Inc. | 7,600 | (1,494,920 | ) | |||||||
US Global Investors, Inc., Class A | 1,700 | (9,673 | ) | |||||||
UWM Holdings Corp. | 200 | (1,390 | ) | |||||||
Walker & Dunlop, Inc. | 200 | (22,700 | ) | |||||||
World Acceptance Corp. (a) | 200 | (37,916 | ) | |||||||
|
| |||||||||
(12,740,123 | ) | |||||||||
|
| |||||||||
Health Care — (1.1)% | ||||||||||
10X Genomics, Inc., Class A (a) | 5,200 | (757,016 | ) | |||||||
4D Molecular Therapeutics, Inc. (a) | 1,300 | (35,061 | ) | |||||||
Aadi Bioscience, Inc. (a) | 20 | (587 | ) | |||||||
AbbVie, Inc. | 40 | (4,315 | ) | |||||||
AbCellera Biologics, Inc. (a) | 200 | (4,008 | ) | |||||||
Abeona Therapeutics, Inc. (a) | 17,400 | (19,488 | ) | |||||||
ABVC BioPharma, Inc. (a) | 7,400 | (17,094 | ) | |||||||
ACADIA Pharmaceuticals, Inc. (a) | 100 | (1,661 | ) | |||||||
Acasti Pharma, Inc. (a) | 15,925 | (31,850 | ) | |||||||
Acceleron Pharma, Inc. (a) | 300 | (51,630 | ) | |||||||
AcelRx Pharmaceuticals, Inc. (a) | 2,400 | (2,448 | ) | |||||||
Actinium Pharmaceuticals, Inc. (a) | 2,186 | (19,368 | ) | |||||||
Acurx Pharmaceuticals, Inc. (a) | 300 | (1,542 | ) | |||||||
Adamis Pharmaceuticals Corp. (a) | 53,500 | (51,895 | ) | |||||||
AdaptHealth Corp. (a) | 10,300 | (239,887 | ) | |||||||
Adaptive Biotechnologies Corp. (a) | 400 | (13,596 | ) | |||||||
Adial Pharmaceuticals, Inc. (a) | 4,400 | (18,876 | ) | |||||||
Aditxt, Inc. (a) | 7,500 | (12,675 | ) | |||||||
ADMA Biologics, Inc. (a) | 47,700 | (53,901 | ) | |||||||
Advaxis, Inc. (a) | 41,500 | (21,642 | ) | |||||||
Aeglea BioTherapeutics, Inc. (a) | 200 | (1,590 | ) | |||||||
Aeterna Zentaris, Inc. (a) | 33,924 | (25,443 | ) | |||||||
Aethlon Medical, Inc. (a) | 5,500 | (21,230 | ) | |||||||
AgeX Therapeutics, Inc. (a) | 2,100 | (1,974 | ) | |||||||
Agile Therapeutics, Inc. (a) | 3,800 | (3,652 | ) | |||||||
Agiliti, Inc. (a) | 2,800 | (53,312 | ) | |||||||
agilon health, Inc. (a) | 16,000 | (419,360 | ) | |||||||
Agios Pharmaceuticals, Inc. (a) | 8,700 | (401,505 | ) | |||||||
AIkido Pharma, Inc. (a) | 3,600 | (2,966 | ) | |||||||
Akebia Therapeutics, Inc. (a) | 5 | (14 | ) | |||||||
Akouos, Inc. (a) | 1,200 | (13,932 | ) | |||||||
Akoya Biosciences, Inc. (a) | 900 | (12,564 | ) | |||||||
Allena Pharmaceuticals, Inc. (a) | 17,800 | (16,059 | ) | |||||||
Allogene Therapeutics, Inc. (a) | 5,400 | (138,780 | ) |
See Notes to Consolidated Financial Statements.
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September 30, 2021 (Unaudited)
Security Description | Shares | Value | ||||||||
Alpha Pro Tech Ltd. (a) | 4,700 | $ | (31,631 | ) | ||||||
Altimmune, Inc. (a) | 6,000 | (67,860 | ) | |||||||
Ampio Pharmaceuticals, Inc. (a) | 38,912 | (64,594 | ) | |||||||
Angion Biomedica Corp. (a) | 400 | (3,908 | ) | |||||||
Apria, Inc. (a) | 300 | (11,145 | ) | |||||||
Aquestive Therapeutics, Inc. (a) | 800 | (3,488 | ) | |||||||
Asensus Surgical, Inc. (a) | 230 | (426 | ) | |||||||
Assertio Holdings, Inc. (a) | 13,450 | (12,186 | ) | |||||||
Atea Pharmaceuticals, Inc. (a) | 13,000 | (455,780 | ) | |||||||
Athenex, Inc. (a) | 8,922 | (26,855 | ) | |||||||
Athersys, Inc. (a) | 19,200 | (25,536 | ) | |||||||
Atossa Therapeutics, Inc. (a) | 25,300 | (82,478 | ) | |||||||
Aurinia Pharmaceuticals, Inc. (a) | 46,200 | (1,022,406 | ) | |||||||
Avalon GloboCare Corp. (a) | 5,101 | (4,530 | ) | |||||||
Aveanna Healthcare Holdings, Inc. (a) | 2,000 | (16,040 | ) | |||||||
Avenue Therapeutics, Inc. (a) | 100 | (149 | ) | |||||||
Avinger, Inc. (a) | 15,848 | (11,791 | ) | |||||||
Aytu BioPharma, Inc. (a) | 9,524 | (27,429 | ) | |||||||
Bellicum Pharmaceuticals, Inc. (a) | 2,970 | (8,672 | ) | |||||||
Beyondspring, Inc. (a) | 300 | (4,728 | ) | |||||||
BioAtla, Inc. (a) | 600 | (17,664 | ) | |||||||
Biocept, Inc. (a) | 4,110 | (16,481 | ) | |||||||
BioLife Solutions, Inc. (a) | 700 | (29,624 | ) | |||||||
Biomerica, Inc. (a) | 1,700 | (7,650 | ) | |||||||
BioNano Genomics, Inc. (a) | 77,900 | (428,450 | ) | |||||||
BioSig Technologies, Inc. (a) | 2,400 | (7,152 | ) | |||||||
BioVie, Inc. (a) | 400 | (2,692 | ) | |||||||
Bluebird Bio, Inc. (a) | 200 | (3,822 | ) | |||||||
Blueprint Medicines Corp. (a) | 1,700 | (174,777 | ) | |||||||
Bolt Biotherapeutics, Inc. (a) | 1,300 | (16,445 | ) | |||||||
BriaCell Therapeutics Corp. (a) | 4,000 | (32,400 | ) | |||||||
Brooklyn ImmunoTherapeutics, Inc. (a) | 50 | (465 | ) | |||||||
Butterfly Network, Inc. (a) | 6,100 | (63,684 | ) | |||||||
Capital Senior Living Corp. (a) | 146 | (5,142 | ) | |||||||
Capricor Therapeutics, Inc. (a) | 7,100 | (28,542 | ) | |||||||
Cassava Sciences, Inc. (a) | 14,400 | (893,952 | ) | |||||||
cbdMD, Inc. (a) | 3,200 | (6,656 | ) | |||||||
Celldex Therapeutics, Inc. (a) | 166 | (8,962 | ) | |||||||
Centene Corp. (a) | 59,900 | (3,732,369 | ) | |||||||
Certara, Inc. (a) | 4,500 | (148,950 | ) | |||||||
Check Cap Ltd. (a) | 8,400 | (7,361 | ) | |||||||
Chembio Diagnostics, Inc. (a) | 10,300 | (25,750 | ) | |||||||
ChemoCentryx, Inc. (a) | 4,100 | (70,110 | ) | |||||||
China Pharma Holdings, Inc. (a) | 8,300 | (4,636 | ) | |||||||
ChromaDex Corp. (a) | 400 | (2,508 | ) | |||||||
Clene, Inc. (a) | 1,900 | (12,977 | ) |
See Notes to Consolidated Financial Statements.
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September 30, 2021 (Unaudited)
Security Description | Shares | Value | ||||||||
Clover Health Investments Corp. (a) | 22,800 | $ | (168,492 | ) | ||||||
Clovis Oncology, Inc. (a) | 5,000 | (22,300 | ) | |||||||
CNS Pharmaceuticals, Inc. (a) | 3,300 | (4,917 | ) | |||||||
Co-Diagnostics, Inc. (a) | 10,400 | (101,192 | ) | |||||||
Cogent Biosciences, Inc. (a) | 3,300 | (27,753 | ) | |||||||
Coherus Biosciences, Inc. (a) | 200 | (3,214 | ) | |||||||
Congent Biosciences, Inc. | 1,000 | 0 | ||||||||
Corbus Pharmaceuticals Holdings, Inc. (a) | 300 | (306 | ) | |||||||
Corvus Pharmaceuticals, Inc. (a) | 7,900 | (38,236 | ) | |||||||
Cullinan Oncology, Inc. (a) | 3,200 | (72,224 | ) | |||||||
Cyteir Therapeutics, Inc. (a) | 300 | (5,265 | ) | |||||||
Dare Bioscience, Inc. (a) | 3,900 | (6,513 | ) | |||||||
Deciphera Pharmaceuticals, Inc. (a) | 1,400 | (47,572 | ) | |||||||
Design Therapeutics, Inc. (a) | 1,000 | (14,690 | ) | |||||||
Diffusion Pharmaceuticals, Inc. (a) | 14,400 | (7,340 | ) | |||||||
Dyadic International, Inc. (a) | 2,900 | (16,124 | ) | |||||||
Edesa Biotech, Inc. (a) | 4,700 | (34,686 | ) | |||||||
Edgewise Therapeutics, Inc. (a) | 1,100 | (18,260 | ) | |||||||
Ekso Bionics Holdings, Inc. (a) | 1,100 | (5,082 | ) | |||||||
Elanco Animal Health, Inc. (a) | 8,400 | (267,876 | ) | |||||||
ENDRA Life Sciences, Inc. (a) | 5,100 | (8,823 | ) | |||||||
Enveric Biosciences, Inc. (a) | 11,275 | (23,339 | ) | |||||||
Equillium, Inc. (a) | 2,400 | (16,368 | ) | |||||||
Evofem Biosciences, Inc. (a) | 55,800 | (41,214 | ) | |||||||
Evoke Pharma, Inc. (a) | 9,034 | (11,744 | ) | |||||||
Exact Sciences Corp. (a) | 2,100 | (200,445 | ) | |||||||
Exicure, Inc. (a) | 700 | (840 | ) | |||||||
Fennec Pharmaceuticals, Inc. (a) | 1,300 | (12,246 | ) | |||||||
Finch Therapeutics Group, Inc. (a) | 300 | (3,900 | ) | |||||||
First Wave BioPharma, Inc. (a) | 3,280 | (9,217 | ) | |||||||
Foghorn Therapeutics, Inc. (a) | 500 | (6,965 | ) | |||||||
Forma Therapeutics Holdings, Inc. (a) | 1,000 | (23,190 | ) | |||||||
Forte Biosciences, Inc. (a) | 4,000 | (11,840 | ) | |||||||
Fulgent Genetics, Inc. (a) | 7,500 | (674,625 | ) | |||||||
Galectin Therapeutics, Inc. (a) | 1,200 | (4,656 | ) | |||||||
Galera Therapeutics, Inc. (a) | 600 | (4,860 | ) | |||||||
GBS, Inc. (a) | 5,000 | (12,600 | ) | |||||||
Genprex, Inc. (a) | 11,600 | (31,088 | ) | |||||||
Geron Corp. (a) | 27,300 | (37,401 | ) | |||||||
Global Blood Therapeutics, Inc. (a) | 500 | (12,740 | ) | |||||||
GoodRx Holdings, Inc., Class A (a) | 3,500 | (143,570 | ) | |||||||
Greenwich Lifesciences, Inc. (a) | 500 | (19,535 | ) | |||||||
Heat Biologics, Inc. (a) | 7,528 | (44,792 | ) | |||||||
Heron Therapeutics, Inc. (a) | 23,300 | (249,077 | ) | |||||||
Histogen, Inc. (a) | 100 | (76 | ) | |||||||
Hologic, Inc. (a) | 11,100 | (819,291 | ) |
See Notes to Consolidated Financial Statements.
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September 30, 2021 (Unaudited)
Security Description | Shares | Value | ||||||||
Horizon Therapeutics plc (a) | 100 | $ | (10,954 | ) | ||||||
HTG Molecular Diagnostics, Inc. (a) | 933 | (5,327 | ) | |||||||
Humanigen, Inc. (a) | 18,900 | (112,077 | ) | |||||||
iBio, Inc. (a) | 65,500 | (69,430 | ) | |||||||
IGM Biosciences, Inc. (a) | 600 | (39,456 | ) | |||||||
Ikena Oncology, Inc. (a) | 1,400 | (17,668 | ) | |||||||
ImmunityBio, Inc. (a) | 14,900 | (145,126 | ) | |||||||
ImmunoPrecise Antibodies Ltd. (a) | 4,400 | (27,368 | ) | |||||||
IMV, Inc. (a) | 1,100 | (1,826 | ) | |||||||
Incyte Corp. (a) | 3,300 | (226,974 | ) | |||||||
Indaptus Therapeutics, Inc. (a) | 28 | (219 | ) | |||||||
Inhibikase Therapeutics, Inc. (a) | 1,100 | (2,090 | ) | |||||||
Inhibrx, Inc. (a) | 200 | (6,662 | ) | |||||||
Inmune Bio, Inc. (a) | 6,400 | (124,288 | ) | |||||||
Innovage Holding Corp. (a) | 3,200 | �� | (21,152 | ) | ||||||
Inovio Pharmaceuticals, Inc. (a) | 68,000 | (486,880 | ) | |||||||
Instil Bio, Inc. (a) | 4,100 | (73,288 | ) | |||||||
Insulet Corp. (a) | 3,300 | (937,959 | ) | |||||||
Intra-Cellular Therapies, Inc. (a) | 100 | (3,728 | ) | |||||||
InVivo Therapeutics Holdings Corp. (a) | 200 | (140 | ) | |||||||
INVO BioScience, Inc. (a) | 700 | (2,261 | ) | |||||||
IsoRay, Inc. (a) | 1,500 | (946 | ) | |||||||
Iterum Therapeutics plc (a) | 2,700 | (1,508 | ) | |||||||
Jaguar Health, Inc. (a) | 16,466 | (37,378 | ) | |||||||
JanOne, Inc. (a) | 800 | (5,472 | ) | |||||||
Jazz Pharmaceuticals plc (a) | 1,900 | (247,399 | ) | |||||||
Jupiter Wellness, Inc. (a) | 2,900 | (4,089 | ) | |||||||
Kala Pharmaceuticals, Inc. (a) | 14,800 | (38,776 | ) | |||||||
Lexaria Bioscience Corp. (a) | 1,800 | (11,268 | ) | |||||||
Lexicon Pharmaceuticals, Inc. (a) | 400 | (1,924 | ) | |||||||
LHC Group, Inc. (a) | 2,483 | (389,608 | ) | |||||||
LifeStance Health Group, Inc. (a) | 1,800 | (26,100 | ) | |||||||
Liminal BioSciences, Inc. (a) | 6,300 | (14,427 | ) | |||||||
Lipocine, Inc. (a) | 18,400 | (20,056 | ) | |||||||
Longboard Pharmaceuticals, Inc. (a) | 600 | (5,346 | ) | |||||||
Lucira Health, Inc. (a) | 8,700 | (66,120 | ) | |||||||
Lumos Pharma, Inc. (a) | 22 | (209 | ) | |||||||
Lyell Immunopharma, Inc. (a) | 600 | (8,880 | ) | |||||||
MannKind Corp. (a) | 29 | (126 | ) | |||||||
Matinas BioPharma Holdings, Inc. (a) | 500 | (650 | ) | |||||||
MediciNova, Inc. (a) | 1,700 | (6,443 | ) | |||||||
Microbot Medical, Inc. (a) | 1,315 | (9,244 | ) | |||||||
Milestone Scientific, Inc. (a) | 4,900 | (9,163 | ) | |||||||
Minerva Neurosciences, Inc. (a) | 100 | (174 | ) | |||||||
Mirati Therapeutics, Inc. (a) | 1,400 | (247,674 | ) | |||||||
Moderna, Inc. (c) | 76,670 | (29,507,216 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Security Description | Shares | Value | ||||||||||
ModivCare, Inc. (a) | 400 | $ | (72,648 | ) | ||||||||
Moleculin Biotech, Inc. (a) | 4,400 | (13,200 | ) | |||||||||
Monte Rosa Therapeutics, Inc. (a) | 300 | (6,684 | ) | |||||||||
Motus GI Holdings, Inc. (a) | 14,900 | (10,274 | ) | |||||||||
MyMD Pharmaceuticals, Inc. (a) | 3,800 | (27,360 | ) | |||||||||
Nabriva Therapeutics plc (a) | 17,900 | (21,301 | ) | |||||||||
NanoVibronix, Inc. (a) | 400 | (824 | ) | |||||||||
NanoViricides, Inc. (a) | 4,100 | (19,024 | ) | |||||||||
Nemaura Medical, Inc. (a) | 100 | (601 | ) | |||||||||
Neogen Corp. (a) | 1,400 | (60,802 | ) | |||||||||
NeoGenomics, Inc. (a) | 5,700 | (274,968 | ) | |||||||||
Neovasc, Inc. (a) | 8,100 | (5,873 | ) | |||||||||
Neptune Wellness Solutions, Inc. (a) | 34,100 | (20,617 | ) | |||||||||
NeuroPace, Inc. (a) | 200 | (3,170 | ) | |||||||||
Nkarta, Inc. (a) | 1,100 | (30,591 | ) | |||||||||
Novan, Inc. (a) | 10 | (81 | ) | |||||||||
Novavax, Inc. (a) | 1,800 | (373,158 | ) | |||||||||
Nuvation Bio, Inc. (a) | 400 | (3,976 | ) | |||||||||
Nuwellis, Inc. (a) | 100 | (220 | ) | |||||||||
Nymox Pharmaceutical Corp. (a) | 2,400 | (4,944 | ) | |||||||||
Oak Street Health, Inc. (a) | 400 | (17,012 | ) | |||||||||
Ocugen, Inc. (a) | 71,500 | (513,370 | ) | |||||||||
Oncolytics Biotech, Inc. (a) | 1,900 | (3,971 | ) | |||||||||
Onconova Therapeutics, Inc. (a) | 7,467 | (28,599 | ) | |||||||||
OPKO Health, Inc. (a) | 19,399 | (70,806 | ) | |||||||||
Optinose, Inc. (a) | 1,600 | (4,800 | ) | |||||||||
Oragenics, Inc. (a) | 29,600 | (18,787 | ) | |||||||||
Organovo Holdings, Inc. (a) | 5 | (34 | ) | |||||||||
Orgenesis, Inc. (a) | 1,278 | (6,326 | ) | |||||||||
ORIC Pharmaceuticals, Inc. (a) | 300 | (6,273 | ) | |||||||||
PDL BioPharma, Inc. (a) | 4,500 | (11,115 | ) | |||||||||
Penumbra, Inc. (a) | 1,400 | (373,100 | ) | |||||||||
PetIQ, Inc. (a) | 1,800 | (44,946 | ) | |||||||||
Petros Pharmaceuticals, Inc. (a) | 300 | (600 | ) | |||||||||
Pfizer, Inc. | 1,000 | (43,010 | ) | |||||||||
PharmaCyte Biotech, Inc. (a) | 2,700 | (8,559 | ) | |||||||||
PhaseBio Pharmaceuticals, Inc. (a) | 900 | (2,799 | ) | |||||||||
Pliant Therapeutics, Inc. (a) | 200 | (3,376 | ) | |||||||||
Pluristem Therapeutics, Inc. (a) | 200 | (530 | ) | |||||||||
Poseida Therapeutics, Inc. (a) | 1,200 | (8,748 | ) | |||||||||
Predictive Oncology, Inc. (a) | 700 | (931 | ) | |||||||||
Prelude Therapeutics, Inc. (a) | 200 | (6,250 | ) | |||||||||
Progenity, Inc. (a) | 100 | (152 | ) | |||||||||
Prometheus Biosciences, Inc. (a) | 1,000 | (23,710 | ) | |||||||||
Protalix BioTherapeutics, Inc. (a) | 8,700 | (11,571 | ) | |||||||||
PTC Therapeutics, Inc. (a) | 500 | (18,605 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Security Description | Shares | Value | ||||||||||
Pulmatrix, Inc. (a) | 6,400 | $ | (5,119 | ) | ||||||||
Qualigen Therapeutics, Inc. (a) | 6,200 | (8,060 | ) | |||||||||
Quidel Corp. (a) | 8,900 | (1,256,235 | ) | |||||||||
Reata Pharmaceuticals, Inc., Class A (a) | 3,400 | (342,074 | ) | |||||||||
Recursion Pharmaceuticals, Inc., Class A (a) | 3,900 | (89,739 | ) | |||||||||
Repare Therapeutics, Inc. (a) | 300 | (7,872 | ) | |||||||||
Repligen Corp. (a) | 100 | (28,899 | ) | |||||||||
Retractable Technologies, Inc. (a) | 6,600 | (72,798 | ) | |||||||||
Revance Therapeutics, Inc. (a) | 1,900 | (52,934 | ) | |||||||||
Reviva Pharmaceuticals Holdings, Inc. (a) | 400 | (1,628 | ) | |||||||||
Rockwell Medical, Inc. (a) | 14,400 | (8,582 | ) | |||||||||
Sage Therapeutics, Inc. (a) | 2,400 | (106,344 | ) | |||||||||
Sana Biotechnology, Inc. (a) | 1,800 | (40,536 | ) | |||||||||
Sanara Medtech, Inc. (a) | 200 | (6,808 | ) | |||||||||
Seagen, Inc. (a) | 4,000 | (679,200 | ) | |||||||||
Seer, Inc. (a) | 3,300 | (113,949 | ) | |||||||||
SELLAS Life Sciences Group, Inc. (a) | 5,167 | (47,330 | ) | |||||||||
Shattuck Labs, Inc. (a) | 100 | (2,038 | ) | |||||||||
Shockwave Medical, Inc. (a) | 2,300 | (473,524 | ) | |||||||||
SmileDirectClub, Inc. (a) | 200 | (1,064 | ) | |||||||||
Soligenix, Inc. (a) | 14,400 | (15,264 | ) | |||||||||
Sonoma Pharmaceuticals, Inc. (a) | 900 | (5,022 | ) | |||||||||
Sorrento Therapeutics, Inc. (a) | 107,100 | (817,173 | ) | |||||||||
Sotera Health Co. (a) | 10,200 | (266,730 | ) | |||||||||
Star Equity Holdings, Inc. (a) | 1,700 | (4,624 | ) | |||||||||
STERIS plc | 700 | (142,996 | ) | |||||||||
Surgery Partners, Inc. (a) | 600 | (25,404 | ) | |||||||||
Synaptogenix, Inc. (a) | 2,200 | (21,868 | ) | |||||||||
Taro Pharmaceutical Industries Ltd. (a) | 200 | (12,726 | ) | |||||||||
Teladoc Health, Inc. (a) | 31,900 | (4,045,239 | ) | |||||||||
Teligent, Inc. (a) | 33,400 | (13,327 | ) | |||||||||
Tenax Therapeutics, Inc. (a) | 800 | (1,416 | ) | |||||||||
Terns Pharmaceuticals, Inc. (a) | 100 | (1,042 | ) | |||||||||
TG Therapeutics, Inc. (a) | 4,300 | (143,104 | ) | |||||||||
Theravance Biopharma, Inc. (a) | 4,600 | (34,040 | ) | |||||||||
Thermo Fisher Scientific, Inc. | 1,000 | (571,330 | ) | |||||||||
ThermoGenesis Holdings, Inc. (a) | 700 | (1,379 | ) | |||||||||
Titan Medical, Inc. (a) | 10,600 | (16,112 | ) | |||||||||
Titan Pharmaceuticals, Inc. (a) | 2,300 | (4,301 | ) | |||||||||
Treace Medical Concepts, Inc., Class C (a) | 1,600 | (43,040 | ) | |||||||||
Trillium Therapeutics, Inc. (a) | 28,800 | (505,728 | ) | |||||||||
UroGen Pharma Ltd. (a) | 1,600 | (26,912 | ) | |||||||||
Vaccinex, Inc. (a) | 3,300 | (7,128 | ) | |||||||||
Vaxart, Inc. (a) | 40,300 | (320,385 | ) | |||||||||
Vaxcyte, Inc. (a) | 400 | (10,148 | ) | |||||||||
Veracyte, Inc. (a) | 500 | (23,225 | ) |
See Notes to Consolidated Financial Statements.
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September 30, 2021 (Unaudited)
Security Description | Shares | Value | ||||||||||
Verve Therapeutics, Inc. (a) | 100 | $ | (4,700 | ) | ||||||||
Vir Biotechnology, Inc. (a) | 10,800 | (470,016 | ) | |||||||||
Viracta Therapeutics, Inc. (a) | 2,682 | (21,510 | ) | |||||||||
Viveve Medical, Inc. (a) | 3,800 | (8,664 | ) | |||||||||
VolitionRX Ltd. (a) | 1,600 | (4,960 | ) | |||||||||
Vor BioPharma, Inc. (a) | 1,400 | (21,952 | ) | |||||||||
vTv Therapeutics, Inc., Class A (a) | 700 | (1,071 | ) | |||||||||
Xeris Pharmaceuticals, Inc. (a) | 23,900 | (58,555 | ) | |||||||||
Xtant Medical Holdings, Inc. (a) | 3,700 | (4,107 | ) | |||||||||
Zimmer Biomet Holdings, Inc. | 200 | (29,272 | ) | |||||||||
Zivo Bioscience, Inc. (a) | 3,300 | (15,048 | ) | |||||||||
Zogenix, Inc. (a) | 2,700 | (41,013 | ) | |||||||||
Zomedica Corp. (a) | 352,700 | (184,638 | ) | |||||||||
Zosano Pharma Corp. (a) | 29,596 | (21,300 | ) | |||||||||
Zynex, Inc. (a) | 5,900 | (67,201 | ) | |||||||||
|
| |||||||||||
(59,920,026 | ) | |||||||||||
|
| |||||||||||
Health Care Facilities & Services — (0.0)% | ||||||||||||
Caladrius Biosciences, Inc. (a) | 1,900 | (2,318 | ) | |||||||||
Invitae Corp. (a) | 300 | (8,529 | ) | |||||||||
McKesson Corp. | 100 | (19,938 | ) | |||||||||
Owens & Minor, Inc. | 3,800 | (118,902 | ) | |||||||||
Viemed Healthcare, Inc. (a) | 1,800 | (9,990 | ) | |||||||||
|
| |||||||||||
(159,677 | ) | |||||||||||
|
| |||||||||||
Health Care Facilities & Services — (0.0)% | ||||||||||||
Elanco Animal Health, Inc. | 6,500 | 0 | ||||||||||
|
| |||||||||||
Industrial Products — (0.2)% | ||||||||||||
Advanced Energy Industries, Inc. | 1,900 | (166,725 | ) | |||||||||
AeroVironment, Inc. (a) | 300 | (25,896 | ) | |||||||||
AgEagle Aerial Systems, Inc. (a) | 21,800 | (65,618 | ) | |||||||||
Agrify Corp. (a) | 7,400 | (137,196 | ) | |||||||||
Alamo Group, Inc. | 200 | (27,906 | ) | |||||||||
Altra Industrial Motion Corp. | 2,400 | (132,840 | ) | |||||||||
AMMO, Inc. (a) | 7,200 | (44,280 | ) | |||||||||
Astec Industries, Inc. | 1,100 | (59,191 | ) | |||||||||
Belden, Inc. | 800 | (46,608 | ) | |||||||||
Blink Charging Co. (a) | 15,100 | (432,011 | ) | |||||||||
BWX Technologies, Inc. | 5,500 | (296,230 | ) | |||||||||
Chart Industries, Inc. (a) | 2,700 | (515,997 | ) | |||||||||
Eastman Kodak Co. (a) | 28,200 | (192,042 | ) | |||||||||
Energous Corp. (a) | 22,600 | (47,008 | ) | |||||||||
Enerpac Tool Group Corp. | 2,300 | (47,679 | ) | |||||||||
FreightCar America, Inc. (a) | 5,500 | (24,915 | ) | |||||||||
Generac Holdings, Inc. (a) | 1,000 | (408,670 | ) | |||||||||
General Electric Co. | 50 | (5,151 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Security Description | Shares | Value | ||||||||||
GreenPower Motor Co., Inc. (a) | 1,800 | $ | (26,784 | ) | ||||||||
Grom Social Enterprises, Inc. (a) | 4,300 | (17,200 | ) | |||||||||
Hayward Holdings, Inc. (a) | 4,700 | (104,528 | ) | |||||||||
Helios Technologies, Inc. | 700 | (57,477 | ) | |||||||||
Hydrofarm Holdings Group, Inc. (a) | 8,700 | (329,295 | ) | |||||||||
Ideal Power, Inc. (a) | 1,200 | (18,264 | ) | |||||||||
Ingersoll Rand, Inc. (a) | 44,052 | (2,220,661 | ) | |||||||||
IntriCon Corp. (a) | 300 | (5,448 | ) | |||||||||
John Bean Technologies Corp. | 1,500 | (210,825 | ) | |||||||||
Kelso Technologies, Inc. (a) | 12,700 | (8,001 | ) | |||||||||
Kratos Defense & Security Solutions, Inc. (a) | 1,500 | (33,465 | ) | |||||||||
L3Harris Technologies, Inc. | 9,600 | (2,114,304 | ) | |||||||||
Loop Industries, Inc. (a) | 100 | (1,143 | ) | |||||||||
Luna Innovations, Inc. (a) | 300 | (2,850 | ) | |||||||||
Mechanical Technology, Inc. (a) | 200 | (1,604 | ) | |||||||||
Middleby Corp. (a) | 3,700 | (630,887 | ) | |||||||||
Nikola Corp. (a) | 7,800 | (83,226 | ) | |||||||||
Novanta, Inc. (a) | 900 | (139,050 | ) | |||||||||
Raven Industries, Inc. (a) | 2,100 | (120,981 | ) | |||||||||
RBC Bearings, Inc. (a) | 300 | (63,660 | ) | |||||||||
Research Frontiers, Inc. (a) | 1,900 | (4,864 | ) | |||||||||
Shyft Group, Inc. (The) | 200 | (7,602 | ) | |||||||||
Sypris Solutions, Inc. (a) | 1,700 | (6,069 | ) | |||||||||
TAT Technologies Ltd. (a) | 500 | (2,920 | ) | |||||||||
Teledyne Technologies, Inc. (a) | 7 | (3,007 | ) | |||||||||
Textron, Inc. | 800 | (55,848 | ) | |||||||||
Toughbuilt Industries, Inc. (a) | 46,500 | (23,841 | ) | |||||||||
Vertiv Holdings Co. | 1,100 | (26,499 | ) | |||||||||
Westinghouse Air Brake Technologies Corp. | 5,000 | (431,050 | ) | |||||||||
WidePoint Corp. (a) | 200 | (1,050 | ) | |||||||||
Workhorse Group, Inc. (a) | 44,600 | (341,190 | ) | |||||||||
Wrap Technologies, Inc. (a) | 1,000 | (5,990 | ) | |||||||||
XL Fleet Corp. (a) | 11,600 | (71,456 | ) | |||||||||
Xometry, Inc., Class A(a) | 2,700 | (155,709 | ) | |||||||||
|
| |||||||||||
(10,002,711 | ) | |||||||||||
|
| |||||||||||
Industrial Services — (0.1)% | ||||||||||||
ADT, Inc. | 8,500 | (68,765 | ) | |||||||||
AECOM (a) | 5,000 | (315,750 | ) | |||||||||
Air Transport Services Group, Inc. (a) | 1,300 | (33,553 | ) | |||||||||
Alexco Resource Corp. (a) | 7,800 | (11,700 | ) | |||||||||
AMERCO | 200 | (129,206 | ) | |||||||||
API Group Corp. (a) | 1,200 | (24,420 | ) | |||||||||
ASGN, Inc. (a) | 500 | (56,570 | ) | |||||||||
Atlas Air Worldwide Holdings, Inc. (a) | 4,100 | (334,888 | ) | |||||||||
Brink’s Co. | 500 | (31,650 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Security Description | Shares | Value | ||||||||
Centrus Energy Corp., Class A (a) | 1,000 | $ | (38,660 | ) | ||||||
Comfort Systems USA, Inc. | 300 | (21,396 | ) | |||||||
Construction Partners, Inc., Class A (a) | 900 | (30,033 | ) | |||||||
Copa Holdings SA, Class A (a) | 4,000 | (325,520 | ) | |||||||
CryoPort, Inc. (a) | 900 | (59,859 | ) | |||||||
Deluxe Corp. | 600 | (21,534 | ) | |||||||
Denison Mines Corp. (a) | 135,300 | (198,891 | ) | |||||||
DHT Holdings, Inc. | 1,000 | (6,530 | ) | |||||||
EMCOR Group, Inc. | 300 | (34,614 | ) | |||||||
EVI Industries, Inc. (a) | 100 | (2,720 | ) | |||||||
Expeditors International of Washington, Inc. | 1,400 | (166,782 | ) | |||||||
FedEx Corp. | 5,800 | (1,271,882 | ) | |||||||
Frontier Group Holdings, Inc. (a) | 6,500 | (102,635 | ) | |||||||
GEE Group, Inc. (a) | 200 | (93 | ) | |||||||
Harsco Corp. (a) | 4,500 | (76,275 | ) | |||||||
Herc Holdings, Inc. | 46 | (7,519 | ) | |||||||
Ideanomics, Inc. (a) | 148,400 | (292,348 | ) | |||||||
Innodata, Inc. (a) | 200 | (1,906 | ) | |||||||
International Seaways, Inc. | 3,556 | (64,790 | ) | |||||||
Latham Group, Inc. (a) | 3,700 | (60,680 | ) | |||||||
Lightbridge Corp. (a) | 1,790 | (8,717 | ) | |||||||
Matson, Inc. | 1,600 | (129,136 | ) | |||||||
Montrose Environmental Group, Inc. (a) | 200 | (12,348 | ) | |||||||
Nordic American Tankers Ltd. | 15,400 | (39,424 | ) | |||||||
NV5 Global, Inc. (a) | 300 | (29,571 | ) | |||||||
Orbital Energy Group, Inc. (a) | 23,400 | (72,072 | ) | |||||||
Quanta Services, Inc. | 2,000 | (227,640 | ) | |||||||
Saia, Inc. (a) | 100 | (23,803 | ) | |||||||
SEACOR Marine Holdings, Inc. (a) | 800 | (3,704 | ) | |||||||
Southwest Airlines Co. (a) | 200 | (10,286 | ) | |||||||
Stericycle, Inc. (a) | 4,600 | (312,662 | ) | |||||||
Sun Country Airlines Holdings, Inc. (a) | 3,100 | (103,974 | ) | |||||||
Team, Inc. (a) | 3,300 | (9,933 | ) | |||||||
Teekay Tankers Ltd., Class A (a) | 7,837 | (113,872 | ) | |||||||
Terminix Global Holdings, Inc. (a) | 300 | (12,501 | ) | |||||||
Tetra Tech, Inc. | 800 | (119,472 | ) | |||||||
TOMI Environmental Solutions, Inc. (a) | 1,600 | (2,184 | ) | |||||||
TOP Ships, Inc. (a) | 9,700 | (14,356 | ) | |||||||
TrueBlue, Inc. (a) | 300 | (8,124 | ) | |||||||
United Rentals, Inc. (a) | 1,800 | (631,674 | ) | |||||||
Vertex Energy, Inc. (a) | 11,100 | (58,164 | ) | |||||||
Vivint Smart Home, Inc. (a) | 7,600 | (71,820 | ) | |||||||
WESCO International, Inc. (a) | 3,000 | (345,960 | ) | |||||||
Willdan Group, Inc. (a) | 500 | (17,795 | ) | |||||||
|
| |||||||||
(6,170,361 | ) | |||||||||
|
|
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Security Description | Shares | Value | ||||||||
Insurance — (0.3)% | ||||||||||
Aflac, Inc. | 16,400 | $ | (854,932 | ) | ||||||
American Financial Group, Inc. | 500 | (62,915 | ) | |||||||
American International Group, Inc. | 42,200 | (2,316,358 | ) | |||||||
American National Group, Inc. | 100 | (18,903 | ) | |||||||
Arch Capital Group Ltd. (a) | 1,000 | (38,180 | ) | |||||||
Assurant, Inc. | 200 | (31,550 | ) | |||||||
Atlantic American Corp. | 1,612 | (6,754 | ) | |||||||
Berkshire Hathaway, Inc., Class B (a) | 37,700 | (10,289,838 | ) | |||||||
Cincinnati Financial Corp. | 4,600 | (525,412 | ) | |||||||
CNA Financial Corp. | 200 | (8,392 | ) | |||||||
eHealth, Inc. (a) | 6,300 | (255,150 | ) | |||||||
Enstar Group Ltd. (a) | 100 | (23,473 | ) | |||||||
Goosehead Insurance, Inc., Class A | 1,800 | (274,122 | ) | |||||||
Kemper Corp. | 200 | (13,358 | ) | |||||||
Mercury General Corp. | 1,100 | (61,237 | ) | |||||||
Palomar Holdings, Inc. (a) | 300 | (24,249 | ) | |||||||
RenaissanceRe Holdings Ltd. | 900 | (125,460 | ) | |||||||
Selective Insurance Group, Inc. | 800 | (60,424 | ) | |||||||
Selectquote, Inc. (a) | 500 | (6,465 | ) | |||||||
Sun Life Financial, Inc. | 600 | (30,870 | ) | |||||||
|
| |||||||||
(15,028,042 | ) | |||||||||
|
| |||||||||
Materials — (0.2)% | ||||||||||
Advanced Drainage Systems, Inc. | 6,600 | (713,922 | ) | |||||||
Almaden Minerals Ltd., Class B (a) | 13,200 | (5,303 | ) | |||||||
American Resources Corp. (a) | 21,600 | (41,040 | ) | |||||||
Americas Gold & Silver Corp. (a) | 27,600 | (21,994 | ) | |||||||
Apogee Enterprises, Inc. | 200 | (7,552 | ) | |||||||
Arconic Corp. (a) | 600 | (18,924 | ) | |||||||
Avient Corp. | 4,100 | (190,035 | ) | |||||||
Avino Silver & Gold Mines Ltd. (a) | 11,300 | (9,323 | ) | |||||||
Ball Corp. | 4,500 | (404,865 | ) | |||||||
Barrick Gold Corp. | 48 | (866 | ) | |||||||
Berry Global Group, Inc. (a) | 10,300 | (627,064 | ) | |||||||
Carlisle Cos., Inc. | 900 | (178,911 | ) | |||||||
Celanese Corp. | 700 | (105,448 | ) | |||||||
Comstock Mining, Inc. (a) | 16,300 | (43,521 | ) | |||||||
CPS Technologies Corp. (a) | 4,500 | (22,365 | ) | |||||||
Danimer Scientific, Inc. (a) | 400 | (6,536 | ) | |||||||
Diversey Holdings Ltd. (a) | 7,700 | (123,508 | ) | |||||||
Domtar Corp. (a) | 1,100 | (59,994 | ) | |||||||
Eagle Materials, Inc. | 3,100 | (406,596 | ) | |||||||
Energy Fuels, Inc. (a) | 4,100 | (28,782 | ) | |||||||
Equinox Gold Corp. (a) | 37,700 | (248,820 | ) | |||||||
First Majestic Silver Corp. | 100 | (1,130 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Security Description | Shares | Value | ||||||||
FMC Corp. | 10,400 | $ | (952,224 | ) | ||||||
Galiano Gold, Inc. (a) | 12,500 | (9,000 | ) | |||||||
Gold Standard Ventures Corp. (a) | 8,500 | (3,857 | ) | |||||||
Golden Minerals Co. (a) | 14,400 | (6,219 | ) | |||||||
Golden Star Resources Ltd. (a) | 8,300 | (19,754 | ) | |||||||
GoldMining, Inc. (a) | 3,000 | (3,510 | ) | |||||||
Great Panther Mining Ltd. (a) | 42,400 | (19,504 | ) | |||||||
Greif, Inc., Class A | 2,000 | (129,200 | ) | |||||||
Ikonics Corp. (a) | 100 | (2,819 | ) | |||||||
International Flavors & Fragrances, Inc. | 7,500 | (1,002,900 | ) | |||||||
International Tower Hill Mines Ltd. (a) | 1,900 | (1,417 | ) | |||||||
IT Tech Packaging, Inc. (a) | 6,400 | (2,474 | ) | |||||||
Kaiser Aluminum Corp. | 500 | (54,480 | ) | |||||||
Kirkland Lake Gold Ltd. | 19,000 | (790,210 | ) | |||||||
Koppers Holdings, Inc. (a) | 200 | (6,252 | ) | |||||||
Louisiana-Pacific Corp. | 2,100 | (128,877 | ) | |||||||
MAG Silver Corp. (a) | 200 | (3,240 | ) | |||||||
Meta Materials, Inc. (a) | 102,250 | (591,005 | ) | |||||||
Metalla Royalty & Streaming Ltd. (a) | 3, 500 | (23,800 | ) | |||||||
NexGen Energy Ltd. (a) | 200 | (946 | ) | |||||||
North American Construction Group Ltd. | 300 | (4,416 | ) | |||||||
Northern Dynasty Minerals Ltd. (a) | 35,500 | (16,309 | ) | |||||||
Novagold Resources, Inc. (a) | 20,800 | (143,104 | ) | |||||||
Nucor Corp. | 5,800 | (571,242 | ) | |||||||
Orla Mining Ltd. (a) | 2,300 | (7,544 | ) | |||||||
Pactiv Evergreen, Inc. | 2,800 | (35,056 | ) | |||||||
PolyMet Mining Corp. (a) | 2,100 | (6,405 | ) | |||||||
Quaker Chemical Corp. | 500 | (118,860 | ) | |||||||
Reliance Steel & Aluminum Co. | 1,300 | (185,146 | ) | |||||||
RPM International, Inc. | 2,100 | (163,065 | ) | |||||||
Schweitzer-Mauduit International, Inc. | 400 | (13,864 | ) | |||||||
SilverCrest Metals, Inc. (a) | 6,300 | (43,974 | ) | |||||||
SiNtx Technologies, Inc. (a) | 8,800 | (11,264 | ) | |||||||
Solitario Zinc Corp. (a) | 9,100 | (5,051 | ) | |||||||
SSR Mining, Inc. | 22,000 | (320,100 | ) | |||||||
Standard Lithium Ltd. (a) | 100 | (813 | ) | |||||||
Steel Dynamics, Inc. | 2,100 | (122,808 | ) | |||||||
Summit Materials, Inc., Class A (a) | 4,500 | (143,865 | ) | |||||||
Tanzanian Gold Corp. (a) | 2,600 | (1,287 | ) | |||||||
Teck Resources Ltd., Class B | 400 | (9,964 | ) | |||||||
Trex Co., Inc. (a) | 10,000 | (1,019,300 | ) | |||||||
Trilogy Metals, Inc. (a) | 500 | (925 | ) | |||||||
Turquoise Hill Resources Ltd. (a) | 6,870 | (101,401 | ) | |||||||
UFP Industries, Inc. | 3,500 | (237,930 | ) | |||||||
United States Antimony Corp. (a) | 38,100 | (34,515 | ) | |||||||
Ur-Energy, Inc. (a) | 4,500 | (7,740 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Security Description | Shares | Value | ||||||||
Uranium Energy Corp. (a) | 500 | $ | (1,525 | ) | ||||||
Valvoline, Inc. | 1,100 | (34,298 | ) | |||||||
View, Inc. (a) | 3,900 | (21,138 | ) | |||||||
WD-40 Co. | 500 | (115,740 | ) | |||||||
Western Copper & Gold Corp. (a) | 1,100 | (1,639 | ) | |||||||
Zymergen, Inc. (a) | 16,100 | (212,037 | ) | |||||||
|
| |||||||||
(10,730,512 | ) | |||||||||
|
| |||||||||
Media — (0.5)% | ||||||||||
Advantage Solutions, Inc. (a) | 4,000 | (34,600 | ) | |||||||
AppLovin Corp., Class A (a) | 5,500 | (398,035 | ) | |||||||
AutoWeb, Inc. (a) | 1,900 | (5,301 | ) | |||||||
Boston Omaha Corp., Class A (a) | 1,400 | (54,292 | ) | |||||||
Bright Health Group, Inc. (a) | 300 | (2,448 | ) | |||||||
Bumble, Inc., Class A (a) | 23,300 | (1,164,534 | ) | |||||||
Cinedigm Corp. (a) | 3,400 | (8,534 | ) | |||||||
DoorDash, Inc., Class A (a) | 34,300 | (7,065,114 | ) | |||||||
Endeavor Group Holdings, Inc., Class A (a) | 7,400 | (212,158 | ) | |||||||
Entravision Communications Corp., Class A | 100 | (710 | ) | |||||||
EW Scripps Co., Class A | 300 | (5,418 | ) | |||||||
Expedia Group Inc. (a) | 16 | (2,622 | ) | |||||||
fuboTV, Inc. (a) | 51,000 | (1,221,960 | ) | |||||||
Gray Television, Inc. | 800 | (18,256 | ) | |||||||
Groupon, Inc. (a) | 5,000 | (114,050 | ) | |||||||
Houghton Mifflin Harcourt Co. (a) | 13,800 | (185,334 | ) | |||||||
IAC / Inter Active Corp. (a) | 2,100 | (273,609 | ) | |||||||
Interpublic Group of Cos., Inc. (The) | 30,300 | (1,111,101 | ) | |||||||
Inuvo, Inc. (a) | 37,000 | (25,896 | ) | |||||||
IZEA Worldwide, Inc. (a) | 13,500 | (25,920 | ) | |||||||
Liberty Broadband Corp., Class C (a) | 10,900 | (1,882,430 | ) | |||||||
Liquid Media Group Ltd. (a) | 5,100 | (8,109 | ) | |||||||
Lyft, Inc., Class A (a) | 23 | (1,233 | ) | |||||||
Marin Software, Inc. (a) | 5,500 | (50,160 | ) | |||||||
Match Group, Inc. (a) | 14,400 | (2,260,656 | ) | |||||||
Media General, Inc. | 12,100 | 0 | ||||||||
MediaAlpha, Inc., Class A (a) | 1,200 | (22,416 | ) | |||||||
Netflix, Inc. (a) | 200 | (122,068 | ) | |||||||
Nexstar Media Group, Inc., Class A | 2,811 | (427,160 | ) | |||||||
NextPlay Technologies, Inc. (a) | 2,800 | (3,752 | ) | |||||||
Opendoor Technologies, Inc. (a) | 4,100 | (84,173 | ) | |||||||
Playtika Holding Corp. (a) | 2,600 | (71,838 | ) | |||||||
Remark Holdings, Inc. (a) | 30,900 | (32,445 | ) | |||||||
ROBLOX Corp., Class A (a) | 27,800 | (2,100,290 | ) | |||||||
Roku, Inc. (a) | 200 | (62,670 | ) | |||||||
RumbleON, Inc., Class B (a) | 100 | (3,898 | ) | |||||||
Score Media and Gaming, Inc. (a) | 5,100 | (174,573 | ) |
See Notes to Consolidated Financial Statements.
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September 30, 2021 (Unaudited)
Security Description | Shares | Value | ||||||||
Sinclair Broadcast Group, Inc., Class A | 3,200 | $ | (101,376 | ) | ||||||
Uber Technologies, Inc. (a) | 32,300 | (1,447,040 | ) | |||||||
Vimeo, Inc. (a) | 1,400 | (41,118 | ) | |||||||
Walt Disney Co. (a) | 48,600 | (8,221,662 | ) | |||||||
Zynga, Inc., Class A (a) | 200 | (1,506 | ) | |||||||
|
| |||||||||
(29,050,465 | ) | |||||||||
|
| |||||||||
Oil & Gas — (0.0)% | ||||||||||
Golar LNG Ltd. (a) | 13,600 | (176,392 | ) | |||||||
|
| |||||||||
Oil, Gas & Coal — (0.2)% | ||||||||||
California Resources Corp. (a) | 1,200 | (49,200 | ) | |||||||
Camber Energy, Inc. (a) | 37,500 | (143,250 | ) | |||||||
Chesapeake Energy Corp. | 21,200 | (1,305,708 | ) | |||||||
Chevron Corp. (c) | 9,910 | (1,005,370 | ) | |||||||
CNX Resources Corp. (a) | 6,000 | (75,720 | ) | |||||||
ConocoPhillips | 123 | (8,336 | ) | |||||||
Delek US Holdings, Inc. | 643 | (11,555 | ) | |||||||
Denbury, Inc. (a) | 6,700 | (470,675 | ) | |||||||
Devon Energy Corp. | 54,983 | (1,952,446 | ) | |||||||
Dril-Quip, Inc. (a) | 1,700 | (42,806 | ) | |||||||
Enbridge, Inc. | 400 | (15,920 | ) | |||||||
Equitrans Midstream Corp. | 62,300 | (631,722 | ) | |||||||
Extraction Oil & Gas, Inc. (a) | 100 | (5,645 | ) | |||||||
EzFill Holdings, Inc. (a) | 300 | (1,227 | ) | |||||||
Frank’s International NV (a) | 10,200 | (29,988 | ) | |||||||
Geospace Technologies Corp. (a) | 200 | (1,910 | ) | |||||||
Gulfport Energy Operating Corp. (a) | 100 | (8,221 | ) | |||||||
Hess Corp. | 15,200 | (1,187,272 | ) | |||||||
ION Geophysical Corp. (a) | 10,600 | (14,098 | ) | |||||||
KLX Energy Services Holdings, Inc. (a) | 3,100 | (14,756 | ) | |||||||
Liberty Oilfield Services, Inc., Class A (a) | 6,600 | (80,058 | ) | |||||||
New Fortress Energy LLC | 8,200 | (227,550 | ) | |||||||
ONEOK, Inc. | 20,500 | (1,188,795 | ) | |||||||
Par Pacific Holdings, Inc. (a) | 1,000 | (15,720 | ) | |||||||
PDC Energy, Inc. | 1,916 | (90,799 | ) | |||||||
Pioneer Natural Resources Co. | 56 | (9,325 | ) | |||||||
RPC, Inc. (a) | 12,600 | (61,236 | ) | |||||||
Smart Sand, Inc. (a) | 2,900 | (7,105 | ) | |||||||
Southwestern Energy Co. (a) | 12 | (66 | ) | |||||||
Superior Drilling Products, Inc. (a) | 2,700 | (4,725 | ) | |||||||
Targa Resources Corp. | 300 | (14,763 | ) | |||||||
TC Energy Corp. | 4,700 | (226,023 | ) | |||||||
Valero Energy Corp. (c) | 9,171 | (647,197 | ) | |||||||
Vine Energy, Inc., Class A (a) | 6,600 | (108,702 | ) | |||||||
Williams Cos., Inc. | 118,600 | (3,076,484 | ) | |||||||
|
| |||||||||
(12,734,373 | ) | |||||||||
|
|
See Notes to Consolidated Financial Statements.
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September 30, 2021 (Unaudited)
Security Description | Shares | Value | ||||||||
Real Estate — (0.5)% | ||||||||||
Alexandria Real Estate Equities, Inc. | 8,400 | $ | (1,604,988 | ) | ||||||
American Assets Trust, Inc. | 200 | (7,484 | ) | |||||||
American Campus Communities, Inc. | 8,000 | (387,600 | ) | |||||||
Americold Realty Trust | 54,300 | (1,577,415 | ) | |||||||
Apartment Income REIT Corp. | 1,400 | (68,334 | ) | |||||||
Boston Properties, Inc. | 9,600 | (1,040,160 | ) | |||||||
CBRE Group, Inc., Class A (a) | 2,500 | (243,400 | ) | |||||||
Compass, Inc., Class A (a) | 7,600 | (100,776 | ) | |||||||
Cousins Properties, Inc. | 13,498 | (503,341 | ) | |||||||
CyrusOne, Inc. | 5,300 | (410,273 | ) | |||||||
DiamondRock Hospitality Co. (a) | 7,900 | (74,655 | ) | |||||||
Digital Realty Trust, Inc. | 13,200 | (1,906,740 | ) | |||||||
Douglas Emmett, Inc. | 11,200 | (354,032 | ) | |||||||
Equinix, Inc. | 4,000 | (3,160,520 | ) | |||||||
Equity Residential | 4,900 | (396,508 | ) | |||||||
Essex Property Trust, Inc. | 2,800 | (895,272 | ) | |||||||
Fathom Holdings, Inc. (a) | 400 | (10,680 | ) | |||||||
Gaming and Leisure Properties, Inc. | 100 | (4,632 | ) | |||||||
Gaucho Group Holdings, Inc. (a) | 3,100 | (9,517 | ) | |||||||
Harbor Custom Development, Inc. (a) | 5,300 | (12,455 | ) | |||||||
Highwoods Properties, Inc. | 10,100 | (442,986 | ) | |||||||
Host Hotels & Resorts, Inc. (a) | 141,400 | (2,309,062 | ) | |||||||
Iron Mountain, Inc. | 28,200 | (1,225,290 | ) | |||||||
Kimco Realty Corp. | 5,000 | (103,750 | ) | |||||||
Lamar Advertising Co., Class A | 2,500 | (283,625 | ) | |||||||
New Concept Energy, Inc. (a) | 600 | (2,556 | ) | |||||||
NexPoint Residential Trust, Inc. | 1,100 | (68,068 | ) | |||||||
Office Properties Income Trust | 2,373 | (60,108 | ) | |||||||
Pebblebrook Hotel Trust | 10,700 | (239,787 | ) | |||||||
PotlatchDeltic Corp. | 6,221 | (320,879 | ) | |||||||
Rayonier, Inc. | 5,300 | (189,104 | ) | |||||||
Regency Centers Corp. | 9,100 | (612,703 | ) | |||||||
Rexford Industrial Realty, Inc. | 2,400 | (136,200 | ) | |||||||
Ryman Hospitality Properties, Inc. (a) | 3,400 | (284,580 | ) | |||||||
SL Green Realty Corp. | 3,000 | (212,520 | ) | |||||||
Sunstone Hotel Investors, Inc. (a) | 12,200 | (145,668 | ) | |||||||
Urban Edge Properties | 700 | (12,817 | ) | |||||||
Ventas, Inc. | 16,038 | (885,458 | ) | |||||||
Vornado Realty Trust | 17,800 | (747,778 | ) | |||||||
Welltower, Inc. | 29,100 | (2,397,840 | ) | |||||||
Weyerhaeuser Co. | 43,600 | (1,550,852 | ) | |||||||
|
| |||||||||
(25,000,413 | ) | |||||||||
|
|
See Notes to Consolidated Financial Statements.
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September 30, 2021 (Unaudited)
Security Description | Shares | Value | ||||||||
Renewable Energy — (0.2)% | ||||||||||
Advent Technologies Holdings, Inc. (a) | 1,400 | $ | (12,180 | ) | ||||||
Alto Ingredients, Inc. (a) | 21,200 | (104,728 | ) | |||||||
Ameresco, Inc., Class A (a) | 3,700 | (216,191 | ) | |||||||
Array Technologies, Inc. (a) | 19,700 | (364,844 | ) | |||||||
Ballard Power Systems, Inc. (a) | 300 | (4,215 | ) | |||||||
Broadwind, Inc. (a) | 3,700 | (9,583 | ) | |||||||
Cleanspark, Inc. (a) | 12,800 | (148,352 | ) | |||||||
Enphase Energy, Inc. (a) | 3,400 | (509,898 | ) | |||||||
First Solar, Inc. (a) | 12,300 | (1,174,158 | ) | |||||||
Flux Power Holdings, Inc. (a) | 2,200 | (11,176 | ) | |||||||
FuelCell Energy, Inc. (a) | 29 | (194 | ) | |||||||
Gevo, Inc. (a) | 200 | (1,328 | ) | |||||||
Green Plains, Inc. (a) | 1,100 | (35,915 | ) | |||||||
Montauk Renewables, Inc. (a) | 100 | (1,123 | ) | |||||||
Plug Power, Inc. (a) | 30,000 | (766,200 | ) | |||||||
Renewable Energy Group, Inc. (a) | 7,000 | (351,400 | ) | |||||||
Shoals Technologies Group, Inc., Class A (a) | 23,600 | (657,968 | ) | |||||||
Sunrun, Inc. (a) | 74,115 | (3,261,060 | ) | |||||||
Sunworks, Inc. (a) | 9,700 | (59,558 | ) | |||||||
|
| |||||||||
(7,690,071 | ) | |||||||||
|
| |||||||||
Retail & Wholesale—Discretionary — (0.6)% | ||||||||||
Abercrombie & Fitch Co., Class A (a) | 10,000 | (376,300 | ) | |||||||
ADDvantage Technologies Group, Inc. (a) | 900 | (2,124 | ) | |||||||
Advance Auto Parts, Inc. | 700 | (146,223 | ) | |||||||
Amazon.com, Inc. (a) | 900 | (2,956,536 | ) | |||||||
Aspen Aerogels, Inc. (a) | 500 | (23,005 | ) | |||||||
Bath & Body Works, Inc. | 7,200 | (453,816 | ) | |||||||
Beacon Roofing Supply, Inc. (a) | 4,400 | (210,144 | ) | |||||||
Big 5 Sporting Goods Corp. | 17 | (392 | ) | |||||||
Builders FirstSource, Inc. (a) | 37,600 | (1,945,424 | ) | |||||||
Burlington Stores, Inc. (a) | 2,900 | (822,353 | ) | |||||||
CarLotz, Inc. (a) | 19,200 | (73,152 | ) | |||||||
CarMax, Inc. (a) | 2,700 | (345,492 | ) | |||||||
CarParts.com, Inc. (a) | 11,900 | (185,759 | ) | |||||||
Carvana Co. (a) | 18,000 | (5,427,720 | ) | |||||||
Copart, Inc. (a) | 2,300 | (319,056 | ) | |||||||
Digital Brands Group, Inc. (a) | 4,100 | (12,464 | ) | |||||||
Dillard’s, Inc., Class A | 200 | (34,504 | ) | |||||||
Freshpet, Inc. (a) | 3,600 | (513,684 | ) | |||||||
Gap, Inc. | 100 | (2,270 | ) | |||||||
GrowGeneration Corp. (a) | 3,100 | (76,477 | ) | |||||||
Hibbett, Inc. | 1,400 | (99,036 | ) | |||||||
Home Depot, Inc. (The) | 28,600 | (9,388,236 | ) | |||||||
iPower, Inc. (a) | 3,300 | (13,068 | ) |
See Notes to Consolidated Financial Statements.
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September 30, 2021 (Unaudited)
Security Description | Shares | Value | ||||||||
JOANN, Inc. | 2,500 | $ | (27,850 | ) | ||||||
Kirkland’s, Inc. (a) | 1,400 | (26,894 | ) | |||||||
Lithia Motors, Inc., Class A | 300 | (95,112 | ) | |||||||
LKQ Corp. (a) | 19,300 | (971,176 | ) | |||||||
LMP Automotive Holdings, Inc. (a) | 700 | (10,773 | ) | |||||||
MarineMax, Inc. (a) | 6,000 | (291,120 | ) | |||||||
Monro, Inc. | 500 | (28,755 | ) | |||||||
Net Element, Inc. (a) | 1,900 | (15,656 | ) | |||||||
NovaBay Pharmaceuticals, Inc. (a) | 16,100 | (10,344 | ) | |||||||
ODP Corp. (The) (a) | 3,200 | (128,512 | ) | |||||||
Overstock.com, Inc. (a) | 15,400 | (1,199,968 | ) | |||||||
Petco Health & Wellness Co., Inc. (a) | 34,500 | (727,950 | ) | |||||||
Pool Corp. | 800 | (347,528 | ) | |||||||
Sportsman’s Warehouse Holdings, Inc. (a) | 10,900 | (191,840 | ) | |||||||
ThredUp, Inc., Class A (a) | 800 | (17,352 | ) | |||||||
TJX Cos., Inc. | 13,400 | (884,132 | ) | |||||||
Tuesday Morning Corp. (a) | 700 | (1,960 | ) | |||||||
Vroom, Inc. (a) | 29,700 | (655,479 | ) | |||||||
Wayfair, Inc., Class A (a) | 2,800 | (715,428 | ) | |||||||
|
| |||||||||
(29,775,064 | ) | |||||||||
|
| |||||||||
Retail & Wholesale—Staples — (0.2)% | ||||||||||
Albertsons Cos., Inc., Class A | 4,500 | (140,085 | ) | |||||||
Archer-Daniels-Midland Co. | 17,100 | (1,026,171 | ) | |||||||
Big Lots, Inc. | 3,200 | (138,752 | ) | |||||||
Blue Apron Holdings, Inc., Class A (a) | 1,800 | (13,230 | ) | |||||||
Dollar General Corp. | 22,900 | (4,858,006 | ) | |||||||
Dollar Tree, Inc. (a) | 38,900 | (3,723,508 | ) | |||||||
Five Below, Inc. (a) | 2 | (354 | ) | |||||||
HF Foods Group, Inc. (a) | 2,100 | (12,705 | ) | |||||||
Kroger Co. (The) | 3,100 | (125,333 | ) | |||||||
Laird Superfood, Inc. (a) | 400 | (7,632 | ) | |||||||
Natural Grocers by Vitamin Cottage, Inc. | 900 | (10,098 | ) | |||||||
Ollie’s Bargain Outlet Holdings, Inc. (a) | 7,200 | (434,016 | ) | |||||||
PriceSmart, Inc. | 1,100 | (85,305 | ) | |||||||
United Natural Foods, Inc. (a) | 1,100 | (53,262 | ) | |||||||
|
| |||||||||
(10,628,457 | ) | |||||||||
|
| |||||||||
Retail & Wholesale—Staples — (0.1)% | ||||||||||
BJ’s Wholesale Club Holdings, Inc. (a) | 7,000 | (384,440 | ) | |||||||
Bunge Ltd. | 20,400 | (1,658,928 | ) | |||||||
Grocery Outlet Holding Corp. (a) | 15,300 | (330,021 | ) | |||||||
MedAvail Holdings, Inc. (a) | 400 | (1,168 | ) | |||||||
Mission Produce, Inc. (a) | 1,400 | (25,732 | ) | |||||||
Performance Food Group Co. (a) | 27,000 | (1,254,420 | ) | |||||||
Sprouts Farmers Market, Inc. (a) | 7,900 | (183,043 | ) | |||||||
|
| |||||||||
(3,837,752 | ) | |||||||||
|
|
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Security Description | Shares | Value | ||||||||
Software & Technology Services — (0.8)% | ||||||||||
Affirm Holdings, Inc. (a) | 55,700 | $ | (6,635,541 | ) | ||||||
Akerna Corp. (a) | 8,800 | (24,816 | ) | |||||||
Alfi, Inc. (a) | 5,800 | (38,048 | ) | |||||||
Alignment Healthcare, Inc. (a) | 3,000 | (47,940 | ) | |||||||
Alithya Group, Inc., Class A (a) | 1,000 | (2,600 | ) | |||||||
Alkami Technology, Inc. (a) | 1,900 | (46,892 | ) | |||||||
Amesite, Inc. (a) | 5,400 | (9,693 | ) | |||||||
Apollo Medical Holdings, Inc. (a) | 2,400 | (218,520 | ) | |||||||
Appfolio, Inc., Class A (a) | 200 | (24,080 | ) | |||||||
Auddia, Inc. (a) | 889 | (2,151 | ) | |||||||
Bandwidth, Inc., Class A (a) | 4,500 | (406,260 | ) | |||||||
Black Knight, Inc. (a) | 100 | (7,200 | ) | |||||||
BlackBerry Ltd. (a) | 33,200 | (323,036 | ) | |||||||
Blend Labs, Inc., Class A (a) | 400 | (5,392 | ) | |||||||
Booz Allen Hamilton Holding Corp. | 600 | (47,610 | ) | |||||||
Boxlight Corp., Class A (a) | 21,500 | (48,375 | ) | |||||||
BSQUARE Corp. (a) | 7,300 | (17,593 | ) | |||||||
CACI International, Inc., Class A (a) | 100 | (26,210 | ) | |||||||
CareCloud, Inc. (a) | 1,900 | (14,478 | ) | |||||||
Change Healthcare, Inc. (a) | 700 | (14,658 | ) | |||||||
Clarivate plc (a) | 6,400 | (140,160 | ) | |||||||
Confluent, Inc., Class A (a) | 100 | (5,965 | ) | |||||||
ContextLogic, Inc., Class A (a) | 99,900 | (545,454 | ) | |||||||
Coupa Software, Inc. (a) | 9,800 | (2,147,964 | ) | |||||||
Data Storage Corp. (a) | 2,300 | (10,212 | ) | |||||||
DatChat, Inc. (a) | 500 | (6,825 | ) | |||||||
Digital Turbine, Inc. (a) | 6,500 | (446,875 | ) | |||||||
DigitalOcean Holdings, Inc. (a) | 3,400 | (263,942 | ) | |||||||
DoubleVerify Holdings, Inc. (a) | 800 | (27,328 | ) | |||||||
Doximity, Inc., Class A (a) | 2,000 | (161,400 | ) | |||||||
Duck Creek Technologies, Inc. (a) | 1,000 | (44,240 | ) | |||||||
Dun & Bradstreet Holdings, Inc. (a) | 30,800 | (517,748 | ) | |||||||
Elys Game Technology Corp. (a) | 8,300 | (40,919 | ) | |||||||
Envestnet, Inc. (a) | 100 | (8,024 | ) | |||||||
Everbridge, Inc. (a) | 900 | (135,936 | ) | |||||||
Evolving Systems, Inc. (a) | 300 | (645 | ) | |||||||
Exela Technologies, Inc. (a) | 40,100 | (77,794 | ) | |||||||
Fidelity National Information Services, Inc. | 200 | (24,336 | ) | |||||||
Fiserv, Inc. (a) | 42,900 | (4,654,650 | ) | |||||||
Five9, Inc. (a) | 1,300 | (207,662 | ) | |||||||
Genius Brands International, Inc. (a) | 108,300 | (147,288 | ) | |||||||
Global Payments, Inc. | 2,100 | (330,918 | ) | |||||||
Globant SA (a) | 3,200 | (899,232 | ) | |||||||
GreenBox POS (a) | 9,200 | (76,268 | ) | |||||||
Health Catalyst, Inc. (a) | 900 | (45,009 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Security Description | Shares | Value | ||||||||
HealthEquity, Inc. (a) | 3,900 | $ | (252,564 | ) | ||||||
Hims & Hers Health, Inc. (a) | 200 | (1,508 | ) | |||||||
Insight Enterprises, Inc. (a) | 2,500 | (225,200 | ) | |||||||
KnowBe4, Inc., Class A (a) | 600 | (13,176 | ) | |||||||
Leidos Holdings, Inc. | 8,100 | (778,653 | ) | |||||||
Lightspeed Commerce, Inc. (a) | 1,200 | (115,716 | ) | |||||||
LiveRamp Holdings, Inc. (a) | 100 | (4,723 | ) | |||||||
Marathon Digital Holdings, Inc. (a) | 35,800 | (1,130,564 | ) | |||||||
MarketAxess Holdings, Inc. | 2,100 | (883,449 | ) | |||||||
Medallia, Inc. (a) | 4,500 | (152,415 | ) | |||||||
MongoDB, Inc. (a) | 1,300 | (612,963 | ) | |||||||
NantHealth, Inc. (a) | 3,200 | (5,152 | ) | |||||||
Nielsen Holdings plc | 2,100 | (40,299 | ) | |||||||
Oblong, Inc. (a) | 300 | (627 | ) | |||||||
Okta, Inc. (a) | 600 | (142,404 | ) | |||||||
PAE, Inc. (a) | 9,300 | (55,614 | ) | |||||||
Pegasystems, Inc. | 300 | (38,130 | ) | |||||||
Phunware, Inc. (a) | 21,900 | (20,341 | ) | |||||||
Porch Group, Inc. (a) | 100 | (1,768 | ) | |||||||
Q2 Holdings, Inc. (a) | 4,200 | (336,588 | ) | |||||||
Rackspace Technology, Inc. (a) | 1,400 | (19,908 | ) | |||||||
Repay Holdings Corp. (a) | 4,900 | (112,847 | ) | |||||||
Riot Blockchain, Inc. (a) | 34,500 | (886,650 | ) | |||||||
Root, Inc., Class A (a) | 15,800 | (83,266 | ) | |||||||
S&P Global, Inc. (c) | 4,087 | (1,736,525 | ) | |||||||
salesforce.com, Inc. (a) | 5,800 | (1,573,076 | ) | |||||||
Science Applications International Corp. | 1,500 | (128,340 | ) | |||||||
SentinelOne, Inc., Class A (a) | 2,800 | (149,996 | ) | |||||||
Shift4 Payments, Inc., Class A (a) | 1,700 | (131,784 | ) | |||||||
ShiftPixy, Inc. (a) | 4,700 | (5,217 | ) | |||||||
Signify Health, Inc., Class A (a) | 1,900 | (33,953 | ) | |||||||
Snowflake, Inc., Class A (a) | 33,600 | (10,161,648 | ) | |||||||
SolarWinds Corp. | 7,550 | (126,312 | ) | |||||||
Sphere 3D Corp. (a) | 21,100 | (125,334 | ) | |||||||
Sprinklr, Inc., Class A (a) | 100 | (1,750 | ) | |||||||
Square, Inc., Class A (a) | 400 | (95,936 | ) | |||||||
Sumo Logic, Inc. (a) | 1,600 | (25,792 | ) | |||||||
Tabula Rasa HealthCare, Inc. (a) | 3,600 | (94,356 | ) | |||||||
Telos Corp. (a) | 1,100 | (31,262 | ) | |||||||
Unity Software, Inc. (a) | 8,100 | (1,022,625 | ) | |||||||
Verb Technology Co., Inc. (a) | 17,200 | (33,024 | ) | |||||||
VerifyMe, Inc. (a) | 800 | (2,720 | ) | |||||||
VirnetX Holding Corp. (a) | 7,400 | (29,008 | ) | |||||||
Xperi Holding Corp. | 2,800 | (52,752 | ) | |||||||
|
| |||||||||
(40,403,822 | ) | |||||||||
|
|
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Security Description | Shares | Value | ||||||||
Tech Hardware & Semiconductors — (0.2)% | ||||||||||
ACM Research, Inc., Class A (a) | 1,100 | $ | (121,000 | ) | ||||||
ADTRAN, Inc. | 1,700 | (31,892 | ) | |||||||
Advanced Micro Devices, Inc. (a),(c) | 14,832 | (1,526,213 | ) | |||||||
Aehr Test Systems (a) | 8,800 | (120,120 | ) | |||||||
Applied UV, Inc. (a) | 1,100 | (7,810 | ) | |||||||
Arrow Electronics, Inc. (a) | 1,000 | (112,290 | ) | |||||||
Atomera, Inc. (a) | 400 | (9,236 | ) | |||||||
Ballantyne Strong, Inc. (a) | 1,900 | (5,833 | ) | |||||||
Blonder Tongue Laboratories, Inc. (a) | 300 | (342 | ) | |||||||
Ciena Corp. (a) | 800 | (41,080 | ) | |||||||
Coherent, Inc. (a) | 1,200 | (300,108 | ) | |||||||
ComSovereign Holding Corp. (a) | 4,700 | (7,567 | ) | |||||||
Digital Ally, Inc. (a) | 18,500 | (22,385 | ) | |||||||
eMagin Corp. (a) | 100 | (226 | ) | |||||||
Forward Industries, Inc. (a) | 1,900 | (4,541 | ) | |||||||
HP, Inc. | 5,100 | (139,536 | ) | |||||||
II-VI, Inc. (a) | 12,200 | (724,192 | ) | |||||||
Infinera Corp. (a) | 100 | (832 | ) | |||||||
KULR Technology Group, Inc. (a) | 8,500 | (17,680 | ) | |||||||
LightPath Technologies, Inc., Class A (a) | 1,100 | (2,343 | ) | |||||||
Lumentum Holdings, Inc. (a) | 100 | (8,354 | ) | |||||||
Marvell Technology, Inc. | 120,570 | (7,271,577 | ) | |||||||
MicroVision, Inc. (a) | 39,539 | (436,906 | ) | |||||||
MICT, Inc. (a) | 43,700 | (67,735 | ) | |||||||
Minim, Inc. (a) | 825 | (1,543 | ) | |||||||
NXT-ID, Inc. (a) | 400 | (166 | ) | |||||||
Ondas Holdings, Inc. (a) | 2,700 | (24,732 | ) | |||||||
Red Cat Holdings, Inc. (a) | 19,300 | (67,164 | ) | |||||||
SkyWater Technology, Inc. (a) | 2,000 | (54,400 | ) | |||||||
Socket Mobile, Inc. (a) | 1,900 | (11,970 | ) | |||||||
Sonim Technologies, Inc. (a) | 3,060 | (8,262 | ) | |||||||
SYNNEX Corp. | 2,700 | (281,070 | ) | |||||||
Ubiquiti, Inc. | 700 | (209,069 | ) | |||||||
Vizio Holding Corp., Class A (a) | 7,800 | (165,672 | ) | |||||||
|
| |||||||||
(11,803,846 | ) | |||||||||
|
| |||||||||
Telecommunications — (0.2)% | ||||||||||
AST SpaceMobile, Inc. (a) | 6,200 | (67,084 | ) | |||||||
ATN International, Inc. | 100 | (4,685 | ) | |||||||
Frontier Communications Parent, Inc. (a) | 13,594 | (378,865 | ) | |||||||
Globalstar, Inc. (a) | 159,700 | (266,699 | ) | |||||||
IDT Corp., Class B (a) | 1,700 | (71,315 | ) | |||||||
Lumen Technologies, Inc. | 47,700 | (591,003 | ) | |||||||
Rogers Communications, Inc., Class B | 100 | (4,664 | ) | |||||||
Shenandoah Telecommunications Co. | 1,200 | (37,896 | ) |
See Notes to Consolidated Financial Statements.
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September 30, 2021 (Unaudited)
Security Description | Shares | Value | ||||||||||
T-Mobile US, Inc. (a) | 51,232 | $ | (6,545,400 | ) | ||||||||
Telephone and Data Systems, Inc. | 100 | (1,950 | ) | |||||||||
United States Cellular Corp. (a) | 200 | (6,378 | ) | |||||||||
|
| |||||||||||
(7,975,939 | ) | |||||||||||
|
| |||||||||||
Utilities — (0.2)% | ||||||||||||
Algonquin Power & Utilities Corp. | 700 | (10,262 | ) | |||||||||
Atmos Energy Corp. | 8,300 | (732,060 | ) | |||||||||
Avangrid, Inc. | 6,800 | (330,480 | ) | |||||||||
Brookfield Renewable Corp., Class A | 800 | (31,048 | ) | |||||||||
California Water Service Group | 2,100 | (123,753 | ) | |||||||||
CenterPoint Energy, Inc. | 35,700 | (878,220 | ) | |||||||||
Clearway Energy, Inc., Class C | 12,200 | (369,294 | ) | |||||||||
Edison International | 11,200 | (621,264 | ) | |||||||||
Entergy Corp. | 23,200 | (2,303,992 | ) | |||||||||
Essential Utilities, Inc. | 3,500 | (161,280 | ) | |||||||||
Eversource Energy | 600 | (49,056 | ) | |||||||||
Exelon Corp. | 1,000 | (48,340 | ) | |||||||||
FTC Solar, Inc. (a) | 3,200 | (24,928 | ) | |||||||||
Genie Energy Ltd., Class B | 1,100 | (7,183 | ) | |||||||||
NextEra Energy Partners LP | 5,700 | (429,552 | ) | |||||||||
NRG Energy, Inc. | 42,100 | (1,718,943 | ) | |||||||||
PG&E Corp. | 284,700 | (2,733,120 | ) | |||||||||
PNM Resources, Inc. | 8,400 | (415,632 | ) | |||||||||
SJW Group | 800 | (52,848 | ) | |||||||||
UGI Corp. | 9,100 | (387,842 | ) | |||||||||
|
| |||||||||||
(11,429,097 | ) | |||||||||||
|
| |||||||||||
Total North America | (358,627,661 | ) | ||||||||||
|
| |||||||||||
Oceania — (0.0)% | ||||||||||||
Banking — (0.0)% | ||||||||||||
Westpac Banking Corp., ADR | 2,400 | (44,472 | ) | |||||||||
|
| |||||||||||
Consumer Discretionary Products — (0.0)% | ||||||||||||
Naked Brand Group Ltd. (a) | 326,300 | (231,738 | ) | |||||||||
|
| |||||||||||
Health Care — (0.0)% | ||||||||||||
Benitec Biopharma, Inc. (a) | 400 | (1,428 | ) | |||||||||
Opthea Ltd., ADR (a) | 300 | (2,403 | ) | |||||||||
|
| |||||||||||
Total Health Care | (3,831 | ) | ||||||||||
|
| |||||||||||
Tech Hardware & Semiconductors — (0.0)% | ||||||||||||
Integrated Media Technology Ltd. (a) | 1,000 | (4,700 | ) | |||||||||
|
| |||||||||||
Total Oceania | (284,741 | ) | ||||||||||
|
|
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Security Description | Shares | Value | ||||||||||
South America — (0.1)% | ||||||||||||
Banking — (0.1)% | ||||||||||||
Banco de Chile, ADR | 2,300 | $ | (42,527 | ) | ||||||||
Banco Santander Brasil SA, ADR (a) | 19,800 | (129,492 | ) | |||||||||
Banco Santander Chile, ADR | 1,000 | (19,770 | ) | |||||||||
Bancolombia SA, ADR | 900 | (31,158 | ) | |||||||||
Itau Unibanco Holding SA, ADR | 403,200 | (2,124,864 | ) | |||||||||
|
| |||||||||||
(2,347,811 | ) | |||||||||||
|
| |||||||||||
Consumer Discretionary Services — (0.0)% | ||||||||||||
Afya Ltd., Class A (a) | 2,400 | (47,376 | ) | |||||||||
Arcos Dorados Holdings, Inc., Class A (a) | 14,437 | (73,917 | ) | |||||||||
|
| |||||||||||
(121,293 | ) | |||||||||||
|
| |||||||||||
Consumer Staple Products — (0.0)% | ||||||||||||
Adecoagro SA (a) | 4,000 | (36,120 | ) | |||||||||
BRF SA, ADR (a) | 37,700 | (189,254 | ) | |||||||||
Natura & Co. Holding SA, ADR (a) | 7,300 | (121,545 | ) | |||||||||
|
| |||||||||||
(346,919 | ) | |||||||||||
|
| |||||||||||
Financial Services — (0.0)% | ||||||||||||
Vinci Partners Investments Ltd., Class A | 2,200 | (28,666 | ) | |||||||||
XP, Inc., Class A (a) | 20,600 | (827,502 | ) | |||||||||
|
| |||||||||||
(856,168 | ) | |||||||||||
|
| |||||||||||
Industrial Services — (0.0)% | ||||||||||||
Corporacion America Airports SA (a) | 2,400 | (13,512 | ) | |||||||||
Gol Linhas Aereas Inteligentes SA, ADR (a) | 31,623 | (241,284 | ) | |||||||||
|
| |||||||||||
(254,796 | ) | |||||||||||
|
| |||||||||||
Materials — (0.0)% | ||||||||||||
Bioceres Crop Solutions Corp. (a) | 600 | (8,100 | ) | |||||||||
Suzano SA, ADR (a) | 800 | (8,000 | ) | |||||||||
Vale SA, ADR | 2,700 | (37,665 | ) | |||||||||
|
| |||||||||||
(53,765 | ) | |||||||||||
|
| |||||||||||
Media — (0.0)% | ||||||||||||
Liberty Latin America Ltd., Class C (a) | 8,200 | (107,584 | ) | |||||||||
|
| |||||||||||
Oil, Gas & Coal — (0.0)% | ||||||||||||
Cosan SA, ADR | 1,500 | (25,125 | ) | |||||||||
Ecopetrol SA, ADR | 5,700 | (81,795 | ) | |||||||||
Transportadora de Gas del Sur SA, ADR (a) | 2,000 | (9,860 | ) | |||||||||
Ultrapar Participacoes SA, ADR | 1,300 | (3,510 | ) | |||||||||
|
| |||||||||||
(120,290 | ) | |||||||||||
|
|
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Security Description | Shares | Value | ||||||||||
Software & Technology Services — (0.0)% | ||||||||||||
Arco Platform Ltd., Class A(a) | 1,630 | $ | (35,371 | ) | ||||||||
Dlocal Ltd. (a) | 5,200 | (283,712 | ) | |||||||||
Pagseguro Digital Ltd., Class A(a) | 13,100 | (677,532 | ) | |||||||||
Vasta Platform Ltd. (a) | 1,800 | (8,208 | ) | |||||||||
|
| |||||||||||
(1,004,823 | ) | |||||||||||
|
| |||||||||||
Telecommunications — (0.0)% | ||||||||||||
Millicom International Cellular SA (a) | 500 | (18,075 | ) | |||||||||
Telefonica Brasil SA, ADR | 23,400 | (181,584 | ) | |||||||||
TIM SA, ADR(a) | 1,200 | (12,888 | ) | |||||||||
|
| |||||||||||
(212,547 | ) | |||||||||||
|
| |||||||||||
Utilities — (0.0)% | ||||||||||||
Central Puerto SA, ADR(a) | 100 | (310 | ) | |||||||||
Cia de Saneamento Basico do Estado de Sao Paulo, ADR(a) | 27,500 | (194,700 | ) | |||||||||
Cia Paranaense de Energia, ADR | 6,100 | (39,833 | ) | |||||||||
Enel Americas SA, ADR | 21,000 | (122,850 | ) | |||||||||
Pampa Energia SA, ADR(a) | 1,800 | (31,446 | ) | |||||||||
|
| |||||||||||
(389,139 | ) | |||||||||||
|
| |||||||||||
Total South America | (5,815,135 | ) | ||||||||||
|
| |||||||||||
TOTAL COMMON STOCK | (425,337,115 | ) | ||||||||||
|
| |||||||||||
EXCHANGE-TRADED FUNDS — (0.1)% | ||||||||||||
Energy Select Sector SPDR Fund (c) | 81,715 | (4,256,534 | ) | |||||||||
iShares iBoxx $ Investment Grade Corporate Bond ETF (c) | 5,055 | (672,467 | ) | |||||||||
|
| |||||||||||
TOTAL EXCHANGE-TRADED FUNDS | (4,929,001 | ) | ||||||||||
|
| |||||||||||
RIGHTS — (0.0)% | ||||||||||||
North America — (0.0)% | ||||||||||||
Health Care — (0.0)% | ||||||||||||
Capital Senior Living Corp. | 146 | 0 | ||||||||||
|
| |||||||||||
Total Health Care | 0 | |||||||||||
|
| |||||||||||
Media — (0.0)% | ||||||||||||
Social Reality | 200 | 0 | ||||||||||
|
| |||||||||||
0 | ||||||||||||
|
|
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Security Description | Shares | Value | ||||||||||
WARRANTS — (0.0)% | ||||||||||||
North America — (0.0)% | ||||||||||||
FTS International, Inc. | 199 | $ | 0 | |||||||||
FTS International, Inc. | 499 | 0 | ||||||||||
Galectin Therapeutics, Inc. | 1,340 | 0 | ||||||||||
Salarius Pharmaceuticals, Inc. | 1,000 | 0 | ||||||||||
|
| |||||||||||
Total North America | 0 | |||||||||||
|
| |||||||||||
TOTAL WARRANTS | 0 | |||||||||||
|
| |||||||||||
TOTAL SECURITIES SOLD SHORT — (8.1)% | $ | (430,266,116 | ) | |||||||||
|
|
Footnote Legend:
(a) | Non-income producing. |
(b) | Security (or a portion thereof) has been pledged to cover collateral requirements on open derivative contracts and/or securities sold short. |
(c) | Security is held by a consolidated wholly-owned subsidiary of Blackstone Alternative Multi-Strategy Fund. |
(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, 2021. |
(g) | 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. |
(h) | All or a portion of this security is pledged as collateral in connection with reverse repurchase agreements. |
(i) | Non-interest bearing bond. |
(j) | All or a portion of the security represents an unsettled loan commitment at September 30, 2021 where the rate will be determined at time of settlement. |
(k) | 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 United States unless registered under the Securities Act of 1933, as amended, or otherwise exempt from registration. |
(l) | Security is currently in default due to bankruptcy or failure to make payment of principal or interest. |
(m) | Represents a step-up bond. Coupon rate increases in increments to maturity. Rate presented is as of September 30, 2021. Maturity date presented is the ultimate maturity. |
(n) | Security is restricted per Rule 12-12.8 of Regulation S-X. First acquisition dates of Aeolus Property Catastrophe Keystone PF Fund LP, PIMCO ILS Fund SP II, Saba Capital Carry Neutral Tail Hedge Offshore Fund Ltd., Saba Capital Carry Neutral Tail Hedge Partners, L.P., Islet Offshore Fund Ltd., Islet Onshore Fund LP, Atreides Foundation Fund Ltd., Atreides Co., Asgard Fixed Income Risk Premia Fund and Rokos Global Macro Fund Ltd., Class S are 1/2/2019, 12/30/2019, 10/20/2020, 10/20/2020, 02/01/2021, 02/01/2021, 4/1/2021, 7/1/2021, 8/2/2021 and 9/1/2021. |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
(o) | Assets, other than investments in securities, less liabilities other than securities sold short. |
Options Written Contracts Outstanding at September 30, 2021
Strike | Expiration Date | Contracts | Notional Amount | Premium Received | Market Value | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
Exchange-Traded Call Options Written |
| |||||||||||||||||||||||
CRUDE OIL FUT OPT DEC21 | 80.00 USD | 11/16/21 | 300 | (22,410,000 | ) | $ | (590,286 | ) | $ | (492,000 | ) | $ | 98,286 | |||||||||||
CRUDE OIL FUT OPT DEC22 | 100.00 USD | 11/16/22 | 13,799 | (934,192,300 | ) | (6,276,385 | ) | (21,388,450 | ) | (15,112,065 | ) | |||||||||||||
CRUDE OIL FUT OPT NOV21 | 85.00 USD | 10/15/21 | 300 | (22,509,000 | ) | (60,456 | ) | (57,000 | ) | 3,456 | ||||||||||||||
NAT GAS EURO OPT APR22 | 2.50 USD | 03/28/22 | 332 | (13,266,720 | ) | (967,929 | ) | (5,109,148 | ) | (4,141,219 | ) | |||||||||||||
NAT GAS EURO OPT APR22 | 4.00 USD | 03/28/22 | 107 | (4,275,720 | ) | (140,706 | ) | (633,333 | ) | (492,627 | ) | |||||||||||||
NAT GAS EURO OPT APR22 | 7.00 USD | 03/28/22 | 76 | (760,000 | ) | (36,683 | ) | (108,300 | ) | (71,617 | ) | |||||||||||||
NAT GAS EURO OPT APR23 | 3.00 USD | 03/28/23 | 21 | (673,470 | ) | (39,326 | ) | (117,411 | ) | (78,085 | ) | |||||||||||||
NAT GAS EURO OPT AUG22 | 2.50 USD | 07/26/22 | 150 | (5,854,500 | ) | (427,901 | ) | (2,159,100 | ) | (1,731,199 | ) | |||||||||||||
NAT GAS EURO OPT AUG22 | 4.00 USD | 07/26/22 | 107 | (4,176,210 | ) | (140,706 | ) | (495,945 | ) | (355,239 | ) | |||||||||||||
NAT GAS EURO OPT AUG22 | 7.00 USD | 07/26/22 | 76 | (760,000 | ) | (36,683 | ) | (44,232 | ) | (7,549 | ) | |||||||||||||
NAT GAS EURO OPT AUG23 | 3.00 USD | 07/26/23 | 21 | (679,980 | ) | (39,326 | ) | (113,757 | ) | (74,431 | ) | |||||||||||||
NAT GAS EURO OPT DEC21 | 3.25 USD | 11/24/21 | 300 | (17,973,000 | ) | (1,137,801 | ) | (8,282,700 | ) | (7,144,899 | ) | |||||||||||||
NAT GAS EURO OPT DEC21 | 4.00 USD | 11/24/21 | 22 | (1,318,020 | ) | (93,559 | ) | (460,438 | ) | (366,879 | ) | |||||||||||||
NAT GAS EURO OPT DEC21 | 6.00 USD | 11/24/21 | 150 | (1,500,000 | ) | (250,901 | ) | (1,485,450 | ) | (1,234,549 | ) | |||||||||||||
NAT GAS EURO OPT DEC21 | 7.00 USD | 11/24/21 | 493 | (4,930,000 | ) | (1,221,176 | ) | (3,356,344 | ) | (2,135,168 | ) | |||||||||||||
NAT GAS EURO OPT DEC23 | 3.00 USD | 11/27/23 | 21 | (752,430 | ) | (39,326 | ) | (189,042 | ) | (149,716 | ) | |||||||||||||
NAT GAS EURO OPT FEB22 | 6.00 USD | 01/26/22 | 150 | (8,926,500 | ) | (250,901 | ) | (2,222,550 | ) | (1,971,649 | ) | |||||||||||||
NAT GAS EURO OPT FEB23 | 3.00 USD | 01/26/23 | 21 | (868,770 | ) | (39,326 | ) | (280,245 | ) | (240,919 | ) | |||||||||||||
NAT GAS EURO OPT JAN22 | 6.00 USD | 12/28/21 | 150 | (1,500,000 | ) | (250,901 | ) | (1,998,450 | ) | (1,747,549 | ) | |||||||||||||
NAT GAS EURO OPT JAN23 | 3.00 USD | 12/27/22 | 21 | (887,040 | ) | (39,326 | ) | (289,926 | ) | (250,600 | ) | |||||||||||||
NAT GAS EURO OPT JUL22 | 2.50 USD | 06/27/22 | 150 | (5,844,000 | ) | (427,901 | ) | (2,146,800 | ) | (1,718,899 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Strike | Expiration Date | Contracts | Notional Amount | Premium Received | Market Value | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
NAT GAS EURO OPT JUL22 | 4.00 USD | 06/27/22 | 107 | (4,168,720 | ) | $ | (140,706 | ) | $ | (485,352 | ) | $ | (344,646 | ) | ||||||||||
NAT GAS EURO OPT JUL22 | 7.00 USD | 06/27/22 | 76 | (760,000 | ) | (36,683 | ) | (42,408 | ) | (5,725 | ) | |||||||||||||
NAT GAS EURO OPT JUL23 | 3.00 USD | 06/27/23 | 21 | (677,250 | ) | (39,326 | ) | (111,069 | ) | (71,743 | ) | |||||||||||||
NAT GAS EURO OPT JUN22 | 2.50 USD | 05/25/22 | 150 | (5,782,500 | ) | (427,901 | ) | (2,083,800 | ) | (1,655,899 | ) | |||||||||||||
NAT GAS EURO OPT JUN22 | 4.00 USD | 05/25/22 | 107 | (4,124,850 | ) | (140,706 | ) | (449,935 | ) | (309,229 | ) | |||||||||||||
NAT GAS EURO OPT JUN22 | 7.00 USD | 05/25/22 | 76 | (760,000 | ) | (36,683 | ) | (36,100 | ) | 583 | ||||||||||||||
NAT GAS EURO OPT JUN23 | 3.00 USD | 05/25/23 | 21 | (666,750 | ) | (39,326 | ) | (104,622 | ) | (65,296 | ) | |||||||||||||
NAT GAS EURO OPT MAR22 | 3.75 USD | 02/23/22 | 75 | (4,137,750 | ) | (195,950 | ) | (1,611,375 | ) | (1,415,425 | ) | |||||||||||||
NAT GAS EURO OPT MAR22 | 30.00 USD | 02/23/22 | 493 | (4,930,000 | ) | (263,266 | ) | (663,085 | ) | (399,819 | ) | |||||||||||||
NAT GAS EURO OPT MAR22 | 6.00 USD | 02/23/22 | 128 | (7,061,760 | ) | (462,422 | ) | (1,765,376 | ) | (1,302,954 | ) | |||||||||||||
NAT GAS EURO OPT MAR23 | 3.00 USD | 02/23/23 | 21 | (802,830 | ) | (39,326 | ) | (233,961 | ) | (194,635 | ) | |||||||||||||
NAT GAS EURO OPT MAY22 | 2.50 USD | 04/26/22 | 150 | (5,736,000 | ) | (427,901 | ) | (2,052,450 | ) | (1,624,549 | ) | |||||||||||||
NAT GAS EURO OPT MAY22 | 4.00 USD | 04/26/22 | 107 | (4,091,680 | ) | (140,706 | ) | (464,166 | ) | (323,460 | ) | |||||||||||||
NAT GAS EURO OPT MAY22 | 7.00 USD | 04/26/22 | 76 | (2,906,240 | ) | (36,683 | ) | (71,592 | ) | (34,909 | ) | |||||||||||||
NAT GAS EURO OPT MAY23 | 3.00 USD | 04/25/23 | 21 | (657,510 | ) | (39,326 | ) | (101,178 | ) | (61,852 | ) | |||||||||||||
NAT GAS EURO OPT NOV21 | 5.00 USD | 10/26/21 | 86 | (5,045,620 | ) | (36,350 | ) | (913,320 | ) | (876,970 | ) | |||||||||||||
NAT GAS EURO OPT NOV21 | 7.00 USD | 10/26/21 | 493 | (4,930,000 | ) | (392,076 | ) | (1,299,548 | ) | (907,472 | ) | |||||||||||||
NAT GAS EURO OPT NOV23 | 3.00 USD | 10/26/23 | 21 | (709,590 | ) | (39,326 | ) | (146,916 | ) | (107,590 | ) | |||||||||||||
NAT GAS EURO OPT OCT22 | 2.50 USD | 09/27/22 | 150 | (5,869,500 | ) | (427,901 | ) | (2,195,850 | ) | (1,767,949 | ) | |||||||||||||
NAT GAS EURO OPT OCT22 | 4.00 USD | 09/27/22 | 107 | (1,070,000 | ) | (140,706 | ) | (554,153 | ) | (413,447 | ) | |||||||||||||
NAT GAS EURO OPT OCT22 | 7.00 USD | 09/27/22 | 76 | (760,000 | ) | (36,683 | ) | (58,748 | ) | (22,065 | ) | |||||||||||||
NAT GAS EURO OPT OCT23 | 3.00 USD | 09/26/23 | 21 | (686,700 | ) | (39,326 | ) | (123,690 | ) | (84,364 | ) | |||||||||||||
NAT GAS EURO OPT SEP22 | 2.50 USD | 08/26/22 | 150 | (5,826,000 | ) | (427,901 | ) | (2,142,750 | ) | (1,714,849 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Strike | Expiration Date | Contracts | Notional Amount | Premium Received | Market Value | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
NAT GAS EURO OPT SEP22 | 4.00 USD | 08/26/22 | 107 | (1,070,000 | ) | $ | (140,706 | ) | $ | (509,962 | ) | $ | (369,256 | ) | ||||||||||
NAT GAS EURO OPT SEP22 | 7.00 USD | 08/26/22 | 76 | (760,000 | ) | (36,683 | ) | (49,552 | ) | (12,869 | ) | |||||||||||||
NAT GAS EURO OPT SEP23 | 3.00 USD | 08/28/23 | 21 | (679,140 | ) | (39,326 | ) | (115,164 | ) | (75,838 | ) | |||||||||||||
NAT GAS STRIP DEC22 | 3.50 USD | 12/22/22 | 410 | (12,300,000 | ) | (378,000 | ) | (5,953,200 | ) | (5,575,200 | ) | |||||||||||||
NATURAL GAS FUTURE APR23 | 4.00 USD | 03/28/23 | 76 | (2,437,320 | ) | (61,841 | ) | (186,656 | ) | (124,815 | ) | |||||||||||||
NATURAL GAS FUTURE APR23 | 3.50 USD | 03/28/23 | 63 | (2,020,410 | ) | (79,946 | ) | (231,777 | ) | (151,831 | ) | |||||||||||||
NATURAL GAS FUTURE AUG23 | 4.00 USD | 07/26/23 | 76 | (2,460,880 | ) | (61,841 | ) | (170,925 | ) | (109,084 | ) | |||||||||||||
NATURAL GAS FUTURE AUG23 | 3.50 USD | 07/26/23 | 63 | (2,039,940 | ) | (79,946 | ) | (217,791 | ) | (137,845 | ) | |||||||||||||
NATURAL GAS FUTURE DEC23 | 4.00 USD | 11/27/23 | 76 | (2,723,080 | ) | (61,840 | ) | (371,944 | ) | (310,104 | ) | |||||||||||||
NATURAL GAS FUTURE DEC23 | 3.50 USD | 11/27/23 | 63 | (2,257,290 | ) | (79,946 | ) | (415,107 | ) | (335,161 | ) | |||||||||||||
NATURAL GAS FUTURE FEB23 | 3.50 USD | 01/26/23 | 63 | (2,606,310 | ) | (79,946 | ) | (664,146 | ) | (584,200 | ) | |||||||||||||
NATURAL GAS FUTURE FEB23 | 4.00 USD | 01/26/23 | 76 | (3,144,120 | ) | (61,840 | ) | (655,196 | ) | (593,356 | ) | |||||||||||||
NATURAL GAS FUTURE JAN23 | 4.00 USD | 12/27/22 | 76 | (3,210,240 | ) | (61,840 | ) | (657,704 | ) | (595,864 | ) | |||||||||||||
NATURAL GAS FUTURE JAN23 | 3.50 USD | 12/27/22 | 63 | (2,661,120 | ) | (79,946 | ) | (676,305 | ) | (596,359 | ) | |||||||||||||
NATURAL GAS FUTURE JUL23 | 4.00 USD | 06/27/23 | 76 | (2,451,000 | ) | (61,840 | ) | (164,160 | ) | (102,320 | ) | |||||||||||||
NATURAL GAS FUTURE JUL23 | 3.50 USD | 06/27/23 | 63 | (2,031,750 | ) | (79,946 | ) | (210,924 | ) | (130,978 | ) | |||||||||||||
NATURAL GAS FUTURE JUN23 | 4.00 USD | 05/25/23 | 76 | (2,413,000 | ) | (61,840 | ) | (152,380 | ) | (90,540 | ) | |||||||||||||
NATURAL GAS FUTURE JUN23 | 3.50 USD | 05/25/23 | 63 | (2,000,250 | ) | (79,946 | ) | (197,064 | ) | (117,118 | ) | |||||||||||||
NATURAL GAS FUTURE MAR23 | 3.50 USD | 02/23/23 | 63 | (2,408,490 | ) | (79,946 | ) | (559,377 | ) | (479,431 | ) | |||||||||||||
NATURAL GAS FUTURE MAR23 | 4.00 USD | 02/23/23 | 76 | (2,905,480 | ) | (61,840 | ) | (560,728 | ) | (498,888 | ) | |||||||||||||
NATURAL GAS FUTURE MAY23 | 4.00 USD | 04/25/23 | 76 | (2,379,560 | ) | (61,840 | ) | (148,808 | ) | (86,968 | ) | |||||||||||||
NATURAL GAS FUTURE MAY23 | 3.50 USD | 04/25/23 | 63 | (1,972,530 | ) | (79,946 | ) | (191,457 | ) | (111,511 | ) | |||||||||||||
NATURAL GAS FUTURE NOV23 | 4.00 USD | 10/26/23 | 76 | (2,568,040 | ) | (61,840 | ) | (259,996 | ) | (198,156 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Strike | Expiration Date | Contracts | Notional Amount | Premium Received | Market Value | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
NATURAL GAS FUTURE NOV23 | 3.50 USD | 10/26/23 | 63 | (2,128,770 | ) | $ | (79,946 | ) | $ | (303,345 | ) | $ | (223,399 | ) | ||||||||||
NATURAL GAS FUTURE OCT23 | 3.50 USD | 09/26/23 | 63 | (2,060,100 | ) | (79,946 | ) | (245,448 | ) | (165,502 | ) | |||||||||||||
NATURAL GAS FUTURE OCT23 | 4.00 USD | 09/26/23 | 76 | (2,485,200 | ) | (61,840 | ) | (199,272 | ) | (137,432 | ) | |||||||||||||
NATURAL GAS FUTURE SEP23 | 4.00 USD | 08/28/23 | 76 | (2,457,840 | ) | (61,840 | ) | (177,156 | ) | (115,316 | ) | |||||||||||||
NATURAL GAS FUTURE SEP23 | 3.50 USD | 08/28/23 | 63 | (2,037,420 | ) | (79,946 | ) | (223,083 | ) | (143,137 | ) | |||||||||||||
PHE FUTURE APR22 | 2.50 USD | 03/28/22 | 857 | (2,142,500 | ) | (686,153 | ) | (3,297,093 | ) | (2,610,940 | ) | |||||||||||||
PHE Future Strike Price 5 OCT21 CALL | 5.00 USD | 10/26/21 | 857 | (2,142,500 | ) | (261,402 | ) | (2,275,335 | ) | (2,013,933 | ) | |||||||||||||
CALL Russell 2000 INDEX 2437.55 EURO 12/31/2021 | 2,437.55 USD | 12/31/21 | 16,600 | (16,600 | ) | (658,356 | ) | (328,493 | ) | 329,863 | ||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
$ | (20,416,745 | ) | $ | (89,511,613 | ) | $ | (69,094,868 | ) | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
Exchange-Traded Put Options Written |
| |||||||||||||||||||||||
CRUDE OIL FUT OPT DEC21 | 40.00 USD | 11/16/21 | 90 | (6,723,000 | ) | $ | (441,847 | ) | $ | (1,800 | ) | $ | 440,047 | |||||||||||
NAT GAS EURO OPT APR22 | 2.20 USD | 03/28/22 | 75 | (2,997,000 | ) | (29,450 | ) | (13,275 | ) | 16,175 | ||||||||||||||
NAT GAS EURO OPT APR22 | 2.25 USD | 03/28/22 | 204 | (8,151,840 | ) | (269,825 | ) | (42,432 | ) | 227,393 | ||||||||||||||
NAT GAS EURO OPT APR22 | 3.00 USD | 03/28/22 | 300 | (11,988,000 | ) | (642,801 | ) | (418,200 | ) | 224,601 | ||||||||||||||
NAT GAS EURO OPT APR23 | 1.50 USD | 03/28/23 | 21 | (673,470 | ) | (4,256 | ) | (1,176 | ) | 3,080 | ||||||||||||||
NAT GAS EURO OPT AUG22 | 2.20 USD | 07/26/22 | 75 | (2,927,250 | ) | (29,450 | ) | (10,950 | ) | 18,500 | ||||||||||||||
NAT GAS EURO OPT AUG22 | 2.25 USD | 07/26/22 | 204 | (7,962,120 | ) | (269,825 | ) | (35,292 | ) | 234,533 | ||||||||||||||
NAT GAS EURO OPT AUG22 | 2.50 USD | 07/26/22 | 118 | (4,605,540 | ) | (85,275 | ) | (43,778 | ) | 41,497 | ||||||||||||||
NAT GAS EURO OPT AUG23 | 1.50 USD | 07/26/23 | 21 | (679,980 | ) | (4,256 | ) | (651 | ) | 3,605 | ||||||||||||||
NAT GAS EURO OPT DEC21 | 2.25 USD | 11/24/21 | 1 | (59,910 | ) | (113 | ) | (25 | ) | 88 | ||||||||||||||
NAT GAS EURO OPT DEC21 | 4.00 USD | 11/24/21 | 997 | (59,730,270 | ) | (1,096,722 | ) | (1,017,937 | ) | 78,785 | ||||||||||||||
NAT GAS EURO OPT DEC22 | 2.20 USD | 11/25/22 | 75 | (2,687,250 | ) | (29,450 | ) | (14,550 | ) | 14,900 |
See Notes to Consolidated Financial Statements.
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Strike | Expiration Date | Contracts | Notional Amount | Premium Received | Market Value | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
NAT GAS EURO OPT DEC23 | 1.50 USD | 11/27/23 | 21 | (752,430 | ) | $ | (4,256 | ) | $ | (1,953 | ) | $ | 2,303 | |||||||||||
NAT GAS EURO OPT FEB22 | 2.20 USD | 01/26/22 | 75 | (4,137,750 | ) | (29,450 | ) | (8,775 | ) | 20,675 | ||||||||||||||
NAT GAS EURO OPT FEB22 | 3.75 USD | 01/26/22 | 514 | (514,000 | ) | (1,851,772 | ) | (112,103 | ) | 1,739,669 | ||||||||||||||
NAT GAS EURO OPT FEB23 | 1.50 USD | 01/26/23 | 21 | (868,770 | ) | (4,256 | ) | (819 | ) | 3,437 | ||||||||||||||
NAT GAS EURO OPT JAN22 | 2.20 USD | 12/28/21 | 75 | (750,000 | ) | (29,450 | ) | (2,925 | ) | 26,525 | ||||||||||||||
NAT GAS EURO OPT JAN22 | 2.25 USD | 12/28/21 | 86 | (5,222,780 | ) | (13,130 | ) | (3,612 | ) | 9,518 | ||||||||||||||
NAT GAS EURO OPT JAN22 | 3.50 USD | 12/28/21 | 450 | (4,500,000 | ) | (598,202 | ) | (334,350 | ) | 263,852 | ||||||||||||||
NAT GAS EURO OPT JAN23 | 1.50 USD | 12/27/22 | 21 | (887,040 | ) | (4,256 | ) | (546 | ) | 3,710 | ||||||||||||||
NAT GAS EURO OPT JUL22 | 2.20 USD | 06/27/22 | 75 | (2,994,000 | ) | (29,450 | ) | (10,425 | ) | 19,025 | ||||||||||||||
NAT GAS EURO OPT JUL22 | 2.25 USD | 06/27/22 | 204 | (7,947,840 | ) | (269,825 | ) | (33,660 | ) | 236,165 | ||||||||||||||
NAT GAS EURO OPT JUL22 | 2.50 USD | 06/27/22 | 118 | (4,597,280 | ) | (85,275 | ) | (42,244 | ) | 43,031 | ||||||||||||||
NAT GAS EURO OPT JUL23 | 1.50 USD | 06/27/23 | 21 | (677,250 | ) | (4,256 | ) | (609 | ) | 3,647 | ||||||||||||||
NAT GAS EURO OPT JUN22 | 2.20 USD | 05/25/22 | 75 | (2,891,250 | ) | (29,450 | ) | (9,825 | ) | 19,625 | ||||||||||||||
NAT GAS EURO OPT JUN22 | 2.25 USD | 05/25/22 | 204 | (7,864,200 | ) | (269,825 | ) | (32,028 | ) | 237,797 | ||||||||||||||
NAT GAS EURO OPT JUN22 | 2.50 USD | 05/25/22 | 118 | (4,548,900 | ) | (85,275 | ) | (40,946 | ) | 44,329 | ||||||||||||||
NAT GAS EURO OPT JUN23 | 1.50 USD | 05/25/23 | 21 | (666,750 | ) | (4,256 | ) | (672 | ) | 3,584 | ||||||||||||||
NAT GAS EURO OPT MAR22 | 2.00 USD | 02/23/22 | 214 | (12,996,220 | ) | (177,656 | ) | (30,388 | ) | 147,268 | ||||||||||||||
NAT GAS EURO OPT MAR22 | 2.20 USD | 02/23/22 | 75 | (4,137,750 | ) | (29,450 | ) | (15,975 | ) | 13,475 | ||||||||||||||
NAT GAS EURO OPT MAR22 | 2.50 USD | 02/23/22 | 492 | (27,143,640 | ) | (863,641 | ) | (187,452 | ) | 676,189 | ||||||||||||||
NAT GAS EURO OPT MAR22 | 3.25 USD | 02/23/22 | 300 | (16,551,000 | ) | (1,094,081 | ) | (532,800 | ) | 561,281 | ||||||||||||||
NAT GAS EURO OPT MAR22 | 3.75 USD | 02/23/22 | 43 | (2,372,310 | ) | (168,675 | ) | (164,217 | ) | 4,458 | ||||||||||||||
NAT GAS EURO OPT MAR22 | 4.00 USD | 02/23/22 | 643 | (24,581,890 | ) | (3,846,857 | ) | (2,035,738 | ) | 1,811,119 | ||||||||||||||
NAT GAS EURO OPT MAR23 | 1.50 USD | 02/23/23 | 21 | (802,830 | ) | (4,256 | ) | (1,512 | ) | 2,744 |
See Notes to Consolidated Financial Statements.
121
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Strike | Expiration Date | Contracts | Notional Amount | Premium Received | Market Value | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
NAT GAS EURO OPT MAY22 | 2.20 USD | 04/26/22 | 75 | (4,137,750 | ) | $ | (29,450 | ) | $ | (14,400 | ) | $ | 15,050 | |||||||||||
NAT GAS EURO OPT MAY22 | 2.25 USD | 04/26/22 | 204 | (6,387,240 | ) | (269,825 | ) | (45,696 | ) | 224,129 | ||||||||||||||
NAT GAS EURO OPT MAY22 | 2.50 USD | 04/26/22 | 118 | (4,512,320 | ) | (85,275 | ) | (52,864 | ) | 32,411 | ||||||||||||||
NAT GAS EURO OPT MAY23 | 1.50 USD | 04/25/23 | 21 | (657,510 | ) | (4,256 | ) | (861 | ) | 3,395 | ||||||||||||||
NAT GAS EURO OPT NOV21 | 2.25 USD | 10/26/21 | 131 | (7,685,770 | ) | (60,610 | ) | (131 | ) | 60,479 | ||||||||||||||
NAT GAS EURO OPT NOV21 | 3.00 USD | 10/26/21 | 858 | (50,338,860 | ) | (259,691 | ) | (9,438 | ) | 250,253 | ||||||||||||||
NAT GAS EURO OPT NOV21 | 3.25 USD | 10/26/21 | 214 | (2,140,000 | ) | (26,251 | ) | (4,494 | ) | 21,757 | ||||||||||||||
NAT GAS EURO OPT NOV21 | 3.75 USD | 10/26/21 | 258 | (15,136,860 | ) | (303,409 | ) | (18,318 | ) | 285,091 | ||||||||||||||
NAT GAS EURO OPT NOV21 | 4.00 USD | 10/26/21 | 491 | (4,910,000 | ) | (384,291 | ) | (70,213 | ) | 314,078 | ||||||||||||||
NAT GAS EURO OPT NOV21 | 4.50 USD | 10/26/21 | 729 | (7,290,000 | ) | (1,699,057 | ) | (459,999 | ) | 1,239,058 | ||||||||||||||
NAT GAS EURO OPT NOV22 | 2.20 USD | 10/26/22 | 75 | (2,994,000 | ) | (29,450 | ) | (18,675 | ) | 10,775 | ||||||||||||||
NAT GAS EURO OPT NOV23 | 1.50 USD | 10/26/23 | 21 | (709,590 | ) | (4,256 | ) | (1,323 | ) | 2,933 | ||||||||||||||
NAT GAS EURO OPT OCT22 | 2.20 USD | 09/27/22 | 75 | (4,137,750 | ) | (29,450 | ) | (16,875 | ) | 12,575 | ||||||||||||||
NAT GAS EURO OPT OCT22 | 2.25 USD | 09/27/22 | 204 | (7,982,520 | ) | (269,825 | ) | (53,448 | ) | 216,377 | ||||||||||||||
NAT GAS EURO OPT OCT22 | 2.50 USD | 09/27/22 | 118 | (4,512,320 | ) | (85,275 | ) | (61,360 | ) | 23,915 | ||||||||||||||
NAT GAS EURO OPT OCT23 | 1.50 USD | 09/26/23 | 21 | (686,700 | ) | (4,256 | ) | (924 | ) | 3,332 | ||||||||||||||
NAT GAS EURO OPT SEP22 | 2.20 USD | 08/26/22 | 75 | (2,913,000 | ) | (29,450 | ) | (14,025 | ) | 15,425 | ||||||||||||||
NAT GAS EURO OPT SEP22 | 2.25 USD | 08/26/22 | 204 | (7,923,360 | ) | (269,825 | ) | (44,880 | ) | 224,945 | ||||||||||||||
NAT GAS EURO OPT SEP22 | 2.50 USD | 08/26/22 | 118 | (4,512,320 | ) | (85,275 | ) | (53,454 | ) | 31,821 | ||||||||||||||
NAT GAS EURO OPT SEP23 | 1.50 USD | 08/28/23 | 21 | (679,140 | ) | (4,256 | ) | (756 | ) | 3,500 | ||||||||||||||
NATURAL GAS FUTURE APR23 | 2.00 USD | 03/28/23 | 76 | (2,437,320 | ) | (82,136 | ) | (30,248 | ) | 51,888 | ||||||||||||||
NATURAL GAS FUTURE AUG23 | 2.00 USD | 07/26/23 | 76 | (2,460,880 | ) | (82,136 | ) | (20,368 | ) | 61,768 |
See Notes to Consolidated Financial Statements.
122
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Strike | Expiration Date | Contracts | Notional Amount | Premium Received | Market Value | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
NATURAL GAS FUTURE DEC23 | 2.00 USD | 11/27/23 | 76 | (2,723,080 | ) | $ | (82,136 | ) | $ | (37,013 | ) | $ | 45,123 | |||||||||||
NATURAL GAS FUTURE FEB23 | 2.00 USD | 01/26/23 | 76 | (3,144,120 | ) | (82,136 | ) | (16,644 | ) | 65,492 | ||||||||||||||
NATURAL GAS FUTURE JAN23 | 2.00 USD | 12/27/22 | 76 | (3,210,240 | ) | (82,135 | ) | (11,779 | ) | 70,356 | ||||||||||||||
NATURAL GAS FUTURE JUL23 | 2.00 USD | 06/27/23 | 76 | (2,451,000 | ) | (82,136 | ) | (19,836 | ) | 62,300 | ||||||||||||||
NATURAL GAS FUTURE JUN23 | 2.00 USD | 05/25/23 | 76 | (2,413,000 | ) | (82,135 | ) | (21,812 | ) | 60,323 | ||||||||||||||
NATURAL GAS FUTURE MAR23 | 2.00 USD | 02/23/23 | 76 | (2,905,480 | ) | (82,135 | ) | (28,044 | ) | 54,091 | ||||||||||||||
NATURAL GAS FUTURE MAY23 | 2.00 USD | 04/25/23 | 76 | (2,379,560 | ) | (82,135 | ) | (25,992 | ) | 56,143 | ||||||||||||||
NATURAL GAS FUTURE NOV23 | 2.00 USD | 10/26/23 | 76 | (2,568,040 | ) | (82,135 | ) | (30,932 | ) | 51,203 | ||||||||||||||
NATURAL GAS FUTURE OCT23 | 2.00 USD | 09/26/23 | 76 | (2,485,200 | ) | (82,135 | ) | (25,079 | ) | 57,056 | ||||||||||||||
NATURAL GAS FUTURE SEP23 | 2.00 USD | 08/28/23 | 76 | (2,457,840 | ) | (82,135 | ) | (22,496 | ) | 59,639 | ||||||||||||||
S&P 500 Index, Dec21 PUT | 4,040.00 USD | 12/17/21 | 114 | (11,400 | ) | (775,193 | ) | (924,540 | ) | (149,347 | ) | |||||||||||||
|
|
|
|
|
| |||||||||||||||||||
$ | (18,094,521 | ) | $ | (7,360,557 | ) | $ | 10,733,964 | |||||||||||||||||
|
|
|
|
|
|
OTC Put Options Written
Counterparty | Strike | Expiration Date | Contracts | Notional Amount | Premium Received | Market Value | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||||
PUT Russell 2000 INDEX 2095.83 EURO 12/31/2021 | Barclays Bank PLC | 2,095.83 USD | 12/31/21 | 16,600 | (16,600 | ) | $ | (986,040 | ) | $ | (1,187,853 | ) | $ | (201,813 | ) | |||||||||||||||
PUT S+P 500 INDEX 4044.222 EUR 12/31/2021 KI 3594.864 | Goldman Sachs International | 4,044.22 USD | 12/31/21 | 11,083 | (11,083 | ) | (652,411 | ) | (1,086,635 | ) | (434,224 | ) | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
$ | (1,638,451 | ) | $ | (2,274,488 | ) | $ | (636,037 | ) | ||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
Total Options Written Outstanding |
| $ | (40,149,717 | ) | $ | (99,146,658 | ) | $ | (58,996,941 | ) | ||||||||||||||||||||
|
|
|
|
|
|
See Notes to Consolidated Financial Statements.
123
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
At September 30, 2021, 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 | Value | Unrealized | ||||||||||||
Latam Airlines Group S.A., PIK DIP Delayed Draw Term Loan A, 0.50%, 03/29/22 | $ | 972,099 | $ | 983,202 | $ | 11,103 | |||||||||
Latam Airlines Group S.A., PIK DIP Delayed Draw Term Loan C, 0.50%, 03/29/22 | 591,608 | 625,064 | 33,456 | ||||||||||||
Brazos Electric Power Cooperative Inc., Revolver, 09/28/23 | 464,515 | 460,214 | (4,301 | ) | |||||||||||
Mallinckrodt International Finance S.A., Revolver, 02/28/22 | 6,237,013 | 6,287,964 | 50,951 | ||||||||||||
|
|
|
|
|
| ||||||||||
Total Unfunded Loan Commitment | $ | 8,265,235 | $ | 8,356,444 | $ | 91,209 | |||||||||
|
|
|
|
|
|
Reverse Repurchase Agreements Outstanding at September 30, 2021
Counterparty | Interest Rate | Trade Date | Maturity Date | Face Value | Face Value Including Accrued Interest | |||||||||||
Goldman Sachs Bank USA | 1.59% | 09/20/21 | 10/19/21 | $ | 2,246,000 | $ | 2,247,092 | |||||||||
Goldman Sachs Bank USA | 1.64% | 09/20/21 | 10/19/21 | 929,000 | 929,466 | |||||||||||
Goldman Sachs Bank USA | 1.64% | 09/20/21 | 10/19/21 | 1,501,000 | 1,501,753 | |||||||||||
Goldman Sachs Bank USA | 1.64% | 09/20/21 | 10/19/21 | 763,000 | 763,383 | |||||||||||
Goldman Sachs Bank USA | 1.64% | 09/20/21 | 10/19/21 | 1,252,000 | 1,252,628 | |||||||||||
Goldman Sachs Bank USA | 1.74% | 09/20/21 | 10/19/21 | 486,000 | 486,258 | |||||||||||
Goldman Sachs Bank USA | 1.74% | 09/20/21 | 10/19/21 | 261,000 | 261,138 | |||||||||||
Goldman Sachs Bank USA | 1.74% | 09/20/21 | 10/19/21 | 212,000 | 212,113 | |||||||||||
Goldman Sachs Bank USA | 1.74% | 09/20/21 | 10/19/21 | 6,499,000 | 6,502,451 | |||||||||||
Goldman Sachs Bank USA | 1.74% | 09/20/21 | 10/19/21 | 5,551,000 | 5,553,947 | |||||||||||
Goldman Sachs Bank USA | 1.74% | 09/20/21 | 10/19/21 | 921,000 | 921,490 | |||||||||||
Goldman Sachs Bank USA | 1.94% | 09/20/21 | 10/19/21 | 1,765,000 | 1,766,045 | |||||||||||
Goldman Sachs Bank USA | 1.99% | 09/20/21 | 10/19/21 | 688,000 | 688,418 | |||||||||||
Goldman Sachs Bank USA | 2.09% | 09/20/21 | 10/19/21 | 519,000 | 519,331 | |||||||||||
Royal Bank of Canada | 0.10% | 09/21/21 | 10/21/21 | 4,679,000 | 4,679,130 | |||||||||||
|
|
|
| |||||||||||||
Total Reverse Repurchase Agreements Outstanding |
| $ | 28,272,000 | $ | 28,284,643 | |||||||||||
|
|
|
|
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Futures Contracts Outstanding at September 30, 2021
Description | Contracts | Exchange | Notional Amount | Expiration Date | Value/ Unrealized Appreciation (Depreciation) | |||||||||||||||
Long Futures | ||||||||||||||||||||
3 Month Eurodollar | 15 | LME | 981,537 USD | 12/15/21 | $ | 89,932 | ||||||||||||||
3 Month Eurodollar | 596 | ICE | 149,774,205 EUR | 03/14/22 | (7,941 | ) | ||||||||||||||
3 Month Eurodollar | 66 | NYMEX | 4,411,687 USD | 05/20/22 | 284,213 | |||||||||||||||
3 Month Eurodollar | 751 | ICE | 188,684,258 EUR | 06/13/22 | (27,419 | ) | ||||||||||||||
3 Month Eurodollar | 1,016 | ICE | 255,189,604 EUR | 09/19/22 | (53,984 | ) | ||||||||||||||
3 Month Eurodollar | 2 | LME | 128,108 USD | 12/19/22 | 9,405 | |||||||||||||||
3 Month Eurodollar | 566 | ICE | 142,085,916 EUR | 03/13/23 | (55,851 | ) | ||||||||||||||
90 Day Eurodollar | 655 | CME | 163,499,272 USD | 03/14/22 | 13,291 | |||||||||||||||
90 Day Eurodollar | 1,527 | CME | 380,643,395 USD | 09/19/22 | (95,907 | ) | ||||||||||||||
90 Day Eurodollar | 1,683 | CME | 418,862,899 USD | 12/19/22 | (195,611 | ) | ||||||||||||||
90 Day Eurodollar | 178 | CME | 44,250,684 USD | 03/13/23 | (31,034 | ) | ||||||||||||||
90 Day Eurodollar | 7 | CME | 1,734,168 USD | 09/18/23 | (1,843 | ) | ||||||||||||||
90 Day Sterling | 401 | ICE | 28,650,671 USD | 03/21/22 | 943,129 | |||||||||||||||
90 Day Sterling | 629 | ICE | 78,255,551 GBP | 06/15/22 | (169,622 | ) | ||||||||||||||
90 Day Sterling | 230 | ICE | 28,565,371 GBP | 12/21/22 | (66,944 | ) | ||||||||||||||
Amsterdam Index | 3 | Euronext | 478,193 EUR | 10/15/21 | (18,528 | ) | ||||||||||||||
Argus Eurobob Oxy FOB Rotterdam Barges | 21 | ICE | 69,076 USD | 09/30/21 | 170,870 | |||||||||||||||
Argus Eurobob Oxy FOB Rotterdam Barges | 21 | ICE | 69,076 USD | 10/29/21 | 113,624 | |||||||||||||||
Argus Eurobob Oxy FOB Rotterdam Barges | 21 | ICE | 69,076 USD | 11/30/21 | 63,161 | |||||||||||||||
Argus Eurobob Oxy FOB Rotterdam Barges | 21 | ICE | 69,076 USD | 12/31/21 | 41,426 | |||||||||||||||
Australian 10-Year Bond | 340 | SFE | 48,969,749 AUD | 12/15/21 | (628,298 | ) | ||||||||||||||
Brent 1st Line | 10 | ICE | 9,529 USD | 09/30/21 | 13,061 | |||||||||||||||
Brent 1st Line | 10 | ICE | 9,529 USD | 10/29/21 | 14,971 | |||||||||||||||
Brent 1st Line | 10 | ICE | 9,529 USD | 11/30/21 | 16,471 | |||||||||||||||
Brent 1st Line | 10 | ICE | 9,529 USD | 12/31/21 | 16,821 | |||||||||||||||
Brent Crude | 50 | ICE | 200,001 USD | 10/26/21 | 1,205,499 | |||||||||||||||
Brent Crude | 640 | ICE | 2,728,675 USD | 10/26/21 | 8,900,125 | |||||||||||||||
Brent Crude | 29 | ICE | 2,135,103 USD | 10/29/21 | 135,887 | |||||||||||||||
Brent Crude | 730 | ICE | 55,501,132 USD | 11/30/21 | 1,095,767 | |||||||||||||||
Brent Crude | 120 | ICE | 295,232 USD | 12/23/21 | (138,032 | ) | ||||||||||||||
Brent Crude | 37 | ICE | 2,733,726 USD | 01/31/22 | 80,494 | |||||||||||||||
Brent Crude | 375 | ICE | 46,705,001 GBP | 03/16/22 | (80,424 | ) | ||||||||||||||
Brent Crude | 60 | ICE | 562,216 USD | 10/26/22 | 55,184 | |||||||||||||||
British Pound Currency | 14 | CME | 1,195,625 USD | 12/13/21 | (16,562 | ) | ||||||||||||||
California Carbon Allowance Vintage Specific 2021 | 8 | Euronext | 528,865 EUR | 10/15/21 | (8,601 | ) | ||||||||||||||
California Carbon Allowance Vintage Specific 2021 | 227 | ICE | 4,213,188 USD | 12/27/21 | 2,006,612 | |||||||||||||||
California Carbon Allowance Vintage Specific 2023 | 575 | ICE | 10,702,673 USD | 12/27/21 | 5,046,577 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Description | Contracts | Exchange | Notional Amount | Expiration Date | Value/ Unrealized Appreciaton (Depreciation) | |||||||||||||||
CAN 10YR BOND FUT SEP21 XMOD 20210921 | 25 | CDE | 3,645,075 CAD | 12/20/21 | $ | (52,364 | ) | |||||||||||||
Canadian Dollar Currency | 3 | CME | 236,373 USD | 12/14/21 | 597 | |||||||||||||||
Cocoa | 92 | ICE | 2,406,827 USD | 03/16/22 | 56,013 | |||||||||||||||
Coffee ‘C’ | 617 | ICE | 76,632,529 GBP | 09/21/22 | (110,635 | ) | ||||||||||||||
Corn | 198 | CBOT | 5,479,042 USD | 03/14/22 | (88,492 | ) | ||||||||||||||
Cotton No.2 | 47 | COMEX | 4,908,532 USD | 12/29/21 | (103,957 | ) | ||||||||||||||
Cotton No.2 | 1,526 | ICE | 73,338,069 USD | 03/09/22 | 5,922,371 | |||||||||||||||
Crude Palm Oil | 17 | MYX | 1,825,563 MYR | 12/15/21 | 30,410 | |||||||||||||||
DAX Index | 3 | Eurex | 1,176,198 EUR | 12/17/21 | (34,285 | ) | ||||||||||||||
DJIA mini E-CBOT | 8 | CBOT | 1,368,159 USD | 12/17/21 | (19,279 | ) | ||||||||||||||
DSS 09292021 | 1 | ICE | 11,166 USD | 09/30/21 | 747 | |||||||||||||||
DSS 09292021 | 1 | ICE | 11,166 USD | 10/01/21 | 459 | |||||||||||||||
E-mini Russell 2000 | 9 | CME | 978,609 USD | 12/17/21 | 11,751 | |||||||||||||||
Euro BTP | 15 | Eurex | 2,308,887 EUR | 12/08/21 | (34,330 | ) | ||||||||||||||
Euro OAT | 5 | Eurex | 839,739 EUR | 12/08/21 | (11,571 | ) | ||||||||||||||
Euro Stoxx 50 | 36 | Eurex | 1,503,654 EUR | 12/17/21 | (53,717 | ) | ||||||||||||||
Euro Stoxx 50 | 11 | COMEX | 1,989,487 USD | 12/29/21 | (56,787 | ) | ||||||||||||||
Euro-Bund | 127 | Eurex | 17,173,806 EUR | 12/08/21 | (43,666 | ) | ||||||||||||||
Euro-Bund | 57 | Eurex | 9,764,165 EUR | 12/08/21 | (97,794 | ) | ||||||||||||||
Euro-Schatz | 476 | Eurex | 53,426,679 EUR | 12/08/21 | (19,807 | ) | ||||||||||||||
FTSE 100 Index | 5 | ICE | 350,879 GBP | 12/17/21 | 3,768 | |||||||||||||||
FTSE Taiwan Index | 58 | SGX | 3,491,678 USD | 10/28/21 | (60,398 | ) | ||||||||||||||
FTSE/MIB Index | 3 | IDEM | 383,932 EUR | 12/17/21 | (3,865 | ) | ||||||||||||||
Gasoline RBOB | 221 | NYMEX | 19,274,314 USD | 10/29/21 | 1,090,394 | |||||||||||||||
Gasoline RBOB | 158 | NYMEX | 13,591,825 USD | 11/30/21 | 716,055 | |||||||||||||||
Globex Natural Gas | 100 | NYMEX | 5,097,572 USD | 11/24/21 | 893,428 | |||||||||||||||
Globex Natural Gas | 45 | NYMEX | 1,279,877 USD | 04/26/22 | 440,923 | |||||||||||||||
Globex Natural Gas | 45 | NYMEX | 1,279,877 USD | 05/25/22 | 454,873 | |||||||||||||||
Globex Natural Gas | 45 | NYMEX | 1,279,877 USD | 06/27/22 | 473,323 | |||||||||||||||
Globex Natural Gas | 45 | NYMEX | 1,279,877 USD | 07/26/22 | 476,473 | |||||||||||||||
Globex Natural Gas | 45 | NYMEX | 1,279,877 USD | 08/26/22 | 467,923 | |||||||||||||||
Globex Natural Gas | 45 | NYMEX | 1,279,877 USD | 09/27/22 | 480,973 | |||||||||||||||
Henry Hub | 496 | ICE | 7,370 USD | 10/04/21 | 5,030 | |||||||||||||||
Henry Hub | 111 | ICE | 1,157,257 USD | 10/26/21 | 470,835 | |||||||||||||||
Henry Hub | 1,483 | ICE | 19,039,982 USD | 10/27/21 | 2,711,920 | |||||||||||||||
Henry Hub | 496 | ICE | 4,696 USD | 11/02/21 | 60,280 | |||||||||||||||
Henry Hub | 124 | ICE | 934,237 USD | 11/26/21 | 922,973 | |||||||||||||||
Henry Hub | 786 | ICE | 6,828,354 USD | 12/29/21 | 5,105,091 | |||||||||||||||
Henry Hub | 712 | ICE | 6,102,426 USD | 01/27/22 | 4,490,354 | |||||||||||||||
Henry Hub | 631 | ICE | 5,464,194 USD | 02/24/22 | 3,238,874 | |||||||||||||||
Henry Hub | 276 | NYMEX | 1,806,754 USD | 03/28/22 | 950,486 | |||||||||||||||
Henry Hub | 471 | ICE | 2,920,421 USD | 03/28/22 | 1,784,869 | |||||||||||||||
Henry Hub | 792 | ICE | 6,678,511 USD | 03/29/22 | 1,233,569 | |||||||||||||||
Henry Hub | 40 | NYMEX | 320,030 USD | 04/26/22 | 62,370 | |||||||||||||||
Henry Hub | 725 | ICE | 6,140,662 USD | 04/27/22 | 790,338 | |||||||||||||||
Henry Hub | 40 | NYMEX | 320,030 USD | 05/25/22 | 65,470 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Description | Contracts | Exchange | Notional Amount | Expiration Date | Value/ Unrealized Appreciaton (Depreciation) | |||||||||||||||
Henry Hub | 732 | ICE | 6,187,067 USD | 05/26/22 | $ | 867,583 | ||||||||||||||
Henry Hub | 40 | NYMEX | 320,030 USD | 06/27/22 | 69,570 | |||||||||||||||
Henry Hub | 1,097 | ICE | 8,668,742 USD | 06/28/22 | 2,016,038 | |||||||||||||||
Henry Hub | 40 | NYMEX | 320,030 USD | 07/26/22 | 70,270 | |||||||||||||||
Henry Hub | 1,097 | ICE | 8,668,742 USD | 07/27/22 | 2,035,236 | |||||||||||||||
Henry Hub | 40 | NYMEX | 320,030 USD | 08/26/22 | 68,370 | |||||||||||||||
Henry Hub | 1,092 | ICE | 8,636,758 USD | 08/29/22 | 1,966,562 | |||||||||||||||
Henry Hub | 40 | NYMEX | 320,030 USD | 09/27/22 | 71,270 | |||||||||||||||
Henry Hub | 568 | ICE | 4,980,005 USD | 09/28/22 | 576,455 | |||||||||||||||
Henry Hub | 540 | ICE | 4,795,000 USD | 10/27/22 | 594,200 | |||||||||||||||
Henry Hub | 569 | ICE | 5,044,261 USD | 11/28/22 | 849,156 | |||||||||||||||
Henry Hub | 250 | ICE | 1,908,971 USD | 12/28/22 | 731,029 | |||||||||||||||
Henry Hub | 31 | ICE | 218,960 USD | 12/27/24 | 49,112 | |||||||||||||||
Henry Hub | 28 | ICE | 197,771 USD | 01/29/25 | 39,179 | |||||||||||||||
Henry Hub | 31 | ICE | 218,960 USD | 02/26/25 | 29,195 | |||||||||||||||
Henry Hub | 30 | ICE | 211,897 USD | 03/27/25 | (397 | ) | ||||||||||||||
Henry Hub | 31 | ICE | 218,960 USD | 04/28/25 | (2,735 | ) | ||||||||||||||
Henry Hub | 30 | ICE | 211,897 USD | 05/28/25 | 203 | |||||||||||||||
Henry Hub | 31 | ICE | 218,960 USD | 06/26/25 | 3,620 | |||||||||||||||
Henry Hub | 31 | ICE | 218,960 USD | 07/29/25 | 4,860 | |||||||||||||||
Henry Hub | 30 | ICE | 211,897 USD | 08/27/25 | 4,103 | |||||||||||||||
Henry Hub | 31 | ICE | 218,960 USD | 09/26/25 | 6,797 | |||||||||||||||
Henry Hub | 30 | ICE | 211,897 USD | 10/29/25 | 14,453 | |||||||||||||||
Henry Hub | 31 | ICE | 218,960 USD | 11/25/25 | 31,675 | |||||||||||||||
Henry Hub | 403 | ICE | 2,676,218 USD | 12/29/25 | 692,862 | |||||||||||||||
Henry Hub | 364 | ICE | 2,417,229 USD | 01/28/26 | 584,861 | |||||||||||||||
Henry Hub | 403 | ICE | 2,676,218 USD | 02/25/26 | 476,249 | |||||||||||||||
Henry Hub | 390 | ICE | 2,589,889 USD | 03/27/26 | 119,636 | |||||||||||||||
Henry Hub | 403 | ICE | 2,676,218 USD | 04/28/26 | 103,474 | |||||||||||||||
Henry Hub | 390 | ICE | 2,589,889 USD | 05/27/26 | 146,936 | |||||||||||||||
Henry Hub | 403 | ICE | 2,676,218 USD | 06/26/26 | 201,202 | |||||||||||||||
Henry Hub | 403 | ICE | 2,676,218 USD | 07/29/26 | 217,322 | |||||||||||||||
Henry Hub | 390 | ICE | 2,589,889 USD | 08/27/26 | 212,261 | |||||||||||||||
Henry Hub | 403 | ICE | 2,676,218 USD | 09/28/26 | 256,614 | |||||||||||||||
Henry Hub | 390 | ICE | 2,589,889 USD | 10/28/26 | 355,586 | |||||||||||||||
Henry Hub | 403 | ICE | 2,676,218 USD | 11/25/26 | 587,074 | |||||||||||||||
Lean Hogs | 794 | CME | 26,938,938 USD | 02/14/22 | 763,722 | |||||||||||||||
Live Cattle | 669 | CME | 34,203,620 USD | 12/31/21 | (559,610 | ) | ||||||||||||||
Low Sulphar Gasoil | 21 | ICE | 107,604 USD | 09/30/21 | 93,723 | |||||||||||||||
Low Sulphar Gasoil | 21 | ICE | 107,604 USD | 10/29/21 | 153,461 | |||||||||||||||
Low Sulphar Gasoil | 21 | ICE | 107,604 USD | 11/30/21 | 161,021 | |||||||||||||||
Low Sulphar Gasoil | 913 | ICE | 56,018,062 USD | 12/10/21 | 5,244,238 | |||||||||||||||
Low Sulphar Gasoil | 21 | ICE | 107,604 USD | 12/31/21 | 164,791 | |||||||||||||||
Low Sulphar Gasoil | 45 | ICE | 2,764,101 USD | 01/12/22 | 236,274 | |||||||||||||||
Low Sulphar Gasoil | 173 | ICE | 10,892,150 USD | 02/10/22 | 573,425 |
See Notes to Consolidated Financial Statements.
127
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Description | Contracts | Exchange | Notional Amount | Expiration Date | Value/ Unrealized Appreciaton (Depreciation) | |||||||||||||||
Low Sulphar Gasoil | 240 | ICE | 13,329,725 USD | 12/12/22 | $ | 1,808,275 | ||||||||||||||
MSCI Emerging Market | 6 | ICE | 388,693 USD | 12/17/21 | (15,013 | ) | ||||||||||||||
MSCI Singapore Index | 56 | SGX | 2,011,991 SGD | 10/28/21 | (23,855 | ) | ||||||||||||||
NASDAQ 100 E-Mini | 7 | CME | 2,137,998 USD | 12/17/21 | (82,448 | ) | ||||||||||||||
Natural Gas | 63 | NYMEX | 3,691,278 USD | 10/27/21 | 4,932 | |||||||||||||||
Natural Gas | 430 | NYMEX | 24,846,433 USD | 11/26/21 | 914,867 | |||||||||||||||
Natural Gas | 167 | NYMEX | 6,900,206 USD | 01/27/22 | 3,037,964 | |||||||||||||||
Natural Gas | 238 | NYMEX | 6,160,011 USD | 09/28/22 | 3,152,929 | |||||||||||||||
Natural Gas | 57 | NYMEX | 2,025,226 USD | 10/27/22 | 250,214 | |||||||||||||||
Natural Gas | 182 | NYMEX | 5,114,513 USD | 12/28/22 | 2,573,167 | |||||||||||||||
Natural Gas | 10 | NYMEX | 286,718 USD | 12/28/22 | 135,682 | |||||||||||||||
Natural Gas | 6 | NYMEX | 162,611 USD | 02/24/23 | 66,769 | |||||||||||||||
Natural Gas | 12 | NYMEX | 380,301 USD | 11/28/23 | 49,659 | |||||||||||||||
Natural Gas | 27 | NYMEX | 755,546 USD | 12/27/23 | 241,294 | |||||||||||||||
Natural Gas | 24 | NYMEX | 642,042 USD | 12/27/23 | 244,037 | |||||||||||||||
Natural Gas | 27 | NYMEX | 755,546 USD | 01/29/24 | 224,824 | |||||||||||||||
Natural Gas | 22 | NYMEX | 588,539 USD | 01/29/24 | 210,281 | |||||||||||||||
Natural Gas | 27 | NYMEX | 755,546 USD | 02/27/24 | 160,834 | |||||||||||||||
Natural Gas | 24 | NYMEX | 642,042 USD | 02/27/24 | 172,517 | |||||||||||||||
Natural Gas | 27 | NYMEX | 755,546 USD | 03/26/24 | 41,764 | |||||||||||||||
Natural Gas | 23 | NYMEX | 615,291 USD | 03/26/24 | 63,899 | |||||||||||||||
Natural Gas | 27 | NYMEX | 755,546 USD | 04/26/24 | 30,964 | |||||||||||||||
Natural Gas | 24 | NYMEX | 642,042 USD | 04/26/24 | 57,078 | |||||||||||||||
Natural Gas | 27 | NYMEX | 755,546 USD | 05/29/24 | 40,144 | |||||||||||||||
Natural Gas | 23 | NYMEX | 615,291 USD | 05/29/24 | 62,519 | |||||||||||||||
Natural Gas | 27 | NYMEX | 755,546 USD | 06/26/24 | 52,564 | |||||||||||||||
Natural Gas | 24 | NYMEX | 642,042 USD | 06/26/24 | 76,277 | |||||||||||||||
Natural Gas | 27 | NYMEX | 755,546 USD | 07/29/24 | 54,724 | |||||||||||||||
Natural Gas | 24 | NYMEX | 642,042 USD | 07/29/24 | 78,197 | |||||||||||||||
Natural Gas | 27 | NYMEX | 755,546 USD | 08/28/24 | 52,024 | |||||||||||||||
Natural Gas | 23 | NYMEX | 615,291 USD | 08/28/24 | 72,639 | |||||||||||||||
Natural Gas | 27 | NYMEX | 755,546 USD | 09/26/24 | 60,934 | |||||||||||||||
Natural Gas | 24 | NYMEX | 642,042 USD | 09/26/24 | 83,717 | |||||||||||||||
Natural Gas | 27 | NYMEX | 755,546 USD | 10/29/24 | 90,364 | |||||||||||||||
Natural Gas | 23 | NYMEX | 615,291 USD | 10/29/24 | 105,299 | |||||||||||||||
Natural Gas | 27 | NYMEX | 755,546 USD | 11/26/24 | 149,764 | |||||||||||||||
Natural Gas | 24 | NYMEX | 642,042 USD | 11/26/24 | 162,677 | |||||||||||||||
Natural Gas | 6 | NYMEX | 170,710 USD | 12/27/24 | 36,830 | |||||||||||||||
Natural Gas | 6 | NYMEX | 170,710 USD | 01/29/25 | 32,390 | |||||||||||||||
Natural Gas | 6 | NYMEX | 170,710 USD | 02/26/25 | 21,410 | |||||||||||||||
Natural Gas | 6 | NYMEX | 170,710 USD | 03/27/25 | (1,510 | ) | ||||||||||||||
Natural Gas | 6 | NYMEX | 170,710 USD | 04/28/25 | (3,310 | ) | ||||||||||||||
Natural Gas | 6 | NYMEX | 170,710 USD | 05/28/25 | (1,030 | ) | ||||||||||||||
Natural Gas | 6 | NYMEX | 170,710 USD | 06/26/25 | 1,610 |
See Notes to Consolidated Financial Statements.
128
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Description | Contracts | Exchange | Notional Amount | Expiration Date | Value/ Unrealized Appreciaton (Depreciation) | |||||||||||||||
Natural Gas | 6 | NYMEX | 170,710 USD | 07/29/25 | $ | 2,570 | ||||||||||||||
Natural Gas | 6 | NYMEX | 170,710 USD | 08/27/25 | 2,090 | |||||||||||||||
Natural Gas | 6 | NYMEX | 170,710 USD | 09/26/25 | 4,070 | |||||||||||||||
Natural Gas | 6 | NYMEX | 170,710 USD | 10/29/25 | 10,370 | |||||||||||||||
Natural Gas | 6 | NYMEX | 170,710 USD | 11/25/25 | 23,330 | |||||||||||||||
Natural Gas | 4 | NYMEX | 119,107 USD | 12/29/25 | 14,653 | |||||||||||||||
Natural Gas | 4 | NYMEX | 119,107 USD | 01/28/26 | 12,853 | |||||||||||||||
Natural Gas | 4 | NYMEX | 119,107 USD | 02/25/26 | 6,053 | |||||||||||||||
Natural Gas | 4 | NYMEX | 119,107 USD | 03/27/26 | (7,947 | ) | ||||||||||||||
Natural Gas | 4 | NYMEX | 119,107 USD | 04/28/26 | (8,747 | ) | ||||||||||||||
Natural Gas | 4 | NYMEX | 119,107 USD | 05/27/26 | (6,827 | ) | ||||||||||||||
Natural Gas | 4 | NYMEX | 119,107 USD | 06/26/26 | (4,867 | ) | ||||||||||||||
Natural Gas | 4 | NYMEX | 119,107 USD | 07/29/26 | (4,227 | ) | ||||||||||||||
Natural Gas | 4 | NYMEX | 119,107 USD | 08/27/26 | (4,147 | ) | ||||||||||||||
Natural Gas | 4 | NYMEX | 119,107 USD | 09/28/26 | (2,667 | ) | ||||||||||||||
Natural Gas | 4 | NYMEX | 119,107 USD | 10/28/26 | 1,733 | |||||||||||||||
Natural Gas | 4 | NYMEX | 119,107 USD | 11/25/26 | 10,453 | |||||||||||||||
New Zealand Dollar Currency | 46 | CME | 3,243,639 USD | 12/13/21 | (67,569 | ) | ||||||||||||||
Nickel | 9 | LME | 1,063,456 USD | 12/13/21 | (94,885 | ) | ||||||||||||||
NY Harbor ULSD | 25 | NYMEX | 2,272,077 USD | 10/29/21 | 183,348 | |||||||||||||||
NY Harbor ULSD | 791 | NYMEX | 72,836,149 USD | 11/30/21 | 4,634,232 | |||||||||||||||
NY Harbor ULSD | 30 | NYMEX | 2,727,953 USD | 01/31/22 | 176,725 | |||||||||||||||
OMXS30 Index | 14 | Nasdaq OMX | 3,264,188 SEK | 10/15/21 | (12,524 | ) | ||||||||||||||
Platinum | 2 | NYMEX | 97,563 USD | 01/27/22 | (1,323 | ) | ||||||||||||||
S&P 500 E-mini | 103 | CME | 22,915,493 USD | 12/17/21 | (782,080 | ) | ||||||||||||||
S&P/TSX 60 Index | 9 | CDE | 2,206,330 CAD | 12/16/21 | (42,121 | ) | ||||||||||||||
SGX Nifty 50 | 45 | SGX | 1,610,311 USD | 10/28/21 | (26,131 | ) | ||||||||||||||
SGX Nifty 50 | 9 | SGX | 132,130 USD | 12/31/21 | (27,820 | ) | ||||||||||||||
Silver | 5 | COMEX | 590,402 USD | 12/29/21 | (39,227 | ) | ||||||||||||||
Soyabean | 88 | CBOT | 2,997,973 USD | 12/14/21 | (105,413 | ) | ||||||||||||||
Soyabean | 99 | CBOT | 6,639,018 USD | 01/14/22 | (374,793 | ) | ||||||||||||||
Soyabean | 230 | CBOT | 8,228,590 USD | 01/14/22 | (148,690 | ) | ||||||||||||||
Soyabean Oil | 29 | ICE | 2,104,069 USD | 12/30/21 | 121,971 | |||||||||||||||
SPI 200 | 46 | SFE | 8,467,893 AUD | 12/16/21 | (58,518 | ) | ||||||||||||||
Sugar 11 | 1,086 | ICE | 23,378,765 USD | 04/29/22 | 655,718 | |||||||||||||||
Swiss Franc Currency | 18 | CME | 2,435,764 USD | 12/13/21 | (18,814 | ) | ||||||||||||||
Swiss Market Index | 11 | Eurex | 1,322,221 CHF | 12/17/21 | (49,478 | ) | ||||||||||||||
Topix | 84 | OSE | 1,727,528,469 JPY | 12/09/21 | (196,850 | ) | ||||||||||||||
U.S. Treasury 10-Year Note | 858 | CBOT | 114,053,602 USD | 12/21/21 | (1,132,759 | ) | ||||||||||||||
U.S. Treasury 2-Year Note | 194 | CBOT | 42,724,529 USD | 12/31/21 | (33,920 | ) | ||||||||||||||
U.S. Treasury 5-Year Note | 158 | CBOT | 19,485,927 USD | 12/31/21 | (92,661 | ) | ||||||||||||||
U.S. Treasury Long Bond | 31 | CBOT | 5,062,221 USD | 12/21/21 | (126,440 | ) |
See Notes to Consolidated Financial Statements.
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September 30, 2021 (Unaudited)
Description | Contracts | Exchange | Notional Amount | Expiration Date | Value/ Unrealized Appreciaton (Depreciation) | |||||||||||||||
U.S. Treasury Ultra Bond | 5 | CBOT | 991,628 USD | 12/21/21 | $ | (36,316 | ) | |||||||||||||
Wheat | 405 | CBOT | 15,156,056 USD | 03/14/22 | (241,931 | ) | ||||||||||||||
WTI Crude | 45 | NYMEX | 3,158,121 USD | 10/20/21 | 218,229 | |||||||||||||||
WTI Crude | 583 | NYMEX | 40,269,672 USD | 11/19/21 | 3,280,428 | |||||||||||||||
WTI Crude | 24 | KRX FM | 2,497,296,000 KRW | 12/09/21 | (74,574 | ) | ||||||||||||||
WTI Crude | 30 | NYMEX | 2,112,016 USD | 12/20/21 | 113,684 | |||||||||||||||
WTI Crude | 41 | NYMEX | 2,855,035 USD | 01/20/22 | 162,155 | |||||||||||||||
WTI Crude | 457 | NYMEX | 30,392,319 USD | 11/21/22 | 546,581 | |||||||||||||||
XICE JNB | 8 | ICE | 43,600 USD | 09/30/21 | 19,552 | |||||||||||||||
XICE JNB | 158 | ICE | 1,542,245 USD | 10/29/21 | 156,255 | |||||||||||||||
XICE JNB | 158 | ICE | 1,542,245 USD | 11/30/21 | 266,855 | |||||||||||||||
XICE JNB | 158 | ICE | 1,542,245 USD | 12/31/21 | 355,651 | |||||||||||||||
YUWV21 | 310 | ICE | 8,021 USD | 11/02/21 | 64,984 | |||||||||||||||
Zinc | 9 | LME | 683,667 USD | 12/13/21 | (11,592 | ) | ||||||||||||||
|
| |||||||||||||||||||
$ | 93,980,390 | |||||||||||||||||||
|
| |||||||||||||||||||
Short Futures | ||||||||||||||||||||
3 Month Eurodollar | 50 | ICE | 12,552,457 EUR | 12/19/22 | $ | (49 | ) | |||||||||||||
90 Day Eurodollar | 9 | CME | 2,245,764 USD | 12/13/21 | (411 | ) | ||||||||||||||
90 Day Eurodollar | 3 | CME | 748,875 USD | 03/14/22 | (37 | ) | ||||||||||||||
90 Day Eurodollar | 447 | CME | 111,532,949 USD | 06/13/22 | 12,036 | |||||||||||||||
90 Day Eurodollar | 2 | CME | 498,445 USD | 09/19/22 | 20 | |||||||||||||||
90 Day Eurodollar | 9 | CME | 2,241,626 USD | 12/19/22 | 2,764 | |||||||||||||||
90 Day Eurodollar | 3 | CME | 744,380 USD | 06/19/23 | 267 | |||||||||||||||
90 Day Eurodollar | 1 | CME | 247,410 USD | 12/18/23 | 272 | |||||||||||||||
90 Day Eurodollar | 5 | CME | 1,234,337 USD | 06/17/24 | 1,774 | |||||||||||||||
90 Day Eurodollar | 7 | CME | 1,725,525 USD | 09/16/24 | 1,863 | |||||||||||||||
90 Day Eurodollar | 3 | CME | 738,930 USD | 12/16/24 | 967 | |||||||||||||||
90 Day Eurodollar | 6 | CME | 1,477,147 USD | 03/17/25 | 2,347 | |||||||||||||||
90 Day Eurodollar | 7 | CME | 1,721,469 USD | 06/16/25 | 2,007 | |||||||||||||||
90 Day Eurodollar | 6 | CME | 1,476,334 USD | 09/15/25 | 3,409 | |||||||||||||||
90 Day Eurodollar | 3 | CME | 737,292 USD | 12/15/25 | 1,355 | |||||||||||||||
90 Day Eurodollar | 4 | CME | 982,877 USD | 03/16/26 | 2,127 | |||||||||||||||
90 Day Eurodollar | 2 | CME | 491,520 USD | 06/15/26 | 1,395 | |||||||||||||||
90 Day Sterling | 214 | CBOT | 7,686,380 USD | 12/14/21 | 150,584 | |||||||||||||||
90 Day Sterling | 2 | COMEX | 346,976 USD | 12/29/21 | (4,424 | ) | ||||||||||||||
90 Day Sterling | 81 | ICE | 10,037,134 GBP | 03/15/23 | (383 | ) | ||||||||||||||
Australian dollar Currency | 7 | CME | 516,010 USD | 12/13/21 | 9,630 | |||||||||||||||
Brent 1st Line | 43 | ICE | 41,680 USD | 09/30/21 | (29,167 | ) | ||||||||||||||
Brent 1st Line | 43 | ICE | 41,680 USD | 10/29/21 | (29,640 | ) | ||||||||||||||
Brent 1st Line | 43 | ICE | 41,680 USD | 11/30/21 | (25,340 | ) | ||||||||||||||
Brent 1st Line | 43 | ICE | 41,680 USD | 12/31/21 | (25,340 | ) | ||||||||||||||
Brent Crude | 290 | ICE | 205,962 USD | 10/26/21 | (318,938 | ) | ||||||||||||||
Brent Crude | 400 | ICE | 107,892 USD | 10/26/21 | (124,108 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Description | Contracts | Exchange | Notional Amount | Expiration Date | Value/ Unrealized Appreciaton (Depreciation) | |||||||||||||||
Brent Crude | 1,047 | ICE | 78,803,010 USD | 10/29/21 | $ | (3,187,560 | ) | |||||||||||||
Brent Crude | 273 | NYMEX | 20,975,517 USD | 10/29/21 | (403,113 | ) | ||||||||||||||
Brent Crude | 180 | ICE | 251,951 USD | 12/23/21 | 122,351 | |||||||||||||||
Brent Crude | 66 | NYMEX | 4,601,403 USD | 04/29/22 | (301,737 | ) | ||||||||||||||
Brent Crude | 60 | ICE | 161,984 USD | 10/26/22 | (27,016 | ) | ||||||||||||||
Brent Crude | 210 | NYMEX | 14,158,618 USD | 10/31/22 | (816,482 | ) | ||||||||||||||
Brent Crude | 180 | ICE | 11,541,394 USD | 10/31/22 | (1,294,406 | ) | ||||||||||||||
California Carbon Allowance Vintage Specific 2021 | 663 | ICE | 16,930,694 USD | 10/26/21 | (1,182,466 | ) | ||||||||||||||
California Carbon Allowance Vintage Specific 2021 | 5,295 | ICE | 133,449,061 USD | 12/27/21 | (11,686,889 | ) | ||||||||||||||
California Carbon Allowance Vintage Specific 2021 | 200 | ICE | 5,174,000 USD | 12/23/22 | (538,000 | ) | ||||||||||||||
California Carbon Allowance Vintage Specific 2022 | 775 | ICE | 19,390,500 USD | 03/28/22 | (2,092,500 | ) | ||||||||||||||
California Carbon Allowance Vintage Specific 2022 | 1,251 | ICE | 32,363,370 USD | 12/23/22 | (3,365,190 | ) | ||||||||||||||
Canadian Dollar Currency | 7 | CME | 553,607 USD | 12/14/21 | 677 | |||||||||||||||
CBOE Volatility Index | 8 | CFE | 167,685 USD | 10/20/21 | (15,257 | ) | ||||||||||||||
CBOE Volatility Index | 1 | CFE | 21,548 USD | 11/17/21 | (2,138 | ) | ||||||||||||||
CBOE Volatility Index | 24 | CFE | 552,525 USD | 12/22/21 | (23,437 | ) | ||||||||||||||
Cocoa | 69 | ICE | 1,785,474 USD | 12/15/21 | (44,406 | ) | ||||||||||||||
Copper | 540 | NYMEX | 27,106,604 USD | 12/29/21 | (5,687,596 | ) | ||||||||||||||
Copper | 22 | COMEX | 2,250,516 USD | 03/29/22 | 10,641 | |||||||||||||||
Corn | 188 | CBOT | 5,128,507 USD | 12/14/21 | 83,057 | |||||||||||||||
Dominion SP | 341 | ICE | 1,123,645 USD | 09/30/21 | 32,445 | |||||||||||||||
Dominion SP | 60 | ICE | 117,323 USD | 11/02/21 | 2,573 | |||||||||||||||
Dominion SP | 60 | ICE | 131,948 USD | 04/04/22 | 37,073 | |||||||||||||||
Dominion SP | 62 | ICE | 136,346 USD | 05/03/22 | 11,958 | |||||||||||||||
Dominion SP | 60 | ICE | 131,948 USD | 06/02/22 | 5,948 | |||||||||||||||
Dominion SP | 62 | ICE | 136,346 USD | 07/05/22 | 12,733 | |||||||||||||||
Dominion SP | 62 | ICE | 136,346 USD | 08/02/22 | (1,992 | ) | ||||||||||||||
Dominion SP | 60 | ICE | 131,948 USD | 09/02/22 | (58,178 | ) | ||||||||||||||
Dominion SP | 62 | ICE | 136,346 USD | 10/04/22 | (63,217 | ) | ||||||||||||||
Dominion SP | 60 | ICE | 111,053 USD | 04/04/23 | (21,427 | ) | ||||||||||||||
Dominion SP | 62 | ICE | 114,754 USD | 05/02/23 | (829 | ) | ||||||||||||||
Dominion SP | 60 | ICE | 111,053 USD | 06/02/23 | 1,823 | |||||||||||||||
Dominion SP | 62 | ICE | 114,754 USD | 07/05/23 | (6,642 | ) | ||||||||||||||
Dominion SP | 62 | ICE | 114,754 USD | 08/02/23 | 9,246 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Description | Contracts | Exchange | Notional Amount | Expiration Date | Value/ Unrealized Appreciaton (Depreciation) | |||||||||||||||
Dominion SP | 60 | ICE | 111,053 USD | 09/05/23 | $ | 53,948 | ||||||||||||||
Dominion SP | 62 | ICE | 114,754 USD | 10/03/23 | 58,846 | |||||||||||||||
Euro FX Currency | 390 | ICE | 27,469,557 USD | 12/20/21 | (902,943 | ) | ||||||||||||||
Euro Stoxx 50 | 1,397 | ICE | 68,045,021 USD | 12/08/21 | (5,856,279 | ) | ||||||||||||||
Euro Stoxx 50 | 62 | Eurex | 2,564,098 EUR | 12/17/21 | 62,943 | |||||||||||||||
FTSE 100 Index | 6 | ICE | 422,826 GBP | 12/17/21 | (2,134 | ) | ||||||||||||||
Gasoline RBOB | 148 | NYMEX | 12,988,653 USD | 10/29/21 | (649,251 | ) | ||||||||||||||
Gasoline RBOB | 135 | NYMEX | 11,311,436 USD | 11/30/21 | (913,651 | ) | ||||||||||||||
Gasoline RBOB | 7 | NYMEX | 541,867 USD | 11/30/22 | (34,079 | ) | ||||||||||||||
Globex Natural Gas | 616 | NYMEX | 29,601,240 USD | 10/26/21 | (6,539,480 | ) | ||||||||||||||
Globex Natural Gas | 234 | NYMEX | 8,386,998 USD | 12/28/21 | (5,823,822 | ) | ||||||||||||||
Globex Natural Gas | 303 | NYMEX | 11,750,279 USD | 01/26/22 | (6,281,251 | ) | ||||||||||||||
Globex Natural Gas | 118 | NYMEX | 3,491,897 USD | 02/23/22 | (3,018,163 | ) | ||||||||||||||
Globex Natural Gas | 105 | NYMEX | 2,993,914 USD | 03/28/22 | (1,201,886 | ) | ||||||||||||||
Globex Natural Gas | 8 | NYMEX | 200,398 USD | 12/27/22 | (137,522 | ) | ||||||||||||||
Globex Natural Gas | 8 | NYMEX | 200,398 USD | 01/26/23 | (130,562 | ) | ||||||||||||||
Globex Natural Gas | 8 | NYMEX | 200,398 USD | 02/23/23 | (105,442 | ) | ||||||||||||||
Globex Natural Gas | 8 | NYMEX | 200,398 USD | 03/28/23 | (56,162 | ) | ||||||||||||||
Globex Natural Gas | 8 | NYMEX | 200,398 USD | 04/25/23 | (50,082 | ) | ||||||||||||||
Globex Natural Gas | 8 | NYMEX | 200,398 USD | 05/25/23 | (53,602 | ) | ||||||||||||||
Globex Natural Gas | 8 | NYMEX | 200,398 USD | 06/27/23 | (57,602 | ) | ||||||||||||||
Globex Natural Gas | 8 | NYMEX | 200,398 USD | 07/26/23 | (58,642 | ) | ||||||||||||||
Globex Natural Gas | 8 | NYMEX | 200,398 USD | 08/28/23 | (58,322 | ) | ||||||||||||||
Globex Natural Gas | 8 | NYMEX | 200,398 USD | 09/26/23 | (61,202 | ) | ||||||||||||||
Globex Natural Gas | 8 | NYMEX | 200,398 USD | 10/26/23 | (69,922 | ) | ||||||||||||||
Globex Natural Gas | 8 | NYMEX | 200,398 USD | 11/27/23 | (86,242 | ) | ||||||||||||||
Henry Hub | 270 | ICE | 4,016 USD | 10/04/21 | (430,549 | ) | ||||||||||||||
Henry Hub | 138 | NYMEX | 1,328,573 USD | 10/26/21 | (695,542 | ) | ||||||||||||||
Henry Hub | 528 | NYMEX | 4,633,034 USD | 11/24/21 | (3,275,086 | ) | ||||||||||||||
Henry Hub | 435 | NYMEX | 3,634,073 USD | 12/28/21 | (2,970,315 | ) | ||||||||||||||
Henry Hub | 441 | NYMEX | 3,447,874 USD | 01/26/22 | (3,113,104 | ) | ||||||||||||||
Henry Hub | 22 | NYMEX | 174,084 USD | 02/23/22 | (129,351 | ) | ||||||||||||||
Henry Hub | 21 | NYMEX | 166,934 USD | 10/26/22 | (42,646 | ) | ||||||||||||||
Henry Hub | 21 | NYMEX | 166,934 USD | 11/25/22 | (50,573 | ) | ||||||||||||||
Henry Hub | 86 | NYMEX | 537,769 USD | 12/27/22 | (370,391 | ) | ||||||||||||||
Henry Hub | 86 | NYMEX | 537,769 USD | 01/26/23 | (351,686 | ) | ||||||||||||||
Henry Hub | 56 | ICE | 561,359 USD | 01/27/23 | (17,821 | ) | ||||||||||||||
Henry Hub | 86 | NYMEX | 537,769 USD | 02/23/23 | (284,176 | ) | ||||||||||||||
Henry Hub | 93 | ICE | 933,419 USD | 02/24/23 | 44,571 | |||||||||||||||
Henry Hub | 86 | NYMEX | 537,769 USD | 03/28/23 | (151,736 | ) | ||||||||||||||
Henry Hub | 60 | ICE | 457,906 USD | 03/29/23 | (23,144 | ) | ||||||||||||||
Henry Hub | 86 | NYMEX | 537,769 USD | 04/25/23 | (135,396 | ) | ||||||||||||||
Henry Hub | 62 | ICE | 473,169 USD | 04/26/23 | (12,136 | ) | ||||||||||||||
Henry Hub | 86 | NYMEX | 537,769 USD | 05/25/23 | (144,856 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Description | Contracts | Exchange | Notional Amount | Expiration Date | Value/ Unrealized Appreciaton (Depreciation) | |||||||||||||||
Henry Hub | 60 | ICE | 457,906 USD | 05/26/23 | $ | (18,344 | ) | |||||||||||||
Henry Hub | 86 | NYMEX | 537,769 USD | 06/27/23 | (155,606 | ) | ||||||||||||||
Henry Hub | 62 | ICE | 473,169 USD | 06/28/23 | (26,706 | ) | ||||||||||||||
Henry Hub | 86 | NYMEX | 537,769 USD | 07/26/23 | (158,401 | ) | ||||||||||||||
Henry Hub | 62 | ICE | 473,169 USD | 07/27/23 | (28,721 | ) | ||||||||||||||
Henry Hub | 86 | NYMEX | 537,769 USD | 08/28/23 | (157,541 | ) | ||||||||||||||
Henry Hub | 60 | ICE | 457,906 USD | 08/29/23 | (27,194 | ) | ||||||||||||||
Henry Hub | 86 | NYMEX | 537,769 USD | 09/26/23 | (165,281 | ) | ||||||||||||||
Henry Hub | 62 | ICE | 473,169 USD | 09/27/23 | (33,681 | ) | ||||||||||||||
Henry Hub | 86 | NYMEX | 537,769 USD | 10/26/23 | (188,716 | ) | ||||||||||||||
Henry Hub | 30 | ICE | 229,928 USD | 10/27/23 | (23,497 | ) | ||||||||||||||
Henry Hub | 86 | NYMEX | 537,769 USD | 11/27/23 | (232,576 | ) | ||||||||||||||
Henry Hub | 31 | ICE | 237,592 USD | 11/28/23 | (40,090 | ) | ||||||||||||||
Henry Hub | 310 | ICE | 2,041,121 USD | 12/27/23 | (820,179 | ) | ||||||||||||||
Henry Hub | 290 | ICE | 1,909,435 USD | 01/29/24 | (723,040 | ) | ||||||||||||||
Henry Hub | 310 | ICE | 2,041,121 USD | 02/27/24 | (589,229 | ) | ||||||||||||||
Henry Hub | 198 | NYMEX | 1,291,803 USD | 03/25/24 | (169,932 | ) | ||||||||||||||
Henry Hub | 300 | ICE | 1,975,278 USD | 03/26/24 | (239,472 | ) | ||||||||||||||
Henry Hub | 198 | NYMEX | 1,291,803 USD | 04/25/24 | (150,132 | ) | ||||||||||||||
Henry Hub | 310 | ICE | 2,041,121 USD | 04/26/24 | (216,454 | ) | ||||||||||||||
Henry Hub | 198 | NYMEX | 1,291,803 USD | 05/28/24 | (166,962 | ) | ||||||||||||||
Henry Hub | 300 | ICE | 1,975,278 USD | 05/29/24 | (234,972 | ) | ||||||||||||||
Henry Hub | 198 | NYMEX | 1,291,803 USD | 06/25/24 | (189,732 | ) | ||||||||||||||
Henry Hub | 310 | ICE | 2,041,121 USD | 06/26/24 | (278,454 | ) | ||||||||||||||
Henry Hub | 198 | NYMEX | 1,291,803 USD | 07/26/24 | (193,692 | ) | ||||||||||||||
Henry Hub | 310 | ICE | 2,041,121 USD | 07/29/24 | (284,654 | ) | ||||||||||||||
Henry Hub | 198 | NYMEX | 1,291,803 USD | 08/27/24 | (188,742 | ) | ||||||||||||||
Henry Hub | 300 | ICE | 1,975,278 USD | 08/28/24 | (267,972 | ) | ||||||||||||||
Henry Hub | 198 | NYMEX | 1,291,803 USD | 09/25/24 | (205,077 | ) | ||||||||||||||
Henry Hub | 310 | ICE | 2,041,121 USD | 09/26/24 | (302,479 | ) | ||||||||||||||
Henry Hub | 300 | ICE | 1,975,278 USD | 10/29/24 | (374,472 | ) | ||||||||||||||
Henry Hub | 310 | ICE | 2,041,121 USD | 11/26/24 | (557,454 | ) | ||||||||||||||
Henry Hub | 62 | ICE | 450,229 USD | 12/29/26 | (69,641 | ) | ||||||||||||||
Henry Hub | 56 | ICE | 406,659 USD | 01/27/27 | (56,601 | ) | ||||||||||||||
Henry Hub | 62 | ICE | 450,229 USD | 02/24/27 | (39,416 | ) | ||||||||||||||
Henry Hub | 60 | ICE | 435,706 USD | 03/29/27 | 12,856 | |||||||||||||||
Henry Hub | 62 | ICE | 450,229 USD | 04/28/27 | 15,454 | |||||||||||||||
Henry Hub | 60 | ICE | 435,706 USD | 05/26/27 | 8,956 | |||||||||||||||
Henry Hub | 62 | ICE | 450,229 USD | 06/28/27 | 3,054 | |||||||||||||||
Henry Hub | 62 | ICE | 450,229 USD | 07/28/27 | 2,124 | |||||||||||||||
Henry Hub | 60 | ICE | 435,706 USD | 08/27/27 | 2,806 | |||||||||||||||
Henry Hub | 62 | ICE | 450,229 USD | 09/28/27 | (1,751 | ) | ||||||||||||||
Henry Hub | 60 | ICE | 435,706 USD | 10/27/27 | (19,694 | ) | ||||||||||||||
Henry Hub | 62 | ICE | 450,229 USD | 11/26/27 | (56,001 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Description | Contracts | Exchange | Notional Amount | Expiration Date | Value/ Unrealized Appreciaton (Depreciation) | |||||||||||||||
HHD 09292021 | 6 | ICE | �� | 75,411 USD | 10/04/21 | $ | (13,464 | ) | ||||||||||||
HHD 09302021 | 6 | ICE | 75,411 USD | 10/01/21 | (8,964 | ) | ||||||||||||||
Japanese Yen Currency | 51 | CME | 5,778,523 USD | 12/13/21 | 53,135 | |||||||||||||||
Lean Hogs | 712 | CME | 23,395,784 USD | 12/14/21 | (926,136 | ) | ||||||||||||||
Live Cattle | 747 | CME | 39,209,228 USD | 02/28/22 | 171,008 | |||||||||||||||
Low Sulphar Gasoil | 536 | ICE | 34,662,113 USD | 11/11/21 | (1,544,687 | ) | ||||||||||||||
Natural Gas | 941 | NYMEX | 47,841,840 USD | 10/27/21 | (7,366,630 | ) | ||||||||||||||
Natural Gas | 362 | NYMEX | 15,672,119 USD | 11/26/21 | (6,015,301 | ) | ||||||||||||||
Natural Gas | 150 | NYMEX | 5,255,742 USD | 12/29/21 | (3,853,758 | ) | ||||||||||||||
Natural Gas | 21 | NYMEX | 155,400 USD | 12/29/21 | (163,433 | ) | ||||||||||||||
Natural Gas | 84 | ICE | 6,288,598 USD | 12/30/21 | (159,242 | ) | ||||||||||||||
Natural Gas | 150 | NYMEX | 5,255,742 USD | 01/27/22 | (3,670,758 | ) | ||||||||||||||
Natural Gas | 21 | NYMEX | 155,400 USD | 01/27/22 | (157,028 | ) | ||||||||||||||
Natural Gas | 150 | NYMEX | 5,255,742 USD | 02/24/22 | (3,019,758 | ) | ||||||||||||||
Natural Gas | 117 | NYMEX | 5,807,503 USD | 02/24/22 | (647,387 | ) | ||||||||||||||
Natural Gas | 21 | NYMEX | 155,400 USD | 02/24/22 | (134,243 | ) | ||||||||||||||
Natural Gas | 51 | NYMEX | 1,832,342 USD | 03/29/22 | (205,618 | ) | ||||||||||||||
Natural Gas | 213 | NYMEX | 7,621,413 USD | 03/29/22 | (890,067 | ) | ||||||||||||||
Natural Gas | 21 | NYMEX | 155,400 USD | 03/29/22 | (54,390 | ) | ||||||||||||||
Natural Gas | 51 | NYMEX | 1,832,342 USD | 04/27/22 | (117,898 | ) | ||||||||||||||
Natural Gas | 314 | NYMEX | 8,739,744 USD | 04/27/22 | (3,267,616 | ) | ||||||||||||||
Natural Gas | 21 | NYMEX | 155,400 USD | 04/27/22 | (45,360 | ) | ||||||||||||||
Natural Gas | 51 | NYMEX | 1,832,342 USD | 05/26/22 | (133,708 | ) | ||||||||||||||
Natural Gas | 271 | NYMEX | 7,647,723 USD | 05/26/22 | (2,799,327 | ) | ||||||||||||||
Natural Gas | 21 | NYMEX | 155,400 USD | 05/26/22 | (46,988 | ) | ||||||||||||||
Natural Gas | 51 | NYMEX | 1,832,342 USD | 06/28/22 | (154,618 | ) | ||||||||||||||
Natural Gas | 197 | NYMEX | 5,800,721 USD | 06/28/22 | (1,874,399 | ) | ||||||||||||||
Natural Gas | 21 | NYMEX | 155,400 USD | 06/28/22 | (49,140 | ) | ||||||||||||||
Natural Gas | 51 | NYMEX | 1,832,342 USD | 07/27/22 | (158,188 | ) | ||||||||||||||
Natural Gas | 121 | NYMEX | 3,631,656 USD | 07/27/22 | (1,090,974 | ) | ||||||||||||||
Natural Gas | 21 | NYMEX | 155,400 USD | 07/27/22 | (49,508 | ) | ||||||||||||||
Natural Gas | 51 | NYMEX | 1,832,342 USD | 08/29/22 | (148,498 | ) | ||||||||||||||
Natural Gas | 214 | NYMEX | 6,261,041 USD | 08/29/22 | (2,050,719 | ) | ||||||||||||||
Natural Gas | 21 | NYMEX | 155,400 USD | 08/29/22 | (48,510 | ) | ||||||||||||||
Natural Gas | 265 | NYMEX | 8,269,444 USD | 09/28/22 | (2,100,006 | ) | ||||||||||||||
Natural Gas | 21 | NYMEX | 155,400 USD | 09/28/22 | (50,033 | ) | ||||||||||||||
Natural Gas | 150 | NYMEX | 5,255,742 USD | 10/27/22 | (732,258 | ) | ||||||||||||||
Natural Gas | 21 | NYMEX | 155,400 USD | 10/27/22 | (54,180 | ) | ||||||||||||||
Natural Gas | 150 | NYMEX | 5,255,742 USD | 11/28/22 | (958,758 | ) | ||||||||||||||
Natural Gas | 21 | NYMEX | 155,400 USD | 11/28/22 | (62,108 | ) | ||||||||||||||
Natural Gas | 1 | NYMEX | 6,769 USD | 12/28/22 | (3,791 | ) | ||||||||||||||
Natural Gas | 32 | NYMEX | 958,545 USD | 01/27/23 | (365,295 | ) | ||||||||||||||
Natural Gas | 4 | NYMEX | 27,101 USD | 01/27/23 | (14,269 | ) | ||||||||||||||
Natural Gas | 32 | NYMEX | 958,545 USD | 02/24/23 | (264,815 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Description | Contracts | Exchange | Notional Amount | Expiration Date | Value/ Unrealized Appreciaton (Depreciation) | |||||||||||||||
Natural Gas | 1 | NYMEX | 6,769 USD | 02/24/23 | $ | (2,789 | ) | |||||||||||||
Natural Gas | 13 | NYMEX | 390,828 USD | 03/29/23 | (26,082 | ) | ||||||||||||||
Natural Gas | 2 | NYMEX | 13,546 USD | 03/29/23 | (2,489 | ) | ||||||||||||||
Natural Gas | 13 | NYMEX | 390,828 USD | 04/26/23 | (16,202 | ) | ||||||||||||||
Natural Gas | 1 | NYMEX | 6,769 USD | 04/26/23 | (1,059 | ) | ||||||||||||||
Natural Gas | 13 | NYMEX | 390,828 USD | 05/26/23 | (21,922 | ) | ||||||||||||||
Natural Gas | 2 | NYMEX | 13,546 USD | 05/26/23 | (2,329 | ) | ||||||||||||||
Natural Gas | 13 | NYMEX | 390,828 USD | 06/28/23 | (28,422 | ) | ||||||||||||||
Natural Gas | 1 | NYMEX | 6,769 USD | 06/28/23 | (1,294 | ) | ||||||||||||||
Natural Gas | 13 | NYMEX | 390,828 USD | 07/27/23 | (30,112 | ) | ||||||||||||||
Natural Gas | 1 | NYMEX | 6,769 USD | 07/27/23 | (1,326 | ) | ||||||||||||||
Natural Gas | 13 | NYMEX | 390,828 USD | 08/29/23 | (29,592 | ) | ||||||||||||||
Natural Gas | 2 | NYMEX | 13,546 USD | 08/29/23 | (2,624 | ) | ||||||||||||||
Natural Gas | 13 | NYMEX | 390,828 USD | 09/27/23 | (34,272 | ) | ||||||||||||||
Natural Gas | 1 | NYMEX | 6,778 USD | 09/27/23 | (1,397 | ) | ||||||||||||||
Natural Gas | 32 | NYMEX | 958,545 USD | 10/27/23 | (122,735 | ) | ||||||||||||||
Natural Gas | 2 | NYMEX | 13,555 USD | 10/27/23 | (3,340 | ) | ||||||||||||||
Natural Gas | 32 | NYMEX | 958,545 USD | 11/28/23 | (188,015 | ) | ||||||||||||||
Natural Gas | 1 | NYMEX | 6,778 USD | 11/28/23 | (2,180 | ) | ||||||||||||||
Natural Gas | 6 | NYMEX | 175,190 USD | 12/29/25 | (25,450 | ) | ||||||||||||||
Natural Gas | 6 | NYMEX | 175,190 USD | 01/28/26 | (22,750 | ) | ||||||||||||||
Natural Gas | 6 | NYMEX | 175,190 USD | 02/25/26 | (12,550 | ) | ||||||||||||||
Natural Gas | 6 | NYMEX | 175,190 USD | 03/27/26 | 8,450 | |||||||||||||||
Natural Gas | 6 | NYMEX | 175,190 USD | 04/28/26 | 9,650 | |||||||||||||||
Natural Gas | 6 | NYMEX | 175,190 USD | 05/27/26 | 6,770 | |||||||||||||||
Natural Gas | 6 | NYMEX | 175,190 USD | 06/26/26 | 3,830 | |||||||||||||||
Natural Gas | 6 | NYMEX | 175,190 USD | 07/29/26 | 2,870 | |||||||||||||||
Natural Gas | 6 | NYMEX | 175,190 USD | 08/27/26 | 2,750 | |||||||||||||||
Natural Gas | 6 | NYMEX | 175,190 USD | 09/28/26 | 530 | |||||||||||||||
Natural Gas | 6 | NYMEX | 175,190 USD | 10/28/26 | (6,070 | ) | ||||||||||||||
Natural Gas | 6 | NYMEX | 175,190 USD | 11/25/26 | (19,150 | ) | ||||||||||||||
NY Harbor ULSD | 501 | NYMEX | 46,624,627 USD | 10/29/21 | (2,582,090 | ) | ||||||||||||||
NY Harbor ULSD | 30 | NYMEX | 2,565,937 USD | 11/30/22 | (210,473 | ) | ||||||||||||||
S&P 500 E-mini | 41 | CME | 9,190,377 USD | 12/17/21 | 379,989 | |||||||||||||||
Soyabean | 94 | CBOT | 6,272,810 USD | 11/12/21 | 369,610 | |||||||||||||||
Soyabean | 97 | CBOT | 3,324,441 USD | 01/14/22 | 113,741 | |||||||||||||||
Sugar 11 | 918 | ICE | 20,243,746 USD | 02/28/22 | (669,029 | ) | ||||||||||||||
Swiss Franc Currency | 9 | CME | 1,211,416 USD | 12/13/21 | 2,941 | |||||||||||||||
U.S. Treasury 10-Year Note | 279 | CBOT | 37,158,275 USD | 12/21/21 | 439,260 | |||||||||||||||
U.S. Treasury Long Bond | 147 | CBOT | 23,852,728 USD | 12/21/21 | 447,572 | |||||||||||||||
Waha Gas Basis | 60 | ICE | 750 USD | 11/02/21 | (51,000 | ) | ||||||||||||||
Waha Gas Basis | 62 | ICE | 775 USD | 12/02/21 | (4,650 | ) | ||||||||||||||
Waha Gas Basis | 62 | ICE | 775 USD | 01/04/22 | (37,200 | ) | ||||||||||||||
Waha Gas Basis | 56 | ICE | 700 USD | 02/02/22 | (34,300 | ) |
See Notes to Consolidated Financial Statements.
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Description | Contracts | Exchange | Notional Amount | Expiration Date | Value/ Unrealized Appreciaton (Depreciation) | |||||||||||||||
Waha Gas Basis | 62 | ICE | 775 USD | 03/02/22 | $ | (46,887 | ) | |||||||||||||
Wheat | 373 | CBOT | 13,762,343 USD | 12/14/21 | 231,768 | |||||||||||||||
WTI Crude | 708 | NYMEX | 50,871,835 USD | 10/20/21 | (2,249,405 | ) | ||||||||||||||
WTI Crude | 488 | NYMEX | 35,727,996 USD | 11/19/21 | (725,604 | ) | ||||||||||||||
WTI Crude | 183 | CME | 26,898,131 USD | 12/13/21 | 363,131 | |||||||||||||||
WTI Crude | 30 | NYMEX | 2,101,747 USD | 01/20/22 | (105,953 | ) | ||||||||||||||
|
| |||||||||||||||||||
$ | (132,774,289 | ) | ||||||||||||||||||
|
| |||||||||||||||||||
Total Futures Contracts Outstanding |
| $ | (38,793,899 | ) | ||||||||||||||||
|
|
Forward Foreign Currency Exchange Contracts Outstanding at September 30, 2021
Currency | Amount in | Currency | Amount in Sold | Counterparty | Settlement | Unrealized | ||||||||||||||
AUD | 420,000 | USD | 310,414 | State Street Bank and Trust Company | 12/13/21 | $ | (6,684 | ) | ||||||||||||
CLP | 164,000,000 | USD | 206,250 | State Street Bank and Trust Company | 12/13/21 | (5,222 | ) | |||||||||||||
CNH | 3,500,000 | USD | 538,876 | State Street Bank and Trust Company | 12/13/21 | 1,106 | ||||||||||||||
COP | 16,475,339,935 | USD | 4,367,684 | HSBC Bank plc | 12/15/21 | (61,448 | ) | |||||||||||||
CZK | 93,878,396 | USD | 4,348,461 | Deutsche Bank AG | 12/15/21 | (66,419 | ) | |||||||||||||
EUR | 112,000 | USD | 132,634 | State Street Bank and Trust Company | 12/13/21 | (2,716 | ) | |||||||||||||
EUR | 1,641,895 | USD | 1,927,425 | Morgan Stanley Capital Services, Inc. | 10/20/21 | (24,972 | ) | |||||||||||||
GBP | 8,490,000 | USD | 11,660,591 | Citibank N.A. | 11/22/21 | (220,800 | ) | |||||||||||||
HKD | 7,150,000 | USD | 919,317 | State Street Bank and Trust Company | 12/13/21 | (663 | ) | |||||||||||||
IDR | 6,200,000,000 | USD | 431,109 | State Street Bank and Trust Company | 12/13/21 | (768 | ) | |||||||||||||
MXN | 118,973,197 | USD | 5,869,902 | Deutsche Bank AG | 12/15/21 | (164,864 | ) | |||||||||||||
MXN | 6,600,000 | USD | 327,186 | State Street Bank and Trust Company | 12/13/21 | (10,617 | ) | |||||||||||||
NOK | 27,866,666 | USD | 3,206,268 | State Street Bank and Trust Company | 12/13/21 | (20,246 | ) | |||||||||||||
RUB | 437,463,930 | USD | 5,879,733 | JPMorgan Chase Bank, N.A. | 12/15/21 | 62,894 | ||||||||||||||
SEK | 290,727 | USD | 33,745 | State Street Bank and Trust Company | 12/13/21 | (514 | ) |
See Notes to Consolidated Financial Statements.
136
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Currency | Amount in | Currency | Amount in Sold | Counterparty | Settlement | Unrealized | ||||||||||||||
SGD | 1,010,001 | USD | 751,409 | State Street Bank and Trust Company | 12/13/21 | $ | (7,664 | ) | ||||||||||||
ZAR | 2,009,901 | USD | 138,933 | JPMorgan Chase Bank, N.A. | 12/15/21 | (6,763 | ) | |||||||||||||
USD | 554,310 | AUD | 750,000 | State Street Bank and Trust Company | 12/13/21 | 11,935 | ||||||||||||||
USD | 3,859,992 | CHF | 3,535,000 | State Street Bank and Trust Company | 12/13/21 | 60,078 | ||||||||||||||
USD | 446,497 | CNH | 2,900,000 | State Street Bank and Trust Company | 12/13/21 | (916 | ) | |||||||||||||
USD | 4,252,798 | COP | 16,475,339,935 | Morgan Stanley Capital Services, Inc. | 12/15/21 | (53,437 | ) | |||||||||||||
USD | 402,639 | EUR | 340,000 | State Street Bank and Trust Company | 12/13/21 | 8,245 | ||||||||||||||
USD | 221,793 | EUR | 191,000 | Citibank N.A. | 02/16/22 | (114 | ) | |||||||||||||
USD | 6,721,558 | EUR | 5,719,871 | Morgan Stanley Capital Services, Inc. | 10/20/21 | 93,980 | ||||||||||||||
USD | 7,423,473 | EUR | 6,289,000 | State Street Bank and Trust Company | 10/25/21 | 135,759 | ||||||||||||||
USD | 379,666 | GBP | 273,954 | State Street Bank and Trust Company | 12/13/21 | 10,517 | ||||||||||||||
USD | 25,497,100 | GBP | 18,490,000 | State Street Bank and Trust Company | 12/20/21 | 580,070 | ||||||||||||||
USD | 12,021,288 | GBP | 8,490,000 | Citibank N.A. | 11/22/21 | 581,498 | ||||||||||||||
USD | 456,372 | HKD | 3,549,000 | State Street Bank and Trust Company | 12/13/21 | 385 | ||||||||||||||
USD | 270,834 | IDR | 3,895,000,000 | State Street Bank and Trust Company | 12/13/21 | 482 | ||||||||||||||
USD | 11,016,029 | IDR | 158,939,265,966 | JPMorgan Chase Bank, N.A. | 12/15/21 | (17,465 | ) | |||||||||||||
USD | 744,232 | KRW | 870,900,000 | State Street Bank and Trust Company | 12/13/21 | 8,132 | ||||||||||||||
USD | 188,380 | MXN | 3,800,000 | State Street Bank and Trust Company | 12/13/21 | 6,113 | ||||||||||||||
USD | 816,942 | NOK | 7,000,000 | State Street Bank and Trust Company | 12/13/21 | 16,625 | ||||||||||||||
USD | 15,760,447 | RUB | 1,172,608,797 | JPMorgan Chase Bank, N.A. | 12/15/21 | (168,584 | ) | |||||||||||||
USD | 472,711 | SGD | 634,501 | State Street Bank and Trust Company | 12/13/21 | 5,477 | ||||||||||||||
USD | 3,911,409 | ZAR | 57,231,737 | Deutsche Bank AG | 12/15/21 | 147,881 | ||||||||||||||
USD | 1,678,920 | ZAR | 24,000,000 | State Street Bank and Trust Company | 12/13/21 | 100,242 | ||||||||||||||
|
| |||||||||||||||||||
Total Forward Foreign Currency Exchange Contracts Outstanding | $ | 990,543 | ||||||||||||||||||
|
|
See Notes to Consolidated Financial Statements.
137
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Centrally Cleared Credit Default Swaps on Single-Name Issuer (Buy Protection)—Outstanding at September 30, 2021
Reference | Financing Fee | Payment Frequency | Maturity Date | Counterparty | Notional Amount | Market Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||
Republic of South Africa | (1.00)% | 3M | 12/21/2024 | Credit Suisse Securities (USA) LLC | 14,543,000 USD | $ | 204,466 | $ | 27,470 | $ | 176,996 | |||||||||||||||||
Republic of Turkey | (1.00)% | 3M | 12/21/2022 | Credit Suisse Securities (USA) LLC | 2,816,000 USD | 79,777 | 87,706 | (7,929 | ) | |||||||||||||||||||
Republic of Turkey | (1.00)% | 3M | 6/21/2025 | Credit Suisse Securities (USA) LLC | 291,000 USD | 30,514 | 66,010 | (35,496 | ) | |||||||||||||||||||
United Mexican States | (1.00)% | 3M | 6/21/2023 | Credit Suisse Securities (USA) LLC | 8,000,000 USD | (89,864 | ) | 907 | (90,771 | ) | ||||||||||||||||||
United Mexican States | (1.00)% | 3M | 12/21/2023 | Credit Suisse Securities (USA) LLC | 12,069,000 USD | (156,942 | ) | 1,676 | (158,618 | ) | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
Total Centrally Cleared Credit Default Swaps on Single-Name Issuer (Buy Protection) |
| $ | 67,951 | $ | 183,769 | $ | (115,818 | ) | ||||||||||||||||||||
|
|
|
|
|
|
Centrally Cleared Credit Default Swaps on Index (Buy Protection)—Outstanding at September 30, 2021
Reference | Financing Fee | Payment Frequency | Maturity | Counterparty | Notional Amount | Market Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||
iTraxx Asia Ex-Japan IG Series 35 | 0.00% | 3M | 6/20/2026 | Morgan Stanley & Co. LLC | 21,000,000 USD | $ | (228,914 | ) | $ | (316,020 | ) | $ | 87,106 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
Total Centrally Cleared Credit Default Swaps on Index (Buy Protection) |
| $ | (228,914 | ) | $ | (316,020 | ) | $ | 87,106 | |||||||||||||||||||
|
|
|
|
|
|
Centrally Cleared Credit Default Swaps on Index (Sell Protection)—Outstanding at September 30, 2021
Reference | Financing Fee | Payment Frequency | Maturity | Counterparty | Rating(1) | Notional Amount(2) | Market Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||||||||
CDX.EM.36 | 1.00% | 3M | 12/20/26 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 11,000,000 | USD | $ | (439,398 | ) | $ | (391,600 | ) | $ | (47,798 | ) | |||||||||||||||||||||
CDX.NA.HY.34 | 5.00% | 3M | 06/20/25 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | NR | 368 | USD | 33 | 9 | 24 | ||||||||||||||||||||||||||
CDX.NA.HY.37 | 5.00% | 3M | 12/20/26 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 4,250,000 | USD | 398,312 | 411,471 | (13,159 | ) |
See Notes to Consolidated Financial Statements.
138
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Reference | Financing Fee | Payment Frequency | Maturity | Counterparty | Rating(1) | Notional Amount(2) | Market Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||||||||
iTraxx Europe Crossover series 36 | 5.00% | 3M | 12/20/26 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 8,600,000 | EUR | $ | 1,180,376 | $ | 1,276,062 | $ | (95,686 | ) | |||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||||||
Total Centrally Cleared Credit Default Swaps on Index (Sell Protection) |
| $ | 1,139,323 | $ | 1,295,942 | $ | (156,619 | ) | ||||||||||||||||||||||||||||
|
|
|
|
|
|
OTC Credit Default Swaps on Index (Buy Protection)—Outstanding at September 30, 2021
Reference | Financing Fee | Payment Frequency | Maturity Date | Counterparty | Notional Amount | Market Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||||
CMBX.NA.BBB -.10 | (3.00)% | 1M | 11/18/2059 | J.P. Morgan Securities LLC | 7,363,000 | USD | $ | 644,330 | $ | 71,578 | $ | 572,752 | ||||||||||||||||||||
CMBX.NA.BBB -.10 | (3.00)% | 1M | 11/18/2059 | Morgan Stanley Capital Services LLC | 5,645,000 | USD | 493,990 | 453,500 | 40,490 | |||||||||||||||||||||||
CMBX.NA.BBB -.10 | (3.00)% | 1M | 11/18/2059 | Morgan Stanley Capital Services LLC | 1,102,000 | USD | 96,435 | 374,805 | (278,370 | ) | ||||||||||||||||||||||
CMBX.NA.BBB -.8 | (3.00)% | 1M | 10/18/2057 | Morgan Stanley Capital Services LLC | 69,000 | USD | 8,956 | 14,171 | (5,215 | ) | ||||||||||||||||||||||
CMBX.NA.BBB -.9 | (3.00)% | 1M | 9/18/2058 | Credit Suisse International | 10,000 | USD | 773 | 594 | 179 | |||||||||||||||||||||||
CMBX.NA.BBB -.9 | (3.00)% | 1M | 9/18/2058 | Goldman Sachs International | 177,000 | USD | 13,679 | 5,120 | 8,559 | |||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||
Total OTC Credit Default Swaps on Index (Buy Protection) |
| $ | 1,258,163 | $ | 919,768 | $ | 338,395 | |||||||||||||||||||||||||
|
|
|
|
|
|
OTC Credit Default Swaps on Index (Sell Protection)—Outstanding at September 30, 2021
Reference | Financing Fee | Payment Frequency | Maturity Date | Counterparty | Rating(1) | Notional Amount(2) | Market Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||||||||
CDX.NA.HY.34 | 1.00% | 3M | 06/21/26 | Goldman Sachs International | NR | 21,000,000 | USD | $ | 227,704 | $ | 219,363 | $ | 8,341 | |||||||||||||||||||||||
CMBX.NA.BBB -.10 | 3.00% | 1M | 11/18/59 | Goldman Sachs Bank USA | BBB- | 1,096,000 | USD | (95,910 | ) | (30,005 | ) | (65,905 | ) | |||||||||||||||||||||||
CMBX.NA.BBB -.10 | 3.00% | 1M | 11/18/59 | Goldman Sachs International | BBB- | 18,066,000 | USD | (1,580,942 | ) | (682,643 | ) | (898,299 | ) | |||||||||||||||||||||||
CMBX.NA.BBB -.11 | 3.00% | 1M | 11/19/54 | J.P. Morgan Securities LLC | BBB- | 7,500,000 | USD | (332,898 | ) | (620,026 | ) | 287,128 | ||||||||||||||||||||||||
CMBX.NA.BBB -.8 | 3.00% | 1M | 10/18/57 | Credit Suisse International | BBB- | 286,000 | USD | (37,120 | ) | (20,492 | ) | (16,628 | ) | |||||||||||||||||||||||
CMBX.NA.BBB -.8 | 3.00% | 1M | 10/18/57 | Goldman Sachs International | BBB- | 1,294,000 | USD | (167,948 | ) | (72,380 | ) | (95,568 | ) | |||||||||||||||||||||||
CMBX.NA.BBB -.8 | 3.00% | 1M | 10/18/57 | Goldman Sachs International | BBB- | 232,000 | USD | (30,111 | ) | (5,855 | ) | (24,256 | ) | |||||||||||||||||||||||
CMBX.NA.BBB -.8 | 3.00% | 1M | 10/18/57 | J.P. Morgan Securities LLC | BBB- | 2,160,000 | USD | (280,347 | ) | (114,150 | ) | (166,197 | ) | |||||||||||||||||||||||
CMBX.NA.BBB -.8 | 2.00% | 1M | 10/18/57 | Goldman Sachs Bank USA | BBB- | 100,000 | USD | (1,063 | ) | (1,537 | ) | 474 | ||||||||||||||||||||||||
CMBX.NA.BBB -.8 | 2.00% | 1M | 10/18/57 | Goldman Sachs Bank USA | BBB- | 132,000 | USD | (1,404 | ) | (1,374 | ) | (30 | ) | |||||||||||||||||||||||
CMBX.NA.BBB -.8 | 2.00% | 1M | 10/18/57 | Goldman Sachs International | BBB- | 398,000 | USD | (4,232 | ) | (5,212 | ) | 980 | ||||||||||||||||||||||||
CMBX.NA.BBB -.9 | 3.00% | 1M | 09/18/58 | J.P. Morgan Securities LLC | BBB- | 187,000 | USD | (14,452 | ) | (962 | ) | (13,490 | ) | |||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||||||
Total OTC Credit Default Swaps on Index (Sell Protection) |
| $ | (2,318,723 | ) | $ | (1,335,273 | ) | $ | (983,450 | ) | ||||||||||||||||||||||||||
|
|
|
|
|
|
See Notes to Consolidated Financial Statements.
139
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
OTC Total Return Swaps Outstanding at September 30, 2021
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Buys | ||||||||||||||||||||||
1Life Healthcare, Inc. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 37,112 USD | $ | (3,598 | ) | |||||||||||||
2U, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 48,994 USD | (1,190 | ) | ||||||||||||||
3D Systems Corp. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 287,781 USD | (7,918 | ) | ||||||||||||||
3M Co. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 1,490,256 USD | (27,253 | ) | ||||||||||||||
5I5J Holdings Group Ltd. | 08/28/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 102,378 USD | (2,202 | ) | ||||||||||||||
5I5J Holdings Group Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 131,652 USD | (197 | ) | ||||||||||||||
A.O. Smith Corp. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 10,661 USD | (463 | ) | ||||||||||||||
Abbott Laboratories | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 13,297 USD | (775 | ) | ||||||||||||||
AbCellera Biologics, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 49,250 USD | (72 | ) | ||||||||||||||
Accenture PLC | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 6,928,453 USD | (450,393 | ) | ||||||||||||||
Acuity Brands, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 84,829 USD | (572 | ) | ||||||||||||||
ADAMA Ltd. | 09/06/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 59,606 USD | (7,253 | ) | ||||||||||||||
ADAMA Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 41,381 USD | (5,310 | ) | ||||||||||||||
Adobe, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 4,604,332 USD | (373,366 | ) | ||||||||||||||
Advanced Fiber Resources Zhuhai Ltd. | 09/19/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 50,740 USD | 4,548 | |||||||||||||||
Advanced Fiber Resources Zhuhai Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 38,991 USD | 3,462 | |||||||||||||||
Advanced Micro Devices | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 6,737,203 USD | 5,114 | |||||||||||||||
AECC Aviation Power Co., Ltd. | 09/06/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 3,405 USD | (113 | ) | ||||||||||||||
AECC Aviation Power Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 4,966 USD | (27 | ) | ||||||||||||||
AECOM | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 693,635 USD | (17,425 | ) | ||||||||||||||
Aerojet Rocketdyne Holdings, Inc. | 12/23/22 | M | 0.58 | % | JPMorgan Chase Bank, N.A. | 16,853,316 USD | 626,129 | |||||||||||||||
Aerojet Rocketdyne Holdings, Inc. | 01/25/23 | M | 0.00 | % | Goldman Sachs International | 600,331 USD | 22,303 | |||||||||||||||
Affiliated Managers Group, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 48,145 USD | (854 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Affirm Holdings, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 1,434,620 USD | $ | 146,235 | ||||||||||||||
Aflac, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 2,138,478 USD | (10,062 | ) | ||||||||||||||
Afterpay Ltd. | 08/08/23 | M | 0.36 | % | JPMorgan Chase Bank, N.A. | 31,453,223 AUD | (967,278 | ) | ||||||||||||||
AGCO Corp. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 43,439 USD | (799 | ) | ||||||||||||||
Agnico Eagle Mined Ltd. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 197,947 USD | 7,794 | |||||||||||||||
Agree Realty Corp. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 62,773 USD | (1,511 | ) | ||||||||||||||
AIER Eye Hospital Group Co. | 01/18/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 40,929 USD | 876 | |||||||||||||||
AIER Eye Hospital Group Co. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 26,835 USD | (20 | ) | ||||||||||||||
Air Products & Chemicals, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 1,901,260 USD | (11,680 | ) | ||||||||||||||
Akamai Technologies, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 5,884,897 USD | (121,465 | ) | ||||||||||||||
Alaska Air Group, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 328,692 USD | 14,586 | |||||||||||||||
Algonquin Power & Utilities Corp. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 9,202 USD | (333 | ) | ||||||||||||||
Alleghany Corp. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 2,215,368 USD | (9,327 | ) | ||||||||||||||
Allegheny Technologies, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 12,266 USD | 256 | |||||||||||||||
Alliant Energy Corp. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 967,813 USD | (24,550 | ) | ||||||||||||||
Allison Transmission Holdings, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 1,279,969 USD | (8,061 | ) | ||||||||||||||
Allscripts Healthcare Solutions, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 630,648 USD | (17,661 | ) | ||||||||||||||
Allstate Corp. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 826,539 USD | (7,681 | ) | ||||||||||||||
Ally Financial, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 1,500,793 USD | (14,268 | ) | ||||||||||||||
Alnylam Pharmaceuticals, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 137,389 USD | 4,974 | |||||||||||||||
Alpha Group | 10/02/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 21,053 USD | (381 | ) | ||||||||||||||
Alpha Group | 07/12/22 | M | 0.49 | % | Credit Suisse International | 14,365 USD | (229 | ) | ||||||||||||||
Alteryx, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 78,348 USD | 3,232 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Aluminium Corp of China Ltd. | 08/28/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 570,863 USD | $ | (44,854 | ) | |||||||||||||
Aluminium Corp of China Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 393,164 USD | (30,858 | ) | ||||||||||||||
Ambarella, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 1,789,735 USD | 14,669 | |||||||||||||||
Amdocs Ltd. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 12,515 USD | (98 | ) | ||||||||||||||
Amedisys, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 123,729 USD | (3,107 | ) | ||||||||||||||
Ameren Corporation | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 85,480 USD | (1,807 | ) | ||||||||||||||
American Electric Power Co., Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 6,391,726 USD | (136,807 | ) | ||||||||||||||
American Homes 4 Rent | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 3,927,411 USD | (167,902 | ) | ||||||||||||||
American National Group, Inc. | 08/11/23 | M | 0.58 | % | JPMorgan Chase Bank, N.A. | 4,077,626 USD | (6,676 | ) | ||||||||||||||
American Well Corp. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 493,567 USD | (58,292 | ) | ||||||||||||||
Americold Realty Trust | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 4,893,098 USD | (387,210 | ) | ||||||||||||||
AmerisourceBergen Corp. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 4,236,495 USD | (74,498 | ) | ||||||||||||||
AMETEK, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 2,351,928 USD | (69,524 | ) | ||||||||||||||
Amlogic Shanghai Co., Ltd. | 04/11/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 712,597 USD | 10,375 | |||||||||||||||
Amlogic Shanghai Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 571,591 USD | 8,334 | |||||||||||||||
An Hui Wenergy Co., Ltd. | 10/02/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 47,556 USD | 2,135 | |||||||||||||||
An Hui Wenergy Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 32,478 USD | 1,511 | |||||||||||||||
Analog Devices, Inc. | 09/24/21 | M | 0.00 | % | Goldman Sachs International | 1,363,878 USD | (24,708 | ) | ||||||||||||||
Anaplan, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 695,179 USD | (43,656 | ) | ||||||||||||||
Angang Steel Co., Ltd. | 06/21/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 1,194,164 USD | (132,088 | ) | ||||||||||||||
Angang Steel Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 835,648 USD | (92,505 | ) | ||||||||||||||
Angel Yeast Co. Ltd. | 05/31/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 93 USD | 8 | |||||||||||||||
Anhui Anke Biotechnology (Group) Co., Ltd. | 04/11/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 154 USD | (6 | ) | ||||||||||||||
Anhui Anke Biotechnology (Group) Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 158 USD | (10 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Anhui Guangxin Agrochemical Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 91,821 USD | $ | (14,589 | ) | |||||||||||||
Anhui Guangxin Agrochemical Co., Ltd. | 08/01/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 127,713 USD | (15,146 | ) | ||||||||||||||
Anhui Gujing Distillery Co., Ltd. | 10/02/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 149,478 USD | (1,837 | ) | ||||||||||||||
Anhui Gujing Distillery Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 123,372 USD | (1,568 | ) | ||||||||||||||
Anhui Guofeng Plastic Industry Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 37,863 USD | (211 | ) | ||||||||||||||
Anhui Guofeng Plastic Industry Co., Ltd. | 10/11/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 55,249 USD | (349 | ) | ||||||||||||||
Anhui Hengyuan Coal Industry and Electricity Power Co., Ltd. | 09/06/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 5,036 USD | (377 | ) | ||||||||||||||
Anhui Hengyuan Coal Industry and Electricity Power Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 4,084 USD | (282 | ) | ||||||||||||||
Anhui Honglu Steel Construction(Group) Co., Ltd. | 07/07/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 18,118 USD | (808 | ) | ||||||||||||||
Anhui Honglu Steel Construction(Group) Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 9,330 USD | (499 | ) | ||||||||||||||
Anhui Korrun Co., Ltd. | 08/21/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 270,446 USD | 9,312 | |||||||||||||||
Anhui Korrun Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 115,352 USD | 5,574 | |||||||||||||||
Anhui Liuguo Chemical Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 14 USD | (4 | ) | ||||||||||||||
Anhui Shenjian New Materials Co., Ltd. | 09/06/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 2,553 USD | (313 | ) | ||||||||||||||
Anhui Shenjian New Materials Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 1,824 USD | (224 | ) | ||||||||||||||
Anhui Sierte Fertilizer Industry, Ltd. | 09/27/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 4,937 USD | (937 | ) | ||||||||||||||
Anhui Sierte Fertilizer Industry, Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 19,420 USD | (3,783 | ) | ||||||||||||||
Anhui Sinomag Technology Co., Ltd. | 09/11/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 12,521 USD | (1,088 | ) | ||||||||||||||
Anhui Sinomag Technology Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 8,893 USD | (823 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Anhui Wanwei Updated High-Tech Material Industry Co., Ltd. | 07/12/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 606,323 USD | $ | (124,461 | ) | |||||||||||||
Anhui Wanwei Updated High-Tech Material Industry Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 449,136 USD | (96,645 | ) | ||||||||||||||
Anhui Yingjia Distillery Co. Ltd. | 01/18/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 104,950 USD | (2,103 | ) | ||||||||||||||
Anhui Yingjia Distillery Co. Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 75,501 USD | (1,773 | ) | ||||||||||||||
Anhui Zhongding Sealing Parts Co. Ltd. | 02/03/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 336,495 USD | (25,895 | ) | ||||||||||||||
Anhui Zhongding Sealing Parts Co. Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 232,631 USD | (18,315 | ) | ||||||||||||||
Anhui Zhonghuan Environmental Protectional Technology | 03/14/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 27 USD | — | |||||||||||||||
Anhui Zhonghuan Environmental Protectional Technology | 07/12/22 | M | 0.49 | % | Credit Suisse International | 27 USD | — | |||||||||||||||
Anhui Zhongyuan New Materials Co., Ltd. | 09/06/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 24,570 USD | (115 | ) | ||||||||||||||
Anhui Zhongyuan New Materials Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 16,960 USD | (18 | ) | ||||||||||||||
Anker Innovations Technologies Co., Ltd. | 09/11/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 48,874 USD | 2,489 | |||||||||||||||
Anker Innovations Technologies Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 39,671 USD | 3,408 | |||||||||||||||
ANSYS, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 45,591 USD | (1,673 | ) | ||||||||||||||
Antero Resources Corp. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 33,172 USD | 4,805 | |||||||||||||||
Anyang Iron & Steel, Inc. | 07/17/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 597,422 USD | (79,780 | ) | ||||||||||||||
Anyang Iron & Steel, Inc. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 498,573 USD | (73,179 | ) | ||||||||||||||
Anyuan Coal Industry Group Co., Ltd. | 09/27/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 1,511 USD | 20 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Anyuan Coal Industry Group Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 58,323 USD | $ | 515 | ||||||||||||||
Aoshikang Technology Co., Ltd. | 05/01/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 8,354 USD | (138 | ) | ||||||||||||||
Aoshikang Technology Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 2,615 USD | 14 | |||||||||||||||
Apartment Income REIT Corp. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 1,252,617 USD | (12,306 | ) | ||||||||||||||
Apeloa Pharmaceutical Co. Ltd. | 09/20/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 487,559 USD | (8,027 | ) | ||||||||||||||
Apeloa Pharmaceutical Co. Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 385,154 USD | (18,251 | ) | ||||||||||||||
Apollo Medical Holdings, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 49,851 USD | 3,504 | |||||||||||||||
Appian Corp. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 58,245 USD | (4,497 | ) | ||||||||||||||
Apple Hospitality REIT, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 52,321 USD | (1,592 | ) | ||||||||||||||
Applied Materials, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 42,780 USD | (1,972 | ) | ||||||||||||||
Appotronics Corporation Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 189,307 USD | (8,012 | ) | ||||||||||||||
Appotronics Corporation Ltd. | 05/17/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 244,488 USD | (10,020 | ) | ||||||||||||||
Aptargroup, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 3,088,283 USD | (18,362 | ) | ||||||||||||||
Arch Capital Group Ltd. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 2,208,515 USD | (36,340 | ) | ||||||||||||||
Archer-Daniels-Midland Co. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 80,473 USD | (899 | ) | ||||||||||||||
Arconic Corp. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 128,634 USD | 2,036 | |||||||||||||||
Arcvideo Tech | 01/18/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 282,092 USD | (35,610 | ) | ||||||||||||||
Arcvideo Tech | 07/12/22 | M | 0.49 | % | Credit Suisse International | 219,381 USD | (28,274 | ) | ||||||||||||||
Argus Shanghai Textile Chemicals Co., Ltd. | 10/11/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 6,000 USD | (90 | ) | ||||||||||||||
Argus Shanghai Textile Chemicals Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 4,093 USD | (49 | ) | ||||||||||||||
Arista Networks, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 1,783,084 USD | (38,767 | ) | ||||||||||||||
Armstrong World Industries, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 530,870 USD | (17,528 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Arrival SA | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 5,627 USD | $ | 264 | ||||||||||||||
Arrow Electronics, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 25,586 USD | 578 | |||||||||||||||
Arvinas, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 1,110,585 USD | (129,931 | ) | ||||||||||||||
Asbury Automotive Group, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 12,318 USD | 1,061 | |||||||||||||||
Asia Pacific Wire & Cable Corp. Ltd. | 09/06/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 2,101 USD | (139 | ) | ||||||||||||||
Asia Pacific Wire & Cable Corp. Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 1,501 USD | (100 | ) | ||||||||||||||
Associated Banc-Corp. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 37,314 USD | 3,320 | |||||||||||||||
Astro-Century Co., Ltd. | 09/27/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 120 USD | (7 | ) | ||||||||||||||
Astro-Century Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 120 USD | (7 | ) | ||||||||||||||
Asymchem Laboratories Tianjin Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 164,664 USD | 7,840 | |||||||||||||||
AT&T, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 1,047,521 USD | (6,636 | ) | ||||||||||||||
Athene Holding Ltd. | 06/05/23 | M | 0.00 | % | Goldman Sachs International | 23,608,667 USD | 1,060,016 | |||||||||||||||
Atkore, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 310,222 USD | (14,868 | ) | ||||||||||||||
Atmos Energy Corp. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 1,072,729 USD | (7,008 | ) | ||||||||||||||
Autobio Diagnostics Co., Ltd. | 09/27/23 | M | 0.47 | % | JPMorgan Chase��Bank, N.A. | 143,342 USD | 998 | |||||||||||||||
Autobio Diagnostics Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 120,438 USD | 808 | |||||||||||||||
Autodesk, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 53,888 USD | (276 | ) | ||||||||||||||
Automatic Data Processing, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 1,053,035 USD | 15,337 | |||||||||||||||
Autonation, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 3,204,456 USD | (67,066 | ) | ||||||||||||||
Autozone, Inc. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 789,683 USD | 3,278 | |||||||||||||||
Avast PLC | 08/15/23 | M | 0.00 | % | JPMorgan Chase Bank, N.A. | 901,009 GBP | (8,914 | ) | ||||||||||||||
AVIC Electromechanical Systems Co., Ltd. | 09/05/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 66,164 USD | (3,674 | ) |
See Notes to Consolidated Financial Statements.
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September 30, 2021 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
AVIC Electromechanical Systems Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 45,564 USD | $ | (2,538 | ) | |||||||||||||
Avnet, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 1,077,227 USD | 9,210 | |||||||||||||||
Axis Capital Holdings Ltd. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 32,974 USD | 128 | |||||||||||||||
Axonics, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 21,121 USD | (1,269 | ) | ||||||||||||||
B-Soft Co., Ltd. | 04/28/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 35 USD | — | |||||||||||||||
B-Soft Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 46 USD | — | |||||||||||||||
Baiyin Nonferrou Group Co., Ltd. | 10/11/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 49,022 USD | (85 | ) | ||||||||||||||
Baiyin Nonferrou Group Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 40,841 USD | 97 | |||||||||||||||
Bandwidth, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 1,643,064 USD | (160,034 | ) | ||||||||||||||
Bank of Changsha Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 161,721 USD | (1,045 | ) | ||||||||||||||
Bank of Changsha Co., Ltd. | 09/05/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 271,553 USD | (1,454 | ) | ||||||||||||||
Bank of Chengdu Co., Ltd. | 01/18/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 144,670 USD | (3,168 | ) | ||||||||||||||
Bank of Chengdu Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 120,379 USD | (1,819 | ) | ||||||||||||||
Bank of China, Ltd. | 09/27/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 72,552 USD | (245 | ) | ||||||||||||||
Bank of China, Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 60,745 USD | (238 | ) | ||||||||||||||
Bank of Communications Co., Ltd | 10/11/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 98,907 USD | 185 | |||||||||||||||
Bank of Communications Co., Ltd | 07/12/22 | M | 0.49 | % | Credit Suisse International | 74,608 USD | 182 | |||||||||||||||
Bank of Hangzhou Co., Ltd. | 08/14/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 367,402 USD | 317 | |||||||||||||||
Bank of Hangzhou Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 275,889 USD | (1,278 | ) | ||||||||||||||
Bank of Montreal | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 2,816,298 USD | 28,101 | |||||||||||||||
Bank of Ningbo Co., Ltd | 10/02/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 171,303 USD | 3,844 | |||||||||||||||
Bank of Ningbo Co., Ltd | 07/12/22 | M | 0.49 | % | Credit Suisse International | 117,066 USD | 2,600 | |||||||||||||||
Bank Of Nova Sco. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 2,238,540 USD | 57,083 | |||||||||||||||
Bank of Shanghai Co., Ltd. | 10/11/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 113,451 USD | 121 | |||||||||||||||
Bank of Shanghai Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 94,933 USD | 147 |
See Notes to Consolidated Financial Statements.
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September 30, 2021 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
BankUnited, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 63,832 USD | $ | 5,004 | ||||||||||||||
Baoji Titanium Industry Co., Ltd. | 07/14/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 2,184 USD | 8 | |||||||||||||||
Baoji Titanium Industry Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 1,456 USD | 5 | |||||||||||||||
Baoshan Iron + Steel Co. | 08/28/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 204,843 USD | (32,113 | ) | ||||||||||||||
Baoshan Iron + Steel Co. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 168,212 USD | (28,062 | ) | ||||||||||||||
Baotou Dongbao Bio-Tech Co., Ltd. | 10/11/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 29,628 USD | (1,337 | ) | ||||||||||||||
Baotou Dongbao Bio-Tech Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 20,166 USD | (846 | ) | ||||||||||||||
Barrick Gold Corp. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 63,422 USD | 674 | |||||||||||||||
Beauty Health Co. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 527,260 USD | (20,274 | ) | ||||||||||||||
Befar Group Co., Ltd. | 09/06/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 10,192 USD | (2,630 | ) | ||||||||||||||
Befar Group Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 6,373 USD | (1,647 | ) | ||||||||||||||
Beh-Property Co., Ltd. | 10/10/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 5,723 USD | 127 | |||||||||||||||
Beh-Property Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 3,954 USD | 82 | |||||||||||||||
Beijing Aosaikang Pharmaceutical Co., Ltd. | 07/06/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 6 USD | — | |||||||||||||||
Beijing Aosaikang Pharmaceutical Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 77 USD | (2 | ) | ||||||||||||||
Beijing Bei Mo Gao Ke Friction Material Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 842 USD | (20 | ) | ||||||||||||||
Beijing Capital Eco-Environment Protection Group Co., Ltd. | 07/25/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 454,091 USD | (35,672 | ) | ||||||||||||||
Beijing Capital Eco-Environment Protection Group Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 400,275 USD | (30,676 | ) | ||||||||||||||
Beijing Easpring Material Technology Co., Ltd. | 07/07/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 17,479 USD | (963 | ) | ||||||||||||||
Beijing Easpring Material Technology Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 17,520 USD | (1,004 | ) | ||||||||||||||
Beijing Enlight Media Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 135,694 USD | 4,153 | |||||||||||||||
Beijing Enlight Media Co., Ltd. | 09/11/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 201,757 USD | 2,563 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Beijing GeoEnviron Engineering & Technology, Inc. | 10/11/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 97,915 USD | $ | (4,417 | ) | |||||||||||||
Beijing GeoEnviron Engineering & Technology, Inc. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 66,932 USD | (2,864 | ) | ||||||||||||||
Beijing Hanjian Heshan Pipeline Co., Ltd. | 09/18/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 35,746 USD | (1,350 | ) | ||||||||||||||
Beijing Hanjian Heshan Pipeline Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 24,850 USD | (1,287 | ) | ||||||||||||||
Beijing Haohua Energy Resource Co., Ltd. | 09/15/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 487,703 USD | (40,868 | ) | ||||||||||||||
Beijing Haohua Energy Resource Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 361,127 USD | (31,753 | ) | ||||||||||||||
Beijing Jetsen Technology Co., Ltd. | 09/05/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 34,264 USD | (338 | ) | ||||||||||||||
Beijing Jetsen Technology Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 25,624 USD | (1,001 | ) | ||||||||||||||
Beijing Jingcheng Machinery Electric Co., Ltd. | 09/11/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 5,828 USD | (230 | ) | ||||||||||||||
Beijing Jingcheng Machinery Electric Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 4,082 USD | (184 | ) | ||||||||||||||
Beijing Jingneng Power Co., Ltd. | 09/27/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 238,813 USD | 21,271 | |||||||||||||||
Beijing Kingsoft office Software Inc. | 06/21/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 4,128 USD | 432 | |||||||||||||||
Beijing Kingsoft office Software Inc. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 3,535 USD | 674 | |||||||||||||||
Beijing LongRuan Technologies Inc. | 08/21/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 35,966 USD | (4,075 | ) | ||||||||||||||
Beijing LongRuan Technologies Inc. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 24,986 USD | (2,841 | ) | ||||||||||||||
Beijing New Building Material Group Co., Ltd. | 01/18/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 74,897 USD | (1,229 | ) | ||||||||||||||
Beijing New Building Material Group Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 53,178 USD | (275 | ) | ||||||||||||||
Beijing Oriental Yuhong Waterproof Technology Co., Ltd. | 01/30/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 18,559 USD | 1,330 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Beijing Oriental Yuhong Waterproof Technology Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 16,990 USD | $ | 2,214 | ||||||||||||||
Beijing Philisense Technology Co., Ltd. | 09/06/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 6,796 USD | (531 | ) | ||||||||||||||
Beijing Philisense Technology Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 4,803 USD | (378 | ) | ||||||||||||||
Beijing Piesat Information Technology Co., Ltd. | 09/05/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 46,742 USD | (282 | ) | ||||||||||||||
Beijing Piesat Information Technology Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 39,656 USD | (235 | ) | ||||||||||||||
Beijing Sanyuan Foods Co., Ltd. | 09/01/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 112,999 USD | (2,842 | ) | ||||||||||||||
Beijing Sanyuan Foods Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 88,525 USD | (3,554 | ) | ||||||||||||||
Beijing SDL Technology Co., Ltd. | 09/06/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 2,462 USD | 227 | |||||||||||||||
Beijing SDL Technology Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 1,883 USD | 173 | |||||||||||||||
Beijing Shougang Co., Ltd. | 09/27/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 128,696 USD | (8,851 | ) | ||||||||||||||
Beijing Shougang Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 98,440 USD | (7,702 | ) | ||||||||||||||
Beijing Thunisoft Corp., Ltd. | 09/06/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 1,608 USD | (62 | ) | ||||||||||||||
Beijing Thunisoft Corp., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 4,702 USD | (64 | ) | ||||||||||||||
Beijing Tianyishangjia New Material Corp. Ltd. | 07/03/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 202,038 USD | (2,626 | ) | ||||||||||||||
Beijing Tianyishangjia New Material Corp. Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 162,415 USD | (2,332 | ) | ||||||||||||||
Beijing Traffic Control Technology Co., Ltd. | 03/03/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 462 USD | (24 | ) | ||||||||||||||
Beijing Traffic Control Technology Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 788 USD | (42 | ) |
See Notes to Consolidated Financial Statements.
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September 30, 2021 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Beijing United Information Technology Co., Ltd. | 02/07/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 213,048 USD | $ | 6,304 | ||||||||||||||
Beijing United Information Technology Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 163,294 USD | 8,006 | |||||||||||||||
Beijing Urban Construction Group Co., Ltd. | 10/11/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 14,743 USD | (176 | ) | ||||||||||||||
Beijing Urban Construction Group Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 10,046 USD | (95 | ) | ||||||||||||||
Beijing Water Business Doctor Co., Ltd. | 10/11/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 169,197 USD | (449 | ) | ||||||||||||||
Beijing Water Business Doctor Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 115,194 USD | 244 | |||||||||||||||
Beijing WKW Automotive Parts Co., Ltd. | 09/06/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 1,627 USD | (198 | ) | ||||||||||||||
Beijing WKW Automotive Parts Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 1,146 USD | (140 | ) | ||||||||||||||
Beijing Worldia Diamond Tools Co., Ltd. | 10/11/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 45,525 USD | (1,471 | ) | ||||||||||||||
Beijing Worldia Diamond Tools Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 31,751 USD | (453 | ) | ||||||||||||||
Beijing Yuanliu Hongyuan Electronic Technology Co., Ltd. | 09/06/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 4,501 USD | 172 | |||||||||||||||
Beijing Yuanliu Hongyuan Electronic Technology Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 4,214 USD | 459 | |||||||||||||||
Beijing Zuojiang Technology Co., Ltd. | 06/12/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 393 USD | (15 | ) | ||||||||||||||
Beijing Huafeng Test & Control Technology Co., Ltd. | 09/01/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 67,013 USD | 1,912 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Beijing Huafeng Test & Control Technology Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 52,921 USD | $ | 2,132 | ||||||||||||||
Bengang Steel Plates Co., Ltd. | 07/28/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 214,228 USD | (30,262 | ) | ||||||||||||||
Bengang Steel Plates Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 211,426 USD | (25,288 | ) | ||||||||||||||
Bestsun Energy Co., Ltd. | 09/06/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 4,886 USD | (309 | ) | ||||||||||||||
Bestsun Energy Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 3,355 USD | (213 | ) | ||||||||||||||
Betta Pharmaceuticals Co., Ltd. | 03/08/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 26 USD | 3 | |||||||||||||||
Betta Pharmaceuticals Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 29 USD | — | |||||||||||||||
Better Life Commercial Chain Share Co., Ltd. | 10/02/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 9,935 USD | (106 | ) | ||||||||||||||
Better Life Commercial Chain Share Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 6,733 USD | (75 | ) | ||||||||||||||
Beyondsoft Corp. | 08/15/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 48 USD | (2 | ) | ||||||||||||||
BigCommerce Holdings, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 138,777 USD | (8,126 | ) | ||||||||||||||
Bill.com Holdings, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 1,140,971 USD | (29,925 | ) | ||||||||||||||
Bio-Thera Solutions Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 246,417 USD | (10,779 | ) | ||||||||||||||
Bio-Thera Solutions Ltd. | 05/30/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 275,692 USD | (11,914 | ) | ||||||||||||||
Black Knight, Inc. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 904,748 USD | 20,884 | |||||||||||||||
BlackBerry Ltd. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 335,427 USD | 12,887 | |||||||||||||||
Blackline, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 567,934 USD | (12,698 | ) | ||||||||||||||
Blackrock, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 791,818 USD | (18,573 | ) | ||||||||||||||
Bloomage Biotechnology Corp. Ltd. | 01/18/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 5,333 USD | 418 | |||||||||||||||
Bloomage Biotechnology Corp. Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 5,335 USD | 416 | |||||||||||||||
Blue Sail Medical Co., Ltd. | 02/24/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 168 USD | (23 | ) |
See Notes to Consolidated Financial Statements.
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September 30, 2021 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Blue Sail Medical Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 130 USD | $ | (8 | ) | |||||||||||||
Boe Technology Group Co., Ltd. | 06/21/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 425,960 USD | (9,356 | ) | ||||||||||||||
Boe Technology Group Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 211,844 USD | (9,286 | ) | ||||||||||||||
Boeing Co. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 325,693 USD | 17,854 | |||||||||||||||
Bohai Leasing Co., Ltd. | 09/18/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 20,858 USD | (1,035 | ) | ||||||||||||||
Bohai Leasing Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 14,288 USD | (726 | ) | ||||||||||||||
Booz Allen Hamilton Holding Corp. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 32,165 USD | 527 | |||||||||||||||
Borgwarner, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 16,933 USD | (427 | ) | ||||||||||||||
Boston Beer Co., Inc. (The) | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 415,915 USD | (4,547 | ) | ||||||||||||||
Boston Scientific Corp. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 658,657 USD | (4,119 | ) | ||||||||||||||
Box, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 229,316 USD | 141 | |||||||||||||||
Bridgebio Pharma, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 54,871 USD | (3,314 | ) | ||||||||||||||
Brightgene Bio Medical Technology Co., Ltd. | 10/11/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 37,203 USD | (962 | ) | ||||||||||||||
Brightgene Bio Medical Technology Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 31,723 USD | (786 | ) | ||||||||||||||
Brixmor Property Group, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 22,819 USD | (886 | ) | ||||||||||||||
Broadex Technologies Co., Ltd. | 01/27/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 204 USD | (15 | ) | ||||||||||||||
Brookfield Asset Management, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 6,719,624 USD | (140,891 | ) | ||||||||||||||
Brooks Automation, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 1,922,101 USD | (37,633 | ) | ||||||||||||||
Bros Eastern Co., Ltd. | 04/19/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 291,093 USD | (24,475 | ) | ||||||||||||||
Bros Eastern Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 262,267 USD | (23,217 | ) | ||||||||||||||
Brown-Forman Corp. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 1,466,821 USD | (36,292 | ) | ||||||||||||||
Brunswick Corp. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 588,704 USD | (14,512 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Btg Hotels Group Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 113,756 USD | $ | (2,599 | ) | |||||||||||||
Bunge Ltd. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 180,540 USD | 9,261 | |||||||||||||||
Bybon Group Co., Ltd. | 09/06/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 7,273 USD | 105 | |||||||||||||||
Bybon Group Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 5,147 USD | 72 | |||||||||||||||
Cable One, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 470,594 USD | (13,685 | ) | ||||||||||||||
Callaway Golf Co. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 1,421,087 USD | (99,323 | ) | ||||||||||||||
Cambricon Technologies, Inc. | 10/11/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 4,982 USD | (53 | ) | ||||||||||||||
Cambricon Technologies, Inc. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 2,484 USD | (20 | ) | ||||||||||||||
Cameco Corp. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 1,382,700 USD | 42,635 | |||||||||||||||
Camel Group Co., Ltd. | 09/06/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 5,360 USD | (468 | ) | ||||||||||||||
Camel Group Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 4,290 USD | (338 | ) | ||||||||||||||
Campbell Soup Co. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 52,456 USD | (193 | ) | ||||||||||||||
Canadian Imperial Bank of Commerce | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 695,861 USD | (6,135 | ) | ||||||||||||||
Canadian Pacific Railway Ltd. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 613,757 USD | 4,083 | |||||||||||||||
Cano Health, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 40,207 USD | (3,980 | ) | ||||||||||||||
Capital One Financial Corp. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 2,140,077 USD | (62,650 | ) | ||||||||||||||
Capri Holdings Ltd. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 778,307 USD | (42,621 | ) | ||||||||||||||
Cardinal Health, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 1,795,467 USD | (57,047 | ) | ||||||||||||||
CareDx, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 708,634 USD | (9,599 | ) | ||||||||||||||
CarGurus, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 360,585 USD | (30 | ) | ||||||||||||||
Carlyle Group, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 993,677 USD | (1,269 | ) | ||||||||||||||
Carrier Global Corp. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 2,790,536 USD | 3,779 | |||||||||||||||
Cathay Biotech Co., Ltd. | 10/11/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 113,521 USD | 9,870 | |||||||||||||||
Cathay Biotech Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 96,872 USD | 6,223 |
See Notes to Consolidated Financial Statements.
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September 30, 2021 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
CCCG Real Estate Corp, Ltd. | 10/11/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 2,786 USD | $ | (89 | ) | |||||||||||||
CCCG Real Estate Corp, Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 1,941 USD | (52 | ) | ||||||||||||||
CDK Global, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 264,355 USD | (2,120 | ) | ||||||||||||||
CDW Corp. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 2,984,450 USD | (88,876 | ) | ||||||||||||||
CECEP Guozhen Environmental Protection Technology Co., Ltd. | 10/02/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 19,659 USD | (393 | ) | ||||||||||||||
CECEP Guozhen Environmental Protection Technology Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 13,413 USD | (205 | ) | ||||||||||||||
Celldex Therapeutics, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 1,355 USD | 49 | |||||||||||||||
Cenovus Energy, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 9,641 USD | 1,837 | |||||||||||||||
Central China Land Media Co., Ltd. | 09/06/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 10,089 USD | (331 | ) | ||||||||||||||
Central China Land Media Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 7,163 USD | (238 | ) | ||||||||||||||
Century Communities, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 131,934 USD | (3,749 | ) | ||||||||||||||
Cerence, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 341,904 USD | (17,629 | ) | ||||||||||||||
Cerner Corp. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 6,137,528 USD | (171,184 | ) | ||||||||||||||
Chang Lan Electric Technology Co., Ltd. | 09/06/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 8,283 USD | (809 | ) | ||||||||||||||
Chang Lan Electric Technology Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 2,652 USD | (260 | ) | ||||||||||||||
Change Healthcare, Inc. | 01/19/23 | M | 0.58 | % | JPMorgan Chase Bank, N.A. | 8,060,165 USD | (264,329 | ) | ||||||||||||||
Change Healthcare, Inc. | 01/10/23 | M | 0.00 | % | Goldman Sachs International | 11,266,335 USD | (369,473 | ) | ||||||||||||||
Change Healthcare, Inc. | 09/18/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 5,534 USD | (24 | ) | ||||||||||||||
Change Healthcare, Inc. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 3,876 USD | (43 | ) | ||||||||||||||
Changzhou Xingyu Automotive | 07/12/22 | M | 0.49 | % | Credit Suisse International | 242,172 USD | (4,093 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Changzhou Xingyu Automotive | 08/28/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 322,191 USD | $ | (2,886 | ) | |||||||||||||
Chaozhou Three Circle Group Co., Ltd. | 10/02/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 216,798 USD | 3,087 | |||||||||||||||
Chaozhou Three Circle Group Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 124,064 USD | 1,667 | |||||||||||||||
Check Point Software Technologies, Ltd. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 42,349 USD | (864 | ) | ||||||||||||||
Chegg, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 2,852,831 USD | (245,624 | ) | ||||||||||||||
Chengdu ALD Aviation Manufacturing Corp. | 05/30/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 208 USD | 11 | |||||||||||||||
Chengdu ALD Aviation Manufacturing Corp. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 194 USD | 25 | |||||||||||||||
Chengdu B-Ray Media Co., Ltd. | 10/11/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 7,530 USD | (17 | ) | ||||||||||||||
Chengdu B-Ray Media Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 5,079 USD | 3 | |||||||||||||||
Chengdu CORPRO Technology Co., Ltd. | 08/07/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 41,285 USD | (1,762 | ) | ||||||||||||||
Chengdu CORPRO Technology Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 30,852 USD | (1,015 | ) | ||||||||||||||
Chengdu Fusen Noble House Industrial Co., Ltd. | 10/02/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 3,247 USD | (53 | ) | ||||||||||||||
Chengdu Fusen Noble House Industrial Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 5,293 USD | (163 | ) | ||||||||||||||
Chengdu Haoneng Technology Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 11,433 USD | (277 | ) | ||||||||||||||
Chengdu Haoneng Technology Co., Ltd. | 10/11/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 13,535 USD | (396 | ) | ||||||||||||||
Chengdu Xingrong Environment Co., Ltd. | 10/02/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 129,237 USD | 565 | |||||||||||||||
Chengdu Xingrong Environment Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 102,664 USD | 541 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Chengtun Mining Group Co., Ltd. | 09/06/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 202,065 USD | $ | 4,002 | ||||||||||||||
Chengtun Mining Group Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 214,622 USD | (2,001 | ) | ||||||||||||||
Chengxin Lithium Group Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 199,477 USD | 6,960 | |||||||||||||||
Chengzhi Co., Ltd. | 10/02/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 125,857 USD | 300 | |||||||||||||||
Chengzhi Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 46,397 USD | 520 | |||||||||||||||
China Animal Husbandry Industry Co., Ltd. | 10/11/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 78,459 USD | (1,334 | ) | ||||||||||||||
China Animal Husbandry Industry Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 65,515 USD | (1,100 | ) | ||||||||||||||
China Baoan Group Co., Ltd. | 08/25/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 163,128 USD | 4,570 | |||||||||||||||
China Baoan Group Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 63,711 USD | 399 | |||||||||||||||
China CAMC Engineering Co., Ltd. | 09/15/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 26,525 USD | (2,533 | ) | ||||||||||||||
China CAMC Engineering Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 17,867 USD | (1,484 | ) | ||||||||||||||
China Coal Energy Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 349,497 USD | (10,034 | ) | ||||||||||||||
China Coal Energy Co., Ltd. | 04/13/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 483,240 USD | (20,789 | ) | ||||||||||||||
China Coal Xinji Energy Co., Ltd. | 09/06/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 227,055 USD | (14,604 | ) | ||||||||||||||
China Coal Xinji Energy Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 394,461 USD | (30,406 | ) | ||||||||||||||
China Construction Bank | 07/12/22 | M | 0.49 | % | Credit Suisse International | 140,021 USD | 218 | |||||||||||||||
China Construction Bank Corp. | 09/18/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 171,364 USD | (84 | ) | ||||||||||||||
China CYTS Tours Holding Co., Ltd. | 10/11/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 136,028 USD | (1,030 | ) | ||||||||||||||
China CYTS Tours Holding Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 113,645 USD | (710 | ) | ||||||||||||||
China Eastern Airlines Corp., Ltd. | 10/11/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 61,540 USD | (243 | ) | ||||||||||||||
China Eastern Airlines Corp., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 51,300 USD | 11 | |||||||||||||||
China Enterprise Co., Ltd. | 09/05/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 57,066 USD | 82 | |||||||||||||||
China Enterprise Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 53,071 USD | 72 | |||||||||||||||
China First Heavy Industries | 10/11/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 26,340 USD | (929 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
China First Heavy Industries | 07/12/22 | M | 0.49 | % | Credit Suisse International | 21,813 USD | $ | (529 | ) | |||||||||||||
China Galaxy Securities Co., Ltd. | 09/27/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 153,228 USD | (7,271 | ) | ||||||||||||||
China Galaxy Securities Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 104,856 USD | (4,631 | ) | ||||||||||||||
China Great Wall Securities Co., Ltd. | 09/18/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 656,844 USD | (70,720 | ) | ||||||||||||||
China Great Wall Securities Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 461,455 USD | (40,780 | ) | ||||||||||||||
China Hainan Rubber Industry Group Co., Ltd. | 10/11/23 | M | 0.00 | % | JPMorgan Chase Bank, N.A. | 187,759 USD | 5,108 | |||||||||||||||
China Hainan Rubber Industry Group Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 157,097 USD | 4,355 | |||||||||||||||
China Haisum Engineering Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 3,274 USD | (228 | ) | ||||||||||||||
China Haisum Engineering Co., Ltd. | 09/18/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 4,689 USD | (323 | ) | ||||||||||||||
China International Marine Containers Group Co., Ltd. | 05/24/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 485,684 USD | (45,048 | ) | ||||||||||||||
China International Marine Containers Group Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 396,853 USD | (43,106 | ) | ||||||||||||||
China Jo-Jo Drugstores, Inc. | 10/11/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 34,930 USD | (908 | ) | ||||||||||||||
China Jushi Co., Ltd. | 01/18/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 66,837 USD | (2,629 | ) | ||||||||||||||
China Jushi Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 54,432 USD | (6,658 | ) | ||||||||||||||
China Kings Resources Group Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 183 USD | (28 | ) | ||||||||||||||
China Merchants Energy Shipping Co., Ltd. | 10/11/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 279,250 USD | (3,700 | ) | ||||||||||||||
China Merchants Energy Shipping Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 212,897 USD | (2,079 | ) | ||||||||||||||
China Merchants Expressway Network & Technology Holdings Co., Ltd. | 09/01/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 29,887 USD | (1,273 | ) | ||||||||||||||
China Merchants Expressway Network & Technology Holdings Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 24,541 USD | (537 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
China Merchants Port Group Co., Ltd. | 10/02/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 36,799 USD | $ | (398 | ) | |||||||||||||
China Merchants Port Group Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 15,674 USD | (263 | ) | ||||||||||||||
China Merchants Shekou Industrial Zone Holdings Co., Ltd. | 07/07/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 489,084 USD | 2,312 | |||||||||||||||
China Merchants Shekou Industrial Zone Holdings Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 410,240 USD | 2,461 | |||||||||||||||
China Molybdenum Co., Ltd. | 07/07/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 16,528 USD | (2,508 | ) | ||||||||||||||
China Molybdenum Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 15,843 USD | (2,477 | ) | ||||||||||||||
China National Electric Apparatus Research Institute Co., Ltd. | 08/21/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 47,757 USD | (6,387 | ) | ||||||||||||||
China National Electric Apparatus Research Institute Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 34,180 USD | (4,584 | ) | ||||||||||||||
China Northern Rare Earth Group High-Tech Co., Ltd. | 09/01/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 203,524 USD | 4,736 | |||||||||||||||
China Northern Rare Earth Group High-Tech Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 155,622 USD | (11,759 | ) | ||||||||||||||
China Oil HBP Science & Technology Co., Ltd. | 10/11/23 | M | 0.00 | % | JPMorgan Chase Bank, N.A. | 147,864 USD | 5,054 | |||||||||||||||
China Oil HBP Science & Technology Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 123,264 USD | 4,761 | |||||||||||||||
China Resources Double Crane Pharmaceutical Co., Ltd. | 09/06/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 1,861 USD | (49 | ) | ||||||||||||||
China Resources Double Crane Pharmaceutical Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 1,103 USD | (16 | ) | ||||||||||||||
China Resources Microelectronics Ltd. | 08/23/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 10,811 USD | (157 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
China Resources Microelectronics Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 4,326 USD | $ | (65 | ) | |||||||||||||
China Resources Sanjiu Medical & Pharmaceutical Co., Ltd. | 09/05/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 145,101 USD | (1,424 | ) | ||||||||||||||
China Resources Sanjiu Medical & Pharmaceutical Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 99,943 USD | (1,040 | ) | ||||||||||||||
China South Publishing & Media Group Co., Ltd. | 10/11/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 15,828 USD | (160 | ) | ||||||||||||||
China South Publishing & Media Group Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 10,779 USD | (103 | ) | ||||||||||||||
China Southern Airlines Co., Ltd. | 09/05/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 157,955 USD | (803 | ) | ||||||||||||||
China Southern Airlines Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 130,298 USD | (68 | ) | ||||||||||||||
China Sports Industry Group Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 29,293 USD | (692 | ) | ||||||||||||||
China Tourism Group Duty Free Corp. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 7,359 USD | 688 | |||||||||||||||
China Tungsten and Hightech Materials Co., Ltd. | 07/19/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 3,814 USD | (413 | ) | ||||||||||||||
China Tungsten and Hightech Materials Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 2,682 USD | (301 | ) | ||||||||||||||
China Union Holdings, Ltd. | 10/10/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 42,374 USD | (852 | ) | ||||||||||||||
China Union Holdings, Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 35,436 USD | (712 | ) | ||||||||||||||
China Western Power Industrial Co., Ltd. | 09/27/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 37,376 USD | 1,925 | |||||||||||||||
China Western Power Industrial Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 25,482 USD | 1,399 | |||||||||||||||
Chinalin Securities Co., Ltd. | 10/02/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 35,471 USD | 65 | |||||||||||||||
Chinalin Securities Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 24,264 USD | 60 | |||||||||||||||
Chongqing Baiya Sanitary Products Co., Ltd. | 08/01/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 77 USD | (3 | ) | ||||||||||||||
Chongqing Brewery Co., Ltd. | 08/28/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 187,577 USD | (748 | ) | ||||||||||||||
Chongqing Brewery Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 128,992 USD | (1,055 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Chongqing Chuanyi Automation Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 401 USD | $ | (43 | ) | |||||||||||||
Chongqing Construction Engineering Group Corp., Ltd. | 10/11/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 4,841 USD | (23 | ) | ||||||||||||||
Chongqing Construction Engineering Group Corp., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 3,370 USD | (9 | ) | ||||||||||||||
Chongqing Department Store Co., Ltd. | 02/22/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 23,403 USD | (663 | ) | ||||||||||||||
Chongqing Department Store Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 15,913 USD | (256 | ) | ||||||||||||||
Chongqing Iron & Steel Co., Ltd. | 08/28/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 415,430 USD | (54,692 | ) | ||||||||||||||
Chongqing Iron & Steel Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 322,973 USD | (43,673 | ) | ||||||||||||||
Chongqing Rural Commercial Bank Co., Ltd. | 10/11/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 149,976 USD | (1,003 | ) | ||||||||||||||
Chongqing Rural Commercial Bank Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 125,378 USD | (657 | ) | ||||||||||||||
Chongqing Three Gorges Bank Co., Ltd. | 03/29/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 61,871 USD | 2,982 | |||||||||||||||
Chongqing Three Gorges Water Conservancy & Electric Power Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 51,735 USD | 2,568 | |||||||||||||||
Chongqing Zhifei Biological Products Co., Ltd. | 08/25/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 709,895 USD | (4,224 | ) | ||||||||||||||
Chongqing Zhifei Biological Products Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 571,790 USD | (5,915 | ) | ||||||||||||||
Chow Tai Seng Jewellery Co., Ltd. | 07/24/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 86,668 USD | 3,170 | |||||||||||||||
Chow Tai Seng Jewellery Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 61,628 USD | 3,203 | |||||||||||||||
Chubb Ltd. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 41,274 USD | (853 | ) | ||||||||||||||
Ciena Corp. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 1,994,071 USD | 8,836 |
See Notes to Consolidated Financial Statements.
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September 30, 2021 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Cigna Corp. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 2,198,158 USD | $ | (24,220 | ) | |||||||||||||
Cincinnati Financial, Corp. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 22,978 USD | (19 | ) | ||||||||||||||
Cineplex, Inc. | 12/20/21 | M | 0.00 | % | Goldman Sachs International | 1,226,502 CAD | 17,252 | |||||||||||||||
Cineplex, Inc. | 03/07/22 | M | 0.98 | % | JPMorgan Chase Bank, N.A. | 745,953 CAD | 10,492 | |||||||||||||||
Cit Group, Inc. | 10/19/22 | M | 0.58 | % | JPMorgan Chase Bank, N.A. | 1,141,504 USD | 47,372 | |||||||||||||||
Citic Pacific Special Steel Group Co., Ltd. | 08/09/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 2,632 USD | (72 | ) | ||||||||||||||
Citic Pacific Special Steel Group Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 4,467 USD | (539 | ) | ||||||||||||||
Citigroup, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 6,515,322 USD | (80,307 | ) | ||||||||||||||
City Development Environment Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 65 USD | 2 | |||||||||||||||
Clear Secure, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 100,476 USD | (3,885 | ) | ||||||||||||||
Cleveland-Cliffs, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 1,139,626 USD | (23,472 | ) | ||||||||||||||
Cloudflare, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 179,928 USD | (15,684 | ) | ||||||||||||||
CMS Energy Corp. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 89,139 USD | (2,291 | ) | ||||||||||||||
CMST Development Co., Ltd. | 09/18/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 150,952 USD | (4,148 | ) | ||||||||||||||
CMST Development Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 134,463 USD | (12,171 | ) | ||||||||||||||
CNH Industrial NV | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 352,001 USD | (4,237 | ) | ||||||||||||||
CNOOC Energy Technology & Services Ltd. | 09/06/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 181,599 USD | (7,580 | ) | ||||||||||||||
CNOOC Energy Technology & Services Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 150,043 USD | (5,127 | ) | ||||||||||||||
CNSIG Inner Mongolia Chemical Industry Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 310,800 USD | (24,955 | ) | ||||||||||||||
CNX Resources Corp. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 140,966 USD | 11,345 | |||||||||||||||
Coca-Cola Co/The | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 6,607,157 USD | (109,954 | ) | ||||||||||||||
Coca-Cola Europacific Partners plc | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 1,866,138 USD | (35,984 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
COFCO Sugar Holding Co., Ltd. | 10/11/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 26,687 USD | $ | (466 | ) | |||||||||||||
COFCO Sugar Holding Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 22,332 USD | (340 | ) | ||||||||||||||
Coherent, Inc. | 01/23/23 | M | 0.58 | % | JPMorgan Chase Bank, N.A. | 23,183,879 USD | (210,362 | ) | ||||||||||||||
Coinbase Global, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 2,938,957 USD | (17,432 | ) | ||||||||||||||
Colfax Corp. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 318,592 USD | 413 | |||||||||||||||
Comcast Corp. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 553,808 USD | 11,532 | |||||||||||||||
Constellation Brands, Inc. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 1,311,556 USD | 3,149 | |||||||||||||||
Contemporary Amperex Technology Co. | 01/18/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 45,713 USD | 3,100 | |||||||||||||||
Contemporary Amperex Technology Co. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 45,734 USD | 3,079 | |||||||||||||||
Copart, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 628,294 USD | (10,713 | ) | ||||||||||||||
Corning, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 3,091,207 USD | (64,325 | ) | ||||||||||||||
Corsair Gaming, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 100,824 USD | (3,924 | ) | ||||||||||||||
Cosco Shipping Holdings Co., Ltd. | 03/21/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 355,273 USD | (31,635 | ) | ||||||||||||||
Cosco Shipping Holdings Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 125,849 USD | (196 | ) | ||||||||||||||
Cosmos Group Co., Ltd. | 09/06/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 1,679 USD | (11 | ) | ||||||||||||||
Cosmos Group Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 1,187 USD | (10 | ) | ||||||||||||||
Costco Wholesale Corp. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 4,641,876 USD | (132,199 | ) | ||||||||||||||
Coursera, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 91,993 USD | (9,038 | ) | ||||||||||||||
Cousins Properties, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 26,226 USD | 213 | |||||||||||||||
CQ Pharmaceutical Holding Co., Ltd. | 09/06/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 1,684 USD | (66 | ) | ||||||||||||||
CQ Pharmaceutical Holding Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 1,184 USD | (28 | ) | ||||||||||||||
Cracker Barrel Old Country Store, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 343,953 USD | (3,163 | ) | ||||||||||||||
Cree, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 1,214,997 USD | (37,711 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
CRISPR Therapeutics AG | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 652,651 USD | $ | (26,626 | ) | |||||||||||||
Crocs, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 3,052,433 USD | (210,094 | ) | ||||||||||||||
Crown Castle International Corp. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 6,718,508 USD | (276,897 | ) | ||||||||||||||
Cscec Scimee Sci & Tech Co., Ltd. | 09/27/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 4,402 USD | (348 | ) | ||||||||||||||
Cscec Scimee Sci & Tech Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 3,064 USD | (255 | ) | ||||||||||||||
CSG Holding Co., Ltd. | 09/06/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 2,345 USD | (177 | ) | ||||||||||||||
CSG Holding Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 1,581 USD | (32 | ) | ||||||||||||||
CSX Corp. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 4,444,770 USD | (37,748 | ) | ||||||||||||||
CTS International Logistic Corp. Ltd. | 03/22/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 2,273 USD | (224 | ) | ||||||||||||||
CTS International Logistic Corp. Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 1,551 USD | (173 | ) | ||||||||||||||
Cultural Investment Holdings Co., Ltd. | 10/11/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 114,703 USD | 2,512 | |||||||||||||||
Cultural Investment Holdings Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 95,394 USD | 2,721 | |||||||||||||||
Curevac NV | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 28,992 USD | 557 | |||||||||||||||
CyberArk Software Ltd., Ltd. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 220,921 USD | (8,338 | ) | ||||||||||||||
Cytokinetics, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 50,523 USD | 3,623 | |||||||||||||||
Dafeng Industrial Co., Ltd. | 09/06/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 6,959 USD | (296 | ) | ||||||||||||||
Dalian Bio-Chem Co., Ltd. | 08/30/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 94,068 USD | (9,962 | ) | ||||||||||||||
Dalian Bio-Chem Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 86,600 USD | (7,969 | ) | ||||||||||||||
Dalian Zeus Entertainment Group Co., Ltd. | 09/27/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 754 USD | (32 | ) | ||||||||||||||
Dalian Zeus Entertainment Group Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 505 USD | (24 | ) | ||||||||||||||
Darden Restaurants, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 4,986,011 USD | (224,703 | ) | ||||||||||||||
Datadog, Inc. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 1,771,867 USD | (24,781 | ) | ||||||||||||||
Deckers Outdoor Corp. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 2,610,855 USD | (304,134 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Dehua Tb New Decoration Material | 04/26/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 38,011 USD | $ | (1,856 | ) | |||||||||||||
Dehua Tb New Decoration Material | 07/12/22 | M | 0.49 | % | Credit Suisse International | 29,455 USD | (1,232 | ) | ||||||||||||||
Denbury, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 22,470 USD | (412 | ) | ||||||||||||||
DENTSPLY SIRONA, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 294,341 USD | (4,150 | ) | ||||||||||||||
Deutsche Alt-A Securities Mortgage Loan Trust | 05/29/23 | M | 0.06 | % | JPMorgan Chase Bank, N.A. | 19,371,313 EUR | (282,830 | ) | ||||||||||||||
DHC Software Co., Ltd. | 09/27/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 105,457 USD | (1,826 | ) | ||||||||||||||
DHC Software Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 72,276 USD | (1,382 | ) | ||||||||||||||
Dialine Co., Ltd. | 10/11/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 17,891 USD | 90 | |||||||||||||||
Dialine Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 12,244 USD | 69 | |||||||||||||||
Diamondback Energy, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 373,387 USD | 68,249 | |||||||||||||||
Dick’s Sporting Goods, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 1,987,141 USD | (192,148 | ) | ||||||||||||||
DiDi Global, Inc. | 07/18/23 | M | 0.53 | % | Morgan Stanley Capital Services LLC | 6,176,953 USD | 146,104 | |||||||||||||||
Digital Turbine, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 230,595 USD | 11,405 | |||||||||||||||
Discover Financial Services | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 99,709 USD | (5,728 | ) | ||||||||||||||
Dlg Exhibitions & Events Corp., Ltd. | 08/23/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 39,116 USD | (380 | ) | ||||||||||||||
Dlg Exhibitions & Events Corp., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 35,421 USD | (325 | ) | ||||||||||||||
Do-Fluoride New Materials Co., Ltd. | 08/28/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 119 USD | (3 | ) | ||||||||||||||
DocuSign, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 5,825,532 USD | (283,064 | ) | ||||||||||||||
Dolby Laboratories, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 116,122 USD | (2,426 | ) | ||||||||||||||
Domtar Corp. | 05/15/23 | M | 0.58 | % | JPMorgan Chase Bank, N.A. | 18,650,518 USD | (122,298 | ) | ||||||||||||||
Dongfang Electric Co., Ltd. | 09/08/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 12,157 USD | (1,113 | ) | ||||||||||||||
Dongfang Electric Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 5,496 USD | (115 | ) |
See Notes to Consolidated Financial Statements.
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September 30, 2021 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Dongguan Development (Holdings) Co., Ltd. | 05/24/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 69 USD | $ | (4 | ) | |||||||||||||
Dongguan Yutong Optical Technology Co., Ltd. | 09/27/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 9,717 USD | (259 | ) | ||||||||||||||
Dongguan Yutong Optical Technology Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 6,856 USD | (180 | ) | ||||||||||||||
DoorDash, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 1,792,727 USD | (93,392 | ) | ||||||||||||||
Douglas Emmett, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 20,403 USD | (268 | ) | ||||||||||||||
Dow, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 285,785 USD | (6,677 | ) | ||||||||||||||
DR Horton, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 3,872,981 USD | (63,178 | ) | ||||||||||||||
Draftkings, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 2,883,142 USD | (251,872 | ) | ||||||||||||||
Dropbox, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 1,733,930 USD | (45,219 | ) | ||||||||||||||
DTE Energy Co. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 651,440 USD | (10,895 | ) | ||||||||||||||
Duke Energy Corp. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 5,239,540 USD | (70,296 | ) | ||||||||||||||
Dun & Bradstreet Holdings, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 1,109,704 USD | (782 | ) | ||||||||||||||
DuPont de Nemours, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 6,489,044 USD | (51,343 | ) | ||||||||||||||
Dxc Technology, Co. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 1,013,175 USD | (37,678 | ) | ||||||||||||||
E2open Parent Holdings, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 115,485 USD | (3,084 | ) | ||||||||||||||
East West Bancorp, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 15,755 USD | 2,079 | |||||||||||||||
Eastman Chemical Co. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 77,254 USD | (691 | ) | ||||||||||||||
Eaton Corp. PLC | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 1,754,094 USD | (61,665 | ) | ||||||||||||||
eBay, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 641,062 USD | (15,913 | ) | ||||||||||||||
Ecovacs Robotics Co., Ltd. | 01/18/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 291,023 USD | (4,248 | ) | ||||||||||||||
Ecovacs Robotics Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 193,382 USD | 4,352 | |||||||||||||||
Edifier Technology Co., Ltd. | 08/07/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 53 USD | (6 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Editas Medicine, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 230,554 USD | $ | (69,150 | ) | |||||||||||||
Electric Connector Technology Co., Ltd. | 10/02/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 141,943 USD | 9,101 | |||||||||||||||
Electric Connector Technology Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 118,475 USD | 8,058 | |||||||||||||||
Element Solutions, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 543,678 USD | 27,395 | |||||||||||||||
Eli Lilly & Company Ltd. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 70,795 USD | 1,293 | |||||||||||||||
Elion Energy Co, Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 6,906 USD | (807 | ) | ||||||||||||||
Elion Energy Co, Ltd. | 09/08/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 9,846 USD | (1,166 | ) | ||||||||||||||
EmbedWay Technologies Shanghai Corp. | 09/06/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 18,117 USD | (766 | ) | ||||||||||||||
EmbedWay Technologies Shanghai Corp. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 12,502 USD | (432 | ) | ||||||||||||||
EMCOR Group, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 877,404 USD | 28,906 | |||||||||||||||
Emei Shan Tourism Co., Ltd. | 09/18/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 84,235 USD | (3,057 | ) | ||||||||||||||
Emei Shan Tourism Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 63,324 USD | (2,586 | ) | ||||||||||||||
Emergent BioSolutions, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 42,585 USD | (1,728 | ) | ||||||||||||||
Enbridge, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 48,868 USD | 723 | |||||||||||||||
ENC Data Technology Co., Ltd. | 10/11/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 16,127 USD | 311 | |||||||||||||||
ENC Data Technology Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 10,817 USD | 308 | |||||||||||||||
Encompass Health Corp. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 62,392 USD | 42 | |||||||||||||||
Enn Natural Gas Co., Ltd. | 07/12/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 252,730 USD | (29,822 | ) | ||||||||||||||
Enn Natural Gas Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 206,469 USD | (24,095 | ) | ||||||||||||||
Entegris, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 1,145,155 USD | (12,810 | ) | ||||||||||||||
Epoxy Base Electronic Material Corp., Ltd. | 07/25/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 79 USD | (20 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Equifax, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 1,152,685 USD | $ | (26,486 | ) | |||||||||||||
Equitable Holdings, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 2,746,280 USD | 151,682 | |||||||||||||||
Espressif Systems Shanghai Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 567 USD | 16 | |||||||||||||||
Essential Utilities, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 35,137 USD | (761 | ) | ||||||||||||||
Eternal Asia Supply Chain Management Ltd. | 09/06/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 276,678 USD | (17,269 | ) | ||||||||||||||
Eternal Asia Supply Chain Management Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 194,902 USD | (15,187 | ) | ||||||||||||||
Euronet Worldwide, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 39,616 USD | 859 | |||||||||||||||
Europcar Mobility Group | 08/02/23 | M | 0.06 | % | JPMorgan Chase Bank, N.A. | 7,542,861 EUR | 3,495 | |||||||||||||||
Eve Energy Co., Ltd. | 10/02/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 373,881 USD | 26,091 | |||||||||||||||
Eve Energy Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 153,206 USD | 10,767 | |||||||||||||||
Everbright Jiabao Co., Ltd. | 10/11/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 9,048 USD | (14 | ) | ||||||||||||||
Everbright Jiabao Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 6,194 USD | 1 | |||||||||||||||
Everest Re Group, Ltd. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 162,434 USD | (2,185 | ) | ||||||||||||||
Eversource Energy | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 952,355 USD | (19,392 | ) | ||||||||||||||
Exact Sciences Corp. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 1,181,863 USD | (113,395 | ) | ||||||||||||||
eXp World Holdings, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 349,254 USD | (34,435 | ) | ||||||||||||||
Expedia Group, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 227,396 USD | (4,164 | ) | ||||||||||||||
Expeditors International of Washington, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 640,221 USD | (11,453 | ) | ||||||||||||||
Eyebright Medical Technology Co., Ltd. | 08/11/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 369,801 USD | 24,077 | |||||||||||||||
Eyebright Medical Technology Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 284,916 USD | 18,738 | |||||||||||||||
F.N.B. Corp. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 73,211 USD | 6,444 | |||||||||||||||
F5 Networks, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 802,639 USD | 3,613 | |||||||||||||||
Fair Isaac Corp. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 6,297,251 USD | (297,262 | ) |
See Notes to Consolidated Financial Statements.
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September 30, 2021 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Fangda Carbon New Material Co., Ltd. | 09/08/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 463,251 USD | $ | (10,736 | ) | |||||||||||||
Fangda Carbon New Material Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 171,157 USD | (7,021 | ) | ||||||||||||||
Fanli Digital Technology Co., Ltd. | 10/11/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 4,778 USD | 19 | |||||||||||||||
Fanli Digital Technology Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 3,207 USD | 27 | |||||||||||||||
Far East Smarter Energy Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 102,105 USD | (376 | ) | ||||||||||||||
Far East Smarter Energy Co., Ltd. | 09/01/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 123,904 USD | 883 | |||||||||||||||
Farasis Energy Gan Zhou Co., Ltd. | 08/18/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 124,509 USD | (9,764 | ) | ||||||||||||||
Farasis Energy Gan Zhou Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 106,171 USD | (8,397 | ) | ||||||||||||||
Farfetch Ltd. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 1,559,041 USD | (41,064 | ) | ||||||||||||||
Fastenal Co. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 597,575 USD | (15,105 | ) | ||||||||||||||
Fate Therapeutics, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 93,883 USD | (12,209 | ) | ||||||||||||||
FedEx Corp. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 6,565,363 USD | (472,171 | ) | ||||||||||||||
Ferrari NV | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 27,729 USD | (961 | ) | ||||||||||||||
Ferro Corp. | 05/15/23 | M | 0.58 | % | JPMorgan Chase Bank, N.A. | 17,552,302 USD | (8,625 | ) | ||||||||||||||
Fibocom Wireless, Inc. | 05/10/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 589 USD | 11 | |||||||||||||||
Fibocom Wireless, Inc. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 574 USD | 26 | |||||||||||||||
Fidelity National Financial, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 479,426 USD | (8,706 | ) | ||||||||||||||
Fidelity National Information Services, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 2,517,544 USD | (8,137 | ) | ||||||||||||||
Figs, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 89,627 USD | (1,308 | ) | ||||||||||||||
First Horizon Corp. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 324,644 USD | 31,961 | |||||||||||||||
First Republic Bank | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 955,481 USD | (16,734 | ) | ||||||||||||||
Five9, Inc. | 07/21/23 | M | 0.58 | % | JPMorgan Chase Bank, N.A. | 19,414,015 USD | (1,189,917 | ) | ||||||||||||||
Flagstar Bancorp, Inc. | 04/28/23 | M | 0.58 | % | JPMorgan Chase Bank, N.A. | 92,487 USD | 2,776 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Flowserve Corp. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 79,574 USD | $ | 999 | ||||||||||||||
FMC Corp. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 322,328 USD | (6,079 | ) | ||||||||||||||
Focus Lightings Tech Co., Ltd. | 09/06/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 2,315 USD | (1,151 | ) | ||||||||||||||
Focus Lightings Tech Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 1,158 USD | (576 | ) | ||||||||||||||
Focus Media Information Technology Co., Ltd. | 09/27/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 9,930 USD | 39 | |||||||||||||||
Focus Media Information Technology Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 6,706 USD | 91 | |||||||||||||||
Focus Technology Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 163 USD | (4 | ) | ||||||||||||||
Focused Photonics Hangzhou, Inc. | 10/11/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 117,564 USD | (382 | ) | ||||||||||||||
Focused Photonics Hangzhou, Inc. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 80,223 USD | 35 | |||||||||||||||
Fortune Brands Home & Security, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 1,722,201 USD | (44,235 | ) | ||||||||||||||
Foryou Corp. | 07/24/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 5,121 USD | (88 | ) | ||||||||||||||
Foryou Corp. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 3,389 USD | (34 | ) | ||||||||||||||
Foshan Haitian Flavouring & Food Co., Ltd. | 06/12/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 1,661 USD | 211 | |||||||||||||||
Fox Factory Holdings Corp. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 17,804 USD | (460 | ) | ||||||||||||||
Franco-Nevada Corp. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 752,116 USD | (9,031 | ) | ||||||||||||||
Franklin Resources, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 721,708 USD | (25,636 | ) | ||||||||||||||
Freedom Holding Corp. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 937,834 USD | 17,202 | |||||||||||||||
Freshpet, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 2,121,417 USD | (111,628 | ) | ||||||||||||||
FS KKR Capital Corp. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 23,269 USD | (39 | ) | ||||||||||||||
FTI Consulting, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 1,282,441 USD | 10,410 | |||||||||||||||
fuboTV, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 34,217 USD | 429 | |||||||||||||||
Fujian Cement, Inc. | 09/08/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 502,411 USD | (34,011 | ) | ||||||||||||||
Fujian Cement, Inc. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 422,881 USD | (28,706 | ) | ||||||||||||||
Fujian Funeng Co., Ltd. | 09/08/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 6,508 USD | (298 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Fujian Funeng Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 4,267 USD | $ | (33 | ) | |||||||||||||
Fujian Longking Co., Ltd. | 10/11/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 244,241 USD | (8,019 | ) | ||||||||||||||
Fujian Longking Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 170,041 USD | (5,418 | ) | ||||||||||||||
Fujian Raynen Technology Co., Ltd. | 09/11/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 38,487 USD | (1,604 | ) | ||||||||||||||
Fujian Raynen Technology Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 26,573 USD | (1,293 | ) | ||||||||||||||
Fujian Star-Net Communication Co., Ltd. | 06/21/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 566,550 USD | (5,759 | ) | ||||||||||||||
Fujian Star-Net Communication Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 418,327 USD | (261 | ) | ||||||||||||||
Fushun Special Steel Co., Ltd. | 04/26/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 7,926 USD | (188 | ) | ||||||||||||||
Fushun Special Steel Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 5,516 USD | (133 | ) | ||||||||||||||
Fuyao Glass Industry Group Co., Ltd. | 08/28/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 232,357 USD | (7,447 | ) | ||||||||||||||
Fuyao Glass Industry Group Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 130,347 USD | (4,162 | ) | ||||||||||||||
Gamesys Group PLC | 04/19/23 | M | 0.00 | % | JPMorgan Chase Bank, N.A. | 4,103,354 GBP | 14,983 | |||||||||||||||
Gaming and Leisure Properties, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 136,694 USD | (1,949 | ) | ||||||||||||||
Ganfeng Lithium Co., Ltd. | 07/10/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 21,315 USD | (1,143 | ) | ||||||||||||||
Ganfeng Lithium Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 23,621 USD | (928 | ) | ||||||||||||||
Gansu Jingyuan Coal Industry and Electricity Power Co., Ltd. | 09/08/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 21,563 USD | 1,194 | |||||||||||||||
Gansu Jiu Steel Group Hongxing Iron & Steel Co, Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 388,119 USD | (48,569 | ) | ||||||||||||||
Gansu Jiu Steel Group Hongxing Iron & Steel Co., Ltd. | 07/17/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 435,869 USD | (53,040 | ) | ||||||||||||||
Gansu Shangfeng Cement Co., Ltd. | 10/02/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 157,833 USD | (7,849 | ) | ||||||||||||||
Gansu Shangfeng Cement Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 107,735 USD | (4,915 | ) | ||||||||||||||
Gem Co., Ltd. | 10/02/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 96,541 USD | 170 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Gem Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 80,771 USD | $ | 196 | ||||||||||||||
Gem Year Industrial Co., Ltd. | 02/28/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 10 USD | (1 | ) | ||||||||||||||
Gem Year Industrial Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 1 USD | — | |||||||||||||||
Gemdale Corp. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 125,054 USD | (2,172 | ) | ||||||||||||||
Genius Sports Ltd. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 47,373 USD | (1,618 | ) | ||||||||||||||
Genpact Ltd. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 33,167 USD | (53 | ) | ||||||||||||||
Gentex Corp. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 41,209 USD | 1,302 | |||||||||||||||
Geovis Technology Co., Ltd. | 09/27/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 37,346 USD | 71 | |||||||||||||||
Geovis Technology Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 25,577 USD | 24 | |||||||||||||||
Geron Co., Ltd. | 09/06/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 7,134 USD | (690 | ) | ||||||||||||||
Geron Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 4,975 USD | (483 | ) | ||||||||||||||
Gifore Agricultural Science & Technology Service Co., Ltd. | 10/11/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 18,829 USD | 166 | |||||||||||||||
Gifore Agricultural Science & Technology Service Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 12,919 USD | 122 | |||||||||||||||
Gigadevice Semiconductor, Inc. | 01/18/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 179,371 USD | (6,159 | ) | ||||||||||||||
Gigadevice Semiconductor, Inc. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 126,656 USD | (3,433 | ) | ||||||||||||||
Global Payments, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 4,232,827 USD | 27,033 | |||||||||||||||
Globe Life, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 488,813 USD | 13,851 | |||||||||||||||
Goertek, Inc. | 09/05/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 36,847 USD | (1,498 | ) | ||||||||||||||
Goertek, Inc. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 26,929 USD | (917 | ) | ||||||||||||||
Goldcup Electric Apparatus Co., Ltd. | 09/27/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 7,197 USD | (299 | ) | ||||||||||||||
Goldcup Electric Apparatus Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 4,941 USD | (222 | ) | ||||||||||||||
Goldenmax International Technology Ltd. | 09/06/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 171,535 USD | (7,329 | ) | ||||||||||||||
Goldenmax International Technology Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 120,317 USD | (4,852 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Goldman Sachs Fusion Swap | 01/30/23 | M | 0.23 | % | Goldman Sachs International | 245,290,911 USD | $ | 2,302,377 | ||||||||||||||
Goldman Sachs Group, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 5,753,639 USD | (118,724 | ) | ||||||||||||||
Goldman Sachs Intraday Momentum ES Series 4 Excess Return Strategy | 11/03/22 | M | 0.45 | % | Goldman Sachs International | 7,953,272 USD | 49,643 | |||||||||||||||
Goldman Sachs Intraday Momentum NQ Series 4 Excess Return Strategy | 11/03/22 | M | 0.45 | % | Goldman Sachs International | 40,849,687 USD | 351,313 | |||||||||||||||
Goldman Sachs Intraday Momentum RT Series 4 Excess Return Strategy | 11/03/22 | M | 0.45 | % | Goldman Sachs International | 3,138,658 USD | 20,220 | |||||||||||||||
Gongniu Group Co., Ltd. | 05/10/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 17,417 USD | 267 | |||||||||||||||
Gongniu Group Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 11,990 USD | 642 | |||||||||||||||
GoodRx Holdings, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 120,327 USD | (7,481 | ) | ||||||||||||||
Gotion High-tech Co., Ltd. | 10/02/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 89,614 USD | (1,427 | ) | ||||||||||||||
Gotion High-tech Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 75,113 USD | (889 | ) | ||||||||||||||
Graco, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 1,229,935 USD | (61,366 | ) | ||||||||||||||
Grandjoy Holdings Group Co., Ltd. | 10/02/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 25,263 USD | (41 | ) | ||||||||||||||
Grandjoy Holdings Group Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 10,502 USD | 115 | |||||||||||||||
GrandVision NV | 07/05/23 | M | 0.06 | % | JPMorgan Chase Bank, N.A. | 1,138,726 EUR | (2,322 | ) | ||||||||||||||
Great Chinasoft Technology Co., Ltd. | 09/27/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 26,147 USD | 500 | |||||||||||||||
Great Chinasoft Technology Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 21,955 USD | 429 | |||||||||||||||
Great Wall of Cultural Group Holding Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 69 USD | (4 | ) | ||||||||||||||
Great Western Bancorp, Inc. | 09/20/23 | M | 0.58 | % | JPMorgan Chase Bank, N.A. | 3,198,350 USD | 166,078 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
GreenTech Environmental Co., Ltd. | 09/27/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 24,739 USD | $ | (2,336 | ) | |||||||||||||
GreenTech Environmental Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 16,689 USD | (1,513 | ) | ||||||||||||||
Grocery Outlet Holding Corp. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 4,293 USD | (1 | ) | ||||||||||||||
Group 1 Automotive, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 36,447 USD | (2,440 | ) | ||||||||||||||
Gs Optimized Cn Basket Swap | 10/07/21 | M | 0.00 | % | Goldman Sachs International | 86,894,520 USD | (3,614,803 | ) | ||||||||||||||
GS Custom Basket Swap—GSCBBXRT | 10/03/23 | M | 0.45 | % | Goldman Sachs International | 25,256,734 USD | (461,698 | ) | ||||||||||||||
GS Custom Basket Swap—GSCBKWB2 | 07/05/23 | M | 0.53 | % | Goldman Sachs International | 5,210,341 USD | (26,284 | ) | ||||||||||||||
Guangdong Biolight Meditech Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 52 USD | (3 | ) | ||||||||||||||
Guangdong Champion Asia Electronics Co., Ltd. | 08/04/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 6,993 USD | 108 | |||||||||||||||
Guangdong Champion Asia Electronics Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 4,981 USD | 74 | |||||||||||||||
Guangdong Dcenti Auto-Parts Stock Co., Ltd. | 10/11/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 7,818 USD | 191 | |||||||||||||||
Guangdong Dcenti Auto-Parts Stock Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 5,329 USD | 151 | |||||||||||||||
Guangdong Dowstone Technology Co., Ltd. | 09/06/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 340,051 USD | (26,244 | ) | ||||||||||||||
Guangdong Dowstone Technology Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 240,243 USD | (21,610 | ) | ||||||||||||||
Guangdong Ellington Electronics Technology Co., Ltd. | 09/13/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 7,230 USD | (254 | ) | ||||||||||||||
Guangdong Ellington Electronics Technology Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 4,980 USD | (177 | ) | ||||||||||||||
Guangdong Ellington Electronics Technology Co., Ltd. | 03/01/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 98 USD | (2 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Guangdong Fenghua Advanced A | 07/12/22 | M | 0.49 | % | Credit Suisse International | 10,044 USD | $ | 314 | ||||||||||||||
Guangdong Fenghua Advanced Technology Holding Co., Ltd. | 07/19/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 14,214 USD | 460 | |||||||||||||||
Guangdong Haid Group Co., Ltd. | 03/08/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 24,669 USD | 3,492 | |||||||||||||||
Guangdong Haid Group Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 16,451 USD | 2,323 | |||||||||||||||
Guangdong Huafeng New Energy Technology Co., Ltd. | 09/27/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 84,866 USD | (4,170 | ) | ||||||||||||||
Guangdong Huafeng New Energy Technology Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 58,400 USD | (3,173 | ) | ||||||||||||||
Guangdong Huiyun Titanium Industry Co., Ltd. | 08/07/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 302 USD | (46 | ) | ||||||||||||||
Guangdong Hybribio Biotech Co., Ltd. | 08/16/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 63,490 USD | (1,707 | ) | ||||||||||||||
Guangdong Hybribio Biotech Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 46,781 USD | (1,507 | ) | ||||||||||||||
Guangdong Jia Yuan Technology Co., Ltd. | 01/18/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 507,339 USD | 35,666 | |||||||||||||||
Guangdong Jia Yuan Technology Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 380,591 USD | 27,102 | |||||||||||||||
Guangdong Kinlong Hardware Products Co., Ltd. | 01/18/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 24,368 USD | 1,141 | |||||||||||||||
Guangdong Kinlong Hardware Products Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 24,290 USD | 1,219 | |||||||||||||||
Guangdong Orient Zirconic Ind Sci & Tech Co., Ltd. | 09/06/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 5,868 USD | (1,313 | ) | ||||||||||||||
Guangdong Orient Zirconic Ind Sci & Tech Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 1,845 USD | (414 | ) | ||||||||||||||
Guangdong Provincial Expressway Development Co., Ltd. | 09/06/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 98,532 USD | (1,262 | ) |
See Notes to Consolidated Financial Statements.
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September 30, 2021 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Guangdong Provincial Expressway Development Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 79,784 USD | $ | (794 | ) | |||||||||||||
GuangDong Rifeng Electric Cable Co., Ltd. | 06/20/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 59 USD | 1 | |||||||||||||||
Guangdong Sirio Pharma Co., Ltd. | 10/02/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 1,309 USD | (11 | ) | ||||||||||||||
Guangdong Sirio Pharma Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 1,278 USD | (25 | ) | ||||||||||||||
Guangdong South New Media Co., Ltd. | 01/18/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 178 USD | (8 | ) | ||||||||||||||
Guangdong Tapai Group Co., Ltd. | 09/06/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 79,828 USD | (12,709 | ) | ||||||||||||||
Guangdong Tapai Group Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 62,110 USD | (1,892 | ) | ||||||||||||||
Guangdong Vanward New Electric Co., Ltd. | 09/05/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 7,001 USD | (157 | ) | ||||||||||||||
Guangdong Vanward New Electric Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 4,929 USD | (113 | ) | ||||||||||||||
Guangdong Yizumi Precision Machinery Co., Ltd. | 09/06/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 6,234 USD | 120 | |||||||||||||||
Guangdong Yizumi Precision Machinery Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 4,418 USD | 83 | |||||||||||||||
Guangdong Zhongsheng Pharmaceutical Co., Ltd. | 09/06/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 315 USD | (14 | ) | ||||||||||||||
Guangdong Zhongsheng Pharmaceutical Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 2,539 USD | (132 | ) | ||||||||||||||
Guangshen Railway Co., Ltd. | 09/06/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 2,753 USD | (98 | ) | ||||||||||||||
Guangshen Railway Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 1,899 USD | (45 | ) | ||||||||||||||
Guangxi Guidong Electric Power Co., Ltd. | 09/06/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 11,433 USD | 610 | |||||||||||||||
Guangxi Guidong Electric Power Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 8,042 USD | 426 | |||||||||||||||
Guangxi Hechi Chemical Co., Ltd. | 10/11/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 3,764 USD | (54 | ) | ||||||||||||||
Guangxi Hechi Chemical Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 2,572 USD | (27 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Guangzhou Goaland Energy Conservation Tech Co., Ltd. | 10/11/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 65,586 USD | $ | 1,098 | ||||||||||||||
Guangzhou Goaland Energy Conservation Tech Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 45,342 USD | 869 | |||||||||||||||
Guangzhou GRG Metrology & Test Co., Ltd. | 03/22/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 11,454 USD | (345 | ) | ||||||||||||||
Guangzhou GRG Metrology & Test Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 7,409 USD | (4 | ) | ||||||||||||||
Guangzhou Holike Creative Home Co., Ltd. | 09/06/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 4,882 USD | (283 | ) | ||||||||||||||
Guangzhou Holike Creative Home Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 3,381 USD | (197 | ) | ||||||||||||||
Guangzhou Jinyi Media Corp | 09/18/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 6,565 USD | — | |||||||||||||||
Guangzhou Jinyi Media Corp | 07/12/22 | M | 0.49 | % | Credit Suisse International | 4,572 USD | (11 | ) | ||||||||||||||
Guangzhou KDT Machinery Co., Ltd. | 06/21/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 43,938 USD | (3,503 | ) | ||||||||||||||
Guangzhou KDT Machinery Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 34,112 USD | (3,325 | ) | ||||||||||||||
Guangzhou Port Co., Ltd. | 09/27/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 26,812 USD | (452 | ) | ||||||||||||||
Guangzhou Port Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 22,402 USD | (357 | ) | ||||||||||||||
Guangzhou Restaurant Group Co., Ltd. | 03/13/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 26,211 USD | 47 | |||||||||||||||
Guangzhou Restaurant Group Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 18,012 USD | (91 | ) | ||||||||||||||
Guangzhou Tinci Materials Technology Co., Ltd. | 01/18/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 315,219 USD | 19,051 | |||||||||||||||
Guangzhou Tinci Materials Technology Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 271,303 USD | 11,179 | |||||||||||||||
Guizhou Panjiang Refined Coal Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 68,828 USD | 999 | |||||||||||||||
Guizhou Panjiang Refined Coal Co., Ltd. | 08/28/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 149,187 USD | 5,659 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Guizhou Taiyong-Changzheng Technology Co., Ltd. | 10/11/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 14,460 USD | $ | 996 | ||||||||||||||
Guizhou Taiyong-Changzheng Technology Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 9,845 USD | 690 | |||||||||||||||
Guizhou Transportation Planning Survey & Design Academe Co., Ltd. | 08/14/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 71 USD | (4 | ) | ||||||||||||||
Guizhou Yibai Pharmaceutical Co., Ltd. | 09/06/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 7,284 USD | (150 | ) | ||||||||||||||
Guizhou Yibai Pharmaceutical Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 5,134 USD | (104 | ) | ||||||||||||||
Guoyuan Securities Co., Ltd. | 09/27/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 123,388 USD | (2,115 | ) | ||||||||||||||
Guoyuan Securities Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 69,501 USD | (1,381 | ) | ||||||||||||||
Hainan Haide Capital Management Co., Ltd. | 09/06/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 37,730 USD | (190 | ) | ||||||||||||||
Hainan Haide Capital Management Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 25,680 USD | 17 | |||||||||||||||
Hainan Strait Shipping Co., Ltd. | 10/02/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 82,276 USD | (3,926 | ) | ||||||||||||||
Hainan Strait Shipping Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 58,994 USD | (2,746 | ) | ||||||||||||||
Hainan Yatai Industrial Development Co., Ltd. | 10/11/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 6,518 USD | (17 | ) | ||||||||||||||
Hainan Yatai Industrial Development Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 4,462 USD | (6 | ) | ||||||||||||||
Halliburton Co. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 22,110 USD | 2,429 | |||||||||||||||
Halozyme Therapeutics, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 1,208,274 USD | (3,820 | ) | ||||||||||||||
Hangcha Group Co., Ltd. | 03/21/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 210 USD | (28 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Hangjin Technology Co., Ltd. | 08/01/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 47,871 USD | $ | (1,666 | ) | |||||||||||||
Hangjin Technology Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 37,561 USD | (3,483 | ) | ||||||||||||||
Hangzhou Binjiang Real Estate | 03/15/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 74,395 USD | (3,353 | ) | ||||||||||||||
Hangzhou Binjiang Real Estate Group Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 59,244 USD | (1,232 | ) | ||||||||||||||
Hangzhou Boiler Group Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 8 USD | — | |||||||||||||||
Hangzhou Cable Co., Ltd. | 10/11/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 20,246 USD | 1,134 | |||||||||||||||
Hangzhou Cable Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 14,619 USD | 808 | |||||||||||||||
Hangzhou CNCR-IT Co., Ltd. | 09/06/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 2,319 USD | (44 | ) | ||||||||||||||
Hangzhou CNCR-IT Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 1,657 USD | (32 | ) | ||||||||||||||
Hangzhou First Applied Material Co., Ltd. | 01/18/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 1,459 USD | 110 | |||||||||||||||
Hangzhou First Applied Material Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 1,918 USD | 45 | |||||||||||||||
Hangzhou Hopechart IoT Technology Co., Ltd. | 01/30/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 9,013 USD | (281 | ) | ||||||||||||||
Hangzhou Hopechart IoT Technology Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 6,343 USD | (211 | ) | ||||||||||||||
Hangzhou Iron & Steel Co. | 09/06/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 282,246 USD | (13,684 | ) | ||||||||||||||
Hangzhou Iron & Steel Co. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 219,404 USD | (8,928 | ) | ||||||||||||||
Hangzhou Juheshun New Material Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 246,299 USD | (30,357 | ) | ||||||||||||||
Hangzhou Juheshun New Material Co., Ltd. | 08/30/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 270,111 USD | (33,209 | ) | ||||||||||||||
Hangzhou Oxygen Plant Group Co., Ltd. | 08/29/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 5,582 USD | (169 | ) | ||||||||||||||
Hangzhou Oxygen Plant Group Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 3,574 USD | (73 | ) | ||||||||||||||
Hangzhou Raycloud Technology Co., Ltd. | 06/05/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 29,641 USD | (1,783 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Hangzhou Raycloud Technology Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 20,491 USD | $ | (1,338 | ) | |||||||||||||
Hangzhou Robam Appliances Co., Ltd. | 03/14/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 522,838 USD | 5,438 | |||||||||||||||
Hangzhou Robam Appliances Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 261,525 USD | 1,044 | |||||||||||||||
Hangzhou Silan Microelectronics Co., Ltd. | 10/11/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 152,504 USD | (2,317 | ) | ||||||||||||||
Hangzhou Silan Microelectronics Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 64,004 USD | (2,163 | ) | ||||||||||||||
Hangzhou Weiguang Electronic Co. Ltd. | 09/06/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 1,347 USD | (56 | ) | ||||||||||||||
Hangzhou Weiguang Electronic Co. Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 808 USD | (34 | ) | ||||||||||||||
Hangzhou Zhongya Machinery Co., Ltd. | 07/31/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 12,309 USD | 141 | |||||||||||||||
Hangzhou Zhongya Machinery Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 8,399 USD | 77 | |||||||||||||||
Hanyu Group Joint-Stock Co, Ltd. | 04/26/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 52 USD | (5 | ) | ||||||||||||||
Harbin Electric Corporation Jiamusi Electric Machine Co., Ltd. | 10/11/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 72,621 USD | (6,208 | ) | ||||||||||||||
Harbin Electric Corporation Jiamusi Electric Machine Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 49,389 USD | (3,815 | ) | ||||||||||||||
Harbin Gloria Pharmaceuticals Co., Ltd. | 09/06/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 1,682 USD | (125 | ) | ||||||||||||||
Harbin Gloria Pharmaceuticals Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 1,156 USD | (78 | ) | ||||||||||||||
Harbin Hatou Investment Co., Ltd. | 10/11/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 89,357 USD | (2,203 | ) | ||||||||||||||
Harbin Hatou Investment Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 61,029 USD | (1,402 | ) | ||||||||||||||
Harbin Pharmaceutical Group Co., Ltd. | 08/25/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 214,431 USD | 2,238 | |||||||||||||||
Harbin Pharmaceutical Group Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 202,062 USD | (538 | ) | ||||||||||||||
Harbin Xinguang Optic-Electronics Technology Co., Ltd | 09/01/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 127,368 USD | (9,253 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Harbin Xinguang Optic-Electronics Technology Co., Ltd | 07/12/22 | M | 0.49 | % | Credit Suisse International | 107,261 USD | $ | (7,847 | ) | |||||||||||||
Harley-Davidson, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 1,130,865 USD | (42,889 | ) | ||||||||||||||
Hasbro, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 441,950 USD | (17,620 | ) | ||||||||||||||
Hbis Resources Co., Ltd. | 06/21/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 233,634 USD | (26,494 | ) | ||||||||||||||
Hbis Resources Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 227,028 USD | (32,803 | ) | ||||||||||||||
Healthpeak Properties, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 2,486,655 USD | (69,600 | ) | ||||||||||||||
Healthquity, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 757,341 USD | 44,000 | |||||||||||||||
Hebei Chengde Lolo Co. | 08/22/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 79 USD | 1 | |||||||||||||||
Hebei Chengde Lolo Co. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 2,476 USD | 7 | |||||||||||||||
Hebei Yangyuan Zhihui Beverage Co., Ltd. | 08/29/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 469,183 USD | (1,806 | ) | ||||||||||||||
Hebei Yangyuan Zhihui Beverage Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 409,615 USD | (2,637 | ) | ||||||||||||||
Hefei Meiya Optoelectronic Technology, Inc. | 09/18/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 28,835 USD | (1,175 | ) | ||||||||||||||
Hefei Meiya Optoelectronic Technology, Inc. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 20,466 USD | (1,257 | ) | ||||||||||||||
Hefei Urban Construction Development Co., Ltd. | 09/27/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 23,072 USD | (1,234 | ) | ||||||||||||||
Hefei Urban Construction Development Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 209,144 USD | (14,908 | ) | ||||||||||||||
Helico Corp. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 1,219,909 USD | 53,296 | |||||||||||||||
Henan Mingtai Aluminum Industry Co., Ltd. | 06/09/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 141,652 USD | 4,308 | |||||||||||||||
Henan Mingtai Aluminum Industry Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 116,615 USD | 4,216 | |||||||||||||||
Henan Pinggao Electric Co., Ltd. | 09/27/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 206,909 USD | 18,783 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Henan Pinggao Electric Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 169,390 USD | $ | 15,374 | ||||||||||||||
Henan Shenhuo Coal & Power Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 541,452 USD | (43,256 | ) | ||||||||||||||
Henan Yuguang Gold & Lead Co Co., Ltd. | 04/11/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 55 USD | (8 | ) | ||||||||||||||
Henan Zhongyuan Expressway Co., Ltd. | 09/06/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 1,651 USD | (86 | ) | ||||||||||||||
Henan Zhongyuan Expressway Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 1,193 USD | (46 | ) | ||||||||||||||
Hengdian Entertainment Co., Ltd. | 08/28/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 100,721 USD | 699 | |||||||||||||||
Hengdian Entertainment Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 80,574 USD | 748 | |||||||||||||||
Hengtong Optic-electric Co., Ltd. | 09/15/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 22,262 USD | 375 | |||||||||||||||
Hengtong Optic-electric Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 16,215 USD | 229 | |||||||||||||||
Hengtong Optic-electric Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 23,126 USD | (276 | ) | ||||||||||||||
Hengtong Optic-electric Co., Ltd. | 07/11/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 32,621 USD | (375 | ) | ||||||||||||||
Herman Miller, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 679,160 USD | (40,597 | ) | ||||||||||||||
Hershey Co. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 407,765 USD | (8,335 | ) | ||||||||||||||
Hess Corp. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 2,602,751 USD | 416,200 | |||||||||||||||
Hichain Logistics Co., Ltd. | 08/02/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 1,402 USD | 107 | |||||||||||||||
Hichain Logistics Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 701 USD | 53 | |||||||||||||||
Hill-Rom Holdings, Inc. | 09/07/23 | M | 0.58 | % | JPMorgan Chase Bank, N.A. | 23,291,505 USD | (3,105 | ) | ||||||||||||||
Hisense Home Appliances Group Co., Ltd. | 04/24/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 2 USD | — | |||||||||||||||
Hithink RoyalFlush Information Network Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 4,110 USD | (400 | ) |
See Notes to Consolidated Financial Statements.
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September 30, 2021 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Hithink RoyalFlush Information Network Co., Ltd. | 01/25/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 1,288 USD | $ | (120 | ) | |||||||||||||
HNA Technology Co., Ltd. | 09/27/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 236 USD | 10 | |||||||||||||||
Honeywell International, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 2,870,627 USD | (35,840 | ) | ||||||||||||||
Hongda Xingye Co., Ltd. | 09/27/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 223,436 USD | 2,281 | |||||||||||||||
Hongda Xingye Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 165,718 USD | (11,313 | ) | ||||||||||||||
Hongfa Technology Co., Ltd. | 09/06/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 8,874 USD | (186 | ) | ||||||||||||||
Hongfa Technology Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 14,850 USD | (371 | ) | ||||||||||||||
Hoshine Silicon Industry Co., Ltd. | 05/03/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 75 USD | 8 | |||||||||||||||
Howmet Aerospace, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 103,697 USD | (1,611 | ) | ||||||||||||||
HP, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 230,765 USD | 4,559 | |||||||||||||||
Huadian Energy Co., Ltd. | 09/11/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 2,145 USD | 128 | |||||||||||||||
Huadian Energy Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 43 USD | 1 | |||||||||||||||
Huadian Heavy Industries Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 18,880 USD | (1,425 | ) | ||||||||||||||
Huadian Heavy Industries Co., Ltd. | 10/11/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 27,648 USD | (2,245 | ) | ||||||||||||||
Huafa Industrial Co., Ltd. | 09/05/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 19,808 USD | (444 | ) | ||||||||||||||
Huafa Industrial Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 8,919 USD | (214 | ) | ||||||||||||||
Huafon Chemical Co., Ltd. | 09/06/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 29,197 USD | (3,208 | ) | ||||||||||||||
Huafon Chemical Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 38,199 USD | (4,489 | ) | ||||||||||||||
Huafu Fashion Co., Ltd. | 09/01/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 7,166 USD | (788 | ) | ||||||||||||||
Huafu Fashion Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 5,052 USD | (546 | ) | ||||||||||||||
Huagong Tech Co., Ltd. | 09/06/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 8,307 USD | 281 | |||||||||||||||
Huagong Tech Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 6,359 USD | 874 | |||||||||||||||
Huaibei Mining Holdings Co., Ltd. | 09/11/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 330,506 USD | (16,672 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Huaibei Mining Holdings Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 269,781 USD | $ | (21,955 | ) | |||||||||||||
Huaihe Energy Group Co., Ltd. | 10/11/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 103,949 USD | (2,207 | ) | ||||||||||||||
Huaihe Energy Group Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 85,197 USD | (68 | ) | ||||||||||||||
Huaiji Dengyun Auto-Parts Holding Co., Ltd. | 10/11/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 3,513 USD | (35 | ) | ||||||||||||||
Huaiji Dengyun Auto-Parts Holding Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 2,396 USD | (16 | ) | ||||||||||||||
Huajing Co., Ltd. | 10/11/23 | M | 0.00 | % | JPMorgan Chase Bank, N.A. | 177,630 USD | (2,389 | ) | ||||||||||||||
Huajing Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 174,624 USD | (2,368 | ) | ||||||||||||||
Huaneng Lancang River Hydropower, Inc. | 10/11/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 22,941 USD | 2,432 | |||||||||||||||
Huaneng Lancang River Hydropower, Inc. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 4,404 USD | 486 | |||||||||||||||
Huarui Electrical Appliance Co., Ltd. | 10/11/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 15,848 USD | 97 | |||||||||||||||
Huarui Electrical Appliance Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 10,877 USD | 85 | |||||||||||||||
Huasheng Technology Co., Ltd. | 08/23/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 4,704 USD | (105 | ) | ||||||||||||||
Huasheng Technology Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 2,941 USD | (67 | ) | ||||||||||||||
Huasi Holding Co., Ltd. | 10/11/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 7,278 USD | 57 | |||||||||||||||
Huasi Holding Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 4,975 USD | 37 | |||||||||||||||
Huatai Securities Co., Ltd. | 09/27/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 138,850 USD | (7,129 | ) | ||||||||||||||
Huatai Securities Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 95,491 USD | (5,311 | ) | ||||||||||||||
Huayi Brothers Media Corp. | 09/27/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 32,975 USD | (811 | ) | ||||||||||||||
Huayi Brothers Media Corp. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 27,672 USD | (716 | ) | ||||||||||||||
Huayu Automotive Systems Co., Ltd. | 09/05/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 198,169 USD | (2,886 | ) | ||||||||||||||
Huayu Automotive Systems Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 133,075 USD | 410 | |||||||||||||||
Hubei Century Network Technology Co., Ltd. | 09/06/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 4,426 USD | (93 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Hubei Century Network Technology Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 3,099 USD | $ | (66 | ) | |||||||||||||
Hubei Chutian Smart Communication Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 19 USD | (1 | ) | ||||||||||||||
Hubei Guochuang Hi-tech Material Co., Ltd. | 09/27/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 17,825 USD | (1,026 | ) | ||||||||||||||
Hubei Guochuang Hi-tech Material Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 15,038 USD | (970 | ) | ||||||||||||||
Hubei Jumpcan Pharmaceutical | 09/06/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 44,440 USD | (1,257 | ) | ||||||||||||||
Hubei Jumpcan Pharmaceutical | 07/12/22 | M | 0.49 | % | Credit Suisse International | 30,430 USD | (693 | ) | ||||||||||||||
Hubei Xingfa Chemicals Group Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 203,814 USD | (25,445 | ) | ||||||||||||||
Hubei Xingfa Chemicals Group Co., Ltd. | 01/18/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 230,534 USD | 14,879 | |||||||||||||||
Hubei Zhenhua Chemical Co., Ltd. | 09/19/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 73,708 USD | (15 | ) | ||||||||||||||
Hubei Zhenhua Chemical Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 52,539 USD | (33 | ) | ||||||||||||||
Huizhou China Eagle Electronic Technology Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 127 USD | (9 | ) | ||||||||||||||
Humana, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 524,248 USD | (9,402 | ) | ||||||||||||||
Humanwell Healthcare Group Co. Ltd. | 10/10/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 210,427 USD | 1,401 | |||||||||||||||
Humanwell Healthcare Group Co. Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 166,675 USD | 1,165 | |||||||||||||||
Hunan TV & Broadcast Intermediary Co., Ltd. | 09/06/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 167,339 USD | (7,316 | ) | ||||||||||||||
Hunan TV & Broadcast Intermediary Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 137,239 USD | (5,955 | ) | ||||||||||||||
Hunan Valin Steel Co., Ltd. | 06/21/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 5,045 USD | (736 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Hunan Valin Steel Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 3,630 USD | $ | (552 | ) | |||||||||||||
Hunan Yussen Energy Technology Co., Ltd. | 08/01/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 13 USD | (2 | ) | ||||||||||||||
Hunan Yussen Energy Technology Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 529 USD | (75 | ) | ||||||||||||||
Hunan Zhongke Electric Co., Ltd. | 08/30/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 382,923 USD | (21,150 | ) | ||||||||||||||
Hunan Zhongke Electric Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 263,486 USD | (12,229 | ) | ||||||||||||||
Hundsun Technologies, Inc. | 01/18/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 29,582 USD | 1,619 | |||||||||||||||
Hundsun Technologies, Inc. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 22,183 USD | 1,643 | |||||||||||||||
HyUnion Holding Co., Ltd. | 10/02/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 96,851 USD | (2,602 | ) | ||||||||||||||
HyUnion Holding Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 80,708 USD | (1,778 | ) | ||||||||||||||
ICU Medical, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 1,676,320 USD | (43,127 | ) | ||||||||||||||
iFlytek Co., Ltd. | 07/17/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 111,430 USD | 2,357 | |||||||||||||||
iFlytek Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 82,199 USD | 2,118 | |||||||||||||||
II-VI, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 744,927 USD | (8,922 | ) | ||||||||||||||
Illinois Tool Works, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 341,774 USD | (11,373 | ) | ||||||||||||||
Illumina, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 6,892,106 USD | (437,229 | ) | ||||||||||||||
Imeik Technology Development Co., Ltd | 07/26/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 8,792 USD | 382 | |||||||||||||||
Inari Medical, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 588,432 USD | 31,091 | |||||||||||||||
Incyte Corp. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 476,157 USD | (337 | ) | ||||||||||||||
Indonesian Government Bond | 02/18/22 | 3M | 0.00 | % | Bank of America, N.A. | 80,241 USD | (1,440 | ) | ||||||||||||||
Indonesian Government Bond | 05/18/22 | 3M | 0.00 | % | Bank of America, N.A. | 8,229,955 USD | (43,237 | ) | ||||||||||||||
Indonesian Government Bond | 05/18/22 | 3M | 0.00 | % | Bank of America, N.A. | 2,691,996 USD | (17,080 | ) | ||||||||||||||
Industrial Bank Co., Ltd | 10/11/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 144,383 USD | (807 | ) | ||||||||||||||
Industrial Bank Co., Ltd | 07/12/22 | M | 0.49 | % | Credit Suisse International | 120,791 USD | (720 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Ingenic Semiconductor Co., Ltd. | 05/10/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 82,441 USD | $ | (912 | ) | |||||||||||||
Ingenic Semiconductor Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 65,560 USD | 61 | |||||||||||||||
Ingersoll Rand, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 264,792 USD | (14,909 | ) | ||||||||||||||
Inmode Ltd. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 35,429 USD | 2,361 | |||||||||||||||
Inmyshow Digital Technology Group Co., Ltd. | 08/22/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 11,678 USD | (958 | ) | ||||||||||||||
Inmyshow Digital Technology Group Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 8,719 USD | (647 | ) | ||||||||||||||
Inner Mongolia Furui Medical Science Co., Ltd. | 09/05/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 7,104 USD | (51 | ) | ||||||||||||||
Inner Mongolia Furui Medical Science Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 4,953 USD | (38 | ) | ||||||||||||||
Inner Mongolia Xingye Mining Co., Ltd. | 09/27/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 3,354 USD | (350 | ) | ||||||||||||||
Inner Mongolia Xingye Mining Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 2,850 USD | (312 | ) | ||||||||||||||
Inner Mongolia Yili Industrial Group Co., Ltd. | 05/03/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 311,603 USD | 5,181 | |||||||||||||||
Inner Mongolia Yili Industrial Group Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 217,043 USD | 4,064 | |||||||||||||||
Inner Mongolia Yuan Xing Energy Co., Ltd. | 06/13/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 45,486 USD | (4,662 | ) | ||||||||||||||
Inner Mongolia Yuan Xing Energy Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 36,547 USD | (6,526 | ) | ||||||||||||||
Inspire Medical Systems, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 196,849 USD | (5,655 | ) | ||||||||||||||
Installed Building Products, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 226,079 USD | (12,315 | ) | ||||||||||||||
International Paper Co. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 89,456 USD | 1,134 | |||||||||||||||
Interpublic Group of Cos., Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 267,789 USD | (5,892 | ) | ||||||||||||||
Inventronics (Hangzhou), Inc. | 04/24/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 276 USD | 1 | |||||||||||||||
Invesco Ltd. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 635,743 USD | 10,453 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Invitae Corp. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 596,698 USD | $ | (63,067 | ) | |||||||||||||
Inzone Group Co., Ltd. | 09/27/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 85 USD | (3 | ) | ||||||||||||||
Inzone Group Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 85 USD | (3 | ) | ||||||||||||||
Ionis Pharmaceuticals, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 292,464 USD | (3,181 | ) | ||||||||||||||
IQVIA Holdings, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 1,469,117 USD | (69,485 | ) | ||||||||||||||
iRay Technology Co., Ltd. | 05/31/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 5,755 USD | 726 | |||||||||||||||
iRay Technology Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 5,757 USD | 724 | |||||||||||||||
Iridium Communications, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 434,484 USD | (39,093 | ) | ||||||||||||||
iRobot Corp. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 49,947 USD | (1,199 | ) | ||||||||||||||
ITT, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 2,657,267 USD | 26,349 | |||||||||||||||
J.P. Morgan EMBI Global Core D SWAP | / /0 | M | 0.00 | % | JPMorgan Chase Bank, N.A. | 25,199,999 USD | (272,512 | ) | ||||||||||||||
JA Solar Technology Co., Ltd. | 07/21/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 39,863 USD | 6,062 | |||||||||||||||
JA Solar Technology Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 35,984 USD | 5,859 | |||||||||||||||
Jabil, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 26,804 USD | (1,705 | ) | ||||||||||||||
Jack Henry & Associates, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 178,837 USD | (2,965 | ) | ||||||||||||||
Jack Sewing Machine Co., Ltd. | 05/10/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 5,910 USD | 92 | |||||||||||||||
Jack Sewing Machine Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 7,538 USD | 114 | |||||||||||||||
Jade Bird Fire Co., Ltd. | 05/24/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 157 USD | (18 | ) | ||||||||||||||
Jade Bird Fire Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 22,723 USD | (499 | ) | ||||||||||||||
Jangho Group Co., Ltd. | 09/06/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 38,487 USD | (915 | ) | ||||||||||||||
Jangho Group Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 23,565 USD | (427 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Jason Furniture (Hangzhou) Co., Ltd. | 09/06/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 918 USD | $ | 11 | ||||||||||||||
Jason Furniture (Hangzhou) Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 927 USD | 1 | |||||||||||||||
Jazz Pharmaceuticals Plc | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 30,546 USD | (467 | ) | ||||||||||||||
JCET Group Co., Ltd. | 07/07/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 69,439 USD | (953 | ) | ||||||||||||||
JCET Group Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 50,317 USD | (193 | ) | ||||||||||||||
Jenkem Technology Co., Ltd. | 09/06/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 58,294 USD | 2,272 | |||||||||||||||
Jenkem Technology Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 32,192 USD | 1,584 | |||||||||||||||
JFrog Ltd. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 159,012 USD | (6,252 | ) | ||||||||||||||
Jiangsu Alcha Aluminum Group Co., Ltd. | 07/24/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 294,996 USD | 6,148 | |||||||||||||||
Jiangsu Alcha Aluminum Group Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 264,668 USD | (40,482 | ) | ||||||||||||||
Jiangsu Ankura Smart Transmission Engineering Technology Co., Ltd. | 08/14/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 214 USD | (24 | ) | ||||||||||||||
Jiangsu Baoli International Investment Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 13,864 USD | (26 | ) | ||||||||||||||
Jiangsu Baoli International Investment Co., Ltd. | 10/11/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 20,319 USD | (86 | ) | ||||||||||||||
Jiangsu Boamax Technologies Group Co., Ltd. | 09/11/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 1,269 USD | (62 | ) | ||||||||||||||
Jiangsu Boamax Technologies Group Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 850 USD | (46 | ) | ||||||||||||||
Jiangsu Changhai Composite Materials Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 37,773 USD | (8,301 | ) | ||||||||||||||
Jiangsu Changhai Composite Materials Co., Ltd. | 09/19/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 48,923 USD | (10,710 | ) | ||||||||||||||
Jiangsu Changshu Rural Commercial Bank Co., Ltd. | 09/11/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 97 USD | 3 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Jiangsu Changshu Rural Commercial Bank Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 97 USD | $ | 2 | ||||||||||||||
Jiangsu Dagang Co., Ltd. | 09/01/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 231,442 USD | (24,043 | ) | ||||||||||||||
Jiangsu Dagang Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 218,754 USD | (24,393 | ) | ||||||||||||||
Jiangsu Dingsheng New Energy Materials Co., Ltd. | 09/06/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 5,705 USD | (580 | ) | ||||||||||||||
Jiangsu Dingsheng New Energy Materials Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 2,140 USD | (218 | ) | ||||||||||||||
Jiangsu Dongzhu Landscape Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 92 USD | (1 | ) | ||||||||||||||
Jiangsu Eastern Shenghong Co., Ltd. | 09/01/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 339,195 USD | (17,185 | ) | ||||||||||||||
Jiangsu Eastern Shenghong Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 240,797 USD | (18,000 | ) | ||||||||||||||
Jiangsu Eazytec Co., Ltd. | 02/01/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 7,650 USD | (224 | ) | ||||||||||||||
Jiangsu Eazytec Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 6,632 USD | (197 | ) | ||||||||||||||
Jiangsu Etern Co., Ltd. | 10/11/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 51,247 USD | (607 | ) | ||||||||||||||
Jiangsu Etern Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 34,817 USD | (166 | ) | ||||||||||||||
Jiangsu High Hope International Group Co., Ltd. | 10/11/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 7,876 USD | (103 | ) | ||||||||||||||
Jiangsu High Hope International Group Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 5,335 USD | (39 | ) | ||||||||||||||
Jiangsu Huachang Chemical Co., Ltd. | 05/31/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 422,423 USD | (47,879 | ) | ||||||||||||||
Jiangsu Huachang Chemical Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 410,063 USD | (50,220 | ) | ||||||||||||||
Jiangsu Huaxicun Co., Ltd. | 09/06/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 232 USD | (36 | ) | ||||||||||||||
Jiangsu Huaxicun Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 5,331 USD | (825 | ) | ||||||||||||||
Jiangsu Jiejie Microelectronics Co., Ltd. | 09/06/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 2,394 USD | 77 | |||||||||||||||
Jiangsu Jiejie Microelectronics Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 1,504 USD | 167 | |||||||||||||||
Jiangsu King’s Luck Brewery JSC Ltd | 03/27/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 36,898 USD | 956 | |||||||||||||||
Jiangsu King’s Luck Brewery JSC Ltd | 07/12/22 | M | 0.49 | % | Credit Suisse International | 28,111 USD | 2,032 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Jiangsu Lianyungang Port Co., Ltd. | 09/27/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 41,418 USD | $ | (1,234 | ) | |||||||||||||
Jiangsu Lianyungang Port Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 28,587 USD | (1,027 | ) | ||||||||||||||
Jiangsu Lopal Tech Co., Ltd. | 02/07/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 5,613 USD | 765 | |||||||||||||||
Jiangsu Lopal Tech Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 3,561 USD | 484 | |||||||||||||||
Jiangsu Nanfang Bearing Co., Ltd. | 08/14/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 83,401 USD | (4,410 | ) | ||||||||||||||
Jiangsu Nanfang Bearing Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 57,455 USD | (3,367 | ) | ||||||||||||||
Jiangsu Pacific Quartz Co., Ltd. | 08/30/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 3,836 USD | (224 | ) | ||||||||||||||
Jiangsu Pacific Quartz Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 2,561 USD | (153 | ) | ||||||||||||||
Jiangsu Phoenix Property Investment Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 3,626 USD | (54 | ) | ||||||||||||||
Jiangsu Phoenix Property Investment Co., Ltd. | 10/11/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 5,361 USD | (97 | ) | ||||||||||||||
Jiangsu Phoenix Publishing & Media Corp., Ltd. | 10/11/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 12,490 USD | 135 | |||||||||||||||
Jiangsu Phoenix Publishing & Media Corp., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 10,385 USD | 117 | |||||||||||||||
Jiangsu Seagull Cooling Tower Co., Ltd. | 10/11/23 | M | 0.00 | % | JPMorgan Chase Bank, N.A. | 2,492 USD | 60 | |||||||||||||||
Jiangsu Seagull Cooling Tower Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 1,424 USD | 35 | |||||||||||||||
Jiangsu Shuangxing Color Plastic New Materials Co., Ltd. | 09/06/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 6,873 USD | (307 | ) | ||||||||||||||
Jiangsu Shuangxing Color Plastic New Materials Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 5,021 USD | (386 | ) | ||||||||||||||
Jiangsu SOPO Chemical Co., Ltd. | 09/06/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 6,283 USD | (1,056 | ) | ||||||||||||||
Jiangsu SOPO Chemical Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 4,301 USD | (724 | ) | ||||||||||||||
Jiangsu ToLand Alloy Co., Ltd. | 09/06/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 1,617 USD | (183 | ) | ||||||||||||||
Jiangsu ToLand Alloy Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 802 USD | (85 | ) | ||||||||||||||
Jiangsu Wujiang Rural Commercial Bank Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 62,926 USD | (1,126 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Jiangsu Wujiang Rural Commercial Bank Co., Ltd. | 09/06/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 80,895 USD | $ | (1,553 | ) | |||||||||||||
Jiangsu Xinning Modern Logistics Co., Ltd. | 10/10/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 12,981 USD | 120 | |||||||||||||||
Jiangsu Xinning Modern Logistics Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 8,894 USD | 93 | |||||||||||||||
Jiangsu Yabang Dyestuff Co., Ltd. | 10/11/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 10,551 USD | 2 | |||||||||||||||
Jiangsu Yabang Dyestuff Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 7,233 USD | 33 | |||||||||||||||
Jiangsu Yueda Investment Co., Ltd. | 10/11/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 9,801 USD | (10 | ) | ||||||||||||||
Jiangsu Yueda Investment Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 6,674 USD | 16 | |||||||||||||||
Jiangsu Yuyue Medical Equipment & Supply Co., Ltd. | 01/18/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 240 USD | (14 | ) | ||||||||||||||
Jiangsu Zhongchao Holding Co., Ltd. | 10/11/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 28,736 USD | (610 | ) | ||||||||||||||
Jiangsu Zhongchao Holding Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 19,610 USD | (355 | ) | ||||||||||||||
Jiangsu Zijin Rural Commercial Bank Co., Ltd. | 09/27/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 414 USD | (2 | ) | ||||||||||||||
Jiangsu Zijin Rural Commercial Bank Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 259 USD | (1 | ) | ||||||||||||||
Jiangxi Chenguang New Materials Co., Ltd. | 08/25/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 12,032 USD | (1,359 | ) | ||||||||||||||
Jiangxi Chenguang New Materials Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 6,969 USD | (790 | ) | ||||||||||||||
Jiangxi Fushine Pharmaceutical Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 28,386 USD | (1,808 | ) | ||||||||||||||
Jiangxi Fushine Pharmaceutical Co., Ltd. | 09/27/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 38,672 USD | (993 | ) | ||||||||||||||
Jiangxi Selon Industrial Co., Ltd. | 09/06/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 1,731 USD | (271 | ) | ||||||||||||||
Jiangxi Selon Industrial Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 1,212 USD | (191 | ) | ||||||||||||||
Jiangxi Tianli Technology, Inc. | 10/11/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 5,289 USD | (6 | ) | ||||||||||||||
Jiangxi Tianli Technology, Inc. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 3,565 USD | 9 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Jiangxi Wannianqing Cement Co., Ltd. | 10/02/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 131,946 USD | $ | (6,478 | ) | |||||||||||||
Jiangxi Wannianqing Cement Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 109,875 USD | (4,942 | ) | ||||||||||||||
Jianmin Pharmaceutical Group Co., Ltd. | 09/05/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 30,154 USD | (378 | ) | ||||||||||||||
Jianmin Pharmaceutical Group Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 20,220 USD | (153 | ) | ||||||||||||||
Jikai Equipment Manufacturing Co., Ltd. | 09/27/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 12,242 USD | 125 | |||||||||||||||
Jikai Equipment Manufacturing Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 8,364 USD | 112 | |||||||||||||||
Jilin Aodong Pharmaceutical Group Co., Ltd. | 10/02/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 225,538 USD | (9,245 | ) | ||||||||||||||
Jilin Aodong Pharmaceutical Group Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 187,894 USD | (6,781 | ) | ||||||||||||||
Jinduicheng Molybdenum Group Co., Ltd. | 10/11/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 164,271 USD | (5,193 | ) | ||||||||||||||
Jinduicheng Molybdenum Group Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 136,688 USD | (3,561 | ) | ||||||||||||||
Jinneng Holding Shanxi Coal Industry Co., Ltd. | 09/08/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 1,255,757 USD | (3,940 | ) | ||||||||||||||
Jinneng Holding Shanxi Coal Industry Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 1,017,131 USD | (7,471 | ) | ||||||||||||||
Jinneng Science & Technology Co., Ltd. | 09/01/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 7,031 USD | (1,264 | ) | ||||||||||||||
Jinneng Science & Technology Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 5,076 USD | (1,144 | ) | ||||||||||||||
JiuGui Liquor Co., Ltd. | 04/11/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 729,408 USD | (27,868 | ) | ||||||||||||||
JiuGui Liquor Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 560,893 USD | (16,529 | ) | ||||||||||||||
Jizhong Energy Resources Co., Ltd. | 09/06/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 8,879 USD | (86 | ) | ||||||||||||||
Jizhong Energy Resources Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 13,461 USD | (1,457 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Jl Mag Rare Earth Co., Ltd. | 03/27/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 454 USD | $ | (77 | ) | |||||||||||||
Jl Mag Rare Earth Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 155 USD | (22 | ) | ||||||||||||||
Johnson controls International | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 252,896 USD | (15,024 | ) | ||||||||||||||
Jointo Energy Investment Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 53,391 USD | 3,406 | |||||||||||||||
Jointo Energy Investment Co., Ltd. | 09/27/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 78,101 USD | 4,902 | |||||||||||||||
Jones Lang LaSalle, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 376,822 USD | 21,363 | |||||||||||||||
Juewei Food Co., Ltd. | 10/11/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 32,682 USD | (25 | ) | ||||||||||||||
Juewei Food Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 26,720 USD | (1 | ) | ||||||||||||||
K.B. Home | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 812,552 USD | (50,459 | ) | ||||||||||||||
Kadmon Holdings, Inc. | 09/12/23 | M | 0.58 | % | JPMorgan Chase Bank, N.A. | 13,276,252 USD | (135,780 | ) | ||||||||||||||
Kailuan Energy Chemical Co., Ltd. | 07/25/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 514,808 USD | (68,674 | ) | ||||||||||||||
Kailuan Energy Chemical Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 439,333 USD | (60,665 | ) | ||||||||||||||
Kaiser (China) Culture Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 4,607 USD | (371 | ) | ||||||||||||||
Kangxin New Materials Co., Ltd. | 09/06/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 1,679 USD | (94 | ) | ||||||||||||||
Kangxin New Materials Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 1,228 USD | (69 | ) | ||||||||||||||
Kangyue Technology Co., Ltd. | 09/27/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 93,462 USD | (4,399 | ) | ||||||||||||||
Kangyue Technology Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 64,971 USD | (3,941 | ) | ||||||||||||||
Kansas City Southern | 03/24/23 | M | 0.58 | % | JPMorgan Chase Bank, N.A. | 22,773,201 USD | 92,090 | |||||||||||||||
KBC Corp Ltd. | 08/30/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 84,427 USD | (2,959 | ) | ||||||||||||||
KBC Corp Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 66,663 USD | (2,684 | ) | ||||||||||||||
Keda Industrial Group Co., Ltd. | 09/06/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 1,265 USD | (213 | ) | ||||||||||||||
Keda Industrial Group Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 949 USD | (160 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Keeson Technology Co., Ltd | 10/11/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 23,046 USD | $ | 153 | ||||||||||||||
Keeson Technology Co., Ltd | 07/12/22 | M | 0.49 | % | Credit Suisse International | 15,782 USD | 131 | |||||||||||||||
Keli Sensing Technology Ningbo Co. Ltd. | 09/06/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 1,908 USD | (107 | ) | ||||||||||||||
Keli Sensing Technology Ningbo Co. Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 4,582 USD | (259 | ) | ||||||||||||||
Keshun Waterproof Technologies Co., Ltd. | 01/18/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 115 USD | (20 | ) | ||||||||||||||
Keshun Waterproof Technologies Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 91 USD | 4 | |||||||||||||||
Kilroy Reality Corp. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 297,962 USD | (7,896 | ) | ||||||||||||||
Kinder Morgan, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 335,720 USD | 20,211 | |||||||||||||||
Kingclean Electric Co., Ltd. | 03/10/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 93 USD | (14 | ) | ||||||||||||||
Kingclean Electric Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 164 USD | (5 | ) | ||||||||||||||
Kingnet Network Co., Ltd. | 10/11/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 146,738 USD | (2,144 | ) | ||||||||||||||
Kingnet Network Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 116,642 USD | (1,060 | ) | ||||||||||||||
KLA Corp. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 374,240 USD | (15,311 | ) | ||||||||||||||
Kodiak Sciences, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 13,418 USD | (844 | ) | ||||||||||||||
Konka Group Co., Ltd. | 10/02/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 126,739 USD | (1,387 | ) | ||||||||||||||
Konka Group Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 106,031 USD | (1,119 | ) | ||||||||||||||
Kornit Digital Ltd. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 6,201 USD | 23 | |||||||||||||||
Kraft Heinz Co. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 3,284,805 USD | 38,605 | |||||||||||||||
Kraton Corp. | 09/29/23 | M | 0.59 | % | JPMorgan Chase Bank, N.A. | 11,403,867 USD | 71,855 | |||||||||||||||
Kunshan Kinglai Hygienic Materials Co., Ltd. | 09/06/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 3,161 USD | (312 | ) | ||||||||||||||
Kunshan Kinglai Hygienic Materials Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 1,581 USD | (157 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Kunshan Kersen Science & Technology Co., Ltd. | 09/06/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 7,042 USD | $ | (51 | ) | |||||||||||||
Kunshan Kersen Science & Technology Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 2,852 USD | (17 | ) | ||||||||||||||
Kweichow Moutai Co., Ltd. | 01/18/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 38,407 USD | 4,637 | |||||||||||||||
Kweichow Moutai Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 25,305 USD | 3,014 | |||||||||||||||
Laobaixing Pharmacy Chain JSC | 08/23/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 3,552 USD | 69 | |||||||||||||||
Laobaixing Pharmacy Chain JSC | 07/12/22 | M | 0.49 | % | Credit Suisse International | 705 USD | 19 | |||||||||||||||
LB Group Co., Ltd. | 06/21/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 428,329 USD | (17,371 | ) | ||||||||||||||
LB Group Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 350,766 USD | (16,668 | ) | ||||||||||||||
Leader Harmonious Drive Systems Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 4,662 USD | (483 | ) | ||||||||||||||
Lear Corp. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 25,141 USD | 1,773 | |||||||||||||||
Ledman Optoelectronic Co., Ltd. | 09/06/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 2,551 USD | (217 | ) | ||||||||||||||
Ledman Optoelectronic Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 1,801 USD | (154 | ) | ||||||||||||||
Leggett & Platt, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 76,539 USD | (1,835 | ) | ||||||||||||||
LendingTree, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 539,330 USD | (27,272 | ) | ||||||||||||||
Leon Technology Co., Ltd. | 02/28/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 2 USD | — | |||||||||||||||
Lepu Medical Technology (Beijing) Co., Ltd. | 05/02/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 239,792 USD | 2,262 | |||||||||||||||
Lepu Medical Technology (Beijing) Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 136,892 USD | 1,365 | |||||||||||||||
Leshan Electric Power Co. | 09/18/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 29,319 USD | 5,828 | |||||||||||||||
Leshan Electric Power Co. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 19,832 USD | 4,189 | |||||||||||||||
Levima Advanced Materials Corp. | 07/21/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 43,405 USD | (9,805 | ) | ||||||||||||||
Levima Advanced Materials Corp. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 39,477 USD | (8,931 | ) |
See Notes to Consolidated Financial Statements.
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September 30, 2021 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Leyard Optoelectronic Co., Ltd. | 08/29/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 11,828 USD | $ | 357 | ||||||||||||||
Leyard Optoelectronic Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 8,310 USD | 347 | |||||||||||||||
LGI Homes, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 49,585 USD | (2,045 | ) | ||||||||||||||
LHC Group, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 141,988 USD | (4,535 | ) | ||||||||||||||
Liaoning Energy Industry Co, Ltd. | 09/27/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 389,163 USD | (4,133 | ) | ||||||||||||||
Liaoning Energy Industry Co, Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 289,717 USD | (3,816 | ) | ||||||||||||||
Liaoning Kelong Fine Chemical Co., Ltd. | 10/11/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 50,560 USD | (667 | ) | ||||||||||||||
Liaoning Kelong Fine Chemical Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 34,463 USD | (334 | ) | ||||||||||||||
Liaoning SG Automotive Group Co., Ltd. | 10/11/23 | M | 0.00 | % | JPMorgan Chase Bank, N.A. | 359,489 USD | (9,164 | ) | ||||||||||||||
Liaoning SG Automotive Group Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 327,158 USD | (8,054 | ) | ||||||||||||||
Liaoning Shenhua Holdings Co., Ltd. | 10/11/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 17,791 USD | 133 | |||||||||||||||
Liaoning Shenhua Holdings Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 12,094 USD | 183 | |||||||||||||||
Liberty Global PLC | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 106,780 USD | 6,641 | |||||||||||||||
Liberty Media Corp-Liberty SiriusXM | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 22,759 USD | 169 | |||||||||||||||
Lier Chemical Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 6,236 USD | (1,036 | ) | ||||||||||||||
Lier Chemical Co., Ltd. | 01/18/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 9,329 USD | (1,296 | ) | ||||||||||||||
Lifan Technology Group Co., Ltd. | 09/01/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 212,346 USD | (4,533 | ) | ||||||||||||||
Lifan Technology Group Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 160,696 USD | 2,873 | |||||||||||||||
Ligao Foods Co., Ltd. | 09/01/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 19,735 USD | 1,017 | |||||||||||||||
Ligao Foods Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 11,012 USD | 517 | |||||||||||||||
Lightspeed Commerce, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 696,959 USD | (141,522 | ) | ||||||||||||||
Lincoln Electric Holdings, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 118,306 USD | (1,880 | ) | ||||||||||||||
Lincoln National Corp. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 2,337 USD | (68 | ) | ||||||||||||||
Linde plc | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 136,853 USD | (2,778 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Lingyi Itech Guangdong | 01/18/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 23,566 USD | $ | (1,474 | ) | |||||||||||||
Lingyi Itech Guangdong | 07/12/22 | M | 0.49 | % | Credit Suisse International | 15,961 USD | (886 | ) | ||||||||||||||
Lingyuan Iron & Steel Co, Ltd. | 09/06/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 44,786 USD | (551 | ) | ||||||||||||||
Lingyuan Iron & Steel Co, Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 36,669 USD | 119 | |||||||||||||||
Liuzhou Iron & Steel Co., Ltd. | 09/06/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 14,805 USD | (1,987 | ) | ||||||||||||||
Liuzhou Iron & Steel Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 11,496 USD | (1,561 | ) | ||||||||||||||
Livent Corp. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 90,327 USD | (2,601 | ) | ||||||||||||||
LiveRamp Holdings, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 286,873 USD | 11,432 | |||||||||||||||
LKQ Corp. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 94,522 USD | (3,996 | ) | ||||||||||||||
Loews Corp. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 1,316,053 USD | 55,225 | |||||||||||||||
Logitech International S.A. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 865,645 USD | (60,923 | ) | ||||||||||||||
Loncin Motor Co., Ltd. | 09/11/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 102,434 USD | 1,302 | |||||||||||||||
Loncin Motor Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 37,001 USD | 531 | |||||||||||||||
Long Yuan Construction Group Co., Ltd. | 10/10/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 101,821 USD | 4,983 | |||||||||||||||
Long Yuan Construction Group Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 177,535 USD | 8,583 | |||||||||||||||
LONGi Green Energy Technology Co., Ltd. | 01/18/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 70,144 USD | 2,098 | |||||||||||||||
LONGi Green Energy Technology Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 66,298 USD | 1,860 | |||||||||||||||
Longjian Road & Bridge Co., Ltd. | 02/22/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 33 USD | (2 | ) | ||||||||||||||
Longzhou Group Co., Ltd. | 09/27/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 28,052 USD | (1,657 | ) | ||||||||||||||
Longzhou Group Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 19,402 USD | (1,366 | ) | ||||||||||||||
Lu Thai Textile Co., Ltd. | 09/06/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 1,700 USD | (64 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Lu Thai Textile Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 1,228 USD | $ | (47 | ) | |||||||||||||
Lululemon Athletica, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 3,299,912 USD | (197,077 | ) | ||||||||||||||
Luoyang Jalon Micro-nano New Materials Co., Ltd. | 01/18/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 22,924 USD | (428 | ) | ||||||||||||||
Luoyang Jalon Micro-nano New Materials Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 14,253 USD | 43 | |||||||||||||||
Luxi Chemical Group Co., Ltd. | 03/10/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 602,884 USD | (52,454 | ) | ||||||||||||||
Luxi Chemical Group Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 422,680 USD | (40,695 | ) | ||||||||||||||
Luzhou Laojiao Co., Ltd. | 09/05/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 326,004 USD | 51,174 | |||||||||||||||
Luzhou Laojiao Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 285,577 USD | 50,454 | |||||||||||||||
Lydall, Inc. | 06/23/23 | M | 0.58 | % | JPMorgan Chase Bank, N.A. | 10,237,217 USD | 21,479 | |||||||||||||||
Lyft, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 237,382 USD | (8,874 | ) | ||||||||||||||
LyondellBasell Industries NV | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 267,026 USD | (2,651 | ) | ||||||||||||||
Maanshan Iron & Steel Co., Ltd. | 09/01/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 188,687 USD | (19,171 | ) | ||||||||||||||
Maanshan Iron & Steel Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 148,987 USD | (24,645 | ) | ||||||||||||||
Macquarie Infrastructure Corp. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 2,329,689 USD | 13,178 | |||||||||||||||
Macrolink Culturaltainment Development Co., Ltd. | 10/11/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 7,177 USD | (15 | ) | ||||||||||||||
Macrolink Culturaltainment Development Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 4,892 USD | 9 | |||||||||||||||
Macrolink Culturaltainment Development Co., Ltd. | 02/28/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 5 USD | — | |||||||||||||||
Magellan Health, Inc. | 01/19/23 | M | 0.58 | % | JPMorgan Chase Bank, N.A. | 10,179,503 USD | (7,531 | ) | ||||||||||||||
Magellan Health, Inc. | 01/06/23 | M | 0.00 | % | Goldman Sachs International | 7,127,819 USD | (5,273 | ) | ||||||||||||||
Magna International, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 861,426 USD | (19,565 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Magnite, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 75,716 USD | $ | (1,040 | ) | |||||||||||||
Magnolia Oil & Gas Corp. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 92,001 USD | 1,148 | |||||||||||||||
Mango Excellent Media Co., Ltd. | 01/18/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 179 USD | 10 | |||||||||||||||
Mango Excellent Media Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 365 USD | 20 | |||||||||||||||
Manhattan Associates, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 268,089 USD | (10,539 | ) | ||||||||||||||
ManpowerGroup, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 96,445 USD | (1,592 | ) | ||||||||||||||
Manulife Financial Corp. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 950,406 USD | 17,655 | |||||||||||||||
Marathon Digital Holdings, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 280,246 USD | (13,995 | ) | ||||||||||||||
Markel Corp. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 33,632 USD | (168 | ) | ||||||||||||||
Marvell Technology Group Ltd. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 20,605 USD | (280 | ) | ||||||||||||||
Masco Corp. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 2,242,050 USD | (12,384 | ) | ||||||||||||||
Mastec, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 595,379 USD | 1,678 | |||||||||||||||
Matador Resources Co. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 20,508 USD | 5,436 | |||||||||||||||
Mattel, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 1,284,994 USD | (53,482 | ) | ||||||||||||||
Maxscend Microelectronics Co., Ltd. | 04/18/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 4,221 USD | 137 | |||||||||||||||
Maxscend Microelectronics Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 4,026 USD | 332 | |||||||||||||||
MDC Holdings, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 198,009 USD | (8,653 | ) | ||||||||||||||
MDU Resources Group, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 254,949 USD | 1,104 | |||||||||||||||
Medifast, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 152,374 USD | (7,701 | ) | ||||||||||||||
Medtronic plc | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 74,813 USD | (731 | ) | ||||||||||||||
Meggit PLC | 08/04/23 | M | 0.60 | % | JPMorgan Chase Bank, N.A. | 11,661,778 GBP | 38,397 | |||||||||||||||
Meihua Holdings Group Co., Ltd. | 09/06/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 9,559 USD | (303 | ) | ||||||||||||||
Meihua Holdings Group Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 6,877 USD | (221 | ) | ||||||||||||||
MercadoLibre, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 2,034,025 USD | (144,700 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Meridian Bancorp, Inc. | 04/28/23 | M | 0.58 | % | JPMorgan Chase Bank, N.A. | 3,909,617 USD | $ | 346,474 | ||||||||||||||
Meritage Homes, Corp | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 706,155 USD | (22,887 | ) | ||||||||||||||
MetLife, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 901,589 USD | (19,343 | ) | ||||||||||||||
Metro Land Corp. Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 16,780 USD | 1,243 | |||||||||||||||
MGM Growth Properties LLC | 08/08/23 | M | 0.58 | % | JPMorgan Chase Bank, N.A. | 20,306,135 USD | (833,802 | ) | ||||||||||||||
Mickesson Corp. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 694,801 USD | (5,943 | ) | ||||||||||||||
Micron Technology, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 118,450 USD | (5,166 | ) | ||||||||||||||
Microsoft Corp. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 3,881,248 USD | (153,420 | ) | ||||||||||||||
MicroStrategy, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 36,161 USD | (2,035 | ) | ||||||||||||||
Middleby Corp. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 2,377,093 USD | (16,723 | ) | ||||||||||||||
Mimecast Ltd. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 485,214 USD | (23,033 | ) | ||||||||||||||
Ming Yang Smart Energy Group Ltd. | 08/22/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 904 USD | (20 | ) | ||||||||||||||
Ming Yang Smart Energy Group Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 290,131 USD | (13,301 | ) | ||||||||||||||
Mingchen Health Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 349 USD | 3 | |||||||||||||||
Minsheng Holdings Co., Ltd. | 05/22/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 13,122 USD | (265 | ) | ||||||||||||||
Minsheng Holdings Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 8,988 USD | (209 | ) | ||||||||||||||
MKS Instruments, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 1,033,716 USD | 11,637 | |||||||||||||||
MLS Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 4,478 USD | (172 | ) | ||||||||||||||
MLS Co., Ltd. | 09/05/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 4,839 USD | (294 | ) | ||||||||||||||
Mohawk Industries, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 1,570,411 USD | (64,818 | ) | ||||||||||||||
Molson Coors Beverages Co. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 840,000 USD | 29,625 | |||||||||||||||
Monalisa Group Co., Ltd. | 09/01/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 61,880 USD | (1,832 | ) | ||||||||||||||
Monalisa Group Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 44,892 USD | (1,036 | ) | ||||||||||||||
Monday.com Ltd. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 272,926 USD | (30,560 | ) | ||||||||||||||
Mondelez International, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 6,491,701 USD | (42,215 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Monster Beverage Corp. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 6,652,703 USD | $ | (166,159 | ) | |||||||||||||
Montage Technology Co., Ltd. | 02/27/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 64,490 USD | 4,066 | |||||||||||||||
Montage Technology Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 53,490 USD | 4,292 | |||||||||||||||
Montnets Cloud Technology Group Co., Ltd. | 10/02/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 4,533 USD | 200 | |||||||||||||||
Montnets Cloud Technology Group Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 3,728 USD | 169 | |||||||||||||||
Moody’s Corp. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 2,573,684 USD | (85,784 | ) | ||||||||||||||
MP Materials Corp. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 20,123 USD | 698 | |||||||||||||||
MS Alpha Swap | 12/27/21 | M | 0.00 | % | Morgan Stanley Capital Services LLC | 2,082,665 USD | 3,507,729 | |||||||||||||||
MS Index Swap | 08/16/22 | M | 0.00 | % | Morgan Stanley Capital Services LLC | 1,700,000 USD | (1,869,893 | ) | ||||||||||||||
Ms Intraday Trend Swap | 10/25/22 | M | 0.15 | % | Morgan Stanley Capital Services LLC | 194,232,540 USD | 84,254 | |||||||||||||||
MSC Industrial Direct Co., Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 1,382,643 USD | 12,984 | |||||||||||||||
Muyuan Foods Co., Ltd. | 07/24/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 18,452 USD | 3,233 | |||||||||||||||
Muyuan Foods Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 15,656 USD | 2,816 | |||||||||||||||
Nanfang Zhongjin Environment Co., Ltd. | 09/06/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 1,649 USD | (213 | ) | ||||||||||||||
Nanfang Zhongjin Environment Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 1,195 USD | (155 | ) | ||||||||||||||
Nanhua Futures Co. Ltd. | 09/06/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 5,376 USD | (266 | ) | ||||||||||||||
Nanhua Futures Co. Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 827 USD | (41 | ) | ||||||||||||||
Nanjing Develop Advanced Manufacturing Co., Ltd. | 09/27/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 472 USD | (17 | ) | ||||||||||||||
Nanjing Develop Advanced Manufacturing Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 500 USD | (13 | ) | ||||||||||||||
Nanjing Gaoke Co., Ltd. | 10/11/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 22,033 USD | (264 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Nanjing Gaoke Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 14,991 USD | $ | (155 | ) | |||||||||||||
Nanjing Iron and Steel Group Co., Ltd. | 02/24/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 55 USD | (1 | ) | ||||||||||||||
Nanjing King-Friend Biochemical Pharmaceutical Co., Ltd. | 03/20/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 140 USD | 38 | |||||||||||||||
Nanjing King-Friend Biochemical Pharmaceutical Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 415 USD | 70 | |||||||||||||||
Nanjing Tanker Corp. | 10/11/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 40,083 USD | 112 | |||||||||||||||
Nanjing Tanker Corp. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 17,642 USD | (248 | ) | ||||||||||||||
Nantong Acetic Acid Chemical Co., Ltd. | 10/11/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 40,631 USD | (167 | ) | ||||||||||||||
Nantong Acetic Acid Chemical Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 27,609 USD | 63 | |||||||||||||||
Nantong Guosheng Intelligence Technology Group Co., Ltd. | 09/01/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 10,067 USD | (1,024 | ) | ||||||||||||||
Nantong Guosheng Intelligence Technology Group Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 6,715 USD | (686 | ) | ||||||||||||||
Nantong Jianghai Capacitor Co., Ltd. | 10/02/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 80,064 USD | (655 | ) | ||||||||||||||
Nantong Jianghai Capacitor Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 54,570 USD | (340 | ) | ||||||||||||||
Nantong Jiangshan Agrochemical & Chemical LLC | 10/10/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 219,506 USD | (2,601 | ) | ||||||||||||||
Nantong Jiangshan Agrochemical & Chemical LLC | 07/12/22 | M | 0.49 | % | Credit Suisse International | 207,977 USD | (5,389 | ) | ||||||||||||||
Nantong Haixing Electronics Co., Ltd. | 09/06/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 100,805 USD | (2,924 | ) | ||||||||||||||
Nantong Haixing Electronics Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 69,378 USD | (2,570 | ) | ||||||||||||||
Nanxing Machinery Co., Ltd. | 09/06/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 1,123 USD | (62 | ) | ||||||||||||||
Nanxing Machinery Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 3,819 USD | (212 | ) | ||||||||||||||
Nanya New Material Technology Co., Ltd. | 09/06/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 5,872 USD | (277 | ) | ||||||||||||||
Nanya New Material Technology Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 1,469 USD | (70 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Nari Technology Co., Ltd. | 09/08/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 4,915 USD | $ | 86 | ||||||||||||||
Nari Technology Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 2,897 USD | (119 | ) | ||||||||||||||
Natera, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 58,293 USD | (3,353 | ) | ||||||||||||||
National Retail Properties, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 1,069,629 USD | (34,753 | ) | ||||||||||||||
National Silicon Industry Group Co., Ltd. | 09/06/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 6,240 USD | (31 | ) | ||||||||||||||
National Silicon Industry Group Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 1,736 USD | 38 | |||||||||||||||
National Storage Affiliates Trust | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 123,429 USD | (8,189 | ) | ||||||||||||||
NAURA Technology Group Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 28,662 USD | (367 | ) | ||||||||||||||
NAURA Technology Group Co., Ltd. | 08/14/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 35,699 USD | (1,745 | ) | ||||||||||||||
NCR Corp. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 838,729 USD | 15,309 | |||||||||||||||
Nebula Electric Co., Ltd. | 08/30/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 4,528 USD | 765 | |||||||||||||||
Nebula Electric Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 2,718 USD | 458 | |||||||||||||||
New Relic, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 1,436,242 USD | (74,406 | ) | ||||||||||||||
New Universal Science and Technology Co., Ltd. | 10/11/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 5,514 USD | 660 | |||||||||||||||
New Universal Science and Technology Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 3,722 USD | 477 | |||||||||||||||
Newell Brands, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 641,244 USD | (43,176 | ) | ||||||||||||||
Newland Digital Technology Co., Ltd. | 09/06/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 1,307 USD | (117 | ) | ||||||||||||||
Newland Digital Technology Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 767 USD | (54 | ) | ||||||||||||||
News Corp. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 3,193,058 USD | 170,320 | |||||||||||||||
Ningbo Huaxiang Electronic Co., Ltd. | 06/05/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 446,466 USD | (577 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Ningbo Huaxiang Electronic Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 340,205 USD | $ | (1,585 | ) | |||||||||||||
Ningbo Orient Wires & Cables Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 174,772 USD | 4,088 | |||||||||||||||
Ningbo Orient Wires & Cables Co., Ltd. | 07/12/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 245,675 USD | 5,309 | |||||||||||||||
Ningbo Peacebird Fashion Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 412 USD | (40 | ) | ||||||||||||||
Ningbo Ronbay New Energy Technology Co., Ltd. | 07/12/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 189,068 USD | (15,077 | ) | ||||||||||||||
Ningbo Ronbay New Energy Technology Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 160,118 USD | (12,569 | ) | ||||||||||||||
Ningbo Sanxing Medical Electric Co., Ltd. | 08/28/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 118,704 USD | (3,783 | ) | ||||||||||||||
Ningbo Sanxing Medical Electric Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 83,137 USD | (4,319 | ) | ||||||||||||||
Ningbo Shanshan Co., Ltd. | 08/28/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 293,765 USD | 375 | |||||||||||||||
Ningbo Shanshan Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 242,116 USD | 1,585 | |||||||||||||||
Ningbo Tuopu Group Co., Ltd. | 09/06/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 1,573 USD | 119 | |||||||||||||||
Ningbo Tuopu Group Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 2,655 USD | 164 | |||||||||||||||
Ningbo Yunsheng Co., Ltd. | 08/21/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 3,585 USD | (475 | ) | ||||||||||||||
Ningbo Yunsheng Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 2,511 USD | (333 | ) | ||||||||||||||
Ningxia Baofeng Energy Group Co., Ltd. | 06/28/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 210,162 USD | (2,634 | ) | ||||||||||||||
Ningxia Baofeng Energy Group Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 144,285 USD | (1,952 | ) | ||||||||||||||
Ningxia Building Materials Group Co., Ltd. | 10/11/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 30,068 USD | (378 | ) | ||||||||||||||
Ningxia Building Materials Group Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 20,526 USD | (212 | ) | ||||||||||||||
Ningxia Western Venture Industrial Co., Ltd. | 09/27/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 858 USD | (52 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Ningxia Western Venture Industrial Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 553 USD | $ | (35 | ) | |||||||||||||
Ningxia Younglight Chemicals Co., Ltd. | 10/11/23 | M | 0.00 | % | JPMorgan Chase Bank, N.A. | 207,619 USD | 3,343 | |||||||||||||||
Ningxia Younglight Chemicals Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 197,499 USD | 436 | |||||||||||||||
Noblelift Intelligent Equipment Co., Ltd. | 10/11/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 55,150 USD | (2,174 | ) | ||||||||||||||
Noblelift Intelligent Equipment Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 37,257 USD | (872 | ) | ||||||||||||||
Norfolk Southern Corp. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 1,248,581 USD | (27,927 | ) | ||||||||||||||
North Industries Group Red Arrow Co., Ltd. | 09/06/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 8,119 USD | (1,096 | ) | ||||||||||||||
North Industries Group Red Arrow Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 2,660 USD | (319 | ) | ||||||||||||||
Northeast Securities Co., Ltd. | 09/27/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 15,568 USD | (744 | ) | ||||||||||||||
Northeast Securities Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 10,697 USD | (547 | ) | ||||||||||||||
Northern Trust Corp. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 1,217 USD | (32 | ) | ||||||||||||||
Novoray Corp. | 08/21/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 4,360 USD | (433 | ) | ||||||||||||||
Novoray Corp. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 2,097 USD | (209 | ) | ||||||||||||||
NSFOCUS Technologies Group Co., Ltd. | 09/06/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 185,369 USD | (2,644 | ) | ||||||||||||||
NSFOCUS Technologies Group Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 149,532 USD | (1,067 | ) | ||||||||||||||
Nuance Communications, Inc. | 04/14/23 | M | 0.58 | % | JPMorgan Chase Bank, N.A. | 22,547,012 USD | (36,808 | ) | ||||||||||||||
Nuode Investment Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 78,443 USD | (9,861 | ) | ||||||||||||||
Nuode Investment Co., Ltd. | 07/31/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 104,477 USD | (13,035 | ) | ||||||||||||||
Nutanix, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 1,422,301 USD | (83,121 | ) | ||||||||||||||
NuVasive, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 107,889 USD | (4,049 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
nVent Electric PLC | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 15,146 USD | $ | (242 | ) | |||||||||||||
NYOCOR Co., Ltd. | 10/11/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 9,991 USD | 553 | |||||||||||||||
NYOCOR Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 7,575 USD | 243 | |||||||||||||||
Oak Street Health, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 1,509,752 USD | (232,065 | ) | ||||||||||||||
Ocean’s King Lighting Science & Technology Co., Ltd. | 07/11/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 8,182 USD | (396 | ) | ||||||||||||||
Ocean’s King Lighting Science & Technology Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 5,809 USD | (284 | ) | ||||||||||||||
OceanWide Holdings Co., Ltd. | 09/11/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 102,142 USD | (2,114 | ) | ||||||||||||||
OceanWide Holdings Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 84,722 USD | (1,003 | ) | ||||||||||||||
Offcn Education Technology Co., Ltd. | 10/02/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 143,728 USD | (4,331 | ) | ||||||||||||||
Offcn Education Technology Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 97,974 USD | (2,527 | ) | ||||||||||||||
Offshore Oil Engineering Co., Ltd. | 10/11/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 1,839 USD | (135 | ) | ||||||||||||||
Offshore Oil Engineering Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 3,256 USD | (217 | ) | ||||||||||||||
OGE Energy Corp. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 564,007 USD | (5,665 | ) | ||||||||||||||
OKE Precision Cutting Tools Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 1,195 USD | (34 | ) | ||||||||||||||
Okta, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 945,359 USD | (54,147 | ) | ||||||||||||||
Old Republic International Corp. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 29,120 USD | 93 | |||||||||||||||
Olin Corp. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 82,316 USD | 6,657 | |||||||||||||||
Ollie’s Bargain Outlet Holdings, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 218,094 USD | (13,323 | ) | ||||||||||||||
Omega Healthcare Investors | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 3,303,542 USD | (98,122 | ) | ||||||||||||||
Omnicom Group, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 178,897 USD | (2,819 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Oppein Home Group Inc. | 01/18/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 24,570 USD | $ | 360 | ||||||||||||||
Oppein Home Group Inc. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 17,204 USD | 1,023 | |||||||||||||||
Org Technology Co., Ltd. | 01/18/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 163,255 USD | 9,579 | |||||||||||||||
Org Technology Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 110,590 USD | 8,082 | |||||||||||||||
Organon & Co. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 548,243 USD | (1,667 | ) | ||||||||||||||
Orient Gene Co., Ltd. | 09/06/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 10,160 USD | (472 | ) | ||||||||||||||
Orient Gene Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 5,079 USD | (235 | ) | ||||||||||||||
Oshkosh Corp. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 2,100,944 USD | (36,345 | ) | ||||||||||||||
Outset Medical, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 187,615 USD | (7,950 | ) | ||||||||||||||
Ovctek China Inc. | 02/06/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 19,782 USD | 437 | |||||||||||||||
Ovctek China Inc. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 9,864 USD | 245 | |||||||||||||||
Overstock.com, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 30,494 USD | 2,389 | |||||||||||||||
Owens & Minor, Inc. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 40,152 USD | (2,760 | ) | ||||||||||||||
Owens Corning | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 459,462 USD | (13,751 | ) | ||||||||||||||
PACCAR, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 34,115 USD | (22 | ) | ||||||||||||||
Pacific Securities Co., Ltd. | 10/11/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 251,093 USD | (2,890 | ) | ||||||||||||||
Pacific Securities Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 209,978 USD | (2,234 | ) | ||||||||||||||
Pacific Shuanglin Bio-pharmacy Co., Ltd. | 09/27/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 232,010 USD | (1,871 | ) | ||||||||||||||
Pacific Shuanglin Bio-pharmacy Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 123,699 USD | (1,511 | ) | ||||||||||||||
PacWest Bancorp. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 62,837 USD | (704 | ) | ||||||||||||||
Pagerduty, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 68,908 USD | (7,316 | ) | ||||||||||||||
Paike New Materials Co., Ltd. | 09/06/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 1,111 USD | (54 | ) | ||||||||||||||
Pan American Silver Corp. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 230,164 USD | (9,099 | ) | ||||||||||||||
Park Hotels & Resorts, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 65,727 USD | (1,359 | ) | ||||||||||||||
Patterson Cos., Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 322,799 USD | — |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Paychex, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 4,577,950 USD | $ | 182,621 | ||||||||||||||
Paypal Holdings, Inc, | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 6,681,955 USD | (159,271 | ) | ||||||||||||||
Paysafe Ltd. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 406,488 USD | (4,666 | ) | ||||||||||||||
PCI Technology Group Co., Ltd. | 09/19/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 209,798 USD | (9,114 | ) | ||||||||||||||
PCI Technology Group Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 195,397 USD | (7,201 | ) | ||||||||||||||
PDC Energy, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 653,854 USD | 89,932 | |||||||||||||||
Pebblebrook Hotel Trust | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 35,788 USD | (111 | ) | ||||||||||||||
Peloton Interactive, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 2,593,846 USD | (356,487 | ) | ||||||||||||||
Pembina Pipeline Corp. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 293,004 USD | 2,093 | |||||||||||||||
PennyMac Financial Services, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 661,254 USD | (18,044 | ) | ||||||||||||||
Penumbra, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 142,107 USD | (3,527 | ) | ||||||||||||||
People’s Insurance Co Group of China Ltd. | 10/11/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 13,965 USD | (28 | ) | ||||||||||||||
People’s Insurance Co Group of China Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 11,680 USD | (13 | ) | ||||||||||||||
People’s United Financial, Inc. | 02/24/23 | M | 0.58 | % | JPMorgan Chase Bank, N.A. | 15,895,978 USD | 1,928,331 | |||||||||||||||
Perrigo Co. PLC | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 698,403 USD | 71,703 | |||||||||||||||
Petpal Pet Nutrition Technology Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 136 USD | 6 | |||||||||||||||
PetroChina Co., Ltd. | 09/06/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 6,295 USD | 29 | |||||||||||||||
PetroChina Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 4,437 USD | (66 | ) | ||||||||||||||
Pfizer, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 6,632,828 USD | (57,632 | ) | ||||||||||||||
PharmaBlock Sciences (Nanjing), Inc. | 03/27/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 478,193 USD | 3,246 | |||||||||||||||
PharmaBlock Sciences (Nanjing), Inc. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 358,050 USD | (1,721 | ) | ||||||||||||||
Phillips 66 | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 344,927 USD | 30,504 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Pinnacle Financial Partners, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 244,511 USD | $ | 12,140 | ||||||||||||||
Pinnacle West Capital Corp. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 2,724,619 USD | (33,334 | ) | ||||||||||||||
Pinterest, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 744,679 USD | (20,883 | ) | ||||||||||||||
Plug Power, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 14,735 USD | (305 | ) | ||||||||||||||
Pnm Resources, Inc. | 10/25/22 | M | 0.58 | % | JPMorgan Chase Bank, N.A. | 21,366,734 USD | (12,947 | ) | ||||||||||||||
Polaris Bay Group Co., Ltd. | 09/06/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 6,908 USD | (344 | ) | ||||||||||||||
Polaris Bay Group Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 4,869 USD | (245 | ) | ||||||||||||||
Polaris, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 235,535 USD | (3,275 | ) | ||||||||||||||
Poly Developments and Holdings Group Co., Ltd. | 09/27/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 193,763 USD | 5,978 | |||||||||||||||
Poly Developments and Holdings Group Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 137,307 USD | 3,597 | |||||||||||||||
Pool Corp. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 1,931,292 USD | (95,910 | ) | ||||||||||||||
Popular, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 689,651 USD | 56,059 | |||||||||||||||
Porton Pharma Solutions Ltd. | 01/18/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 75,621 USD | (4,863 | ) | ||||||||||||||
Porton Pharma Solutions Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 42,556 USD | (2,754 | ) | ||||||||||||||
Postal Savings Bank of China Co., Ltd. | 09/01/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 148,409 USD | 2,604 | |||||||||||||||
Postal Savings Bank of China Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 125,721 USD | 686 | |||||||||||||||
PPD, Inc. | 04/19/23 | M | 0.58 | % | JPMorgan Chase Bank, N.A. | 23,391,363 USD | 20,014 | |||||||||||||||
PPG Industries, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 3,100,647 USD | (66,261 | ) | ||||||||||||||
PPL Corp. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 24,704 USD | (643 | ) | ||||||||||||||
Profit Cultural & Creative Group Corp. | 09/27/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 99 USD | (9 | ) | ||||||||||||||
Profit Cultural & Creative Group Corp. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 99 USD | (9 | ) | ||||||||||||||
Progressive Corp. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 1,778,785 USD | (10,937 | ) | ||||||||||||||
Prothena Corp. PLC | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 242,872 USD | (15,363 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Proya Cosmetics Co., Ltd. | 01/18/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 1,699 USD | $ | 19 | ||||||||||||||
Prudential Financial, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 350,972 USD | 26,171 | |||||||||||||||
PTC, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 5,824,139 USD | (7,017 | ) | ||||||||||||||
PulteGroup, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 889,261 USD | (25,460 | ) | ||||||||||||||
Puyang Refractories Group Co., Ltd. | 10/11/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 81,939 USD | (843 | ) | ||||||||||||||
Puyang Refractories Group Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 67,772 USD | 84 | |||||||||||||||
PVH Corp. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 448,122 USD | (11,470 | ) | ||||||||||||||
Q2 Holdings, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 458,623 USD | (29,153 | ) | ||||||||||||||
Qi An Xin Technology Group, Inc. | 02/06/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 187 USD | 16 | |||||||||||||||
Qianjiang Water Resources Development Co., Ltd. | 10/11/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 244,315 USD | 8,990 | |||||||||||||||
Qianjiang Water Resources Development Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 181,408 USD | 6,603 | |||||||||||||||
Qingdao Gaoce Technology Co., Ltd. | 09/11/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 49,297 USD | 445 | |||||||||||||||
Qingdao Gaoce Technology Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 38,493 USD | 330 | |||||||||||||||
Qingdao Guolin Environmental Technology Co., Ltd. | 09/27/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 126,022 USD | (4,448 | ) | ||||||||||||||
Qingdao Guolin Environmental Technology Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 87,032 USD | (3,723 | ) | ||||||||||||||
Qingdao Hanhe Cable Co., Ltd. | 10/02/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 209,600 USD | 5,509 | |||||||||||||||
Qingdao Hanhe Cable Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 196,810 USD | 4,915 | |||||||||||||||
Qingdao Hiron Co., Ltd | 08/28/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 657 USD | (29 | ) | ||||||||||||||
Qingdao Hiron Co., Ltd | 07/12/22 | M | 0.49 | % | Credit Suisse International | 659 USD | (31 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Qingdao Kingking Applied Chemistry Co., Ltd. | 09/27/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 927 USD | $ | (28 | ) | |||||||||||||
Qingdao Kingking Applied Chemistry Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 660 USD | (18 | ) | ||||||||||||||
Qorvo, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 63,505 USD | (2,648 | ) | ||||||||||||||
Qualcomm, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 6,693,972 USD | (200,603 | ) | ||||||||||||||
Quanta Services, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 298,235 USD | (8,677 | ) | ||||||||||||||
QuantumScape, Corp. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 180,850 USD | (5,830 | ) | ||||||||||||||
Quick Intelligent Equipment Co., Ltd. | 10/11/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 56,847 USD | (2,431 | ) | ||||||||||||||
Quick Intelligent Equipment Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 38,428 USD | (1,143 | ) | ||||||||||||||
QuMei Home Furnishings Group Co., Ltd. | 03/31/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 91,007 USD | (4,600 | ) | ||||||||||||||
QuMei Home Furnishings Group Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 64,586 USD | (3,685 | ) | ||||||||||||||
Radian Group, Inc. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 56,599 USD | 1,360 | |||||||||||||||
Radio and Television Co., Ltd. | 09/27/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 130 USD | (5 | ) | ||||||||||||||
Radio and Television Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 87 USD | (4 | ) | ||||||||||||||
Raven Industries, Inc. | 06/23/23 | M | 0.58 | % | JPMorgan Chase Bank, N.A. | 19,905,309 USD | 48,490 | |||||||||||||||
Reality Income Corp. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 729,707 USD | (3,859 | ) | ||||||||||||||
Reata Pharmaceuticals, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 42,088 USD | (3,756 | ) | ||||||||||||||
Red Avenue New Materials Group Co., Ltd. | 02/28/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 816 USD | (66 | ) | ||||||||||||||
Red Avenue New Materials Group Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 230 USD | (13 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Reinsurance Group of America, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 9,218 USD | $ | 350 | ||||||||||||||
Reliance Steel & Aluminum Co. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 1,031,084 USD | (2,811 | ) | ||||||||||||||
RenaissanceRe Holdings Ltd. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 1,426,549 USD | (2,299 | ) | ||||||||||||||
Rent-A-Center, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 395,368 USD | (20,279 | ) | ||||||||||||||
Repsol S.A | 05/25/22 | M | 0.19 | % | Morgan Stanley Capital Services LLC | 272,693 EUR | 32,568 | |||||||||||||||
Restaurant Brands International, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 1,998,181 USD | (35,879 | ) | ||||||||||||||
Retail Properties of America, Inc. | 07/21/23 | M | 0.58 | % | JPMorgan Chase Bank, N.A. | 1,308,117 USD | 12,302 | |||||||||||||||
Ribo Fashion Group Co., Ltd. | 10/11/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 5,532 USD | 135 | |||||||||||||||
Ribo Fashion Group Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 3,754 USD | 95 | |||||||||||||||
Riot Blockchain, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 15,404 USD | (935 | ) | ||||||||||||||
Rocket Cos., Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 141,599 USD | (3,896 | ) | ||||||||||||||
Rockwell Automation, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 68,155 USD | (1,408 | ) | ||||||||||||||
Rongsheng Petrochemical Co., Ltd. | 01/23/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 139 USD | (8 | ) | ||||||||||||||
Roper Technologies, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 4,674,828 USD | (125,641 | ) | ||||||||||||||
Ross Stories, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 4,353,428 USD | (190,460 | ) | ||||||||||||||
Royal Bank of Canada | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 6,298,890 USD | 79,568 | |||||||||||||||
Royal Gold, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 694,692 USD | (26,071 | ) | ||||||||||||||
Royalty Pharma plc | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 52,414 USD | (372 | ) | ||||||||||||||
RPM International, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 5,946,275 USD | (23,289 | ) | ||||||||||||||
Ruida Futures Co., Ltd. | 09/06/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 72,005 USD | 117 | |||||||||||||||
Ruida Futures Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 54,377 USD | 236 | |||||||||||||||
Runjian Co., Ltd. | 09/06/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 54,527 USD | (2,546 | ) | ||||||||||||||
Runjian Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 43,808 USD | (2,046 | ) | ||||||||||||||
Sabra Health Care REIT, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 427,216 USD | (18,280 | ) | ||||||||||||||
Sage Therapeutics, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 338,831 USD | (6,861 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Saia, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 122,431 USD | $ | (3,178 | ) | |||||||||||||
SAIC Motor Corp., Ltd. | 09/05/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 2,785 USD | (127 | ) | ||||||||||||||
SAIC Motor Corp., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 1,850 USD | (78 | ) | ||||||||||||||
SailPoint Technologies Holding, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 519,194 USD | (28,819 | ) | ||||||||||||||
Sailun Group Co., Ltd. | 09/18/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 6,037 USD | 347 | |||||||||||||||
Sailun Group Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 6,066 USD | 318 | |||||||||||||||
Sanan Optoelectronics Co., Ltd. | 09/06/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 6,630 USD | (255 | ) | ||||||||||||||
Sanan Optoelectronics Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 4,567 USD | (153 | ) | ||||||||||||||
Sanderson Farms, Inc. | 08/11/23 | M | 0.58 | % | JPMorgan Chase Bank, N.A. | 22,439,380 USD | (212,584 | ) | ||||||||||||||
Sansheng Intellectual Education Technology Co., Ltd. | 08/28/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 24,809 USD | (683 | ) | ||||||||||||||
Sansheng Intellectual Education Technology Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 17,115 USD | (592 | ) | ||||||||||||||
Sansteel Minguang Co., Ltd. | 03/01/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 822,415 USD | (85,814 | ) | ||||||||||||||
Sansteel Minguang Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 590,856 USD | (85,198 | ) | ||||||||||||||
Santander Consumer USA Holdings, Inc. | 08/28/23 | M | 0.58 | % | JPMorgan Chase Bank, N.A. | 140,538 USD | 950 | |||||||||||||||
Sanxiang Impression Co., Ltd. | 06/12/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 68,403 USD | (3,208 | ) | ||||||||||||||
Sanxiang Impression Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 62,218 USD | (3,223 | ) | ||||||||||||||
Saturday Co., Ltd. | 10/11/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 147,710 USD | (9,318 | ) | ||||||||||||||
Saturday Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 116,179 USD | (5,605 | ) | ||||||||||||||
Schrodinger, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 465,019 USD | (43,545 | ) | ||||||||||||||
Score Media and Gaming, Inc. | 08/09/23 | M | 0.58 | % | JPMorgan Chase Bank, N.A. | 12,433,986 USD | 229,368 | |||||||||||||||
SD Fengyuan Chemicals Co., Ltd. | 10/11/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 57,346 USD | (500 | ) | ||||||||||||||
SD Fengyuan Chemicals Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 39,015 USD | (139 | ) | ||||||||||||||
SDBC_3.66%_03/01/31 SWAP | 03/24/22 | 3M | 0.00 | % | Morgan Stanley Capital Services LLC | 21,032,600 CNY | (13,155 | ) | ||||||||||||||
SDIC Zhonglu Fruit Juice Co., Ltd. | 10/11/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 9,061 USD | 229 | |||||||||||||||
SDIC Zhonglu Fruit Juice Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 6,109 USD | 172 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Seazen Holdings Co., Ltd. | 08/28/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 146,735 USD | $ | 7,430 | ||||||||||||||
Seazen Holdings Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 121,194 USD | 8,089 | |||||||||||||||
Sempra Energy | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 75,539 USD | (3,055 | ) | ||||||||||||||
Semtech Corp. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 30,254 USD | 622 | |||||||||||||||
Service Corp. International/US | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 412,503 USD | (1,711 | ) | ||||||||||||||
Sg Micro Corp. | 01/18/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 253,004 USD | 9,590 | |||||||||||||||
Sg Micro Corp. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 232,297 USD | 13,306 | |||||||||||||||
Sgis Songshan Co., Ltd. | 09/01/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 916,615 USD | (44,323 | ) | ||||||||||||||
Sgis Songshan Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 469,694 USD | (44,402 | ) | ||||||||||||||
Shaanxi Coal Industry Co., Ltd. | 09/06/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 585,048 USD | (39,279 | ) | ||||||||||||||
Shaanxi Coal Industry Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 472,471 USD | (25,286 | ) | ||||||||||||||
Shaanxi International Trust Co., Ltd. | 09/06/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 30,629 USD | (1,077 | ) | ||||||||||||||
Shaanxi International Trust Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 24,997 USD | (455 | ) | ||||||||||||||
Shake Shack, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 1,288,489 USD | (51,410 | ) | ||||||||||||||
Shandong Bohui Paper Industry Co., Ltd. | 09/06/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 5,764 USD | (794 | ) | ||||||||||||||
Shandong Bohui Paper Industry Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 3,742 USD | (192 | ) | ||||||||||||||
Shandong Daye Co., Ltd. | 09/06/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 9,363 USD | (1,330 | ) | ||||||||||||||
Shandong Daye Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 5,587 USD | (796 | ) | ||||||||||||||
Shandong Fiberglass Group Co., Ltd. | 10/10/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 213,571 USD | (5,692 | ) | ||||||||||||||
Shandong Fiberglass Group Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 200,371 USD | (5,489 | ) | ||||||||||||||
Shandong Haihua Co., Ltd. | 08/07/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 351,521 USD | (15,195 | ) | ||||||||||||||
Shandong Haihua Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 257,446 USD | (9,125 | ) | ||||||||||||||
Shandong Head Co., Ltd. | 08/28/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 665 USD | 54 | |||||||||||||||
Shandong Head Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 768 USD | 83 | |||||||||||||||
Shandong Hi-Speed Road & Bridge Co., Ltd. | 09/06/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 207,806 USD | (662 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Shandong Hi-Speed Road & Bridge Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 197,178 USD | $ | (3,003 | ) | |||||||||||||
Shandong Hongchuang Aluminum Industry Holding Co., Ltd. | 08/28/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 50,610 USD | (6,257 | ) | ||||||||||||||
Shandong Hongchuang Aluminum Industry Holding Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 37,824 USD | (4,887 | ) | ||||||||||||||
Shandong Hualu-Hengsheng Chemical Co., Ltd. | 01/18/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 62,114 USD | (6,264 | ) | ||||||||||||||
Shandong Hualu-Hengsheng Chemical Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 49,865 USD | (7,773 | ) | ||||||||||||||
Shandong Huatai Paper Industry Shareholding Co., Ltd. | 09/06/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 29,196 USD | (3,596 | ) | ||||||||||||||
Shandong Huatai Paper Industry Shareholding Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 19,774 USD | (2,443 | ) | ||||||||||||||
Shandong Iron and Steel Co., Ltd. | 08/28/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 6,989 USD | (1,155 | ) | ||||||||||||||
Shandong Iron and Steel Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 4,964 USD | (820 | ) | ||||||||||||||
Shandong Jinjing Science & Technology Co., Ltd. | 07/06/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 11,019 USD | (1,098 | ) | ||||||||||||||
Shandong Jinjing Science & Technology Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 8,133 USD | (814 | ) | ||||||||||||||
Shandong Nanshan Aluminum Co., Ltd. | 07/25/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 8,838 USD | (994 | ) | ||||||||||||||
Shandong Nanshan Aluminum Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 6,411 USD | (866 | ) | ||||||||||||||
Shandong Sinocera Functional Material Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 10,340 USD | (151 | ) | ||||||||||||||
Shandong Sun Paper Industry JSC Ltd. | 09/29/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 210,971 USD | (9,792 | ) | ||||||||||||||
Shandong Sun Paper Industry JSC Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 198,161 USD | (9,567 | ) | ||||||||||||||
Shandong Sunway Chemical Group Co., Ltd. | 09/27/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 12,304 USD | 531 | |||||||||||||||
Shandong Sunway Chemical Group Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 8,755 USD | (12 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Shandong WIT Dyne Health Co, Ltd. | 06/21/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 10,215 USD | $ | 479 | ||||||||||||||
Shandong WIT Dyne Health Co, Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 6,914 USD | 321 | |||||||||||||||
Shandong Yanggu Huatai Chemical Co., Ltd. | 09/18/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 53,512 USD | (9,553 | ) | ||||||||||||||
Shandong Yanggu Huatai Chemical Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 42,199 USD | (7,549 | ) | ||||||||||||||
Shandong Yisheng Livestock & Poultry Breeding Co., Ltd. | 08/07/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 53,868 USD | 814 | |||||||||||||||
Shandong Yisheng Livestock & Poultry Breeding Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 39,154 USD | 969 | |||||||||||||||
Shandong Huifa Foodstuff Co., Ltd. | 10/11/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 4,002 USD | 494 | |||||||||||||||
Shandong Huifa Foodstuff Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 2,667 USD | 330 | |||||||||||||||
Shangdong Publishing & Media Co., Ltd. | 09/06/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 37,837 USD | (1,670 | ) | ||||||||||||||
Shangdong Publishing & Media Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 123,360 USD | (4,894 | ) | ||||||||||||||
Shanghai Bairun Investment Holding Group Co., Ltd. | 01/18/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 3,124 USD | 507 | |||||||||||||||
Shanghai Bairun Investment Holding Group Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 2,476 USD | 509 | |||||||||||||||
Shanghai Baosight Software Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 121,629 USD | (3,869 | ) | ||||||||||||||
Shanghai Baosight Software Co., Ltd. | 06/21/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 172,909 USD | (2,756 | ) | ||||||||||||||
Shanghai Belling Co., Ltd. | 02/06/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 704 USD | 55 | |||||||||||||||
Shanghai Bright Power Semiconductor Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 42,411 USD | (1,953 | ) | ||||||||||||||
Shanghai Bright Power Semiconductor Co., Ltd. | 01/18/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 54,953 USD | (2,415 | ) | ||||||||||||||
Shanghai Chlor-Alkali Chemical Co., Ltd. | 09/06/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 2,260 USD | (623 | ) | ||||||||||||||
Shanghai Chlor-Alkali Chemical Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 4,844 USD | (1,337 | ) | ||||||||||||||
Shanghai Daimay Automotive Interior Co., Ltd. | 09/27/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 21,920 USD | (953 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Shanghai Daimay Automotive Interior Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 18,117 USD | $ | (727 | ) | |||||||||||||
Shanghai Datun Energy Resources Co., Ltd. | 10/11/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 71,066 USD | 744 | |||||||||||||||
Shanghai Datun Energy Resources Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 48,490 USD | 489 | |||||||||||||||
Shanghai Feilo Acoustics Co., Ltd. | 10/11/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 51,633 USD | (469 | ) | ||||||||||||||
Shanghai Feilo Acoustics Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 43,030 USD | (205 | ) | ||||||||||||||
Shanghai Fengyuzhu Culture Technology Co., Ltd. | 06/13/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 69 USD | 1 | |||||||||||||||
Shanghai Fengyuzhu Culture Technology Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 105 USD | (12 | ) | ||||||||||||||
Shanghai Friendess Electronic Technology Corp., Ltd. | 07/07/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 30,132 USD | 77 | |||||||||||||||
Shanghai Friendess Electronic Technology Corp., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 26,786 USD | (379 | ) | ||||||||||||||
Shanghai Fullhan Microelectronics Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 280,509 USD | (25,329 | ) | ||||||||||||||
Shanghai Fullhan Microelectronics Co., Ltd. | 08/30/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 310,444 USD | (17,659 | ) | ||||||||||||||
Shanghai Haishun New Pharmaceutical Packaging Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 103 USD | (9 | ) | ||||||||||||||
Shanghai Hanbell Precise Machinery Co., Ltd. | 06/26/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 155 USD | (18 | ) | ||||||||||||||
Shanghai Haohai Biological Technology Co., Ltd. | 04/11/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 1,173 USD | 83 | |||||||||||||||
Shanghai Haohai Biological Technology Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 572 USD | 41 | |||||||||||||||
Shanghai Huace Navigation Technology Ltd. | 08/07/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 263 USD | — | |||||||||||||||
Shanghai Huace Navigation Technology Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 523 USD | 2 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Shanghai Huayi Group Co., Ltd. | 08/14/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 593,801 USD | $ | (112,912 | ) | |||||||||||||
Shanghai Huayi Group Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 448,366 USD | (92,105 | ) | ||||||||||||||
Shanghai International Port Group Co., Ltd. | 09/18/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 266,601 USD | (7,720 | ) | ||||||||||||||
Shanghai International Port Group Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 237,864 USD | (4,994 | ) | ||||||||||||||
Shanghai Jahwa United Co., Ltd. | 02/10/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 494,077 USD | (6,866 | ) | ||||||||||||||
Shanghai Jahwa United Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 258,351 USD | (1,853 | ) | ||||||||||||||
Shanghai Jinqiao Export Processing Zone Development Co., Ltd. | 09/06/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 5,986 USD | (88 | ) | ||||||||||||||
Shanghai Jinqiao Export Processing Zone Development Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 4,320 USD | (31 | ) | ||||||||||||||
Shanghai Kehua Bio-Engineering Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 17 USD | (1 | ) | ||||||||||||||
Shanghai Laiyifen Co., Ltd. | 09/06/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 2,383 USD | 237 | |||||||||||||||
Shanghai Laiyifen Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 1,517 USD | 150 | |||||||||||||||
Shanghai M&G Stationery, Inc. | 07/07/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 25,078 USD | 1,221 | |||||||||||||||
Shanghai M&G Stationery, Inc. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 20,361 USD | 679 | |||||||||||||||
Shanghai Medicilon, Inc. | 08/22/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 23,771 USD | (702 | ) | ||||||||||||||
Shanghai MicroPort Endovascular MedTech Group Co., Ltd. | 04/26/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 131 USD | (4 | ) | ||||||||||||||
Shanghai MicroPort Endovascular MedTech Group Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 4,364 USD | (124 | ) | ||||||||||||||
Shanghai Milkground Food Tech Co., Ltd. | 07/19/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 2,397 USD | 178 | |||||||||||||||
Shanghai Milkground Food Tech Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 910 USD | (52 | ) | ||||||||||||||
Shanghai Moons’ Electric Co., Ltd. | 09/06/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 4,464 USD | (334 | ) | ||||||||||||||
Shanghai Moons’ Electric Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 6,479 USD | (542 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Shanghai Putailai New Energy Technology Co., Ltd. | 04/14/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 411,486 USD | $ | (23,949 | ) | |||||||||||||
Shanghai Putailai New Energy Technology Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 313,421 USD | (22,263 | ) | ||||||||||||||
Shanghai QiFan Cable Co., Ltd. | 08/18/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 132,199 USD | (10,127 | ) | ||||||||||||||
Shanghai QiFan Cable Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 120,937 USD | (9,254 | ) | ||||||||||||||
Shanghai Sanyou Medical Co., Ltd. | 06/21/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 18,672 USD | (701 | ) | ||||||||||||||
Shanghai Sanyou Medical Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 12,495 USD | (514 | ) | ||||||||||||||
Shanghai Shimao Co., Ltd. | 08/28/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 31,458 USD | (617 | ) | ||||||||||||||
Shanghai Shimao Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 21,237 USD | (147 | ) | ||||||||||||||
Shanghai Shyndec Pharmaceutical Co., Ltd. | 09/06/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 1,739 USD | (98 | ) | ||||||||||||||
Shanghai Shyndec Pharmaceutical Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 1,255 USD | (61 | ) | ||||||||||||||
Shanghai Sinyang Semiconductor Materials Co., Ltd. | 01/18/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 41,241 USD | (3,697 | ) | ||||||||||||||
Shanghai Sinyang Semiconductor Materials Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 24,185 USD | (1,529 | ) | ||||||||||||||
Shanghai SK Automation Technology Co., Ltd. | 08/28/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 3,900 USD | (52 | ) | ||||||||||||||
Shanghai SK Automation Technology Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 3,043 USD | (41 | ) | ||||||||||||||
Shanghai Tianchen Co., Ltd. | 08/30/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 58 USD | (3 | ) | ||||||||||||||
Shanghai Wanye Enterprises Co., Ltd. | 09/18/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 368,575 USD | 3,155 | |||||||||||||||
Shanghai Wanye Enterprises Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 273,692 USD | 3,960 | |||||||||||||||
Shanghai Weaver Network Co., Ltd. | 09/05/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 28,808 USD | 816 | |||||||||||||||
Shanghai Weaver Network Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 23,664 USD | 648 | |||||||||||||||
Shanghai Weihong Electronic Technology Co., Ltd. | 09/08/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 4,034 USD | (321 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Shanghai Weihong Electronic Technology Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 2,421 USD | $ | (194 | ) | |||||||||||||
Shanghai Xinnanyang Only Education & Technology Co., Ltd. | 10/11/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 16,413 USD | 117 | |||||||||||||||
Shanghai Xinnanyang Only Education & Technology Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 11,326 USD | 118 | |||||||||||||||
Shanghai Yongli Belting Co., Ltd. | 10/11/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 22,211 USD | 122 | |||||||||||||||
Shanghai Yongli Belting Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 15,106 USD | 146 | |||||||||||||||
Shanghai Zhezhong Group Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 9 USD | — | |||||||||||||||
Shantui Construction Machinery Co., Ltd. | 10/11/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 41,227 USD | 208 | |||||||||||||||
Shantui Construction Machinery Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 28,238 USD | 169 | |||||||||||||||
Shanxi Coal International Energy Group Co., Ltd. | 10/11/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 202,577 USD | (16,370 | ) | ||||||||||||||
Shanxi Coal International Energy Group Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 165,037 USD | (11,391 | ) | ||||||||||||||
Shanxi Coking Co., Ltd. | 09/05/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 385,575 USD | (42,243 | ) | ||||||||||||||
Shanxi Coking Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 286,373 USD | (29,561 | ) | ||||||||||||||
Shanxi Lanhua Sci-Tech Venture Co., Ltd. | 07/26/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 465,954 USD | 11,511 | |||||||||||||||
Shanxi Lanhua Sci-Tech Venture Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 343,281 USD | 6,721 | |||||||||||||||
Shanxi Lu’an Environmental EnergyDev. Co., Ltd. | 09/01/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 569,952 USD | (29,679 | ) | ||||||||||||||
Shanxi Lu’an Environmental EnergyDev. Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 447,635 USD | (26,032 | ) | ||||||||||||||
Shanxi Meijin Energy Co., Ltd. | 09/06/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 5,297 USD | (464 | ) | ||||||||||||||
Shanxi Meijin Energy Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 3,835 USD | (335 | ) | ||||||||||||||
Shanxi Taigang Stainless Steel Co., Ltd. | 08/23/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 723,703 USD | (82,395 | ) | ||||||||||||||
Shanxi Taigang Stainless Steel Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 502,617 USD | (51,988 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Shanxi Yongdong Chemistry Industry Co., Ltd. | 09/27/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 231,088 USD | $ | (25,079 | ) | |||||||||||||
Shanxi Yongdong Chemistry Industry Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 218,580 USD | (25,398 | ) | ||||||||||||||
Shanxi Xinghuacun Fen Wine Factory Co., Ltd. | 07/19/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 165,573 USD | 424 | |||||||||||||||
Shanxi Xinghuacun Fen Wine Factory Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 118,926 USD | 202 | |||||||||||||||
Shanying International Holdings Co., Ltd. | 09/06/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 5,735 USD | (813 | ) | ||||||||||||||
Shanying International Holdings Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 3,702 USD | (209 | ) | ||||||||||||||
Shaw Communications, Inc. | 03/17/23 | M | 0.98 | % | JPMorgan Chase Bank, N.A. | 27,478,598 CAD | 178,216 | |||||||||||||||
Shengda Resources Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 37 USD | (4 | ) | ||||||||||||||
Shengyi Technology Co., Ltd. | 04/26/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 352,840 USD | (10,703 | ) | ||||||||||||||
Shengyi Technology Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 315,420 USD | (9,398 | ) | ||||||||||||||
Shenma Industry Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 242,431 USD | (43,888 | ) | ||||||||||||||
Shenma Industry Co., Ltd. | 08/28/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 279,490 USD | (23,950 | ) | ||||||||||||||
Shenyang Jinbei Automotive Co., Ltd. | 10/11/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 23,379 USD | 12 | |||||||||||||||
Shenyang Jinbei Automotive Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 19,540 USD | 10 | |||||||||||||||
Shenzhen Absen Optoelectronic Co., Ltd. | 09/06/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 2,276 USD | (47 | ) | ||||||||||||||
Shenzhen Absen Optoelectronic Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 1,607 USD | (34 | ) | ||||||||||||||
Shenzhen Agricultural Products Group Co., Ltd. | 10/02/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 89,683 USD | (1,177 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Shenzhen Agricultural Products Group Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 71,732 USD | $ | (818 | ) | |||||||||||||
Shenzhen Aisidi Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 124 USD | — | |||||||||||||||
Shenzhen Bioeasy Biotechnology Co., Ltd. | 08/28/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 56 USD | 1 | |||||||||||||||
Shenzhen Bioeasy Biotechnology Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 122 USD | 1 | |||||||||||||||
Shenzhen Capchem Technology Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 451,488 USD | 21,032 | |||||||||||||||
Shenzhen Capchem Technology Co., Ltd. | 02/08/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 586,467 USD | 26,203 | |||||||||||||||
Shenzhen Desay Battery Technology Co., Ltd. | 02/07/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 153 USD | (29 | ) | ||||||||||||||
Shenzhen Desay Battery Technology Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 267 USD | (8 | ) | ||||||||||||||
Shenzhen Desay Battery Technology Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 25,423 USD | (2,094 | ) | ||||||||||||||
Shenzhen Desay Battery Technology Co., Ltd. | 01/18/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 31,432 USD | (2,740 | ) | ||||||||||||||
Shenzhen Ellassay Fashion Co., Ltd. | 09/27/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 220 USD | (6 | ) | ||||||||||||||
Shenzhen Ellassay Fashion Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 447 USD | (20 | ) | ||||||||||||||
Shenzhen Expressway Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 2,600 USD | 388 | |||||||||||||||
Shenzhen Expressway Co., Ltd. | 09/06/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 3,871 USD | 172 | |||||||||||||||
Shenzhen Fastprint Circuit Tech Co., Ltd. | 10/02/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 4,455 USD | 35 | |||||||||||||||
Shenzhen Fastprint Circuit Tech Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 3,310 USD | (129 | ) | ||||||||||||||
Shenzhen Fine Made Electronics Group Co., Ltd. | 04/19/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 35,282 USD | (1,175 | ) | ||||||||||||||
Shenzhen Fine Made Electronics Group Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 38,483 USD | (1,260 | ) | ||||||||||||||
Shenzhen Fortune Trend Technology Co., Ltd. | 09/27/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 148,779 USD | (5,406 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Shenzhen Fortune Trend Technology Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 123,378 USD | $ | (3,664 | ) | |||||||||||||
Shenzhen Gas Corp., Ltd. | 09/08/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 4,924 USD | (483 | ) | ||||||||||||||
Shenzhen Gas Corp., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 3,705 USD | (533 | ) | ||||||||||||||
Shenzhen Glory Medical Co., Ltd. | 05/02/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 23 USD | (1 | ) | ||||||||||||||
Shenzhen H&T Intelligent Control Co., Ltd. | 07/11/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 11,684 USD | (717 | ) | ||||||||||||||
Shenzhen H&T Intelligent Control Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 8,051 USD | (326 | ) | ||||||||||||||
Shenzhen Huaqiang Industry Co., Ltd. | 09/27/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 667 USD | (11 | ) | ||||||||||||||
Shenzhen Huaqiang Industry Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 442 USD | (5 | ) | ||||||||||||||
Shenzhen Huijie Group Co., Ltd. | 09/27/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 32,707 USD | (504 | ) | ||||||||||||||
Shenzhen Huijie Group Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 22,504 USD | (430 | ) | ||||||||||||||
Shenzhen Infinova Ltd. | 03/13/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 1 USD | — | |||||||||||||||
Shenzhen Inovance Technology Co., Ltd. | 01/18/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 23,752 USD | (842 | ) | ||||||||||||||
Shenzhen Inovance Technology Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 22,554 USD | (34 | ) | ||||||||||||||
Shenzhen Jinjia Group Co., Ltd. | 09/11/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 69,066 USD | (5,050 | ) | ||||||||||||||
Shenzhen Jinjia Group Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 47,248 USD | (3,371 | ) | ||||||||||||||
Shenzhen Kaifa Technology Co., Ltd. | 02/06/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 136 USD | (25 | ) | ||||||||||||||
Shenzhen Kedali Industry Co., Ltd. | 09/06/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 75,010 USD | 3,628 | |||||||||||||||
Shenzhen Kedali Industry Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 51,920 USD | 2,521 | |||||||||||||||
Shenzhen Kingdom Sci-Tech Co., Ltd. | 05/24/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 34,604 USD | (773 | ) | ||||||||||||||
Shenzhen Kingdom Sci-Tech Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 18,703 USD | (991 | ) | ||||||||||||||
Shenzhen Mindray Bio-Medical Electronics Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 140,119 USD | 3,023 | |||||||||||||||
Shenzhen Mingdiao Decoration Co., Ltd. | 07/25/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 40,223 USD | (453 | ) | ||||||||||||||
Shenzhen Mingdiao Decoration Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 37,840 USD | (546 | ) |
See Notes to Consolidated Financial Statements.
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September 30, 2021 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Shenzhen Neoway Technology Co., Ltd. | 02/14/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 2,762 USD | $ | (46 | ) | |||||||||||||
Shenzhen Neoway Technology Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 4,144 USD | (70 | ) | ||||||||||||||
Shenzhen Salubris Pharmaceuticals Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 69,047 USD | (504 | ) | ||||||||||||||
Shenzhen Salubris Pharmaceuticals Co., Ltd. | 10/02/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 82,631 USD | (649 | ) | ||||||||||||||
Shenzhen Sunlord Electronics Co., Ltd. | 10/02/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 80,531 USD | 853 | |||||||||||||||
Shenzhen Sunlord Electronics Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 33,761 USD | 368 | |||||||||||||||
Shenzhen Sunmoon Microelectronics Co., Ltd. | 05/31/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 4,332 USD | (103 | ) | ||||||||||||||
Shenzhen Sunnypol Optoelectronics Co., Ltd. | 03/14/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 6,597 USD | 385 | |||||||||||||||
Shenzhen Sunnypol Optoelectronics Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 490 USD | 21 | |||||||||||||||
Shenzhen Sunshine Laser & Electronics Technology Co., Ltd. | 01/18/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 141 USD | (12 | ) | ||||||||||||||
Shenzhen Textile Holdings Co., Ltd. | 09/27/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 33,770 USD | (420 | ) | ||||||||||||||
Shenzhen Textile Holdings Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 23,141 USD | (376 | ) | ||||||||||||||
Shenzhen Transsion Holdings Co., Ltd. | 06/20/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 4,346 USD | 18 | |||||||||||||||
Shenzhen Transsion Holdings Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 2,183 USD | 20 | |||||||||||||||
Shenzhen TXD Technology Co., Ltd. | 06/20/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 342 USD | (4 | ) | ||||||||||||||
Shenzhen United Winners Laser Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 39,299 USD | (990 | ) | ||||||||||||||
Shenzhen United Winners Laser Co., Ltd. | 06/28/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 45,988 USD | (1,139 | ) | ||||||||||||||
Shenzhen Urovo Technology Co., Ltd. | 01/18/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 2 USD | — | |||||||||||||||
Shenzhen Woer Heat-Shrinkable Material Co., Ltd. | 09/06/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 7,496 USD | (1,348 | ) | ||||||||||||||
Shenzhen Woer Heat-Shrinkable Material Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 5,468 USD | (1,128 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Shenzhen Yinghe Technology Co., Ltd. | 10/02/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 247,658 USD | $ | 5,596 | ||||||||||||||
Shenzhen Yinghe Technology Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 104,406 USD | 1,847 | |||||||||||||||
Shenzhen Zhongjin Lingnan Nonfemet Co., Ltd. | 09/06/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 1,439 USD | (169 | ) | ||||||||||||||
Shenzhen Zhongjin Lingnan Nonfemet Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 3,561 USD | (465 | ) | ||||||||||||||
Sherwin-Williams Co. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 2,333,925 USD | (64,196 | ) | ||||||||||||||
Shijiazhuang Yiling Pharmaceutical Co., Ltd. | 01/18/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 201 USD | (11 | ) | ||||||||||||||
Shinva Medical Instrument Co., Ltd. | 09/06/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 131,174 USD | (11,114 | ) | ||||||||||||||
Shinva Medical Instrument Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 115,336 USD | (7,611 | ) | ||||||||||||||
Shopify, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 6,864,262 USD | (371,431 | ) | ||||||||||||||
Shenzhen Envicool Technology Co., Ltd. | 08/09/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 3,207 USD | (319 | ) | ||||||||||||||
Shenzhen Envicool Technology Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 1,479 USD | (34 | ) | ||||||||||||||
Sichuan Anning Iron and Titanium Co., Ltd. | 09/06/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 222,273 USD | (26,333 | ) | ||||||||||||||
Sichuan Anning Iron and Titanium Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 211,979 USD | (19,071 | ) | ||||||||||||||
Sichuan Chuantou Energy Co., Ltd. | 09/27/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 8 USD | 1 | |||||||||||||||
Sichuan Chuantou Energy Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 63,688 USD | 4,357 | |||||||||||||||
Sichuan Datong Gas Development Co., Ltd. | 10/11/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 43,427 USD | (1,007 | ) | ||||||||||||||
Sichuan Datong Gas Development Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 29,763 USD | (717 | ) | ||||||||||||||
Sichuan Dowell Science & Technology, Inc. | 10/11/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 10,446 USD | 97 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Sichuan Dowell Science & Technology, Inc. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 7,179 USD | $ | 84 | ||||||||||||||
Sichuan Expressway Co., Ltd. | 10/11/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 7,151 USD | (17 | ) | ||||||||||||||
Sichuan Expressway Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 4,875 USD | 4 | |||||||||||||||
Sichuan Golden Summit Group | 10/11/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 34,417 USD | (991 | ) | ||||||||||||||
Sichuan Golden Summit Group | 07/12/22 | M | 0.49 | % | Credit Suisse International | 23,383 USD | (476 | ) | ||||||||||||||
Sichuan Guangan AAA PCL | 09/06/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 28,311 USD | 1,574 | |||||||||||||||
Sichuan Guangan AAA PCL | 07/12/22 | M | 0.49 | % | Credit Suisse International | 19,521 USD | 1,085 | |||||||||||||||
Sichuan Haite High-tech Co., Ltd. | 09/06/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 2,300 USD | (285 | ) | ||||||||||||||
Sichuan Haite High-tech Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 1,576 USD | (166 | ) | ||||||||||||||
Sichuan Haowu Electromechanical Co., Ltd. | 07/25/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 135,894 USD | 3,960 | |||||||||||||||
Sichuan Haowu Electromechanical Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 126,184 USD | 2,392 | |||||||||||||||
Sichuan Hebang Biotechnology Co., Ltd. | 09/05/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 3,755 USD | (471 | ) | ||||||||||||||
Sichuan Hebang Biotechnology Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 3,634 USD | (654 | ) | ||||||||||||||
Sichuan Injet Electric Co., Ltd. | 09/06/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 14,785 USD | 657 | |||||||||||||||
Sichuan Injet Electric Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 10,525 USD | 506 | |||||||||||||||
Sichuan Jiuyuan Yinhai Software Co., Ltd. | 08/29/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 57,716 USD | (2,827 | ) | ||||||||||||||
Sichuan Jiuyuan Yinhai Software Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 39,225 USD | (758 | ) | ||||||||||||||
Sichuan Jiuzhou Electric Co., Ltd. | 09/18/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 39,379 USD | (2,808 | ) | ||||||||||||||
Sichuan Jiuzhou Electric Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 27,143 USD | (2,087 | ) | ||||||||||||||
Sichuan Lutianhua Co., Ltd. | 07/10/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 31,004 USD | (2,034 | ) | ||||||||||||||
Sichuan Lutianhua Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 3,000 USD | (196 | ) | ||||||||||||||
Sichuan Meifeng Chemical Industry Co., Ltd. | 08/14/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 10,899 USD | (1,497 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Sichuan Meifeng Chemical Industry Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 10,303 USD | $ | (1,404 | ) | |||||||||||||
Sichuan Mingxing Electric Power Co. | 10/11/23 | M | 0.00 | % | JPMorgan Chase Bank, N.A. | 55,715 USD | 1,122 | |||||||||||||||
Sichuan Mingxing Electric Power Co. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 8,906 USD | 429 | |||||||||||||||
Sichuan Road & Bridge Co., Ltd. | 09/11/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 401,648 USD | (13,616 | ) | ||||||||||||||
Sichuan Road & Bridge Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 303,623 USD | (8,583 | ) | ||||||||||||||
Sichuan Xinjinlu Group Co., Ltd. | 08/16/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 241,674 USD | 11,199 | |||||||||||||||
Sichuan Xinjinlu Group Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 218,157 USD | 9,028 | |||||||||||||||
Sichuan Zhenjing Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 37 USD | 1 | |||||||||||||||
Signet Jewelers Ltd. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 50,897 USD | (1,626 | ) | ||||||||||||||
Siltronic AG-Tend | 02/24/23 | M | 0.06 | % | JPMorgan Chase Bank, N.A. | 17,927,261 EUR | (166,370 | ) | ||||||||||||||
Sino Hytec Co., Ltd. | 09/01/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 138,021 USD | (2,815 | ) | ||||||||||||||
Sino Hytec Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 111,352 USD | (1,463 | ) | ||||||||||||||
Sino Wealth Electronic Ltd. | 08/09/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 217,655 USD | (2,047 | ) | ||||||||||||||
Sino Wealth Electronic Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 204,655 USD | (2,872 | ) | ||||||||||||||
Sinoma International Engineering Co., Ltd. | 08/28/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 2,381 USD | (264 | ) | ||||||||||||||
Sinoma International Engineering Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 5,335 USD | (748 | ) | ||||||||||||||
Sinoma Science & Technology Co., Ltd. | 02/10/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 22,115 USD | (3,791 | ) | ||||||||||||||
Sinoma Science & Technology Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 17,286 USD | (3,591 | ) | ||||||||||||||
Sinomach Precision Industry Co., Ltd. | 09/06/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 6,525 USD | (978 | ) | ||||||||||||||
Sinomach Precision Industry Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 5,177 USD | (778 | ) | ||||||||||||||
Sinoseal Holding Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 618 USD | (43 | ) | ||||||||||||||
Sinosteel Engineering & Technology Co., Ltd. | 10/02/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 3,547 USD | (151 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Sinosteel Engineering & Technology Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 2,970 USD | $ | (97 | ) | |||||||||||||
SiTime Corp. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 1,734 USD | (100 | ) | ||||||||||||||
Sketchers USA, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 418,384 USD | (16,686 | ) | ||||||||||||||
Skywords Solutions, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 18,290 USD | (329 | ) | ||||||||||||||
Skyworth Digital Co., Ltd | 09/06/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 2,497 USD | (362 | ) | ||||||||||||||
Skyworth Digital Co., Ltd | 07/12/22 | M | 0.49 | % | Credit Suisse International | 1,705 USD | (210 | ) | ||||||||||||||
SLM Corp. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 780,290 USD | (7,139 | ) | ||||||||||||||
SM Energy Co. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 276,834 USD | 63,627 | |||||||||||||||
Snap, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 717,700 USD | 13,909 | |||||||||||||||
Snap-on, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 231,591 USD | (6,552 | ) | ||||||||||||||
SoFi Technologies, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 1,591,006 USD | (30,573 | ) | ||||||||||||||
Songcheng Performance Development Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 94,180 USD | (2,015 | ) | ||||||||||||||
Songcheng Performance Development Co., Ltd. | 10/02/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 113,127 USD | (2,877 | ) | ||||||||||||||
Sonoco Products Co. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 4,663 USD | (16 | ) | ||||||||||||||
Sonos, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 2,466,637 USD | (275,218 | ) | ||||||||||||||
South State Corp. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 16,747 USD | 2,518 | |||||||||||||||
Southern Co. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 847,858 USD | (24,649 | ) | ||||||||||||||
Southwest Gas Holdings, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 156,347 USD | 353 | |||||||||||||||
Spectrum Brands Holdings, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 1,605,371 USD | 66,271 | |||||||||||||||
SPIC Dongfang New Energy Corp. | 09/06/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 3,637 USD | 332 | |||||||||||||||
SPIC Dongfang New Energy Corp. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 2,702 USD | 208 | |||||||||||||||
Spirit Realty Capital, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 154,836 USD | (4,239 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Splunk, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 2,301,391 USD | $ | (24,234 | ) | |||||||||||||
Spotify Technology SA | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 269,687 USD | (10,546 | ) | ||||||||||||||
Square, Inc | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 6,438,162 USD | (16,446 | ) | ||||||||||||||
SS&C Technologies Holdings, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 5,191,000 USD | 39,262 | |||||||||||||||
Staar Surgical Co. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 260,211 USD | (12,534 | ) | ||||||||||||||
Stanley Agricultural Group Co., Ltd. | 09/06/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 183,314 USD | (19,887 | ) | ||||||||||||||
Stanley Agricultural Group Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 128,122 USD | (16,060 | ) | ||||||||||||||
Stanley Black & Decker, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 2,268,079 USD | (78,282 | ) | ||||||||||||||
Star Bulk Carriers Corp. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 13,628 USD | 2,551 | |||||||||||||||
State Grid Information & Telecommunication Group Co., Ltd. | 02/24/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 213 USD | (5 | ) | ||||||||||||||
Steven Madden Ltd. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 22,220 USD | (1,176 | ) | ||||||||||||||
STO Express Co., Ltd. | 10/02/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 170,113 USD | (7,148 | ) | ||||||||||||||
STO Express Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 142,283 USD | (5,874 | ) | ||||||||||||||
StoneCo Ltd. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 425,186 USD | (37,641 | ) | ||||||||||||||
STORE Capital Corp. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 753,299 USD | (41,464 | ) | ||||||||||||||
Suez SA | 05/19/23 | M | 0.06 | % | JPMorgan Chase Bank, N.A. | 14,826,604 EUR | (216,475 | ) | ||||||||||||||
Suli Co., Ltd. | 09/06/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 1,682 USD | (191 | ) | ||||||||||||||
Suli Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 1,122 USD | (128 | ) | ||||||||||||||
Sumavision Technologies Co., Ltd. | 09/19/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 229,820 USD | (21,448 | ) | ||||||||||||||
Sumavision Technologies Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 216,924 USD | (21,504 | ) | ||||||||||||||
Sumec Corp., Ltd. | 10/11/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 78,061 USD | (946 | ) | ||||||||||||||
Sumec Corp., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 53,416 USD | (594 | ) | ||||||||||||||
Summit Materials, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 59,940 USD | 1,219 | |||||||||||||||
Sun Life Financial, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 193,988 USD | 6,975 | |||||||||||||||
Suncor Energy, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 746,007 USD | 239 | |||||||||||||||
Sungrow Power Supply Co., Ltd. | 01/18/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 42,025 USD | 6,194 |
See Notes to Consolidated Financial Statements.
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September 30, 2021 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Sungrow Power Supply Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 38,428 USD | $ | 7,495 | ||||||||||||||
Sunnovo Co., Ltd. | 08/29/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 4,543 USD | 1,106 | |||||||||||||||
Sunnovo Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 4,545 USD | 1,104 | |||||||||||||||
Sunrun, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 293,174 USD | 5,498 | |||||||||||||||
Sunstone Development Co., Ltd. | 07/24/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 120,965 USD | (15,655 | ) | ||||||||||||||
Sunstone Development Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 80,785 USD | (10,876 | ) | ||||||||||||||
Sunstone Hotel Investors, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 169,986 USD | 505 | |||||||||||||||
Sunwoda Electronic Co., Ltd. | 10/02/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 66,161 USD | 2,132 | |||||||||||||||
Sunwoda Electronic Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 28,067 USD | 871 | |||||||||||||||
Sunyard Technology Co., Ltd. | 09/19/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 184,181 USD | 10,139 | |||||||||||||||
Sunyard Technology Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 172,085 USD | 10,236 | |||||||||||||||
Suplet Power Co., Ltd. | 09/27/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 15,845 USD | (306 | ) | ||||||||||||||
Suplet Power Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 10,855 USD | (223 | ) | ||||||||||||||
Suzhou Dongshan Precision Manufacturing Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 122,884 USD | (4,948 | ) | ||||||||||||||
Suzhou Dongshan Precision Manufacturing Co., Ltd. | 10/02/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 146,819 USD | (5,942 | ) | ||||||||||||||
Suzhou Harmontronics Automation Technology Co., Ltd. | 10/11/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 31,305 USD | (627 | ) | ||||||||||||||
Suzhou Harmontronics Automation Technology Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 21,578 USD | (405 | ) | ||||||||||||||
Suzhou Jin Hong Shun Auto Parts Co., Ltd. | 08/21/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 3,191 USD | (210 | ) | ||||||||||||||
Suzhou Jin Hong Shun Auto Parts Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 2,321 USD | (154 | ) | ||||||||||||||
Suzhou TA&A Ultra Clean Technology Co., Ltd. | 06/20/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 664 USD | — | |||||||||||||||
Suzhou TA&A Ultra Clean Technology Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 197,121 USD | (2,261 | ) | ||||||||||||||
Suzhou TFC Optical Communication Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 323 USD | (19 | ) |
See Notes to Consolidated Financial Statements.
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September 30, 2021 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Suzhou TZTEK Technology Co., Ltd. | 08/28/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 32,076 USD | $ | (1,524 | ) | |||||||||||||
Suzhou TZTEK Technology Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 28,498 USD | (1,358 | ) | ||||||||||||||
Switch, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 850,772 USD | (16,939 | ) | ||||||||||||||
Synaptics, Inc. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 38,270 USD | (167 | ) | ||||||||||||||
Syneos Health, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 307,130 USD | (23,345 | ) | ||||||||||||||
SYNNEX Corp. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 1,374,508 USD | (94,390 | ) | ||||||||||||||
Syoung Group Co., Ltd. | 07/03/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 54,330 USD | (1,960 | ) | ||||||||||||||
Syoung Group Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 41,881 USD | (1,664 | ) | ||||||||||||||
T Rowe Price Group, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 1,649,833 USD | (47,711 | ) | ||||||||||||||
Tahoe Group Co., Ltd. | 10/02/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 16,619 USD | 134 | |||||||||||||||
Tahoe Group Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 13,922 USD | 82 | |||||||||||||||
Taiyuan Heavy Industry Co., Ltd. | 09/27/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 197,245 USD | (801 | ) | ||||||||||||||
Taiyuan Heavy Industry Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 162,792 USD | (6,932 | ) | ||||||||||||||
Tande Co., Ltd. | 10/11/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 5,549 USD | (98 | ) | ||||||||||||||
Tande Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 3,843 USD | (65 | ) | ||||||||||||||
Tandem Diabetes Care, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 5,557,795 USD | (187,485 | ) | ||||||||||||||
Tangshan Jidong Equipment and Engineering Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 45 USD | (1 | ) | ||||||||||||||
Tangshan Sanyou Chemical Industries Co., Ltd. | 07/17/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 323,974 USD | (35,051 | ) | ||||||||||||||
Tangshan Sanyou Chemical Industries Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 177,726 USD | (26,686 | ) | ||||||||||||||
Tangshan Sunfar Silicon Industry Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 734 USD | (192 | ) | ||||||||||||||
Tapestry, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 1,562,473 USD | (83,117 | ) | ||||||||||||||
Targa Resources Corp. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 376,976 USD | 9,568 |
See Notes to Consolidated Financial Statements.
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September 30, 2021 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Target Corp. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 3,958,524 USD | $ | (132,346 | ) | |||||||||||||
TBEA Co., Ltd. | 07/25/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 664,293 USD | (14,445 | ) | ||||||||||||||
TBEA Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 501,879 USD | (16,665 | ) | ||||||||||||||
TechnipFMC PLC | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 128,111 USD | 16,518 | |||||||||||||||
Teck Resources Ltd. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 418,000 USD | 31,003 | |||||||||||||||
Tecsum Tech Co., Ltd. | 09/27/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 3,927 USD | (218 | ) | ||||||||||||||
Tecsum Tech Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 2,706 USD | (156 | ) | ||||||||||||||
Tenable Holdings, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 54,340 USD | 1,167 | |||||||||||||||
Teradyne, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 2,073,092 USD | (121,897 | ) | ||||||||||||||
TEYI Pharmaceutical Group Co., Ltd. | 08/23/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 11,792 USD | (217 | ) | ||||||||||||||
TEYI Pharmaceutical Group Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 8,181 USD | (183 | ) | ||||||||||||||
Thinkon Semiconductor Jinzhou Corp. | 08/09/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 160,081 USD | 4,364 | |||||||||||||||
Thinkon Semiconductor Jinzhou Corp. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 129,747 USD | 3,446 | |||||||||||||||
Thor Industries, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 1,256,676 USD | 114,431 | |||||||||||||||
Three’s Co Media Group Co., Ltd. | 08/14/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 688 USD | (48 | ) | ||||||||||||||
Tiandi Science & Technology Co., Ltd. | 08/21/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 189,872 USD | 316 | |||||||||||||||
Tiandi Science & Technology Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 99,264 USD | (717 | ) | ||||||||||||||
Tianjin Guangyu Development Co., Ltd. | 10/03/23 | M | 0.00 | % | JPMorgan Chase Bank, N.A. | 469 USD | 5 | |||||||||||||||
Tianjin Guangyu Development Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 235 USD | 2 | |||||||||||||||
Tianjin Port Co., Ltd. | 09/18/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 256,531 USD | (8,410 | ) | ||||||||||||||
Tianjin Port Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 202,131 USD | (5,807 | ) | ||||||||||||||
Tianjin Ringpu Bio-Technology Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 89,110 USD | 4,557 | |||||||||||||||
Tianjin Ringpu Bio-Technology Co., Ltd. | 08/21/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 137,704 USD | (837 | ) |
See Notes to Consolidated Financial Statements.
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September 30, 2021 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Tianjin Zhonghuan Semiconductor Co., Ltd. | 10/02/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 208,115 USD | $ | (1,556 | ) | |||||||||||||
Tianjin Zhonghuan Semiconductor Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 90,547 USD | (1,819 | ) | ||||||||||||||
Tianjin ZhongXin Pharmaceutical Group Corp. Ltd. | 10/11/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 145,510 USD | 673 | |||||||||||||||
Tianjin ZhongXin Pharmaceutical Group Corp. Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 63,161 USD | (398 | ) | ||||||||||||||
Tianma Microelectronics Co., Ltd. | 07/12/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 22,341 USD | (502 | ) | ||||||||||||||
Tianma Microelectronics Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 15,799 USD | (260 | ) | ||||||||||||||
Tianqi Lithium Corp. | 02/22/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 59,704 USD | (1,543 | ) | ||||||||||||||
Tianqi Lithium Corp. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 51,820 USD | (1,519 | ) | ||||||||||||||
Tianze Information Industry, Inc. | 02/22/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 75 USD | (8 | ) | ||||||||||||||
Tibet Cheezheng Tibetan Medicine Co., Ltd. | 07/25/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 212,147 USD | 3,628 | |||||||||||||||
Tibet Cheezheng Tibetan Medicine Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 199,509 USD | 3,120 | |||||||||||||||
Tibet Summit Resources Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 3,733 USD | (456 | ) | ||||||||||||||
Tieling Newcity Investment Holding Group, Ltd. | 10/11/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 4,306 USD | 119 | |||||||||||||||
Tieling Newcity Investment Holding Group, Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 3,175 USD | 85 | |||||||||||||||
Tilray, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 82,927 USD | 517 | |||||||||||||||
Timken Co. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 2,529,617 USD | (4,536 | ) | ||||||||||||||
TongFu Microelectronics Co., Ltd. | 07/06/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 62,553 USD | (906 | ) | ||||||||||||||
TongFu Microelectronics Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 44,426 USD | (99 | ) | ||||||||||||||
Tongkun Group Co., Ltd. | 07/03/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 212,339 USD | (8,969 | ) | ||||||||||||||
Tongkun Group Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 149,983 USD | (6,029 | ) |
See Notes to Consolidated Financial Statements.
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September 30, 2021 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Tongling Jingda Special Magnet Wire Co., Ltd. | 08/07/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 48,746 USD | $ | (3,288 | ) | |||||||||||||
Tongling Jingda Special Magnet Wire Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 38,280 USD | (4,187 | ) | ||||||||||||||
Tongling Nonferrous Metals Group Co., Ltd. | 08/23/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 271,781 USD | (4,404 | ) | ||||||||||||||
Tongling Nonferrous Metals Group Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 203,258 USD | (18,412 | ) | ||||||||||||||
Tongwei Co., Ltd. | 10/11/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 372,448 USD | 6,716 | |||||||||||||||
Tongwei Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 134,333 USD | 2,828 | |||||||||||||||
Tongyu Communications Co., Ltd. | 07/19/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 59,039 USD | (545 | ) | ||||||||||||||
Tongyu Communications Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 42,324 USD | (403 | ) | ||||||||||||||
Topbuild Corp. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 49,091 USD | (3,418 | ) | ||||||||||||||
Topchoice Medical Corp. | 01/18/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 45,717 USD | 3,310 | |||||||||||||||
Topchoice Medical Corp. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 30,382 USD | 2,333 | |||||||||||||||
Toro Co. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 3,118,965 USD | (45,192 | ) | ||||||||||||||
Toronto-Dominion Bank | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 2,614,808 USD | 84,046 | |||||||||||||||
Trade Desk, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 520,677 USD | (7,768 | ) | ||||||||||||||
Tradeweb Markets, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 1,664,062 USD | (55,409 | ) | ||||||||||||||
Trane Technologies PLC | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 6,697,750 USD | (312,290 | ) | ||||||||||||||
Transunion | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 3,056,119 USD | (55,308 | ) | ||||||||||||||
Tri Pointe Homes, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 190,360 USD | (5,636 | ) | ||||||||||||||
Trillium Therapeutics, Inc. | 08/25/23 | M | 0.58 | % | JPMorgan Chase Bank, N.A. | 8,611,302 USD | 134,474 | |||||||||||||||
TripAdvisor, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 864,853 USD | (21,548 | ) | ||||||||||||||
Trium Science & Technology Co., Ltd. | 09/01/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 149,567 USD | (19,174 | ) | ||||||||||||||
Trium Science & Technology Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 125,529 USD | (16,352 | ) |
See Notes to Consolidated Financial Statements.
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September 30, 2021 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Tus Environmental Science And Technology Development Co., Ltd. | 09/27/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 4,224 USD | $ | (104 | ) | |||||||||||||
Tus Environmental Science And Technology Development Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 3,582 USD | (108 | ) | ||||||||||||||
Twilio, Inc . | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 7,088,039 USD | (415,746 | ) | ||||||||||||||
Twist Bioscience Corp. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 9,598 USD | (1,041 | ) | ||||||||||||||
Twitter, Inc. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 1,982,788 USD | (48,737 | ) | ||||||||||||||
Two Harbors Investment Corp. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 9,052 USD | (182 | ) | ||||||||||||||
Ubisoft Entertainment | 05/29/23 | M | 0.07 | % | Morgan Stanley Capital Services LLC | 19,132,037 EUR | (541,746 | ) | ||||||||||||||
UBS Group AG | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 75,378 USD | (110 | ) | ||||||||||||||
UGI Corp. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 1,035,247 USD | 7,622 | |||||||||||||||
UiPath, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 145,384 USD | 241 | |||||||||||||||
Ulta Beauty, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 16,049 USD | (890 | ) | ||||||||||||||
Ultra Electronics Holdings PLC | 08/18/23 | M | 0.00 | % | JPMorgan Chase Bank, N.A. | 11,562,368 GBP | 175,265 | |||||||||||||||
Under Armour, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 553,541 USD | (8,641 | ) | ||||||||||||||
Unigroup Guoxin Microelectronics Co., Ltd. | 08/25/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 154,325 USD | (716 | ) | ||||||||||||||
Unigroup Guoxin Microelectronics Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 113,136 USD | (1,130 | ) | ||||||||||||||
Union Optech Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 1,665 USD | (56 | ) | ||||||||||||||
Union Optech Co., Ltd. | 09/06/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 2,217 USD | (71 | ) | ||||||||||||||
United States Steel, Corp. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 767,416 USD | 17,506 | |||||||||||||||
United Therapeutics Corp. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 932,177 USD | (59,852 | ) | ||||||||||||||
UnitedHealth Group, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 3,329,322 USD | (148,308 | ) | ||||||||||||||
Universal Display Corp. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 1,205,017 USD | (114,292 | ) |
See Notes to Consolidated Financial Statements.
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September 30, 2021 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Upstart Holdings, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 1,440,578 USD | $ | (19,446 | ) | |||||||||||||
Uroica Precision Information Engineering Co., Ltd. | 04/28/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 38 USD | (4 | ) | ||||||||||||||
Vail Resorts, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 5,645,877 USD | (146,078 | ) | ||||||||||||||
Valiant Co., Ltd. | 08/29/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 6,448 USD | (611 | ) | ||||||||||||||
Valiant Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 4,565 USD | (517 | ) | ||||||||||||||
Varonis Systems, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 805,506 USD | (80,539 | ) | ||||||||||||||
Vats Liquor Chain Store Management Joint Stock Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 167,507 USD | 12,542 | |||||||||||||||
VCANBIO Cell & Gene Engineering Corp. Ltd. | 10/11/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 258,288 USD | (4,519 | ) | ||||||||||||||
Vcanbio Cell & Gene Engineering Corp., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 203,566 USD | (1,292 | ) | ||||||||||||||
Veeva Systems, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 1,484,592 USD | (2,821 | ) | ||||||||||||||
Ventas, Inc. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 40,023 USD | (327 | ) | ||||||||||||||
Veoneer, Inc. | 07/26/23 | M | 0.58 | % | JPMorgan Chase Bank, N.A. | 4,482,118 USD | (31,362 | ) | ||||||||||||||
Veracyte, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 586,696 USD | (32,455 | ) | ||||||||||||||
VEREIT, Inc. | 05/02/23 | M | 0.58 | % | JPMorgan Chase Bank, N.A. | 21,668,747 USD | (886,783 | ) | ||||||||||||||
Verizon Communications, Inc. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 9,702 USD | (88 | ) | ||||||||||||||
Viatris, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 252,930 USD | (4,003 | ) | ||||||||||||||
Viavi Solutions, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 97,832 USD | 2,290 | |||||||||||||||
Victory Giant Technology Huizhou Co., Ltd. | 09/06/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 256,696 USD | 17,980 | |||||||||||||||
Victory Giant Technology Huizhou Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 198,822 USD | 13,887 | |||||||||||||||
Vistra Corp. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 502,425 USD | 2,966 | |||||||||||||||
Visual China Group Co., Ltd. | 09/27/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 1,450 USD | (18 | ) | ||||||||||||||
Visual China Group Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 1,044 USD | (22 | ) |
See Notes to Consolidated Financial Statements.
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September 30, 2021 (Unaudited)
Reference | Termination Date | Payment Frequency | �� | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | |||||||||||||||
Vonage Holdings Corp. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 213,954 USD | $ | (445 | ) | |||||||||||||
Voya Financial, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 4,848,768 USD | 100,064 | |||||||||||||||
Walgreens Boots Alliance, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 215,226 USD | (4,348 | ) | ||||||||||||||
Walvax Biotechnology Co., Ltd. | 07/26/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 5,247 USD | (358 | ) | ||||||||||||||
Walvax Biotechnology Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 7,328 USD | (484 | ) | ||||||||||||||
Wanhua Chemical Group Co., Ltd. | 01/18/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 13,271 USD | (56 | ) | ||||||||||||||
Wanhua Chemical Group Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 34,324 USD | (1,285 | ) | ||||||||||||||
Waters Corp. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 776,812 USD | (18,621 | ) | ||||||||||||||
Watsco, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 1,509,411 USD | (51,619 | ) | ||||||||||||||
WEC Energy Group, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 33,719 USD | (1,173 | ) | ||||||||||||||
Welbilt, Inc. | 04/25/23 | M | 0.58 | % | JPMorgan Chase Bank, N.A. | 24,275,229 USD | (217,390 | ) | ||||||||||||||
Wells Fargo & Co. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 6,686,737 USD | (208,412 | ) | ||||||||||||||
Wenzhou Yihua Connector Co., Ltd. | 09/18/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 69,771 USD | (2,195 | ) | ||||||||||||||
Wenzhou Yihua Connector Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 47,923 USD | (1,569 | ) | ||||||||||||||
Western Digital Corp. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 2,233,199 USD | 12,266 | |||||||||||||||
Western Mining Co., Ltd. | 07/12/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 56,658 USD | (5,963 | ) | ||||||||||||||
Western Mining Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 41,237 USD | (4,249 | ) | ||||||||||||||
Western Superconducting Technologies Co., Ltd. | 02/06/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 44 USD | (11 | ) | ||||||||||||||
Western Superconducting Technologies Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 540 USD | (40 | ) | ||||||||||||||
Western Union Co. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 3,366,152 USD | 61,340 | |||||||||||||||
Westone Information Industry, Inc. | 09/01/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 134,361 USD | (6,923 | ) |
See Notes to Consolidated Financial Statements.
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September 30, 2021 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Westone Information Industry, Inc. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 635,742 USD | $ | (24,273 | ) | |||||||||||||
WEX, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 826,538 USD | 58,214 | |||||||||||||||
Whirlpool Corp. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 903,701 USD | (16,298 | ) | ||||||||||||||
Will Semiconductor Co., Ltd. | 01/18/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 3,779 USD | (24 | ) | ||||||||||||||
Will Semiconductor Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 29,630 USD | 405 | |||||||||||||||
Williams Cos Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 5,115 USD | 255 | |||||||||||||||
WillScot Mobile Mini Holdings Corp. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 230,341 USD | (3,195 | ) | ||||||||||||||
Winning Health Technology Group Co., Ltd. | 09/05/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 3,299 USD | 74 | |||||||||||||||
Winning Health Technology Group Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 2,117 USD | 132 | |||||||||||||||
Wix.com Ltd. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 200,532 USD | (11,225 | ) | ||||||||||||||
Wolong Real Estate Group Co., Ltd. | 08/25/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 68,788 USD | (2,585 | ) | ||||||||||||||
Wolong Real Estate Group Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 64,444 USD | (2,692 | ) | ||||||||||||||
Workiva, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 274,389 USD | (11,922 | ) | ||||||||||||||
WPT Industrial Real Estate | 08/11/23 | M | 0.48 | % | JPMorgan Chase Bank, N.A. | 7,025,677 USD | 52,236 | |||||||||||||||
WR Berkley Corp. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 325,023 USD | 6,336 | |||||||||||||||
Wuchan Zhongda Group Co., Ltd. | 09/06/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 1,779 USD | (74 | ) | ||||||||||||||
Wuchan Zhongda Group Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 1,226 USD | (22 | ) | ||||||||||||||
Wuhan East Lake High Technology Group Co, Ltd. | 10/11/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 19,468 USD | (658 | ) | ||||||||||||||
Wuhan East Lake High Technology Group Co, Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 13,331 USD | (410 | ) | ||||||||||||||
Wuhan EasyDiagnosis Biomedicine Co., Ltd. | 08/09/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 800 USD | (33 | ) | ||||||||||||||
Wuhan EasyDiagnosis Biomedicine Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 200 USD | (8 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Wuhan Jingce Electronic Gr A | 03/08/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 96 USD | $ | (25 | ) | |||||||||||||
Wuhan Jingce Electronic Gr A | 07/12/22 | M | 0.49 | % | Credit Suisse International | 50 USD | (3 | ) | ||||||||||||||
Wuhan Raycus Fiber Laser Technologies Co., Ltd. | 09/01/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 125,849 USD | (2,181 | ) | ||||||||||||||
Wuhan Raycus Fiber Laser Technologies Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 104,665 USD | (811 | ) | ||||||||||||||
Wuhan Sante Cableways Group Co., Ltd. | 09/06/23 | M | 0.00 | % | JPMorgan Chase Bank, N.A. | 13,459 USD | (616 | ) | ||||||||||||||
Wuhan Xingtu Xinke Electronics Co., Ltd. | 08/21/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 10,544 USD | (923 | ) | ||||||||||||||
Wuhan Xingtu Xinke Electronics Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 7,550 USD | (664 | ) | ||||||||||||||
Wuhu Token Science Co., Ltd. | 10/02/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 124,831 USD | (4,086 | ) | ||||||||||||||
Wuhu Token Science Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 104,329 USD | (3,192 | ) | ||||||||||||||
Wuliangye Yibin Co., Ltd. | 01/18/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 18,028 USD | 2,342 | |||||||||||||||
Wuliangye Yibin Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 8,990 USD | 1,195 | |||||||||||||||
Wuxi Apptec Co., Ltd. | 03/27/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 66,897 USD | 1,202 | |||||||||||||||
Wuxi Apptec Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 45,980 USD | (108 | ) | ||||||||||||||
Wuxi Autowell Technology Co., Ltd. | 07/03/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 234,819 USD | (10,338 | ) | ||||||||||||||
Wuxi Autowell Technology Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 158,962 USD | (6,776 | ) | ||||||||||||||
Wuxi Delinhai Environmental Technology Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 811 USD | (39 | ) | ||||||||||||||
Wuxi Huaguang Environment & Energy Group Co., Ltd. | 04/26/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 117 USD | — | |||||||||||||||
Wuxi Huaguang Environment & Energy Group Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 58 USD | — | |||||||||||||||
Wuxi Lead Intelligent Equipment Co., Ltd. | 01/18/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 193,014 USD | 6,425 | |||||||||||||||
Wuxi Lead Intelligent Equipment Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 134,092 USD | 2,066 | |||||||||||||||
Wuxi NCE Power Co., Ltd. | 05/03/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 742 USD | 47 | |||||||||||||||
Wuxi NCE Power Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 742 USD | 47 |
See Notes to Consolidated Financial Statements.
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September 30, 2021 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Wuxi Rural Commercial Bank Co., Ltd. | 09/27/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 743 USD | $ | (23 | ) | |||||||||||||
Wuxi Rural Commercial Bank Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 463 USD | (13 | ) | ||||||||||||||
Wuxi Shangji Automation Co., Ltd. | 10/11/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 595,782 USD | 27,045 | |||||||||||||||
Wuxi Shangji Automation Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 200,962 USD | 10,972 | |||||||||||||||
W.W. Grainger, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 4,375,262 USD | (94,052 | ) | ||||||||||||||
Xcel Energy, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 6,321,776 USD | (81,651 | ) | ||||||||||||||
XCMG Construction Machinery Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 141,165 USD | 8,973 | |||||||||||||||
XCMG Construction Machinery Co., Ltd. | 09/06/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 206,625 USD | 12,416 | |||||||||||||||
Xi An Global Printing Co., Ltd. | 01/18/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 6,295 USD | (357 | ) | ||||||||||||||
Xi’An Global Printing Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 4,641 USD | (262 | ) | ||||||||||||||
Xi’an Qujiang Cultural Tourism Co., Ltd. | 09/13/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 5,733 USD | 38 | |||||||||||||||
Xi’an Qujiang Cultural Tourism Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 3,915 USD | 22 | |||||||||||||||
Xiamen C & D, Inc. | 10/11/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 3,446 USD | (82 | ) | ||||||||||||||
Xiamen C & D, Inc. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 5,512 USD | (207 | ) | ||||||||||||||
Xiamen Changelight Co., Ltd. | 09/06/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 2,306 USD | (186 | ) | ||||||||||||||
Xiamen Changelight Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 4,742 USD | (385 | ) | ||||||||||||||
Xiamen Faratronic Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 2,203 USD | 10 | |||||||||||||||
Xiamen Hongxin Electronics Technology Group, Inc. | 09/18/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 502,225 USD | (38,402 | ) | ||||||||||||||
Xiamen Hongxin Electronics Technology Group, Inc. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 352,173 USD | (28,868 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Xiamen International Trade Group Corp., Ltd. | 08/14/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 86,105 USD | $ | (1,252 | ) | |||||||||||||
Xiamen International Trade Group Corp., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 81,524 USD | (1,861 | ) | ||||||||||||||
Xiamen Intretech, Inc. | 03/29/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 402 USD | 15 | |||||||||||||||
Xiamen Intretech, Inc. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 444 USD | 26 | |||||||||||||||
Xiamen Kingdomway Group Co. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 97 USD | 1 | |||||||||||||||
Xiamen Port Development Co. Ltd. | 10/11/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 9,678 USD | (151 | ) | ||||||||||||||
Xiamen Port Development Co. Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 6,635 USD | (79 | ) | ||||||||||||||
Xiamen Xiangyu Co., Ltd. | 07/19/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 18,550 USD | (1,446 | ) | ||||||||||||||
Xiamen Xiangyu Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 13,161 USD | (1,153 | ) | ||||||||||||||
Xilinmen Furniture Co., Ltd. | 07/19/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 5,238 USD | (183 | ) | ||||||||||||||
Xilinmen Furniture Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 793 USD | (43 | ) | ||||||||||||||
Xilinx, Inc. | 10/31/22 | M | 0.58 | % | JPMorgan Chase Bank, N.A. | 20,485,149 USD | (35,214 | ) | ||||||||||||||
Xilong Scientific Co., Ltd. | 10/11/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 111,687 USD | (1,510 | ) | ||||||||||||||
Xilong Scientific Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 84,769 USD | (920 | ) | ||||||||||||||
Xinfengming Group Co., Ltd. | 09/06/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 342,511 USD | (34,172 | ) | ||||||||||||||
Xinfengming Group Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 268,819 USD | (27,432 | ) | ||||||||||||||
Xingye Leather Technology Co., Ltd. | 07/26/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 6,039 USD | (162 | ) | ||||||||||||||
Xingye Leather Technology Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 4,260 USD | (111 | ) | ||||||||||||||
Xinhu Zhongbao Co., Ltd. | 09/05/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 117,240 USD | (4,431 | ) | ||||||||||||||
Xinhu Zhongbao Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 80,530 USD | (3,332 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Xinhua Winshare Publishing and Media Co., Ltd. | 09/06/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 7,586 USD | $ | (291 | ) | |||||||||||||
Xinhua Winshare Publishing and Media Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 5,174 USD | (175 | ) | ||||||||||||||
Xining Special Steel Co., Ltd. | 08/28/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 155,714 USD | (21,234 | ) | ||||||||||||||
Xining Special Steel Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 130,642 USD | (18,073 | ) | ||||||||||||||
Xinjiang Ba Yi Iron & Steel Co., Ltd. | 08/30/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 61,027 USD | (5,574 | ) | ||||||||||||||
Xinjiang Ba Yi Iron & Steel Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 44,529 USD | �� | (4,072 | ) | |||||||||||||
Xinjiang Guotong Pipeline Co., Ltd. | 10/11/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 9,310 USD | 241 | |||||||||||||||
Xinjiang Guotong Pipeline Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 6,381 USD | 173 | |||||||||||||||
Xinjiang Joinworld Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 69 USD | (18 | ) | ||||||||||||||
Xinjiang Xintai Natural Gas Co., Ltd. | 09/06/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 3,315 USD | 33 | |||||||||||||||
Xinjiang Xintai Natural Gas Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 5,257 USD | (234 | ) | ||||||||||||||
Xinjiang Zhongtai Chemical Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 552,243 USD | (92,440 | ) | ||||||||||||||
Xinlun New Materials Co., Ltd. | 10/11/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 79,514 USD | (809 | ) | ||||||||||||||
Xinlun New Materials Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 53,903 USD | (30 | ) | ||||||||||||||
Xinxiang Chemical Fiber Co., Ltd. | 07/28/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 312,493 USD | (53,234 | ) | ||||||||||||||
Xinxiang Chemical Fiber Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 284,339 USD | (50,234 | ) | ||||||||||||||
Xinxing Ductile Iron Pipes Co., Ltd. | 09/06/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 1,711 USD | (163 | ) | ||||||||||||||
Xinxing Ductile Iron Pipes Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 1,130 USD | (53 | ) | ||||||||||||||
Xinyu Iron & Steel Co., Ltd. | 04/25/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 488,748 USD | (87,788 | ) | ||||||||||||||
Xinyu Iron & Steel Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 433,906 USD | (83,703 | ) | ||||||||||||||
XJ Electric Co., Ltd. | 09/08/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 3,876 USD | (225 | ) | ||||||||||||||
XJ Electric Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 2,519 USD | (196 | ) | ||||||||||||||
XP, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 1,058,736 USD | (60,310 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
XPO Logistics, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 2,114,255 USD | $ | (49,313 | ) | |||||||||||||
XueDa XiaMen Education Technology Group Co., Ltd. | 08/28/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 240,592 USD | (121 | ) | ||||||||||||||
XueDa XiaMen Education Technology Group Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 218,848 USD | (686 | ) | ||||||||||||||
Yabao Pharmaceutical Group Co., Ltd. | 09/18/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 392,030 USD | (23,307 | ) | ||||||||||||||
Yabao Pharmaceutical Group Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 292,022 USD | (17,704 | ) | ||||||||||||||
Yangmei Chemical Co., Ltd. | 09/27/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 50,104 USD | (940 | ) | ||||||||||||||
Yangmei Chemical Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 19,242 USD | (455 | ) | ||||||||||||||
Yangtze Optical Fibre and Cable Joint Stock Co., Ltd. | 10/11/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 301,477 USD | (7,881 | ) | ||||||||||||||
Yangtze Optical Fibre and Cable Joint Stock Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 164,133 USD | (4,616 | ) | ||||||||||||||
Yangzhou Yangjie Electronic Technology Co., Ltd | 09/06/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 2,095 USD | (26 | ) | ||||||||||||||
Yangzhou Yangjie Electronic Technology Co., Ltd | 07/12/22 | M | 0.49 | % | Credit Suisse International | 1,347 USD | 32 | |||||||||||||||
Yantai Eddie Precision Machinery Co., Ltd. | 08/02/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 120 USD | (9 | ) | ||||||||||||||
Yantai Eddie Precision Machinery Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 133 USD | 1 | |||||||||||||||
Yantai Tayho Advanced materials Co., Ltd. | 07/11/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 91,226 USD | (3,539 | ) | ||||||||||||||
Yantai Tayho Advanced materials Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 66,679 USD | (3,064 | ) |
See Notes to Consolidated Financial Statements.
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September 30, 2021 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Yantai Zhenghai Magnetic Material Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 4,400 USD | $ | (328 | ) | |||||||||||||
Yantai Zhenghai Magnetic Material Co., Ltd. | 09/06/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 6,380 USD | (538 | ) | ||||||||||||||
Yanzhou Coal Mining Co., Ltd. | 10/11/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 235,124 USD | (13,061 | ) | ||||||||||||||
Yanzhou Coal Mining Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 123,206 USD | (2,529 | ) | ||||||||||||||
Yealink Network Technology Corp., Ltd. | 08/25/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 199,860 USD | 5,083 | |||||||||||||||
Yealink Network Technology Corp., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 181,884 USD | 7,971 | |||||||||||||||
Yechiu Metal Recycling China Ltd. | 09/27/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 234,681 USD | (34,353 | ) | ||||||||||||||
Yechiu Metal Recycling China Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 222,065 USD | (34,236 | ) | ||||||||||||||
Yelp, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 134,577 USD | (3,492 | ) | ||||||||||||||
YETI Holdings, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 2,606,591 USD | (218,497 | ) | ||||||||||||||
Yibin Tianyuan Group Co., Ltd. | 09/06/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 6,447 USD | (1,504 | ) | ||||||||||||||
Yibin Tianyuan Group Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 3,085 USD | (720 | ) | ||||||||||||||
Yifeng Pharmacy Chain Co., Ltd. | 10/11/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 229,622 USD | (3,963 | ) | ||||||||||||||
Yifeng Pharmacy Chain Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 118,619 USD | (2,566 | ) | ||||||||||||||
Yindu Kitchen Equipment Co., Ltd. | 08/29/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 7,514 USD | (365 | ) | ||||||||||||||
Yindu Kitchen Equipment Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 5,325 USD | (261 | ) | ||||||||||||||
Yonggao Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 49 USD | (4 | ) | ||||||||||||||
Yonyou Network Technology Co., Ltd. | 01/18/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 42,840 USD | 225 | |||||||||||||||
Yonyou Network Technology Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 32,841 USD | 380 | |||||||||||||||
Yuanli Chemical Group Co., Ltd. | 09/05/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 1,905 USD | 105 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Yuanli Chemical Group Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 1,271 USD | $ | 69 | ||||||||||||||
Yunnan Aluminium Co., Ltd. | 05/16/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 798,992 USD | (85,436 | ) | ||||||||||||||
Yunnan Aluminium Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 476,587 USD | (75,897 | ) | ||||||||||||||
Yunnan Botanee Bio-Technology Group Co., Ltd. | 07/26/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 17,189 USD | 1,752 | |||||||||||||||
Yunnan Botanee Bio-Technology Group Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 14,691 USD | 1,093 | |||||||||||||||
Yunnan Coal & Energy Co., Ltd. | 10/10/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 54,638 USD | 2,914 | |||||||||||||||
Yunnan Coal & Energy Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 39,107 USD | 2,158 | |||||||||||||||
Yunnan Luoping Zinc & Electricity Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 158,798 USD | (15,501 | ) | ||||||||||||||
Yunnan Luoping Zinc & Electricity Co., Ltd. | 09/01/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 207,135 USD | (19,930 | ) | ||||||||||||||
Yunnan Tin Co., Ltd. | 08/08/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 1,375,325 USD | (34,368 | ) | ||||||||||||||
Yunnan Tin Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 436,305 USD | (17,150 | ) | ||||||||||||||
Yusys Technologies Co., Ltd. | 03/14/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 58 USD | (2 | ) | ||||||||||||||
Zanyu Technology Group Co., Ltd. | 07/10/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 219,816 USD | (3,987 | ) | ||||||||||||||
Zanyu Technology Group Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 201,145 USD | (42 | ) | ||||||||||||||
Zbom Home Collection Co., Ltd. | 05/31/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 216 USD | (23 | ) | ||||||||||||||
Zbom Home Collection Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 78 USD | (2 | ) | ||||||||||||||
Zebra Technologies Corp. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 2,231,900 USD | (87,237 | ) | ||||||||||||||
Zendesk, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 776,144 USD | (21,006 | ) | ||||||||||||||
Zhe Jiang Taihua New Material Co., Ltd. | 09/06/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 65,817 USD | (3,208 | ) | ||||||||||||||
Zhe Jiang Taihua New Material Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 53,167 USD | (2,654 | ) | ||||||||||||||
Zhefu Holding Group Co., Ltd. | 07/07/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 33,362 USD | (956 | ) | ||||||||||||||
Zhefu Holding Group Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 24,028 USD | (630 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Zhejiang Aokang Shoes Co., Ltd. | 09/01/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 51,780 USD | $ | (3,016 | ) | |||||||||||||
Zhejiang Aokang Shoes Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 43,476 USD | (2,590 | ) | ||||||||||||||
Zhejiang Baida Precision Manufacturing Corp. | 02/03/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 254 USD | (21 | ) | ||||||||||||||
Zhejiang Baida Precision Manufacturing Corp. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 181 USD | (15 | ) | ||||||||||||||
Zhejiang Canaan Technology Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 325 USD | (39 | ) | ||||||||||||||
Zhejiang Canaan Technology Co., Ltd. | 09/27/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 330 USD | (44 | ) | ||||||||||||||
Zhejiang Century Huatong Group Co., Ltd. | 10/02/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 150,298 USD | 7,616 | |||||||||||||||
Zhejiang Century Huatong Group Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 125,947 USD | 6,201 | |||||||||||||||
Zhejiang Cfmoto Power Co., Ltd. | 05/03/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 593 USD | 120 | |||||||||||||||
Zhejiang Cfmoto Power Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 608 USD | 128 | |||||||||||||||
Zhejiang Conba Pharmaceutical Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 68 USD | (3 | ) | ||||||||||||||
Zhejiang Dafeng Industry Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 4,946 USD | (213 | ) | ||||||||||||||
Zhejiang Damon Technology Co., Ltd. | 10/11/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 46,664 USD | 1,207 | |||||||||||||||
Zhejiang Damon Technology Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 34,722 USD | 766 | |||||||||||||||
Zhejiang Entive Smart Kitchen Appliance Co., Ltd. | 08/23/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 4,951 USD | (54 | ) | ||||||||||||||
Zhejiang Entive Smart Kitchen Appliance Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 2,972 USD | (34 | ) | ||||||||||||||
Zhejiang Fenglong Electric Co., Ltd. | 01/30/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 59 USD | (1 | ) | ||||||||||||||
Zhejiang Fuchunjiang Environmental Thermoelectric Co., Ltd. | 09/18/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 20,317 USD | 21 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Zhejiang Fuchunjiang Environmental Thermoelectric Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 13,896 USD | $ | (24 | ) | |||||||||||||
Zhejiang Gongdong Medical Technology Co., Ltd. | 10/10/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 1,627 USD | (67 | ) | ||||||||||||||
Zhejiang Haers Vacuum Containers Co., Ltd. | 09/06/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 2,420 USD | (95 | ) | ||||||||||||||
Zhejiang Haers Vacuum Containers Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 1,753 USD | (70 | ) | ||||||||||||||
Zhejiang Hailiang Co., Ltd. | 09/06/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 6,896 USD | (380 | ) | ||||||||||||||
Zhejiang Hailiang Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 4,861 USD | (282 | ) | ||||||||||||||
Zhejiang Hailide New Material Co., Ltd. | 10/11/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 45,119 USD | (3,067 | ) | ||||||||||||||
Zhejiang Hailide New Material Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 30,844 USD | (2,053 | ) | ||||||||||||||
Zhejiang Henglin Chair Industry Co. Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 230 USD | (6 | ) | ||||||||||||||
Zhejiang Huatie Emergency Equipment Science & Technology Co., Ltd. | 09/06/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 1,810 USD | (120 | ) | ||||||||||||||
Zhejiang Huatie Emergency Equipment Science & Technology Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 3,169 USD | (211 | ) | ||||||||||||||
Zhejiang Jingsheng Mechanical & Electrical Co., Ltd. | 09/27/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 64,054 USD | (3,310 | ) | ||||||||||||||
Zhejiang Jingsheng Mechanical & Electrical Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 52,586 USD | (2,796 | ) | ||||||||||||||
Zhejiang Jingxing Paper JSC, Ltd. | 09/06/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 5,517 USD | (148 | ) | ||||||||||||||
Zhejiang Jingxing Paper JSC, Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 3,877 USD | (106 | ) | ||||||||||||||
Zhejiang Jiuli Hi-Tech Metals Co., Ltd. | 08/08/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 83,486 USD | (9,557 | ) | ||||||||||||||
Zhejiang Jiuli Hi-Tech Metals Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 55,684 USD | (4,735 | ) | ||||||||||||||
Zhejiang Jiuzhou Pharmaceutical Co., Ltd. | 07/25/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 306,800 USD | 3,511 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Zhejiang Jiuzhou Pharmaceutical Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 235,761 USD | $ | 1,235 | ||||||||||||||
Zhejiang Orient Gene Biotech Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 1,016 USD | (48 | ) | ||||||||||||||
Zhejiang Runtu Co., Ltd. | 09/06/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 82,545 USD | (2,962 | ) | ||||||||||||||
Zhejiang Runtu Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 57,243 USD | (2,520 | ) | ||||||||||||||
Zhejiang Satellite Petrochemical Co Ltd. | 07/03/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 8,063 USD | (857 | ) | ||||||||||||||
Zhejiang Satellite Petrochemical Co Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 5,895 USD | (834 | ) | ||||||||||||||
Zhejiang Semir Garment Co Ltd. | 03/15/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 365,620 USD | (12,949 | ) | ||||||||||||||
Zhejiang Semir Garment Co Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 276,447 USD | (8,900 | ) | ||||||||||||||
Zhejiang Shuanghuan Driveline Co., Ltd. | 10/10/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 2,302 USD | 242 | |||||||||||||||
Zhejiang Supor Co., Ltd. | 04/21/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 115,389 USD | 3,154 | |||||||||||||||
Zhejiang Supor Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 100,396 USD | 4,414 | |||||||||||||||
Zhejiang Tiantie Industry Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 13 USD | — | |||||||||||||||
Zhejiang Tieliu Clutch Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 73 USD | (5 | ) | ||||||||||||||
Zhejiang Wansheng Co., Ltd. | 06/21/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 144 USD | (29 | ) | ||||||||||||||
Zhejiang Wansheng Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 184 USD | (35 | ) | ||||||||||||||
Zhejiang Weixing Industrial Development Co., Ltd. | 09/06/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 12,370 USD | (1,285 | ) | ||||||||||||||
Zhejiang Weixing Industrial Development Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 7,874 USD | (821 | ) | ||||||||||||||
Zhejiang Windey Co., Ltd. | 09/11/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 337,388 USD | (36,318 | ) | ||||||||||||||
Zhejiang Windey Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 235,753 USD | (29,374 | ) | ||||||||||||||
Zhejiang Xinao Textiles, Inc. | 08/21/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 73,594 USD | (5,904 | ) | ||||||||||||||
Zhejiang Xinao Textiles, Inc. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 56,077 USD | (4,605 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Zhejiang Yuejian Intelligent Equipment Co., Ltd. | 09/05/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 1,531 USD | $ | (120 | ) | |||||||||||||
Zhejiang Yuejian Intelligent Equipment Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 3,829 USD | (303 | ) | ||||||||||||||
Zhejiang Sanfer Electric Co., Ltd. | 08/30/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 3,081 USD | (72 | ) | ||||||||||||||
Zhejiang Sanfer Electric Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 2,201 USD | (52 | ) | ||||||||||||||
Zhengzhou Coal Industry & Electric Power Co., Ltd. | 09/27/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 1,462 USD | (13 | ) | ||||||||||||||
Zhengzhou Coal Industry & Electric Power Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 7,296 USD | (54 | ) | ||||||||||||||
Zhengzhou Coal Mining Machinery Group Co., Ltd. | 10/11/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 122,161 USD | 2,274 | |||||||||||||||
Zhengzhou Coal Mining Machinery Group Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 102,374 USD | 1,828 | |||||||||||||||
Zhengzhou GL Tech Co., Ltd. | 07/31/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 209,342 USD | 2,849 | |||||||||||||||
Zhengzhou GL Tech Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 193,828 USD | 5,148 | |||||||||||||||
Zheshang Development Group Co., Ltd. | 08/25/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 219,933 USD | (16,714 | ) | ||||||||||||||
Zheshang Development Group Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 207,160 USD | (16,593 | ) | ||||||||||||||
Zhewen Interactive Group Co., Ltd. | 09/01/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 176,378 USD | (7,617 | ) | ||||||||||||||
Zhewen Interactive Group Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 143,671 USD | (6,297 | ) | ||||||||||||||
Zhongfu Information, Inc. | 01/25/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 393 USD | (3 | ) | ||||||||||||||
Zhongfu Information, Inc. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 396 USD | 16 | |||||||||||||||
Zhongji Innolight Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 40,749 USD | 273 | |||||||||||||||
ZhongMan Petroleum and Natural Gas Group Corp., Ltd. | 10/11/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 87,613 USD | (10,423 | ) | ||||||||||||||
ZhongMan Petroleum and Natural Gas Group Corp., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 56,071 USD | (6,419 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Zhongshan Public Utilities Group Co., Ltd. | 10/02/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 44,905 USD | $ | (914 | ) | |||||||||||||
Zhongshan Public Utilities Group Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 30,699 USD | (653 | ) | ||||||||||||||
Zhuzhou Hongda Electronics Co., Ltd. | 01/18/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 900 USD | (5 | ) | ||||||||||||||
Zhuzhou Huarui Precision Cutting Tools Co., Ltd. | 05/31/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 2,389 USD | (178 | ) | ||||||||||||||
Zhuzhou Huarui Precision Cutting Tools Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 2,438 USD | (182 | ) | ||||||||||||||
Zibo Qixiang Tengda Chemical Co., Ltd. | 09/06/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 312,806 USD | (34,581 | ) | ||||||||||||||
Zibo Qixiang Tengda Chemical Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 253,933 USD | (27,821 | ) | ||||||||||||||
Zijin Mining Group Co., Ltd. | 01/18/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 1,476 USD | (67 | ) | ||||||||||||||
Zijin Mining Group Co., Ltd. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 4,303 USD | (243 | ) | ||||||||||||||
Zillow Group, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 488,685 USD | (28,682 | ) | ||||||||||||||
ZIM Integrated Shipping Services Ltd. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 1,426,284 USD | (132,369 | ) | ||||||||||||||
ZJAMP Group Co., Ltd. | 04/24/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 61 USD | (3 | ) | ||||||||||||||
ZJBC Information Technology Co., Ltd. | 03/15/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 10 USD | (1 | ) | ||||||||||||||
Zoominfo Technologies, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 627,657 USD | (51,614 | ) | ||||||||||||||
Zte Corp. | 07/19/23 | M | 0.47 | % | JPMorgan Chase Bank, N.A. | 110,705 USD | (5,606 | ) | ||||||||||||||
Zte Corp. | 07/12/22 | M | 0.49 | % | Credit Suisse International | 78,140 USD | (2,264 | ) | ||||||||||||||
|
| |||||||||||||||||||||
Total Buys | $ | (21,347,095 | ) | |||||||||||||||||||
|
| |||||||||||||||||||||
Sells | ||||||||||||||||||||||
10X Genomics, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 1,153,945 USD | 81,166 | |||||||||||||||
Abbvie, Inc. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 361,564 USD | 4,515 | |||||||||||||||
Abercrombie & Fitch Co. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 376,262 USD | 9,483 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Abiomed, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 3,159 USD | $ | 229 | ||||||||||||||
Academy Sports & Outdoors, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 304,835 USD | 19,133 | |||||||||||||||
Acadia Healthcare Co., Ltd. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 776,417 USD | (232 | ) | ||||||||||||||
Acadia Pharmaceuticals, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 60,132 USD | 1,449 | |||||||||||||||
Activision Blizzard, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 6,415,325 USD | (105,789 | ) | ||||||||||||||
Advance Auto Parts, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 2,425,084 USD | (33,551 | ) | ||||||||||||||
Advanced Drainage Systems, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 307,490 USD | (253 | ) | ||||||||||||||
Advanced Micro Devices | 10/31/22 | M | 0.23 | % | JPMorgan Chase Bank, N.A. | 20,045,787 USD | (15,597 | ) | ||||||||||||||
Agilent Technologies, Inc. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 1,294,144 USD | 105,423 | |||||||||||||||
Agios Pharmaceuticals, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 95,148 USD | 1,741 | |||||||||||||||
Agnc Investment Corp. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 42,533 USD | 664 | |||||||||||||||
Airbnb, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 6,439,893 USD | 125,112 | |||||||||||||||
Albemarle Corp. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 1,727,818 USD | (13,213 | ) | ||||||||||||||
Alcon, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 690,598 USD | 35,572 | |||||||||||||||
Alexandria Real Estate Equities, Inc. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 337,623 USD | 3,633 | |||||||||||||||
Alkermes PLC | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 1,073,120 USD | 21,198 | |||||||||||||||
Allegiant Travel Co. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 48,611 USD | 719 | |||||||||||||||
Alteria Group, Inc. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 83,470 USD | 5,631 | |||||||||||||||
Amcor PLC | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 75,365 USD | 645 | |||||||||||||||
AMERCO | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 9,199 USD | 154 | |||||||||||||||
American Campus Communities, Inc. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 454,540 USD | 15,002 | |||||||||||||||
American Eagle Outfitters, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 3,685,970 USD | 82,407 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
American Water Works Co., Inc. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 238,123 USD | $ | 3,157 | ||||||||||||||
Ameriprise Financial, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 81,614 USD | 3,963 | |||||||||||||||
Amgen, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 442,721 USD | 6,150 | |||||||||||||||
Amkor Technology, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 431,586 USD | 10,629 | |||||||||||||||
AMN Healthcare Services, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 967,791 USD | (13,896 | ) | ||||||||||||||
Amphenol Corp. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 4,565,505 USD | 210,517 | |||||||||||||||
Analog Devices, Inc. | 08/25/23 | M | 0.23 | % | JPMorgan Chase Bank, N.A. | 1,363,878 USD | 24,708 | |||||||||||||||
Annaly Capital Management, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 42,214 USD | 1,217 | |||||||||||||||
Anthem, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 4,630,319 USD | 155,600 | |||||||||||||||
Apellis Pharmaceuticals, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 1,123,028 USD | 4,696 | |||||||||||||||
Apollo Global Management, Inc. | 09/01/23 | M | 0.23 | % | JPMorgan Chase Bank, N.A. | 91,592 USD | (3,811 | ) | ||||||||||||||
Apollo Global Management, Inc. | 03/10/23 | M | 0.00 | % | Goldman Sachs International | 23,368,553 USD | (981,916 | ) | ||||||||||||||
Aptiv PLC | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 17,550 USD | 568 | |||||||||||||||
Arena Pharmaceuticals, Inc. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 450,653 USD | 7,542 | |||||||||||||||
Ares Capital Corp. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 39,960 USD | (802 | ) | ||||||||||||||
Arrowhead Pharmaceuticals, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 22,097 USD | 496 | |||||||||||||||
Arthur J Gallagher & Co. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 6,506,518 USD | 1,445 | |||||||||||||||
Artisan Partners Asset Management, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 7,685 USD | 250 | |||||||||||||||
Ashland Global Holdings, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 757,047 USD | 18,153 | |||||||||||||||
Aspen Technology, Inc. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 210,112 USD | 4,053 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Assurant, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 175,016 USD | $ | 4,646 | ||||||||||||||
Atlas Air Worldwide Holdings | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 314,541 USD | 10,937 | |||||||||||||||
Atlassian Corp. PLC | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 221,986 USD | (2,689 | ) | ||||||||||||||
Autoliv, Inc. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 360,887 USD | 9,778 | |||||||||||||||
Avalara, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 3,048,450 USD | 208,787 | |||||||||||||||
AvalonBay Communities, Inc. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 2,371,769 USD | 44,992 | |||||||||||||||
Avangrid, Inc. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 31,002 USD | 1,599 | |||||||||||||||
Avantor, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 1,991,303 USD | 21,600 | |||||||||||||||
Avery Dennison Corp | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 697,793 USD | 29,127 | |||||||||||||||
Axalta Coating Systems Ltd. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 387,883 USD | 2,546 | |||||||||||||||
Axon Enterprise, Inc. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 572,889 USD | 7,050 | |||||||||||||||
Azek Co., Inc. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 98,562 USD | 7,164 | |||||||||||||||
Baker Hughes Co. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 21,717 USD | 276 | |||||||||||||||
Ballard Power Systems, Inc. | 05/23/23 | M | 0.95 | % | Morgan Stanley Capital Services LLC | 5,406 USD | 376 | |||||||||||||||
BancorpSouth Bank | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 175,549 USD | (9,831 | ) | ||||||||||||||
Bank of New York Mellon Corp. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 29,580 USD | (1,524 | ) | ||||||||||||||
Baxter International, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 2,100,170 USD | 39,071 | |||||||||||||||
BCE, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 20,012 USD | 338 | |||||||||||||||
Beam Therapeutics, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 231,185 USD | 8,874 | |||||||||||||||
Becton Dickinson and Co. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 5,120,430 USD | 260,569 | |||||||||||||||
Bentley Systems, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 34,010 USD | 2,174 | |||||||||||||||
Best Buy Co., Inc. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 766,694 USD | 25,984 | |||||||||||||||
Beyond Meat, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 1,377,097 USD | 88,083 | |||||||||||||||
Bio-Rad Laboratories, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 623,246 USD | 27,978 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Biogen, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 712,547 USD | $ | 30,258 | ||||||||||||||
BioMarin Pharmaceutical, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 2,153,814 USD | 28,107 | |||||||||||||||
BJ’s Wholesale Club Holdings, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 1,088,347 USD | 68,647 | |||||||||||||||
Blueprint Medicines Corp. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 498,040 USD | 18,226 | |||||||||||||||
Booking Holdings, Inc. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 392,393 USD | (6,417 | ) | ||||||||||||||
Boot Barn Holdings, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 355,771 USD | 19,043 | |||||||||||||||
Boston Properties, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 20,560 USD | 407 | |||||||||||||||
Brandywine Realty Trust | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 44,446 USD | (672 | ) | ||||||||||||||
Bright Horizons Family Solutions, Inc. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 870,094 USD | 46,819 | |||||||||||||||
Brighthouse Financial, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 306,890 USD | (31,250 | ) | ||||||||||||||
Bristol-Myers Squibb Co. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 873,836 USD | 19,421 | |||||||||||||||
Broadcom, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 6,662,607 USD | 191,701 | |||||||||||||||
Broadridge Financial Solutions, Inc. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 323,839 USD | 1,058 | |||||||||||||||
Broadstone Net Lease, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 98,769 USD | 2,332 | |||||||||||||||
Brown & Brown, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 838,452 USD | 36,312 | |||||||||||||||
Bruker Corp. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 266,372 USD | 3,800 | |||||||||||||||
Buckle, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 273,426 USD | 10,430 | |||||||||||||||
Builders Firstsource, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 106,186 USD | 3,741 | |||||||||||||||
Bumble, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 40,250 USD | 3,614 | |||||||||||||||
Burlington, Stores, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 189,270 USD | 12,890 | |||||||||||||||
C.H. Robinson Worldwide, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 3,036,155 USD | 16,124 | |||||||||||||||
C3.ai, Inc. | 05/23/23 | M | 0.80 | % | Morgan Stanley Capital Services LLC | 161,843 USD | 9,153 | |||||||||||||||
Cabot Oil & Gas Corp. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 2,631,359 USD | (220,311 | ) | ||||||||||||||
Caci International, Inc. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 1,210,897 USD | (5 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Cadence Design Systems, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 4,555,195 USD | $ | 267,020 | ||||||||||||||
Camden Property Trust | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 4,987,713 USD | 82,861 | |||||||||||||||
Canada Goose Holdings, Inc. | 05/23/23 | M | 0.65 | % | Morgan Stanley Capital Services LLC | 739 USD | 25 | |||||||||||||||
Canadian National Railway Co. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 1,455,927 USD | 7,064 | |||||||||||||||
Canadian Natural Resources, Ltd. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 42,358 USD | (138 | ) | ||||||||||||||
Canadian Pacific Railway Ltd. | 09/19/23 | M | 0.23 | % | JPMorgan Chase Bank, N.A. | 15,368,289 USD | (102,233 | ) | ||||||||||||||
Canadian Solar, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 583,500 USD | 5,017 | |||||||||||||||
Canopy Growth Corp. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 93,456 USD | 4,710 | |||||||||||||||
Cardlytics, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 912,977 USD | 54,607 | |||||||||||||||
Carlisle Cos, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 2,159,120 USD | 29,682 | |||||||||||||||
CarMax, Inc. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 2,181,396 USD | 237,684 | |||||||||||||||
Carter’s, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 1,252,329 USD | 44,802 | |||||||||||||||
Casey’s General Stores, Inc. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 182,559 USD | 2,024 | |||||||||||||||
Cassava Sciences, Inc. | 05/23/23 | M | 6.95 | % | Morgan Stanley Capital Services LLC | 364,575 USD | (63,590 | ) | ||||||||||||||
Catalent, Inc. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 862,410 USD | 19,146 | |||||||||||||||
CBRE Group, Inc. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 1,491,286 USD | 17,353 | |||||||||||||||
Celanese Corp. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 95,520 USD | 2,877 | |||||||||||||||
Celsius Holdings, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 566,937 USD | 8,379 | |||||||||||||||
Centene Corp. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 119,096 USD | 3,947 | |||||||||||||||
Centerpoint Energy, Inc. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 1,286,028 USD | 50,886 | |||||||||||||||
Ceridian HCM Holding, Inc. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 1,221,366 USD | 13,855 | |||||||||||||||
CF Industries Holdings, Inc. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 323,782 USD | 4,268 | |||||||||||||||
ChampionX Corp. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 34,848 USD | (2,650 | ) | ||||||||||||||
ChargePoint Holdings, Inc. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 75,113 USD | 2,289 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Charles River Laboratories International, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 6,318,096 USD | $ | 458,182 | ||||||||||||||
Charles Schwab Corp. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 73,205 USD | (2,476 | ) | ||||||||||||||
Chart Industries, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 881,714 USD | 9,871 | |||||||||||||||
Charter Communications, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 457,532 USD | 5,717 | |||||||||||||||
Chemed Corp. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 254,137 USD | 2,507 | |||||||||||||||
Chevron Corp. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 391,231 USD | 8,866 | |||||||||||||||
Chewy, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 2,807,754 USD | 263,028 | |||||||||||||||
Choice Hotels International, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 678,459 USD | 14,132 | |||||||||||||||
Church & Dwight Co., Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 4,282,126 USD | 63,542 | |||||||||||||||
Churchill Downs, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 4,623,864 USD | (135,002 | ) | ||||||||||||||
Cintas Corp. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 1,471,232 USD | 66,216 | |||||||||||||||
Cirrus Logic, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 243,692 USD | 5,947 | |||||||||||||||
Citizens Financial Group, Inc. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 984,544 USD | 17,884 | |||||||||||||||
Citrix Systems, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 1,128,005 USD | 20,913 | |||||||||||||||
Clarivate PLC | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 39,673 USD | 2,903 | |||||||||||||||
Clean Harbors, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 372,236 USD | (15,718 | ) | ||||||||||||||
Clorox Co. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 6,410,474 USD | (32,086 | ) | ||||||||||||||
CMC Materials, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 86,562 USD | 793 | |||||||||||||||
CME Group, Inc. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 3,221,277 USD | 79,239 | |||||||||||||||
Cognex Corp. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 2,510,194 USD | 149,159 | |||||||||||||||
Cognizant Tech Solutions | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 3,516,239 USD | 122,022 | |||||||||||||||
Colgate-Palmolive Co. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 1,217,009 USD | 25,113 | |||||||||||||||
Columbia Sportswear Co. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 93,970 USD | 2,730 | |||||||||||||||
Comerica, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 4,072,147 USD | (244,746 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Commerce Bancshares, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 335,146 USD | $ | 2,146 | ||||||||||||||
Commercial Metals Co. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 459,371 USD | (9,074 | ) | ||||||||||||||
CommVault Systems, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 648,970 USD | (955 | ) | ||||||||||||||
Conmed Corp. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 51,707 USD | (1,018 | ) | ||||||||||||||
ConocoPhillips | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 216,515 USD | (18,308 | ) | ||||||||||||||
Consolidated Edison, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 632,418 USD | 4,514 | |||||||||||||||
Continental Resources, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 36,267 USD | (4,575 | ) | ||||||||||||||
Cooper Cos. Inc. (The) | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 131,289 USD | 7,709 | |||||||||||||||
Corteva, Inc. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 624,013 USD | 13,012 | |||||||||||||||
CoStar Group, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 687,899 USD | 12,500 | |||||||||||||||
Coupa Software, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 45,315 USD | 4,548 | |||||||||||||||
Coupang, Inc. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 1,437,573 USD | 19,729 | |||||||||||||||
Crane Co. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 191,603 USD | (387 | ) | ||||||||||||||
Credicorp Ltd. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 3,198,182 USD | (187,374 | ) | ||||||||||||||
Credit Acceptance, Corp. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 180,730 USD | 2,213 | |||||||||||||||
Crowdstrike Holdings, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 396,157 USD | 12,986 | |||||||||||||||
CubeSmart | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 394,558 USD | 13,111 | |||||||||||||||
Cullen/Frost Bankers, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 91,980 USD | (1,255 | ) | ||||||||||||||
Cummins, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 4,590,479 USD | 109,833 | |||||||||||||||
CVS Health Corp. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 3,820,342 USD | (41,722 | ) | ||||||||||||||
CyrusOne, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 1,621,096 USD | 15,923 | |||||||||||||||
Darling Ingredients, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 12,615 USD | 176 | |||||||||||||||
Dell Technologies, Inc. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 2,456,571 USD | 24,532 | |||||||||||||||
Denali Therapeutics, Inc. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 43,170 USD | (873 | ) | ||||||||||||||
Desktop Metal, Inc. | 05/23/23 | M | 1.05 | % | Morgan Stanley Capital Services LLC | 26,827 USD | 1,617 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Devon Energy Corp. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 171,709 USD | $ | (42,310 | ) | |||||||||||||
Dicerna Pharmaceuticals, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 55,609 USD | 1,398 | |||||||||||||||
Digital Realty Trust, Inc. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 2,046,742 USD | 164,125 | |||||||||||||||
Dillard’s, Inc. | 05/23/23 | M | 0.50 | % | Morgan Stanley Capital Services LLC | 322,358 USD | 54,262 | |||||||||||||||
Discovery, Inc. | 05/23/23 | M | 1.45 | % | Morgan Stanley Capital Services LLC | 37,499 USD | (343 | ) | ||||||||||||||
DISH Network Corp. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 1,079,672 USD | (51,679 | ) | ||||||||||||||
Dlocal Ltd. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 34,875 USD | 4,431 | |||||||||||||||
Dollar Tree, Inc. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 1,066,130 USD | 51,019 | |||||||||||||||
Dominion Energy, Inc. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 109,538 USD | 2,344 | |||||||||||||||
Donaldson Co., Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 230,434 USD | 4,525 | |||||||||||||||
DT Midstream Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 407,885 USD | (21,546 | ) | ||||||||||||||
Duke Realty Corp. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 19,071 USD | 402 | |||||||||||||||
Dynatrace, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 3,410,203 USD | (33,971 | ) | ||||||||||||||
Eagle Materials, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 1,246,562 USD | 49,072 | |||||||||||||||
EastGroup Properties, Inc. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 51,455 USD | 299 | |||||||||||||||
Edison International | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 32,035 USD | 1,249 | |||||||||||||||
Edwards Lifesciences Corp. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 23,088 USD | 559 | |||||||||||||||
Elanco Animal Health, Inc. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 490,228 USD | 12,899 | |||||||||||||||
Electronic Arts, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 6,088,245 USD | (650,991 | ) | ||||||||||||||
Entergy Corp. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 393,705 USD | 7,389 | |||||||||||||||
Envestnet, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 177,615 USD | (7,980 | ) | ||||||||||||||
Envista Holdings Corp. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 202,058 USD | 3,335 | |||||||||||||||
EOG Resources, Inc. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 1,374,152 USD | 45,523 | |||||||||||||||
EPAM Systems, Inc. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 235,643 USD | 35 | |||||||||||||||
EQT Corp. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 316,397 USD | 10,070 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Equinix, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 30,226 USD | $ | 1,782 | ||||||||||||||
Equity Commonwealth | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 1,230,559 USD | 2,095 | |||||||||||||||
Equity LifeStyle Properties, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 168,937 USD | 7,973 | |||||||||||||||
Equity Residential | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 575,244 USD | 6,700 | |||||||||||||||
Essent Group Ltd. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 30,704 USD | (367 | ) | ||||||||||||||
Essex Property Trust, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 1,188,596 USD | 24,103 | |||||||||||||||
Estee Lauder Cos., Inc. (The) | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 6,479,654 USD | 433,965 | |||||||||||||||
ETSY, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 484,195 USD | 27,723 | |||||||||||||||
Everbridge, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 656,262 USD | 44,097 | |||||||||||||||
Evercore, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 43,521 USD | 1,682 | |||||||||||||||
Evergy, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 30,144 USD | 786 | |||||||||||||||
Evoqua Water Technologies Corp. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 412,629 USD | 9,761 | |||||||||||||||
Exelixis, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 540,717 USD | (21,544 | ) | ||||||||||||||
Exelon Corp. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 453,778 USD | 6,295 | |||||||||||||||
Extra Space Storage, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 1,262,176 USD | 39,377 | |||||||||||||||
Exxon Mobil Corp. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 5,476,768 USD | (14,432 | ) | ||||||||||||||
Facebook, Inc. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 2,263,886 USD | 93,826 | |||||||||||||||
Factset Research Systems, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 2,059,670 USD | (127,411 | ) | ||||||||||||||
Federal Realty Investment Trust | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 60,042 USD | 1,283 | |||||||||||||||
Fifth Third Bancorp. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 3,001,297 USD | (199,825 | ) | ||||||||||||||
FireEye, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 928,347 USD | (5,245 | ) | ||||||||||||||
First American Financial Corp. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 189,629 USD | (1,597 | ) | ||||||||||||||
First Citizens BancShares, Class A | 10/19/22 | M | 0.23 | % | JPMorgan Chase Bank, N.A. | 1,148,013 USD | (47,602 | ) | ||||||||||||||
First Citizens BancShares, Class A | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 222,692 USD | 7,684 | |||||||||||||||
First Industrial Realty Trust, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 43,346 USD | 1,578 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
First Interstate BancSystem, Inc. | 09/20/23 | M | 0.23 | % | JPMorgan Chase Bank, N.A. | 3,187,834 USD | $ | (163,530 | ) | |||||||||||||
First Majestic Silver Corp. | 05/23/23 | M | 0.85 | % | Morgan Stanley Capital Services LLC | 10,407 USD | 768 | |||||||||||||||
First Solar, Inc. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 772,133 USD | (4,148 | ) | ||||||||||||||
Fiserv, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 6,332,134 USD | 120,509 | |||||||||||||||
Five Below, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 2,315,704 USD | 115,480 | |||||||||||||||
Fiverr International Ltd. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 3,540,664 USD | 381,031 | |||||||||||||||
FleetCor Technologies, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 5,404,011 USD | (21,261 | ) | ||||||||||||||
Flex Acquisition Company, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 147,949 USD | 3,734 | |||||||||||||||
Floor & Décor Holdings, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 1,636,728 USD | 67,304 | |||||||||||||||
Flowers Foods, Inc. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 867,013 USD | 2,509 | |||||||||||||||
Fluor Corp. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 578,710 USD | (50,492 | ) | ||||||||||||||
Foot Locker, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 305,341 USD | 25,673 | |||||||||||||||
Fortive Corp. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 597,727 USD | 23,287 | |||||||||||||||
Fox Corp. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 4,601,087 USD | (214,319 | ) | ||||||||||||||
Freeport-McMoRan, Inc. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 2,247,580 USD | 74,706 | |||||||||||||||
Fulgent Genetics, Inc. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 377,090 USD | 1,818 | |||||||||||||||
GameStop Corp. | 05/23/23 | M | 0.75 | % | Morgan Stanley Capital Services LLC | 22,984 USD | 1,752 | |||||||||||||||
Gap, Inc. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 432,852 USD | 37,055 | |||||||||||||||
Garmin Ltd. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 156,181 USD | 5,230 | |||||||||||||||
Gartner, Inc. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 348,758 USD | 5,374 | |||||||||||||||
Generac Holdings, Inc. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 1,161,634 USD | 115,030 | |||||||||||||||
General Dynamics Corp. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 1,513,749 USD | 11,767 | |||||||||||||||
General Electric Co. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 5,859,778 USD | 52,286 | |||||||||||||||
Genuine Parts Co. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 161,397 USD | 3,313 | |||||||||||||||
GFL Environmental, Inc. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 64,923 USD | 171 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Gilead Sciences, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 1,446,364 USD | $ | 37,908 | ||||||||||||||
Glaukos., Corp. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 527,788 USD | 28,602 | |||||||||||||||
Globant SA | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 483,139 USD | 63,029 | |||||||||||||||
Globus Medical, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 30,093 USD | 1,667 | |||||||||||||||
Grand Canyon Education, Inc. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 271,667 USD | 1,542 | |||||||||||||||
Graphic Packaging Holding Co. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 1,762,671 USD | (4,641 | ) | ||||||||||||||
Growgeneration Corp. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 142,698 USD | 3,485 | |||||||||||||||
GS Custom Basket Swap - GSCBBX8X | 10/03/23 | M | 0.40 | % | Goldman Sachs International | 25,192,686 USD | (121,949 | ) | ||||||||||||||
Guardant Health, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 391,756 USD | (526 | ) | ||||||||||||||
Guidewire Software, Inc. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 970,010 USD | 2,646 | |||||||||||||||
H&R Block, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 99,056 USD | 156 | |||||||||||||||
Hain Celestial Group, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 2,237,008 USD | (194,992 | ) | ||||||||||||||
Hanesbrands, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 2,221,784 USD | 151,979 | |||||||||||||||
Healthcare Trust of America, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 1,359,686 USD | 29,495 | |||||||||||||||
Hecla Mining Co. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 47,327 USD | (347 | ) | ||||||||||||||
Healthcare Realty Trust, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 218,683 USD | 5,488 | |||||||||||||||
Helen of Troy Ltd. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 83,008 USD | 1,674 | |||||||||||||||
Helmerich & Payne, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 133,836 USD | (9,519 | ) | ||||||||||||||
Henry Schein, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 37,011 USD | 1,064 | |||||||||||||||
Herc Holdings, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 24,822 USD | (4,601 | ) | ||||||||||||||
Hewlett Packard Enterprise | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 475,236 USD | (7,653 | ) | ||||||||||||||
Hexcel Corp. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 171,848 USD | (6,144 | ) | ||||||||||||||
Highwoods Properties, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 47,402 USD | (11 | ) | ||||||||||||||
Hilton Grand Vacations, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 877,761 USD | 13,652 | |||||||||||||||
HollyFrontier Corp. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 1,330,299 USD | (117,316 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Hologic, Inc. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 44,835 USD | $ | 402 | ||||||||||||||
Home Depot, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 4,966,996 USD | 169,476 | |||||||||||||||
Horizon Therapeutics PLC | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 333,229 USD | 117 | |||||||||||||||
Hormel Foods Corp. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 1,453,747 USD | 6,529 | |||||||||||||||
Host Hotels & Resorts, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 805,898 USD | (4,903 | ) | ||||||||||||||
Houlihan Lokey, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 3,213,785 USD | (36,240 | ) | ||||||||||||||
Hubbell, Inc. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 12,774 USD | 308 | |||||||||||||||
HubSpot, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 428,909 USD | 6,353 | |||||||||||||||
Huntington Bancshares, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 1,956,579 USD | (163,745 | ) | ||||||||||||||
Huntington Bancshares, Inc. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 35,576 USD | 825 | |||||||||||||||
Huntsman Corp. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 672,381 USD | (68,583 | ) | ||||||||||||||
Hyatt Hotels Corp. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 286,928 USD | 9,907 | |||||||||||||||
Hydrofarm Holdings Group, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 385,921 USD | 23,432 | |||||||||||||||
IAC/InterActiveCorp | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 18,206 USD | 95 | |||||||||||||||
Icon PLC | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 2,551,747 USD | 75,396 | |||||||||||||||
IDACORP, Inc. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 482,624 USD | 5,732 | |||||||||||||||
IDEX Corp | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 713,757 USD | 26,062 | |||||||||||||||
IDEXX Laboratories, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 703,190 USD | 12,259 | |||||||||||||||
II-VI, Inc. | 03/29/23 | M | 0.23 | % | JPMorgan Chase Bank, N.A. | 4,460,112 USD | 751 | |||||||||||||||
Independent Bank Corp. | 04/28/23 | M | 0.23 | % | JPMorgan Chase Bank, N.A. | 3,836,321 USD | (329,312 | ) | ||||||||||||||
Ingredion, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 2,027,651 USD | (20,202 | ) | ||||||||||||||
Innovative Industrial Properties, Inc. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 126,254 USD | 6,739 | |||||||||||||||
Insulet Corp. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 579,715 USD | (7,504 | ) | ||||||||||||||
Integra LifeSciences Holdings Corp. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 365,813 USD | 17,524 | |||||||||||||||
Intellia Therapeutics, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 102,975 USD | 9,472 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Interactive Brokers Group, Inc. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 795,396 USD | $ | 31,420 | ||||||||||||||
International Flavors & Fragrances | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 2,237,292 USD | 11,522 | |||||||||||||||
Intuit, Inc. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 1,624,145 USD | 100,569 | |||||||||||||||
Intuitive Surgical, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 4,345,287 USD | 206,640 | |||||||||||||||
Iovance Biotherapeutics, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 372,735 USD | (1,061 | ) | ||||||||||||||
IPG Photonics Corp. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 344,294 USD | 4,843 | |||||||||||||||
Itron, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 729,976 USD | 16,785 | |||||||||||||||
J2 Global, Inc. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 170,121 USD | 4,947 | |||||||||||||||
Jacobs Engineering Group, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 1,260,533 USD | 24,293 | |||||||||||||||
Janus Henderson Group plc | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 1,767,639 USD | (24,719 | ) | ||||||||||||||
JB Hunt Transport Services, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 1,228,727 USD | 38,288 | |||||||||||||||
Jefferies Financial Group, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 648,528 USD | (20,109 | ) | ||||||||||||||
JM Smucker Co. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 989,456 USD | 12,412 | |||||||||||||||
John Bean Technologies Corp. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 207,919 USD | 20,003 | |||||||||||||||
Johnson & Johnson | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 2,154,755 USD | 16,011 | |||||||||||||||
JPMorgan Chase & Co. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 6,531,320 USD | 72,931 | |||||||||||||||
Juniper Networks, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 52,056 USD | 786 | |||||||||||||||
KBR, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 60,635 USD | (1 | ) | ||||||||||||||
Kellogg Co. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 6,319,743 USD | (63,756 | ) | ||||||||||||||
Keurig Dr. Pepper, Inc. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 3,679,514 USD | 65,796 | |||||||||||||||
KeyCorp | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 117,052 USD | (2,010 | ) | ||||||||||||||
Keysight Technologies., Inv. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 5,412 USD | 483 | |||||||||||||||
Kimberly-Clark Corp. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 838,869 USD | 7,940 | |||||||||||||||
Kimco Realty Corp. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 761,781 USD | 23,828 | |||||||||||||||
Kinross Gold corp. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 35,449 USD | 839 |
See Notes to Consolidated Financial Statements.
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September 30, 2021 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Kirkland Lake Gold Ltd. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 1,137,866 USD | $ | 10,486 | ||||||||||||||
Kite Realty Group Trust | 07/21/23 | M | 0.23 | % | JPMorgan Chase Bank, N.A. | 1,293,889 USD | 10,089 | |||||||||||||||
Knight-Swift Transportation Holdings, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 1,574,871 USD | 35,512 | |||||||||||||||
Kohl’s Corp. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 250,315 USD | 25,366 | |||||||||||||||
Kontoor Brands, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 142,923 USD | 10,456 | |||||||||||||||
Kroger Co. (The) | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 3,947,363 USD | 48,698 | |||||||||||||||
Kulicke & Soffa Industries, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 294,417 USD | 31,691 | |||||||||||||||
L3Harris Technologies, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 2,974,588 USD | 15,444 | |||||||||||||||
Laboratory Corp. of America Holdings | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 16,605 USD | 563 | |||||||||||||||
Lam Research Corp. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 39,535 USD | 1,971 | |||||||||||||||
Lamar Advertising Co. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 804,222 USD | 16,539 | |||||||||||||||
Lamb Weston Holdings, Inc. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 49,292 USD | 626 | |||||||||||||||
Landstar System, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 2,658,769 USD | 76,676 | |||||||||||||||
Las Vegas Sands Corp. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 4,960,671 USD | (52,321 | ) | ||||||||||||||
Lattice Semiconductor Corp. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 18,688 USD | 69 | |||||||||||||||
Leidos Holdings, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 1,203,292 USD | 4,262 | |||||||||||||||
Lemonade, Inc. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 349,264 USD | 24,065 | |||||||||||||||
Lennar Corp. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 13,688 USD | 573 | |||||||||||||||
Lennox International, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 50,587 USD | 1,755 | |||||||||||||||
Levi Strauss & Co. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 636,685 USD | 28,175 | |||||||||||||||
Lexington Realty Trust | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 189,926 USD | 8,264 | |||||||||||||||
Liberty Broadband Corp. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 22,007 USD | 246 | |||||||||||||||
Liberty Media Corp-Liberty Formula One | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 473,502 USD | (2,709 | ) |
See Notes to Consolidated Financial Statements.
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September 30, 2021 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Life Storage, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 1,859,072 USD | $ | 82,094 | ||||||||||||||
Lithia Motors, Inc. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 64,975 USD | 5,689 | |||||||||||||||
LivePerson, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 166,458 USD | 20,674 | |||||||||||||||
Lockheed Martin Corp. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 6,544,354 USD | 93,400 | |||||||||||||||
Louisiana-Pacific Corp. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 224,552 USD | 8,529 | |||||||||||||||
Lowe’s Cos Inc | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 5,493,998 USD | 99,748 | |||||||||||||||
LPL Financial Holdings, Inc. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 425,472 USD | (5,931 | ) | ||||||||||||||
Lumentum Holdings, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 417,241 USD | 11,237 | |||||||||||||||
Luminar Technologies, Inc. | 05/23/23 | M | 0.75 | % | Morgan Stanley Capital Services LLC | 85 USD | 7 | |||||||||||||||
M & T Bank Corp. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 3,393,618 USD | (42,994 | ) | ||||||||||||||
M&T Bank | 02/24/23 | M | 0.23 | % | JPMorgan Chase Bank, N.A. | 16,064,158 USD | (1,920,859 | ) | ||||||||||||||
Marathon Oil Corp. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 5,933 USD | (1,175 | ) | ||||||||||||||
Maravai LifeSciences Holdings, Inc. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 84,774 USD | 62 | |||||||||||||||
MarketAxess Holdings, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 431,252 USD | 3,410 | |||||||||||||||
Marriott International, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 6,301,431 USD | (35,637 | ) | ||||||||||||||
Marriott Vacations Worldwide Corp. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 77,837 USD | 2,948 | |||||||||||||||
Marsh & McLennan Cos., Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 2,565,066 USD | 75,557 | |||||||||||||||
Martin Marietta Materials, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 3,981,296 USD | 162,339 | |||||||||||||||
Mastercard, Inc. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 6,554,887 USD | 94,644 | |||||||||||||||
Maximus, Inc. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 265,742 USD | 2,747 | |||||||||||||||
McCormick & Co., Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 1,177,909 USD | 57,913 | |||||||||||||||
Medical Properties Trust, Inc. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 128,223 USD | 3,207 | |||||||||||||||
Medpace Holdings, Inc. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 54,173 USD | 2,500 | |||||||||||||||
Merck & Co., Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 6,242,558 USD | (267,226 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Metter-Toledo International | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 4,697 USD | $ | 565 | ||||||||||||||
MGIC Investment Corp. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 480,491 USD | (9,165 | ) | ||||||||||||||
Microchip Technology, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 933,649 USD | 36,193 | |||||||||||||||
Mid-America Apartment Communities, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 625,021 USD | 9,119 | |||||||||||||||
Mirati Therapeutics, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 2,648,083 USD | (56,694 | ) | ||||||||||||||
Molina Healthcare, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 734,917 USD | 21,101 | |||||||||||||||
Monolithic Power Systems, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 6,011,580 USD | 223,047 | |||||||||||||||
Morningstar, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 236,016 USD | 12,732 | |||||||||||||||
Mosaic Co. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 266,549 USD | (16,389 | ) | ||||||||||||||
Motorola Solutions, Inc. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 1,093,943 USD | 21,553 | |||||||||||||||
Murphy Oil Corp. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 119,010 USD | (28,688 | ) | ||||||||||||||
Murphy USA, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 502,447 USD | (15,892 | ) | ||||||||||||||
NASDAQ 100 E-Mini | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 1,611,246 USD | 15,936 | |||||||||||||||
National Vision Holdings, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 827,916 USD | 20,930 | |||||||||||||||
nCino, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 51,654 USD | 4,277 | |||||||||||||||
NeoGenomics, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 1,953,110 USD | (26,756 | ) | ||||||||||||||
NetApp, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 115,942 USD | 3,114 | |||||||||||||||
Netflix, Inc. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 6,418,861 USD | (220,417 | ) | ||||||||||||||
Neuricrine Biosciences, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 31,322 USD | (41 | ) | ||||||||||||||
Nevro Corp. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 1,246,836 USD | 74,540 | |||||||||||||||
New York Community Bancorp, Inc. | 04/28/23 | M | 0.23 | % | JPMorgan Chase Bank, N.A. | 82,384 USD | (2,506 | ) | ||||||||||||||
New York Times Co. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 2,154,880 USD | 52,382 | |||||||||||||||
Newmont Corp. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 38,200 USD | 408 | |||||||||||||||
NextEra Energy, Inc. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 546,967 USD | 1,803 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Nike, Inc. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 3,586,976 USD | $ | 35,812 | ||||||||||||||
Nordson Corp. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 1,325,473 USD | 18,268 | |||||||||||||||
Northrop Grumman Corp. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 6,515,686 USD | (46,967 | ) | ||||||||||||||
NortonLifeLock, Inc. | 08/15/23 | M | 0.23 | % | JPMorgan Chase Bank, N.A. | 266,786 USD | (3,418 | ) | ||||||||||||||
Nov, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 83,624 USD | (4,646 | ) | ||||||||||||||
Novavax, Inc. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 1,938,213 USD | (5,733 | ) | ||||||||||||||
Novocure Ltd. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 12,836 USD | 1,219 | |||||||||||||||
Nutrien Ltd. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 1,325,587 USD | (11,403 | ) | ||||||||||||||
NVIDIA Corp. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 5,094,251 USD | (27,987 | ) | ||||||||||||||
NVR, Inc. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 448,786 USD | 17,319 | |||||||||||||||
NXP Semiconductors NV | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 756,446 USD | 37,407 | |||||||||||||||
O’Reilly Automotive, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 6,405,961 USD | (4,058 | ) | ||||||||||||||
Old Dominion Freight Line | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 6,170,754 USD | 251,826 | |||||||||||||||
Omnicell, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 25,990 USD | 1,053 | |||||||||||||||
ONEOK, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 415,364 USD | 7,173 | |||||||||||||||
Open Lending Corp. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 901,015 USD | 62,964 | |||||||||||||||
Opendoor Technologies, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 153,693 USD | (5,312 | ) | ||||||||||||||
Option Care Health, Inc. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 58,720 USD | 84 | |||||||||||||||
Ormat Technologies, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 864,769 USD | 13,227 | |||||||||||||||
Otis Worldwide Corp. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 1,146,818 USD | 44,348 | |||||||||||||||
Pacific Biosciences of California, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 488,259 USD | (12,853 | ) | ||||||||||||||
Packaging Corp of America | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 3,724,692 USD | 73,874 | |||||||||||||||
Pagseguro Digital Ltd. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 595,333 USD | 40,947 | |||||||||||||||
Palantir Technologies, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 72,112 USD | 11,940 | |||||||||||||||
Palo Alto Networks, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 4,209,993 USD | (32,989 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Paycom Software, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 4,131,342 USD | $ | (27,009 | ) | |||||||||||||
Paylocity Holding Corp. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 3,800,780 USD | 56,880 | |||||||||||||||
Pegasystems, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 54,242 USD | 3,148 | |||||||||||||||
Penn National Gaming, Inc. | 08/09/23 | M | 0.23 | % | JPMorgan Chase Bank, N.A. | 5,996,983 USD | (197,477 | ) | ||||||||||||||
Penske Automotive Group, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 510,544 USD | (22,133 | ) | ||||||||||||||
Pentair PLC | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 728,821 USD | 26,125 | |||||||||||||||
Perficient, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 1,452,741 USD | 10,772 | |||||||||||||||
Performance Food Group Co. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 733,280 USD | (20,441 | ) | ||||||||||||||
PerkinElmer, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 310,437 USD | 24,162 | |||||||||||||||
Petco Health & Wellness Co., Inc. | 05/23/23 | M | 0.50 | % | Morgan Stanley Capital Services LLC | 344,034 USD | 13,924 | |||||||||||||||
Philip Morris International, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 254,985 USD | 19,527 | |||||||||||||||
Phreesia, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 131,141 USD | 1,263 | |||||||||||||||
Physicians Realty Trust | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 57,613 USD | 2,005 | |||||||||||||||
Pioneer Natural Resources Co. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 2,597,714 USD | 63,099 | |||||||||||||||
PNC Financial Services Group, Inc. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 5,823,514 USD | 108,283 | |||||||||||||||
Portland General Electric Co. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 41,015 USD | 980 | |||||||||||||||
Power Integrations, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 63,502 USD | 3,811 | |||||||||||||||
Principal Financial Group, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 303,366 USD | (13,224 | ) | ||||||||||||||
Procore Technologies, Inc. | 05/23/23 | M | 2.00 | % | Morgan Stanley Capital Services LLC | 178,802 USD | 5,572 | |||||||||||||||
Procter & Gamble Co. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 1,012,277 USD | 16,482 | |||||||||||||||
Progyny, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 531,718 USD | 42,782 | |||||||||||||||
Prologis, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 316,602 USD | 2,651 | |||||||||||||||
Prosperity Bancshares, Inc. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 15,442 USD | 149 | |||||||||||||||
Proterra, Inc. | 05/23/23 | M | 1.30 | % | Morgan Stanley Capital Services LLC | 265,430 USD | (2,920 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Proto Labs, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 4,462 USD | $ | 266 | ||||||||||||||
Public Service Enterprise Group, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 67,651 USD | 905 | |||||||||||||||
Public Storage | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 2,531,204 USD | 42,100 | |||||||||||||||
Pure Storage, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 77,502 USD | 1,569 | |||||||||||||||
QIAGEN NV | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 1,950,248 USD | 112,042 | |||||||||||||||
Qualtrics International, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 596,358 USD | 32,831 | |||||||||||||||
Qualys, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 37,891 USD | 1,721 | |||||||||||||||
Quest Diagnostics, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 2,121,403 USD | 124,117 | |||||||||||||||
Quidel Corp. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 109,625 USD | (1,601 | ) | ||||||||||||||
Ralph Lauren Corp. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 729,393 USD | 48,052 | |||||||||||||||
Rapid7, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 1,093,052 USD | 53,268 | |||||||||||||||
Raymond James Financial, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 879,285 USD | 10,284 | |||||||||||||||
Rayonier, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 40,395 USD | 1,147 | |||||||||||||||
Raytheon Technologies Corp. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 426,437 USD | (14,623 | ) | ||||||||||||||
Realty Income Corp. | 05/02/23 | M | 0.23 | % | JPMorgan Chase Bank, N.A. | 21,344,881 USD | 758,576 | |||||||||||||||
Redfin Corp. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 38,029 USD | 1,055 | |||||||||||||||
Regal Rexnord Corp. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 874,315 USD | (4,723 | ) | ||||||||||||||
Regency Centers Corp. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 47,093 USD | (105 | ) | ||||||||||||||
Regeneron Pharmaceuticals, Inc. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 394,640 USD | 25,480 | |||||||||||||||
Regions Financial Corp. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 197,381 USD | 3,673 | |||||||||||||||
Renewable Energy Group, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 15,298 USD | (314 | ) | ||||||||||||||
Replimune Group, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 2,693,105 USD | 207,213 | |||||||||||||||
Republic Services, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 2,734,925 USD | 82,199 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
ResMed, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 3,183,212 USD | $ | 272,566 | ||||||||||||||
Revolve Group, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 247,451 USD | 24,214 | |||||||||||||||
Rexford Industrial Realty, Inc. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 82,116 USD | 963 | |||||||||||||||
Rexnord Corp. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 2,503,353 USD | (110,935 | ) | ||||||||||||||
RingCentral, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 3,632,495 USD | 82,242 | |||||||||||||||
Ritchie Bros Auctioneers, Inc. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 8,516 USD | 7 | |||||||||||||||
Robert Half International, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 125,677 USD | 1,970 | |||||||||||||||
ROBLOX Corp. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 1,003,813 USD | 24,610 | |||||||||||||||
Roku, Inc. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 166,765 USD | (3,697 | ) | ||||||||||||||
Rollins, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 46,383 USD | 2,538 | |||||||||||||||
Ryder System, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 190,642 USD | (9,350 | ) | ||||||||||||||
S&P Global, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 1,988,091 USD | 112,202 | |||||||||||||||
Sarepta Therapeutics, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 1,422,686 USD | (78,912 | ) | ||||||||||||||
Science Applications International Corp. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 92,194 USD | 987 | |||||||||||||||
Scotts Miracle-Group Co. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 392,257 USD | 11,575 | |||||||||||||||
Seagen, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 1,329,816 USD | (38,603 | ) | ||||||||||||||
SEI Investments Co. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 34,628 USD | (893 | ) | ||||||||||||||
Sensata Technologies Holding PLC | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 26,758 USD | 1,532 | |||||||||||||||
ServiceNow, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 6,900,548 USD | 336,844 | |||||||||||||||
Shift4 Payments, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 6,648 USD | 679 | |||||||||||||||
Shockwave Medical, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 8,834 USD | 393 | |||||||||||||||
Shutterstock, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 510,857 USD | 16,329 | |||||||||||||||
Signature Bank | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 1,080,455 USD | (58,220 | ) | ||||||||||||||
Silicon Laboratories, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 1,025,847 USD | 18,797 | |||||||||||||||
Silvergate Capital Corp. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 72,223 USD | (2,275 | ) |
See Notes to Consolidated Financial Statements.
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September 30, 2021 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Simon Property Group, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 979,263 USD | $ | 6,178 | ||||||||||||||
Site Centers Corp. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 33,483 USD | 194 | |||||||||||||||
Siteone Landscape Supply, Inc. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 248,412 USD | 6,454 | |||||||||||||||
Skillz, Inc. | 05/23/23 | M | 5.85 | % | Morgan Stanley Capital Services LLC | 45,556 USD | 3,192 | |||||||||||||||
Skyline Champion Corp | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 91,852 USD | 2,543 | |||||||||||||||
SL Green Realty Corp. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 155,123 USD | 6,146 | |||||||||||||||
Smartsheet, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 1,491,995 USD | 103,414 | |||||||||||||||
SolarEdge Technologies, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 751,330 USD | 22,241 | |||||||||||||||
Sorrento Therapeutics, Inc. | 05/23/23 | M | 1.40 | % | Morgan Stanley Capital Services LLC | 21,744 USD | 1,006 | |||||||||||||||
Southern Copper, Corp. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 49,762 USD | 2,605 | |||||||||||||||
Southwest Airlines Co. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 845,233 USD | (39,209 | ) | ||||||||||||||
Sprout Social, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 56,954 USD | 8,661 | |||||||||||||||
Sprouts Farmers Market, Inc. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 123,947 USD | 3,115 | |||||||||||||||
Square, Inc. | 08/07/23 | M | 0.23 | % | JPMorgan Chase Bank, N.A. | 22,607,199 USD | 1,030,953 | |||||||||||||||
STAG Industrial, Inc. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 112,029 USD | 2,286 | |||||||||||||||
Starwood Property Trust, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 5,021 USD | 115 | |||||||||||||||
State Street Corp. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 805,545 USD | (29,879 | ) | ||||||||||||||
Steel Dynamics, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 91,931 USD | 5,030 | |||||||||||||||
Stem, Inc. | 05/23/23 | M | 0.55 | % | Morgan Stanley Capital Services LLC | 25,472 USD | 1,343 | |||||||||||||||
Stericycle, Inc. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 89,881 USD | 1,860 | |||||||||||||||
Stifel Financial Corp. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 48,255 USD | 479 | |||||||||||||||
Stitch Fix, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 140,032 USD | (17,731 | ) | ||||||||||||||
Stryker Corp. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 2,530,119 USD | 70,402 | |||||||||||||||
Sun Communities, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 1,444,228 USD | 29,324 | |||||||||||||||
SVB Financial Group | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 841,589 USD | 10,348 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Synchrony Financial | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 1,167,670 USD | $ | (33,165 | ) | |||||||||||||
Synovus Financial Corp. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 88,176 USD | (11,234 | ) | ||||||||||||||
Sysco Corp. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 1,178,715 USD | 4,669 | |||||||||||||||
Take-Two Interactive Software, Inc. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 1,854,504 USD | (29,310 | ) | ||||||||||||||
Taylor Morrison Home Corp. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 27,824 USD | 394 | |||||||||||||||
TC Energy Corp. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 14,448 USD | 694 | |||||||||||||||
TE Connectivity Ltd. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 7,102 USD | 378 | |||||||||||||||
Teladoc Health, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 647,515 USD | 49,986 | |||||||||||||||
Teledyne Technologies, Inc. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 48,070 USD | 387 | |||||||||||||||
Teleflex, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 1,815,450 USD | 17,424 | |||||||||||||||
TELUS Corp. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 4,818 USD | 119 | |||||||||||||||
Tempur Sealy International, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 1,110,563 USD | 44,340 | |||||||||||||||
Teradata Corp. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 601,644 USD | (52,891 | ) | ||||||||||||||
Terex Corp. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 472,987 USD | 162 | |||||||||||||||
Terminix Global Holdings, Inc. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 29,779 USD | 860 | |||||||||||||||
Tesla, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 6,713,177 USD | 133,229 | |||||||||||||||
Tetra Tech, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 1,411,297 USD | (34,463 | ) | ||||||||||||||
Texas Instruments, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 5,056,520 USD | 19,849 | |||||||||||||||
Texas Roadhouse, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 1,846,686 USD | 1,729 | |||||||||||||||
Textron, Inc. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 783,278 USD | 219 | |||||||||||||||
TG Therapeutics, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 938,689 USD | (52,190 | ) | ||||||||||||||
Thomson Reuters Corp. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 1,522,670 USD | 76,156 | |||||||||||||||
Tjx Cos Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 2,634,936 USD | 133,370 | |||||||||||||||
Toll Brothers, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 199,400 USD | 15,285 | |||||||||||||||
Tractor Supply Co. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 5,326,073 USD | 113,728 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Travelers Cos., Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 942,142 USD | $ | 5,913 | ||||||||||||||
Trex Co., Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 59,990 USD | 3,011 | |||||||||||||||
Truist Financial Corp. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 1,564,933 USD | 6,426 | |||||||||||||||
Trupanion, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 55,342 USD | 5,478 | |||||||||||||||
TuSimple Holdings, Inc. | 05/23/23 | M | 1.20 | % | Morgan Stanley Capital Services LLC | 295,570 USD | 17,875 | |||||||||||||||
Tyler Technologies, Inc. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 866,231 USD | 38,826 | |||||||||||||||
Tyson Foods, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 1,220,613 USD | (32,559 | ) | ||||||||||||||
Uber Technologies, Inc. | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 41,077 USD | (407 | ) | ||||||||||||||
UDR, Inc. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 176,633 USD | 2,276 | |||||||||||||||
Ultragenyx Pharmaceuticals, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 105,345 USD | (178 | ) | ||||||||||||||
Union Pacific Corp. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 3,162,182 USD | 141,864 | |||||||||||||||
United Parcel Service, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 2,480,233 USD | 74,692 | |||||||||||||||
United Rentals, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 2,765,667 USD | (102,133 | ) | ||||||||||||||
Unum Group | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 151,855 USD | (10,634 | ) | ||||||||||||||
Upwork, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 58,523 USD | 5,838 | |||||||||||||||
Urban Edge Properties | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 350,976 USD | 25,336 | |||||||||||||||
US Bancorp | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 2,899,440 USD | (66,081 | ) | ||||||||||||||
US Food Holdings Corp. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 66,492 USD | (1,511 | ) | ||||||||||||||
Valero Energy Corp. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 472,593 USD | (34,170 | ) | ||||||||||||||
Valley National Bancorp | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 13,358 USD | (1,709 | ) | ||||||||||||||
Verint Systems, Inc. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 889,319 USD | 13,988 | |||||||||||||||
Verisk Analytics, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 6,456,682 USD | 86,894 | |||||||||||||||
Vertex Energy, Inc. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 928,150 USD | 9,954 | |||||||||||||||
Vertiv Holdings Co. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 533,125 USD | (4,178 | ) | ||||||||||||||
VF Corp. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 676,249 USD | 15,124 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
VICI Properties, Inc. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 106,650 USD | $ | 3,095 | ||||||||||||||
VICI Properties, Inc. | 08/08/23 | M | 0.23 | % | JPMorgan Chase Bank, N.A. | 20,002,837 USD | 620,825 | |||||||||||||||
Vimeo, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 1,120,897 USD | 109,747 | |||||||||||||||
Vir Biotechnology, Inc. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 311,820 USD | (4,135 | ) | ||||||||||||||
Virgin Galactic Holdings, Inc. | 05/23/23 | M | 0.55 | % | Morgan Stanley Capital Services LLC | 51,463 USD | (225 | ) | ||||||||||||||
Visa, Inc. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 6,630,251 USD | 219,729 | |||||||||||||||
Vista Outdoor, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 33,369 USD | 33 | |||||||||||||||
Vitru Financial, Inc. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 12,843 USD | (80 | ) | ||||||||||||||
Vornado Realty Trust | 05/23/23 | M | 0.28 | % | Morgan Stanley Capital Services LLC | 268 USD | 16 | |||||||||||||||
Vroom, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 336,665 USD | 18,040 | |||||||||||||||
Vulcan Materials Co. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 4,077,463 USD | 187,291 | |||||||||||||||
Waste Connections, Inc. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 2,869,640 USD | 96,913 | |||||||||||||||
Waste Management, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 1,623,941 USD | 31,166 | |||||||||||||||
Webster Financial Corp. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 16,362 USD | 24 | |||||||||||||||
Welltower, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 533,372 USD | 9,555 | |||||||||||||||
Werner Enterprises, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 888,671 USD | 47,142 | |||||||||||||||
WESCO International, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 460,851 USD | (20,494 | ) | ||||||||||||||
West Pharmaceutical Services, Inc. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 518,894 USD | 31,522 | |||||||||||||||
Western Alliance Bancorp | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 172,652 USD | 172 | |||||||||||||||
Westinghouse Air Brake Technologies Corp. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 227,145 USD | (1,139 | ) | ||||||||||||||
Westlake Chemical Corp. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 494,336 USD | (11,582 | ) | ||||||||||||||
Westrock Co. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 432,281 USD | 13,859 | |||||||||||||||
Weyerhaeuser Co. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 939,415 USD | 11,750 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Wheaton Precious Metals Corp. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 565,461 USD | $ | 49,976 | ||||||||||||||
Williams-Sonoma, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 3,625,696 USD | 145,240 | |||||||||||||||
Winnebago Industries, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 177,169 USD | (3,231 | ) | ||||||||||||||
Woodward, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 47,142 USD | 730 | |||||||||||||||
Workday, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 13,935 USD | 1,190 | |||||||||||||||
World Wrestling Entertainment, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 4,384 USD | (4 | ) | ||||||||||||||
WW Grainger, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 338,583 USD | (673 | ) | ||||||||||||||
Wyndham Hotels & Resorts, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 791,179 USD | (1,176 | ) | ||||||||||||||
Xerox Holdings Corp. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 148,020 USD | 73 | |||||||||||||||
Xylem, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 3,229,819 USD | 271,022 | |||||||||||||||
Yandex NV | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 1,440,578 USD | (12,569 | ) | ||||||||||||||
Yum China Holdings, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 6,281,533 USD | (299,076 | ) | ||||||||||||||
Zimmer Biomet Holdings, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 1,299,397 USD | 33,090 | |||||||||||||||
Zions Bancorp NA | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 3,471,173 USD | (133,240 | ) | ||||||||||||||
Zoetis, Inc. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 2,253,317 USD | 36,820 | |||||||||||||||
Zoom Video Communications, Inc. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 4,993,730 USD | 1,694 | |||||||||||||||
Zoom Video Communications, Inc. | 07/21/23 | M | 0.23 | % | JPMorgan Chase Bank, N.A. | 17,036,913 USD | 1,025,006 | |||||||||||||||
Zscaler, Inc. | 05/23/23 | M | 0.08 | % | Morgan Stanley Capital Services LLC | 1,985,682 USD | 3,560 | |||||||||||||||
Zynga, Inc. | 05/23/23 | M | 0.12 | % | Morgan Stanley Capital Services LLC | 469,305 USD | 7,964 | |||||||||||||||
|
| |||||||||||||||||||||
Total Sells |
| $ | 8,925,112 | |||||||||||||||||||
|
| |||||||||||||||||||||
Total OTC Total Return Swaps Outstanding | $ | (12,421,983 | ) | |||||||||||||||||||
|
|
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Centrally Cleared Interest Rate Swaps Outstanding at September 30, 2021
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 | 0.21% | 3M/6M | 03/20/2023 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 14,000,000 USD | $ | (7,716 | ) | $ | — | $ | (7,716 | ) | ||||||||||||||
Pays | 3-Month USD LIBOR | 0.21% | 3M/6M | 05/5/2023 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 12,900,000 USD | (12,595 | ) | — | (12,595 | ) | |||||||||||||||||
Pays | 3-Month USD LIBOR | 0.23% | 3M/6M | 12/14/2022 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 4,700,000 USD | 1,913 | — | 1,913 | |||||||||||||||||||
Pays | 3-Month USD LIBOR | 0.25% | 3M/6M | 03/3/2023 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 27,700,000 USD | 6,928 | — | 6,928 | |||||||||||||||||||
Pays | 3-Month USD LIBOR | 0.27% | 3M/6M | 08/3/2022 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 114,616,000 USD | 111,738 | — | 111,738 | |||||||||||||||||||
Pays | 3-Month USD LIBOR | 0.28% | 3M/6M | 09/7/2023 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 13,000,000 USD | (18,134 | ) | — | (18,134 | ) | |||||||||||||||||
Pays | 3-Month USD LIBOR | 0.31% | 3M/6M | 07/25/2022 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 33,588,605 USD | 43,205 | — | 43,205 | |||||||||||||||||||
Pays | 3-Month USD LIBOR | 0.31% | 3M/6M | 07/29/2022 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 9,141,220 USD | 12,003 | — | 12,003 | |||||||||||||||||||
Pays | 3-Month USD LIBOR | 0.33% | 3M/6M | 07/18/2022 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 82,371,000 USD | 116,119 | — | 116,119 | |||||||||||||||||||
Pays | 3-Month USD LIBOR | 0.34% | 3M/6M | 07/7/2023 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 10,000,000 USD | 4,992 | — | 4,992 | |||||||||||||||||||
Pays | 3-Month USD LIBOR | 0.36% | 3M/6M | 06/30/2022 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 18,347,000 USD | 28,981 | — | 28,981 | |||||||||||||||||||
Pays | 3-Month USD LIBOR | 0.37% | 3M/6M | 10/6/2025 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 1,600,000 USD | (33,741 | ) | — | (33,741 | ) | |||||||||||||||||
Pays | 3-Month USD LIBOR | 0.38% | 3M/6M | 10/12/2023 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 3,000,000 USD | (237 | ) | — | (237 | ) | |||||||||||||||||
Pays | 3-Month USD LIBOR | 0.41% | 3M/6M | 06/29/2022 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 84,970,800 USD | 164,520 | — | 164,520 | |||||||||||||||||||
Pays | 3-Month USD LIBOR | 0.44% | 3M/6M | 07/24/2025 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 6,032,440 USD | (94,653 | ) | — | (94,653 | ) | |||||||||||||||||
Pays | 3-Month USD LIBOR | 0.46% | 3M/6M | 07/29/2025 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 2,362,800 USD | (36,198 | ) | — | (36,198 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (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 | 0.50% | 3M/6M | 06/30/2025 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 1,932,800 USD | $ | (25,003 | ) | $ | — | $ | (25,003 | ) | ||||||||||||||
Pays | 3-Month USD LIBOR | 0.57% | 3M/6M | 06/30/2025 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 22,060,000 USD | (219,960 | ) | — | (219,960 | ) | |||||||||||||||||
Pays | 3-Month USD LIBOR | 0.69% | 3M/6M | 10/7/2030 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 6,300,000 USD | (433,085 | ) | — | (433,085 | ) | |||||||||||||||||
Pays | 3-Month USD LIBOR | 0.78% | 3M/6M | 06/9/2025 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 35,000,000 USD | (59,533 | ) | — | (59,533 | ) | |||||||||||||||||
Pays | 3-Month USD LIBOR | 0.98% | 3M/6M | 03/25/2030 | Morgan Stanley & Co. LLC | 3,000,000 USD | (135,221 | ) | — | (135,221 | ) | |||||||||||||||||
Pays | 3-Month USD LIBOR | 0.99% | 3M/6M | 06/10/2030 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 25,000,000 USD | (986,050 | ) | — | (986,050 | ) | |||||||||||||||||
Pays | 3-Month USD LIBOR | 1.46% | 3M/6M | 05/12/2025 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 20,809,000 USD | 483,622 | — | 483,622 | |||||||||||||||||||
Pays | 3-Month USD LIBOR | 1.63% | 3M/6M | 09/8/2031 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 1,800,000 USD | 15,157 | — | 15,157 | |||||||||||||||||||
Pays | 3-Month USD LIBOR | 1.66% | 3M/6M | 02/27/2030 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 3,221,000 USD | 57,352 | — | 57,352 | |||||||||||||||||||
Pays | 3-Month USD LIBOR | 1.67% | 3M/6M | 02/25/2030 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 10,246,000 USD | 189,134 | — | 189,134 | |||||||||||||||||||
Pays | 3-Month USD LIBOR | 1.93% | 3M/6M | 07/15/2027 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 50,000,000 USD | 2,112,402 | — | 2,112,402 | |||||||||||||||||||
Pays | 3-Month USD LIBOR | 2.02% | 3M/6M | 06/4/2027 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 15,000,000 USD | 710,696 | — | 710,696 | |||||||||||||||||||
Pays | 3-Month USD LIBOR | 2.17% | 3M/6M | 05/20/2025 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 40,000,000 USD | 1,956,925 | — | 1,956,925 | |||||||||||||||||||
Pays | 28-Days MXN TIIE | 6.08% | 28D/28D | 12/13/2023 | Credit Suisse Securities (USA) LLC | 140,586,105 USD | (72,457 | ) | — | (72,457 | ) | |||||||||||||||||
Pays | 28-Days MXN TIIE | 6.59% | 28D/28D | 12/9/2026 | Credit Suisse Securities (USA) LLC | 141,266,367 USD | (177,815 | ) | — | (177,815 | ) | |||||||||||||||||
Receives | 1-Day SIBCSORA | 0.00% | 3M/1D | 12/15/2031 | Credit Suisse (USA) Securities LLC | 7,641,739 SGD | 152,744 | — | 152,744 | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 0.22% | 6M/3M | 10/5/2022 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 31,600,000 USD | (16,066 | ) | — | (16,066 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (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 | 0.37% | 6M/3M | 12/15/2025 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 5,300,000 USD | $ | 125,684 | $ | — | $ | 125,684 | ||||||||||||||||
Receives | 3-Month USD LIBOR | 0.40% | 6M/3M | 08/4/2025 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 24,941,000 USD | 439,703 | — | 439,703 | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 0.48% | 6M/3M | 03/23/2026 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 10,655,000 USD | 236,098 | — | 236,098 | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 0.51% | 6M/3M | 03/3/2026 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 20,650,000 USD | 423,936 | — | 423,936 | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 0.62% | 6M/3M | 08/5/2030 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 6,512,706 USD | 468,620 | — | 468,620 | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 0.63% | 6M/3M | 05/5/2026 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 2,600,000 USD | 44,303 | — | 44,303 | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 0.65% | 6M/3M | 06/8/2022 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 14,000,000 USD | (49,016 | ) | — | (49,016 | ) | |||||||||||||||||
Receives | 3-Month USD LIBOR | 0.66% | 6M/3M | 03/12/2035 | Morgan Stanley & Co. LLC | 1,500,000 USD | 191,876 | — | 191,876 | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 0.67% | 6M/3M | 07/24/2030 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 4,438,980 USD | 300,963 | — | 300,963 | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 0.68% | 6M/3M | 07/29/2030 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 713,880 USD | 47,836 | — | 47,836 | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 0.69% | 6M/3M | 12/29/2027 | Morgan Stanley & Co. LLC | 3,000,000 USD | 102,091 | — | 102,091 | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 0.70% | 6M/3M | 06/28/2030 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 3,605,000 USD | 231,738 | — | 231,738 | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 0.71% | 6M/3M | 01/22/2026 | Morgan Stanley & Co. LLC | 20,000,000 USD | 211,344 | — | 211,344 | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 0.79% | 6M/3M | 06/28/2030 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 6,347,000 USD | 360,073 | — | 360,073 | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 0.80% | 6M/3M | 01/13/2026 | Morgan Stanley & Co. LLC | 80,000 USD | 523 | — | 523 | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 0.82% | 6M/3M | 07/16/2030 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 11,975,000 USD | 652,336 | — | 652,336 | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 0.94% | 6M/3M | 10/13/2026 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 6,600,000 USD | 47,934 | — | 47,934 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (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 | 0.94% | 6M/3M | 06/2/2026 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 4,000,000 USD | $ | 13,977 | $ | — | $ | 13,977 | ||||||||||||||||
Receives | 3-Month USD LIBOR | 0.95% | 6M/3M | 01/13/2027 | Morgan Stanley & Co. LLC | 940,000 USD | 8,218 | — | 8,218 | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 0.95% | 6M/3M | 03/3/2031 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 719,000 USD | 35,872 | — | 35,872 | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 0.98% | 6M/3M | 09/8/2026 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 8,000,000 USD | 32,266 | — | 32,266 | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 1.10% | 6M/3M | 03/25/2030 | Morgan Stanley & Co. LLC | 1,500,000 USD | 42,839 | — | 42,839 | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 1.12% | 6M/3M | 07/7/2026 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 4,000,000 USD | (15,414 | ) | — | (15,414 | ) | |||||||||||||||||
Receives | 3-Month USD LIBOR | 1.24% | 6M/3M | 05/6/2031 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 2,000,000 USD | 52,140 | — | 52,140 | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 1.24% | 6M/3M | 04/19/2028 | Morgan Stanley & Co. LLC | 700,000 USD | 1,775 | — | 1,775 | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 1.32% | 6M/3M | 02/26/2027 | Morgan Stanley & Co. LLC | 5,000,000 USD | (48,600 | ) | — | (48,600 | ) | |||||||||||||||||
Receives | 3-Month USD LIBOR | 1.46% | 6M/3M | 02/14/2024 | Morgan Stanley & Co. LLC | 10,000,000 USD | (232,018 | ) | — | (232,018 | ) | |||||||||||||||||
Receives | 3-Month USD LIBOR | 1.48% | 6M/3M | 01/2/2025 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 4,163,000 USD | (100,878 | ) | — | (100,878 | ) | |||||||||||||||||
Receives | 3-Month USD LIBOR | 1.49% | 6M/3M | 08/28/2029 | Morgan Stanley & Co. LLC | 3,140,000 USD | (20,086 | ) | — | (20,086 | ) | |||||||||||||||||
Receives | 3-Month USD LIBOR | 1.52% | 6M/3M | 02/5/2025 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 6,245,000 USD | (159,523 | ) | — | (159,523 | ) | |||||||||||||||||
Receives | 3-Month USD LIBOR | 1.53% | 6M/3M | 02/25/2022 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 47,860,000 USD | (265,452 | ) | — | (265,452 | ) | |||||||||||||||||
Receives | 3-Month USD LIBOR | 1.53% | 6M/3M | 02/7/2022 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 11,244,800 USD | (55,124 | ) | — | (55,124 | ) | |||||||||||||||||
Receives | 3-Month USD LIBOR | 1.54% | 6M/3M | 01/4/2022 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 80,236,000 USD | (294,254 | ) | — | (294,254 | ) | |||||||||||||||||
Receives | 3-Month USD LIBOR | 1.55% | 6M/3M | 01/28/2025 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 4,580,000 USD | (121,203 | ) | — | (121,203 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (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 | 02/7/2022 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 25,106,000 USD | $ | (124,226 | ) | $ | — | $ | (124,226 | ) | ||||||||||||||
Receives | 3-Month USD LIBOR | 1.55% | 6M/3M | 02/28/2022 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 14,928,000 USD | (85,834 | ) | — | (85,834 | ) | |||||||||||||||||
Receives | 3-Month USD LIBOR | 1.55% | 6M/3M | 02/28/2022 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 5,033,000 USD | (29,011 | ) | — | (29,011 | ) | |||||||||||||||||
Receives | 3-Month USD LIBOR | 1.55% | 6M/3M | 01/28/2022 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 10,000,000 USD | (46,245 | ) | — | (46,245 | ) | |||||||||||||||||
Receives | 3-Month USD LIBOR | 1.56% | 6M/3M | 09/28/2026 | Morgan Stanley & Co. LLC | 1,800,000 USD | (41,918 | ) | 6,115 | (48,033 | ) | |||||||||||||||||
Receives | 3-Month USD LIBOR | 1.56% | 6M/3M | 06/2/2031 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 5,500,000 USD | (19,454 | ) | — | (19,454 | ) | |||||||||||||||||
Receives | 3-Month USD LIBOR | 1.57% | 6M/3M | 02/18/2022 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 25,187,000 USD | (136,917 | ) | — | (136,917 | ) | |||||||||||||||||
Receives | 3-Month USD LIBOR | 1.58% | 6M/3M | 05/21/2025 | Morgan Stanley & Co. LLC | 10,000,000 USD | (276,085 | ) | — | (276,085 | ) | |||||||||||||||||
Receives | 3-Month USD LIBOR | 1.58% | 6M/3M | 02/18/2025 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 6,253,000 USD | (173,108 | ) | — | (173,108 | ) | |||||||||||||||||
Receives | 3-Month USD LIBOR | 1.59% | 6M/3M | 04/14/2022 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 15,118,000 USD | (117,110 | ) | — | (117,110 | ) | |||||||||||||||||
Receives | 3-Month USD LIBOR | 1.61% | 6M/3M | 03/23/2027 | Morgan Stanley & Co. LLC | 7,000,000 USD | (177,191 | ) | — | (177,191 | ) | |||||||||||||||||
Receives | 3-Month USD LIBOR | 1.62% | 6M/3M | 03/24/2027 | Morgan Stanley & Co. LLC | 7,000,000 USD | (179,338 | ) | — | (179,338 | ) | |||||||||||||||||
Receives | 3-Month USD LIBOR | 1.62% | 6M/3M | 07/27/2026 | Morgan Stanley & Co. LLC | 1,900,000 USD | (51,042 | ) | 4,658 | (55,700 | ) | |||||||||||||||||
Receives | 3-Month USD LIBOR | 1.62% | 6M/3M | 04/14/2025 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 5,222,000 USD | (151,460 | ) | — | (151,460 | ) | |||||||||||||||||
Receives | 3-Month USD LIBOR | 1.63% | 6M/3M | 11/8/2027 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 40,000,000 USD | (959,145 | ) | — | (959,145 | ) | |||||||||||||||||
Receives | 3-Month USD LIBOR | 1.64% | 6M/3M | 07/22/2022 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 15,000,000 USD | (180,279 | ) | — | (180,279 | ) | |||||||||||||||||
Receives | 3-Month USD LIBOR | 1.66% | 6M/3M | 06/17/2025 | Morgan Stanley & Co. LLC | 10,000,000 USD | (304,452 | ) | — | (304,452 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (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 | 1.69% | 6M/3M | 07/29/2022 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 25,000,000 USD | $ | (319,168 | ) | $ | — | $ | (319,168 | ) | ||||||||||||||
Receives | 3-Month USD LIBOR | 1.72% | 6M/3M | 02/19/2030 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 1,945,000 USD | (43,799 | ) | — | (43,799 | ) | |||||||||||||||||
Receives | 3-Month USD LIBOR | 1.73% | 6M/3M | 07/17/2023 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 100,000,000 USD | (2,537,728 | ) | — | (2,537,728 | ) | |||||||||||||||||
Receives | 3-Month USD LIBOR | 1.77% | 6M/3M | 11/26/2029 | Morgan Stanley & Co. LLC | 1,000,000 USD | (26,906 | ) | 43 | (26,949 | ) | |||||||||||||||||
Receives | 3-Month USD LIBOR | 1.77% | 6M/3M | 10/25/2021 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 18,500,000 USD | (21,144 | ) | — | (21,144 | ) | |||||||||||||||||
Receives | 3-Month USD LIBOR | 1.79% | 6M/3M | 07/7/2031 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 2,000,000 USD | (47,089 | ) | — | (47,089 | ) | |||||||||||||||||
Receives | 3-Month USD LIBOR | 1.81% | 6M/3M | 02/1/2024 | Morgan Stanley & Co. LLC | 2,500,000 USD | (77,947 | ) | — | (77,947 | ) | |||||||||||||||||
Receives | 3-Month USD LIBOR | 1.86% | 6M/3M | 12/21/2023 | Morgan Stanley & Co. LLC | 8,000,000 USD | (252,879 | ) | — | (252,879 | ) | |||||||||||||||||
Receives | 3-Month USD LIBOR | 1.86% | 6M/3M | 05/25/2022 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 8,200,000 USD | (91,670 | ) | — | (91,670 | ) | |||||||||||||||||
Receives | 3-Month USD LIBOR | 1.88% | 6M/3M | 01/25/2027 | Morgan Stanley & Co. LLC | 1,500,000 USD | (59,649 | ) | — | (59,649 | ) | |||||||||||||||||
Receives | 3-Month USD LIBOR | 1.90% | 6M/3M | 08/28/2029 | Morgan Stanley & Co. LLC | 1,650,000 USD | (62,037 | ) | — | (62,037 | ) | |||||||||||||||||
Receives | 6-Month PLN WIBOR | 1.91% | 12M/6M | 12/15/2031 | Credit Suisse Securities (USA) LLC | 63,611,752 USD | 544,415 | — | 544,415 | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 2.05% | 6M/3M | 11/29/2024 | Morgan Stanley & Co. LLC | 5,000,000 USD | (211,018 | ) | — | (211,018 | ) | |||||||||||||||||
Receives | 3-Month USD LIBOR | 2.22% | 6M/3M | 09/30/2024 | Morgan Stanley & Co. LLC | 2,000,000 USD | (92,835 | ) | — | (92,835 | ) | |||||||||||||||||
Receives | 3-Month USD LIBOR | 2.27% | 6M/3M | 01/26/2026 | Morgan Stanley & Co. LLC | 2,000,000 USD | (111,343 | ) | — | (111,343 | ) | |||||||||||||||||
Receives | 3-Month USD LIBOR | 2.30% | 6M/3M | 01/27/2025 | Morgan Stanley & Co. LLC | 900,000 USD | (46,477 | ) | 4,800 | (51,277 | ) | |||||||||||||||||
Receives | 3-Month USD LIBOR | 2.35% | 6M/3M | 11/8/2024 | Morgan Stanley & Co. LLC | 4,000,000 USD | (205,345 | ) | — | (205,345 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (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 | 2.37% | 6M/3M | 11/1/2024 | Morgan Stanley & Co. LLC | 2,000,000 USD | $ | (103,369 | ) | $ | — | $ | (103,369 | ) | ||||||||||||||
Receives | 3-Month USD LIBOR | 2.38% | 6M/3M | 10/5/2023 | Morgan Stanley & Co. LLC | 3,000,000 USD | (120,739 | ) | — | (120,739 | ) | |||||||||||||||||
Receives | 3-Month USD LIBOR | 2.39% | 6M/3M | 11/16/2028 | Morgan Stanley & Co. LLC | 4,000,000 USD | (290,411 | ) | — | (290,411 | ) | |||||||||||||||||
Receives | 3-Month USD LIBOR | 2.40% | 6M/3M | 01/25/2027 | Morgan Stanley & Co. LLC | 2,900,000 USD | (190,846 | ) | 24,111 | (214,957 | ) | |||||||||||||||||
Receives | 3-Month USD LIBOR | 2.41% | 6M/3M | 12/22/2022 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 50,000,000 USD | (1,357,937 | ) | — | (1,357,937 | ) | |||||||||||||||||
Receives | 3-Month USD LIBOR | 2.42% | 6M/3M | 09/23/2024 | Morgan Stanley & Co. LLC | 2,000,000 USD | (104,385 | ) | — | (104,385 | ) | |||||||||||||||||
Receives | 3-Month USD LIBOR | 2.42% | 6M/3M | 10/24/2024 | Morgan Stanley & Co. LLC | 2,000,000 USD | (106,457 | ) | — | (106,457 | ) | |||||||||||||||||
Receives | 3-Month USD LIBOR | 2.43% | 6M/3M | 10/13/2026 | Morgan Stanley & Co. LLC | 3,000,000 USD | (201,605 | ) | — | (201,605 | ) | |||||||||||||||||
Receives | 3-Month USD LIBOR | 2.45% | 6M/3M | 10/18/2024 | Morgan Stanley & Co. LLC | 4,000,000 USD | (215,293 | ) | — | (215,293 | ) | |||||||||||||||||
Receives | 3-Month USD LIBOR | 2.58% | 6M/3M | 08/5/2025 | Morgan Stanley & Co. LLC | 7,000,000 USD | (456,969 | ) | — | (456,969 | ) | |||||||||||||||||
Receives | 3-Month USD LIBOR | 2.67% | 6M/3M | 09/13/2028 | Morgan Stanley & Co. LLC | 2,500,000 USD | (228,174 | ) | — | (228,174 | ) | |||||||||||||||||
Receives | 3-Month USD LIBOR | 2.72% | 6M/3M | 09/8/2028 | Morgan Stanley & Co. LLC | 1,000,000 USD | (94,015 | ) | — | (94,015 | ) | |||||||||||||||||
Receives | 3-Month USD LIBOR | 2.72% | 6M/3M | 08/8/2028 | Morgan Stanley & Co. LLC | 3,000,000 USD | (281,195 | ) | — | (281,195 | ) | |||||||||||||||||
Receives | 3-Month USD LIBOR | 2.83% | 6M/3M | 07/30/2029 | Morgan Stanley & Co. LLC | 3,000,000 USD | (325,475 | ) | — | (325,475 | ) | |||||||||||||||||
Receives | 3-Month USD LIBOR | 2.90% | 6M/3M | 03/27/2026 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 20,000,000 USD | (1,698,898 | ) | — | (1,698,898 | ) | |||||||||||||||||
Receives | 3-Month USD LIBOR | 3.08% | 6M/3M | 04/30/2027 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 20,000,000 USD | (2,106,855 | ) | — | (2,106,855 | ) | |||||||||||||||||
Receives | 3-Month USD LIBOR | 3.15% | 6M/3M | 05/23/2022 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 20,000,000 USD | (387,809 | ) | — | (387,809 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (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 | 3.21% | 6M/3M | 05/25/2033 | Morgan Stanley & Co. LLC | 2,000,000 USD | $ | (244,037 | ) | $ | (1,053 | ) | $ | (242,984 | ) | |||||||||||||
|
| |||||||||||||||||||||||||||
Total Centrally Cleared Interest Rate Swaps Outstanding |
| $ | (8,679,359 | ) | $ | 38,674 | $ | (8,718,033 | ) | |||||||||||||||||||
|
|
Abbreviation Legend: | ||||
M | Monthly | |||
1Y | Yearly | |||
28D | 28 Days | |||
1D | 1 Day | |||
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 | |||
ICE | Ice Futures Europe | |||
IDEM | Italian Derivatives Exchange Market | |||
ISE | Istanbul Stock Exchange | |||
KRX FM | Korea Exchange (Futures Market) | |||
LIBOR | London Interbank Offered Rate | |||
LME | London Metal Exchange | |||
MTN | Medium Term Note | |||
MYX | Bursa Malaysia | |||
Nasdaq-OMX | NASDAQ OMX 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 | |||
WIBOR | Warsaw Interbank Offered Rate |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
September 30, 2021 (Unaudited)
Currency Legend: | ||||
AUD | Australian Dollar | |||
CAD | Canadian Dollar | |||
CHF | Swiss Franc | |||
CLP | Chilean Peso | |||
CNH | Chinese Renminbi | |||
CNY | Chinese Yuan | |||
COP | Colombian Peso | |||
CZK | Czech Koruna | |||
EGP | Egyptian Pound | |||
EUR | Euro | |||
GBP | British Pound | |||
HKD | Hong Kong Dollar | |||
IDR | Indonesian Rupiah | |||
JPY | Japanese Yen | |||
KRW | South Korean Won | |||
MXN | Mexican Peso | |||
MYR | Malaysian Ringgit | |||
NOK | Norwegian Krone | |||
PLN | Polish Zloty | |||
RUB | Russian Ruble | |||
SEK | Swedish Krona | |||
SGD | Singapore Dollar | |||
USD | United States Dollar | |||
ZAR | South African Rand |
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, 2021 (Unaudited)
Assets: |
| |||
Investments in securities, at fair value (cost $3,424,997,414) | $ | 3,603,627,951 | ||
Cash | 1,202,563,564 | |||
Cash denominated in foreign currencies (cost of $58,191,921) | 57,802,286 | |||
Segregated cash balance with broker for securities sold short | 417,848,707 | |||
Segregated cash balance with custodian for derivative financial instruments | 542,058,431 | |||
Segregated cash balance with counterparties for futures contracts | 71,535,567 | |||
Segregated cash balance with counterparties for centrally cleared derivatives | 56,361,008 | |||
Segregated cash balance with counterparties for reverse repurchase agreements | 668,000 | |||
Unrealized appreciation on unfunded loan commitments | 95,510 | |||
Unrealized appreciation on forward foreign currency exchange contracts | 1,831,419 | |||
Income receivable | 16,376,104 | |||
Receivable for investments sold | 80,370,287 | |||
Receivable for Fund shares sold | 8,398,476 | |||
Receivable for periodic payments from swap contracts | 128,676,633 | |||
Variation margin receivable on futures | 44,551,732 | |||
Variation margin receivable on centrally cleared swaps | 1,882,398 | |||
Swap contracts, at fair value (net premiums paid $1,139,131) | 36,400,605 | |||
Prepaid expenses and other assets | 357,875 | |||
|
| |||
Total assets | 6,271,406,553 | |||
|
| |||
Liabilities: |
| |||
Securities sold short, at fair value (proceeds of $423,558,802) | 430,266,116 | |||
Cash received as collateral from custodian for derivative financial instruments | 316,926 | |||
Cash received as collateral from counterparty for centrally cleared derivatives | 32,929,952 | |||
Cash received as collateral from counterparty for futures contracts | 80,554 | |||
Cash received as collateral from counterparty for OTC derivatives | 9,480,791 | |||
Options written, at fair value (premiums received $40,149,716) | 99,146,658 | |||
Unrealized depreciation on forward foreign currency exchange contracts | 840,876 | |||
Payable for reverse repurchase agreements | 28,284,643 | |||
Payable for investments purchased | 57,226,779 | |||
Payable for Fund shares redeemed | 5,636,859 | |||
Payable for periodic payments from swap contracts | 132,970,771 | |||
Variation margin payable on futures | 10,829,732 | |||
Variation margin payable on centrally cleared swaps | 36,034,012 | |||
Swap contracts, at fair value (net premiums received $1,554,636) | 49,883,148 | |||
Unrealized depreciation on unfunded loan commitments | 4,301 | |||
Dividend and interest income payable on securities sold short | 1,414,455 | |||
Management fee payable | 24,267,279 | |||
Trustee fee payable | 155,725 | |||
Accrued expenses and other liabilities | 7,609,933 | |||
|
| |||
Total liabilities | 927,379,510 | |||
|
| |||
Commitments and contingencies (Note 2) |
| |||
Net assets | $ | 5,344,027,043 | ||
|
| |||
Net Assets Consist of: |
| |||
Paid-in capital | $ | 5,595,186,275 | ||
Total distributable earnings | (251,159,232 | ) | ||
|
| |||
Net assets | $ | 5,344,027,043 | ||
|
|
See Notes to Consolidated Financial Statements.
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Consolidated Statement of Assets and Liabilities (Continued)
As of September 30, 2021 (Unaudited)
Net Asset Value: |
| |||
Class I Shares |
| |||
Net Assets | $ | 3,997,661,609 | ||
Class I Shares outstanding, no par value, unlimited shares authorized | 368,731,031 | |||
|
| |||
Net asset value per share | $ | 10.84 | ||
|
| |||
Class D Shares |
| |||
Net Assets | $ | 26,378,368 | ||
Class D Shares outstanding, no par value, unlimited shares authorized | 2,429,019 | |||
|
| |||
Net asset value per share | $ | 10.86 | ||
|
| |||
Class Y Shares |
| |||
Net Assets | $ | 1,319,987,066 | ||
Class Y Shares outstanding, no par value, unlimited shares authorized | 122,678,402 | |||
|
| |||
Net asset value per share | $ | 10.76 | ||
|
|
See Notes to Consolidated Financial Statements.
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Consolidated Statement of Operations
For the Six-Months Ended September 30, 2021 (Unaudited)
Investment Income: | ||||
Interest (including net foreign taxes withheld of $56,059) | $ | 50,608,215 | ||
Dividends (including net foreign taxes withheld of $60,824) | 4,615,806 | |||
|
| |||
Total income | 55,224,021 | |||
|
| |||
Expenses: | ||||
Management fees | $ | 48,298,403 | ||
Administration fees | 2,709,341 | |||
Custodian fees | 1,222,279 | |||
Trustees’ fees | 619,167 | |||
Distribution fees—Class D | 33,298 | |||
Shareholder service fees | 1,792,483 | |||
Registration fees | 34,616 | |||
Printing and postage fees | 302,092 | |||
Professional fees | 3,485,706 | |||
Dividends and interest on securities sold short | 7,732,546 | |||
Financing fees on securities sold short | 1,355,625 | |||
Line of credit fee | 905,733 | |||
Interest fees | 545,939 | |||
Other | 515,228 | |||
|
| |||
Net expenses | 69,552,456 | |||
|
| |||
Net investment loss | (14,328,435 | ) | ||
|
| |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized gain on investments in securities | 148,592,174 | |||
Net realized loss on securities sold short | (35,580,343 | ) | ||
Net realized loss on forward foreign currency exchange contracts | (356,615 | ) | ||
Net realized gain on foreign currency transactions | 228,043 | |||
Net realized loss on futures contracts | (4,813,725 | ) | ||
Net realized gain on options written | 2,321,674 | |||
Net realized gain on swap contracts | 96,751,901 | |||
Net change in unrealized appreciation on investments in securities | 82,423,425 | |||
Net change in unrealized appreciation on securities sold short | 27,993,146 | |||
Net change in unrealized depreciation on forward foreign currency exchange contracts | (139,442 | ) | ||
Net change in unrealized depreciation on foreign currency translations | (377,966 | ) | ||
Net change in unrealized depreciation on futures contracts | (46,315,762 | ) | ||
Net change in unrealized depreciation on options written | (68,484,846 | ) | ||
Net change in unrealized appreciation on swap contracts | 5,015,110 | |||
Net change in unrealized depreciation on unfunded loan commitments | 20,779 | |||
|
| |||
Net realized and unrealized gain | 207,277,553 | |||
|
| |||
Net increase in net assets resulting from operations | $ | 192,949,118 | ||
|
|
See Notes to Consolidated Financial Statements.
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Consolidated Statement of Changes in Net Assets
Six-Months Ended 9/30/2021 (unaudited) | Year Ended 3/31/2021 | |||||||
Increase (Decrease) in Net Assets | ||||||||
Operations: | ||||||||
Net investment income (loss) | $ | (14,328,435 | ) | $ | 44,454,199 | |||
Net realized gain | 207,143,109 | 74,261,337 | ||||||
Net change in unrealized appreciation | 134,444 | 856,695,863 | ||||||
|
|
|
| |||||
Net increase in net assets resulting from operations | 192,949,118 | 975,411,399 | ||||||
|
|
|
| |||||
Distributions: | ||||||||
Distributions from earnings | ||||||||
Class I Shares | — | (119,292,805 | ) | |||||
Class D Shares | — | (779,289 | ) | |||||
Class Y Shares | — | (46,914,714 | ) | |||||
|
|
|
| |||||
Total distributions to shareholders | — | (166,986,808 | ) | |||||
|
|
|
| |||||
Capital Transactions: | ||||||||
Shareholder subscriptions: | ||||||||
Proceeds from sale of Class I Shares | 693,941,698 | 1,047,977,900 | ||||||
Proceeds from sale of Class D Shares | 5,633,169 | 14,061,374 | ||||||
Proceeds from sale of Class Y Shares | 243,142,795 | 75,780,550 | ||||||
Shareholder reinvestments: | ||||||||
Net asset value of Class I Shares issued to shareholders in payment of distributions declared | — | 90,069,095 | ||||||
Net asset value of Class D Shares issued to shareholders in payment of distributions declared | — | 628,531 | ||||||
Net asset value of Class Y Shares issued to shareholders in payment of distributions declared | — | 46,756,240 | ||||||
Shareholder redemptions: | ||||||||
Cost of Class I Shares redeemed | (473,755,657 | ) | (2,820,623,301 | ) | ||||
Cost of Class D Shares redeemed | (7,257,829 | ) | (33,673,907 | ) | ||||
Cost of Class Y Shares redeemed | (316,113,850 | ) | (752,185,026 | ) | ||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from capital transactions | 145,590,326 | (2,331,208,544 | ) | |||||
|
|
|
| |||||
Net increase (decrease) in net assets | 338,539,444 | (1,522,783,953 | ) | |||||
|
|
|
| |||||
Net Assets: | ||||||||
Beginning of period | 5,005,487,599 | 6,528,271,552 | ||||||
|
|
|
| |||||
End of period | $ | 5,344,027,043 | $ | 5,005,487,599 | ||||
|
|
|
|
See Notes to Consolidated Financial Statements.
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Consolidated Statement of Changes in Net Assets (Continued)
Six-Months Ended 9/30/2021 (unaudited) | Year Ended 3/31/2021 | |||||||
Share Transactions: | ||||||||
Class I Shares | ||||||||
Beginning of period | 348,316,502 | 521,138,289 | ||||||
Shares issued | 64,409,727 | 105,461,698 | ||||||
Reinvestment in Shares | — | 8,873,803 | ||||||
Shares redeemed | (43,995,198 | ) | (287,157,288 | ) | ||||
|
|
|
| |||||
Net change in shares resulting from share transactions | 20,414,529 | (172,821,787 | ) | |||||
|
|
|
| |||||
End of period | 368,731,031 | 348,316,502 | ||||||
|
|
|
| |||||
Class D Shares |
| |||||||
Beginning of period | 2,580,674 | 4,504,458 | ||||||
Shares issued | 521,693 | 1,415,160 | ||||||
Reinvestment in Shares | — | 61,681 | ||||||
Shares redeemed | (673,348 | ) | (3,400,625 | ) | ||||
|
|
|
| |||||
Net change in shares resulting from share transactions | (151,655 | ) | (1,923,784 | ) | ||||
|
|
|
| |||||
End of period | 2,429,019 | 2,580,674 | ||||||
|
|
|
| |||||
Class Y Shares |
| |||||||
Beginning of period | 129,503,907 | 194,437,258 | ||||||
Shares issued | 22,645,955 | 7,823,515 | ||||||
Reinvestment in Shares | — | 4,643,122 | ||||||
Shares redeemed | (29,471,460 | ) | (77,399,988 | ) | ||||
|
|
|
| |||||
Net change in shares resulting from share transactions | (6,825,505 | ) | (64,933,351 | ) | ||||
|
|
|
| |||||
End of period | 122,678,402 | 129,503,907 | ||||||
|
|
|
|
See Notes to Consolidated Financial Statements.
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Consolidated Statement of Cash Flows
For the Six-Months Ended September 30, 2021 (Unaudited)
Cash Flows from Operating Activities: | ||||
Net increase in net assets resulting from operations | $ | 192,949,118 | ||
Adjustments to reconcile net increase (decrease) in net assets resulting from operations to net cash provided by operating activities: | ||||
Purchases of investments in securities | (2,693,531,680 | ) | ||
Proceeds from disposition of investments in securities | 2,833,798,328 | |||
Proceeds from securities sold short | 547,692,863 | |||
Payments to cover securities sold short | (471,962,841 | ) | ||
Short-term investments, net | — | |||
Premiums paid on closing options written | (50,673,534 | ) | ||
Proceeds from premiums received from options written | 59,913,188 | |||
Net realized gain on investments in securities | (148,592,174 | ) | ||
Net realized loss on securities sold short | 35,580,343 | |||
Net realized gain on options written | (2,321,674 | ) | ||
Net change in accretion of bond discount and amortization of bond and swap premium | (6,479,028 | ) | ||
Net change in unrealized appreciation on investments in securities | (82,423,425 | ) | ||
Net change in unrealized appreciation on securities sold short | (27,993,146 | ) | ||
Net change in unrealized depreciation on options written | 68,484,846 | |||
Net change in unrealized (appreciation) on reverse repurchase agreements | — | |||
Changes in assets and liabilities: | ||||
(Increase) decrease in assets: | ||||
Unrealized appreciation on forward foreign currency exchange contracts | 2,823,414 | |||
Income receivable | 1,083,912 | |||
Receivable for periodic payments from swap contracts | (116,179,436 | ) | ||
Investment subscriptions paid in advance | 100,000,000 | |||
Variation margin receivable on futures | (3,367,428 | ) | ||
Variation margin receivable on centrally cleared swaps | 3,792,512 | |||
Change in unrealized on unfunded loan | (23,867 | ) | ||
Swap contracts, at fair value | (19,884,843 | ) | ||
Prepaid expenses and other assets | 365,660 | |||
Increase (decrease) in liabilities: | ||||
Cash received as collateral for swaps and reverse repurchase agreements | (186,000 | ) | ||
Cash received as collateral from custodian for derivative financial instruments | (330,231 | ) | ||
Cash received as collateral from counterparty for OTC derivatives | 8,910,616 | |||
Cash received as collateral from counterparty for centrally cleared derivatives | 4,371,109 | |||
Cash received as collateral from counterparty for futures contracts | (179,310 | ) | ||
Unrealized depreciation on forward foreign currency exchange contracts | (2,683,972 | ) | ||
Swap contracts, at fair value | 24,014,339 | |||
Variation margin payable on futures | 9,291,888 | |||
Variation margin payable on centrally cleared swaps | (4,613,592 | ) | ||
Payable for periodic payments from swap contracts | 122,816,962 | |||
Dividend and interest income payable on securities sold short | 826,889 | |||
Interest payable on reverse repurchase agreements | (94,446 | ) | ||
Change in unrealized on unfunded loan | 3,088 | |||
Management fee payable | 402,811 | |||
Accrued expenses and other liabilities | 286,779 | |||
|
| |||
Net cash provided by operating activities | $ | 385,888,038 | ||
|
| |||
Cash Flows from Financing Activities | ||||
Proceeds from shares sold | 937,827,772 | |||
Cost of shares repurchased | (799,974,304 | ) | ||
Proceeds from reverse repurchase agreements | 393,781,259 | |||
Repayment of reverse repurchase agreements | (503,095,572 | ) | ||
Distributions paid (net of reinvestment) | — | |||
|
| |||
Net cash provided by financing activities | 28,539,155 | |||
|
| |||
Net increase (decrease) in unrestricted and restricted cash and foreign currency | 414,427,193 | |||
Unrestricted and restricted cash and foreign currency, beginning of period | 1,934,410,370 | |||
|
| |||
Unrestricted and restricted cash and foreign currency, end of period | $ | 2,348,837,563 | ||
|
| |||
Supplemental disclosure of cash flow information: | ||||
Cash paid during the period for interest | $ | 640,385 | ||
|
| |||
Non-Cash Financing Activities | ||||
Capital shares issued in reinvestment of distribution | $ | — | ||
|
|
See Notes to Consolidated Financial Statements.
291
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Consolidated Statement of Cash Flows (Continued)
For the Six-Months Ended September 30, 2021 (Unaudited)
Reconciliation of unrestricted and restricted cash to the statements of assets and liabilities
Six-Months Ended September 30, 2021 | Year Ended March 31, 2021 | |||||||
Cash | $ | 1,202,563,564 | $ | 1,038,181,645 | ||||
Foreign currency at value | 57,802,286 | 22,343,956 | ||||||
Cash Pledged | ||||||||
Securities sold short | 417,848,707 | 339,517,317 | ||||||
Derivative financial instruments | 542,058,431 | 438,570,357 | ||||||
Futures contracts | 71,535,567 | 24,195,998 | ||||||
Centrally cleared derivatives | 56,361,008 | 48,323,151 | ||||||
OTC derivatives | — | 20,179,628 | ||||||
TBAs | — | — | ||||||
Reverse repurchase agreements | 668,000 | 3,098,318 | ||||||
|
|
|
| |||||
$ | 2,348,837,563 | $ | 1,934,410,370 | |||||
|
|
|
|
See Notes to Consolidated Financial Statements.
292
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Financial Highlights
(For Shares Outstanding Throughout the Period)
Class I | ||||||||||||||||||||||||
Six-Months | Year | Year | Year | Year | Year | |||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 10.44 | $ | 9.08 | $ | 10.76 | $ | 10.67 | $ | 10.56 | $ | 9.82 | ||||||||||||
Income From Investment Operations: | ||||||||||||||||||||||||
Net investment income (loss)1 | (0.03 | ) | 0.08 | 0.15 | 0.10 | 0.01 | 0.07 | |||||||||||||||||
Net realized and unrealized gain (loss) | 0.43 | 1.60 | (1.44 | ) | 0.19 | 0.31 | 0.72 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total From Investment Operations | 0.40 | 1.68 | (1.29 | ) | 0.29 | 0.32 | 0.79 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions to Shareholders: | ||||||||||||||||||||||||
From net investment income | — | (0.32 | ) | (0.21 | ) | (0.13 | ) | (0.08 | ) | (0.05 | ) | |||||||||||||
From net realized capital gains | — | — | (0.18 | ) | (0.07 | ) | (0.13 | ) | — | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Distributions | — | (0.32 | ) | (0.39 | ) | (0.20 | ) | (0.21 | ) | (0.05 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value, End of Period | $ | 10.84 | $ | 10.44 | $ | 9.08 | $ | 10.76 | $ | 10.67 | $ | 10.56 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return | 3.83 | %2 | 18.34 | % | (12.32 | )% | 2.76 | % | 3.06 | % | 8.03 | % | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Ratios to Average Net Assets:3 | ||||||||||||||||||||||||
Expenses other than Management Fees | 0.85 | %4 | 0.80 | % | 0.94 | % | 1.33 | % | 0.89 | % | 1.15 | % | ||||||||||||
Management Fees | 1.87 | %4 | 1.87 | % | 1.85 | % | 1.86 | % | 1.88 | % | 1.88 | % | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net expenses | 2.72 | %4 | 2.67 | % | 2.79 | % | 3.19 | % | 2.77 | % | 3.03 | % | ||||||||||||
Excluded expenses5 | (0.41 | )%4 | (0.42 | )% | (0.65 | )% | (1.00 | )% | (0.57 | )% | (0.81 | )% | ||||||||||||
|
|
|
|
|
|
|
|
|
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Expenses, net of impact of excluded expenses | 2.31 | %4 | 2.25 | % | 2.14 | % | 2.19 | % | 2.20 | % | 2.22 | % | ||||||||||||
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Net investment income | (0.58 | )%4 | 0.77 | % | 1.43 | % | 0.94 | % | 0.13 | % | 0.71 | % | ||||||||||||
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Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 3,997,662 | $ | 3,637,018 | $ | 4,734,372 | $ | 5,292,572 | $ | 5,088,031 | $ | 3,597,704 | ||||||||||||
Portfolio turnover | 175 | %2 | 135 | % | 193 | % | 203 | % | 300 | % | 237 | % |
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 (Continued)
(For Shares Outstanding Throughout the Period)
Class D | ||||||||||||||||||||||||
Six-Months | Year | Year | Year | Year | Year | |||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 10.47 | $ | 9.10 | $ | 10.73 | $ | 10.64 | $ | 10.53 | $ | 9.81 | ||||||||||||
Income From Investment Operations: | ||||||||||||||||||||||||
Net investment income (loss)1 | (0.05 | ) | 0.05 | 0.13 | 0.06 | (0.03 | ) | 0.05 | ||||||||||||||||
Net realized and unrealized gain (loss) | 0.44 | 1.60 | (1.46 | ) | 0.20 | 0.30 | 0.70 | |||||||||||||||||
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| |||||||||||||
Total From Investment Operations | 0.39 | 1.65 | (1.33 | ) | 0.26 | 0.27 | 0.75 | |||||||||||||||||
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| |||||||||||||
Less Distributions to Shareholders: | ||||||||||||||||||||||||
From net investment income | — | (0.28 | ) | (0.12 | ) | (0.10 | ) | (0.03 | ) | (0.03 | ) | |||||||||||||
From net realized capital gains | — | — | (0.18 | ) | (0.07 | ) | (0.13 | ) | — | |||||||||||||||
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|
|
|
|
|
|
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| |||||||||||||
Total Distributions | — | (0.28 | ) | (0.30 | ) | (0.17 | ) | (0.16 | ) | (0.03 | ) | |||||||||||||
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| |||||||||||||
Net Asset Value, End of Period | $ | 10.86 | $ | 10.47 | $ | 9.10 | $ | 10.73 | $ | 10.64 | $ | 10.53 | ||||||||||||
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|
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| |||||||||||||
Total Return | 3.63 | %2 | 18.07 | % | (12.60 | )% | 2.50 | % | 2.60 | % | 7.70 | % | ||||||||||||
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| |||||||||||||
Ratios to Average Net Assets:3 | ||||||||||||||||||||||||
Expenses other than Management Fees | 1.14 | %4 | 1.07 | % | 1.18 | % | 1.71 | % | 1.27 | % | 1.40 | % | ||||||||||||
Management Fees | 1.87 | %4 | 1.87 | % | 1.85 | % | 1.86 | % | 1.88 | % | 1.88 | % | ||||||||||||
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| |||||||||||||
Net expenses | 3.01 | %4 | 2.94 | % | 3.03 | % | 3.57 | % | 3.15 | % | 3.28 | % | ||||||||||||
Excluded expenses5 | (0.67 | )%4 | (0.68 | )% | (0.90 | )% | (1.29 | )% | (0.81 | )% | (1.06 | )% | ||||||||||||
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|
|
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|
|
|
|
|
|
| |||||||||||||
Expenses, net of impact of excluded expenses | 2.34 | %4 | 2.26 | % | 2.13 | % | 2.28 | % | 2.34 | % | 2.22 | % | ||||||||||||
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|
|
|
|
|
|
|
|
|
| |||||||||||||
Net investment income | (0.87 | )%4 | 0.51 | % | 1.19 | % | 0.57 | % | (0.26 | )% | 0.48 | % | ||||||||||||
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| |||||||||||||
Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 26,378 | $ | 27,031 | $ | 40,987 | $ | 297,086 | $ | 229,593 | $ | 316,243 | ||||||||||||
Portfolio turnover | 175 | %2 | 135 | % | 193 | % | 203 | % | 300 | % | 237 | % |
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 (Continued)
(For Shares Outstanding Throughout the Period)
Class Y | ||||||||||||||||||||||||
Six-Months | Year | Year | Year | Year | Year | |||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 10.36 | $ | 9.02 | $ | 10.68 | $ | 10.59 | $ | 10.48 | $ | 9.75 | ||||||||||||
Income From Investment Operations: | ||||||||||||||||||||||||
Net investment income (loss)1 | (0.03 | ) | 0.08 | 0.16 | 0.09 | 0.02 | 0.08 | |||||||||||||||||
Net realized and unrealized gain (loss) | 0.43 | 1.59 | (1.42 | ) | 0.21 | 0.31 | 0.71 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total From Investment Operations | 0.40 | 1.67 | (1.26 | ) | 0.30 | 0.33 | 0.79 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions to Shareholders: | ||||||||||||||||||||||||
From net investment income | — | (0.33 | ) | (0.22 | ) | (0.14 | ) | (0.09 | ) | (0.06 | ) | |||||||||||||
From net realized capital gains | — | — | (0.18 | ) | (0.07 | ) | (0.13 | ) | — | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Distributions | — | (0.33 | ) | (0.40 | ) | (0.21 | ) | (0.22 | ) | (0.06 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value, End of Period | $ | 10.76 | $ | 10.36 | $ | 9.02 | $ | 10.68 | $ | 10.59 | $ | 10.48 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return | 3.86 | %2 | 18.49 | % | (12.25 | )% | 2.85 | % | 3.17 | % | 8.10 | % | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Ratios to Average Net Assets:3 | ||||||||||||||||||||||||
Expenses other than Management Fees | 0.76 | %4 | 0.72 | % | 0.83 | % | 1.39 | % | 0.79 | % | 1.05 | % | ||||||||||||
Management Fees | 1.87 | %4 | 1.87 | % | 1.85 | % | 1.86 | % | 1.88 | % | 1.88 | % | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net expenses | 2.63 | %4 | 2.59 | % | 2.68 | % | 3.25 | % | 2.67 | % | 2.93 | % | ||||||||||||
Excluded expenses5 | (0.41 | )%4 | (0.42 | )% | (0.62 | )% | (1.13 | )% | (0.57 | )% | (0.81 | )% | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Expenses, net of impact of excluded expenses | 2.22 | %4 | 2.17 | % | 2.06 | % | 2.12 | % | 2.10 | % | 2.12 | % | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net investment income (loss) | (0.49 | )%4 | 0.85 | % | 1.54 | % | 0.89 | % | 0.23 | % | 0.78 | % | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Supplemental Data: |
| |||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 1,319,987 | $ | 1,341,439 | $ | 1,752,913 | $ | 1,619,797 | $ | 686,390 | $ | 432,327 | ||||||||||||
Portfolio turnover | 175 | %2 | 135 | % | 193 | % | 203 | % | 300 | % | 237 | % |
1 | Calculated using average shares outstanding during the period. |
2 | Percentage represents the results for the period and is 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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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Notes to Consolidated Financial Statements
For the Six-Months Ended September 30, 2021 (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, 2021, 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, 2021, 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 Investment 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 under the Commodity Exchange Act (“CEA”) and are 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 CEA, respectively, from certain disclosure,
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Notes to Consolidated Financial Statements (Continued)
For the Six-Months Ended September 30, 2021 (Unaudited)
reporting, and recordkeeping requirements otherwise applicable to commodity pools. Neither the Domestic Subsidiary III nor the Domestic Subsidiary IV intends to invest more than a de minimis level of its net assets in “commodity interests” (as defined under the CEA). Accordingly, BAIA 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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Notes to Consolidated Financial Statements (Continued)
For the Six-Months Ended September 30, 2021 (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, 2021.
COVID-19 and Global Economic and Market Conditions
The ongoing novel coronavirus (“COVID-19”) pandemic has caused disruption in the U.S. and global economies. More recently, robust economic activity in the U.S. has supported a continued recovery, which nevertheless may remain uneven with dispersion across sectors and regions. The estimates and assumptions underlying these consolidated Financial Statements are based on the information available as of September 30, 2021. The estimates and assumptions include judgments about financial market and economic conditions which have changed, and may continue to 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.
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
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Notes to Consolidated Financial Statements (Continued)
For the Six-Months Ended September 30, 2021 (Unaudited)
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, 2021, the total fair value of Level 3 investments was $69,840,374. 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 investments of Blackstone Inc. (“Blackstone”) incorporates the changes in fair value of those investments as determined under U.S. GAAP. 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 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, 2021, 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, 2021, the Fund did not have any investment in short-term investments.
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Notes to Consolidated Financial Statements (Continued)
For the Six-Months Ended September 30, 2021 (Unaudited)
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 in corporate 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 NAV 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 NAV per share or its equivalent if the reported NAV 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. If the Investee Fund does not provide a reported NAV per share or its equivalent on a day, the Adviser shall estimate fair value in good faith and in a manner consistent with its policies and procedures.
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Notes to Consolidated Financial Statements (Continued)
For the Six-Months Ended September 30, 2021 (Unaudited)
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, 2021, the Fund had an outstanding commitment of $8,265,235 related to held unfunded loan commitments.
Mortgage-Related and Other Asset-Backed Securities
The Fund may invest in MBS (residential and commercial) and other ABS. These securities include mortgage pass-through securities, collateralized mortgage obligations, commercial mortgage-backed securities, residential mortgage-backed securities, collateralized debt obligations, 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 on 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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Commodities
Allowances are valued according to their vintage on market price or Allowances delivered during the valuation month. ICE futures U.S., Inc. (ICE) will serve as the primary pricing source. When early vintage Allowances no longer have readily observable market prices from ICE, they will be valued using prices for later vintage Allowances. ICE lists widely-traded futures contracts for the Allowance market. These contracts result in the delivery of an Allowance at expiry. The ICE California Carbon Allowance (“CCA”) contracts permits delivery of Allowances issued by California or any linked program (at this time Quebec and Ontario). Trading in these futures contracts are subject to ICEs market rules. ICE lists separate CCA by vintage, (e.g. 2017 Vintage, 2018 Vintage and 2019 Vintage). The most traded ICE CCA contracts allow delivery of the indicated vintage or earlier hence a 2016 Vintage Allowance can be delivered against the 2017 Vintage Contract. This flexibility means futures contracts on earlier vintages are usually more liquid than, and worth at least as much as, later Vintages.
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, 2021, the Fund had $1,202,563,564 in domestic cash and $57,802,286 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.
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Contingencies
Under the Trust’s Amended and Restated Agreement and 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.
For the current open tax years ending on October 31, 2018, October 31, 2019 and October 31, 2020, 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, 2021, 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
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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 NAV. If triggered, the Fund or counterparty may be entitled to additional cash margin and/or to terminate the contract. See Note 9 for a further discussion of the risks of the Fund, including credit and counterparty risk.
Reverse Repurchase Agreements
The Fund may enter into reverse repurchase agreements. In a reverse repurchase agreement, the Fund sells a security in exchange for cash to a financial institution, the counterparty, with a simultaneous agreement to repurchase the same or substantially the same security at an agreed upon price and date, under the terms of a Master Repurchase Agreement (“MRA”). The Fund is entitled to receive principal and interest payments, if any, made on the security delivered to the counterparty during the term of the agreement. Cash received in exchange for securities delivered plus accrued interest payments to be made by the Fund to counterparties is reflected as a liability. Reverse repurchase agreements involve the risk that the market value of the securities purchased with the proceeds from the sale of securities received by the Fund may decline below the price of the securities the Fund is obligated to repurchase. Reverse repurchase agreements also involve credit risk with the counterparty to the extent that the value of securities subject to repurchase exceeds 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, 2021, the face value of open reverse repurchase agreements for the Fund was $28,272,000. The weighted average daily balances of reverse repurchase agreements outstanding for the Fund during the six-months ended September 30, 2021 was approximately $77,620,523, at a weighted average weekly interest rate of 1.33%.
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 (“SLA”) and related collateral governed by an SLA (see below).
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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),(2) | Cash Collateral Pledged(1) | Net Amount(3) | ||||||||||||||||
Goldman Sachs Bank USA | $ | (23,605,513 | ) | $ | 23,605,513 | $ | — | $ | — | |||||||||||
Royal Bank of Canada | (4,679,130 | ) | 4,679,130 | — | — | |||||||||||||||
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| |||||||||||||
Total | $ | (28,284,643 | ) | $ | 28,284,643 | $ | — | $ | — | |||||||||||
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(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, 2021 was $40,113,991 and $668,000, respectively. |
(2) | The total fair value of non-cash collateral in the table above includes securities valued at $28,284,643 that have been pledged and received as collateral on a reverse repurchase agreement and repurchase agreement respectively. |
(3) | Net amount represents the net receivable (payable) that would be due from/to the counterparty in the event of default. |
Remaining Contractual Maturity of the Agreements As of September 30, 2021 | ||||||||||||||||||||||||||
Overnight | <30 days | Between | >90 days | Total | ||||||||||||||||||||||
Reverse Repurchase Agreements |
| |||||||||||||||||||||||||
Asset-Backed Securities | $ | — | $ | 3,494,700 | $ | — | $ | — | $ | 3,494,700 | ||||||||||||||||
Mortgage-Backed Securities | — | 24,789,943 | — | — | 24,789,943 | |||||||||||||||||||||
Collateral Cash | — | — | — | — | — | |||||||||||||||||||||
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Total | $ | — | $ | 28,284,643 | $ | — | $ | — | $ | 28,284,643 | ||||||||||||||||
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Gross amount of recognized liabilities for reverse repurchase agreements |
| $ | 28,284,643 | |||||||||||||||||||||||
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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 Fund will bear the risk of loss with respect to the investment of the cash collateral, as well as the possible loss of rights to the collateral should the borrower fail financially. 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, 2021, 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.
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When-Issued and Delayed-Delivery Transactions
The Fund may engage in when-issued or delayed-delivery transactions. The Fund records when-issued or delayed-delivery securities on the trade date and maintains security positions such that sufficient liquid assets will be available to make payment for the securities purchased. Securities purchased on a when-issued or delayed-delivery basis are marked-to-market daily and begin earning interest on the settlement date. Losses may occur on these transactions due to changes in market conditions or the failure of counterparties to perform under the contract.
The Fund may transact in To Be Announced Securities (“TBAs”). As with other delayed-delivery transactions, a seller agrees to issue TBAs at a future date. However, the seller does not specify the particular securities to be delivered. Instead, the Fund agrees to accept any security that meets specified terms such as issuer, interest rate and terms of underlying mortgages. The Fund records TBAs on the trade date utilizing information associated with the specified terms of the transaction as opposed to the specific mortgages. TBAs are marked-to-market daily and begin earning interest on the settlement date. Losses may occur due to the fact that the actual underlying mortgages received may be less favorable than those anticipated by the Fund.
Restricted Securities
The Fund may purchase securities which are considered restricted. Restricted securities are securities that cannot be offered for public sale without first being registered under the Securities Act of 1933, as amended, or are subject to contractual restrictions on public sales. Many such restricted securities may be resold in the secondary market in transactions exempt from registration. The Fund will not incur any registration costs upon such resales. The Fund cannot demand registration of restricted securities. The Fund’s restricted securities, like other securities, are priced in accordance with the Valuation Procedures. Restricted securities are identified in the Consolidated Schedule of Investments.
Recent Accounting Pronouncements
Certain jurisdictions are currently reforming or phasing out their benchmark interest rates, most notably the London Interbank Offered Rates (“LIBOR”) across multiple currencies. The timing of the anticipated reforms or phase-outs vary by jurisdiction, with most of the reforms or phase-outs currently scheduled to take effect by the end of calendar year 2021 and certain U.S. dollar LIBOR tenors persisting through June 2023. The Fund is evaluating the impact of such changes on existing transactions and contractual arrangements and managing transition efforts.
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
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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 Forwards. 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 Forwards 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 Forwards may limit the risk of loss due to a decline in the value of the currency holdings, they also limit any potential gain that might result should the value of the currency increase. In addition, the Fund could be exposed to losses if the counterparties to the contracts are unable to meet the terms of the contracts. The Fund’s maximum potential loss from such contracts is the aggregate face value in U.S. dollars at the time the contract was opened. These contracts involve market and/or credit risk in excess of the amount recognized in the Consolidated Statement of Assets and Liabilities.
Futures Contracts
The Fund may enter into futures contracts to maintain investment exposure to a target asset class or to seek to enhance return. The Fund may be subject to fluctuations in equity prices, interest rates, commodity prices and foreign currency exchange rates in the normal course of pursuing its investment objective. Futures contracts are standardized agreements to buy or sell a security or deliver a final cash settlement price in connection with an index, interest rate, currency, or other asset. The Fund must deposit an amount (“initial margin”) equal to a certain percentage of the face value of the futures contract. The initial margin may be in the form of cash or securities which is returned when the Fund’s obligations under the contract have been satisfied. If cash is deposited as the initial margin, it is shown as segregated cash balance with broker for futures contracts in the Consolidated Statement of Assets and Liabilities. Futures contracts are marked-to-market daily and subsequent payments (“variation margin”) are made or received by the Fund depending on whether unrealized gains or losses are incurred. When the contract is closed or expires, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. The potential risk to the Fund is that the change in value of futures contracts may not correspond to the change in the value of the hedge investments. In addition, losses may arise from 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
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for the underlying instrument. A writer could not terminate the obligation until the option expired or the writer was assigned an exercise notice. The purchaser of an option is subject to the risk of losing the entire purchase price of the option. The writer of an option is subject to the risk of loss resulting from the difference between the premium received for the option and the price of the futures contract underlying the option that the writer must purchase or deliver upon exercise of the option. The writer of a naked option may have to purchase the underlying contract in the market for substantially more than the exercise price of the option in order to satisfy his delivery obligations. This could result in a large net loss.
Equity, foreign currency or index options that may be purchased or sold by the Fund may include options not traded on a securities exchange. The risk of nonperformance by the counterparty on such option may be greater and the ability of the Fund to enter into a closing transaction with respect to such option may be less than in the case of an exchange traded option.
The Fund may purchase or write interest rate swaption agreements, which are options to enter into a predefined swap agreement by some specific date in the future. The writer of the swaption becomes the counterparty to the swap if the buyer exercises. The interest rate swaption agreement will specify whether the buyer of the swaption will be a fixed-rate receiver or a fixed-rate payer upon exercise.
Purchases of put and call options are recorded as investments, the value of which are marked-to-market daily. When a purchased option expires without being exercised, the Fund will realize a loss equal to the premium paid. When the Fund enters into a closing sale transaction, the Fund will realize a gain or loss depending on whether the sales proceeds from the closing sale transaction are greater or less than the premium initially paid for the option. When the Fund exercises a put option, it will realize a gain or loss from the sale of the underlying instrument and the proceeds from such sale will be decreased by the premium originally paid for the put option. When the Fund exercises a call option, the cost of the security which the Fund purchases upon exercise will be increased by the premium originally paid for the call option. Realized gains and losses on purchased options are included in realized gains and losses on investments.
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. Swaps 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 Swaps 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 Swaps 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.
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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 Swaps involves documentation risk resulting from the possibility that the parties to Swaps 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.
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 Investment 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
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For the Six-Months Ended September 30, 2021 (Unaudited)
receiving from the issuer payments that reflect the return of an account through which the Sub-Adviser (or the Investment Adviser) manages a portfolio reflecting a basket of securities, derivatives, and/or commodity interests. The Sub-Adviser (or the Investment 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 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 year end are listed at the end of the Fund’s Consolidated Schedule of Investments.
At September 30, 2021, the Fund had the following derivative financial instruments, presented on a gross basis and categorized by risk exposure:
Asset Derivatives | Liability Derivatives | |||||||||||
Consolidated Statement of | Fair Value | Consolidated Statement of | Fair Value | |||||||||
Interest Rate | Centrally cleared swaps, at fair value (c) | $ | 10,784,991 | Centrally cleared swaps, at fair value (c) | $ | (19,464,350 | ) | |||||
Swap contracts, at fair value (b) | — | Swap contracts, at fair value (b) | (61,757 | ) | ||||||||
Unrealized appreciation on futures contracts (c) | 2,409,989 | Unrealized depreciation on futures contracts (c) | (3,021,386 | ) | ||||||||
Purchased options, at fair value (d) | 771,208 | Options written, at value | (1,086,635 | ) | ||||||||
Equity | Swap contracts, at fair value (b) | 34,914,738 | Swap contracts, at fair value (b) | (47,274,964 | ) | |||||||
Unrealized appreciation on futures contracts (c) | 1,321,748 | Unrealized depreciation on futures contracts (c) | (7,462,942 | ) | ||||||||
Purchased options, at fair value (d) | 2,428,386 | Options written, at value | (8,013,314 | ) |
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Asset Derivatives | Liability Derivatives | |||||||||||
Consolidated Statement of | Fair Value | Consolidated Statement of | Fair Value | |||||||||
Commodity | Unrealized appreciation on futures contracts (c) | $ | 100,490,892 | Unrealized depreciation on futures contracts (c) | $ | (131,593,292 | ) | |||||
Purchased options, at fair value (d) | 142,464,940 | Options written, at value | (90,046,709 | ) | ||||||||
Credit | Centrally cleared swaps, at fair value (c) | 1,893,478 | Centrally cleared swaps, at fair value (c) | (915,118 | ) | |||||||
Swap contracts, at fair value (b) | 1,485,867 | Swap contracts, at fair value (b) | (2,546,427 | ) | ||||||||
Foreign Exchange | Unrealized appreciation on forward foreign currency exchange contracts | 1,831,419 | Unrealized depreciation on forward foreign currency exchange contracts | (840,876 | ) | |||||||
Unrealized appreciation on futures contracts (c) | 66,980 | Unrealized depreciation on futures contracts (c) | (1,005,888 | ) | ||||||||
Purchased options, at fair value (d) | — | Options written, at value | — | |||||||||
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| |||||||||
Total | $ | 300,864,636 | $ | (313,333,658 | ) | |||||||
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| |||||||||
Amounts not subject to MNA(1) | 262,632,612 | (260,335,146 | ) | |||||||||
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| |||||||||
Total Gross amounts subject to MNA | $ | 38,232,024 | $ | (52,998,512 | ) | |||||||
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(1) | See below for disclosure of financial instruments assets and liabilities subject to offset under enforceable MNA. |
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, 2021:
Primary Underlying Risk | Average | Average | Net | Net Change in | ||||||||||||||||
Interest Rate | ||||||||||||||||||||
Swap contracts | — | 22,752,375,588 | $ | 21,261,066 | $ | 1,680,573 | ||||||||||||||
Future contracts | — | 2,706,221,025 | 577,696 | (2,584,062 | ) | |||||||||||||||
Purchased options (d) | 1,581,630,809 | (1,448,437 | ) | (101,039 | ) | (3,989,563 | ) | |||||||||||||
Options written | — | (68,975 | ) | 250,077 | 112,026 | |||||||||||||||
Equity | ||||||||||||||||||||
Swap contracts | — | 2,835,853,469 | 87,190,806 | (3,640,028 | ) | |||||||||||||||
Future contracts | — | 76,740,867 | 3,750,283 | (6,426,767 | ) | |||||||||||||||
Purchased options (d) | 5,145,823 | (1,110,445 | ) | (5,382,515 | ) | 893,919 | ||||||||||||||
Options written | (4,649,965 | ) | 924,689 | 4,987,447 | (8,569,776 | ) | ||||||||||||||
Commodity | ||||||||||||||||||||
Future contracts | — | 1,159,469,142 | (9,061,571 | ) | (36,292,191 | ) | ||||||||||||||
Purchased options (d) | — | 16,052,811 | 17,897,377 | 115,418,083 | ||||||||||||||||
Options written | — | (18,374,109 | ) | (2,915,850 | ) | (60,027,096 | ) |
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For the Six-Months Ended September 30, 2021 (Unaudited)
Primary Underlying Risk | Average | Average | Net | Net Change in | ||||||||||||||||
Credit | ||||||||||||||||||||
Swap contracts | — | 127,788,040 | $ | (11,699,971 | ) | $ | 7,191,040 | |||||||||||||
Foreign Exchange | ||||||||||||||||||||
Forward foreign currency exchange contracts | — | 289,544,723 | (356,615 | ) | (139,442 | ) | ||||||||||||||
Future contracts | — | 36,916,348 | (80,133 | ) | (1,012,742 | ) | ||||||||||||||
Purchased options (d) | — | (7,184 | ) | (361,798 | ) | (328,814 | ) | |||||||||||||
Options written | — | — | ||||||||||||||||||
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Total | $ | 105,955,260 | $ | 2,285,160 | ||||||||||||||||
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(a) | Averages are based on monthly activity levels during the six-months ended September 30, 2021. |
(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 reverse repurchase agreements and related collateral governed by an MRA or SLA and related collateral governed by an SLA (see Note 3).
The Fund has MNAs, 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, 2021.
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For the Six-Months Ended September 30, 2021 (Unaudited)
The following table represents the Fund’s derivative financial instrument assets and liabilities by counterparty net of amounts available for offset under an MNA and net of related collateral received/pledged by the Fund as of September 30, 2021:
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) | |||||||||||||||||||||||||
Deutsche Bank AG | $ | 147,881 | $ | (147,881 | ) | $ | — | $ | — | — | |||||||||||||||
Goldman Sachs International | 2,723,553 | (2,723,553 | ) | — | — | — | |||||||||||||||||||
JPMorgan Chase Bank, N.A. | 73,386 | (73,386 | ) | — | — | — | |||||||||||||||||||
Morgan Stanley Capital Services LLC | 143,434 | (4,601 | ) | — | — | 138,833 | |||||||||||||||||||
Cayman Subsidiary | |||||||||||||||||||||||||
Citibank N.A. | 581,498 | (220,914 | ) | (360,584 | ) | — | — | ||||||||||||||||||
Morgan Stanley Capital Services, Inc. | 93,980 | (24,972 | ) | — | — | 69,008 | |||||||||||||||||||
State Street Bank and Trust Company | 229,337 | (56,010 | ) | (80,000 | ) | — | 93,327 | ||||||||||||||||||
Domestic Subsidiary III | |||||||||||||||||||||||||
Goldman Sachs International | 227,704 | — | — | — | 227,704 | ||||||||||||||||||||
Domestic Subsidiary IV | |||||||||||||||||||||||||
Credit Suisse International | 553,336 | (553,336 | ) | — | — | — | |||||||||||||||||||
Goldman Sachs International | 1,113,250 | (1,113,250 | ) | — | — | — | |||||||||||||||||||
J.P. Morgan Securities LLC | 644,330 | (294,799 | ) | — | — | 349,531 | |||||||||||||||||||
JPMorgan Chase Bank, N.A. | 8,387,497 | (8,387,497 | ) | — | — | ||||||||||||||||||||
Morgan Stanley Capital Services LLC | 22,597,009 | (22,597,009 | ) | — | — | — | |||||||||||||||||||
State Street Bank and Trust Company | 715,829 | — | — | — | 715,829 | ||||||||||||||||||||
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$ | 38,232,024 | $ (36,197,208) | $ | (440,584 | ) | $ | — | $ | 1,594,232 | ||||||||||||||||
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For the Six-Months Ended September 30, 2021 (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. | $ | (61,757 | ) | $ | — | $ | — | $ | — | $ | (61,757 | ) | |||||||||||||
Barclays Bank PLC | (1,187,853 | ) | — | 350,000 | — | (837,853 | ) | ||||||||||||||||||
Deutsche Bank AG | (231,283 | ) | 147,881 | — | — | (83,402 | ) | ||||||||||||||||||
Goldman Sachs International | (5,311,368 | ) | 2,723,553 | 2,587,815 | — | — | |||||||||||||||||||
HSBC Bank plc | (61,448 | ) | — | — | — | (61,448 | ) | ||||||||||||||||||
JPMorgan Chase Bank, N.A. | (465,324 | ) | 73,386 | 391,938 | — | — | |||||||||||||||||||
Morgan Stanley Capital Services LLC | (4,601 | ) | 4,601 | — | — | — | |||||||||||||||||||
Morgan Stanley Capital Services, Inc. | (53,437 | ) | — | 53,437 | — | — | |||||||||||||||||||
Cayman Subsidiary | |||||||||||||||||||||||||
Citibank N.A. | (220,914 | ) | 220,914 | — | — | — | |||||||||||||||||||
J.P. Morgan Securities LLC | (332,898 | ) | — | 332,898 | — | — | |||||||||||||||||||
JPMorgan Chase Bank, N.A. | (967,278 | ) | — | 839,299 | — | (127,979 | ) | ||||||||||||||||||
Morgan Stanley Capital Services LLC | (13,155 | ) | — | — | — | (13,155 | ) | ||||||||||||||||||
Morgan Stanley Capital Services, Inc. | (24,972 | ) | 24,972 | — | — | — | |||||||||||||||||||
State Street Bank and Trust Company | (56,010 | ) | 56,010 | — | — | — | |||||||||||||||||||
Domestic Subsidiary IV | |||||||||||||||||||||||||
Credit Suisse International | (3,341,812 | ) | 553,336 | 2,788,476 | — | — | |||||||||||||||||||
Goldman Sachs Bank USA | (98,377 | ) | — | — | — | (98,377 | ) | ||||||||||||||||||
Goldman Sachs International | (3,164,603 | ) | 1,113,250 | 2,051,353 | — | — | |||||||||||||||||||
J.P. Morgan Securities LLC | (294,799 | ) | 294,799 | — | — | — | |||||||||||||||||||
JPMorgan Chase Bank, N.A. | (11,294,282 | ) | 8,387,497 | — | — | (2,906,785 | ) | ||||||||||||||||||
Morgan Stanley Capital Services LLC | (25,812,340 | ) | 22,597,009 | 3,215,331 | — | — | |||||||||||||||||||
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$ (52,998,511 | ) | $ | 36,197,208 | $ 12,610,547 | $ | — | $ (4,190,756 | ) | |||||||||||||||||
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Notes to Consolidated Financial Statements (Continued)
For the Six-Months Ended September 30, 2021 (Unaudited)
(1) | The Fund and each Subsidiary are subject to separate MNAs 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, 2021:
Assets: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||
Investments in Securities: |
| |||||||||||||||||||
Common Stock | $ | 991,323,074 | $ | 2,321,592 | $ | 1,236,231 | $ | 994,880,897 | ||||||||||||
Convertible Preferred Stocks | 973,637 | — | — | 973,637 | ||||||||||||||||
Preferred Stock | 2,364,552 | — | 4,862,828 | 7,227,380 | ||||||||||||||||
Asset-Backed Securities | — | 66,951,907 | — | 66,951,907 | ||||||||||||||||
Convertible Bonds | — | 7,865,078 | — | 7,865,078 | ||||||||||||||||
Bank Debt | — | 114,080,846 | 63,299,178 | 177,380,024 | ||||||||||||||||
Corporate Bonds & Notes | — | 360,278,289 | 119,900 | 360,398,189 | ||||||||||||||||
Sovereign Debt | — | 170,961,620 | — | 170,961,620 | ||||||||||||||||
Mortgage-Backed Securities | — | 268,077,401 | — | 268,077,401 | ||||||||||||||||
U.S. Government Sponsored Agency Securities | — | 8,570,898 | — | 8,570,898 | ||||||||||||||||
Municipals | — | 29,266,423 | — | 29,266,423 | ||||||||||||||||
U.S. Treasury Notes | — | 149,425,781 | �� | 149,425,781 | ||||||||||||||||
Exchange-Traded Funds | 5,991,486 | — | — | 5,991,486 | ||||||||||||||||
Warrants | 5,590,239 | — | 231,028 | 5,821,267 | ||||||||||||||||
Commodities | — | 420,334,910 | — | 420,334,910 | ||||||||||||||||
Purchased Options | 144,121,307 | 1,543,227 | — | 145,664,534 | ||||||||||||||||
Subtotal | $ | 1,150,364,295 | $ | 1,599,677,972 | $ | 69,749,165 | $ | 2,819,791,432 | ||||||||||||
Investments Valued at NAV |
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| 783,836,519 | |||||||||||||
Total Investments in Securities | $ | 1,150,364,295 | $ | 1,599,677,972 | $ | 69,749,165 | $ | 3,603,627,951 | ||||||||||||
Unfunded Loan Commitment | — | — | 91,209 | 91,209 | ||||||||||||||||
Futures Contracts | 104,289,609 | — | — | 104,289,609 | ||||||||||||||||
Forward Foreign Currency Exchange Contracts | — | 1,831,419 | — | 1,831,419 | ||||||||||||||||
Centrally Cleared Credit Default Swaps | — | 1,893,478 | — | 1,893,478 | ||||||||||||||||
OTC Credit Default Swaps | — | 1,485,867 | — | 1,485,867 | ||||||||||||||||
OTC Total Return Swaps | — | 34,914,738 | — | 34,914,738 | ||||||||||||||||
Centrally Cleared Interest Rate Swaps | — | 10,784,991 | — | 10,784,991 | ||||||||||||||||
Total Assets | $ | 1,254,653,904 | $ | 1,650,588,465 | $ | 69,840,374 | $ | 3,758,919,262 |
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Notes to Consolidated Financial Statements (Continued)
For the Six-Months Ended September 30, 2021 (Unaudited)
Liabilities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||
Securities Sold Short: |
| |||||||||||||||||||
Common Stock | $ | 425,337,086 | $ | 29 | $ | — | $ | 425,337,115 | ||||||||||||
Exchange-Traded Funds | 4,929,001 | — | — | 4,929,001 | ||||||||||||||||
Rights | 0 | — | — | 0 | ||||||||||||||||
Warrants | 0 | — | — | 0 | ||||||||||||||||
Total Securities Sold Short | 430,266,087 | 29 | — | 430,266,116 | ||||||||||||||||
Options Written | 96,543,678 | 2,602,980 | — | 99,146,658 | ||||||||||||||||
Reverse Repurchase Agreements | — | 28,284,643 | — | 28,284,643 | ||||||||||||||||
Futures Contracts | 143,083,508 | — | — | 143,083,508 | ||||||||||||||||
Forward Foreign Currency Exchange Contracts | — | 840,876 | — | 840,876 | ||||||||||||||||
Centrally Cleared Credit Default Swaps | — | 915,118 | — | 915,118 | ||||||||||||||||
OTC Credit Default Swaps | — | 2,546,427 | — | 2,546,427 | ||||||||||||||||
OTC Total Return Swaps | — | 47,336,721 | — | 47,336,721 | ||||||||||||||||
Centrally Cleared Interest Rate Swaps | — | 19,464,350 | — | 19,464,350 | ||||||||||||||||
Total Liabilities | $ | 669,893,273 | $ | 101,991,144 | $ | — | $ | 771,884,417 |
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.
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Notes to Consolidated Financial Statements (Continued)
For the Six-Months Ended September 30, 2021 (Unaudited)
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 Commence- | Amount $ | Redemption Restriction Term | Amount $ | ||||||||||
Equity Hedge (1) | N/A | — | N/A | 197,076,800 | 7 days | — | 197,076,800 | |||||||
Equity Hedge (1) | N/A | — | N/A | — | N/A | 30,765,935 | 30,765,935 | |||||||
Equity Hedge (1) | N/A | — | N/A | 97,226,633 | 60 days | — | 97,226,633 | |||||||
Event - Driven (2) | N/A | 3,000,000 | N/A | 19,628,572 | 6 months | 115,546,827 | 138,175,399 | |||||||
Macro Strategies (3) | N/A | — | N/A | 74,659,200 | 90 days | — | 74,659,200 | |||||||
Macro Strategies (3) | N/A | — | N/A | 245,932,551 | 6 days | — | 245,932,551 |
(1) | The Equity Hedge strategy generally includes equity-focused Investee Funds with a bottom-up analysis that do not actively trade exposures, with trading strategies focusing on shorter-term dynamics and appreciation for market technicals, top-down thematic/macro views, and technically driven statistical arbitrage with fundamental quantitative long/short strategies. |
(2) | The 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. |
(3) | The Macro Strategies strategy generally includes Investee Funds with a focus on opportunistic and strategic allocations across asset classes including but not limited to bonds, rates, currencies, and commodities. |
(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
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Notes to Consolidated Financial Statements (Continued)
For the Six-Months Ended September 30, 2021 (Unaudited)
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 | Preferred | Bank Debt | Corporate | Warrants | Unfunded | Total | ||||||||||||||||||||||||||||
Balance as of March 31, 2021 | $ | 1,249,313 | $ | 4,482,820 | $ | 58,956,505 | $ | 128,620 | $ | — | $ | 70,430 | $ | 64,887,688 | |||||||||||||||||||||
Transfers In | 109,969 | — | 4,049,705 | — | — | — | 4,159,674 | ||||||||||||||||||||||||||||
Transfers Out | — | — | (12,982,920 | ) | — | — | — | (12,982,920 | ) | ||||||||||||||||||||||||||
Purchases | — | — | 23,511,203 | — | — | — | 23,511,203 | ||||||||||||||||||||||||||||
Sales | (96,793 | ) | — | (8,599,431 | ) | — | — | — | (8,696,224 | ) | |||||||||||||||||||||||||
Amortization | — | — | 2,695,433 | — | — | — | 2,695,433 | ||||||||||||||||||||||||||||
Net realized gain (loss) | — | — | (1,297,610 | ) | — | — | — | (1,297,610 | ) | ||||||||||||||||||||||||||
Net change in unrealized appreciation (depreciation) | (26,258 | ) | 380,008 | (3,033,707 | ) | (8,720 | ) | 231,028 | 20,779 | (2,436,870 | ) | ||||||||||||||||||||||||
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| ||||||||||||||||||||||
Balance as of September 30, 2021 | $ | 1,236,231 | $ | 4,862,828 | $ | 63,299,178 | $ | 119,900 | $ | 231,028 | $ | 91,209 | $ | 69,840,374 | |||||||||||||||||||||
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| ||||||||||||||||||||||
Net change in unrealized appreciation (depreciation) related to investments still held as of September 30, 2021 | $ | (26,258 | ) | $ | 380,008 | $ | (4,128,302 | ) | $ | (8,720 | ) | $ | 231,028 | $ | 20,779 | $ | (3,531,465 | ) | |||||||||||||||||
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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, 2021.
Assets | Valuation Technique | Unobservable Inputs | Fair Value at | Range of Inputs | ||||||||||||||||
Investments in Securities: | ||||||||||||||||||||
Bank Debt | | Discount Approach | Discount Rate | $ | 8,082,909 | 9.94 | % | |||||||||||||
Discount Rate | 6,118,009 | 10.50 | % | |||||||||||||||||
Discount Rate | 2,531,697 | 11.84 | % | |||||||||||||||||
| Discounted Cash Flow | Discount Rate | 103,890 | 48.00% - 65.00 | % | |||||||||||||||
| Broker-dealer Quotations | Indicative Bid | 46,462,673 | N/A |
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For the Six-Months Ended September 30, 2021 (Unaudited)
Assets | Valuation Technique | Unobservable Inputs | Fair Value at | Range of Inputs | ||||||||||||||||
Common Stock | | Broker-dealer Quotations | Indicative Bid | $ | 1,236,231 | N/A | ||||||||||||||
Corporate Bonds & Notes | | Broker-dealer Quotations | Indicative Bid | 119,900 | N/A | |||||||||||||||
Preferred Stock | | Broker-dealer Quotations | Indicative Bid | 4,862,828 | N/A | |||||||||||||||
Warrants | | Comparable Company Multiples | | Revenue Multiples | 231,028 | 1.75x to 2.25x | ||||||||||||||
Unfunded Loan Commitment | | Broker-dealer Quotations | Indicative Bid | 91,209 | N/A | |||||||||||||||
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| |||||||||||||||||||
Total Investments in Securities | $ | 69,840,374 | ||||||||||||||||||
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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, 2021, 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 $10,000, and the minimum subsequent investment in Class D Shares by an investor is $1,000. The minimum investment in Class I Shares by an investor is $100,000, and the minimum subsequent investment in Class I Shares by an investor is $10,000. Class Y Shares have no investment minimum requirements. The Fund’s Class R Shares have no minimum investment requirement and are generally available only to special benefit plans.
Shares of the Fund may be purchased or redeemed at NAV each Business Day.
7. Investment Adviser Fees and Other Transactions with Affiliates
Pursuant to the investment management agreement between the Investment Adviser and the Trust, on behalf of the Fund, the Fund pays the Investment Adviser a management fee (the “Fund Management Fee”) at an annual rate based on the Fund’s average daily net assets, excluding the net assets of the applicable
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Notes to Consolidated Financial Statements (Continued)
For the Six-Months Ended September 30, 2021 (Unaudited)
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, 2021, the Fund paid the Investment Adviser $48,298,403 in management fees. From this amount, the Investment Adviser paid $18,234,122 in sub-advisory fees to non-affiliated Sub-Advisers with respect to the Fund, which amounted to 0.71% (annualized) of the Fund’s average daily net assets. The Investment Adviser paid $979,518 and $300,039 in sub-advisory fees with respect to the Fund to Blackstone Real Estate Special Situations Advisors L.L.C. and Blackstone Liquid Credit Strategies 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 Fund 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).
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 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, 2023 upon written notice to the Fund. This arrangement cannot be terminated prior to August 31, 2023 without the Board’s consent. 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
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Notes to Consolidated Financial Statements (Continued)
For the Six-Months Ended September 30, 2021 (Unaudited)
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, 2021, 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, 2021, $1,387,749 is payable to FINCO.
The Investment 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. U.S. Bank National Association (“U.S. Bank”) serves as custodian for certain of the Fund’s securities, commodities, cash, and other property. 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 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., Forwards, Swaps 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
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Notes to Consolidated Financial Statements (Continued)
For the Six-Months Ended September 30, 2021 (Unaudited)
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, 2021, 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 Forwards 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.
Special Purpose Acquisition Companies Risk: A Fund may invest in stock, warrants, and other securities of special purpose acquisition companies (“SPACs”) or similar special purpose entities that pool funds to seek potential acquisition opportunities. Because SPACs and similar entities are in essence blank check companies without operating history or ongoing business other than seeking acquisitions, the value of their securities is particularly dependent on the ability of the entity’s management to identify and complete a profitable acquisition. An investment in a SPAC is subject to a variety of risks, including that (i) a portion of the monies raised by the SPAC for the purpose of effecting an acquisition or merger may be expended prior to the transaction for payment of taxes and other purposes; (ii) prior to any acquisition or merger, a SPAC’s assets are typically invested in government securities, money market funds and similar investments whose returns or yields may be significantly lower than those of a Fund’s other investments; (iii) a Fund generally will not receive significant income from its investments in SPACs (both prior to and after any acquisition or merger) and, therefore, a Fund’s investments in SPACs will not significantly contribute to a Fund’s distributions to
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Notes to Consolidated Financial Statements (Continued)
For the Six-Months Ended September 30, 2021 (Unaudited)
shareholders; (iv) an attractive acquisition or merger target may not be identified at all, in which case the SPAC will be required to return any remaining monies to shareholders; (v) if an acquisition or merger target is identified, a Fund may elect not to participate in the proposed transaction or a Fund may be required to divest its interests in the SPAC due to regulatory or other considerations, in which case the warrants or other rights with respect to the SPAC held by a Fund may expire worthless or may be repurchased or retired by the SPAC at an unfavorable price; (vi) any proposed merger or acquisition may be unable to obtain the requisite approval, if any, of SPAC shareholders; (vii) under any circumstances in which a Fund receives a refund of all or a portion of its original investment (which typically represents a pro rata share of the proceeds of the SPAC’s assets, less any applicable taxes), the returns on that investment may be negligible, and a Fund may be subject to opportunity costs to the extent that alternative investments would have produced higher returns; (viii) to the extent an acquisition or merger is announced or completed, shareholders who redeem their shares prior to that time may not reap any resulting benefits; (ix) a Fund may be delayed in receiving any redemption or liquidation proceeds from a SPAC to which it is entitled; (x) an acquisition or merger once effected may prove unsuccessful and an investment in the SPAC may lose value; (xi) an investment in a SPAC may be diluted by additional later offerings of interests in the SPAC or by other investors exercising existing rights to purchase shares of the SPAC; (xii) only a thinly traded market for shares of or interests in a SPAC may develop, or there may be no market at all, leaving a Fund unable to sell its interest in a SPAC or to sell its interest only at a price below what a Fund believes is the SPAC interest’s intrinsic value; and (xiii) the values of investments in SPACs may be highly volatile and may depreciate significantly over time.
Additional risks associated with each type of investment are described within the respective security type notes. The Fund’s Prospectus includes a discussion of the principal risks of investing in the Fund.
10. Investment Transactions
The aggregate cost of purchases and proceeds of sales of investments in securities (excluding 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, 2021 were as follows:
Purchases | Sales | |||||
Long-Term | U.S Government | Long-Term | U.S Government | |||
$2,131,585,389 | $802,680,908 | $1,356,026,978 | $1,728,522,719 |
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, 2020. 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 NAV, 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.
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Notes to Consolidated Financial Statements (Continued)
For the Six-Months Ended September 30, 2021 (Unaudited)
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, 2021, 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) | |||
$3,142,435,851 | $299,606,115 | $(426,567,792) | $(126,961,676) |
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 (0.08% at September 30, 2021). 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 7, 2022, 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, 2021, 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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Shareholder Fee Example (Unaudited)
As a shareholder of the Multi-Strategy Fund, you incur ongoing costs, including management fees and to the extent applicable, distribution (12b-1) fees and/or shareholder services fees and other Fund expenses. This Example is intended to help you to understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
Actual Expenses
The actual expense example is based on an investment of $1,000 invested at the beginning of a six month period and held through the six months-ended September 30, 2021. The first line in the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The hypothetical expense example is based on an investment of $1,000 invested at the beginning of a six month period. The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the actual return of the Fund. The hypothetical amount account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads) or redemption/exchange fees. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Beginning Account Value 4/1/2021 | Ending Account Value 9/30/2021 | Expenses Paid During Period1 | Annualized Expense Ratio | |||||||||||||||||
Class I | ||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,038.30 | $ | 13.90 | 2.72 | % | ||||||||||||
Hypothetical (assuming a 5% return before expenses) | $ | 1,000.00 | $ | 1,011.43 | $ | 13.72 | 2.72 | % | ||||||||||||
Class D | ||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,036.30 | $ | 15.37 | 3.01 | % | ||||||||||||
Hypothetical (assuming a 5% return before expenses) | $ | 1,000.00 | $ | 1,009.98 | $ | 15.17 | 3.01 | % | ||||||||||||
Class Y | ||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,038.60 | $ | 13.44 | 2.63 | % | ||||||||||||
Hypothetical (assuming a 5% return before expenses) | $ | 1,000.00 | $ | 1,011.88 | $ | 13.26 | 2.63 | % |
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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Supplemental Information (Continued)
September 30, 2021
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 officers (“Officers”) of the Fund are subject to removal or replacement in accordance with Massachusetts law and the Trust’s Amended and Restated 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 and/or to one or more Subsidiaries.
Discretionary Sub-Advisers:
• | Bayforest Capital Limited and G10 Capital Limited (until August 24, 2021) |
• | Bayforest Capital Limited (effective August 24, 2021) |
• | Bayview Asset Management, LLC |
• | Blackstone Liquid Credit Strategies 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 (until June 30, 2021) |
• | HealthCor Management, L.P. |
• | IPM Informed Portfolio Management AB (until May 10, 2021) |
• | Jasper Capital Hong Kong Limited |
• | Luminus Management, LLC |
• | Magnetar Asset Management LLC |
• | Mesarete Capital LLP (effective August 23, 2021) |
• | Nephila Capital Ltd. |
• | NWI Management, L.P. (until August 31, 2021) |
• | Sage Rock Capital Management LP |
• | Seiga Asset Management Limited |
• | TrailStone Commodity Trading US, LLC |
• | Two Sigma Advisers, LP |
• | Waterfall Asset Management, LLC |
Compensation for Trustees and Officers
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 and the Subsidiaries. Prior to July 1, 2021, Mr. Coates was treated as an “interested person” (as defined in the 1940 Act) (an “Interested Trustee”) of the Fund due to his prior 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). Mr. Coates was paid by the Fund Complex at a rate of $129,000 per fiscal year in the aggregate for his services to the Fund
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Supplemental Information (Continued)
September 30, 2021
(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 Subsidiaries on the basis of assets under management. The Fund Complex pays for the Trustees’ travel expenses related to Board of Trustees meetings. The Trustees do not receive any pension or retirement benefits from the Fund Complex. The Trust has adopted a deferred compensation plan (the “Deferred Compensation Plan”) to allow each Independent Trustee to align his or her interest with the Fund and the Fund’s shareholders without purchasing shares of the Fund. Certain of the Independent Trustees currently participate in the Deferred Compensation Plan. Under the Deferred Compensation Plan, each participating Independent Trustee defers receipt of all or a portion of the compensation earned by such Trustee for serving as a member of the Board or as a member of any ad hoc or standing committee (or subcommittee of such committee) of the Board. The deferred compensation is treated as though an equivalent dollar amount had been invested in shares of the Fund and thereby the Independent Trustees share in the investment performance of the Fund alongside the Fund’s shareholders. Deferred amounts continue to be treated as if the amounts were invested in the Fund until distributed in accordance with the provisions of the Deferred Compensation Plan. Pursuant to the Deferred Compensation Plan, payments due under the Deferred Compensation Plan are unsecured obligations of the Trust.
In addition, the Fund Complex also paid for a portion of the compensation of the Fund’s Chief Compliance Officer during the semi-annual period ended September 30, 2021. No other officers of the Fund received compensation from the Fund Complex during the period. The following tables set forth information regarding the total compensation payable by the Fund and the Fund Complex, during the semi-annual period ended September 30, 2021, to the persons who served as Trustees and Officers of the Fund during the 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 | ||
Frank J. Coates (treated as an Interested Trustee until July 1, 2021) | $69,750 | $69,750 | ||
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 the Fund Complex1 | ||
Peter Koffler | None | None |
Officers:
Compensated Officer | Aggregate Compensation From the Fund | Total Compensation From the Fund Complex1 | ||
Chief Compliance Officer | $100,000 | $100,000 |
1 | These amounts represent the aggregate compensation paid to the chief compliance officer by the Fund and the aggregate compensation for the services of each Trustee to each fund in the Fund Complex for which |
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each Trustee serves as trustee. These funds are limited to the Fund and its Subsidiaries, although the “Fund Complex” consists of the Fund and its Subsidiaries, the Blackstone Credit Closed-End Funds (Blackstone Senior Floating Rate Term Fund, Blackstone Long-Short Credit Income Fund, Blackstone Strategic Credit Fund, and Blackstone Floating Rate Enhanced Income Fund) and the Blackstone Real Estate Income Funds (Blackstone Real Estate Income Fund, Blackstone Real Estate Income Fund II, and Blackstone Real Estate Income Master Fund (the “Real Estate Funds”)). As of July 13, 2020, the Real Estate Funds announced they are in the process of liquidation, dissolution, and termination. Certain of the Independent Trustees have elected to defer all or part of their total compensation for the semi-annual period ended September 30, 2021, under the Trust’s Deferred Compensation Plan. Amounts deferred for the semi-annual period ended September 30, 2021 by Mssrs. Gilbert and Lawler and by Ms. Leopold were $75,000, $75,000, and $27,498, respectively. |
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, 2021 will be available (1) without charge, upon request, by calling toll free, 1-855-890-7725 and (2) on the SEC’s website at http://www.sec.gov.
Board Approval of the Sub-Advisory Agreements
At meetings of the Board held virtually on May 13, 2021 and August 10, 2021, 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 Sub-Advisory Agreements”); and (iii) certain new investment sub-advisory agreements (the “New Sub-Advisory Agreements” and together with the Amended Sub-Advisory Agreements and Continued Sub-Advisory Agreements, the “Sub-Advisory Agreements”) between BAIA and each of the following sub-advisers (the “Approved Sub-Advisers”):
Continued Sub-Advisory Agreements (approved at May meeting)
• | Caspian Capital LP |
• | Good Hill Partners LP |
• | Two Sigma Advisers, LP |
Amended Sub-Advisory Agreements (approved at May meeting)
• | TrailStone Commodity Trading US, LLC (“TrailStone”) (amended and restated) |
• | Magnetar Asset Management LLC (“Magnetar”) (amended and restated) |
Continued Sub-Advisory Agreement (approved at August meeting)
• | Bayview Asset Management, LLC |
• | Emso Asset Management Limited |
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• | D.E. Shaw Investment Management, L.L.C. |
• | Nephila Capital Ltd. |
Amended Sub-Advisory Agreements (approved at August meeting)
• | Jasper Capital Hong Kong Limited (“Jasper”) (amended and restated) |
New Sub-Advisory Agreements (approved at August meeting)
• | Bayforest Capital Limited (“Bayforest”) |
• | Mesarete Capital LLP (“Mesarete”) |
The Board held its May and August 2021 meetings virtually by video conference due to the ongoing 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 permits 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, approves 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 Approved 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 Approved Sub-Adviser.
The information the Board received in connection with the consideration of the Sub-Advisory Agreement for each of the Approved Sub-Advisers considered at the May meeting (other than in connection with the Amended and Restated Sub-Advisory Agreements for TrailStone and Magnetar) and the August meeting generally included, among other things:
(1) | a Manager Investment Review, which covered, among other things, summary information regarding each Approved 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 applicable Sub-Advisory Agreement; |
(2) | a sub-adviser “tear sheet,” which covered in greater detail the performance, returns, and investment exposure of each Approved Sub-Adviser that had, presently or in the past, been allocated Fund assets (the “Existing Approved Sub-Advisers”), including with respect to the New Sub-Advisory Agreement for Bayforest, the performance of Bayforest acting as sub-adviser to the Fund together with G10 Capital Limited (“Bayforest/G10”) using substantially the same investment strategies as proposed to be employed by Bayforest; and |
(3) | a completed sub-adviser 15(c) questionnaire, which provided each Approved Sub-Adviser’s responses to the Independent Trustees’ request for information. |
With respect to the Amended Sub-Advisory Agreements approved in May 2021 for TrailStone and Magnetar and in August 2021 for Jasper, the Board reviewed the proposed amendments to each Sub-Advisory
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Agreement and, for TrailStone and Magnetar, considered the amendments in light of the information provided in connection with the Board’s most recent approval of the Approved Sub-Adviser’s prior sub-advisory agreements, which occurred at the Board’s meeting on August 11-12, 2020 for TrailStone, and on May 19, 2020 for Magnetar. The Board also received the compliance policies and procedures and codes of ethics of each of Bayforest and Mesarete.
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 each Sub-Advisory Agreement, the Board took into account the fact that the compensation paid to the Approved 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 each Continued Sub-Advisory Agreement, each Amended Sub-Advisory Agreement, and each New Sub-Advisory Agreement on the basis of the following factors, among others, for each Approved Sub-Adviser:
Nature, Extent, and Quality of the Services
Except as otherwise noted, the Board considered with respect to each Approved Sub-Adviser (either at the relevant meeting or by reference to the most recent approval of the Approved Sub-Adviser’s prior sub-advisory agreement):
(1) | the Approved Sub-Adviser’s personnel, operations, and, where available, financial condition; |
(2) | the Approved Sub-Adviser’s investment expertise and strengths; |
(3) | the percentage of Fund assets that are, previously were, or potentially would be allocated to the Approved Sub-Adviser; |
(4) | the investment return on other assets that are managed by the Approved Sub-Adviser and related investment risks or, in the case of Nephila, the Approved Sub-Adviser’s experience managing the assets of a former series of the Trust that had similar investment objectives to those of the Fund, and in the case of Bayforest, the experience of Bayforest/G10 in managing a portion of the Fund’s assets using substantially the same investment strategy as proposed to be employed by Bayforest; |
(5) | the Sub-Adviser’s experience and performance investing in particular instruments or strategies or managing hedge funds or other products; |
(6) | where applicable, the extent to which the Sub-Adviser’s strategy for the Fund would overlap with its strategy for hedge funds or other products; |
(7) | where applicable, the Approved Sub-Adviser’s experience and performance as a sub-adviser to the Fund since its inception or otherwise; |
(8) | the experience and depth of the Approved Sub-Adviser’s portfolio management team in managing hedge funds or other products, as applicable, and its ability to manage risk; and |
(9) | any other factors deemed relevant to the determination of whether to approve or continue the Sub-Advisory Agreements. |
The Board concluded that the nature, extent, and quality of the sub-advisory services to be provided by each Approved Sub-Adviser were appropriate and thus supported a decision to approve or continue the Sub-Advisory Agreements.
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Investment Performance of the Approved Sub-Advisers
The Board considered the investment performance of each Existing Approved Sub-Adviser. With respect to each Existing Approved Sub-Adviser, the Board considered information about the performance record of the Fund’s assets managed by the Approved 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 Approved Sub-Advisers, the Approved Sub-Adviser’s hedge fund strategy. In addition, for the Existing Approved Sub-Advisers and Bayforest, the Board considered information about performance and risk measurements of the assets that are or were managed by the Approved Sub-Adviser, if any (including with respect to Bayforest, performance and risk measurements of the assets previously managed by Bayforest/G10), the custom index, and, if applicable, the Approved Sub-Adviser’s hedge fund strategy, such as annualized return, standard deviation (which is a common measure of volatility), Sharpe ratio, and alpha and beta statistics (where available). On the basis of the Board’s assessment, while recognizing that there can be no assurance of any particular investment outcome, the Board concluded that the investment performance generated by the Existing Approved Sub-Advisers was generally satisfactory and that the Approved Sub-Advisers were capable of providing reasonable investment performance to the Fund. The Board noted that, because Mesarete had not yet managed assets of the Fund, there was no prior performance with respect to Fund assets to consider.
Costs of Services and Profitability
In analyzing the cost of services and profitability of each Approved Sub-Adviser, the Board considered (i) each Approved Sub-Adviser’s current or proposed sub-advisory fee for managing the allocated Fund assets, including any fee breakpoints or fulcrum fee arrangements; (ii) each Approved 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 Approved Sub-Adviser from providing sub-advisory services to the Fund. The Board considered the specific resources that each Approved 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 Approved Sub-Adviser’s investment process is or would be scalable. The Board also took into account the entrepreneurial, business, and other risks each Approved Sub-Adviser has undertaken, or would undertake, in serving as a sub-adviser.
The Board noted that the compensation paid to each Approved Sub-Adviser was paid by BAIA, not the Fund, and, accordingly, that the retention of each Approved 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-Advisory Agreement were the result of separate arm’s-length negotiations between BAIA and the Approved Sub-Adviser. The Board considered information comparing the sub-advisory fees to the fees that each Approved Sub-Adviser charges for providing investment advisory services to certain other clients. The Board also considered information regarding the impact that retaining the Approved 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 fee rates that BAIA pays the Approved Sub-Advisers based on allocations of Fund assets among all Sub-Advisers.
The Board concluded that the level of investment sub-advisory fees was appropriate in light of the services to be provided.
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Economies of Scale
The Board considered various financial and economic considerations relating to the arrangement with each Approved Sub-Adviser, including economies of scale and the current and proposed breakpoints in the sub-advisory fees for certain Approved Sub-Advisers. The Board noted that it would have the opportunity to periodically re-examine whether the Fund had achieved economies of scale, as well as the appropriateness of sub-advisory fees payable to each Approved 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 Approved 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 considered other potential benefits that each Approved 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 and BAIA or BAAM, as applicable. The Board noted that each Approved Sub-Adviser benefited from its relationship with BAIA or BAAM. The Board concluded that other ancillary or “fall out” benefits derived by each Approved Sub-Adviser from its relationship with BAIA, BAAM, or the Fund, to the extent such benefits were identifiable or determinable, were reasonable and fair, resulted from the provision of appropriate services to the Fund and its shareholders, and were consistent with industry practice and the best interests of the Fund and its shareholders.
Other Considerations
The Board reviewed and considered certain terms and conditions of each Sub-Advisory Agreement. After discussion, the Board concluded that the terms of each 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-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 Approved Sub-Adviser provides (and is proposed to provide in the case of Mesarete and Bayforest) to the Fund and in light of the other factors described above that the Board deemed relevant. With respect to the New Sub-Advisory Agreements, the Board also concluded that the proposed terms were in the best interests of the Fund’s shareholders, that the applicable sub-adviser could provide services the nature and quality of which are at least equal to those provided by others offering the same or similar services, and that the engagement of Bayforest and Mesarete was in the best interest of the Fund and its shareholders and did not involve a conflict of interest from which the Investment Adviser or any sub-adviser affiliated with the Investment Adviser derives an inappropriate advantage. The Board noted that both BAIA and the Board had previously determined, or determined at the meetings, that each Approved 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 Approved 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 Approved 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 on any single controlling factor. The Board was assisted by the advice of independent legal counsel in approving each Sub-Advisory Agreement.
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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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Blackstone
|
Rev April 2021
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 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 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, Blackstone Floating Rate Enhanced Income Fund, Blackstone Senior Floating Rate Term Fund, Blackstone Long-Short Credit Income Fund, Blackstone Strategic Credit Fund, Blackstone Secured Lending Fund, Blackstone Real Estate Income Fund, Blackstone Real Estate Income Fund II, and Blackstone Real Estate Income Master 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 Blackstone Credit 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:
Blackstone Inc. Attn: Legal & Compliance 345 Park Avenue New York, NY 10154
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Last Updated: July 23, 2021 |
Investor Data Privacy Notice
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 or management companies 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, branches, 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, manager 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, please see the ‘Contact Us’ section. |
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:
• | Identifiers (e.g., real name, alias, postal address, email address, social security or driver’s license 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, online registration details, and other contact information); |
• | 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); |
• | Commercial information (e.g., assets, income, transaction and investment history, accounts at other institutions, financial positions/returns, information concerning source of funds and any applicable restrictions on your investment such as political exposure or sanctions); |
• | 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); |
• | Sensory and surveillance data (e.g., recordings of telephone calls where permitted or required by law, video (surveillance) recordings, closed-circuit television (CCTV) images and recordings, and other records of your interactions with us or our service providers, including electronic communications); |
• | Professional or employment-related information (e.g., current or past job history); and |
• | 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). |
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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 | |
Personal Data that you give us | ∎ From the forms and any associated documentation that you complete when subscribing for an investment, shares, interests, 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 license, your national insurance or social security number and income, employment information and details about your investment or retirement portfolio(s), and financial-related data (such as returns and financial positions)
| |
∎ 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
| ||
∎ When we need to identify you and/or complete necessary security checks, where you visit one of our buildings or attend meetings. This can include form of ID, and your image for CCTV purposes. | ||
Personal Data that 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 / organizations
| ||
∎ Transaction counterparties |
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Why do we process your Personal Data?
We may process or disclose your Personal Data for the following reasons:
Why | How | |
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 or interests) 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 | |
| ||
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 | |
| ||
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 prudential and regulatory obligations, including anti-money laundering, sanctions and ‘know your client’ checks
∎ Assist our transaction counterparties to comply with their regulatory and legal obligations (including anti-money laundering, ‘know your client’, terrorist financing, and sanctions checks)
∎ Manage our risk and operations
∎ Comply with our accounting and tax-reporting requirements
| |
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Why | How | |
∎ 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)
∎ Analyze 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
∎ Protect the security and safety of our buildings and locations where we operate
∎ Operate, run and schedule online meetings, webinars and conferences (for example, using Zoom and other online meeting platforms)
∎ Manage our financing arrangements with our financiers and financing transaction counterparties, including payment providers, intermediaries, and correspondent/agent banks
∎ Monitor the operation of Fund distribution platforms, where these are operated by third parties or service providers
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 in ‘Legitimate Interests’ 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 regulatory rules and practices and, where we are permitted to do so, to protect our business and the security of our systems.
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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, ‘know your client’, and other 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, Distributors, 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 | |
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 (including cloud services)
∎ 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 Advisers | ∎ Providing you with investment-related services
∎ To comply with applicable legal and regulatory requirements
∎ Supporting Blackstone with the purposes described in section 5 of this Data Privacy Notice |
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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 organizations 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 “What Personal Data do we collect about you?” 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 may transfer your Personal Data between different countries to recipients in countries other than the country in which the information was originally collected (including to our affiliates and group members, members of the Fund’s partnership, transaction counterparties, and third-party service providers). Where you are based in the UK, the EU, or another country which imposes data transfer restrictions outside of its territory, this includes transfers outside of the UK and the European Economic Area (“EEA”) or that geographical area, to those countries in which our affiliates, group members, service providers and business partners operate. Those countries may not have the same data protection laws as the country in which you initially provided the information.
Where we transfer Personal Data outside of the UK, the EEA, or other territories subject to data transfer restrictions to other members of our group, our service providers or another third party recipient, we will ensure that our arrangements with them are governed by 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 the ‘Contact Us’ section for details.
Consent—and Your Right to Withdraw It
Except as may otherwise be required by local law, we do not generally rely on obtaining your consent to process your Personal Data. In particular, we do not generally rely on obtaining your consent where our processing of your Personal Data is subject only to the data protection laws of the UK/EEA (in these circumstances we will usually rely on another legal basis more appropriate in the circumstances, including those set out in “Why do we process your Personal Data?” above). If we do rely on consent for processing of your Personal Data, 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.
Where required by applicable law, we will obtain your consent for the processing of your Personal Data for direct marketing purposes. If you do receive direct marketing communications from us (for example, by post, email, fax or telephone), you may opt-out by clicking the link in the relevant communication, completing the forms provided to you (where relevant), or by contacting us (see the ‘Contact Us’ section for details).
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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 organizations (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 see the ‘Contact Us’ section for details.
Concerns or Queries
We take your concerns very seriously. We encourage you to bring to our attention any concerns you have about our processing of your Personal Data. This Data Privacy Notice was drafted with simplicity and clarity in mind. We are, of course, happy to provide any further information or explanation needed. Please see the ‘Contact Us’ section for details.
Please also contact us via any of the contact methods listed below if you have a disability and require an alternative format of this Data Privacy Notice.
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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 by emailing 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:
345 Park Avenue, New York, NY 10154
|
A list of country-specific addresses and contacts for locations where we operate is available at https://www.blackstone.com/privacy#appendixA.
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).
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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
State Street Bank and Trust Company
One Lincoln Street
Boston, MA 02111
Custodians
State Street Bank and Trust Company
One Lincoln Street
Boston, MA 02111
U.S. Bank N.A.
U.S. Bank Tower
425 Walnut Street
Cincinnati, OH 45202
Transfer Agent
State Street Bank and Trust Company
One Lincoln Street
Boston, MA 02111
Officers
Brian F. Gavin, President and Principal Executive Officer
Charmagne Kukulka, Secretary
Ester McEwan, Principal Financial and Accounting Officer
Kevin Michel, Chief Compliance Officer and Chief Legal Officer
Thomas Procida, Treasurer
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 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. |
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(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. |
Item 12. | Disclosure of Securities Lending Activities for Closed-End Management Investment Companies. |
(a) | Not applicable. |
(b) | Not applicable. |
Item 13. | Exhibits. |
(a)(1) | Not applicable to this semi-annual report. |
(2) Certifications pursuant to Rule 30a-2(a) are attached hereto.
(3) Not applicable.
(4) Not applicable.
(b) | Certifications pursuant to Rule 30a-2(b) are attached hereto. |
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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 29, 2021 |
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 29, 2021 |
By (Signature and Title) | /s/ Ester McEwan | |
Ester McEwan, Principal Financial and Accounting Officer |
Date | November 29, 2021 |