Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments
December 31, 2020 (Unaudited)
Security Description | Shares | Value | ||||||||||
INVESTMENTS IN SECURITIES — 83.3% | ||||||||||||
COMMON STOCK — 25.5% | ||||||||||||
Africa — 0.0% | ||||||||||||
Materials — 0.0% | ||||||||||||
Sasol Ltd., ADR | 100 | $ | 886 | |||||||||
|
| |||||||||||
Total Africa | 886 | |||||||||||
|
| |||||||||||
Asia — 0.4% | ||||||||||||
Asset Management — 0.0% | ||||||||||||
Noah Holdings Ltd., ADR (a) | 2,700 | 129,087 | ||||||||||
|
| |||||||||||
Automotive — 0.2% | ||||||||||||
NIO, Inc., ADR (a) | 175,200 | 8,539,248 | ||||||||||
Niu Technologies, ADR (a) | 600 | 16,830 | ||||||||||
|
| |||||||||||
8,556,078 | ||||||||||||
|
| |||||||||||
Biotechnology & Pharmaceuticals — 0.0% | ||||||||||||
Sinovac Biotech Ltd. (a) | 200 | 1,294 | ||||||||||
|
| |||||||||||
Consumer Discretionary Services — 0.0% | ||||||||||||
GreenTree Hospitality Group Ltd., ADR (a) | 100 | 1,340 | ||||||||||
New Oriental Education & Technology Group, Inc., ADR (a) | 200 | 37,162 | ||||||||||
|
| |||||||||||
38,502 | ||||||||||||
|
| |||||||||||
Consumer Products — 0.0% | ||||||||||||
Viomi Technology Co. Ltd., ADR (a) | 100 | 515 | ||||||||||
|
| |||||||||||
Financial Services — 0.2% | ||||||||||||
Aspirational Consumer Lifestyle Corp. (a),(b),(c) | 809,700 | 8,461,365 | ||||||||||
Futu Holdings Ltd., ADR (a) | 15,300 | 699,975 | ||||||||||
Qudian, Inc., ADR (a) | 100 | 132 | ||||||||||
|
| |||||||||||
9,161,472 | ||||||||||||
|
| |||||||||||
Health Care — 0.0% | ||||||||||||
China Biologic Products Holdings, Inc. (a) | 2,000 | 236,220 | ||||||||||
SOS Ltd., ADR (a) | 2 | 3 | ||||||||||
|
| |||||||||||
236,223 | ||||||||||||
|
| |||||||||||
Machinery — 0.0% | ||||||||||||
China Yuchai International Ltd. | 745 | 12,173 | ||||||||||
Hollysys Automation Technologies Ltd. | 4,100 | 60,229 | ||||||||||
|
| |||||||||||
72,402 | ||||||||||||
|
| |||||||||||
Media — 0.0% | ||||||||||||
Momo, Inc., ADR | 3,400 | 47,464 | ||||||||||
Sogou, Inc., ADR (a) | 15,000 | 122,250 | ||||||||||
Sohu.com Ltd., ADR (a) | 900 | 14,346 | ||||||||||
|
| |||||||||||
184,060 | ||||||||||||
|
| |||||||||||
Real Estate — 0.0% | ||||||||||||
Xinyuan Real Estate Co. Ltd., ADR | 400 | 880 | ||||||||||
|
| |||||||||||
Retail - Discretionary — 0.0% | ||||||||||||
Pinduoduo, Inc., ADR (a) | 2,000 | 355,340 | ||||||||||
|
|
See Notes to Consolidated Schedule of Investments.
1
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
December 31, 2020 (Unaudited)
Security Description | Shares | Value | ||||||||||
Semiconductors — 0.0% | ||||||||||||
Himax Technologies, Inc., ADR (a) | 5,000 | $ | 36,950 | |||||||||
MagnaChip Semiconductor Corp. (a) | 7,100 | 95,992 | ||||||||||
Silicon Motion Technology Corp., ADR | 5,200 | 250,380 | ||||||||||
|
| |||||||||||
383,322 | ||||||||||||
|
| |||||||||||
Software — 0.0% | ||||||||||||
HUYA, Inc., ADR (a) | 11,700 | 233,181 | ||||||||||
|
| |||||||||||
Tech Hardware & Semiconductors — 0.0% | ||||||||||||
Allegro MicroSystems, Inc. (a) | 600 | 15,996 | ||||||||||
Fabrinet (a) | 100 | 7,759 | ||||||||||
Kulicke & Soffa Industries, Inc. | 6,000 | 190,860 | ||||||||||
LG Display Co. Ltd., ADR | 1,000 | 8,440 | ||||||||||
|
| |||||||||||
223,055 | ||||||||||||
|
| |||||||||||
Technology Services — 0.0% | ||||||||||||
WNS Holdings Ltd., ADR (a) | 2,600 | 187,330 | ||||||||||
|
| |||||||||||
Utilities — 0.0% | ||||||||||||
Azure Power Global Ltd. (a) | 100 | 4,077 | ||||||||||
|
| |||||||||||
Total Asia | 19,766,818 | |||||||||||
|
| |||||||||||
Europe — 0.2% | ||||||||||||
Biotechnology & Pharmaceuticals — 0.0% | ||||||||||||
Affimed NV (a) | 8,100 | 47,142 | ||||||||||
BioNTech SE, ADR (a) | 1,600 | 130,432 | ||||||||||
CRISPR Therapeutics AG (a),(c) | 6,500 | 995,215 | ||||||||||
InflaRx NV (a) | 100 | 503 | ||||||||||
Prothena Corp. plc (a) | 4,000 | 48,040 | ||||||||||
|
| |||||||||||
1,221,332 | ||||||||||||
|
| |||||||||||
Chemicals — 0.0% | ||||||||||||
Orion Engineered Carbons SA (a) | 7,300 | 125,122 | ||||||||||
|
| |||||||||||
Consumer Products — 0.0% | ||||||||||||
Nomad Foods Ltd. (a) | 12,200 | 310,124 | ||||||||||
|
| |||||||||||
Financial Services — 0.1% | ||||||||||||
ScION Tech Growth I (a),(b) | 870,000 | 8,995,800 | ||||||||||
|
| |||||||||||
Health Care — 0.0% | ||||||||||||
Amarin Corp. plc, ADR (a) | 3,700 | 18,093 | ||||||||||
Aprea Therapeutics, Inc. (a) | 200 | 984 | ||||||||||
Contra Aduro Biotech I (a) | 1,040 | 0 | ||||||||||
Merus NV (a) | 1,800 | 31,554 | ||||||||||
uniQure NV (a) | 900 | 32,517 | ||||||||||
|
| |||||||||||
83,148 | ||||||||||||
|
| |||||||||||
Industrial Services — 0.0% | ||||||||||||
Tsakos Energy Navigation Ltd. | 540 | 4,336 | ||||||||||
|
| |||||||||||
Iron & Steel — 0.0% | ||||||||||||
ArcelorMittal | 3 | 69 | ||||||||||
|
| |||||||||||
Media — 0.0% | ||||||||||||
Trivago NV, ADR (a) | 2,700 | 6,534 | ||||||||||
|
|
See Notes to Consolidated Schedule of Investments.
2
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
December 31, 2020 (Unaudited)
Security Description | Shares | Value | ||||||||||
Oil, Gas & Coal — 0.1% | ||||||||||||
BP plc (b) | 108,300 | $ | 373,716 | |||||||||
Eni SpA (a),(b) | 45,500 | 475,007 | ||||||||||
Equinor ASA (b) | 9,600 | 162,014 | ||||||||||
Royal Dutch Shell plc, Class A (b) | 30,900 | 543,932 | ||||||||||
TechnipFMC plc | 41,000 | 385,400 | ||||||||||
TOTAL SA (b) | 20,000 | 863,244 | ||||||||||
|
| |||||||||||
2,803,313 | ||||||||||||
|
| |||||||||||
Retail - Discretionary — 0.0% | ||||||||||||
Farfetch Ltd., Class A (a) | 4,600 | 293,526 | ||||||||||
|
| |||||||||||
Semiconductors — 0.0% | ||||||||||||
NXP Semiconductors NV | 432 | 68,692 | ||||||||||
|
| |||||||||||
Software & Technology Services — 0.0% | ||||||||||||
Endava plc, ADR (a) | 200 | 15,350 | ||||||||||
Micro Focus International plc, ADR | 13,600 | 77,656 | ||||||||||
|
| |||||||||||
93,006 | ||||||||||||
|
| |||||||||||
Specialty Finance — 0.0% | ||||||||||||
AerCap Holdings NV (a) | 300 | 13,674 | ||||||||||
|
| |||||||||||
Transportation & Logistics — 0.0% | ||||||||||||
Safe Bulkers, Inc. (a) | 2,100 | 2,730 | ||||||||||
|
| |||||||||||
Total Europe | 14,021,406 | |||||||||||
|
| |||||||||||
Middle East — 0.1% | ||||||||||||
Aerospace & Defense — 0.0% | ||||||||||||
Ituran Location and Control Ltd. (a) | 300 | 5,715 | ||||||||||
|
| |||||||||||
Electrical Equipment — 0.0% | ||||||||||||
Camtek Ltd. (a) | 1,100 | 24,101 | ||||||||||
|
| |||||||||||
Financial Services — 0.1% | ||||||||||||
ION Acquisition Corp. 1 Ltd. (a),(b) | 219,429 | 2,650,702 | ||||||||||
|
| |||||||||||
Hardware — 0.0% | ||||||||||||
Ceragon Networks Ltd. (a) | 800 | 2,224 | ||||||||||
|
| |||||||||||
Health Care — 0.0% | ||||||||||||
InspireMD, Inc. (a) | 3,300 | 1,125 | ||||||||||
|
| |||||||||||
Industrial Products — 0.0% | ||||||||||||
RADA Electronic Industries Ltd. (a) | 200 | 1,950 | ||||||||||
|
| |||||||||||
Media — 0.0% | ||||||||||||
Wix.com Ltd. (a) | 900 | 224,964 | ||||||||||
|
| |||||||||||
Semiconductors — 0.0% | ||||||||||||
Nova Measuring Instruments Ltd. (a) | 200 | 14,120 | ||||||||||
Tower Semiconductor Ltd. (a) | 1,800 | 46,476 | ||||||||||
|
| |||||||||||
60,596 | ||||||||||||
|
| |||||||||||
Tech Hardware & Semiconductors — 0.0% | ||||||||||||
AudioCodes Ltd. | 100 | 2,755 | ||||||||||
|
| |||||||||||
Total Middle East | 2,974,132 | |||||||||||
|
|
See Notes to Consolidated Schedule of Investments.
3
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
December 31, 2020 (Unaudited)
Security Description | Shares | Value | ||||||||||
North America — 24.8% | ||||||||||||
Apparel & Textile Products — 0.0% | ||||||||||||
Levi Strauss & Co., Class A | 2,500 | $ | 50,200 | |||||||||
|
| |||||||||||
Asset Management — 0.3% | ||||||||||||
Amplitude Healthcare Acquisition Corp., Class A (a),(b) | 300,000 | 3,003,000 | ||||||||||
Apollo Investment Corp. | 6,700 | 71,188 | ||||||||||
Ares Capital Corp. (c) | 27,000 | 456,030 | ||||||||||
Bain Capital Specialty Finance, Inc. | 3,800 | 46,094 | ||||||||||
Barings BDC, Inc. | 1,500 | 13,800 | ||||||||||
CHP Merger Corp., Class A (a),(b) | 582,000 | 5,971,320 | ||||||||||
Golub Capital BDC, Inc. | 3,000 | 42,420 | ||||||||||
Horizon Technology Finance Corp. | 2,800 | 37,072 | ||||||||||
Main Street Capital Corp. | 4,894 | 157,880 | ||||||||||
Manning & Napier, Inc. (a) | 1,300 | 8,151 | ||||||||||
Oaktree Specialty Lending Corp. | 11,700 | 65,169 | ||||||||||
Osprey Technology Acquisition Corp., Class A (a),(b) | 711,562 | 7,450,054 | ||||||||||
Oxford Square Capital Corp. | 6,000 | 18,300 | ||||||||||
PennantPark Floating Rate Capital Ltd. | 4,200 | 44,226 | ||||||||||
Portman Ridge Finance Corp. | 5,333 | 10,186 | ||||||||||
Sixth Street Specialty Lending, Inc. | 6,100 | 126,575 | ||||||||||
Solar Capital Ltd. | 2,800 | 49,028 | ||||||||||
Solar Senior Capital Ltd. | 1,100 | 15,906 | ||||||||||
TriplePoint Venture Growth BDC Corp. | 2,100 | 27,384 | ||||||||||
WhiteHorse Finance, Inc. | 1,800 | 24,498 | ||||||||||
WisdomTree Investments, Inc. | 200 | 1,070 | ||||||||||
|
| |||||||||||
17,639,351 | ||||||||||||
|
| |||||||||||
Automotive — 0.0% | ||||||||||||
Cooper-Standard Holding, Inc. (a) | 2,600 | 90,142 | ||||||||||
Tesla Motors, Inc. (a) | 3 | 2,117 | ||||||||||
|
| |||||||||||
92,259 | ||||||||||||
|
| |||||||||||
Banking — 3.7% | ||||||||||||
Arrow Financial Corp. | 291 | 8,704 | ||||||||||
Atlantic Capital Bancshares, Inc. (a) | 1,000 | 15,920 | ||||||||||
Bancorp, Inc. (a) | 4,600 | 62,790 | ||||||||||
Bank of America Corp. (b) | 68,585 | 2,078,811 | ||||||||||
Bank of Marin Bancorp | 300 | 10,302 | ||||||||||
Bank of NT Butterfield & Son Ltd. | 2,100 | 65,436 | ||||||||||
BankFinancial Corp. | 455 | 3,995 | ||||||||||
Bridgewater Bancshares, Inc. (a) | 400 | 4,996 | ||||||||||
Byline Bancorp, Inc. (b),(c) | 755,785 | 11,676,878 | ||||||||||
Cadence BanCorp | 22,340 | 366,823 | ||||||||||
Central Pacific Financial Corp. | 1,300 | 24,713 | ||||||||||
CIT Group, Inc. | 100 | 3,590 | ||||||||||
Citigroup, Inc. | 8,000 | 493,280 | ||||||||||
Citizens Financial Group, Inc. | 100 | 3,576 | ||||||||||
Comerica, Inc. | 8,200 | 458,052 | ||||||||||
ConnectOne Bancorp, Inc. (b) | 423,850 | 8,387,992 | ||||||||||
East West Bancorp, Inc. | 3,300 | 167,343 | ||||||||||
Eastern Bankshares, Inc. (a),(b) | 329,504 | 5,374,210 |
See Notes to Consolidated Schedule of Investments.
4
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
December 31, 2020 (Unaudited)
Security Description | Shares | Value | ||||||||
Farmers National Banc Corp. | 700 | $ | 9,289 | |||||||
Financial Institutions, Inc. | 800 | 18,000 | ||||||||
First BanCorp | 24,600 | 226,812 | ||||||||
First Community Bankshares, Inc. | 400 | 8,632 | ||||||||
First Financial Corp. | 300 | 11,655 | ||||||||
First Financial Northwest, Inc. | 200 | 2,280 | ||||||||
First Foundation, Inc. | 100 | 2,000 | ||||||||
First Horizon National Corp. | 5,369 | 68,508 | ||||||||
First Midwest Bancorp, Inc. (b) | 953,995 | 15,187,600 | ||||||||
First of Long Island Corp. (The) | 100 | 1,785 | ||||||||
Flagstar Bancorp, Inc. | 100 | 4,076 | ||||||||
Flushing Financial Corp. | 700 | 11,648 | ||||||||
FS Bancorp, Inc. | 100 | 5,480 | ||||||||
Great Southern Bancorp, Inc. | 100 | 4,890 | ||||||||
HBT Financial, Inc. | 500 | 7,575 | ||||||||
Heritage Commerce Corp. | 3,400 | 30,158 | ||||||||
HomeTrust Bancshares, Inc. | 800 | 15,448 | ||||||||
Horizon Bancorp, Inc. | 800 | 12,688 | ||||||||
Independent Bank Corp. | 1,200 | 22,164 | ||||||||
Independent Bank Group, Inc. (b) | 331,161 | 20,704,186 | ||||||||
Lakeland Bancorp, Inc. | 200 | 2,540 | ||||||||
Macatawa Bank Corp. | 1,200 | 10,044 | ||||||||
Mercantile Bank Corp. | 700 | 19,019 | ||||||||
MidWestOne Financial Group, Inc. | 400 | 9,800 | ||||||||
National Bankshares, Inc. | 100 | 3,131 | ||||||||
Northrim BanCorp, Inc. | 400 | 13,580 | ||||||||
OceanFirst Financial Corp. (b),(c) | 1,092,377 | 20,350,984 | ||||||||
PacWest Bancorp | 1,400 | 35,560 | ||||||||
PCB Bancorp | 200 | 2,022 | ||||||||
PCSB Financial Corp. | 700 | 11,158 | ||||||||
Peapack Gladstone Financial Corp. | 900 | 20,484 | ||||||||
Peoples Bancorp, Inc. | 200 | 5,418 | ||||||||
Popular, Inc. (c) | 6,590 | 371,149 | ||||||||
Provident Bancorp, Inc. | 500 | 6,000 | ||||||||
QCR Holdings, Inc. (b) | 281,844 | 11,158,204 | ||||||||
Regions Financial Corp. | 16,100 | 259,532 | ||||||||
Republic First Bancorp, Inc. (a) | 700 | 1,995 | ||||||||
Sierra Bancorp | 500 | 11,960 | ||||||||
Signature Bank (b) | 243,314 | 32,917,951 | ||||||||
Silvergate Capital Corp., Class A (a) | 500 | 37,155 | ||||||||
Southern National Bancorp of Virginia, Inc. | 900 | 10,899 | ||||||||
Spirit of Texas Bancshares, Inc. | 500 | 8,400 | ||||||||
Stock Yards Bancorp, Inc. | 800 | 32,384 | ||||||||
Synovus Financial Corp. (c) | 863 | 27,935 | ||||||||
Territorial Bancorp, Inc. | 200 | 4,806 | ||||||||
TriState Capital Holdings, Inc. (a) | 1,400 | 24,360 | ||||||||
TrustCo Bank Corp. | 1,000 | 6,670 | ||||||||
Umpqua Holdings Corp. (b) | 1,018,162 | 15,414,973 | ||||||||
Univest Financial Corp. (b) | 542,861 | 11,172,079 |
See Notes to Consolidated Schedule of Investments.
5
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
December 31, 2020 (Unaudited)
Security Description | Shares | Value | ||||||||
Valley National Bancorp (b),(c) | 861,734 | $ | 8,401,907 | |||||||
Veritex Holdings, Inc. (b) | 497,161 | 12,757,151 | ||||||||
Washington Trust Bancorp, Inc. | 800 | 35,840 | ||||||||
Waterstone Financial, Inc. | 100 | 1,882 | ||||||||
Wells Fargo & Co. (c) | 99,100 | 2,990,838 | ||||||||
WSFS Financial Corp. (b) | 276,357 | 12,402,902 | ||||||||
Zions BanCorp. (b) | 78,581 | 3,413,559 | ||||||||
|
| |||||||||
197,516,556 | ||||||||||
|
| |||||||||
Biotechnology & Pharmaceuticals — 0.5% | ||||||||||
AbbVie, Inc. (c) | 78,160 | 8,374,844 | ||||||||
Adamas Pharmaceuticals, Inc. (a) | 3,000 | 12,990 | ||||||||
Agenus, Inc. (a) | 20,600 | 65,508 | ||||||||
Agile Therapeutics, Inc. (a) | 2,300 | 6,601 | ||||||||
Akebia Therapeutics, Inc. (a) | 2,795 | 7,826 | ||||||||
Aldeyra Therapeutics, Inc. (a) | 8,900 | 61,054 | ||||||||
Alkermes plc (a) | 10,200 | 203,490 | ||||||||
Alpine Immune Sciences, Inc. (a) | 1,500 | 18,900 | ||||||||
Amicus Therapeutics, Inc. (a) | 12,500 | 288,625 | ||||||||
Apellis Pharmaceuticals, Inc. (a),(c) | 10,900 | 623,480 | ||||||||
Applied Genetic Technologies Corp. (a) | 2,400 | 9,816 | ||||||||
Aptinyx, Inc. (a) | 10,200 | 35,292 | ||||||||
Aravive, Inc. (a) | 3,600 | 20,304 | ||||||||
Arcturus Therapeutics Holdings Co. (a) | 2,500 | 108,450 | ||||||||
Arcus Biosciences, Inc. (a) | 8,600 | 223,256 | ||||||||
Arrowhead Pharmaceuticals, Inc. (a) | 500 | 38,365 | ||||||||
Arvinas Holding Co. LLC (a) | 6,400 | 543,552 | ||||||||
Athenex, Inc. (a) | 10,500 | 116,130 | ||||||||
Athersys, Inc. (a) | 3,100 | 5,425 | ||||||||
Avid Bioservices, Inc. (a) | 100 | 1,154 | ||||||||
BioCryst Pharmaceuticals, Inc. (a) | 17,100 | 127,395 | ||||||||
BioDelivery Sciences International, Inc. (a) | 9,300 | 39,060 | ||||||||
Biohaven Pharmaceutical Holding Co. Ltd. (a) | 2,300 | 197,133 | ||||||||
Bluebird Bio, Inc. (a) | 4,200 | 181,734 | ||||||||
Bridgebio Pharma, Inc. (a) | 400 | 28,444 | ||||||||
Calithera Biosciences, Inc. (a) | 4,900 | 24,059 | ||||||||
Catalyst Biosciences, Inc. (a) | 5,000 | 31,550 | ||||||||
Catalyst Pharmaceuticals, Inc. (a) | 16,700 | 55,778 | ||||||||
Celldex Therapeutics, Inc. (a) | 8,834 | 154,772 | ||||||||
Cerecor, Inc. (a) | 5,300 | 13,992 | ||||||||
ChemoCentryx, Inc. (a),(c) | 3,800 | 235,296 | ||||||||
Chimerix, Inc. (a) | 10,600 | 51,198 | ||||||||
CTI BioPharma Corp. (a) | 3,900 | 12,558 | ||||||||
Cue Biopharma, Inc. (a) | 5,100 | 63,801 | ||||||||
Cymabay Therapeutics, Inc. (a) | 15,800 | 90,692 | ||||||||
Cytokinetics, Inc. (a) | 14,000 | 290,920 | ||||||||
CytomX Therapeutics, Inc. (a) | 9,400 | 61,570 | ||||||||
Editas Medicine, Inc. (a) | 6,700 | 469,737 | ||||||||
Eiger BioPharmaceuticals, Inc. (a) | 6,500 | 79,885 | ||||||||
Enanta Pharmaceuticals, Inc. (a) | 2,200 | 92,620 |
See Notes to Consolidated Schedule of Investments.
6
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
December 31, 2020 (Unaudited)
Security Description | Shares | Value | ||||||||
Exelixis, Inc. (a) | 6,200 | $ | 124,434 | |||||||
Exicure, Inc. (a) | 1,700 | 3,009 | ||||||||
Fate Therapeutics, Inc. (a) | 8,300 | 754,719 | ||||||||
Five Prime Therapeutics, Inc. (a) | 10,000 | 170,100 | ||||||||
Flexion Therapeutics, Inc. (a) | 600 | 6,924 | ||||||||
G1 Therapeutics, Inc. (a) | 8,200 | 147,518 | ||||||||
GlycoMimetics, Inc. (a) | 11,000 | 41,360 | ||||||||
Gossamer Bio, Inc. (a) | 3,000 | 29,010 | ||||||||
Harpoon Therapeutics, Inc. (a) | 900 | 14,949 | ||||||||
Horizon Therapeutics plc (a) | 5,500 | 402,325 | ||||||||
Idera Pharmaceuticals, Inc. (a) | 200 | 734 | ||||||||
Immunic, Inc. (a) | 3,100 | 47,399 | ||||||||
ImmunoGen, Inc. (a) | 44,700 | 288,315 | ||||||||
Incyte Corp. (a) | 2,500 | 217,450 | ||||||||
Infinity Pharmaceuticals, Inc. (a) | 2,400 | 5,088 | ||||||||
Intellia Therapeutics, Inc. (a) | 10,100 | 549,440 | ||||||||
Intercept Pharmaceuticals, Inc. (a),(c) | 6,300 | 155,610 | ||||||||
Intersect ENT, Inc. (a) | 4,900 | 112,210 | ||||||||
Ironwood Pharmaceuticals, Inc. (a) | 8,900 | 101,371 | ||||||||
Kadmon Holdings, Inc. (a) | 28,800 | 119,520 | ||||||||
Karyopharm Therapeutics, Inc. (a),(c) | 4,300 | 66,564 | ||||||||
Kezar Life Sciences, Inc. (a) | 4,100 | 21,402 | ||||||||
Kura Oncology, Inc. (a) | 8,600 | 280,876 | ||||||||
Leap Therapeutics, Inc. (a) | 10,300 | 23,175 | ||||||||
Ligand Pharmaceuticals, Inc. (a),(c) | 600 | 59,670 | ||||||||
Lineage Cell Therapeutics, Inc. (a) | 8,800 | 15,488 | ||||||||
MannKind Corp. (a) | 11,371 | 35,591 | ||||||||
MEI Pharma, Inc. (a) | 10,200 | 26,928 | ||||||||
MeiraGTx Holdings plc (a) | 100 | 1,514 | ||||||||
Merck & Co., Inc. (c) | 101,900 | 8,335,420 | ||||||||
Mersana Therapeutics, Inc. (a) | 8,000 | 212,880 | ||||||||
Millendo Therapeutics, Inc. (a) | 2,300 | 4,922 | ||||||||
Moderna, Inc. (a) | 2,850 | 297,739 | ||||||||
Mustang Bio, Inc. (a) | 3,600 | 13,626 | ||||||||
Navidea Biopharmaceuticals, Inc. (a) | 1,000 | 2,150 | ||||||||
Omthera Pharmaceutical, Inc. (a) | 700 | 0 | ||||||||
OncoSec Medical, Inc. (a) | 200 | 1,290 | ||||||||
Organogenesis Holdings, Inc . (a) | 1,000 | 7,530 | ||||||||
Otonomy, Inc. (a) | 3,300 | 21,351 | ||||||||
Perrigo Co. plc | 3,400 | 152,048 | ||||||||
Precigen, Inc. (a) | 4,800 | 48,960 | ||||||||
Provention Bio, Inc. (a) | 8,400 | 142,296 | ||||||||
Recro Pharma, Inc. (a) | 2,900 | 8,265 | ||||||||
Sage Therapeutics, Inc. (a),(c) | 6,200 | 536,362 | ||||||||
Seres Therapeutics, Inc. (a) | 300 | 7,350 | ||||||||
Spectrum Pharmaceuticals, Inc. (a) | 26,000 | 88,660 | ||||||||
Strongbridge Biopharma plc (a) | 8,800 | 21,384 | ||||||||
Surface Oncology, Inc. (a) | 3,700 | 34,188 | ||||||||
Syndax Pharmaceuticals, Inc. (a) | 10,800 | 240,192 | ||||||||
Synlogic, Inc. (a) | 6,800 | 14,688 |
See Notes to Consolidated Schedule of Investments.
7
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
December 31, 2020 (Unaudited)
Security Description | Shares | Value | ||||||||
Syros Pharmaceuticals, Inc. (a) | 5,500 | $ | 59,675 | |||||||
USANA Health Sciences, Inc. (a) | 1,400 | 107,940 | ||||||||
Vertex Pharmaceuticals, Inc. (a),(c) | 3,300 | 779,922 | ||||||||
Viking Therapeutics, Inc. (a) | 6,300 | 35,469 | ||||||||
VistaGen Therapeutics, Inc. (a) | 1,400 | 2,716 | ||||||||
WaVe Life Sciences Ltd. (a) | 500 | 3,935 | ||||||||
Xenon Pharmaceuticals, Inc. (a) | 700 | 10,766 | ||||||||
ZIOPHARM Oncology, Inc. (a) | 12,300 | 30,996 | ||||||||
Zymeworks, Inc. (a) | 5,700 | 269,382 | ||||||||
|
| |||||||||
28,382,051 | ||||||||||
|
| |||||||||
Chemicals — 0.0% | ||||||||||
AdvanSix, Inc. (a) | 2,800 | 55,972 | ||||||||
Axalta Coating Systems Ltd. (a) | 22,100 | 630,955 | ||||||||
Ingevity Corp. (a) | 3,500 | 265,055 | ||||||||
Mosaic Co. | 21,300 | 490,113 | ||||||||
Rayonier Advanced Materials, Inc. (a) | 11,200 | 73,024 | ||||||||
Venator Materials plc (a) | 6,000 | 19,860 | ||||||||
|
| |||||||||
1,534,979 | ||||||||||
|
| |||||||||
Commercial Services — 0.0% | ||||||||||
ARC Document Solutions, Inc. | 2,500 | 3,700 | ||||||||
Avalara, Inc. (a) | 1,200 | 197,868 | ||||||||
BrightView Holdings, Inc. (a) | 200 | 3,024 | ||||||||
Collectors Universe, Inc. | 300 | 22,620 | ||||||||
CRA International, Inc. | 400 | 20,372 | ||||||||
Emerald Holding, Inc. (a) | 600 | 3,252 | ||||||||
Insperity, Inc. | 2,300 | 187,266 | ||||||||
ShotSpotter, Inc. (a) | 600 | 22,620 | ||||||||
SP Plus Corp. (a) | 2,800 | 80,724 | ||||||||
Viad Corp. (a) | 2,400 | 86,808 | ||||||||
|
| |||||||||
628,254 | ||||||||||
|
| |||||||||
Construction Materials — 0.0% | ||||||||||
Forterra, Inc. (a) | 7,000 | 120,365 | ||||||||
Summit Materials, Inc., Class A (a) | 3,881 | 77,930 | ||||||||
US Concrete, Inc. (a) | 300 | 11,991 | ||||||||
|
| |||||||||
210,286 | ||||||||||
|
| |||||||||
Consumer Discretionary Products — 0.1% | ||||||||||
American Axle & Manufacturing Holdings, Inc. (a) | 9,100 | 75,894 | ||||||||
American Outdoor Brands, Inc. (a) | 300 | 5,109 | ||||||||
Callaway Golf Co. (a) | 6,500 | 156,065 | ||||||||
Cornerstone Building Brands, Inc. (a) | 1,500 | 13,920 | ||||||||
Crocs, Inc. (a) | 8,700 | 545,142 | ||||||||
Culp, Inc. | 700 | 11,109 | ||||||||
Flexsteel Industries, Inc. | 800 | 27,976 | ||||||||
Ford Motor Co. (a) | 84,100 | 739,239 | ||||||||
Funko, Inc., Class A (a) | 7,200 | 74,736 | ||||||||
Griffon Corp. | 600 | 12,228 |
See Notes to Consolidated Schedule of Investments.
8
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
December 31, 2020 (Unaudited)
Security Description | Shares | Value | ||||||||
Herman Miller, Inc. | 5,600 | $ | 189,280 | |||||||
Interface, Inc. | 200 | 2,100 | ||||||||
iRobot Corp. (a) | 5,900 | 473,711 | ||||||||
Kimball International, Inc., Class B | 2,600 | 31,070 | ||||||||
MDC Holdings, Inc. | 300 | 14,580 | ||||||||
Modine Manufacturing Co. (a) | 6,300 | 79,128 | ||||||||
Movado Group, Inc. | 1,700 | 28,254 | ||||||||
New Home Co., Inc. (a) | 300 | 1,407 | ||||||||
NIKE, Inc., Class B | 7,500 | 1,061,025 | ||||||||
OneWater Marine, Inc., Class A (a) | 200 | 5,818 | ||||||||
Polaris, Inc. | 6,000 | 571,680 | ||||||||
PulteGroup, Inc. | 5,600 | 241,472 | ||||||||
Ralph Lauren Corp. (a) | 1,700 | 176,358 | ||||||||
Steelcase, Inc., Class A | 2,400 | 32,520 | ||||||||
Superior Industries International, Inc. (a) | 5,800 | 23,722 | ||||||||
Tapestry, Inc. (a),(c) | 46,600 | 1,448,328 | ||||||||
Telenav, Inc. (a) | 10,200 | 47,940 | ||||||||
Tenneco, Inc., Class A (a) | 11,300 | 119,780 | ||||||||
Under Armour, Inc., Class A (a) | 8,400 | 144,228 | ||||||||
Unifi, Inc. (a) | 1,700 | 30,158 | ||||||||
VF Corp. | 101 | 8,626 | ||||||||
YETI Holdings, Inc. (a) | 1,300 | 89,011 | ||||||||
|
| |||||||||
6,481,614 | ||||||||||
|
| |||||||||
Consumer Discretionary Services — 0.3% | ||||||||||
Aaron’s Co., Inc. (The) (a) | 1,000 | 18,960 | ||||||||
Bloomin’ Brands, Inc. (a) | 2,900 | 56,318 | ||||||||
Bluegreen Vacations Holding Corp. (a) | 400 | 5,412 | ||||||||
Boyd Gaming Corp. (a) | 3,400 | 145,928 | ||||||||
Carnival Corp. (a),(c) | 24,300 | 526,338 | ||||||||
Carriage Services, Inc. | 1,600 | 50,112 | ||||||||
Century Casinos, Inc. (a) | 2,100 | 13,419 | ||||||||
Chegg, Inc. (a) | 300 | 27,099 | ||||||||
Del Taco Restaurants, Inc. | 5,800 | 52,548 | ||||||||
DineEquity, Inc. (a) | 300 | 17,400 | ||||||||
Domino’s Pizza, Inc. | 300 | 115,038 | ||||||||
Golden Entertainment, Inc. (a) | 1,600 | 31,824 | ||||||||
Jack in the Box, Inc. | 5,200 | 482,560 | ||||||||
Lindblad Expeditions Holdings, Inc. (a) | 2,600 | 44,512 | ||||||||
Marcus Corp. (a) | 1,800 | 24,264 | ||||||||
McDonald’s Corp. (c) | 37,200 | 7,982,376 | ||||||||
Medifast, Inc. | 2,100 | 412,314 | ||||||||
Monarch Casino & Resort, Inc. (a) | 1,100 | 67,342 | ||||||||
Papa John’s International, Inc. (c) | 5,900 | 500,615 | ||||||||
Penn National Gaming, Inc. (a) | 5,700 | 492,309 | ||||||||
Ruth’s Hospitality Group, Inc. (a) | 1,100 | 19,503 | ||||||||
SeaWorld Entertainment, Inc. (a) | 3,300 | 104,247 | ||||||||
Select Interior Concepts, Inc., Class A (a) | 1,400 | 10,010 | ||||||||
Service Corp. International/US | 11,300 | 554,830 | ||||||||
Stride, Inc. (a) | 9,500 | 201,685 |
See Notes to Consolidated Schedule of Investments.
9
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
December 31, 2020 (Unaudited)
Security Description | Shares | Value | ||||||||
Waitr Holdings, Inc. (a) | 100 | $ | 278 | |||||||
Wingstop, Inc. (c) | 6,600 | 874,830 | ||||||||
Yum! Brands, Inc. (c) | 9,800 | 1,063,888 | ||||||||
|
| |||||||||
13,895,959 | ||||||||||
|
| |||||||||
Consumer Products — 3.8% | ||||||||||
CCA Vintage 2020 Physical CBRZ20 Commodity (a),(b) | 11,190,000 | 198,181,150 | ||||||||
Constellation Brands, Inc., Class A | 12,400 | 2,716,220 | ||||||||
Contra Restorbio, Inc. (a) | 1,142 | 0 | ||||||||
elf Beauty, Inc. (a) | 1,300 | 32,747 | ||||||||
Herbalife Nutrition Ltd. (a) | 100 | 4,805 | ||||||||
Nu Skin Enterprises, Inc., Class A | 5,200 | 284,076 | ||||||||
|
| |||||||||
201,218,998 | ||||||||||
|
| |||||||||
Consumer Services — 0.0% | ||||||||||
2U, Inc. (a) | 15,200 | 608,152 | ||||||||
American Public Education, Inc. (a) | 400 | 12,192 | ||||||||
Perdoceo Education Corp (a) | 7,000 | 88,410 | ||||||||
WW International, Inc. (a) | 4,800 | 117,120 | ||||||||
|
| |||||||||
825,874 | ||||||||||
|
| |||||||||
Consumer Staple Products — 0.4% | ||||||||||
Aphria, Inc. (a) | 4,200 | 29,064 | ||||||||
Canopy Growth Corp. (a) | 700 | 17,248 | ||||||||
Central Garden and Pet Co., Class A (a) | 400 | 14,532 | ||||||||
Church & Dwight Co., Inc. | 11,800 | 1,029,314 | ||||||||
Clorox Co. (The) | 11,800 | 2,382,656 | ||||||||
ConAgra Foods, Inc | 6,800 | 246,568 | ||||||||
Farmer Brothers Co. (a) | 1,500 | 7,005 | ||||||||
Flowers Foods, Inc. | 17,000 | 384,710 | ||||||||
General Mills, Inc. (c) | 44,400 | 2,610,720 | ||||||||
Hormel Foods Corp. | 25,300 | 1,179,233 | ||||||||
JM Smucker Co. | 12,900 | 1,491,240 | ||||||||
Kellogg Co. | 3,600 | 224,028 | ||||||||
Kimberly-Clark Corp. (c) | 27,200 | 3,667,376 | ||||||||
McCormick & Co., Inc. | 7,300 | 697,880 | ||||||||
PepsiCo, Inc. (c) | 27,600 | 4,093,080 | ||||||||
Procter & Gamble Co. | 7,200 | 1,001,808 | ||||||||
Tyson Foods, Inc., Class A | 17,400 | 1,121,256 | ||||||||
|
| |||||||||
20,197,718 | ||||||||||
|
| |||||||||
Containers & Packaging — 0.0% | ||||||||||
O-I Glass, Inc. (a) | 400 | 4,760 | ||||||||
|
| |||||||||
Distributors - Discretionary — 0.0% | ||||||||||
KAR Auction Services, Inc. (a) | 6,100 | 113,521 | ||||||||
|
| |||||||||
Electrical Equipment — 0.0% | ||||||||||
Capstone Turbine Corp. (a) | 152 | 1,626 | ||||||||
Carrier Global Corp. | 8,100 | 305,532 | ||||||||
Johnson Controls International plc | 1,900 | 88,521 |
See Notes to Consolidated Schedule of Investments.
10
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
December 31, 2020 (Unaudited)
Security Description | Shares | Value | ||||||||
Keysight Technologies, Inc. (a) | 1,000 | $ | 132,090 | |||||||
LSI Industries, Inc. | 1,400 | 11,984 | ||||||||
Otis Worldwide Corp. | 1,600 | 108,080 | ||||||||
SMART Global Holdings, Inc. (a) | 2,600 | 97,838 | ||||||||
|
| |||||||||
745,671 | ||||||||||
|
| |||||||||
Engineering & Construction Services — 0.0% | ||||||||||
Iteris, Inc. (a) | 3,100 | 17,515 | ||||||||
Mistras Group, Inc. (a) | 2,100 | 16,296 | ||||||||
Orion Group Holdings, Inc. (a) | 3,100 | 15,376 | ||||||||
|
| |||||||||
49,187 | ||||||||||
|
| |||||||||
Financial Services — 8.1% | ||||||||||
7GC & Co. Holdings, Inc. (a),(b) | 209,600 | 2,211,280 | ||||||||
AG Mortgage Investment Trust, Inc. | 200 | 590 | ||||||||
Ajax I (a),(b) | 720,400 | 8,940,164 | ||||||||
Alliance Data Systems Corp. | 829 | 61,429 | ||||||||
Anworth Mortgage Asset Corp. | 3,800 | 10,298 | ||||||||
Apollo Strategic Growth Capital (a),(b) | 630,000 | 6,885,900 | ||||||||
Arlington Asset Investment Corp., Class A | 100 | 378 | ||||||||
Artius Acquisition, Inc. (a),(b) | 870,000 | 9,778,800 | ||||||||
ARYA Sciences Acquisition Corp. III (a),(b) | 398,921 | 4,328,293 | ||||||||
Ascendant Digital Acquisition Corp., Class A (a),(b) | 532,000 | 5,458,320 | ||||||||
Atlas Crest Investment Corp. (a),(b) | 428,000 | 4,515,400 | ||||||||
BlackRock Capital Investment Corp. | 9,381 | 25,235 | ||||||||
BlackRock TCP Capital Corp. | 6,700 | 75,308 | ||||||||
Blucora, Inc. (a) | 2,900 | 46,139 | ||||||||
Brookfield Asset Management, Inc., Class A (b) | 638,217 | 26,339,216 | ||||||||
Capital Southwest Corp. | 1,700 | 30,175 | ||||||||
Capitala Finance Corp. | 483 | 6,916 | ||||||||
Capstar Special Purpose Acquisition Corp., Class A (a),(b) | 537,300 | 5,453,595 | ||||||||
CC Neuberger Principal Holdings II (a),(b),(c) | 994,000 | 9,890,300 | ||||||||
CF Acquisition Corp. IV (a),(b) | 545,800 | 5,616,282 | ||||||||
CF Finance Acquisition Corp. III (a),(b) | 543,200 | 5,828,536 | ||||||||
Chardan Healthcare Acquisition 2 Corp. (a),(b) | 297,500 | 3,034,500 | ||||||||
Cherry Hill Mortgage Investment Corp. | 800 | 7,312 | ||||||||
Chimera Investment Corp. | 700 | 7,175 | ||||||||
Churchill Capital Corp. IV, Class A (a),(b),(c) | 1,044,300 | 10,453,443 | ||||||||
Churchill Capital Corp. V (a),(b) | 363,900 | 3,820,950 | ||||||||
CM Life Sciences, Inc., Class A (a),(b) | 488,298 | 5,390,810 | ||||||||
Cohn Robbins Holdings Corp. (a),(b),(c) | 840,000 | 9,030,000 | ||||||||
Consumer Portfolio Services, Inc. (a) | 100 | 424 | ||||||||
Corner Growth Acquisition Corp. (a),(b) | 363,900 | 3,802,755 | ||||||||
Cowen, Inc., Class A | 1,400 | 36,386 | ||||||||
DD3 Acquisition Corp. II (a),(b) | 272,500 | 2,861,250 | ||||||||
DFP Healthcare Acquisitions Corp., Class A (a),(b),(c) | 825,404 | 8,914,363 | ||||||||
dMY Technology Group, Inc. III (a),(b) | 458,479 | 5,226,661 | ||||||||
E.Merge Technology Acquisition Corp., Class A (a),(b) | 639,999 | 6,547,190 | ||||||||
Ellington Residential Mortgage REIT | 1,000 | 13,040 | ||||||||
Executive Network Partnering Corp. (a),(b) | 426,000 | 10,858,740 |
See Notes to Consolidated Schedule of Investments.
11
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
December 31, 2020 (Unaudited)
Security Description | Shares | Value | ||||||||
Falcon Capital Acquisition Corp. (a),(b) | 710,000 | $ | 7,582,800 | |||||||
Federated Investors, Inc., Class B | 5,100 | 147,339 | ||||||||
Fidus Investment Corp. | 3,400 | 44,540 | ||||||||
FirstMark Horizon Acquisition Corp. (a),(b) | 526,300 | 5,999,820 | ||||||||
Foley Trasimene Acquisition Corp., Class A (a),(b) | 582,000 | 6,506,760 | ||||||||
Forest Road Acquisition Corp. (a),(b) | 281,600 | 2,956,800 | ||||||||
FS Development Corp., Class A (a),(b) | 101,700 | 1,118,700 | ||||||||
Gladstone Investment Corp. | 3,000 | 30,270 | ||||||||
GO Acquisition Corp. (a),(b),(c) | 840,000 | 8,929,200 | ||||||||
Golden Falcon Acquisition Corp. (a),(b) | 363,900 | 3,784,560 | ||||||||
Great Elm Capital Corp. | 121 | 436 | ||||||||
GS Acquisition Holdings Corp. II, Class A (a),(b) | 643,200 | 7,010,880 | ||||||||
Health Assurance Acquisition Corp. (a),(b) | 500,000 | 5,510,000 | ||||||||
HIG Acquisition Corp. (a),(b),(c) | 840,000 | 8,761,200 | ||||||||
Highcape Capital Acquisition Corp. (a),(b) | 279,400 | 2,883,408 | ||||||||
Horizon Acquisition Corp., Class A (a),(b) | 311,250 | 3,118,725 | ||||||||
Horizon Acquisition Corp. II (a),(b) | 484,600 | 5,204,604 | ||||||||
International Money Express, Inc. (a) | 200 | 3,104 | ||||||||
Jaws Spitfire Acquisition Corp. (a),(b) | 296,600 | 3,277,430 | ||||||||
Jefferies Financial Group, Inc. | 200 | 4,920 | ||||||||
KKR & Co., Inc., Class A | 2,200 | 89,078 | ||||||||
Ladder Capital Corp. | 7,000 | 68,460 | ||||||||
Landcadia Holdings III, Inc. (a),(b),(c) | 850,000 | 9,494,500 | ||||||||
Lefteris Acquisition Corp. (a),(b) | 686,500 | 7,482,850 | ||||||||
Lifesci Acquisition II Corp. (a),(b) | 197,200 | 2,094,264 | ||||||||
Live Oak Acquisition Corp. II (a),(b) | 652,500 | 7,079,625 | ||||||||
Marquee Raine Acquisition Corp. (a),(b) | 363,900 | 3,941,037 | ||||||||
Medallion Financial Corp. (a) | 1,300 | 6,370 | ||||||||
MGIC Investment Corp. | 8,500 | 106,675 | ||||||||
Monroe Capital Corp. | 2,400 | 19,272 | ||||||||
Montes Archimedes Acquisition Corp. (a),(b),(c) | 850,000 | 8,925,000 | ||||||||
Motive Capital Corp. (a),(b) | 363,900 | 3,835,506 | ||||||||
Nasdaq, Inc. | 3,400 | 451,316 | ||||||||
New Mountain Finance Corp. | 900 | 10,224 | ||||||||
Newtek Business Services Corp. | 2,000 | 39,380 | ||||||||
Nexpoint Real Estate Finance, Inc. | 700 | 11,564 | ||||||||
North Mountain Merger Corp. (a),(b) | 524,502 | 5,648,886 | ||||||||
Ocwen Financial Corp. (a) | 894 | 25,845 | ||||||||
Oppenheimer Holdings, Inc., Class A | 700 | 22,001 | ||||||||
PennantPark Investment Corp. | 8,600 | 39,646 | ||||||||
Periphas Capital Partnering Corp. (a),(b) | 261,234 | 6,820,820 | ||||||||
Pershing Square Tontine Holdings Ltd., Class A (a),(b) | 112,700 | 3,124,044 | ||||||||
PROG Holdings, Inc. | 5,900 | 317,833 | ||||||||
PropTech Investment Corp. II (a),(b) | 361,500 | 3,886,125 | ||||||||
RedBall Acquisition Corp. (a),(b) | 545,100 | 5,936,139 | ||||||||
Reinvent Technology Partners (a),(b) | 425,000 | 5,206,250 | ||||||||
Revolution Acceleration Acquisition Corp. (a),(b) | 509,400 | 5,302,854 | ||||||||
SCVX Corp., Class A (a),(b) | 428,572 | 4,414,292 | ||||||||
Senior Connect Acquisition Corp. I (a),(b) | 473,000 | 4,867,170 | ||||||||
Social Capital Hedosophia Holdings Corp. (a),(b) | 400,000 | 5,164,000 |
See Notes to Consolidated Schedule of Investments.
12
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
December 31, 2020 (Unaudited)
Security Description | Shares | Value | ||||||||
Social Capital Hedosophia Holdings Corp. IV (a),(b) | 288,269 | $ | 4,217,375 | |||||||
Social Capital Hedosophia Holdings Corp. V (a),(b) | 728,520 | 9,601,894 | ||||||||
Spartan Acquisition Corp. II (a),(b) | 423,700 | 4,575,960 | ||||||||
Sports Entertainment Acquisition Corp. (a),(b) | 710,000 | 7,632,500 | ||||||||
Stellus Capital Investment Corp. | 900 | 9,792 | ||||||||
Supernova Partners Acquisition Co., Inc. (a),(b),(c) | 695,436 | 8,074,012 | ||||||||
TCG BDC, Inc. | 5,700 | 58,482 | ||||||||
Tekkorp Digital Acquisition Corp. (a),(b) | 423,000 | 4,547,250 | ||||||||
TPG Pace Tech Opportunities Corp. (a),(b),(c) | 831,051 | 9,440,739 | ||||||||
Trebia Acquisition Corp., Class A (a),(b) | 629,238 | 6,789,478 | ||||||||
Trepont Acquisition Corp. I (a),(b) | 589,200 | 6,110,004 | ||||||||
TWC Tech Holdings II Corp., Class A (a),(b) | 715,200 | 7,531,056 | ||||||||
Vector Acquisition Corp. (a),(b) | 706,900 | 7,606,244 | ||||||||
VPC Impact Acquisition Holdings (a),(b) | 420,000 | 4,439,400 | ||||||||
Vy Global Growth (a),(b) | 347,990 | 3,744,372 | ||||||||
Yucaipa Acquisition Corp. (a),(b),(c) | 889,778 | 9,075,736 | ||||||||
|
| |||||||||
426,268,369 | ||||||||||
|
| |||||||||
Forest & Paper Products — 0.0% | ||||||||||
Resolute Forest Products, Inc. (a) | 5,800 | 37,932 | ||||||||
Verso Corp., Class A | 1,600 | 19,232 | ||||||||
|
| |||||||||
57,164 | ||||||||||
|
| |||||||||
Gaming, Lodging & Restaurants — 0.0% | ||||||||||
Carnival plc, ADR (a) | 4,800 | 89,952 | ||||||||
Cracker Barrel Old Country Store, Inc. (a) | 1,400 | 184,688 | ||||||||
Denny’s Corp. (a) | 9,600 | 140,928 | ||||||||
Everi Holdings, Inc. (a) | 19,700 | 272,057 | ||||||||
International Game Technology plc (a) | 5,400 | 91,476 | ||||||||
J Alexander’s Holdings, Inc. (a) | 800 | 5,832 | ||||||||
Noodles & Co. (a) | 4,200 | 33,180 | ||||||||
Red Rock Resorts, Inc., Class A (a) | 7,000 | 175,280 | ||||||||
Royal Caribbean Cruises Ltd. (a) | 2,200 | 164,318 | ||||||||
Scientific Games Corp., Class A (a) | 4,300 | 178,407 | ||||||||
Wendy’s Co. | 51,300 | 1,124,496 | ||||||||
|
| |||||||||
2,460,614 | ||||||||||
|
| |||||||||
Hardware — 0.2% | ||||||||||
Airgain, Inc. (a) | 300 | 5,334 | ||||||||
Anterix, Inc. (a) | 1,200 | 45,120 | ||||||||
Casa Systems, Inc. (a) | 5,700 | 35,169 | ||||||||
Cisco Systems, Inc. (c) | 175,600 | 7,858,100 | ||||||||
Clearfield, Inc. (a) | 300 | 7,416 | ||||||||
Dolby Laboratories, Inc., Class A | 3,800 | 369,094 | ||||||||
Extreme Networks, Inc. (a) | 18,900 | 130,221 | ||||||||
HP, Inc. | 2,900 | 71,311 | ||||||||
InterDigital, Inc. | 1,400 | 84,952 | ||||||||
NETGEAR, Inc. (a) | 4,000 | 162,520 | ||||||||
PagerDuty, Inc. (a) | 600 | 25,020 | ||||||||
PC-Tel, Inc. | 100 | 657 |
See Notes to Consolidated Schedule of Investments.
13
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
December 31, 2020 (Unaudited)
Security Description | Shares | Value | ||||||||
PlayAGS, Inc. (a) | 7,200 | $ | 51,840 | |||||||
Pure Storage, Inc., Class A (a) | 6,700 | 151,487 | ||||||||
Sonos, Inc. (a) | 20,200 | 472,478 | ||||||||
Stratasys Ltd. (a) | 11,900 | 246,568 | ||||||||
ViaSat, Inc. (a) | 6,900 | 225,285 | ||||||||
Vishay Precision Group, Inc. (a) | 800 | 25,184 | ||||||||
Vocera Communications, Inc. (a) | 5,000 | 207,650 | ||||||||
VOXX International Corp. (a) | 1,600 | 20,416 | ||||||||
Xerox Holdings Corp. | 700 | 16,233 | ||||||||
ZAGG, Inc. (a) | 1,800 | 7,506 | ||||||||
|
| |||||||||
10,219,561 | ||||||||||
|
| |||||||||
Health Care — 0.5% | ||||||||||
89bio, Inc. (a) | 2,000 | 48,740 | ||||||||
ACADIA Pharmaceuticals, Inc. (a) | 5,700 | 304,722 | ||||||||
Accuray, Inc. (a) | 10,200 | 42,534 | ||||||||
Aclaris Therapeutics, Inc. (a) | 300 | 1,941 | ||||||||
Adicet Bio, Inc. (a) | 842 | 11,830 | ||||||||
Adverum Biotechnologies, Inc. (a) | 16,900 | 183,196 | ||||||||
Aeglea BioTherapeutics, Inc. (a) | 200 | 1,574 | ||||||||
Akero Therapeutics, Inc. (a) | 1,800 | 46,440 | ||||||||
Albireo Pharma, Inc. (a) | 3,700 | 138,787 | ||||||||
Alector, Inc. (a) | 14,300 | 216,359 | ||||||||
Alexion Pharmaceuticals, Inc. (a) | 2,300 | 359,352 | ||||||||
Allogene Therapeutics, Inc. (a) | 7,200 | 181,728 | ||||||||
Altimmune, Inc. (a) | 6,600 | 74,448 | ||||||||
Amedisys, Inc. (a) | 2,200 | 645,326 | ||||||||
Amphastar Pharmaceuticals, Inc. (a) | 100 | 2,011 | ||||||||
AnaptysBio, Inc. (a) | 5,500 | 118,250 | ||||||||
ANI Pharmaceuticals, Inc. (a) | 700 | 20,328 | ||||||||
Anika Therapeutics, Inc. (a) | 1,400 | 63,364 | ||||||||
Antares Pharma, Inc. (a) | 21,300 | 84,987 | ||||||||
Anthem, Inc. | 8,800 | 2,825,592 | ||||||||
Ardelyx, Inc. (a) | 8,200 | 53,054 | ||||||||
Assembly Biosciences, Inc. (a) | 700 | 4,235 | ||||||||
Atara Biotherapeutics, Inc. (a) | 14,200 | 278,746 | ||||||||
aTyr Pharma, Inc. (a) | 800 | 3,104 | ||||||||
Avrobio, Inc. (a) | 500 | 6,970 | ||||||||
Baxter International, Inc. (c) | 45,900 | 3,683,016 | ||||||||
Becton Dickinson and Co. | 2,300 | 575,506 | ||||||||
Boston Scientific Corp. (a) | 48,000 | 1,725,600 | ||||||||
Brookdale Senior Living, Inc. (a) | 109 | 483 | ||||||||
Cara Therapeutics, Inc. (a) | 4,400 | 66,572 | ||||||||
Cardiff Oncology, Inc. (a) | 1,500 | 26,985 | ||||||||
Castle Biosciences, Inc. (a) | 100 | 6,715 | ||||||||
Chemed Corp. | 100 | 53,261 | ||||||||
Chiasma, Inc. (a) | 3,700 | 16,095 | ||||||||
Chinook Therapeutics, Inc. (a) | 1,620 | 25,693 | ||||||||
Cogent Biosciences, Inc. (a) | 878 | 9,860 | ||||||||
Community Health Systems, Inc. (a) | 27,500 | 204,325 |
See Notes to Consolidated Schedule of Investments.
14
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
December 31, 2020 (Unaudited)
Security Description | Shares | Value | ||||||||
Concert Pharmaceuticals, Inc. (a) | 2,200 | $ | 27,808 | |||||||
Constellation Pharmaceuticals, Inc. (a) | 3,700 | 106,560 | ||||||||
CorMedix, Inc. (a) | 2,700 | 20,061 | ||||||||
Cutera, Inc. (a) | 2,500 | 60,275 | ||||||||
Cyclerion Therapeutics, Inc. (a) | 600 | 1,836 | ||||||||
Denali Therapeutics, Inc. (a) | 3,800 | 318,288 | ||||||||
Dicerna Pharmaceuticals, Inc. (a) | 9,400 | 207,082 | ||||||||
Diffusion Pharmaceuticals, Inc. (a) | 1,400 | 1,113 | ||||||||
Durect Corp. (a) | 20,500 | 42,435 | ||||||||
Dynavax Technologies Corp. (a) | 6,270 | 27,902 | ||||||||
Eagle Pharmaceuticals, Inc. (a) | 1,100 | 51,227 | ||||||||
Eyenovia, Inc. (a) | 1,100 | 6,666 | ||||||||
FONAR Corp. (a) | 300 | 5,208 | ||||||||
Fortress Biotech, Inc. (a) | 3,200 | 10,144 | ||||||||
GenMark Diagnostics, Inc. (a) | 5,200 | 75,920 | ||||||||
Genocea Biosciences, Inc. (a) | 3,400 | 8,228 | ||||||||
Geron Corp. (a) | 30,300 | 48,177 | ||||||||
Haemonetics Corp. (a) | 2,800 | 332,500 | ||||||||
Harrow Health, Inc. (a) | 1,200 | 8,232 | ||||||||
Harvard Bioscience, Inc. (a) | 2,500 | 10,725 | ||||||||
Hologic, Inc. (a) | 14,500 | 1,056,035 | ||||||||
iCAD, Inc. (a) | 400 | 5,280 | ||||||||
Ideaya Biosciences, Inc. (a) | 3,400 | 47,600 | ||||||||
InfuSystem Holdings, Inc. (a) | 600 | 11,268 | ||||||||
Invacare Corp. (a) | 200 | 1,790 | ||||||||
Ionis Pharmaceuticals, Inc. (a) | 11,400 | 644,556 | ||||||||
Iovance Biotherapeutics, Inc. (a) | 1,000 | 46,400 | ||||||||
IVERIC bio, Inc. (a) | 1,300 | 8,983 | ||||||||
Johnson & Johnson | 500 | 78,690 | ||||||||
Kala Pharmaceuticals, Inc. (a) | 4,300 | 29,154 | ||||||||
Kiniksa Pharmaceuticals Ltd., Class A (a) | 3,700 | 65,379 | ||||||||
La Jolla Pharmaceutical Co. (a) | 5,723 | 22,205 | ||||||||
Lantheus Holdings, Inc. (a) | 4,400 | 59,356 | ||||||||
Larimar Therapeutics, Inc. (a) | 133 | 2,848 | ||||||||
MacroGenics, Inc. (a) | 8,800 | 201,168 | ||||||||
Madrigal Pharmaceuticals, Inc. (a) | 200 | 22,234 | ||||||||
Magellan Health, Inc. (a) | 1,300 | 107,692 | ||||||||
Magenta Therapeutics, Inc. (a) | 3,400 | 26,656 | ||||||||
Maravai LifeSciences Holdings, Inc., Class A (a) | 500 | 14,025 | ||||||||
Marinus Pharmaceuticals, Inc. (a) | 1,425 | 17,385 | ||||||||
Matinas BioPharma Holdings, Inc. (a) | 12,900 | 17,544 | ||||||||
Merit Medical Systems, Inc. (a) | 100 | 5,551 | ||||||||
Merrimack Pharmaceuticals, Inc. (a) | 3,000 | 20,670 | ||||||||
Milestone Pharmaceuticals, Inc. (a) | 1,100 | 7,370 | ||||||||
Minerva Neurosciences, Inc. (a) | 9,800 | 22,932 | ||||||||
Mirati Therapeutics, Inc. (a) | 200 | 43,928 | ||||||||
Molecular Templates, Inc. (a) | 6,328 | 59,420 | ||||||||
Natera, Inc. (a) | 10,900 | 1,084,768 | ||||||||
Neogen Corp. (a) | 300 | 23,790 | ||||||||
Neoleukin Therapeutics, Inc. (a) | 1,100 | 15,510 |
See Notes to Consolidated Schedule of Investments.
15
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
December 31, 2020 (Unaudited)
Security Description | Shares | Value | ||||||||
NextCure, Inc. (a) | 1,400 | $ | 15,260 | |||||||
NuVasive, Inc. (a) | 7,900 | 445,007 | ||||||||
Ocular Therapeutix, Inc. (a) | 17,400 | 360,180 | ||||||||
Odonate Therapeutics, Inc. (a) | 5,800 | 111,360 | ||||||||
Outlook Therapeutics, Inc. (a) | 100 | 134 | ||||||||
Ovid therapeutics, Inc. (a) | 10,800 | 24,948 | ||||||||
Owens & Minor, Inc. | 6,600 | 178,530 | ||||||||
Palatin Technologies, Inc. (a) | 1,500 | 1,014 | ||||||||
Paratek Pharmaceuticals, Inc. (a) | 6,200 | 38,812 | ||||||||
Pfizer, Inc. (c) | 93,400 | 3,438,054 | ||||||||
Phio Pharmaceuticals Corp. (a) | 1,200 | 3,228 | ||||||||
Pieris Pharmaceuticals, Inc. (a) | 100 | 250 | ||||||||
Plus Therapeutics, Inc. (a) | 300 | 606 | ||||||||
PPD, Inc. (a) | 1,800 | 61,596 | ||||||||
Protagonist Therapeutics, Inc. (a) | 6,500 | 131,040 | ||||||||
RA Medical Systems, Inc. (a) | 392 | 2,913 | ||||||||
Radius Health, Inc. (a) | 8,200 | 146,452 | ||||||||
RadNet, Inc. (a) | 3,200 | 62,624 | ||||||||
Replimune Group, Inc. (a) | 3,900 | 148,785 | ||||||||
Rigel Pharmaceuticals, Inc. (a) | 600 | 2,100 | ||||||||
Rocket Pharmaceuticals, Inc. (a) | 300 | 16,452 | ||||||||
Sangamo BioSciences, Inc. (a) | 30,900 | 482,194 | ||||||||
Satsuma Pharmaceuticals, Inc. (a) | 2,900 | 13,369 | ||||||||
Savara, Inc. (a) | 1,800 | 2,070 | ||||||||
Selecta Biosciences, Inc. (a) | 24,800 | 75,144 | ||||||||
Sesen Bio, Inc. (a) | 7,832 | 10,573 | ||||||||
SI-BONE, Inc. (a) | 1,900 | 56,810 | ||||||||
Soleno Therapeutics, Inc. (a) | 7,300 | 14,089 | ||||||||
Solid Biosciences, Inc. (a) | 6,000 | 45,480 | ||||||||
Sotera Health Co. (a) | 500 | 13,720 | ||||||||
Supernus Pharmaceuticals, Inc. (a) | 3,400 | 85,544 | ||||||||
Surgalign Holdings, Inc. (a) | 1,500 | 3,285 | ||||||||
Surmodics, Inc. (a) | 500 | 21,760 | ||||||||
Sutro Biopharma, Inc. (a) | 400 | 8,684 | ||||||||
Tandem Diabetes Care, Inc. (a) | 363 | 34,732 | ||||||||
TCR2 Therapeutics, Inc. (a) | 600 | 18,558 | ||||||||
Tracon Pharmaceuticals, Inc. (a) | 3,100 | 36,270 | ||||||||
Translate Bio, Inc. (a) | 7,400 | 136,382 | ||||||||
Travere Therapeutics, Inc. (a) | 4,700 | 128,098 | ||||||||
Trevena, Inc. (a) | 500 | 1,070 | ||||||||
Tricida, Inc. (a) | 3,600 | 25,380 | ||||||||
Triple-S Management Corp., Class B (a) | 1,550 | 33,092 | ||||||||
Turning Point Therapeutics, Inc. (a) | 600 | 73,110 | ||||||||
Ultragenyx Pharmaceutical, Inc. (a) | 100 | 14,162 | ||||||||
Vanda Pharmaceuticals, Inc. (a) | 5,400 | 70,956 | ||||||||
Vapotherm, Inc. (a) | 100 | 2,686 | ||||||||
Varex Imaging Corp. (a) | 900 | 15,012 | ||||||||
Verastem, Inc. (a) | 4,600 | 9,798 |
See Notes to Consolidated Schedule of Investments.
16
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
December 31, 2020 (Unaudited)
Security Description | Shares | Value | ||||||||
VYNE Therapeutics, Inc. (a) | 5,800 | $ | 9,164 | |||||||
Y-mAbs Therapeutics, Inc. (a) | 700 | 34,657 | ||||||||
|
| |||||||||
23,917,497 | ||||||||||
|
| |||||||||
Health Care Facilities & Services — 0.0% | ||||||||||
Encompass Health Corp. | 4,900 | 405,181 | ||||||||
Invitae Corp. (a) | 1,100 | 45,991 | ||||||||
Joint Corp. (The) (a) | 1,400 | 36,764 | ||||||||
MEDNAX, Inc. (a) | 5,200 | 127,608 | ||||||||
Neuronetics, Inc. (a) | 600 | 6,666 | ||||||||
Quest Diagnostics, Inc. | 1,800 | 214,506 | ||||||||
Teladoc Health, Inc. (a) | 28 | 5,599 | ||||||||
Tenet Healthcare Corp. (a) | 900 | 35,937 | ||||||||
Tivity Health, Inc. (a) | 7,000 | 137,130 | ||||||||
|
| |||||||||
1,015,382 | ||||||||||
|
| |||||||||
Home & Office Products — 0.0% | ||||||||||
ACCO Brands Corp. | 6,500 | 54,925 | ||||||||
Armstrong Flooring, Inc. (a) | 4,900 | 18,718 | ||||||||
Beazer Homes USA, Inc. (a) | 100 | 1,515 | ||||||||
Tempur Sealy International, Inc. (a) | 16,900 | 456,300 | ||||||||
|
| |||||||||
531,458 | ||||||||||
|
| |||||||||
Industrial Products — 0.2% | ||||||||||
AAR Corp. (a) | 1,700 | 61,574 | ||||||||
Advanced Emissions Solutions, Inc. (a) | 100 | 550 | ||||||||
AGCO Corp. | 300 | 30,927 | ||||||||
Allegion PLC | 100 | 11,638 | ||||||||
Astronics Corp. (a) | 4,200 | 55,566 | ||||||||
Atkore International Group, Inc. (a) | 1,300 | 53,443 | ||||||||
Bel Fuse, Inc., Class B | 100 | 1,503 | ||||||||
Blue Bird Corp. (a) | 1,500 | 27,390 | ||||||||
Cactus, Inc. | 1,700 | 44,319 | ||||||||
CECO Environmental Corp. (a) | 1,300 | 9,048 | ||||||||
Columbus McKinnon Corp. | 1,000 | 38,440 | ||||||||
Commercial Vehicle Group, Inc. (a) | 5,100 | 44,115 | ||||||||
Core Molding Technologies, Inc. (a) | 300 | 4,224 | ||||||||
Crane Co. | 900 | 69,894 | ||||||||
Curtiss-Wright Corp. | 400 | 46,540 | ||||||||
Donaldson Co., Inc. | 400 | 22,352 | ||||||||
Dover Corp. | 200 | 25,250 | ||||||||
Ducommun, Inc. (a) | 200 | 10,740 | ||||||||
Eaton Corp. PLC | 3,600 | 432,504 | ||||||||
FARO Technologies, Inc. (a) | 400 | 28,252 | ||||||||
FreightCar America, Inc. (a) | 1,000 | 2,410 | ||||||||
Gibraltar Industries, Inc. (a) | 1,700 | 122,298 | ||||||||
Graham Corp. | 400 | 6,072 | ||||||||
Hexcel Corp. (a) | 9,199 | 446,059 | ||||||||
Hillenbrand, Inc. | 1,516 | 60,337 | ||||||||
Hubbell, Inc. | 300 | 47,037 |
See Notes to Consolidated Schedule of Investments.
17
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
December 31, 2020 (Unaudited)
Security Description | Shares | Value | ||||||||
Huntington Ingalls Industries, Inc. | 700 | $ | 119,336 | |||||||
Hyster-Yale Materials Handling, Inc. | 200 | 11,910 | ||||||||
Ichor Holdings Ltd. (a) | 600 | 18,087 | ||||||||
LB Foster Co., Class A (a) | 500 | 7,525 | ||||||||
Lockheed Martin Corp. (c) | 18,700 | 6,638,126 | ||||||||
Manitowoc Co., Inc. (The) (a) | 700 | 9,317 | ||||||||
Navistar International Corp. (a) | 3,000 | 131,880 | ||||||||
nLight, Inc. (a) | 400 | 13,060 | ||||||||
Northrop Grumman Corp. | 3,300 | 1,005,576 | ||||||||
nVent Electric plc | 11,100 | 258,519 | ||||||||
Powell Industries, Inc. | 500 | 14,745 | ||||||||
Raytheon Technologies Corp. | 7,074 | 505,862 | ||||||||
Shyft Group, Inc. (The) | 1,000 | 28,380 | ||||||||
Spirit AeroSystems Holdings, Inc., Class A | 22,800 | 891,252 | ||||||||
TransDigm Group, Inc. (a) | 200 | 123,770 | ||||||||
Vontier Corp. (a) | 4,800 | 160,320 | ||||||||
Welbilt, Inc. (a) | 8,000 | 105,600 | ||||||||
|
| |||||||||
11,745,747 | ||||||||||
|
| |||||||||
Industrial Services — 0.1% | ||||||||||
Acacia Research Corp. (a) | 1,300 | 5,122 | ||||||||
American Airlines Group, Inc. (a) | 300 | 4,731 | ||||||||
Atlas Air Worldwide Holdings, Inc. (a) | 1,000 | 54,540 | ||||||||
Barrett Business Services, Inc. | 600 | 40,926 | ||||||||
Civeo Corp. (a) | 725 | 10,077 | ||||||||
CorVel Corp. (a) | 400 | 42,400 | ||||||||
Covanta Holding Corp. | 500 | 6,565 | ||||||||
Daseke, Inc. (a) | 6,200 | 36,022 | ||||||||
Delta Air Lines, Inc. (a) | 300 | 12,063 | ||||||||
DXP Enterprises, Inc. (a) | 300 | 6,669 | ||||||||
Fluor Corp. (a) | 26,600 | 424,802 | ||||||||
Franchise Group, Inc. | 1,300 | 39,585 | ||||||||
Franklin Covey Co. (a) | 500 | 11,135 | ||||||||
FTI Consulting, Inc. (a) | 3,600 | 402,192 | ||||||||
Great Lakes Dredge & Dock Corp. (a) | 100 | 1,317 | ||||||||
H&E Equipment Services, Inc. | 4,200 | 125,202 | ||||||||
H&R Block, Inc. | 8,500 | 134,810 | ||||||||
Hackett Group, Inc. | 2,200 | 31,658 | ||||||||
Healthcare Services Group, Inc. | 5,200 | 146,120 | ||||||||
Heartland Express, Inc. | 100 | 1,810 | ||||||||
Herc Holdings, Inc. (a) | 754 | 50,073 | ||||||||
Huron Consulting Group, Inc. (a) | 800 | 47,160 | ||||||||
JetBlue Airways Corp. (a) | 100 | 1,454 | ||||||||
Kelly Services, Inc., Class A (a) | 900 | 18,513 | ||||||||
Knight-Swift Transportation Holdings, Inc. (c) | 2,000 | 83,640 | ||||||||
Korn/Ferry International | 200 | 8,700 | ||||||||
Marten Transport Ltd. | 3,799 | 65,457 | ||||||||
Mesa Air Group, Inc. (a) | 200 | 1,338 | ||||||||
Quad/Graphics, Inc. | 3,600 | 13,752 | ||||||||
R1 RCM, Inc. (a) | 4,000 | 96,080 |
See Notes to Consolidated Schedule of Investments.
18
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
December 31, 2020 (Unaudited)
Security Description | Shares | Value | ||||||||
Republic Services, Inc. | 9,900 | $ | 953,370 | |||||||
Resideo Technologies, Inc. (a) | 21,100 | 448,586 | ||||||||
Ritchie Bros Auctioneers, Inc. | 700 | 48,685 | ||||||||
Spirit Airlines, Inc. (a) | 19,200 | 469,440 | ||||||||
Sterling Construction Co., Inc. (a) | 3,200 | 59,552 | ||||||||
Terminix Global Holdings, Inc. (a) | 2,100 | 107,121 | ||||||||
Titan Machinery, Inc. (a) | 3,300 | 64,515 | ||||||||
TriNet Group, Inc. (a) | 4,000 | 322,400 | ||||||||
Triton International Ltd. | 300 | 14,553 | ||||||||
Tutor Perini Corp. (a) | 6,900 | 89,355 | ||||||||
United Airlines Holdings, Inc. (a) | 45,300 | 1,959,225 | ||||||||
USA Truck, Inc. (a) | 900 | 8,037 | ||||||||
Waste Connections, Inc. | 300 | 30,771 | ||||||||
Werner Enterprises, Inc. | 2,000 | 78,440 | ||||||||
WillScot Mobile Mini Holdings Corp. (a) | 2,265 | 52,480 | ||||||||
XPO Logistics, Inc. (a) | 100 | 11,920 | ||||||||
|
| |||||||||
6,642,363 | ||||||||||
|
| |||||||||
Institutional Financial Services — 0.0% | ||||||||||
BGC Partners, Inc., Class A | 100 | 400 | ||||||||
|
| |||||||||
Insurance — 0.2% | ||||||||||
American Equity Investment Life Holding Co. | 1,700 | 47,022 | ||||||||
American Financial Group, Inc. | 1,600 | 140,192 | ||||||||
AMERISAFE, Inc. | 200 | 11,486 | ||||||||
Assured Guaranty Ltd. | 5,300 | 166,897 | ||||||||
Brighthouse Financial, Inc. (a) | 2,800 | 101,374 | ||||||||
Chubb Ltd. (b) | 56,400 | 8,681,088 | ||||||||
Employers Holdings, Inc. | 900 | 28,971 | ||||||||
Hallmark Financial Services, Inc. (a) | 200 | 712 | ||||||||
Hanover Insurance Group, Inc. (c) | 2,700 | 315,684 | ||||||||
Hartford Financial Services Group, Inc. | 7,700 | 377,146 | ||||||||
Kingstone Cos., Inc. | 200 | 1,330 | ||||||||
Lincoln National Corp. | 5,600 | 281,736 | ||||||||
Maiden Holdings Ltd. (a) | 1,400 | 3,486 | ||||||||
Old Republic International Corp. | 18,800 | 370,548 | ||||||||
Protective Insurance Corp., Class B | 200 | 2,742 | ||||||||
Radian Group, Inc. | 3,100 | 62,775 | ||||||||
Universal Insurance Holdings, Inc. | 1,100 | 16,621 | ||||||||
Unum Group (c) | 33,200 | 761,608 | ||||||||
|
| |||||||||
11,371,418 | ||||||||||
|
| |||||||||
Iron & Steel — 0.0% | ||||||||||
Allegheny Technologies, Inc. (a) | 27,600 | 462,852 | ||||||||
SunCoke Energy, Inc. | 10,300 | 44,805 | ||||||||
|
| |||||||||
507,657 | ||||||||||
|
| |||||||||
Leisure Products — 0.2% | ||||||||||
Clarus Corp. | 2,009 | 30,939 | ||||||||
Malibu Boats, Inc., Class A (a) | 1,000 | 62,440 |
See Notes to Consolidated Schedule of Investments.
19
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
December 31, 2020 (Unaudited)
Security Description | Shares | Value | ||||||||
MasterCraft Boat Holdings, Inc. (a) | 2,100 | $ | 52,164 | |||||||
Peloton Interactive, Inc., Class A (a),(c) | 53,200 | 8,071,504 | ||||||||
|
| |||||||||
8,217,047 | ||||||||||
|
| |||||||||
Machinery — 0.0% | ||||||||||
Titan International, Inc. (a) | 3,200 | 15,552 | ||||||||
|
| |||||||||
Manufactured Goods — 0.0% | ||||||||||
Insteel Industries, Inc. | 1,000 | 22,270 | ||||||||
|
| |||||||||
Materials — 0.1% | ||||||||||
A-Mark Precious Metals, Inc. | 100 | 2,565 | ||||||||
Air Products & Chemicals, Inc. | 500 | 136,610 | ||||||||
Alamos Gold, Inc., Class A | 14,054 | 122,973 | ||||||||
Alcoa Corp. (a) | 42,701 | 984,258 | ||||||||
Armstrong World Industries, Inc. | 200 | 14,878 | ||||||||
Ball Corp. | 300 | 27,954 | ||||||||
Cabot Corp. | 1,700 | 76,296 | ||||||||
Carpenter Technology Corp. | 2,900 | 84,448 | ||||||||
CF Industries Holdings, Inc. | 1,800 | 69,678 | ||||||||
Chemours Co. | 22,200 | 550,338 | ||||||||
Coeur Mining, Inc. (a) | 2,736 | 28,318 | ||||||||
Comstock Mining, Inc. (a) | 400 | 416 | ||||||||
Corteva, Inc. | 200 | 7,744 | ||||||||
Domtar Corp. (a) | 8,400 | 265,860 | ||||||||
Eldorado Gold Corp. (a) | 3,940 | 52,284 | ||||||||
Franco-Nevada Corp. | 100 | 12,635 | ||||||||
Galiano Gold, Inc. (a) | 1,500 | 1,695 | ||||||||
Great Panther Silver Ltd. (a) | 200 | 170 | ||||||||
Haynes International, Inc. | 100 | 2,384 | ||||||||
Hecla Mining Co. | 1,581 | 10,245 | ||||||||
Hudbay Minerals, Inc. | 3,000 | 21,000 | ||||||||
IAMGOLD Corp. (a) | 22,300 | 81,841 | ||||||||
Louisiana-Pacific Corp. | 1,500 | 55,755 | ||||||||
Lydall, Inc. (a) | 1,600 | 48,048 | ||||||||
MDU Resources Group, Inc. | 8,900 | 234,426 | ||||||||
Myers Industries, Inc. | 1,400 | 29,092 | ||||||||
NACCO Industries, Inc., Class A | 100 | 2,630 | ||||||||
New Gold, Inc. (a) | 75,000 | 164,250 | ||||||||
Newmont Mining Corp. | 1,300 | 77,857 | ||||||||
Northwest Pipe Co. (a) | 600 | 16,980 | ||||||||
Olin Corp. | 400 | 9,824 | ||||||||
Osisko Gold Royalties Ltd. | 3,100 | 39,308 | ||||||||
Peabody Energy Corp. (a) | 11,600 | 27,956 | ||||||||
Rogers Corp. (a) | 100 | 15,529 | ||||||||
Royal Gold, Inc. | 5,200 | 553,072 | ||||||||
Ryerson Holding Corp. (a) | 600 | 8,184 | ||||||||
Sherwin-Williams Co. | 700 | 514,437 | ||||||||
SiNtx Technologies, Inc. (a) | 2,300 | 3,611 | ||||||||
Stepan Co. | 1,000 | 119,320 |
See Notes to Consolidated Schedule of Investments.
20
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
December 31, 2020 (Unaudited)
Security Description | Shares | Value | ||||||||
Taseko Mines Ltd. (a) | 7,200 | $ | 9,504 | |||||||
TimkenSteel Corp. (a) | 2,900 | 13,543 | ||||||||
United States Steel Corp. | 1,500 | 25,155 | ||||||||
|
| |||||||||
4,523,071 | ||||||||||
|
| |||||||||
Media — 0.7% | ||||||||||
Alphabet, Inc., Class A (a) | 100 | 175,264 | ||||||||
Altice USA, Inc., Class A (a),(c) | 86,700 | 3,283,329 | ||||||||
AMC Networks, Inc., Class A (a) | 300 | 10,731 | ||||||||
ANGI Homeservices, Inc., Class A (a) | 17,400 | 229,593 | ||||||||
Boingo Wireless, Inc. (a) | 3,800 | 48,336 | ||||||||
Cargurus, Inc. (a),(c) | 21,600 | 685,368 | ||||||||
Cars.com, Inc. (a) | 9,100 | 102,830 | ||||||||
Charter Communications, Inc., Class A (a),(c) | 6,240 | 4,128,072 | ||||||||
Clear Channel Outdoor Holdings, Inc. (a) | 5,900 | 9,735 | ||||||||
Endurance International Group Holdings, Inc. (a) | 900 | 8,505 | ||||||||
Entercom Communications Corp., Class A | 4,600 | 11,362 | ||||||||
Entravision Communications Corp., Class A | 100 | 275 | ||||||||
Eventbrite, Inc., Class A (a) | 3,700 | 66,970 | ||||||||
EverQuote, Inc., Class A (a) | 3,900 | 145,665 | ||||||||
Facebook, Inc., Class A (a),(c) | 28,100 | 7,675,796 | ||||||||
Glu Mobile, Inc. (a) | 37,500 | 337,875 | ||||||||
GoDaddy, Inc., Class A (a) | 15,800 | 1,310,610 | ||||||||
Grubhub, Inc. (a) | 14,600 | 1,084,342 | ||||||||
HyreCar, Inc. (a) | 1,200 | 8,568 | ||||||||
iMedia Brands, Inc. (a) | 1,270 | 6,071 | ||||||||
Liberty Media Corp-Liberty SiriusXM, Class C (a),(b),(c) | 21,740 | 945,907 | ||||||||
Liberty SiriusXM Group, Class A (a),(b),(c) | 20,505 | 885,611 | ||||||||
Liberty TripAdvisor Holdings, Inc., Class A (a) | 10,800 | 46,872 | ||||||||
Lions Gate Entertainment Corp., Class A (a) | 10,800 | 122,796 | ||||||||
Marchex, Inc., Class B (a) | 1,700 | 3,332 | ||||||||
National CineMedia, Inc. | 2,100 | 7,812 | ||||||||
Netflix, Inc. (a) | 6,000 | 3,244,380 | ||||||||
New York Times Co. (The), Class A | 8,600 | 445,222 | ||||||||
Pinterest, Inc., Class A (a),(c) | 57,100 | 3,762,890 | ||||||||
QuinStreet, Inc. (a) | 600 | 12,864 | ||||||||
RumbleON, Inc., Class B (a) | 45 | 1,359 | ||||||||
Sciplay Corp., Class A (a) | 5,200 | 72,020 | ||||||||
SharpSpring, Inc. (a) | 100 | 1,644 | ||||||||
Sinclair Broadcast Group, Inc., Class A | 700 | 22,295 | ||||||||
Snap, Inc., Class A (a),(c) | 156,100 | 7,815,927 | ||||||||
TechTarget, Inc. (a) | 100 | 5,911 | ||||||||
TEGNA, Inc. | 700 | 9,765 | ||||||||
Travelzoo, Inc. (a) | 900 | 8,496 | ||||||||
TripAdvisor, Inc. (a),(c) | 19,300 | 555,454 | ||||||||
TrueCar, Inc. (a) | 18,600 | 78,120 | ||||||||
Urban One, Inc. (a) | 200 | 234 | ||||||||
World Wrestling Entertainment, Inc., Class A | 7,200 | 345,960 | ||||||||
Yelp, Inc. (a),(c) | 15,800 | 516,186 |
See Notes to Consolidated Schedule of Investments.
21
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
December 31, 2020 (Unaudited)
Security Description | Shares | Value | ||||||||
Zillow Group, Inc. (a) | 100 | $ | 13,594 | |||||||
|
| |||||||||
38,253,948 | ||||||||||
|
| |||||||||
Medical Equipment & Devices — 0.1% | ||||||||||
Accelerate Diagnostics, Inc. (a) | 1,600 | 12,128 | ||||||||
Alphatec Holdings, Inc. (a) | 3,300 | 47,916 | ||||||||
AngioDynamics, Inc. (a) | 2,300 | 35,259 | ||||||||
Axogen, Inc. (a) | 1,300 | 23,270 | ||||||||
CareDx, Inc. (a) | 7,100 | 514,395 | ||||||||
CytoSorbents Corp. (a) | 5,100 | 40,647 | ||||||||
Fluidigm Corp. (a) | 15,000 | 90,000 | ||||||||
Inogen, Inc. (a) | 2,900 | 129,572 | ||||||||
Myriad Genetics, Inc. (a) | 11,600 | 229,390 | ||||||||
NanoString Technologies, Inc. (a) | 5,600 | 374,528 | ||||||||
Nevro Corp. (a),(c) | 3,600 | 623,160 | ||||||||
Novocure Ltd. (a),(c) | 8,400 | 1,453,536 | ||||||||
Orthofix Medical, Inc. (a) | 1,500 | 64,470 | ||||||||
Oxford Immunotec Global plc (a) | 2,600 | 45,409 | ||||||||
Precision BioSciences, Inc. (a) | 600 | 5,004 | ||||||||
Quotient Ltd. (a) | 9,900 | 51,579 | ||||||||
SeaSpine Holdings Corp. (a) | 1,900 | 33,155 | ||||||||
Vericel Corp. (a) | 1,600 | 49,408 | ||||||||
ViewRay, Inc. (a) | 2,800 | 10,696 | ||||||||
|
| |||||||||
3,833,522 | ||||||||||
|
| |||||||||
Metals & Mining — 0.0% | ||||||||||
Arconic Corp. (a) | 1,200 | 35,760 | ||||||||
B2Gold Corp. | 22,000 | 123,200 | ||||||||
Constellium SE (a) | 18,400 | 257,416 | ||||||||
Contura Energy, Inc. (a) | 2,200 | 25,014 | ||||||||
Ferroglobe plc (a) | 7,900 | 12,956 | ||||||||
McEwen Mining, Inc. (a) | 600 | 591 | ||||||||
Northern Dynasty Minerals Ltd. (a) | 14,500 | 4,669 | ||||||||
Pretium Resources, Inc. (a) | 10,200 | 117,096 | ||||||||
Sandstorm Gold Ltd. (a) | 21,900 | 157,023 | ||||||||
Silvercorp Metals, Inc. | 100 | 669 | ||||||||
|
| |||||||||
734,394 | ||||||||||
|
| |||||||||
Oil, Gas & Coal — 0.4% | ||||||||||
Antero Resources Corp. (a) | 300 | 1,635 | ||||||||
Callon Petroleum Co. (a) | 5 | 66 | ||||||||
Cenovus Energy, Inc. (a) | 10,800 | 65,232 | ||||||||
Centennial Resource Development, Inc., Class A (a) | 6,500 | 9,750 | ||||||||
ChampionX Corp. (a) | 22,000 | 336,600 | ||||||||
Cimarex Energy Co. | 3,700 | 138,787 | ||||||||
Concho Resources, Inc. (c) | 34,200 | 1,995,570 | ||||||||
CONSOL Energy, Inc. (a) | 1,100 | 7,931 | ||||||||
Continental Resources, Inc. (a),(c) | 28,700 | 467,810 | ||||||||
Core Laboratories NV | 1,600 | 42,416 | ||||||||
Crescent Point Energy Corp. | 10,400 | 24,336 |
See Notes to Consolidated Schedule of Investments.
22
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
December 31, 2020 (Unaudited)
Security Description | Shares | Value | ||||||||
CVR Energy, Inc. | 9,200 | $ | 137,080 | |||||||
Devon Energy Corp. | 47,700 | 754,137 | ||||||||
Enerplus Corp. | 21,100 | 66,043 | ||||||||
EnLink Midstream LLC | 40,600 | 150,626 | ||||||||
EOG Resources, Inc. (c) | 83,700 | 4,174,119 | ||||||||
Evolution Petroleum Corp. | 1,800 | 5,130 | ||||||||
Hallador Energy Co. (a) | 1,100 | 1,617 | ||||||||
Halliburton Co. | 300 | 5,670 | ||||||||
Helix Energy Solutions Group, Inc. (a) | 100 | 420 | ||||||||
Helmerich & Payne, Inc. (c) | 24,200 | 560,472 | ||||||||
HighPoint Resources Corp. (a) | 4 | 37 | ||||||||
HollyFrontier Corp. | 18,100 | 467,885 | ||||||||
Kinder Morgan, Inc. (a) | 54,500 | 745,015 | ||||||||
Kosmos Energy Ltd. (a) | 38,400 | 90,240 | ||||||||
Magnolia Oil & Gas Corp., Class A (a) | 27,700 | 195,562 | ||||||||
Mammoth Energy Services, Inc. (a) | 2,500 | 11,125 | ||||||||
Marathon Oil Corp. | 38,300 | 255,461 | ||||||||
Matador Resources Co. (a) | 23,800 | 287,028 | ||||||||
Matrix Service Co. (a) | 1,200 | 13,224 | ||||||||
MRC Global, Inc. (a) | 8,600 | 57,018 | ||||||||
Murphy Oil Corp. | 1,200 | 14,520 | ||||||||
Natural Gas Services Group, Inc. (a) | 900 | 8,532 | ||||||||
Newpark Resources, Inc. (a) | 14,000 | 26,880 | ||||||||
NexTier Oilfield Solutions, Inc. (a) | 7,146 | 24,582 | ||||||||
NOW, Inc. (a) | 19,600 | 140,728 | ||||||||
Occidental Petroleum Corp. | 2,938 | 50,857 | ||||||||
Oceaneering International, Inc. (a) | 11,600 | 92,220 | ||||||||
Oil States International, Inc. (a) | 14,000 | 70,280 | ||||||||
ONEOK, Inc. | 5,400 | 207,252 | ||||||||
Ovintiv, Inc. | 47,318 | 679,486 | ||||||||
Parsley Energy, Inc., Class A | 76,634 | 1,088,203 | ||||||||
Patterson-UTI Energy, Inc. | 41,900 | 220,394 | ||||||||
PBF Energy, Inc., Class A (a) | 26,200 | 186,020 | ||||||||
PDC Energy, Inc. (a) | 5,084 | 104,375 | ||||||||
PHX Minerals, Inc. | 1,500 | 3,450 | ||||||||
Pioneer Natural Resources Co. (c) | 18,000 | 2,050,020 | ||||||||
QEP Resources, Inc. (a) | 39,200 | 93,688 | ||||||||
RPC, Inc. (a) | 11,800 | 37,170 | ||||||||
SandRidge Energy, Inc. (a) | 3,100 | 9,610 | ||||||||
Schlumberger Ltd. | 38,600 | 842,638 | ||||||||
SM Energy Co. | 26,300 | 160,956 | ||||||||
Targa Resources Corp. | 37,300 | 983,974 | ||||||||
Thermon Group Holdings, Inc. (a) | 300 | 4,689 | ||||||||
Transocean Ltd. (a) | 116,333 | 268,729 | ||||||||
TravelCenters of America, Inc. (a) | 540 | 17,604 | ||||||||
US Silica Holdings, Inc. (a) | 2,700 | 18,954 | ||||||||
VAALCO Energy, Inc. (a) | 200 | 354 | ||||||||
Valero Energy Corp. | 7,300 | 412,961 | ||||||||
Vermilion Energy, Inc. (a) | 1,100 | 4,895 | ||||||||
W&T Offshore, Inc. (a) | 1,500 | 3,255 |
See Notes to Consolidated Schedule of Investments.
21
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
December 31, 2020 (Unaudited)
Security Description | Shares | Value | ||||||||
Williams Cos., Inc. | 2,600 | $ | 52,130 | |||||||
WPX Energy, Inc. (a) | 31,900 | 259,985 | ||||||||
|
| |||||||||
19,207,433 | ||||||||||
|
| |||||||||
Private Equity — 0.0% | ||||||||||
Millennium Equity Private Equity (a),(b),(d) | 60,879 | 1,217,580 | ||||||||
|
| |||||||||
Real Estate — 1.1% | ||||||||||
Agree Realty Corp. | 2,500 | 166,450 | ||||||||
American Tower Corp. | 6,400 | 1,436,544 | ||||||||
Armada Hoffler Properties, Inc. | 3,100 | 34,782 | ||||||||
AvalonBay Communities, Inc. (b),(c) | 20,363 | 3,266,836 | ||||||||
Bluerock Residential Growth REIT, Inc. | 1,100 | 13,937 | ||||||||
Boston Properties, Inc. (b),(c) | 272 | 25,712 | ||||||||
Broadstone Net Lease, Inc., Class A | 500 | 9,790 | ||||||||
Camden Property Trust | 900 | 89,928 | ||||||||
CareTrust REIT, Inc. | 7,700 | 170,786 | ||||||||
Cedar Realty Trust, Inc. | 684 | 6,929 | ||||||||
City Office REIT, Inc. | 5,500 | 53,735 | ||||||||
Colliers International Group, Inc. | 200 | 17,826 | ||||||||
Colony Capital, Inc. (b) | 3,153,031 | 15,166,079 | ||||||||
CoreCivic, Inc. (a) | 400 | 2,620 | ||||||||
CorEnergy Infrastructure Trust, Inc. | 2,600 | 17,810 | ||||||||
CorePoint Lodging, Inc. (a) | 300 | 2,064 | ||||||||
CyrusOne, Inc. (b) | 154,541 | 11,304,674 | ||||||||
Digital Realty Trust, Inc. (b),(c) | 511 | 71,290 | ||||||||
EPR Properties (a) | 6,600 | 214,500 | ||||||||
Equinix, Inc. (b),(c) | 128 | 91,415 | ||||||||
Equity LifeStyle Properties, Inc. | 7,800 | 494,208 | ||||||||
Equity Residential (b),(c) | 739 | 43,808 | ||||||||
Essex Property Trust, Inc. (b),(c) | 18,126 | 4,303,475 | ||||||||
First Industrial Realty Trust, Inc. | 3,300 | 139,029 | ||||||||
Gaming and Leisure Properties, Inc. | 18,938 | 802,971 | ||||||||
Geo Group, Inc. (The) | 400 | 3,544 | ||||||||
Getty Realty Corp. | 1,800 | 49,572 | ||||||||
Gladstone Commercial Corp. | 3,100 | 55,800 | ||||||||
Gladstone Land Corp. | 3,800 | 55,632 | ||||||||
Global Medical REIT, Inc. | 4,600 | 60,076 | ||||||||
Healthpeak Properties, Inc. (b),(c) | 2,286 | 69,106 | ||||||||
Host Hotels & Resorts, Inc. (a),(b),(c) | 2,679 | 39,194 | ||||||||
Innovative Industrial Properties, Inc. | 300 | 54,939 | ||||||||
Invitation Homes, Inc. | 1,900 | 56,430 | ||||||||
JBG SMITH Properties (b),(c) | 102 | 3,190 | ||||||||
Kimco Realty Corp. | 600 | 9,006 | ||||||||
Lexington Realty Trust | 5,300 | 56,286 | ||||||||
LTC Properties, Inc. | 500 | 19,455 | ||||||||
McGrath RentCorp | 1,100 | 73,810 | ||||||||
Medical Properties Trust, Inc. | 5,100 | 111,129 | ||||||||
MGM Growth Properties LLC, Class A | 300 | 9,390 | ||||||||
Mid-America Apartment Communities, Inc. (b) | 47,470 | 6,013,974 |
See Notes to Consolidated Schedule of Investments.
22
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
December 31, 2020 (Unaudited)
Security Description | Shares | Value | ||||||||
Monmouth Real Estate Investment Corp., Class A | 2,100 | $ | 36,372 | |||||||
National Health Investors, Inc. | 4,900 | 338,933 | ||||||||
National Retail Properties, Inc. (c) | 13,100 | 536,052 | ||||||||
National Storage Affiliates Trust | 700 | 25,221 | ||||||||
Newmark Group, Inc., Class A | 11,100 | 80,919 | ||||||||
Omega Healthcare Investors, Inc. | 15,947 | 579,195 | ||||||||
Outfront Media, Inc. (a) | 2,900 | 56,724 | ||||||||
Park Hotels & Resorts, Inc. (a) | 7,112 | 121,971 | ||||||||
Prologis, Inc. (b),(c) | 31,497 | 3,138,991 | ||||||||
Public Storage (b),(c) | 293 | 67,663 | ||||||||
Realogy Holdings Corp. (a) | 14,800 | 194,176 | ||||||||
Realty Income Corp. (b),(c) | 20,822 | 1,294,504 | ||||||||
Redfin Corp. (a) | 1,900 | 130,397 | ||||||||
Retail Opportunity Investments Corp. (a) | 13,000 | 174,070 | ||||||||
Retail Value, Inc. | 400 | 5,948 | ||||||||
Rexford Industrial Realty, Inc. (b) | 23,053 | 1,132,133 | ||||||||
RMR Group, Inc. (The), Class A | 600 | 23,172 | ||||||||
SBA Communications Corp. (c) | 8,000 | 2,257,040 | ||||||||
Simon Property Group, Inc. (b),(c) | 604 | 51,509 | ||||||||
Spirit Realty Capital, Inc. | 9,800 | 393,666 | ||||||||
Terreno Realty Corp. (b) | 19,783 | 1,157,503 | ||||||||
UDR, Inc. | 800 | 30,744 | ||||||||
Uniti Group, Inc. | 17,500 | 205,275 | ||||||||
Urstadt Biddle Properties, Inc., Class A | 100 | 1,413 | ||||||||
Ventas, Inc. (b),(c) | 686 | 33,641 | ||||||||
VEREIT, Inc. | 5,339 | 201,761 | ||||||||
Vornado Realty Trust (b),(c) | 313 | 11,687 | ||||||||
Washington Prime Group, Inc. (a) | 1,144 | 7,447 | ||||||||
Welltower, Inc. (b),(c) | 698 | 45,105 | ||||||||
WP Carey, Inc. | 9,800 | 691,684 | ||||||||
|
| |||||||||
57,712,647 | ||||||||||
|
| |||||||||
Recreation Facilities & Services — 0.0% | ||||||||||
OneSpaWorld Holdings Ltd. (a) | 1,600 | 16,224 | ||||||||
Planet Fitness, Inc., Class A (a) | 9,100 | 706,433 | ||||||||
|
| |||||||||
722,657 | ||||||||||
|
| |||||||||
Renewable Energy — 0.1% | ||||||||||
Green Plains, Inc. (a) | 100 | 1,317 | ||||||||
Sunnova Energy International, Inc. (a) | 1,600 | 72,208 | ||||||||
Sunrun, Inc. (a) | 43,485 | 3,016,989 | ||||||||
TPI Composites, Inc. (a) | 500 | 26,390 | ||||||||
|
| |||||||||
3,116,904 | ||||||||||
|
| |||||||||
Retail & Wholesale - Staples — 0.2% | ||||||||||
Blue Apron Holdings, Inc., Class A (a) | 500 | 2,795 | ||||||||
Chefs’ Warehouse, Inc. (a) | 7,400 | 190,106 | ||||||||
Dollar Tree, Inc. (a),(c) | 20,700 | 2,236,428 | ||||||||
Ingles Markets, Inc., Class A | 400 | 17,064 | ||||||||
Ollie’s Bargain Outlet Holdings, Inc. (a) | 300 | 24,531 |
See Notes to Consolidated Schedule of Investments.
23
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
December 31, 2020 (Unaudited)
Security Description | Shares | Value | ||||||||
Target Corp. (c) | 47,100 | $ | 8,314,563 | |||||||
US Foods Holding Corp. (a) | 20,900 | 696,179 | ||||||||
Walmart, Inc. | 2,000 | 288,300 | ||||||||
|
| |||||||||
11,769,966 | ||||||||||
|
| |||||||||
Retail - Consumer Staples — 0.1% | ||||||||||
BJ’s Wholesale Club Holdings, Inc. (a) | 10,400 | 387,712 | ||||||||
Costco Wholesale Corp. (c) | 8,500 | 3,202,630 | ||||||||
|
| |||||||||
3,590,342 | ||||||||||
|
| |||||||||
Retail - Discretionary — 0.9% | ||||||||||
Abercrombie & Fitch Co., Class A (a) | 900 | 18,324 | ||||||||
Academy Sports & Outdoors, Inc. (a) | 700 | 14,511 | ||||||||
Amazon.com, Inc. (a),(b),(c) | 1,142 | 3,719,414 | ||||||||
At Home Group, Inc. (a) | 14,900 | 230,354 | ||||||||
AutoZone, Inc. (a),(c) | 500 | 592,720 | ||||||||
Avis Budget Group, Inc. (a) | 11,600 | 432,680 | ||||||||
Bassett Furniture Industries, Inc. | 1,100 | 22,088 | ||||||||
Bed Bath & Beyond, Inc. (a) | 9,000 | 159,840 | ||||||||
Best Buy Co., Inc. (c) | 11,700 | 1,167,543 | ||||||||
BlueLinx Holdings, Inc. (a) | 2,100 | 61,446 | ||||||||
Build-A-Bear Workshop, Inc. (a) | 1,300 | 5,551 | ||||||||
Caleres, Inc. | 500 | 7,825 | ||||||||
Children’s Place, Inc. (a) | 3,300 | 165,330 | ||||||||
Citi Trends, Inc. (a) | 1,900 | 94,392 | ||||||||
Conn’s, Inc. (a) | 6,400 | 74,816 | ||||||||
Container Store Group, Inc. (The) (a) | 300 | 2,862 | ||||||||
Designer Brands, Inc., Class A (a) | 600 | 4,590 | ||||||||
Dick’s Sporting Goods, Inc. | 10,600 | 595,826 | ||||||||
Duluth Holdings, Inc., Class B(a) | 1,200 | 12,672 | ||||||||
eBay, Inc. | 50,200 | 2,522,550 | ||||||||
Etsy, Inc. (a),(c) | 17,000 | 3,024,470 | ||||||||
Foot Locker, Inc. | 18,800 | 760,272 | ||||||||
Foundation Building Materials, Inc. (a) | 2,550 | 48,986 | ||||||||
Gaia, Inc. (a) | 800 | 7,904 | ||||||||
Gap, Inc. | 86,000 | 1,736,340 | ||||||||
GMS, Inc. (a) | 200 | 6,096 | ||||||||
Home Depot, Inc. (c) | 30,100 | 7,995,162 | ||||||||
Kirkland’s, Inc. (a) | 3,200 | 57,216 | ||||||||
Kohl’s Corp. (a) | 31,600 | 1,285,804 | ||||||||
L Brands, Inc. (a) | 17,600 | 654,544 | ||||||||
Leslie’s, Inc. (a) | 100 | 2,775 | ||||||||
Liquidity Services, Inc. (a) | 1,500 | 23,865 | ||||||||
Lowe’s Cos., Inc. (c) | 42,900 | 6,885,879 | ||||||||
Macy’s, Inc. (a) | 1,000 | 11,250 | ||||||||
Michaels Cos., Inc. (The) (a) | 33,900 | 441,039 | ||||||||
Nordstrom, Inc. (a) | 1 | 31 | ||||||||
O’Reilly Automotive, Inc. (a),(c) | 4,100 | 1,855,537 | ||||||||
Party City Holdco, Inc. (a) | 25,400 | 156,210 | ||||||||
Qurate Retail, Inc., Class A | 53,834 | 590,559 |
See Notes to Consolidated Schedule of Investments.
24
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
December 31, 2020 (Unaudited)
Security Description | Shares | Value | ||||||||
RealReal, Inc. (The) (a) | 500 | $ | 9,770 | |||||||
Revolve Group, Inc. (a) | 5,900 | 183,903 | ||||||||
ScanSource, Inc. (a) | 100 | 2,638 | ||||||||
Shoe Carnival, Inc. | 800 | 31,344 | ||||||||
Sportsman’s Warehouse Holdings, Inc. (a) | 9,200 | 161,460 | ||||||||
Tiffany & Co. (c) | 23,300 | 3,062,785 | ||||||||
TJX Cos., Inc. | 6,600 | 450,714 | ||||||||
Tractor Supply Co. | 8,600 | 1,208,988 | ||||||||
Turmeric Acquisition Corp. (a),(b) | 202,705 | 2,081,780 | ||||||||
Vera Bradley, Inc. (a) | 3,600 | 28,656 | ||||||||
Veritiv Corp. (a) | 1,000 | 20,790 | ||||||||
Wayfair, Inc., Class A (a),(c) | 16,700 | 3,771,027 | ||||||||
|
| |||||||||
46,463,128 | ||||||||||
|
| |||||||||
Semiconductors — 0.1% | ||||||||||
Alpha & Omega Semiconductor Ltd. (a) | 300 | 7,092 | ||||||||
Ambarella, Inc. (a) | 1,700 | 156,094 | ||||||||
AXT, Inc. (a) | 900 | 8,613 | ||||||||
DSP Group, Inc. (a) | 1,900 | 31,521 | ||||||||
MACOM Technology Solutions Holdings, Inc. (a) | 2,432 | 133,857 | ||||||||
MaxLinear, Inc., Class A (a) | 7,200 | 274,968 | ||||||||
NeoPhotonics Corp. (a) | 6,900 | 62,721 | ||||||||
NVIDIA Corp. | 10,400 | 5,430,880 | ||||||||
Pixelworks, Inc. (a) | 9,000 | 25,380 | ||||||||
|
| |||||||||
6,131,126 | ||||||||||
|
| |||||||||
Software — 0.5% | ||||||||||
Agilysys, Inc. (a) | 1,800 | 69,084 | ||||||||
Avaya Holdings Corp. (a) | 19,100 | 365,765 | ||||||||
Avid Technology, Inc. (a) | 7,600 | 120,612 | ||||||||
Bandwidth, Inc., Class A (a) | 100 | 15,367 | ||||||||
Benefitfocus, Inc. (a) | 6,100 | 88,328 | ||||||||
Black Knight, Inc. (a) | 7,200 | 636,120 | ||||||||
Blackline, Inc. (a),(c) | 1,800 | 240,084 | ||||||||
Box, Inc., Class A (a),(c) | 33,400 | 602,870 | ||||||||
Brightcove, Inc. (a) | 4,000 | 73,600 | ||||||||
Calix, Inc. (a) | 8,100 | 241,056 | ||||||||
Castlight Health, Inc., Class B (a) | 10,600 | 13,780 | ||||||||
Ceridian HCM Holding, Inc. (a) | 5,100 | 543,456 | ||||||||
Cornerstone OnDemand, Inc. (a),(c) | 8,600 | 378,744 | ||||||||
Covetrus, Inc. (a) | 7,900 | 227,046 | ||||||||
Crowdstrike Holdings, Inc. (a),(c) | 38,700 | 8,197,434 | ||||||||
Digital Turbine, Inc. (a) | 100 | 5,656 | ||||||||
Donnelley Financial Solutions, Inc. (a) | 2,500 | 42,425 | ||||||||
Dropbox, Inc., Class A (a),(c) | 23,700 | 525,903 | ||||||||
eGain Corp. (a) | 2,900 | 34,249 | ||||||||
Evolent Health, Inc., Class A (a) | �� | 12,600 | 201,978 | |||||||
FireEye, Inc. (a) | 3,700 | 85,322 | ||||||||
Limelight Networks, Inc. (a) | 28,200 | 112,518 | ||||||||
Mimecast Ltd. (a) | 4,200 | 238,728 |
See Notes to Consolidated Schedule of Investments.
25
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
December 31, 2020 (Unaudited)
Security Description | Shares | Value | ||||||||
New Relic, Inc. (a),(c) | 10,600 | $ | 693,240 | |||||||
NextGen Healthcare, Inc. (a) | 2,400 | 43,776 | ||||||||
Nutanix, Inc., Class A (a) | 100 | 3,187 | ||||||||
Paylocity Holding Corp. (a),(c) | 4,500 | 926,595 | ||||||||
Phreesia, Inc. (a) | 400 | 21,704 | ||||||||
PROS Holdings, Inc. (a) | 4,500 | 228,465 | ||||||||
QAD, Inc., Class A | 300 | 18,954 | ||||||||
SecureWorks Corp., Class A (a) | 1,500 | 21,330 | ||||||||
SPS Commerce, Inc. (a) | 1,100 | 119,449 | ||||||||
SVMK, Inc. (a) | 13,000 | 332,150 | ||||||||
Synchronoss Technologies, Inc. (a) | 400 | 1,880 | ||||||||
Tenable Holdings, Inc. (a) | 500 | 26,130 | ||||||||
Teradata Corp. (a),(c) | 13,900 | 312,333 | ||||||||
Verra Mobility Corp. (a) | 15,800 | 212,036 | ||||||||
Workiva, Inc. (a) | 2,800 | 256,536 | ||||||||
Zoom Video Communications, Inc., Class A (a),(c) | 22,500 | 7,589,700 | ||||||||
Zovio, Inc. (a) | 2,700 | 12,798 | ||||||||
Zscaler, Inc. (a) | 7,500 | 1,497,825 | ||||||||
|
| |||||||||
25,378,213 | ||||||||||
|
| |||||||||
Software & Technology Services — 0.5% | ||||||||||
1Life Healthcare, Inc. (a) | 9,000 | 392,850 | ||||||||
8x8, Inc. (a) | 2,800 | 96,516 | ||||||||
American Software, Inc., Class A | 100 | 1,717 | ||||||||
Apollo Medical Holdings, Inc. (a) | 100 | 1,827 | ||||||||
Automatic Data Processing, Inc. (c) | 1,000 | 176,200 | ||||||||
Bottomline Technologies, Inc. (a),(b) | 179,179 | 9,449,900 | ||||||||
Cardtronics plc, Class A (a) | 1,400 | 49,420 | ||||||||
Cerence Inc. (a) | 100 | 10,048 | ||||||||
ChannelAdvisor Corp. (a) | 3,200 | 51,136 | ||||||||
Conduent, Inc. (a) | 42,500 | 204,000 | ||||||||
CSG Systems International, Inc. | 300 | 13,521 | ||||||||
Digi International, Inc. (a) | 600 | 11,340 | ||||||||
Domo, Inc., Class B (a) | 6,100 | 388,997 | ||||||||
Dynatrace, Inc. (a) | 20,100 | 869,727 | ||||||||
Ebix, Inc. | 1,400 | 53,158 | ||||||||
Evertec, Inc. | 100 | 3,932 | ||||||||
FactSet Research Systems, Inc. | 600 | 199,500 | ||||||||
FleetCor Technologies, Inc. (a) | 800 | 218,264 | ||||||||
Fortinet, Inc. (a) | 8,400 | 1,247,652 | ||||||||
Guidewire Software, Inc. (a) | 100 | 12,873 | ||||||||
HubSpot, Inc. (a) | 2,000 | 792,880 | ||||||||
I3 Verticals, Inc., Class A (a),(b) | 46,801 | 1,553,793 | ||||||||
Immersion Corp. (a) | 5,200 | 58,708 | ||||||||
International Business Machines Corp. | 100 | 12,445 | ||||||||
Jack Henry & Associates, Inc. | 1,700 | 275,383 | ||||||||
LivePerson, Inc. (a) | 300 | 18,669 | ||||||||
Manhattan Associates, Inc. (a) | 100 | 10,518 | ||||||||
Microsoft Corp. (b),(c) | 11,600 | 2,579,480 | ||||||||
Model N, Inc. (a) | 6,000 | 214,080 |
See Notes to Consolidated Schedule of Investments.
26
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
December 31, 2020 (Unaudited)
Security Description | Shares | Value | ||||||||
Oracle Corp. | 1,100 | $ | 71,159 | |||||||
PDF Solutions, Inc. (a) | 1,500 | 32,400 | ||||||||
PFSweb, Inc. (a) | 800 | 5,384 | ||||||||
Progress Software Corp. | 1,800 | 81,342 | ||||||||
Proofpoint, Inc. (a) | 2,400 | 327,384 | ||||||||
Qualys, Inc. (a) | 100 | 12,187 | ||||||||
Rapid7, Inc. (a) | 1,200 | 108,192 | ||||||||
RealPage, Inc. (a) | 1,300 | 113,412 | ||||||||
S&P Global, Inc. | 3,600 | 1,183,428 | ||||||||
SeaChange International, Inc. (a) | 3,300 | 4,620 | ||||||||
Smith Micro Software, Inc. (a) | 600 | 3,252 | ||||||||
Square, Inc, Class A (a),(c) | 10,600 | 2,306,984 | ||||||||
Varonis Systems, Inc. (a) | 1,600 | 261,776 | ||||||||
Veritone, Inc. (a) | 3,700 | 105,265 | ||||||||
Virtusa Corp. (a) | 500 | 25,565 | ||||||||
VMware, Inc., Class A (a) | 7,600 | 1,065,976 | ||||||||
|
| |||||||||
24,676,860 | ||||||||||
|
| |||||||||
Specialty Finance — 1.0% | ||||||||||
Altisource Portfolio Solutions SA (a) | 1,000 | 12,880 | ||||||||
Ares Commercial Real Estate Corp. | 6,100 | 72,651 | ||||||||
Blackstone Mortgage Trust, Inc., Class A | 700 | 19,271 | ||||||||
Capstead Mortgage Corp. | 5,500 | 31,955 | ||||||||
Curo Group Holdings Corp. | 3,500 | 50,155 | ||||||||
Elevate Credit, Inc. (a) | 800 | 3,192 | ||||||||
Enova International, Inc. (a) | 3,339 | 82,707 | ||||||||
Exantas Capital Corp. | 7,300 | 29,127 | ||||||||
Fidelity National Financial, Inc. (c) | 29,317 | 1,146,002 | ||||||||
Fidelity National Information Services, Inc. (b) | 196,757 | 27,833,245 | ||||||||
First American Financial Corp. | 13,800 | 712,494 | ||||||||
Global Payments, Inc. (b) | 71,641 | 15,432,904 | ||||||||
Great Ajax Corp. | 200 | 2,092 | ||||||||
Green Dot Corp., Class A (a) | 8,500 | 474,300 | ||||||||
Invesco Mortgage Capital, Inc. | 3 | 10 | ||||||||
LendingClub Corp. (a) | 800 | 8,448 | ||||||||
LendingTree, Inc. (a) | 500 | 136,895 | ||||||||
MFA Financial, Inc. | 25,500 | 99,195 | ||||||||
MoneyGram International, Inc. (a) | 2,500 | 13,663 | ||||||||
Mr Cooper Group, Inc. (a) | 9 | 279 | ||||||||
Navient Corp. | 1,200 | 11,784 | ||||||||
New Residential Investment Corp. | 2,100 | 20,874 | ||||||||
NewStar Financial, Inc. (a) | 100 | 0 | ||||||||
Orchid Island Capital, Inc. | 16,600 | 86,652 | ||||||||
Paysign, Inc. (a) | 300 | 1,392 | ||||||||
PennyMac Mortgage Investment Trust | 5,700 | 100,263 | ||||||||
Premier Financial Corp. | 1,548 | 35,604 | ||||||||
Starwood Property Trust, Inc. | 25,800 | 497,940 | ||||||||
Synchrony Financial | 14,500 | 503,295 | ||||||||
TPG RE Finance Trust, Inc. | 8,500 | 90,270 | ||||||||
Two Harbors Investment Corp. | 7,300 | 46,501 |
See Notes to Consolidated Schedule of Investments.
29
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
December 31, 2020 (Unaudited)
Security Description | Shares | Value | ||||||||
Visa, Inc., Class A (c) | 19,400 | $ | 4,243,362 | |||||||
Walker & Dunlop, Inc. | 100 | 9,202 | ||||||||
Western Asset Mortgage Capital Corp. | 13,900 | 45,314 | ||||||||
WEX, Inc. (a) | 700 | 142,471 | ||||||||
|
| |||||||||
51,996,389 | ||||||||||
|
| |||||||||
Tech Hardware & Semiconductors — 0.1% | ||||||||||
A10 Networks, Inc. (a) | 11,800 | 116,348 | ||||||||
Acacia Communications, Inc. (a) | 8,500 | 620,160 | ||||||||
Amkor Technology, Inc. | 14,100 | 212,628 | ||||||||
Amtech Systems, Inc. (a) | 100 | 638 | ||||||||
Arlo Technologies, Inc. (a) | 6,300 | 49,077 | ||||||||
Avnet, Inc. (c) | 13,200 | 463,452 | ||||||||
Axcelis Technologies, Inc. (a) | 3,150 | 91,728 | ||||||||
CalAmp Corp. (a) | 2,300 | 22,816 | ||||||||
CEVA, Inc. (a) | 1,300 | 59,150 | ||||||||
Comtech Telecommunications Corp. | 900 | 18,621 | ||||||||
Corning, Inc. | 900 | 32,400 | ||||||||
Daktronics, Inc. (a) | 2,600 | 12,168 | ||||||||
Diebold Nixdorf, Inc. (a) | 2,600 | 27,716 | ||||||||
EMCORE Corp. (a) | 700 | 3,815 | ||||||||
Everspin Technologies, Inc. (a) | 100 | 460 | ||||||||
Impinj, Inc. (a) | 3,800 | 159,106 | ||||||||
Intel Corp. | 8,100 | 403,542 | ||||||||
Kopin Corp. (a) | 200 | 486 | ||||||||
Micron Technology, Inc. (a) | 7,300 | 548,814 | ||||||||
Motorola Solutions, Inc. | 100 | 17,006 | ||||||||
One Stop Systems, Inc. (a) | 300 | 1,200 | ||||||||
Photronics, Inc. (a) | 2,900 | 32,364 | ||||||||
Pitney Bowes, Inc. | 5,500 | 33,880 | ||||||||
Plantronics, Inc. (a) | 100 | 2,703 | ||||||||
Power Integrations, Inc. | 1,200 | 98,232 | ||||||||
QUALCOMM, Inc. | 1,200 | 182,808 | ||||||||
Rambus, Inc. (a) | 10,500 | 183,330 | ||||||||
Sonim Technologies, Inc. (a) | 3,600 | �� | 2,606 | |||||||
Teradyne, Inc. | 2,000 | 239,780 | ||||||||
TTM Technologies, Inc. (a) | 9,200 | 126,914 | ||||||||
Turtle Beach Corp. (a) | 3,400 | 73,270 | ||||||||
Ultra Clean Holdings, Inc. (a) | 500 | 15,575 | ||||||||
Veeco Instruments, Inc. (a) | 8,230 | 142,873 | ||||||||
|
| |||||||||
3,995,666 | ||||||||||
|
| |||||||||
Technology Services — 0.0% | ||||||||||
comScore, Inc. (a) | 4,600 | 11,454 | ||||||||
CoreLogic, Inc. | 1,100 | 85,052 | ||||||||
DXC Technology Co. (a) | 10,901 | 280,701 | ||||||||
Genpact Ltd. | 9,500 | 392,920 | ||||||||
Perficient, Inc. (a) | 1,000 | 47,650 | ||||||||
Sabre Corp. (a) | 72,500 | 871,450 |
See Notes to Consolidated Schedule of Investments.
30
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
December 31, 2020 (Unaudited)
Security Description | Shares | Value | ||||||||
ServiceSource International, Inc. (a) | 3,000 | $ | 5,280 | |||||||
|
| |||||||||
1,694,507 | ||||||||||
|
| |||||||||
Telecommunications — 0.0% | ||||||||||
Aspire Holdings LLC, Class A (a),(b) | 1,502,082 | 2 | ||||||||
ESC NII Holdings, Inc. (a) | 50,677 | 109,969 | ||||||||
IDT Corp., Class B (a) | 1,000 | 12,360 | ||||||||
Ooma, Inc. (a) | 1,700 | 24,480 | ||||||||
ORBCOMM, Inc. (a) | 8,600 | 63,812 | ||||||||
Spok Holdings, Inc. | 1,100 | 12,243 | ||||||||
Switch, Inc., Class A (c) | 19,000 | 311,030 | ||||||||
Verizon Communications, Inc. | 7,100 | 417,125 | ||||||||
Zix Corp. (a) | 300 | 2,589 | ||||||||
|
| |||||||||
953,610 | ||||||||||
|
| |||||||||
Transportation & Logistics — 0.0% | ||||||||||
CH Robinson Worldwide, Inc. | 1 | 94 | ||||||||
Covenant Transportation Group, Inc., Class A (a) | 2,000 | 29,620 | ||||||||
Genco Shipping & Trading Ltd. | 100 | 736 | ||||||||
Radiant Logistics, Inc. (a) | 3,000 | 17,400 | ||||||||
US Xpress Enterprises, Inc., Class A (a) | 400 | 2,736 | ||||||||
|
| |||||||||
50,586 | ||||||||||
|
| |||||||||
Utilities — 0.3% | ||||||||||
Alliant Energy Corp. | 200 | 10,306 | ||||||||
Ameren Corp. (b),(c) | 3,336 | 260,408 | ||||||||
American Electric Power Co., Inc. (b),(c) | 4,219 | 351,316 | ||||||||
American Water Works Co., Inc. (b),(c) | 1,643 | 252,151 | ||||||||
Atlantic Power Corp. (a) | 5,700 | 11,970 | ||||||||
CMS Energy Corp. (b),(c) | 27,033 | 1,649,283 | ||||||||
Consolidated Water Co. Ltd. | 800 | 9,640 | ||||||||
Duke Energy Corp. (b),(c) | 7,736 | 708,308 | ||||||||
Entergy Corp. (b),(c) | 2,676 | 267,172 | ||||||||
Evergy, Inc. (b),(c) | 2,871 | 159,369 | ||||||||
Eversource Energy (b),(c) | 4,144 | 358,498 | ||||||||
Evoqua Water Technologies Corp. (a) | 1,400 | 37,772 | ||||||||
Exelon Corp. (c) | 49,800 | 2,102,556 | ||||||||
FirstEnergy Corp. (b),(c) | 61,612 | 1,885,943 | ||||||||
IDACORP, Inc. | 1,100 | 105,633 | ||||||||
NextEra Energy Partners LP | 300 | 20,115 | ||||||||
NextEra Energy, Inc. (b),(c) | 9,584 | 739,406 | ||||||||
NiSource, Inc. (b),(c) | 5,157 | 118,302 | ||||||||
NorthWestern Corp. | 200 | 11,662 | ||||||||
OGE Energy Corp. | 5,200 | 165,672 | ||||||||
Otter Tail Corp. | 200 | 8,522 | ||||||||
PG&E Corp. (a),(b) | 220,374 | 2,745,860 | ||||||||
Pinnacle West Capital Corp. (b),(c) | 1,412 | 112,890 | ||||||||
Public Service Enterprise Group, Inc. (c) | 2,800 | 163,240 | ||||||||
Southern Co. (b) | 4,417 | 271,336 |
See Notes to Consolidated Schedule of Investments.
31
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
December 31, 2020 (Unaudited)
Security Description | Shares | Value | ||||||||||
WEC Energy Group, Inc. (b),(c) | 3,184 | $ | 293,024 | |||||||||
Xcel Energy, Inc. (b),(c) | 3,293 | 219,544 | ||||||||||
|
| |||||||||||
13,039,898 | ||||||||||||
|
| |||||||||||
Waste & Environmental Services & Equipment — 0.0% | ||||||||||||
Heritage-Crystal Clean, Inc. (a) | 700 | 14,749 | ||||||||||
Pentair PLC | 500 | 26,545 | ||||||||||
US Ecology, Inc. (a) | 600 | 21,798 | ||||||||||
Waste Management, Inc. (c) | 15,300 | 1,804,329 | ||||||||||
|
| |||||||||||
1,867,421 | ||||||||||||
|
| |||||||||||
Total North America | 1,313,509,605 | |||||||||||
|
| |||||||||||
Oceania — 0.0% | ||||||||||||
Health Care — 0.0% | ||||||||||||
Benitec Biopharma, Inc. (a) | 900 | 2,700 | ||||||||||
|
| |||||||||||
Total Oceania | 2,700 | |||||||||||
|
| |||||||||||
South America — 0.0% | ||||||||||||
Materials — 0.0% | ||||||||||||
Braskem SA, ADR (a) | 100 | 901 | ||||||||||
|
| |||||||||||
Metals & Mining — 0.0% | ||||||||||||
Yamana Gold, Inc. | 15,000 | 85,650 | ||||||||||
|
| |||||||||||
Oil, Gas & Coal — 0.0% | ||||||||||||
Geopark Ltd. | 1,500 | 19,485 | ||||||||||
|
| |||||||||||
Software & Technology Services — 0.0% | ||||||||||||
Atento SA (a) | 319 | 4,339 | ||||||||||
|
| |||||||||||
Total South America | 110,375 | |||||||||||
|
| |||||||||||
TOTAL COMMON STOCK | 1,350,385,922 | |||||||||||
|
| |||||||||||
PREFERRED STOCK — 0.1% | ||||||||||||
North America — 0.1% | ||||||||||||
Real Estate — 0.0% | ||||||||||||
EPR Properties (b) | 98,450 | 2,303,058 | ||||||||||
|
| |||||||||||
Retail - Discretionary — 0.1% | ||||||||||||
Guitar Center, Inc. (a),(b),(d) | 38,645 | 4,241,289 | ||||||||||
|
| |||||||||||
Total North America | 6,544,347 | |||||||||||
|
| |||||||||||
TOTAL PREFERRED STOCK | 6,544,347 | |||||||||||
|
|
See Notes to Consolidated Schedule of Investments.
32
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
December 31, 2020 (Unaudited)
Security Description | Principal Amount | Value | ||||||||||
ASSET-BACKED SECURITIES — 6.3% | ||||||||||||
Europe — 0.1% | ||||||||||||
Banco Santander SA, Series 1, Class G, 10.00%, 09/25/26 (b),(e) | $ | 5,886,741 | $ | 6,081,474 | ||||||||
|
| |||||||||||
Total Europe | 6,081,474 | |||||||||||
|
| |||||||||||
North America — 6.2% | ||||||||||||
ACIS CLO Ltd., Series 2015-6A, Class D, 3 mo. USD LIBOR + 3.77%, | 2,000,000 | 1,990,862 | ||||||||||
AIG CLO Ltd., Series 2019-2A, Class E, 3 mo. USD LIBOR + 7.25%, | 250,000 | 249,046 | ||||||||||
Alinea CLO Ltd., Series 2018-1A, Class D, 3 mo. USD LIBOR + 3.10%, | 3,500,000 | 3,436,198 | ||||||||||
Allegro CLO Ltd., Series 2014-1RA, Class C, 3 mo. USD LIBOR + 3.00%, | 3,000,000 | 2,843,193 | ||||||||||
AMMC CLO 22 Ltd., Series 2018-22A, Class D, 3 mo. USD LIBOR + 2.70%, | 750,000 | 725,643 | ||||||||||
Annisa CLO Ltd., Series 2016-2A, Class DR, 3.22%, 07/20/31 (b),(f),(g) | 250,000 | 242,891 | ||||||||||
Arbor Realty Collateralized Loan Obligation Ltd., Series 2020-FL1, Class C, 1 mo. | 1,792,000 | 1,751,814 | ||||||||||
Ares LIV CLO Ltd., Series 2019-54A, Class E, 3 mo. USD LIBOR + 7.34%, | 250,000 | 247,548 | ||||||||||
Ares XLIX CLO Ltd., Series 2018-49A, Class D, 3 mo. USD LIBOR + 3.00%, 3.22%, 07/22/30 (b),(f),(g) | 300,000 | 292,959 | ||||||||||
Ares XXVII CLO Ltd., Series 2013-2A, Class CR, 3 mo. USD LIBOR + 2.40%, 2.62%, 07/28/29 (b),(f),(g) | 250,000 | 248,836 | ||||||||||
Ares XXXIIR CLO Ltd., Series 2014-32RA, Class B, 3 mo. USD LIBOR + 1.80%, | 750,000 | 727,428 | ||||||||||
Atlas Senior Loan Fund Ltd., Series 2014-1A, Class DR2, 3 mo. | 2,000,000 | 1,837,354 | ||||||||||
Avant Loans Funding Trust, | ||||||||||||
Series 2019-A, Class C, 4.65%, 04/15/26 (b),(c),(f) | 3,403,000 | 3,378,352 | ||||||||||
Series 2019-B, Class C, 4.54%, 10/15/26 (b),(f) | 637,000 | 643,211 | ||||||||||
Barings Clo Ltd., Series 2020-2A, Class E2, 3 mo. USD LIBOR + 7.90%, | 1,000,000 | 994,736 | ||||||||||
Benefit Street Partners CLO Ltd., Series 2016-10A, Class CR, 3 mo. | 3,500,000 | 3,359,580 | ||||||||||
Benefit Street Partners CLO XIX Ltd., Series 2019-19A, Class C, 3 mo. | 1,000,000 | 1,001,912 | ||||||||||
Birch Grove CLO Ltd., Series 19A, Class D, 3 mo. USD LIBOR + 3.90%, | 1,500,000 | 1,496,654 | ||||||||||
Black Diamond CLO Ltd., Series 2017-1A, Class C, 3 mo. USD LIBOR + 3.95%, | 4,250,000 | 4,054,827 | ||||||||||
BlueMountain CLO Ltd., Series 2016-2A, Class C1R, 3 mo. USD LIBOR + 4.00%, | 500,000 | 500,138 | ||||||||||
Brookside Mill CLO Ltd., Series 2013-1A, Class DR, 3 mo. USD LIBOR + 2.65%, | 4,000,000 | 3,777,360 | ||||||||||
California Street CLO LP, Series 2012-9A, Class D1R2, 3 mo. USD LIBOR + 3.70%, | 3,000,000 | 2,974,416 | ||||||||||
Canyon Capital CLO Ltd., Series 2016-1A, Class CR, 3 mo. USD LIBOR + 1.90%, | 500,000 | 488,964 |
See Notes to Consolidated Schedule of Investments.
33
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
December 31, 2020 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Carlyle Global Market Strategies CLO Ltd., | ||||||||||
Series 2014-1A, Class DR, 3 mo. USD LIBOR + 2.60%, 2.82%, 04/17/31 (b),(c),(f),(g) | $ | 3,000,000 | $ | 2,630,490 | ||||||
Series 2015-1A, Class DR2, 3 mo. USD LIBOR + 3.65%, 3.87%, 07/20/31 (b),(c),(f),(g) | 2,000,000 | 1,878,512 | ||||||||
CarVal CLO Ltd., | ||||||||||
Series 2019-1X, Class D, 4.37%, 04/20/32 (b),(e),(g) | 500,000 | 499,695 | ||||||||
Series 2019-2A, Class D, 3 mo. USD LIBOR + 3.70%, 3.92%, 07/20/32 (b),(c),(f),(g) | 6,000,000 | 6,000,828 | ||||||||
Carvana Auto Receivables Trust, | ||||||||||
Series 2019-2A, Class E, 5.01%, 04/15/26 (b),(f),(h) | 1,125,000 | 1,181,438 | ||||||||
Series 2019-3A, Class E, 4.60%, 07/15/26 (b),(f),(h) | 1,592,000 | 1,655,865 | ||||||||
Series 2019-4A, Class E, 4.70%, 10/15/26 (b),(f),(h) | 1,181,000 | 1,234,590 | ||||||||
Series 2020-N1A, Class E, 5.20%, 07/15/27 (b),(c),(f) | 5,312,000 | 5,534,371 | ||||||||
Catamaran CLO Ltd., | ||||||||||
Series 2013-1A, Class DR, 3 mo. USD LIBOR + 2.80%, | 5,235,000 | 4,944,908 | ||||||||
Series 2014-1A, Class CR, 3 mo. USD LIBOR + 3.43%, | 3,100,000 | 2,970,680 | ||||||||
Series 2015-1A, Class DR, 3 mo. USD LIBOR + 2.80%, | 1,000,000 | 966,273 | ||||||||
Series 2015-1A, Class E, 3 mo. USD LIBOR + 5.15%, | 2,500,000 | 2,261,965 | ||||||||
Series 2016-1A, Class C, 3 mo. USD LIBOR + 3.85%, | 3,500,000 | 3,406,256 | ||||||||
Cent CLO Ltd., Series 2014-21A, Class CR2, 3 mo. USD LIBOR + 3.20%, | 4,200,000 | 3,993,158 | ||||||||
CIFC Funding Ltd., | ||||||||||
Series 2013-1A, Class DR, 3 mo. USD LIBOR + 6.65%, | 3,000,000 | 2,769,012 | ||||||||
Series 2014-2RA, Class B1, 3.01%, 04/24/30 (b),(f),(g) | 250,000 | 244,482 | ||||||||
Series 2015-5A, Class CR, 3 mo. USD LIBOR + 2.95%, | 4,000,000 | 3,798,960 | ||||||||
Series 2016-1A, Class D1R, 3 mo. USD LIBOR + 4.00%, | 1,000,000 | 999,951 | ||||||||
Series 2019-4A, Class C, 3 mo. USD LIBOR + 3.50%, | 1,000,000 | 988,362 | ||||||||
Colony American Finance Ltd., Series 2018-1, Class D, 4.92%, 06/15/51 (b),(c),(f) | 708,000 | 753,379 | ||||||||
CoreVest American Finance Trust, | ||||||||||
Series 2017-2 SEQ, Class M, 5.62%, 12/25/27 (b),(f) | 459,000 | 486,900 | ||||||||
Series 2019-1, Class D, 4.82%, 03/15/52 (b),(f) | 152,000 | 155,973 | ||||||||
Series 2019-1, Class E, 5.49%, 03/15/52 (b),(f) | 196,000 | 212,032 | ||||||||
Series 2019-2, Class XA, 2.38%, 06/15/52 (b),(c),(f),(g),(i) | 17,291,278 | 1,643,173 | ||||||||
Series 2019-2, Class D, 4.22%, 06/15/52 (b),(f) | 476,000 | 517,255 | ||||||||
Series 2019-2, Class E, 5.22%, 06/15/52 (b),(c),(f),(g) | 699,000 | 696,445 | ||||||||
Series 2019-3, Class XA, 2.03%, 10/15/52 (b),(c),(f),(g),(i) | 15,371,591 | 1,285,465 | ||||||||
Series 2019-3, Class D, 3.76%, 10/15/52 (b),(f) | 100,000 | 93,222 | ||||||||
Series 2019-3, Class E, 4.74%, 10/15/52 (b),(f),(g) | 124,000 | 132,835 | ||||||||
Series 2020-1, Class E, 4.67%, 03/15/50 (b),(f),(g) | 100,000 | 101,657 |
See Notes to Consolidated Schedule of Investments.
34
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
December 31, 2020 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Series 2020-4, Class XB, 2.83%, 12/15/52 (b),(f),(g),(i) | $ | 1,000,000 | $ | 155,000 | ||||||
Series 2020-4, Class XA, 3.87%, 12/15/52 (b),(f),(g),(i) | 1,000,000 | 157,500 | ||||||||
Covenant Credit Partners CLO Ltd., Series 2017-1A, Class D, 3 mo. | 3,800,000 | 3,574,166 | ||||||||
Cutwater Ltd., | ||||||||||
Series 2014-2A, Class CR, 3 mo. USD LIBOR + 3.75%, | 5,000,000 | 4,818,320 | ||||||||
Series 2015-1A, Class DR, 3 mo. USD LIBOR + 3.45%, | 4,000,000 | 3,545,708 | ||||||||
Denali Capital CLO Ltd., Series 2013-1A, Class B2LR, 3 mo. USD LIBOR + 4.75%, | 1,000,000 | 810,248 | ||||||||
Drive Auto Receivables Trust, Series 2019-3, Class C, 2.90%, 08/15/25 (b),(c) | 3,250,000 | 3,347,338 | ||||||||
Dryden 65 CLO Ltd., Series 2018-65A, Class D, 3.32%, 07/18/30 (b),(f),(g) | 500,000 | 491,464 | ||||||||
Dryden 80 CLO Ltd., Series 2019-80A, Class D1, 3 mo. USD LIBOR + 4.10%, | 250,000 | 250,002 | ||||||||
Dryden CLO Ltd., Series 2019-75A, Class DR, 3 mo. USD LIBOR + 3.55%, | 4,750,000 | 4,749,026 | ||||||||
DT Auto Owner Trust, | ||||||||||
Series 2019-2A, Class E, 4.46%, 05/15/26 (b),(f),(h) | 1,775,000 | 1,828,749 | ||||||||
Series 2019-4A, Class E, 3.93%, 10/15/26 (b),(f),(h) | 925,000 | 945,816 | ||||||||
Series 2020-1A, Class E, 3.48%, 02/16/27 (b),(f),(h) | 1,595,000 | 1,611,137 | ||||||||
Elm CLO Ltd., Series 2014-1A, Class BRR, 3 mo. USD LIBOR + 1.75%, | 500,000 | 501,174 | ||||||||
Evans Grove CLO Ltd., Series 2018-1A, Class D, 3 mo. USD LIBOR + 3.20%, | 5,000,000 | 4,502,050 | ||||||||
Fort Washington CLO, | ||||||||||
Series 2019-1A, Class D1, 3 mo. USD LIBOR + 3.90%, | 1,000,000 | 997,733 | ||||||||
Series 2019-1A, Class E, 3 mo. USD LIBOR + 7.25%, 7.47%, 10/20/32 (b),(f),(g) | 500,000 | 491,232 | ||||||||
Gallatin Loan Management, | ||||||||||
Series 2017-1A, Class D, 3 mo. USD LIBOR + 3.25%, | 7,500,000 | 7,134,952 | ||||||||
Series 2018-1A, Class D1, 3 mo. USD LIBOR + 3.10%, | 4,500,000 | 4,392,144 | ||||||||
Garrison Funding Ltd., Series 2015-1A, Class CR, 3 mo. USD LIBOR + 3.90%, | 4,000,000 | 3,920,764 | ||||||||
Genesis Private Label Amortizing Trust, Series 2020-1, Class C, 4.19%, 07/20/30 (b),(f) | 251,000 | 252,772 | ||||||||
GLS Auto Receivables Issuer Trust, | ||||||||||
Series 2019-2A, Class D, 4.52%, 02/17/26 (b),(c),(f) | 1,510,000 | 1,566,068 | ||||||||
Series 2019-3A, Class D, 3.84%, 05/15/26 (b),(c),(f) | 1,457,000 | 1,500,931 | ||||||||
Series 2019-4A, Class D, 4.09%, 08/17/26 (b),(c),(f) | 900,000 | 923,757 | ||||||||
Series 2020-1A, Class D, 3.68%, 11/16/26 (b),(c),(f) | 1,790,000 | 1,818,466 | ||||||||
Series 2020-2A, Class C, 4.57%, 04/15/26 (b),(c),(f) | 778,000 | 832,082 | ||||||||
Greywolf CLO III Ltd., Series 2020-3RA, Class CR, 3 mo. USD LIBOR + 3.35%, 3.57%, 04/15/33 (b),(c),(f),(g) | 5,000,000 | 4,843,655 | ||||||||
Halsey Point CLO Ltd., Series 2020-3A, Class D1, 3 mo. USD LIBOR + 4.25%, 4.43%, 11/30/32 (b),(c),(f),(g) | 1,000,000 | 1,000,160 |
See Notes to Consolidated Schedule of Investments.
35
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
December 31, 2020 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Harbourview CLO Ltd., Series 7RA, Class D, 3 mo. USD LIBOR + 3.36%, 3.58%, 07/18/31 (b),(c),(f),(g) | $ | 4,036,721 | $ | 3,361,353 | ||||||
Highbridge Loan Management Ltd., | ||||||||||
Series 4A-2014, Class BR, 3 mo. USD LIBOR + 1.85%, | 500,000 | 486,990 | ||||||||
Series 7A-2015, Class DR, 3 mo. USD LIBOR + 2.40%, | 1,000,000 | 913,084 | ||||||||
ICG US CLO Ltd., Series 2016-1A, Class CR, 3 mo. USD LIBOR + 3.05%, | 1,000,000 | 954,270 | ||||||||
Jamestown CLO Ltd., | ||||||||||
Series 2015-7A, Class CR, 3 mo. USD LIBOR + 2.60%, | 1,500,000 | 1,475,438 | ||||||||
Series 2018-11A, Class C, 3 mo. USD LIBOR + 3.25%, | 2,000,000 | 1,954,352 | ||||||||
Jamestown CLO XV Ltd., Series 2020-15A, Class D, 3 mo. USD LIBOR + 3.65%, 3.89%, 04/15/33 (b),(c),(f),(g) | 5,000,000 | 5,010,815 | ||||||||
JMP Credit Advisors CLO Ltd., Series 2014-1RA, Class D, 3 mo. USD LIBOR + 2.60%, 2.82%, 01/17/28 (b),(c),(f),(g) | 5,310,000 | 4,954,262 | ||||||||
Kayne CLO II Ltd., Series 2018-2A, Class E, 6.34%, 10/15/31 (b),(f),(g) | 416,667 | 397,070 | ||||||||
KVK CLO Ltd., | ||||||||||
3.18%, 01/14/28 (b),(c),(f),(g) | 4,690,000 | 4,563,877 | ||||||||
Series 2016-1A, Class D, 3 mo. USD LIBOR + 4.40%, | 5,000,000 | 5,000,940 | ||||||||
Long Beach Mortgage Loan Trust, | ||||||||||
Series 2006-10, Class 2A3, 1 mo. USD LIBOR + 0.16%, | 2,664,317 | 1,154,656 | ||||||||
Series 2006-4, Class 2A4, 1 mo. USD LIBOR + 0.26%, | 7,990,676 | 3,543,777 | ||||||||
Madison Park Funding Ltd., | ||||||||||
Series 2012-10A, Class DR2, 3 mo. USD LIBOR + 3.25%, | 1,000,000 | 999,989 | ||||||||
Series 2013-11A, Class DR, 3 mo. USD LIBOR + 3.25%, | 3,400,000 | 3,299,785 | ||||||||
Series 2016-20A, Class DR, 3 mo. USD LIBOR + 3.00%, | 2,000,000 | 1,944,246 | ||||||||
Mariner CLO LLC, Series 2015-1A, Class DR2, 3 mo. USD LIBOR + 2.85%, 3.07%, 04/20/29 (b),(c),(f),(g) | 6,000,000 | 5,849,856 | ||||||||
MidOcean Credit CLO, Series 2016-6A, Class DR, 3 mo. USD LIBOR + 3.75%, 3.97%, 01/20/29 (b),(c),(f),(g) | 4,000,000 | 3,905,544 | ||||||||
Midocean Credit CLO, Series 2017-7A, Class D, 3 mo. USD LIBOR + 3.88%, 4.12%, 07/15/29 (b),(c),(f),(g) | 5,500,000 | 5,313,726 | ||||||||
Morgan Stanley ABS Capital I, Inc., | ||||||||||
Series 2007-HE3, Class A2C, 1 mo. USD LIBOR + 0.15%, | 576,842 | 368,929 | ||||||||
Series 2007-HE3, Class A2D, 1 mo. USD LIBOR + 0.25%, | 700,987 | 457,901 | ||||||||
Mountain View CLO LLC, Series 2017-1A, Class D, 3 mo. USD LIBOR + 3.60%, 3.83%, 10/16/29 (b),(c),(f),(g) | 3,000,000 | 2,843,349 | ||||||||
Mountain View CLO Ltd., |
See Notes to Consolidated Schedule of Investments.
36
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
December 31, 2020 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Series 2015-10A, Class DR, 3 mo. USD LIBOR + 2.60%, | $ | 2,500,000 | $ | 2,339,728 | ||||||
Series 2015-9A, Class CR, 3 mo. USD LIBOR + 3.12%, | 5,000,000 | 4,533,070 | ||||||||
Series 2019-1A, Class D, 3 mo. USD LIBOR + 4.05%, 4.29%, 04/15/29 (b),(c),(f),(g) | 5,000,000 | 4,896,070 | ||||||||
Neuberger Berman Loan Advisers CLO Ltd., Series 2018-28A, Class D, 3 mo. | 750,000 | 744,004 | ||||||||
New Residential Mortgage LLC, Series 2018-FNT1, Class D, 4.69%, 05/25/23 (b),(c),(f) | 523,209 | 520,102 | ||||||||
Nomura CRE CDO Ltd., Series 2007-2A, Class D, 3 mo. USD LIBOR + 0.45%, 0.66%, 05/21/42 (b),(f),(g) | 364,715 | 160,086 | ||||||||
Northwoods Capital Ltd., Series 2018-12BA, Class D, 3 mo. USD LIBOR + 3.15%, 3.37%, 06/15/31 (b),(c),(f),(g) | 3,000,000 | 2,686,833 | ||||||||
Oaktree CLO Ltd., Series 2015-1A, Class DR, 3 mo. USD LIBOR + 5.20%, 5.42%, 10/20/27 (b),(c),(f),(g) | 2,500,000 | 2,268,750 | ||||||||
Ocean Trails CLO, Series 2016-6A, Class DR, 3 mo. USD LIBOR + 3.65%, 3.89%, 07/15/28 (b),(c),(f),(g) | 5,000,000 | 4,957,395 | ||||||||
Octagon Investment Partners Ltd., Series 2012-1A, Class CR, 3 mo. USD LIBOR + 4.00%, 4.24%, 07/15/29 (b),(c),(f),(g) | 3,500,000 | 3,472,966 | ||||||||
OHA Credit Partners XIII Ltd., Series 2016-13A, Class E, 3 mo. USD LIBOR + 7.15%, 7.36%, 01/21/30 (b),(f),(g) | 250,000 | 247,487 | ||||||||
OHA Loan Funding Ltd., Series 2016-1A, Class CR, 3 mo. USD LIBOR + 1.95%, | 250,000 | 245,880 | ||||||||
OneMain Financial Issuance Trust, | ||||||||||
Series 2017-1A, Class D, 4.52%, 09/14/32 (b),(c),(f) | 4,500,000 | 4,515,331 | ||||||||
Series 2017-1A SEQ, Class A1, 2.37%, 09/14/32 (b),(c),(f) | 939,231 | 939,435 | ||||||||
Series 2019-1A, Class E, 5.69%, 02/14/31 (b),(c),(f) | 5,000,000 | 5,203,450 | ||||||||
OZLM Funding Ltd., Series 2013-4A, Class BR, 3 mo. USD LIBOR + 2.20%, | 3,000,000 | 2,930,376 | ||||||||
OZLM Ltd., | ||||||||||
Series 2014-6A, Class CS, 3 mo. USD LIBOR + 3.13%, | 2,000,000 | 1,885,024 | ||||||||
Series 2015-12A, Class D, 3 mo. USD LIBOR + 5.40%, | 8,833,000 | 7,648,053 | ||||||||
Palmer Square CLO Ltd., Series 2018-2A, Class B, 2.13%, 07/16/31 (b),(f),(g) | 250,000 | 245,140 | ||||||||
Parallel Ltd., | ||||||||||
Series 2017-1A, Class DR, 3 mo. USD LIBOR + 3.10%, | 3,000,000 | 2,843,712 | ||||||||
Series 2019-1A, Class D, 3 mo. USD LIBOR + 4.20%, | 1,000,000 | 1,000,194 | ||||||||
Series 2019-1A, Class E, 3 mo. USD LIBOR + 6.72%, | 1,333,000 | 1,298,343 | ||||||||
Series 2020-1A, Class C1, 3 mo. USD LIBOR + 4.10%, | 1,000,000 | 997,285 | ||||||||
Perimeter Master Note Business Trust, | ||||||||||
Series 2019-1A, Class C, 8.06%, 12/15/22 (b),(f) | 251,000 | 252,239 | ||||||||
Series 2019-2A, Class B, 5.21%, 05/15/24 (b),(f),(h) | 921,000 | 933,426 | ||||||||
Series 2019-2A, Class C, 7.06%, 05/15/24 (b),(f) | 251,000 | 253,341 |
See Notes to Consolidated Schedule of Investments.
37
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
December 31, 2020 (Unaudited)
Security Description | Principal Amount | Value | ||||||||||
Regatta Funding LP, Series 2013-2A, Class CR2, 3 mo. USD LIBOR + 3.70%, | $ | 6,500,000 | $ | 6,344,702 | ||||||||
Regatta XI Funding Ltd., Series 2018-1A, Class D, 3 mo. USD LIBOR + 2.85%, | 490,000 | 473,276 | ||||||||||
Regatta XV Funding Ltd., Series 2018-4A, Class C, 3.51%, 10/25/31 (b),(f),(g) | 500,000 | 499,970 | ||||||||||
Rockford Tower CLO Ltd., | ||||||||||||
Series 2017-2A, Class DR, 3 mo. USD LIBOR + 2.85%, | 3,750,000 | 3,715,871 | ||||||||||
Series 2019-2A, Class D, 3 mo. USD LIBOR + 3.50%, | 750,000 | 743,744 | ||||||||||
Romark CLO III Ltd., Series 2019-3A, Class C, 3 mo. USD LIBOR + 3.90%, | 500,000 | 500,106 | ||||||||||
RR Ltd., Series 2017-2A, Class C, 3 mo. USD LIBOR + 3.00%, | 750,000 | 749,993 | ||||||||||
Skopos Auto Receivables Trust, Series 2019-1A, Class C, 3.63%, 09/16/24 (b),(c),(f) | 1,627,000 | 1,664,704 | ||||||||||
TICP CLO Ltd., Series 2018-IA, Class C, 3 mo. USD LIBOR + 3.04%, | 4,650,000 | 4,344,332 | ||||||||||
TICP CLO V Ltd., Series 2016-5A, Class DR, 3.37%, 07/17/31 (b),(c),(f),(g) | 750,000 | 748,491 | ||||||||||
TICP CLO VI Ltd., Series 2016-6A, Class BR, 3 mo. USD LIBOR + 1.70%, | 500,000 | 498,858 | ||||||||||
Tralee CLO Ltd., Series 2018-5A, Class D, 3 mo. USD LIBOR + 3.20%, | 4,500,000 | 4,386,154 | ||||||||||
Trimaran CAVU Ltd., Series 2019-2A, Class C, 3 mo. USD LIBOR + 4.72%, | 2,000,000 | 1,993,628 | ||||||||||
Venture CLO Ltd., | ||||||||||||
Series 2013-14A, Class DR, 3 mo. USD LIBOR + 4.00%, | 4,000,000 | 3,500,448 | ||||||||||
Series 2014-16A, Class DRR, 3 mo. USD LIBOR + 2.51%, | 4,000,000 | 3,444,220 | ||||||||||
Series 2014-18A, Class DR, 3 mo. USD LIBOR + 3.10%, | 1,000,000 | 873,029 | ||||||||||
Series 2019-37A, Class D, 3 mo. USD LIBOR + 3.90%, | 3,000,000 | 2,935,797 | ||||||||||
Vibrant CLO Ltd., Series 2018-8A, Class C, 3 mo. USD LIBOR + 2.85%, | 6,300,000 | 5,763,246 | ||||||||||
VOLT LXXXV LLC, Series 2020-NPL1 SEQ, Class A1A, 3.23%, 01/25/50 (b),(c),(f) | 1,345,665 | 1,347,444 | ||||||||||
Voya CLO Ltd., | ||||||||||||
Series 2016-2A, Class CR, 3 mo. USD LIBOR + 4.00%, | 250,000 | 247,529 | ||||||||||
Series 2017-2A, Class C, 3 mo. USD LIBOR + 3.70%, | 4,000,000 | 3,999,668 | ||||||||||
Wellfleet CLO Ltd., Series 2017-3A, Class A2, 1.72%, 01/17/31 (b),(c),(f),(g) | 1,000,000 | 985,847 | ||||||||||
WhiteHorse Ltd., Series 2015-10A, Class DR, 3 mo. USD LIBOR + 3.00%, | 1,250,000 | 1,200,458 | ||||||||||
Zais CLO Ltd., Series 2018-11A, Class D, 3 mo. USD LIBOR + 4.00%, | 5,500,000 | 4,657,020 | ||||||||||
|
| |||||||||||
Total North America | 324,654,932 | |||||||||||
|
| |||||||||||
TOTAL ASSET-BACKED SECURITIES | 330,736,406 | |||||||||||
|
|
See Notes to Consolidated Schedule of Investments.
38
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
December 31, 2020 (Unaudited)
Security Description | Principal Amount | Value | ||||||||||
CONVERTIBLE BONDS — 0.1% | ||||||||||||
North America — 0.1% | ||||||||||||
Financial Services — 0.1% | ||||||||||||
RWT Holdings Inc, 5.75%, 10/01/25 (b),(c) | $ | 3,418,000 | $ | 3,242,999 | ||||||||
|
| |||||||||||
Total North America | 3,242,999 | |||||||||||
|
| |||||||||||
TOTAL CONVERTIBLE BONDS | 3,242,999 | |||||||||||
|
| |||||||||||
BANK DEBT — 5.6% | ||||||||||||
Europe — 0.2% | ||||||||||||
Cable & Satellite — 0.0% | ||||||||||||
Altice Financing SA, 2017 USD Term Loan B, 1 mo. LIBOR + 2.75%, 2.98%, 07/15/25 (b),(g) | 827,176 | 808,118 | ||||||||||
|
| |||||||||||
Chemicals — 0.1% | ||||||||||||
Alpha 3 B.V., 2017 Term Loan B1, 3 mo. LIBOR + 3.00%, 4.00%, 01/31/24 (b),(g) | 204,989 | 204,093 | ||||||||||
Composite Resins Holding B.V., 2018 Term Loan B, 3 mo. LIBOR + 4.25%, | 862,298 | 864,454 | ||||||||||
Starfruit Finco B.V, 2018 USD Term Loan B, 1 mo. LIBOR + 3.00%, | 923,015 | 912,243 | ||||||||||
|
| |||||||||||
1,980,790 | ||||||||||||
|
| |||||||||||
Consumer Discretionary Products — 0.0% | ||||||||||||
Amer Sports Oyj, EUR Term Loan B, 0.00%, 03/30/26 (b),(j) | 106,321 | EUR | 123,572 | |||||||||
|
| |||||||||||
Consumer Discretionary Services — 0.1% | ||||||||||||
McLaren Racing Limited GBP Term Loan ,12.000%, 12/31/35 (b),(d) | 1,714,616 | GBP | 2,344,739 | |||||||||
|
| |||||||||||
Entertainment Contents — 0.0% | ||||||||||||
Delta 2 (LUX) S.a.r.l., 2018 USD Term Loan, 1 mo. LIBOR + 2.50%, | 385,517 | 380,837 | ||||||||||
|
| |||||||||||
Health Care Facilities & Services — 0.0% | ||||||||||||
LGC Limited, Term Loan, 1 mo. LIBOR + 3.50%, 3.65%, 04/21/27 (b),(d) | 149,251 | 146,266 | ||||||||||
|
| |||||||||||
Media — 0.0% | ||||||||||||
Adevinta ASA, USD Term Loan B, 0.00%, 10/13/27 (b),(j) | 175,806 | 175,532 | ||||||||||
|
| |||||||||||
Medical Equipment & Devices Manufacturing — 0.0% | ||||||||||||
Auris Luxembourg III S.a.r.l., 2019 USD Term Loan B2, 1 mo. LIBOR + 3.75%, | 227,460 | 218,930 | ||||||||||
Ortho-Clinical Diagnostics SA, 2018 Term Loan B, 1 mo. LIBOR + 3.25%, | 345,069 | 339,721 | ||||||||||
|
| |||||||||||
558,651 | ||||||||||||
|
| |||||||||||
Oil, Gas & Coal — 0.0% | ||||||||||||
Endeavour International Holding B.V., Term Loan A1, 0.00%, 01/02/22 (b),(d),(j) | 1,112,282 | 22,468 | ||||||||||
|
| |||||||||||
Property & Casualty Insurance — 0.0% | ||||||||||||
Hyperion Insurance Group Ltd., 2017 Repriced Term Loan, 1 mo. LIBOR + 3.50%, | 258,732 | 257,725 | ||||||||||
|
|
See Notes to Consolidated Schedule of Investments.
39
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
December 31, 2020 (Unaudited)
Security Description | Principal Amount | Value | ||||||||||
Refining & Marketing — 0.0% | ||||||||||||
EG America LLC, 2018 USD Term Loan, 3 mo. LIBOR + 4.00%, | $ | 1,455,651 | $ | 1,436,553 | ||||||||
|
| |||||||||||
Software & Services — 0.0% | ||||||||||||
ION Trading Technologies S.a.r.l., USD Incremental Term Loan B, 3 mo. LIBOR + 4.00%, 5.00%, 11/21/24 (b),(g) | 494,806 | 493,039 | ||||||||||
Travelport Finance (Luxembourg) S.A.R.L., 2020 Super Priority Term Loan, 8.00%, | 880,792 | 867,167 | ||||||||||
|
| |||||||||||
1,360,206 | ||||||||||||
|
| |||||||||||
Wireless Telecommunications Services — 0.0% | ||||||||||||
Altice France S.A., 2018 Term Loan B13, 3 mo. LIBOR + 4.00%, | 1,368,401 | 1,360,423 | ||||||||||
|
| |||||||||||
Total Europe | 10,955,880 | |||||||||||
|
| |||||||||||
North America — 5.2% | ||||||||||||
Advertising & Marketing — 0.0% | ||||||||||||
Terrier Media Buyer, Inc., Term Loan B, 1 mo. LIBOR + 4.25%, 4.38%, 12/17/26 (b),(g) | 733,696 | 733,468 | ||||||||||
|
| |||||||||||
Aerospace & Defense — 0.0% | ||||||||||||
Dynasty Acquisition Co., Inc., | ||||||||||||
2020 CAD Term Loan B2, 3.63%, 04/06/26 (b),(g),(j) | 925,994 | 879,694 | ||||||||||
2020 Term Loan B1, 3.63%, 04/06/26 (b),(g),(j) | 1,003,564 | 953,386 | ||||||||||
|
| |||||||||||
1,833,080 | ||||||||||||
|
| |||||||||||
Airlines — 0.0% | ||||||||||||
American Airlines, Inc., | ||||||||||||
2017 1st Lien Term Loan, 1 mo. LIBOR + 1.75%, 1.89%, 01/29/27 (b),(g) | 413,310 | 353,381 | ||||||||||
2018 Term Loan B, 1 mo. LIBOR + 1.75%, 1.97%, 06/27/25 (b),(g) | 1,320,423 | 1,085,717 | ||||||||||
|
| |||||||||||
1,439,098 | ||||||||||||
|
| |||||||||||
Auto Parts Manufacturing — 0.0% | ||||||||||||
Panther BF Aggregator 2 LP, USD Term Loan B, 1 mo. LIBOR + 3.50%, | 1,166,488 | 1,160,410 | ||||||||||
|
| |||||||||||
Cable & Satellite — 0.1% | ||||||||||||
Radiate Holdco, LLC, 2020 Term Loan, 1 mo. LIBOR + 3.50%, 4.25%, 09/25/26 (b),(g) | 658,111 | 658,421 | ||||||||||
UPC Broadband Holding B.V., | ||||||||||||
2020 USD Term Loan B1, 2 mo. LIBOR + 3.50%, 3.63%, 01/31/29 (b),(g) | 425,000 | 425,212 | ||||||||||
2020 USD Term Loan B2, 2 mo. LIBOR + 3.50%, 3.63%, 01/31/29 (b),(g) | 425,000 | 425,213 | ||||||||||
WideOpenWest Finance LLC, 2017 Term Loan B, 1 mo. LIBOR + 3.25%, | 1,327,501 | 1,320,491 | ||||||||||
|
| |||||||||||
2,829,337 | ||||||||||||
|
| |||||||||||
Casinos & Gaming — 0.0% | ||||||||||||
Golden Nugget, Inc., 2017 Incremental Term Loan B, 3.25%, 10/04/23 (b),(g),(j) | 97,956 | 94,359 | ||||||||||
Scientific Games International, Inc., 2018 Term Loan B5, 1 mo. LIBOR + 2.75%, | 523,593 | 510,634 |
See Notes to Consolidated Schedule of Investments.
40
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
December 31, 2020 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Stars Group Holdings B.V. (The), 2018 USD Incremental Term Loan, 3 mo. LIBOR + 3.50%, 3.72%, 07/10/25 (b),(g) | $ | 168,991 | $ | 169,508 | ||||||
|
| |||||||||
774,501 | ||||||||||
|
| |||||||||
Chemicals — 0.0% | ||||||||||
Ascend Performance Materials Operations LLC, 2019 Term Loan B, 3 mo. LIBOR + 5.25%, 6.25%, 08/27/26 (b),(d),(g) | 1,050,334 | 1,052,960 | ||||||||
GrafTech Finance, Inc., 2018 Term Loan B, 1 mo. LIBOR + 3.50%, | 692,352 | 690,912 | ||||||||
|
| |||||||||
1,743,872 | ||||||||||
|
| |||||||||
Commercial Services — 0.1% | ||||||||||
Amentum Government Services Holdings LLC, Term Loan B, 1 mo. LIBOR + 3.50%, 3.65%, 02/01/27 (b) | 178,461 | 177,792 | ||||||||
Garda World Security Corporation, 2019 1st Lien Term Loan B, 1 mo. LIBOR + 4.75%, 4.99%, 10/30/26 (b) | 644,626 | 644,626 | ||||||||
Sunshine Luxembourg VII SARL, USD Term Loan B1, 3 mo. LIBOR + 4.00%, 5.25%, 10/01/26 (b),(g) | 1,420,858 | 1,423,529 | ||||||||
|
| |||||||||
2,245,947 | ||||||||||
|
| |||||||||
Communications Equipment — 0.1% | ||||||||||
CommScope, Inc., 2019 Term Loan B, 1 mo. LIBOR + 3.25%, 3.49%, 04/06/26 (b),(g) | 636,373 | 630,805 | ||||||||
Delta TopCo, Inc., 2020 Term Loan B, 6 mo. LIBOR + 3.75%, 4.50%, 12/01/27 (b),(g) | 1,194,889 | 1,193,647 | ||||||||
MLN US HoldCo LLC, 2018 1st Lien Term Loan, 1 mo. LIBOR + 4.50%, | 138,546 | 124,951 | ||||||||
|
| |||||||||
1,949,403 | ||||||||||
|
| |||||||||
Construction Materials Manufacturing — 0.0% | ||||||||||
Forterra Finance, LLC, 2017 Term Loan B, 1 mo. LIBOR + 3.00%, | 336,036 | 336,107 | ||||||||
|
| |||||||||
Consumer Discretionary Services — 0.1% | ||||||||||
GT Polaris, Inc., Term Loan B, 3 mo. LIBOR + 4.00%, 5.00%, 09/24/27 (b) | 370,322 | 371,340 | ||||||||
Infinity Bidco US LLC Fixed Term Loan ,9.500%, 12/23/22 (b),(d) | 5,715,388 | 5,658,234 | ||||||||
Zaxby’s Operating Company LLC, 1st Lien Term Loan, 1 mo. LIBOR + 3.75%, | 417,354 | 417,354 | ||||||||
|
| |||||||||
6,446,928 | ||||||||||
|
| |||||||||
Consumer Finance — 0.1% | ||||||||||
Apollo Commercial Real Estate Finance, Inc, Term Loan B, 1 mo. LIBOR + 2.75%, | 718,576 | 689,833 | ||||||||
Ocwen Loan Servicing, LLC 2016 Term Loan B ,7.000%, 05/16/22 (b),(g) | 3,788,203 | 3,759,791 | ||||||||
|
| |||||||||
4,449,624 | ||||||||||
|
| |||||||||
Consumer Services — 0.3% | ||||||||||
Allied Universal Holdco LLC, 2019 Term Loan B, 1 mo. LIBOR + 4.25%, | 815,100 | 810,853 | ||||||||
Cambium Learning Group, Inc., Term Loan B, 3 mo. LIBOR + 4.50%, | 2,022,640 | 2,007,976 | ||||||||
Cast and Crew Payroll, LLC, 2019 1st Lien Term Loan, 1 mo. LIBOR + 3.75%, | 1,114,089 | 1,083,796 |
See Notes to Consolidated Schedule of Investments.
41
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
December 31, 2020 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
CHG Healthcare Services Inc., 2017 1st Lien Term Loan B, 3 mo. LIBOR + 3.00%, 4.00%, 06/07/23 (b),(g) | $ | 507,246 | $ | 503,523 | ||||||
Conservice Midco, LLC, 2020 Term Loan B, 3 mo. LIBOR + 4.25%, 4.38%, 05/13/27 (b),(g) | 342,974 | 342,974 | ||||||||
Guidehouse LLP, 2018 Term Loan, 1 mo. LIBOR + 4.50%, 4.64%, 05/01/25 (b),(g) | 259,852 | 259,418 | ||||||||
LegalZoom.com, Inc., 2018 1st Lien Term Loan, 1 mo. LIBOR + 4.50%, 4.71%, 11/21/24 (b),(d),(g) | 1,715,129 | 1,715,129 | ||||||||
National Intergovernmental Purchasing Alliance Company, 1st Lien Term Loan, 3 mo. LIBOR + 3.75%, 3.97%, 05/23/25 (b),(d),(g) | 136,606 | 134,899 | ||||||||
Prime Security Services Borrower, LLC, 2019 Term Loan B1, 1 mo. LIBOR + 3.25%, 4.25%, 09/23/26 (b),(g) | 1,703,185 | 1,707,443 | ||||||||
TKC Holdings, Inc. 2017 1st Lien Term Loan ,4.750%, 02/01/23 (b),(g) | 4,209,686 | 4,124,608 | ||||||||
USS Ultimate Holdings, Inc., 1st Lien Term Loan, 1 mo. LIBOR + 3.75%, 4.75%, 08/25/24 (b),(g) | 610,775 | 609,438 | ||||||||
|
| |||||||||
13,300,057 | ||||||||||
|
| |||||||||
Containers & Packaging — 0.1% | ||||||||||
Berlin Packaging LLC, | ||||||||||
2018 1st Lien Term Loan, 1 mo. LIBOR + 3.00%, 3.16%, 11/07/25 (b),(g) | 295,226 | 290,024 | ||||||||
2018 1st Lien Term Loan, 3 mo. LIBOR + 3.00%, 3.26%, 11/07/25 (b),(g) | 1,728 | 1,698 | ||||||||
Flex Acquisition Company, Inc., | ||||||||||
1st Lien Term Loan, 4.00%, 12/29/23 (b),(g) | 1,670,364 | 1,659,407 | ||||||||
2018 Incremental Term Loan, 3 mo. LIBOR + 3.00%, 3.50%, 06/29/25 (b),(g) | 359,401 | 354,639 | ||||||||
Fort Dearborn Company 2016 2nd Lien Term Loan ,9.500%, 10/21/24 (b),(g) | 2,510,497 | 2,479,115 | ||||||||
Proampac PG Borrower LLC, | ||||||||||
2016 1st Lien Term Loan, 3 mo. LIBOR + 3.50%, 4.50%, 11/20/23 (b),(d),(g) | 53,991 | 53,856 | ||||||||
2020 Term Loan, 5.00%, 11/03/25 (b),(d),(g),(j) | 114,491 | 114,134 | ||||||||
TricorBraun Holdings, Inc., 2016 1st Lien Term Loan, 1 mo. LIBOR + 3.75%, 4.75%, 11/30/23 (b),(g) | 173,279 | 171,936 | ||||||||
Trident TPI Holdings, Inc., 2017 USD Term Loan B1, 3 mo. LIBOR + 3.00%, 4.25%, 10/17/24 (b),(g) | 982,288 | 967,769 | ||||||||
|
| |||||||||
6,092,578 | ||||||||||
|
| |||||||||
Educational Services — 0.0% | ||||||||||
KUEHG Corp., 2018 Incremental Term Loan, 3 mo. LIBOR + 3.75%, 4.75%, 02/21/25 (b),(g) | 837,789 | 792,130 | ||||||||
Learning Care Group, Inc., 2018 1st Lien Term Loan, 3 mo. LIBOR + 3.25%, 4.25%, 03/13/25 (b),(g) | 197,964 | 186,912 | ||||||||
SSH Group Holdings, Inc., 2018 1st Lien Term Loan, 3 mo. LIBOR + 4.25%, 4.47%, 07/30/25 (b),(g) | 886,625 | 842,293 | ||||||||
|
| |||||||||
1,821,335 | ||||||||||
|
| |||||||||
Electrical Equipment Manufacturing — 0.0% | ||||||||||
Brookfield WEC Holdings Inc., 2020 Term Loan, 1 mo. LIBOR + 3.00%, 3.75%, 08/01/25 (b),(g) | 991,664 | 988,124 | ||||||||
Vertiv Group Corporation, Term Loan B, 1 mo. LIBOR + 3.00%, | 202,969 | 201,542 | ||||||||
|
| |||||||||
1,189,666 | ||||||||||
|
|
See Notes to Consolidated Schedule of Investments.
42
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
December 31, 2020 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Entertainment Contents — 0.0% | ||||||||||
Diamond Sports Group, LLC, Term Loan, 1 mo. LIBOR + 3.25%, | $ | 1,030,330 | $ | 907,762 | ||||||
Univision Communications Inc., 2020 Replacement Term Loan, 1 mo. LIBOR + 3.75%, 4.75%, 03/15/26 (b),(g) | 876,594 | 876,226 | ||||||||
|
| |||||||||
1,783,988 | ||||||||||
|
| |||||||||
Entertainment Resources — 0.4% | ||||||||||
Alterra Mountain Company, 2020 Term Loan B, 1 mo. LIBOR + 4.50%, | 426,445 | 428,044 | ||||||||
Cinemark USA, Inc., 2018 Term Loan B, 2.00%, 03/31/25 (b),(g),(j) | 148,685 | 136,464 | ||||||||
Equinox Holdings, Inc., | ||||||||||
2017 1st Lien Term Loan, 4.00%, 03/08/24 (b),(g) | 6,254,088 | 5,583,525 | ||||||||
2017 2nd Lien Term Loan, 8.00%, 09/06/24 (b),(g),(j) | 1,534,336 | 1,017,587 | ||||||||
Life Time Fitness Inc 2017 Term Loan B ,3.750%, 06/10/22 (b),(g) | 10,256,829 | 9,954,252 | ||||||||
Six Flags Theme Parks, Inc., 2019 Term Loan B, 1 mo. LIBOR + 1.75%, | 313,446 | 305,707 | ||||||||
SMG US Midco 2, Inc., 2020 Term Loan, 2.63%, 01/23/25 (b),(g),(j) | 229,112 | 215,175 | ||||||||
UFC Holdings, LLC, 2019 Term Loan, 6 mo. LIBOR + 3.25%, 4.25%, 04/29/26 (b),(g) | 388,974 | 387,333 | ||||||||
William Morris Endeavor Entertainment, LLC, 2018 1st Lien Term Loan, 1 mo. LIBOR + 2.75%, 2.97%, 05/18/25 (b),(g) | 1,482,469 | 1,361,396 | ||||||||
|
| |||||||||
19,389,483 | ||||||||||
|
| |||||||||
Entertainment Resources — 0.1% | ||||||||||
Bulldog Purchaser, Inc., 2018 Term Loan, 1 mo. LIBOR + 3.75%, | 4,351,189 | 4,008,533 | ||||||||
|
| |||||||||
Exploration & Production — 0.0% | ||||||||||
Par Pacific Holdings, Inc., | ||||||||||
Term Loan B, 3 mo. LIBOR + 6.75%, 6.97%, 01/12/26 (b),(g) | 1,026,850 | 969,090 | ||||||||
Term Loan B, 3 mo. LIBOR + 6.75%, 6.98%, 01/12/26 (b),(g) | 787,257 | 742,974 | ||||||||
|
| |||||||||
1,712,064 | ||||||||||
|
| |||||||||
Financial Services — 0.2% | ||||||||||
Advisor Group, Inc., 2019 Term Loan B, 1 mo. LIBOR + 5.00%, 5.14%, 07/31/26 (b),(g) | 367,518 | 363,538 | ||||||||
AqGen Ascensus, Inc., 2020 Term Loan, 3 mo. LIBOR + 4.00%, 5.00%, 12/13/26 (b),(g) | 475,658 | 476,371 | ||||||||
Deerfield Dakota Holding, LLC, 2020 USD Term Loan B, 3 mo. LIBOR + 3.75%, | 1,911,385 | 1,911,691 | ||||||||
GI Revelation Acquisition LLC, 2018 1st Lien Term Loan, 1 mo. LIBOR + 5.00%, 5.23%, 04/16/25 (b),(d),(g) | 95,339 | 93,432 | ||||||||
IG Investment Holdings, LLC, 2018 1st Lien Term Loan, 3 mo. LIBOR + 4.00%, 5.00%, 05/23/25 (b),(g) | 2,064,147 | 2,057,439 | ||||||||
LDiscovery, LLC, Term Loan, 3 mo. LIBOR + 5.88%, 6.88%, 12/09/22 (b),(d),(g) | 216,577 | 214,952 | ||||||||
Minotaur Acquisition, Inc., Term Loan B, 1 mo. LIBOR + 5.00%, | 1,962,378 | 1,921,502 | ||||||||
NFP Corp., 2020 Term Loan, 1 mo. LIBOR + 3.25%, 3.38%, 02/15/27 (b),(g) | 827,333 | 808,867 | ||||||||
Quidditch Acquisition, Inc., 2018 Term Loan B, 3 mo. LIBOR + 7.00%, 8.00%, 03/21/25 (b),(g) | 197,964 | 184,602 | ||||||||
|
| |||||||||
8,032,394 | ||||||||||
|
|
See Notes to Consolidated Schedule of Investments.
43
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
December 31, 2020 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Food & Beverage — 0.0% | ||||||||||
Arterra Wines Canada, Inc., 2020 Term Loan, 3 mo. LIBOR + 3.50%, 4.25%, 11/24/27 (b),(d),(g) | $ | 161,601 | $ | 162,309 | ||||||
Chobani, LLC, 2020 Term Loan B, 1 mo. LIBOR + 3.50%, 4.50%, 10/20/27 (b),(g) | 1,073,529 | 1,069,771 | ||||||||
Dole Food Company Inc., 2017 Term Loan B, 1 mo. LIBOR + 2.75%, 3.75%, 04/06/24 (b),(g) | 292,000 | 291,270 | ||||||||
|
| |||||||||
1,523,350 | ||||||||||
|
| |||||||||
Forest & Paper Products — 0.0% | ||||||||||
Vertical Midco GmbH, USD Term Loan B, 6 mo. LIBOR + 4.25%, 4.57%, 07/30/27 (b) | 757,709 | 760,277 | ||||||||
|
| |||||||||
Gaming, Lodging & Restaurants — 0.0% | ||||||||||
K-Mac Holdings Corp, | ||||||||||
2018 1st Lien Term Loan, 1 mo. LIBOR + 3.00%, 3.15%, 03/14/25 (b) | 620,170 | 609,429 | ||||||||
2018 2nd Lien Term Loan, 1 mo. LIBOR + 6.75%, 6.90%, 03/16/26 (b) | 163,739 | 159,646 | ||||||||
Tacala, LLC, 1st Lien Term Loan, 1 mo. LIBOR + 3.75%, 4.50%, 02/05/27 (b) | 538,408 | 533,136 | ||||||||
|
| |||||||||
1,302,211 | ||||||||||
|
| |||||||||
Hardware — 0.0% | ||||||||||
Cardtronics USA, Inc., Term Loan B, 1 mo. LIBOR + 4.00%, 5.00%, 06/29/27 (b),(g) | 629,841 | 628,790 | ||||||||
EXC Holdings III Corp., USD 2017 1st Lien Term Loan, 3 mo. LIBOR + 3.50%, 4.50%, 12/02/24 (b),(g) | 274,889 | 272,024 | ||||||||
|
| |||||||||
900,814 | ||||||||||
|
| |||||||||
Health Care Facilities & Services — 0.8% | ||||||||||
American Renal Holdings Inc., 2017 Term Loan B, 1 mo. LIBOR + 5.00%, 5.13%, 06/21/24 (b),(g) | 115,043 | 114,673 | ||||||||
CDRH Parent, Inc. New 1st Lien Term Loan ,5.250%, 07/01/21 (b),(g) | 582,156 | 466,091 | ||||||||
Change Healthcare Holdings LLC 2017 Term Loan B ,3.500%, 03/01/24 (b),(g) | 683,077 | 679,320 | ||||||||
Comet Acquisition, Inc., Term Loan, 3 mo. LIBOR + 3.25%, 3.48%, 10/24/25 (b),(d),(g) | 111,175 | 108,952 | ||||||||
Envision Healthcare Corporation, 2018 1st Lien Term Loan, 1 mo. LIBOR + 3.75%, 3.97%, 10/10/25 (b),(g) | 3,491,020 | 2,901,491 | ||||||||
eResearchTechnology, Inc., 2020 1st Lien Term Loan, 1 mo. LIBOR + 4.50%, 5.50%, 02/04/27 (b),(g) | 222,367 | 219,866 | ||||||||
ExamWorks Group, Inc., 2017 Term Loan, 3 mo. LIBOR + 3.25%, 4.25%, 07/27/23 (b) | 997,212 | 995,138 | ||||||||
GHX Ultimate Parent Corporation, 2017 1st Lien Term Loan, 3 mo. LIBOR + 3.25%, 4.25%, 06/28/24 (b),(g) | 751,190 | 736,789 | ||||||||
Global Medical Response, Inc., | ||||||||||
2017 Term Loan B2, 3 mo. LIBOR + 4.25%, 5.25%, 03/14/25 (b),(g) | 1,756,594 | 1,737,149 | ||||||||
2020 Term Loan B, 5.75%, 10/02/25 (b),(g),(j) | 195,939 | 194,307 | ||||||||
Jaguar Holding Company II, 2018 Term Loan, 1 mo. LIBOR + 2.50%, 3.50%, 08/18/22 (b),(g) | 972,000 | 971,154 | ||||||||
Milano Acquisition Corp, Term Loan B, 3 mo. LIBOR + 4.00%, 4.75%, 10/01/27 (b),(g) | 395,737 | 395,076 | ||||||||
New Millennium HoldCo, Inc. 2020 Term Loan ,6.500%, 05/01/25 (b),(d) | 2,310,255 | 2,298,704 | ||||||||
NMSC Holdings, Inc., 1st Lien Term Loan, 6 mo. LIBOR + 5.00%, | 633,254 | 611,090 |
See Notes to Consolidated Schedule of Investments.
44
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
December 31, 2020 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Onex TSG Intermediate Corp., 1st Lien Term Loan, 3 mo. LIBOR + 4.00%, 5.00%, 07/31/22 (b),(g) | $ | 686,082 | $ | 674,508 | ||||||
Pathway Vet Alliance LLC, 2020 Delayed Draw Term Loan, 1 mo. LIBOR + 4.00%, 4.15%, 03/31/27 (b),(g) | 33,858 | 33,807 | ||||||||
2020 Delayed Draw Term Loan, 3 mo. LIBOR + 4.00%, 4.15%, 03/31/27 (b),(g) | 14,081 | 14,060 | ||||||||
2020 Term Loan, 1 mo. LIBOR + 4.00%, 4.13%, 03/31/27 (b),(g) | 586,906 | 586,025 | ||||||||
Pearl Intermediate Parent LLC, 2018 1st Lien Term Loan, 1 mo. LIBOR + 2.75%, 2.97%, 02/14/25 (b),(g) | 1,196,964 | 1,168,536 | ||||||||
Phoenix Guarantor Inc, 2020 Term Loan B, 1 mo. LIBOR + 3.25%, | 975,199 | 968,295 | ||||||||
Pluto Acquisition I, Inc., 2020 Incremental Term Loan B, 5.50%, 06/22/26 (b),(d),(g),(j) | 169,392 | 169,392 | ||||||||
Quorum Health Corporation 2020 Term Loan ,9.250%, 04/29/25 (b),(g) | 10,525,165 | 10,275,193 | ||||||||
RegionalCare Hospital Partners Holdings, Inc., 2018 Term Loan B, 1 mo. LIBOR + 3.75%, 3.88%, 11/16/25 (b),(g) | 482,903 | 481,034 | ||||||||
Surgery Center Holdings, Inc., 2017 Term Loan B, 1 mo. LIBOR + 3.25%, 4.25%, 09/03/24 (b),(g) | 2,004,924 | 1,967,893 | ||||||||
Team Health Holdings, Inc. 1st Lien Term Loan ,3.750%, 02/06/24 (b),(g) | 15,104,540 | 13,413,436 | ||||||||
U.S. Anesthesia Partners, Inc., 2017 Term Loan, 6 mo. LIBOR + 3.00%, 4.00%, 06/23/24 (b),(g) | 1,343,681 | 1,311,137 | ||||||||
Unified Physician Management, LLC, 2020 Term Loan, 5.00%, 12/16/27 (b),(d),(g),(j) | 311,790 | 309,452 | ||||||||
|
| |||||||||
43,802,568 | ||||||||||
|
| |||||||||
Home Improvement — 0.1% | ||||||||||
AI Aqua Merger Sub, Inc., | ||||||||||
2017 1st Lien Term Loan B, 1 mo. LIBOR + 3.25%, 4.25%, 12/13/23 (b),(d),(g) | 582,755 | 578,384 | ||||||||
2020 Incremental Term Loan, 6.25%, 12/13/23 (b),(g) | 111,247 | 111,247 | ||||||||
Apex Tool Group, LLC, 2019 Term Loan B, 1 mo. LIBOR + 5.25%, 6.75%, 08/01/24 (b),(g) | 2,678,278 | 2,642,228 | ||||||||
Cornerstone Building Brands, Inc., 2018 Term Loan, 1 mo. LIBOR + 3.75%, 3.98%, 04/12/25 (b),(d),(g) | 760,865 | 758,963 | ||||||||
CP Atlas Buyer, Inc., | ||||||||||
2020 Delayed Draw Term Loan B2, 3 mo. LIBOR + 4.50%, 5.25%, 11/23/27 (b),(g) | 164,935 | 165,141 | ||||||||
2020 Term Loan B1, 3 mo. LIBOR + 4.50%, 5.25%, 11/23/27 (b),(g) | 494,804 | 495,423 | ||||||||
MI Windows and Doors, LLC, 2020 Term Loan, 1 mo. LIBOR + 3.75%, 4.50%, 12/15/27 (b),(d),(g) | 344,608 | 345,038 | ||||||||
Tamko Building Products, Inc, Term Loan B, 1 mo. LIBOR + 3.25%, | 642,122 | 638,912 | ||||||||
|
| |||||||||
5,735,336 | ||||||||||
|
| |||||||||
Industrial Other — 0.2% | ||||||||||
Brand Energy & Infrastructure Services, Inc. 2017 Term Loan, | 1,035,897 | 1,008,114 | ||||||||
Core & Main LP, 2017 Term Loan B, 3 mo. LIBOR + 2.75%, 4.00%, 08/01/24 (b),(g) | 472,690 | 469,935 | ||||||||
DG Investment Intermediate Holdings 2, Inc., 2018 1st Lien Term Loan, 1 mo. LIBOR + 3.00%, 3.75%, 02/03/25 (b),(g) | 184,812 | 182,502 | ||||||||
QualTek USA, LLC 2018 1st Lien Term Loan ,7.250%, 07/18/25 (b),(g) | 10,340,744 | 9,685,864 | ||||||||
|
| |||||||||
11,346,415 | ||||||||||
|
| |||||||||
Industrial Services — 0.0% | ||||||||||
GFL Environmental Inc., 2020 Term Loan, 0.00%, 05/30/25 (b),(j) | 416,818 | 417,164 |
See Notes to Consolidated Schedule of Investments.
45
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
December 31, 2020 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Tutor Perini Corporation, Term Loan B, 3 mo. LIBOR + 4.75%, 5.75%, 08/13/27 (b),(d) | $ | 868,748 | $ | 870,920 | ||||||
|
| |||||||||
1,288,084 | ||||||||||
|
| |||||||||
Insurance — 0.0% | ||||||||||
Ryan Specialty Group, LLC, Term Loan, 1 mo. LIBOR + 3.25%, | 252,335 | 251,389 | ||||||||
|
| |||||||||
Internet Media — 0.1% | ||||||||||
MH Sub I, LLC, 2020 Incremental Term Loan, 1 mo. LIBOR + 3.75%, | 837,895 | 834,543 | ||||||||
Micro Holding Corp., 2017 1st Lien Term Loan, 1 mo. LIBOR + 3.50%, | 392,893 | 387,149 | ||||||||
Shutterfly, Inc., 2019 Term Loan B, 3 mo. LIBOR + 6.00%, 7.00%, 09/25/26 (b),(g) | 349,285 | 346,792 | ||||||||
Web.com Group, Inc., | ||||||||||
2018 2nd Lien Term Loan, 1 mo. LIBOR + 7.75%, 7.97%, 10/09/26 (b),(g) | 91,336 | 86,922 | ||||||||
2018 Term Loan B, 1 mo. LIBOR + 3.75%, 3.97%, 10/10/25 (b),(g) | 1,784,598 | 1,757,079 | ||||||||
|
| |||||||||
3,412,485 | ||||||||||
|
| |||||||||
Machinery — 0.0% | ||||||||||
AI Alpine AT Bidco GmbH, 2018 USD Term Loan B, 6 mo. LIBOR + 3.00%, 3.23%, 10/31/25 (b),(d) | 83,577 | 78,353 | ||||||||
|
| |||||||||
Machinery Manufacturing — 0.2% | ||||||||||
Engineered Machinery Holdings, Inc., | ||||||||||
USD 1st Lien Term Loan, 3 mo. LIBOR + 3.00%, 4.00%, 07/19/24 (b),(g) | 266,216 | 265,135 | ||||||||
USD 2nd Lien Term Loan, 8.25%, 07/18/25 (b),(g) | 8,435,663 | 8,421,576 | ||||||||
Titan Acquisition Limited, 2018 Term Loan B, 6 mo. LIBOR + 3.00%, | 972,498 | 946,308 | ||||||||
Wash Multifamily Acquisition Inc., Canadian 1st Lien Term Loan, 1 mo. LIBOR + 3.25%, 4.25%, 05/14/22 (b),(d),(g) | 51,674 | 51,190 | ||||||||
WASH Multifamily Laundry Systems, LLC, 2015 1st Lien Term Loan, 1 mo. LIBOR + 3.25%, 4.25%, 05/14/22 (b),(d),(g) | 346,801 | 343,551 | ||||||||
|
| |||||||||
10,027,760 | ||||||||||
|
| |||||||||
Manufactured Goods — 0.1% | ||||||||||
Hillman Group Inc. (The), 2018 Term Loan B, 1 mo. LIBOR + 4.00%, | 1,092,557 | 1,086,580 | ||||||||
LTI Holdings, Inc., 2018 Add On 1st Lien Term Loan, 1 mo. LIBOR + 3.50%, | 1,018,315 | 987,042 | ||||||||
Tecomet Inc., 2017 Repriced Term Loan, 3 mo. LIBOR + 3.50%, | 381,783 | 374,625 | ||||||||
WireCo WorldGroup, Inc. 1st Lien Term Loan ,6.000%, 09/30/23 (b),(g) | 4,768,247 | 4,523,875 | ||||||||
|
| |||||||||
6,972,122 | ||||||||||
|
| |||||||||
Materials — 0.0% | ||||||||||
Charter NEX US, Inc., 2020 Term Loan, 1 mo. LIBOR + 4.25%, 5.00%, 12/01/27 (b) | 991,115 | 995,080 | ||||||||
Graham Packaging Company Inc., Term Loan, 1 mo. LIBOR + 3.75%, 4.50%, 08/04/27 (b) | 356,087 | 356,934 | ||||||||
|
| |||||||||
1,352,014 | ||||||||||
|
| |||||||||
Media — 0.0% | ||||||||||
Nielsen Finance LLC, 2020 USD Term Loan B5, 1 mo. LIBOR + 3.75%, 4.75%, 06/04/25 (b) | 164,052 | 164,838 | ||||||||
|
|
See Notes to Consolidated Schedule of Investments.
46
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
December 31, 2020 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Medical Equipment & Devices Manufacturing — 0.0% | ||||||||||
Albany Molecular Research, Inc., 2017 1st Lien Term Loan, 3 mo. LIBOR + 3.25%, 4.25%, 08/30/24 (b),(g) | $ | 159,945 | $ | 160,212 | ||||||
Medical Equipment & Devices Manufacturing — 0.0% | ||||||||||
Albany Molecular Research, Inc., 2017 1st Lien Term Loan, 3 mo. LIBOR + 3.25%, 4.25%, 08/30/24 (b),(g) | 159,945 | 160,212 | ||||||||
Athenahealth, Inc., 2019 Term Loan B, 1 mo. LIBOR + 4.50%, | 991,091 | 988,365 | ||||||||
CPI Holdco, LLC, 2019 Term Loan, 1 mo. LIBOR + 4.25%, 4.39%, 11/04/26 (b),(d),(g) | 171,044 | 171,044 | ||||||||
CPI International Inc., 2017 1st Lien Term Loan, 1 mo. LIBOR + 3.50%, | 181,356 | 178,259 | ||||||||
Sotera Health Holdings, LLC, 2019 Term Loan, 3 mo. LIBOR + 4.50%, | 357,131 | 358,174 | ||||||||
|
| |||||||||
1,856,054 | ||||||||||
|
| |||||||||
Pharmaceuticals — 0.2% | ||||||||||
Alphabet Holding Company, Inc., 2017 1st Lien Term Loan, 1 mo. LIBOR + 3.50%, | 1,752,695 | 1,734,677 | ||||||||
Amneal Pharmaceuticals LLC, 2018 Term Loan B, 1 mo. LIBOR + 3.50%, | 487,675 | 474,367 | ||||||||
Arbor Pharmaceuticals, Inc., Term Loan B, 6 mo. LIBOR + 5.00%, | 670,993 | 644,154 | ||||||||
Endo Luxembourg Finance Company I S.a r.l., 2017 Term Loan B, 3 mo. LIBOR + 4.25%, 5.00%, 04/29/24 (b),(g) | 562,352 | 552,510 | ||||||||
Mallinckrodt International Finance S.A., | ||||||||||
2018 Term Loan B, 3.75%, 02/24/25 (b),(g),(j),(k) | 828,574 | 777,136 | ||||||||
Revolver, 3.00%, 02/28/22 (b),(g),(j),(k) | 2,460,609 | 2,360,438 | ||||||||
USD Term Loan B, 3.50%, 09/24/24 (b),(g),(j),(k) | 5,526,863 | 5,190,442 | ||||||||
|
| |||||||||
11,733,724 | ||||||||||
|
| |||||||||
Pipeline — 0.0% | ||||||||||
Lower Cadence Holdings LLC, Term Loan B, 1 mo. LIBOR + 4.00%, | 939,106 | 915,046 | ||||||||
|
| |||||||||
Property & Casualty Insurance — 0.2% | ||||||||||
Alliant Holdings Intermediate, LLC, 2018 Term Loan B, 1 mo. LIBOR + 3.25%, | 383,532 | 377,138 | ||||||||
AmWINS Group, Inc., 2017 Term Loan B, 1 mo. LIBOR + 2.75%, | 644,579 | 643,258 | ||||||||
AssuredPartners Capital, Inc., 2020 Incremental Term Loan B, 1 mo. LIBOR + 4.50%, 5.50%, 02/12/27 (b),(g) | 322,111 | 322,314 | ||||||||
AssuredPartners, Inc., 2020 Term Loan B, 1 mo. LIBOR + 3.50%, | 841,533 | 828,119 | ||||||||
Asurion LLC, | ||||||||||
2017 2nd Lien Term Loan, 1 mo. LIBOR + 6.50%, 6.72%, 08/04/25 (b),(g) | 1,075,414 | 1,082,136 | ||||||||
2017 Term Loan B4, 0.00%, 08/04/22 (b),(g),(j) | 420,322 | 419,422 | ||||||||
2020 Term Loan B8, 3.38%, 12/23/26 (b),(g),(j) | 88,816 | 87,812 | ||||||||
Broadstreet Partners, Inc., 2020 Term Loan B, 1 mo. LIBOR + 3.25%, | 385,938 | 378,783 |
See Notes to Consolidated Schedule of Investments.
47
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
December 31, 2020 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Hub International Limited, | ||||||||||
2018 Term Loan B, 3 mo. LIBOR + 2.75%, 2.88%, 04/25/25 (b),(g) | $ | 1,340,006 | $ | 1,314,465 | ||||||
2019 Incremental Term Loan B, 3 mo. LIBOR + 4.00%, 5.00%, 04/25/25 (b),(g) | 1,263,173 | 1,265,143 | ||||||||
Sedgwick Claims Management Services, Inc., | ||||||||||
2018 Term Loan B, 1 mo. LIBOR + 3.25%, 3.49%, 12/31/25 (b),(g) | 392,982 | 386,270 | ||||||||
2019 Term Loan B, 1 mo. LIBOR + 4.00%, 4.23%, 09/03/26 (b),(g) | 246,581 | 245,504 | ||||||||
USI, Inc., | ||||||||||
2017 Repriced Term Loan, 3 mo. LIBOR + 3.00%, 3.23%, 05/16/24 (b),(g) | 466,343 | 459,250 | ||||||||
2019 Incremental Term Loan B, 3 mo. LIBOR + 4.00%, 4.14%, 12/02/26 (b),(g) | 400,670 | 399,420 | ||||||||
|
| |||||||||
8,209,034 | ||||||||||
|
| |||||||||
Publishing & Broadcasting — 0.2% | ||||||||||
A-L Parent LLC, | ||||||||||
2016 1st Lien Term Loan, 4.25%, 12/01/23 (b),(g) | 5,005,932 | 4,503,537 | ||||||||
2016 2nd Lien Term Loan, 8.25%, 12/02/24 (b),(d),(g) | 857,047 | 479,946 | ||||||||
Clear Channel Outdoor Holdings, Inc., Term Loan B, 3 mo. LIBOR + 3.50%, | 742,271 | 713,107 | ||||||||
E.W. Scripps Company (The), 2020 Term Loan B3, 3.75%, 12/15/27 (b),(g),(j) | 206,451 | 206,451 | ||||||||
Entercom Media Corp., 2019 Term Loan, 1 mo. LIBOR + 2.50%, | 1,563,834 | 1,524,738 | ||||||||
iHeartCommunications, Inc., 2020 Term Loan, 1 mo. LIBOR + 3.00%, | 1,362,648 | 1,338,802 | ||||||||
LBI Media, Inc., Exit Term Loan, 3 mo. LIBOR + 7.50%, 8.50%, 10/15/24 (b),(d) | 337,028 | 102,794 | ||||||||
Recorded Books Inc., 2018 Term Loan B, 1 mo. LIBOR + 4.25%, | 349,311 | 346,838 | ||||||||
|
| |||||||||
9,216,213 | ||||||||||
|
| |||||||||
Real Estate — 0.1% | ||||||||||
Geo Group, Inc. (The), 2018 Term Loan B, 2.75%, 03/22/24 (b),(g),(j) | 1,442,469 | 1,300,025 | ||||||||
Motion Finco Sarl, USD Term Loan B1, 3 mo. LIBOR + 3.25%, 3.50%, 11/12/26 (b) | 905,330 | 871,381 | ||||||||
|
| |||||||||
2,171,406 | ||||||||||
|
| |||||||||
Recreation Facilities & Services — 0.0% | ||||||||||
Motion Finco Sarl, Delayed Draw Term Loan B2, 3 mo. LIBOR + 3.25%, | 160,101 | 154,097 | ||||||||
|
| |||||||||
Refining & Marketing — 0.2% | ||||||||||
CITGO Holding Inc. 2019 Term Loan B ,8.000%, 08/01/23 (b),(g) | 4,010,724 | 3,689,866 | ||||||||
Citgo Petroleum Corporation 2019 Term Loan B ,7.250%, 03/28/24 (b),(g) | 5,410,845 | 5,359,442 | ||||||||
Gulf Finance, LLC Term Loan B ,6.250%, 08/25/23 (b),(g) | 135,480 | 101,852 | ||||||||
|
| |||||||||
9,151,160 | ||||||||||
|
| |||||||||
Renewable Energy — 0.0% | ||||||||||
Granite Acquisition Inc., Term Loan B, 3 mo. LIBOR + 3.75%, | 698,825 | 699,915 | ||||||||
|
| |||||||||
Restaurants — 0.0% | ||||||||||
IRB Holding Corp, | ||||||||||
2020 Fourth Amendment Incremental Term Loan, | 947,822 | 948,116 |
See Notes to Consolidated Schedule of Investments.
48
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
December 31, 2020 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
2020 Term Loan B, 6 mo. LIBOR + 2.75%, 3.75%, 02/05/25 (b),(g) | $ | 452,408 | $ | 448,038 | ||||||
|
| |||||||||
1,396,154 | ||||||||||
|
| |||||||||
Retail - Consumer Discretionary — 0.2% | ||||||||||
Avis Budget Car Rental, LLC, 2020 Term Loan B, 1 mo. LIBOR + 2.25%, 2.38%, 08/06/27 (b),(g) | 266,348 | 256,610 | ||||||||
Bass Pro Group, LLC, Term Loan B, 1 mo. LIBOR + 5.00%, | 1,041,920 | 1,043,785 | ||||||||
Harbor Freight Tools USA, Inc., 2020 Term Loan B, 1 mo. LIBOR + 3.25%, 4.00%, 10/19/27 (b),(g) | 1,428,229 | 1,425,844 | ||||||||
LBM Acquisition LLC, | ||||||||||
Delayed Draw Term Loan, 4.50%, 12/09/27 (b),(g),(j) | 70,815 | 70,742 | ||||||||
Term Loan B, 3 mo. LIBOR + 3.75%, 4.50%, 12/09/27 (b),(g) | 318,668 | 318,336 | ||||||||
Petco Animal Supplies, Inc., 2017 Term Loan B, 3 mo. LIBOR + 3.25%, | 3,071,219 | 2,933,444 | ||||||||
PetSmart, Inc., Consenting Term Loan, 3 mo. LIBOR + 3.50%, | 197,916 | 197,358 | ||||||||
SiteOne Landscape Supply, Inc., 2018 Term Loan E, 1 mo. LIBOR + 2.75%, 3.75%, 10/29/24 (b),(g) | 36,119 | 35,848 | ||||||||
SRS Distribution Inc., 2018 1st Lien Term Loan, 1 mo. LIBOR + 3.00%, | 2,187,132 | 2,149,645 | ||||||||
Wand NewCo 3, Inc., 2020 Term Loan, 1 mo. LIBOR + 3.00%, | 531,302 | 523,067 | ||||||||
White Cap Buyer LLC, Term Loan B, 6 mo. LIBOR + 4.00%, | 802,558 | 801,555 | ||||||||
|
| |||||||||
9,756,234 | ||||||||||
|
| |||||||||
Software & Services — 0.8% | ||||||||||
Access CIG, LLC, 2018 1st Lien Term Loan, 3 mo. LIBOR + 3.75%, | 1,647,621 | 1,628,673 | ||||||||
Applied Systems, Inc., 2017 1st Lien Term Loan, 3 mo. LIBOR + 3.00%, | 341,108 | 340,682 | ||||||||
Ascend Learning, LLC, 2017 Term Loan B, 1 mo. LIBOR + 3.00%, 4.00%, | 129,696 | 128,885 | ||||||||
Banff Merger Sub Inc, 2018 USD Term Loan B, 1 mo. LIBOR + 4.25%, | 1,723,696 | 1,714,578 | ||||||||
Blackboard, Inc. 2019 Term Loan B5, 7.000%, 06/30/24 (b),(g) | 4,295,554 | 4,267,634 | ||||||||
Brave Parent Holdings, Inc., 1st Lien Term Loan, 1 mo. LIBOR + 4.00%, | 1,022,440 | 1,016,049 | ||||||||
CCC Information Services, Inc., 2017 1st Lien Term Loan, 1 mo. LIBOR + 3.00%, | 652,920 | 650,472 | ||||||||
ConvergeOne Holdings, Inc., 2019 Term Loan, 1 mo. LIBOR + 5.00%, | 281,799 | 264,539 | ||||||||
CT Technologies Intermediate Holdings, Inc., 2020 Term Loan, 1 mo. LIBOR + 5.00%, | 702,724 | 699,210 | ||||||||
DCert Buyer, Inc., 2019 Term Loan B, 1 mo. LIBOR + 4.00%, | 726,220 | 724,535 | ||||||||
DMT Solutions Global Corporation 2020 Incremental Term Loan, 8.000%, | 3,314,925 | 3,165,753 |
See Notes to Consolidated Schedule of Investments.
49
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
December 31, 2020 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Epicor Software Corporation, 2020 Term Loan, 1 mo. LIBOR + 4.25%, | $ | 1,075,995 | $ | 1,081,149 | ||||||
Finastra USA, Inc., USD 1st Lien Term Loan, 6 mo. LIBOR + 3.50%, | 987,718 | 966,422 | ||||||||
Flexera Software LLC, 2020 Incremental Term Loan, 4.50%, 01/26/28 (b),(d),(g),(j) | 613,939 | 613,172 | ||||||||
Genuine Financial Holdings, LLC, 2018 1st Lien Term Loan, 1 mo. LIBOR + 3.75%, | 446,522 | 431,823 | ||||||||
GlobalLogic Holdings Inc., 2020 Incremental Term Loan B2, 1 mo. LIBOR + 3.75%, | 204,546 | 203,523 | ||||||||
Greeneden U.S. Holdings II, LLC, 2020 USD Term Loan B, 1 mo. LIBOR + 4.00%, | 1,085,961 | 1,086,982 | ||||||||
Help/Systems Holdings, Inc, 2019 Term Loan B, 3 mo. LIBOR + 4.75%, | 771,824 | 766,035 | ||||||||
Hyland Software, Inc., 2018 1st Lien Term Loan, 1 mo. LIBOR + 3.50%, | 1,272,274 | 1,273,687 | ||||||||
Imperva, Inc., 1st Lien Term Loan, 3 mo. LIBOR + 4.00%, 5.00%, 01/12/26 (b),(g) | 1,412,845 | 1,411,079 | ||||||||
Imprivata, Inc, Term Loan, 1 mo. LIBOR + 3.75%, 4.25%, 12/01/27 (b),(g) | 230,899 | 230,899 | ||||||||
Informatica LLC, 2020 USD 2nd Lien Term Loan, 7.13%, 02/25/25 (b) | 77,519 | 78,740 | ||||||||
Ivanti Software, Inc., 2020 Term Loan B, 1 mo. LIBOR + 4.75%, | 500,000 | 498,280 | ||||||||
MA FinanceCo., LLC, 2020 USD Term Loan B, 3 mo. LIBOR + 4.25%, | 552,986 | 556,674 | ||||||||
Mitchell International, Inc., | ||||||||||
2017 1st Lien Term Loan, 1 mo. LIBOR + 3.25%, 3.47%, 11/29/24 (b),(g) | 1,304,869 | 1,279,594 | ||||||||
2020 Add-On Term Loan, 1 mo. LIBOR + 4.25%, 4.75%, 11/29/24 (b),(g) | 758,549 | 758,170 | ||||||||
Park Place Technologies, LLC, 2020 Term Loan, 1 mo. LIBOR + 5.00%, | 593,757 | 569,015 | ||||||||
Perforce Software, Inc., 2020 Term Loan B, 1 mo. LIBOR + 3.75%, 3.89%, 07/01/26 (b),(g) | 669,476 | 655,250 | ||||||||
Project Alpha Intermediate Holding, Inc., 2017 Term Loan B, 3 mo. LIBOR + 3.50%, 4.50%, 04/26/24 (b),(g) | 1,483,941 | 1,468,478 | ||||||||
Project Angel Holdings LLC, 2018 1st Lien Term Loan, 3 mo. LIBOR + 3.75%, | 595,970 | 590,011 | ||||||||
Project Boost Purchaser, LLC, 2019 Term Loan B, 1 mo. LIBOR + 3.50%, | 394,194 | 389,759 | ||||||||
Project Leopard Holdings, Inc., | ||||||||||
2018 Term Loan, 3 mo. LIBOR + 4.50%, 5.50%, 07/07/23 (b),(d),(g) | 117,901 | 117,385 | ||||||||
2019 Term Loan, 3 mo. LIBOR + 4.25%, 5.25%, 07/07/23 (b),(g) | 511,373 | 508,177 | ||||||||
Quest Software US Holdings Inc., 2018 1st Lien Term Loan, 3 mo. LIBOR + 4.25%, | 1,597,125 | 1,567,179 | ||||||||
Rackspace Hosting, Inc., 2017 Incremental 1st Lien Term Loan, 3 mo. LIBOR + 3.00%, 4.00%, 11/03/23 (b),(g) | 725,317 | 723,685 | ||||||||
Rocket Software, Inc., 2018 Term Loan, 1 mo. LIBOR + 4.25%, 4.49%, 11/28/25 (b),(g) | 1,190,909 | 1,179,167 | ||||||||
Sabre GLBL Inc., 2020 Term Loan B, 4.75%, 12/17/27 (b),(d),(g),(j) | 223,789 | 224,069 | ||||||||
Sophia, L.P., 2020 1st Lien Term Loan, 3 mo. LIBOR + 3.75%, 4.50%, 10/07/27 (b),(g) | 657,555 | 658,022 | ||||||||
Surf Holdings, LLC, USD Term Loan, 3 mo. LIBOR + 3.50%, 3.63%, 03/05/27 (b),(g) | 316,124 | 312,963 |
See Notes to Consolidated Schedule of Investments.
50
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
December 31, 2020 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Syncsort Incorporated, | ||||||||||
2018 Term Loan B, 3 mo. LIBOR + 6.25%, 6.38%, 08/16/24 (b),(g) | $ | 314,622 | $ | 313,285 | ||||||
Term Loan B, 3 mo. LIBOR + 6.00%, 7.00%, 08/16/24 (b),(g) | 796,005 | 794,516 | ||||||||
TierPoint, LLC, 2017 1st Lien Term Loan, 1 mo. LIBOR + 3.75%, 3.90%, 05/06/24 (b),(g) | 1,784,840 | 1,775,166 | ||||||||
Veritas US Inc., 2020 USD Term Loan B, 3 mo. LIBOR + 5.50%, 6.50%, 09/01/25 (b),(g) | 1,543,372 | 1,537,584 | ||||||||
Verscend Holding Corp., 2018 Term Loan B, 1 mo. LIBOR + 4.50%, 4.73%, 08/27/25 (b),(g) | 549,444 | 548,345 | ||||||||
VT Topco, Inc., 2018 1st Lien Term Loan, 1 mo. LIBOR + 3.50%, | 96,152 | 94,710 | ||||||||
|
| |||||||||
39,864,005 | ||||||||||
|
| |||||||||
Software & Technology Services — 0.0% | ||||||||||
Virtusa Corporation, Term Loan B, 0.00%, 12/01/27 (b),(d),(j) | 207,739 | 206,181 | ||||||||
Weld North Education, LLC, 2020 Term Loan B, 0.00%, 12/15/27 (b),(j) | 611,457 | 609,164 | ||||||||
|
| |||||||||
815,345 | ||||||||||
|
| |||||||||
Specialty Finance — 0.0% | ||||||||||
PI US MergerCo, Inc., USD 2017 1st Lien Term Loan, 3 mo. LIBOR + 3.50%, | 351,143 | 349,953 | ||||||||
|
| |||||||||
Transportation & Logistics — 0.0% | ||||||||||
Atlantic Aviation FBO Inc., 2018 Term Loan B, 1 mo. LIBOR +3.75%, | 167,604 | 166,766 | ||||||||
Gruden Acquisition, Inc., 2017 Term Loan, 3 mo. LIBOR + 5.50%, | 1,014,830 | 1,002,145 | ||||||||
IBC Capital Limited, 2018 1st Lien Term Loan, 3 mo. LIBOR + 3.75%, | 552,416 | 544,130 | ||||||||
|
| |||||||||
1,713,041 | ||||||||||
|
| |||||||||
Travel & Lodging — 0.1% | ||||||||||
Casablanca US Holdings, Inc., 2018 1st Lien Term Loan, 3 mo. LIBOR + 4.00%, 4.23%, 03/29/24 (b),(g) | 1,964,172 | 1,574,618 | ||||||||
Hornblower Sub, LLC, | ||||||||||
2020 Repriced Term Loan B, 3 mo. LIBOR + 4.50%, 5.50%, 04/27/25 (b),(g) | 102,993 | 87,544 | ||||||||
2020 Repriced Term Loan B, 3 mo. LIBOR + 4.50%, 5.75%, 04/27/25 (b),(g) | 106,533 | 90,553 | ||||||||
SMB Shipping Logistics, LLC 1st Lien Term Loan ,5.000%, 02/02/24 (b),(g) | 437,112 | 430,336 | ||||||||
|
| |||||||||
2,183,051 | ||||||||||
|
| |||||||||
Utilities — 0.0% | ||||||||||
Pacific Gas & Electric Company, 2020 Term Loan, 1 mo. LIBOR + 4.50%, | 301,108 | 304,195 | ||||||||
|
| |||||||||
Waste & Environmental Services & Equipment — 0.1% | ||||||||||
EnergySolutions, LLC, 2018 Term Loan B, 3 mo. LIBOR + 3.75%, | 548,886 | 539,050 | ||||||||
ERM Emerald US Inc., USD Term Loan B1, 3 mo. LIBOR + 3.25%, | 307,686 | 303,840 | ||||||||
Robertshaw US Holding Corp, 2018 1st Lien Term Loan, 1 mo. LIBOR + 3.50%, | 1,549,403 | 1,444,818 | ||||||||
|
| |||||||||
2,287,708 | ||||||||||
|
|
See Notes to Consolidated Schedule of Investments.
51
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
December 31, 2020 (Unaudited)
Security Description | Principal Amount | Value | ||||||||||
Wireless Telecommunications Services — 0.0% | ||||||||||||
CCI Buyer, Inc., Term Loan, 4.75%, 12/17/27 (b),(g),(j) | $ | 383,753 | $ | 383,112 | ||||||||
Iridium Satellite LLC, Term Loan, 1 mo. LIBOR + 3.75%, | 270,010 | 271,098 | ||||||||||
|
| |||||||||||
654,210 | ||||||||||||
|
| |||||||||||
Wireline Telecommunications Services — 0.0% | ||||||||||||
Colorado Buyer Inc 2nd Lien Term Loan ,8.250%, 05/01/25 (b),(g) | 1,835,279 | 1,430,526 | ||||||||||
Securus Technologies Holdings, Inc., 2017 1st Lien Term Loan, 6 mo. LIBOR + 4.50%, 5.50%, 11/01/24 (b),(g) | 262,491 | 245,267 | ||||||||||
|
| |||||||||||
1,675,793 | ||||||||||||
|
| |||||||||||
Total North America | 277,296,227 | |||||||||||
|
| |||||||||||
South America — 0.2% | ||||||||||||
Industrial Services — 0.0% | ||||||||||||
Latam Airlines Group S.A., | ||||||||||||
PIK DIP Delayed Draw Term Loan A, 3 mo. LIBOR + 0.50%, | 1,265,683 | 1,276,226 | ||||||||||
PIK DIP Delayed Draw Term Loan C, 1.25%, 03/29/22 (b),(d) | 981,194 | 1,074,407 | ||||||||||
|
| |||||||||||
2,350,633 | ||||||||||||
|
| |||||||||||
Iron & Steel — 0.2% | ||||||||||||
Samarco Mineracao S.A., Fixed Rate Term Loan, 0.00%, 03/25/21 (b),(d) | 11,623,127 | 7,990,900 | ||||||||||
|
| |||||||||||
Total South America | 10,341,533 | |||||||||||
|
| |||||||||||
TOTAL BANK DEBT | 298,593,640 | |||||||||||
|
| |||||||||||
CORPORATE BONDS & NOTES — 6.1% | ||||||||||||
Africa — 0.2% | ||||||||||||
Utilities — 0.2% | ||||||||||||
Eskom Holdings SOC Ltd., | ||||||||||||
5.75%, 01/26/21 (e),(l) | 4,371,000 | 4,353,516 | ||||||||||
8.45%, 08/10/28 (e) | 4,535,000 | 4,993,035 | ||||||||||
|
| |||||||||||
9,346,551 | ||||||||||||
|
| |||||||||||
Total Africa | 9,346,551 | |||||||||||
|
| |||||||||||
Asia — 0.1% | ||||||||||||
Financial Services — 0.1% | ||||||||||||
VTB Bank OJSC Via VTB Capital SA, 6.95%, 10/17/22 (e) | 3,032,000 | 3,246,690 | ||||||||||
|
| |||||||||||
Total Asia | 3,246,690 | |||||||||||
|
| |||||||||||
Europe — 0.7% | ||||||||||||
Aerospace & Defense — 0.1% | ||||||||||||
Rolls-Royce PLC, | ||||||||||||
4.63%, 02/16/26 (b),(e) | 1,161,000 | EUR | 1,531,802 | |||||||||
5.75%, 10/15/27 (b),(c),(f) | 1,848,000 | EUR | 2,046,660 | |||||||||
MTN, 1.63%, 05/09/28 (b),(e) | 524,000 | EUR | $ | 595,573 | ||||||||
|
| |||||||||||
4,174,035 | ||||||||||||
|
| |||||||||||
Automobiles Manufacturing — 0.2% | ||||||||||||
Aston Martin Capital Holdings Ltd., 10.50%, 11/30/25 (b),(c),(f) | 1,594,000 | 1,751,694 |
See Notes to Consolidated Schedule of Investments.
52
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
December 31, 2020 (Unaudited)
Security Description | Principal Amount | Value | ||||||||||
Mclaren Finance plc, 5.00%, 08/01/22 (b),(e) | $ | 3,999,000 | GBP | 5,270,398 | ||||||||
Mclaren Finance PLC, 5.75%, 08/01/22 (b),(f) | 579,000 | 561,630 | ||||||||||
|
| |||||||||||
7,583,722 | ||||||||||||
|
| |||||||||||
Banks — 0.2% | ||||||||||||
HSBC Bank PLC, MTN, 0.01%, 01/14/21 (f),(m) | 25,975,000 | EGP | 1,645,921 | |||||||||
ICBC Standard Bank plc, MTN, 0.00%, 03/04/21 (c),(f),(m) | 112,517,467 | EGP | 7,019,453 | |||||||||
|
| |||||||||||
8,665,374 | ||||||||||||
|
| |||||||||||
Containers & Packaging — 0.0% | ||||||||||||
Schoeller Packaging BV, 6.38%, 11/01/24 (b),(e) | 200,000 | EUR | 249,761 | |||||||||
|
| |||||||||||
Real Estate — 0.0% | ||||||||||||
Unique Pub Finance Co PLC (The), | ||||||||||||
6.46%, 03/30/32 (b),(e) | 410,000 | GBP | 545,598 | |||||||||
7.40%, 03/28/24 (b),(e) | 93,000 | GBP | 127,864 | |||||||||
|
| |||||||||||
673,462 | ||||||||||||
|
| |||||||||||
Restaurants — 0.2% | ||||||||||||
Stonegate Pub Co. Financing 2019 plc ,8.250%, 07/31/25 (b),(e),(f) | 6,244,000 | GBP | 8,645,408 | |||||||||
Wagamama Finance plc, 4.13%, 07/01/22 (b),(e),(l) | 2,507,000 | GBP | 3,330,960 | |||||||||
|
| |||||||||||
11,976,368 | ||||||||||||
|
| |||||||||||
Transportation & Logistics — 0.0% | ||||||||||||
Heathrow Finance PLC, | ||||||||||||
4.38%, 03/01/27 (b),(e) | 687,000 | GBP | 937,688 | |||||||||
4.63%, 09/01/29 (b),(e) | 569,000 | GBP | 773,245 | |||||||||
|
| |||||||||||
1,710,933 | ||||||||||||
|
| |||||||||||
Total Europe | 35,033,655 | |||||||||||
|
| |||||||||||
Middle East — 0.0% | ||||||||||||
Financial Services — 0.0% | ||||||||||||
MDC-GMTN BV, MTN, 4.50%, 11/07/28 (e) | $ | 1,379,000 | 1,654,800 | |||||||||
|
| |||||||||||
Total Middle East | 1,654,800 | |||||||||||
|
| |||||||||||
North America — 5.0% | ||||||||||||
Airlines — 0.0% | ||||||||||||
Mileage Plus Holdings LLC / Mileage Plus Intellectual Property Assets Ltd, | 406,496 | 436,983 | ||||||||||
|
| |||||||||||
Banks — 0.1% | ||||||||||||
JPMorgan Chase Bank N.A., 0.01%, 09/16/21 (f),(m) | 46,252,000 | EGP | 2,701,585 | |||||||||
|
| |||||||||||
Chemicals — 0.0% | ||||||||||||
LyondellBasell Industries NV, | ||||||||||||
0.00%, 08/15/49 (b) | $ | 16,732,095 | 0 | |||||||||
1.00%, 08/15/15 (b) | 980,468 | EUR | 0 | |||||||||
|
| |||||||||||
0 | ||||||||||||
|
|
See Notes to Consolidated Schedule of Investments.
53
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
December 31, 2020 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Commercial Finance — 0.3% | ||||||||||
Fortress Transportation & Infrastructure Investors LLC, 6.75%, 03/15/22 (b),(f) | $ | 1,203,000 | EUR | 1,206,008 | ||||||
Fortress Transportation and Infrastructure Investors LLC, 6.50%, 10/01/25 (b),(f) | 13,657,000 | 14,273,067 | ||||||||
|
| |||||||||
15,479,075 | ||||||||||
|
| |||||||||
Consumer Finance — 0.2% | ||||||||||
Curo Group Holdings Corp., 8.25%, 09/01/25 (b),(c),(f) | 14,499,000 | 13,774,050 | ||||||||
|
| |||||||||
Consumer Products — 0.2% | ||||||||||
Kronos Acquisition Holdings, Inc., | ||||||||||
5.00%, 12/31/26 (b),(f) | 779,000 | 812,108 | ||||||||
7.00%, 12/31/27 (b),(f) | 1,112,000 | 1,164,286 | ||||||||
9.00%, 08/15/23 (b),(c),(f) | 7,044,000 | 7,216,578 | ||||||||
|
| |||||||||
9,192,972 | ||||||||||
|
| |||||||||
Exploration & Production — 0.2% | ||||||||||
Par Petroleum LLC / Petroleum Finance Corp., 7.75%, 12/15/25 (b),(c),(f) | 11,844,000 | 11,370,240 | ||||||||
|
| |||||||||
Financial Services — 0.1% | ||||||||||
Citigroup Global Markets Holdings, Inc., MTN, 0.00%, 04/22/21 (f),(m) | 53,602,000 | EGP | 3,287,768 | |||||||
MF Global Holdings Ltd., 6.75%, 08/08/16 (b),(d),(k),(l) | $ | 436,000 | 128,620 | |||||||
|
| |||||||||
3,416,388 | ||||||||||
|
| |||||||||
Food & Beverage — 0.0% | ||||||||||
Cooke Omega Investments, Inc. / Alpha VesselCo Holdings, Inc., | 564,000 | 579,510 | ||||||||
Del Monte Foods, Inc., 11.88%, 05/15/25 (b),(c),(f) | 1,783,000 | 2,023,705 | ||||||||
|
| |||||||||
2,603,215 | ||||||||||
|
| |||||||||
Health Care Facilities & Services — 0.2% | ||||||||||
BCPE Cycle Merger Sub II, Inc., 10.63%, 07/15/27 (b),(c),(f) | 2,792,000 | 3,085,160 | ||||||||
CAN Community Health, Inc., 8.50%, 03/01/28 (b),(f) | 4,230,000 | 4,230,000 | ||||||||
Hadrian Merger Sub, Inc., 8.50%, 05/01/26 (b),(c),(f) | 1,950,000 | 2,013,375 | ||||||||
Surgery Center Holdings, Inc., 6.75%, 07/01/25 (b),(c),(f) | 1,388,000 | 1,412,290 | ||||||||
|
| |||||||||
10,740,825 | ||||||||||
|
| |||||||||
Home Improvement — 0.1% | ||||||||||
Werner FinCo LP / Werner FinCo, Inc., 8.75%, 07/15/25 (b),(c),(f) | 4,383,000 | 4,645,980 | ||||||||
|
| |||||||||
Industrial Other — 0.4% | ||||||||||
Brand Industrial Services, Inc., 8.50%, 07/15/25 (b),(f) | 1,091,000 | 1,114,184 | ||||||||
Michael Baker International LLC, 8.75%, 03/01/23 (b),(c),(f) | 20,381,000 | 20,661,239 | ||||||||
|
| |||||||||
21,775,423 | ||||||||||
|
| |||||||||
Integrated Oils — 1.3% | ||||||||||
Petroleos Mexicanos, | ||||||||||
3.50%, 01/30/23 | 2,372,000 | 2,418,966 | ||||||||
4.50%, 01/23/26 | 1,027,000 | 1,023,395 | ||||||||
5.95%, 01/28/31 | 1,712,000 | 1,707,720 | ||||||||
6.35%, 02/12/48 | 19,554,000 | 17,725,701 | ||||||||
6.38%, 01/23/45 | 2,673,000 | 2,449,804 |
See Notes to Consolidated Schedule of Investments.
54
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
December 31, 2020 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
6.75%, 09/21/47 | $ | 26,146,000 | EUR | 24,511,875 | ||||||
6.88%, 10/16/25 (f) | 1,081,000 | 1,183,587 | ||||||||
6.95%, 01/28/60 | 1,976,000 | 1,855,662 | ||||||||
7.69%, 01/23/50 | 14,846,000 | 14,968,479 | ||||||||
|
| |||||||||
67,845,189 | ||||||||||
|
| |||||||||
Internet Media — 0.1% | ||||||||||
Getty Images, Inc., 9.75%, 03/01/27 (b),(c),(f) | 3,162,000 | 3,367,530 | ||||||||
|
| |||||||||
Machinery Manufacturing — 0.2% | ||||||||||
Granite US Holdings Corp., 11.00%, 10/01/27 (b),(f) | 515,000 | 571,650 | ||||||||
Husky III Holding Ltd., PIK, 13.00%, 02/15/25 (b),(c),(f) | 4,110,000 | 4,469,625 | ||||||||
Titan Acquisition Ltd./Titan Co-Borrower LLC, 7.75%, 04/15/26 (b),(c),(f) | 4,545,000 | 4,704,075 | ||||||||
|
| |||||||||
9,745,350 | ||||||||||
|
| |||||||||
Manufactured Goods — 0.1% | ||||||||||
Foxtrot Escrow Issuer LLC / Foxtrot Escrow Corp., 12.25%, 11/15/26 (b),(c),(f) | 4,730,000 | 5,392,200 | ||||||||
Hillman Group, Inc. (The), 6.38%, 07/15/22 (b),(c),(f) | 2,449,000 | 2,430,633 | ||||||||
|
| |||||||||
7,822,833 | ||||||||||
|
| |||||||||
Oil & Gas Services & Equipment — 0.1% | ||||||||||
CSI Compressco LP / CSI Compressco Finance, Inc., | ||||||||||
7.25%, 08/15/22 (b),(c) | $ | 8,148,000 | $ | 6,762,840 | ||||||
7.50%, 04/01/25 (b),(c),(f) | 1,726,000 | 1,631,070 | ||||||||
|
| |||||||||
8,393,910 | ||||||||||
|
| |||||||||
Pipeline — 0.7% | ||||||||||
American Midstream Partners LP / American Midstream Finance Corp., | 21,665,000 | 21,502,512 | ||||||||
Martin Midstream Partners LP / Martin Midstream Finance Corp., | ||||||||||
10.00%, 02/29/24 (b),(c),(f) | 3,151,352 | 3,214,379 | ||||||||
11.50%, 02/28/25 (b),(c),(f) | 14,311,133 | 13,702,910 | ||||||||
|
| |||||||||
38,419,801 | ||||||||||
|
| |||||||||
Property & Casualty Insurance — 0.1% | ||||||||||
Highlands Holdings Bond Issuer Ltd / Highlands Holdings Bond Co-Issuer Inc, PIK, 7.63%, 10/15/25 (b),(c),(f) | 2,685,953 | 2,867,255 | ||||||||
|
| |||||||||
Publishing & Broadcasting — 0.1% | ||||||||||
Clear Channel Worldwide Holdings, Inc., 9.25%, 02/15/24 (b),(c) | 3,502,000 | 3,545,775 | ||||||||
|
| |||||||||
Real Estate — 0.2% | ||||||||||
EPR Properties, 3.75%, 08/15/29 (b),(c) | 2,246,000 | 2,153,681 | ||||||||
ESH Hospitality, Inc., 4.63%, 10/01/27 (b),(c),(f) | 1,077,000 | 1,103,925 | ||||||||
MGM Growth Properties Operating Partnership LP / MGP Finance Co-Issuer Inc, 3.88%, 02/15/29 (b),(c),(f) | 1,000,000 | 1,022,500 | ||||||||
Service Properties Trust, | ||||||||||
3.95%, 01/15/28 (b) | 905,000 | 874,456 | ||||||||
4.38%, 02/15/30 (b),(c) | 5,174,000 | 5,044,650 | ||||||||
4.95%, 10/01/29 (b) | 1,216,000 | 1,219,040 |
See Notes to Consolidated Schedule of Investments.
55
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
December 31, 2020 (Unaudited)
Security Description | Principal Amount | Value | ||||||||||
5.50%, 12/15/27 (b) | $ | 134,000 | EUR | 146,453 | ||||||||
|
| |||||||||||
11,564,705 | ||||||||||||
|
| |||||||||||
Refining & Marketing — 0.0% | ||||||||||||
Citgo Holding, Inc., 9.25%, 08/01/24 (b),(c),(f) | 1,873,000 | 1,723,160 | ||||||||||
|
| |||||||||||
Retail - Discretionary — 0.0% | ||||||||||||
ESC GCB Guitar CTR, 9.50%, 10/15/21 (b),(f) | 15,458,000 | 0 | ||||||||||
|
| |||||||||||
Transportation & Logistics — 0.0% | ||||||||||||
BCD Acquisition, Inc., 9.63%, 09/15/23 (b),(f) | 212,000 | 217,035 | ||||||||||
|
| |||||||||||
Travel & Lodging — 0.2% | ||||||||||||
Viking Cruises Ltd., | ||||||||||||
5.88%, 09/15/27 (b),(c),(f) | 4,255,000 | 4,161,300 | ||||||||||
6.25%, 05/15/25 (b),(f) | 320,000 | 313,600 | ||||||||||
13.00%, 05/15/25 (b),(c),(f) | 4,199,000 | 5,017,805 | ||||||||||
VOC Escrow Ltd., 5.00%, 02/15/28 (b),(f) | 506,000 | 502,205 | ||||||||||
|
| |||||||||||
9,994,910 | ||||||||||||
|
| |||||||||||
Utilities — 0.1% | ||||||||||||
Pacific Gas and Electric Co., 3.15%, 01/01/26 (b) | 1,076 | 1,146 | ||||||||||
Rockpoint Gas Storage Canada Ltd., 7.00%, 03/31/23 (b),(c),(f) | 4,601,000 | 4,554,990 | ||||||||||
|
| |||||||||||
4,556,136 | ||||||||||||
|
| |||||||||||
Total North America | 266,200,325 | |||||||||||
|
| |||||||||||
South America — 0.1% | ||||||||||||
Integrated Oils — 0.1% | ||||||||||||
Petrobras Global Finance BV, | ||||||||||||
6.75%, 06/03/50 | 2,706,000 | 3,362,205 | ||||||||||
6.90%, 03/19/49 (c) | 2,352,000 | 2,981,160 | ||||||||||
|
| |||||||||||
6,343,36 | ||||||||||||
|
| |||||||||||
Metals & Mining — 0.0% | ||||||||||||
CSN Islands XI Corp., 6.75%, 01/28/28 (f) | $ | 1,972,000 | $ | 2,134,690 | ||||||||
|
| |||||||||||
Total South America | 8,478,055 | |||||||||||
|
| |||||||||||
TOTAL CORPORATE BONDS & NOTES | 323,960,076 | |||||||||||
|
| |||||||||||
SOVEREIGN DEBT — 13.1% | ||||||||||||
Angolan Government International Bond, MTN, 8.00%, 11/26/29 (e) | 1,654,000 | 1,551,584 | ||||||||||
Argentine Republic Government International Bond, | ||||||||||||
0.13%, 07/09/35 - 07/09/46 | 9,935,053 | 3,632,303 | ||||||||||
1.00%, 07/09/29 | 485,806 | 210,111 | ||||||||||
Bahamas Government International Bond, 8.95%, 10/15/32 (c),(f) | 2,623,000 | 2,859,070 | ||||||||||
Bahrain Government International Bond, 7.00%, 01/26/26 (e) | 2,600,000 | 3,021,880 | ||||||||||
Costa Rica Government International Bond, | ||||||||||||
5.63%, 04/30/43 (e) | 800,000 | 670,000 | ||||||||||
7.16%, 03/12/45 (e) | 30,000,000 | 27,712,500 | ||||||||||
Ecuador Government International Bond, | ||||||||||||
0.00%, 07/31/30 (f),(m) | 3,021,419 | 1,431,397 |
See Notes to Consolidated Schedule of Investments.
56
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
December 31, 2020 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
0.50%, 07/31/30 - 07/31/40 (f) | $ | 46,840,819 | EUR | 25,918,493 | ||||||
Egypt Government International Bond, | ||||||||||
7.90%, 02/21/48 (e) | 26,300,000 | 28,535,500 | ||||||||
8.15%, 11/20/59 (f) | 1,279,000 | 1,404,068 | ||||||||
8.50%, 01/31/47 (e) | 12,500,000 | 14,125,000 | ||||||||
8.70%, 03/01/49 (e) | 2,462,000 | 2,837,455 | ||||||||
8.88%, 05/29/50 (e),(f) | 7,008,000 | 8,211,834 | ||||||||
French Republic Government Bond OAT, 0.10%, 03/01/29 (b),(e) | 8,065,950 | EUR | 11,127,408 | |||||||
Gabon Government International Bond, | ||||||||||
6.38%, 12/12/24 (e) | $ | 4,000,000 | 4,160,000 | |||||||
6.63%, 02/06/31 (c),(e),(f) | 58,200,000 | 59,949,341 | ||||||||
Iraq International Bond, | ||||||||||
5.80%, 01/15/28 (e),(h) | 95,062,500 | 88,892,944 | ||||||||
6.75%, 03/09/23 (e) | 11,000,000 | 10,713,340 | ||||||||
Ivory Coast Government International Bond, | ||||||||||
6.13%, 06/15/33 (e) | 28,100,000 | 31,624,414 | ||||||||
6.38%, 03/03/28 (e),(h) | 3,200,000 | 3,655,552 | ||||||||
Jordan Government International Bond, 7.38%, 10/10/47 (e) | 8,300,000 | 9,661,794 | ||||||||
Kenya Government International Bond, 8.00%, 05/22/32 (e) | 20,200,000 | 23,531,546 | ||||||||
Kingdom Of Jordan, | ||||||||||
4.95%, 07/07/25 (f) | 2,099,000 | 2,225,376 | ||||||||
5.85%, 07/07/30 (f) | 1,404,000 | 1,546,956 | ||||||||
Kingdom of Jordan, 7.38%, 10/10/47 (e) | 12,600,000 | 14,667,302 | ||||||||
Mexican Bonos, | ||||||||||
7.75%, 05/29/31 | 200,000,000 | MXN | 11,808,437 | |||||||
8.50%, 05/31/29 - 11/18/38 (h) | 409,600,000 | MXN | 25,298,580 | |||||||
Mexico Government International Bond, | ||||||||||
3.77%, 05/24/61 | $ | 1,063,000 | 1,107,115 | |||||||
4.75%, 04/27/32 | 1,930,000 | 2,322,755 | ||||||||
5.00%, 04/27/51 | 1,995,000 | 2,483,775 | ||||||||
Nigeria Government International Bond, | ||||||||||
7.14%, 02/23/30 (e) | 25,400,000 | 27,368,500 | ||||||||
7.63%, 11/21/25 (c),(e),(f),(h) | 29,554,000 | 33,935,735 | ||||||||
Paraguay Government International Bond, 4.63%, 01/25/23 (e) | 8,792,000 | 9,451,400 | ||||||||
Republic of Belarus International Bond, 6.20%, 02/28/30 (e) | 10,800,000 | 10,915,776 | ||||||||
Republic of Belarus Ministry of Finance, | ||||||||||
5.88%, 02/24/26 (e) | 5,400,000 | 5,529,816 | ||||||||
6.38%, 02/24/31 (e) | 23,200,000 | 23,548,000 | ||||||||
Republic of South Africa Government Bond, 8.25%, 03/31/32 | 51,649,000 | ZAR | 3,164,271 | |||||||
Russian Federal Bond - OFZ, | ||||||||||
6.00%, 10/06/27 | 554,238,000 | RUB | 7,638,732 | |||||||
7.15%, 11/12/25 | 787,484,000 | RUB | 11,518,572 | |||||||
7.40%, 07/17/24 | 736,069,000 | RUB | 10,750,516 | |||||||
Russian Foreign Bond - Eurobond, 5.25%, 06/23/47 (e) | $ | 3,000,000 | $ | 4,151,250 | ||||||
Saudi Government International Bond, 2.75%, 02/03/32 (f) | 4,336,000 | 4,574,307 | ||||||||
3.75%, 01/21/55 (f) | 1,685,000 | 1,839,093 | ||||||||
MTN, 2.75%, 02/03/32 (e) | 200,000 | 210,992 | ||||||||
Turkey Government International Bond, 6.38%, 10/14/25 | 2,456,000 | 2,649,361 |
See Notes to Consolidated Schedule of Investments.
57
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
December 31, 2020 (Unaudited)
Security Description | Principal Amount | Value | ||||||||||
Ukraine Government International Bond, | ||||||||||||
0.00%, 05/31/40 (e),(g) | $ | 68,350,000 | $ | 70,315,063 | ||||||||
7.25%, 03/15/33 (c),(f),(h) | 17,692,000 | 19,283,218 | ||||||||||
7.38%, 09/25/32 (e) | 17,500,000 | 19,228,125 | ||||||||||
|
| |||||||||||
TOTAL SOVEREIGN DEBT | 692,970,557 | |||||||||||
|
| |||||||||||
MORTGAGE-BACKED SECURITIES — 18.2% | ||||||||||||
Europe — 0.3% | ||||||||||||
Collateralized Mortgage Obligation (Residential) — 0.1% | ||||||||||||
JEPSON, | ||||||||||||
Series 2019-1, Class E, 0.93%, 11/24/57 (b),(g) | 1,929,000 | EUR | 2,262,300 | |||||||||
Series 2019-1, Class D, 0.93%, 11/24/57 (b),(g) | 1,267,000 | EUR | 1,537,383 | |||||||||
|
| |||||||||||
3,799,683 | ||||||||||||
|
| |||||||||||
Commercial Mortgage-Backed Securities — 0.2% | ||||||||||||
Cold Finance plc, | ||||||||||||
Series 1, Class C, 3mo. GBP LIBOR + 1.95%, 2.00%, 08/20/29 (b),(e),(g) | 1,110,427 | GBP | 1,474,865 | |||||||||
Series 1, Class D, 3 mo. GBP LIBOR + 2.50%, 2.55%, 08/20/29 (b),(e),(g) | 3,656,648 | GBP | 4,841,984 | |||||||||
Series 1, Class E, 3mo. GBP LIBOR + 3.55%, 3.60%, 08/20/29 (b),(e),(g) | 3,744,208 | GBP | 4,809,903 | |||||||||
|
| |||||||||||
11,126,752 | ||||||||||||
|
| |||||||||||
Total Europe | 14,926,435 | |||||||||||
|
| |||||||||||
North America — 17.9% | ||||||||||||
Collateralized Mortgage Obligation (Residential) — 8.5% | ||||||||||||
Alternative Loan Trust, Series 2006-33CB SEQ, Class 2A1, | $ | 744,233 | 613,036 | |||||||||
American Home Mortgage Investment Trust, Series 2005-2, Class 5A4C, | 1,077,177 | 829,875 | ||||||||||
Banc of America Funding 2005-B Trust, Series 2005-B, Class 3M2, 1 mo. USD LIBOR + 1.05%, 1.20%, 04/20/35 (b),(c),(g) | 1,501,655 | 1,357,962 | ||||||||||
Bear Stearns Trust, Series 2006-6, Class 31A1, 3.27%, 11/25/36 (b),(c),(g) | 1,200,800 | 931,731 | ||||||||||
Bellemeade Re Ltd., | ||||||||||||
Series 2017-1, Class M2, 1 mo. USD LIBOR + 3.35%, | 7,343,393 | 7,295,007 | ||||||||||
Series 2019-1A, Class M2, 1 mo. USD LIBOR + 2.70%, | 1,460,000 | 1,458,010 | ||||||||||
Series 2019-1A, Class B1, 1 mo. USD LIBOR + 4.00%, | 331,000 | 319,144 | ||||||||||
Series 2019-4A, Class M2, 1 mo. USD LIBOR + 2.85%, | 8,940,000 | 8,986,515 | ||||||||||
Series 2020-4A, Class M2A, 1 mo. USD LIBOR + 2.60%, | 4,000,000 | 4,001,028 | ||||||||||
Cascade Funding Mortgage Trust, | ||||||||||||
Series 2019-RM3 SEQ, Class C, 4.00%, 06/25/69 (b),(f),(g) | 358,746 | 319,384 | ||||||||||
Series 2019-RM3 SEQ, Class D, 4.00%, 06/25/69 (b),(f),(g) | 393,771 | 329,253 | ||||||||||
Chase Mortgage Finance Corp., Series 2007-A2, Class 3A2, | 63,120 | 61,559 | ||||||||||
Citicorp Mortgage Securities Trust, Series 2006-3, Class 1A10, | 223,805 | 223,508 |
See Notes to Consolidated Schedule of Investments.
58
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
December 31, 2020 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Connecticut Avenue Securities, | ||||||||||
Series 2015-C04, Class 1M2, 1 mo. USD LIBOR + 5.70%, | $ | 3,693,493 | $ | 3,905,869 | ||||||
Series 2016-C02, Class 1M2, 1 mo. USD LIBOR + 6.00%, | 1,399,090 | 1,458,551 | ||||||||
Connecticut Avenue Securities Trust, | ||||||||||
Series 2018-R07, Class 1X2, 1.30%, 04/25/31 (b),(c),(f),(i) | 1,635,085 | 9,268 | ||||||||
Series 2018-R07, Class 1M2, 1 mo. USD LIBOR + 2.40%, | 2,787,547 | 2,785,370 | ||||||||
Series 2019-R01, Class 2X2, 1.30%, 07/25/31 (b),(c),(f),(i) | 4,694,613 | 50,068 | ||||||||
Series 2019-R02, Class 1M2, 1 mo. USD LIBOR + 2.30%, | 3,086,483 | 3,082,624 | ||||||||
Series 2019-R06, Class 2X2, 1.10%, 09/25/39 (b),(c),(f),(i) | 6,622,705 | 65,552 | ||||||||
Series 2020-R01, Class 1M2, 1 mo. USD LIBOR + 2.05%, | 7,271,000 | 7,227,832 | ||||||||
Series 2020-R02, Class 2M2, 1 mo. USD LIBOR + 2.00%, | 26,797,000 | 26,608,590 | ||||||||
Countrywide Alternative Loan Trust, Series 2005-21CB SEQ, Class A17, | 614,658 | 605,108 | ||||||||
Countrywide Asset-Backed Certificates, Series 2005-15, Class 1AF6, | 1 | 1 | ||||||||
Deephaven Residential Mortgage Trust, Series 2020-2, Class M1, | 699,000 | 732,247 | ||||||||
Eagle RE Ltd., | ||||||||||
Series 2019-1, Class M2, 1 mo. USD LIBOR + 3.30%, 3.45%, 04/25/29 (b),(f),(g),(h) | 8,674,000 | 8,684,001 | ||||||||
Series 2020-1, Class M2, 1 mo. USD LIBOR + 2.00%, 2.15%, 01/25/30 (b),(f),(g),(h) | 10,192,000 | 9,804,154 | ||||||||
Federal Home Loan Mortgage Corp., | ||||||||||
Series 2015-DNA2, Class M3, 1 mo. USD LIBOR + 3.90%, | 1,459,786 | 1,476,574 | ||||||||
Series 2017-DNA2, Class M2AI, 2.50%, 10/25/29 (b),(c),(i) | 1,381,500 | 37,940 | ||||||||
Series 2017-DNA2, Class M2B, 1 mo. USD LIBOR + 3.45%, | 1,381,500 | 1,374,161 | ||||||||
Series 2017-DNA3, Class M2AI, 1.75%, 03/25/30 (b),(c),(i) | 1,935,200 | 36,689 | ||||||||
Series 2017-HQA1, Class M2AI, 2.50%, 08/25/29 (b),(c),(i) | 3,941,370 | 76,124 | ||||||||
Series 2017-HQA2, Class M2AI, 2.00%, 12/25/29 (b),(c),(i) | 7,427,707 | 146,333 | ||||||||
Series 2017-HQA2, Class M2B, 1 mo. USD LIBOR + 2.65%, | 10,850,607 | 10,728,538 | ||||||||
Series 2018-DNA1, Class M2AI, 1.25%, 07/25/30 (b),(c),(i) | 6,242,780 | 51,160 | ||||||||
Series 2018-DNA1, Class M2B, 1 mo. USD LIBOR + 1.80%, | 16,672,500 | 16,280,696 | ||||||||
Series 2018-HQA1, Class M2AI, 1.50%, 09/25/30 (b),(c),(i) | 2,151,702 | 27,697 | ||||||||
Series 2018-HQA1, Class M2B, 2.45%, 09/25/30 (b),(c),(g) | 4,649,500 | 4,553,023 | ||||||||
Series 2019-DNA2, Class M2, 1 mo. USD LIBOR + 2.45%, | 2,090,087 | 2,079,636 | ||||||||
Series 2019-FTR2, Class M2, 1 mo. USD LIBOR + 2.15%, | 10,006,000 | 9,905,940 | ||||||||
Federal National Mortgage Association, 2.00%, 01/14/51 (b),(n) | 15,000,000 | 15,583,590 | ||||||||
2.50%, 01/14/51 (b),(n) | 38,400,000 | 40,476,019 |
See Notes to Consolidated Schedule of Investments.
59
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
December 31, 2020 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
4.00%, 01/14/51 (b),(n) | $ | 8,500,000 | $ | 9,076,411 | ||||||
Series 2017-C01, Class 1X1, 2.30%, 07/25/29 (b),(c),(i) | 8,201,933 | 178,523 | ||||||||
Series 2017-C02, Class 2X3, 2.30%, 09/25/29 (b),(c),(i) | 8,394,176 | 199,261 | ||||||||
Series 2017-C02, Class 2X4, 2.80%, 09/25/29 (b),(c),(i) | 2,729,927 | 51,626 | ||||||||
Series 2017-C02, Class 2M2C, 1 mo. USD LIBOR + 3.65%, | 8,490,294 | 8,471,191 | ||||||||
Series 2017-C04, Class 2X2, 1.75%, 11/25/29 (b),(c),(i) | 22,069,687 | 299,221 | ||||||||
Series 2017-C04, Class 2M2C, 1 mo. USD LIBOR + 2.85%, | 13,884,666 | 13,804,829 | ||||||||
Series 2017-C05, Class 1X3, 1.00%, 01/25/30 (b),(c),(i) | 9,687,389 | 92,970 | ||||||||
Series 2017-C05, Class 1M2C, 1 mo. USD LIBOR + 2.20%, | 9,889,512 | 9,701,611 | ||||||||
Series 2017-C06, Class 2X1, 1.80%, 02/25/30 (b),(c),(i) | 6,590,887 | 87,936 | ||||||||
Series 2017-C06, Class 1M2, 1 mo. USD LIBOR + 2.65%, | 3,722,280 | 3,731,585 | ||||||||
Series 2017-C06, Class 2M2C, 2.95%, 02/25/30 (b),(c),(g) | 7,714,707 | 7,618,273 | ||||||||
Series 2017-C07, Class 1X3, 1.00%, 05/25/30 (b),(c),(i) | 2,617,492 | 21,754 | ||||||||
Series 2017-C07, Class 1M2C, 1 mo. USD LIBOR + 2.40%, | 2,397,838 | 2,358,274 | ||||||||
Series 2018-C01, Class 1M2C, 2.40%, 07/25/30 (b),(g),(h) | 25,366,752 | 24,897,467 | ||||||||
Series 2018-C02, Class 2X2, 1.30%, 08/25/30 (b),(c),(i) | 2,669,126 | 22,511 | ||||||||
Series 2018-C02, Class 2M2C, 2.35%, 08/25/30 (b),(g),(h) | 2,785,667 | 2,712,683 | ||||||||
Series 2018-C03, Class 1X2, 1.30%, 10/25/30 (b),(c),(i) | 11,943,671 | 91,130 | ||||||||
Series 2018-C03, Class 1M2C, 1 mo. USD LIBOR + 2.15%, | 9,716,368 | 9,552,404 | ||||||||
Series 2018-C04, Class 2M2, 1 mo. USD LIBOR + 2.55%, 2.70%, 12/25/30 (b),(g),(h) | 5,536,450 | 5,529,529 | ||||||||
Freddie Mac Stacr Trust, Series 2018-HQA2, Class M2, 1 mo. USD LIBOR + 2.30%, 2.45%, 10/25/48 (b),(c),(f),(g) | 15,513,000 | 15,241,523 | ||||||||
Government National Mortgage Association, 4.50%, 10/20/49 (b),(h) | 8,462,534 | 9,094,584 | ||||||||
Home Re Ltd., | ||||||||||
Series 2018-1, Class M2, 1 mo. USD LIBOR + 3.00%, 3.15%, 10/25/28 (b),(c),(f),(g) | 21,988,000 | 22,065,222 | ||||||||
Series 2019-1, Class M2, 1 mo. USD LIBOR + 3.25%, 3.40%, 05/25/29 (b),(f),(g),(h) | 8,469,000 | 8,462,826 | ||||||||
Homeward Opportunities Fund, Series 2019-1, Class B1, 4.80%, 01/25/59 (b),(c),(f),(g) | 1,136,000 | 1,129,893 | ||||||||
LHOME Mortgage Trust, Series 2019-RTL1, Class M, 6.90%, 10/25/23 (b),(f) | 571,000 | 554,130 | ||||||||
Mortgage Insurance-Linked Notes, | ||||||||||
Series 2019-1, Class M2, 1 mo. USD LIBOR + 2.90%, 3.05%, 11/26/29 (b),(f),(g),(h) | 8,540,000 | 8,178,425 | ||||||||
Series 2020-1, Class M2A, 1 mo. USD LIBOR + 2.00%, 2.15%, 02/25/30 (b),(c),(f),(g) | 5,062,000 | 4,991,228 | ||||||||
Series 2020-1, Class M2B, 1 mo. USD LIBOR + 2.25%, 2.40%, 02/25/30 (b),(c),(f),(g) | 1,425,000 | 1,267,627 | ||||||||
New Residential Mortgage Loan, Series 2019-NQM2 SEQ, Class B1, | 831,000 | 828,295 |
See Notes to Consolidated Schedule of Investments.
60
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
December 31, 2020 (Unaudited)
Security Description | Principal Amount | Value | ||||||||||
New Residential Mortgage Loan Trust, Series 2020-NQM2 SEQ, Class M1, | $ | 376,000 | $ | 383,960 | ||||||||
Oaktown Re Ltd., Series 2017-1A, Class M2, 1 mo. USD LIBOR + 4.00%, | 1,289,745 | 1,301,787 | ||||||||||
PMT Credit Risk Transfer Trust, | ||||||||||||
Series 2019-2R, Class A, 1 mo. USD LIBOR + 2.75%, 2.90%, 05/27/23 (b),(c),(f),(g) | 6,710,590 | 6,458,212 | ||||||||||
Series 2019-3R, Class A, 1 mo. USD LIBOR + 2.70%, 2.85%, 10/27/22 (b),(c),(f),(g) | 12,471,999 | 12,302,217 | ||||||||||
Radnor Re Ltd., | ||||||||||||
Series 2018-1, Class M2, 1 mo. USD LIBOR + 2.70%, | 401,000 | 401,029 | ||||||||||
Series 2019-1, Class M2, 1 mo. USD LIBOR + 3.20%, | 6,916,000 | 6,849,440 | ||||||||||
Residential Funding Mortgage Securities, Series 2006-S12, Class 3A4, 5.75%, 12/25/36 (b),(c) | 762,110 | 734,501 | ||||||||||
Sequoia Mortgage Trust, | ||||||||||||
Series 2017-3, Class B4, 3.79%, 04/25/47 (b),(f),(g) | 291,000 | 290,293 | ||||||||||
Series 2017-7, Class B4, 3.74%, 10/25/47 (b),(c),(f),(g) | 773,000 | 770,121 | ||||||||||
Series 2018-2, Class B4, 3.75%, 02/25/48 (b),(c),(f),(g) | 813,641 | 780,429 | ||||||||||
Series 2018-3, Class B4, 3.77%, 03/25/48 (b),(f),(g) | 642,000 | 641,296 | ||||||||||
Series 2018-5, Class B4, 3.92%, 05/25/48 (b),(f),(g) | 649,000 | 649,035 | ||||||||||
Series 2018-8, Class B4, 4.27%, 11/25/48 (b),(c),(f),(g) | 693,000 | 700,459 | ||||||||||
Series 2019-1, Class B4, 4.42%, 02/25/49 (b),(f),(g) | 319,000 | 321,633 | ||||||||||
Series 2019-2, Class B4, 4.25%, 06/25/49 (b),(f),(g) | 306,000 | 308,264 | ||||||||||
Series 2019-3, Class B4, 4.08%, 09/25/49 (b),(f),(g) | 356,000 | 358,324 | ||||||||||
STACR Trust, | ||||||||||||
Series 2014-DN4, Class M3, 1 mo. USD LIBOR + 4.55%, | 2,224,840 | 2,272,118 | ||||||||||
Series 2016-DNA2, Class M3, 1 mo. USD LIBOR + 4.65%, | 8,714,467 | 9,019,473 | ||||||||||
STACR Trust, | ||||||||||||
Series 2018-DNA2, Class M2AI, 1.50%, 12/25/30 (b),(c),(f),(i) | 7,780,200 | 123,472 | ||||||||||
Series 2018-DNA2, Class M2B, 1 mo. USD LIBOR + 2.15%, 2.30%, 12/25/30 (b),(c),(f),(g) | 10,364,000 | 10,098,423 | ||||||||||
Series 2018-DNA3, Class M2B, 2.25%, 09/25/48 (b),(c),(f),(g) | 9,189,500 | 8,929,897 | ||||||||||
Series 2018-HRP1, Class M2, 1 mo. USD LIBOR + 1.65%, | 421,253 | 417,041 | ||||||||||
Series 2018-HRP2, Class M3AI, 1.75%, 02/25/47 (b),(c),(f),(i) | 1,358,000 | 35,672 | ||||||||||
Series 2018-HRP2, Class M3B, 2.55%, 02/25/47 (b),(c),(f),(g) | 1,697,500 | 1,614,747 | ||||||||||
Series 2018-HRP2, Class B1, 1 mo. USD LIBOR + 4.20%, | 5,461,000 | 5,536,089 | ||||||||||
Starwood Mortgage Residential, Series 2019-IMC1, Class B1, | 930,000 | 937,511 | ||||||||||
Structured Adjustable Rate Mortgage Loan Trust, Series 2005-23, Class 3A1, 3.34%, 01/25/36 (b),(g),(h) | 1,624,530 | 1,213,319 | ||||||||||
Verus Securitization Trust, | ||||||||||||
Series 2019-1, Class B1, 5.31%, 02/25/59 (b),(c),(f),(g) | 1,037,000 | 1,041,209 | ||||||||||
Series 2019-INV1 SEQ, Class B1, 4.99%, 12/25/59 (b),(f) | 271,000 | 270,621 |
See Notes to Consolidated Schedule of Investments.
61
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
December 31, 2020 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
WaMu Mortgage Pass-Through Certificates Series, Series 2005-AR19, Class B1, 1 mo. USD LIBOR + 1.05%, 1.20%, 12/25/45 (b),(c),(g) | $ | 1,742,296 | $ | 1,457,864 | ||||||
WaMu Mortgage Pass-Through Certificates Trust, Series 2006-AR17, Class 1A, 12 mo. MTA + 0.82%, 1.56%, 12/25/46 (b),(c),(g) | 2,382,294 | 2,174,958 | ||||||||
Washington Mutual Mortgage Pass-Through Certificates, Series 2006-AR10, Class A1, 1 mo. USD LIBOR + 0.10%, 0.25%, 12/25/36 (b),(c),(g) | 515,203 | 340,712 | ||||||||
Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2007-HY1 Trust, | ||||||||||
Series 2007-HY1, Class A2A, 1 mo. USD LIBOR + 0.16%, | 1,281,119 | 1,054,638 | ||||||||
Series 2007-HY1, Class A3A, 1 mo. USD LIBOR + 0.23%, | 3,725,900 | 3,115,441 | ||||||||
|
| |||||||||
447,796,514 | ||||||||||
Commercial Mortgage-Backed Securities — 8.6% | ||||||||||
Ashford Hospitality Trust, | ||||||||||
Series 2018-ASHF, Class E, 1 mo. USD LIBOR + 3.10%, | 5,900,000 | 5,272,936 | ||||||||
Series 2018-KEYS, Class D, 1 mo. USD LIBOR + 2.75%, | 90,000 | 81,249 | ||||||||
BAMLL Commercial Mortgage Securities Trust, | ||||||||||
Series 2019-BPR, Class ENM, 3.72%, 11/05/32 (b),(c),(f),(g) | 3,000,000 | 1,967,163 | ||||||||
Series 2019-BPR, Class EMP, 3.89%, 11/05/32 (b),(c),(f),(g) | 8,817,000 | 7,105,171 | ||||||||
Series 2019-BPR, Class FMP, 3.89%, 11/05/32 (b),(c),(f),(g) | 4,408,000 | 3,422,310 | ||||||||
Banc of America Merrill Lynch Mortgage Trust, | ||||||||||
Series 2019-AHT, Class D, 1 mo. USD LIBOR + 2.50%, | 9,757,897 | 9,178,415 | ||||||||
Series 2019-AHT, Class E, 1 mo. USD LIBOR + 3.20%, | 7,000,000 | 6,177,143 | ||||||||
Bancorp Commercial Mortgage Trust, Series 2018-CRE4, Class D, 1 mo. USD LIBOR + 2.10%, 2.26%, 09/15/35 (b),(c),(f),(g) | 2,132,000 | 2,068,307 | ||||||||
BANK, Series 2017-BNK8 SEQ, Class A4, 3.49%, 11/15/50 (b) | 4,200,000 | 4,779,793 | ||||||||
BBCMS Trust, Series 2018-CBM, Class D, 1 mo. USD LIBOR + 2.39%, | 2,000,000 | 1,754,686 | ||||||||
Bear Stearns Commercial Mortgage Securities Trust, | ||||||||||
Series 2006-PW13, Class D, 5.75%, 09/11/41 (c),(f),(g) | 800,461 | 726,028 | ||||||||
Series 2007-PW16, Class C, 5.92%, 06/11/40 (c),(f),(g) | 3,125,235 | 2,732,399 | ||||||||
Series 2007-PW18, Class B, 6.48%, 06/11/50 (c),(f),(g) | 6,394,786 | 5,763,621 | ||||||||
Benchmark Mortgage Trust, Series 2019-B14 SEQ, Class 225D, | 133,000 | 123,696 | ||||||||
BX Commercial Mortgage Trust, Series 2020-VIVA, Class D, | 100,000 | 98,141 | ||||||||
BX Trust, | ||||||||||
Series 2017-SLCT, Class E, 1 mo. USD LIBOR + 3.15%, | 6,800,000 | 6,715,367 | ||||||||
Series 2017-SLCT, Class F, 1 mo. USD LIBOR + 4.25%, | 3,400,000 | 3,281,442 | ||||||||
Series 2018-EXCL, Class C, 1 mo. USD LIBOR + 1.98%, | 12,268,100 | 10,095,824 | ||||||||
Series 2018-GW, Class F, 1 mo. USD LIBOR + 2.42%, | 106,000 | 99,527 |
See Notes to Consolidated Schedule of Investments.
62
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
December 31, 2020 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
BXP Trust, Series 2017-CQHP, Class E, 1 mo. USD LIBOR + 3.00%, | $ | 5,000,000 | $ | 3,780,285 | ||||||
CFCRE Commercial Mortgage Trust, | ||||||||||
Series 2016-C6, Class D, 4.20%, 11/10/49 (b),(c),(f),(g) | 3,266,000 | 2,634,803 | ||||||||
Series 2017-C8, Class E, 3.22%, 06/15/50 (b),(c),(f) | 3,110,000 | 1,800,379 | ||||||||
CHC Commercial Mortgage Trust, Series 2019-CHC, Class E, 1 mo. USD LIBOR + 2.35%, 2.51%, 06/15/34 (b),(c),(f),(g) | 6,969,924 | 6,275,601 | ||||||||
CHT Mortgage Trust, | ||||||||||
Series 2017-CSMO, Class A, 1 mo. USD LIBOR + 0.93%, | 3,000,000 | 2,968,263 | ||||||||
Series 2017-CSMO, Class E, 1 mo. USD LIBOR + 3.00%, | 4,679,000 | 4,492,481 | ||||||||
Series 2017-CSMO, Class F, 1 mo. USD LIBOR + 3.74%, | 8,000,000 | 7,681,088 | ||||||||
Citigroup Commercial Mortgage Trust, | ||||||||||
Series 2006-C4, Class C, 6.22%, 03/15/49 (c),(g) | 882,633 | 877,669 | ||||||||
Series 2012-GC8, Class D, 4.88%, 09/10/45 (b),(c),(f),(g) | 926,000 | 749,674 | ||||||||
Series 2014-GC25, Class D, 3.55%, 10/10/47 (b),(c),(f) | 9,000,000 | 8,183,943 | ||||||||
Series 2015-GC27, Class D, 4.42%, 02/10/48 (c),(f),(g) | 5,980,677 | 5,385,677 | ||||||||
Series 2015-GC29, Class D, 3.11%, 04/10/48 (b),(c),(f) | 4,286,000 | 3,971,168 | ||||||||
Series 2015-GC31, Class D, 4.05%, 06/10/48 (b),(g),(h) | 1,850,000 | 1,781,006 | ||||||||
Series 2016-C3, Class D, 3.00%, 11/15/49 (b),(c),(f) | 1,826,000 | 1,334,527 | ||||||||
Series 2018-B2 SEQ, Class A4, 4.01%, 03/10/51 (b) | 2,060,000 | 2,394,620 | ||||||||
Series 2019-C7, Class E, 2.75%, 12/15/72 (b),(c),(f) | 697,000 | 559,443 | ||||||||
COBALT CMBS Commercial Mortgage Trust, Series 2007-C3, Class B, 5.62%, 05/15/46 (c),(g) | 6,248,051 | 5,831,593 | ||||||||
Colony Mortgage Capital Trust, Series 2019-IKPR, Class E, 1 mo. USD LIBOR + 2.72%, 2.88%, 11/15/38 (c),(f),(g) | 5,500,000 | 4,813,881 | ||||||||
COMM Mortgage Trust, | ||||||||||
Series 2014-CR14, Class D, 4.62%, 02/10/47 (b),(f),(g) | 591,000 | 526,614 | ||||||||
Series 2014-CR18, Class D, 4.74%, 07/15/47 (b),(c),(f),(g) | 2,111,000 | 2,008,289 | ||||||||
Series 2014-CR21, Class E, 3.00%, 12/10/47 (c),(f) | 1,686,000 | 971,448 | ||||||||
Series 2015-CR27, Class E, 3.25%, 10/10/48 (b),(c),(f) | 1,885,000 | 1,279,857 | ||||||||
Series 2015-LC19, Class D, 2.87%, 02/10/48 (c),(f) | 5,000,000 | 4,742,595 | ||||||||
Series 2015-PC1, Class C, 4.32%, 07/10/50 (c),(g) | 5,022,634 | 4,827,675 | ||||||||
Series 2019-GC44, Class 180C, 3.40%, 08/15/57 (b),(f),(g) | 334,000 | 280,888 | ||||||||
Series 2019-GC44, Class 180D, 3.40%, 08/15/57 (b),(f),(g) | 227,000 | 186,990 | ||||||||
Commercial Mortgage Trust, | ||||||||||
Series 2015-CR22, Class E, 3.00%, 03/10/48 (b),(f) | 239,000 | 164,716 | ||||||||
Series 2015-CR23, Class E, 3.23%, 05/10/48 (b),(c),(f) | 4,668,000 | 3,261,984 | ||||||||
Series 2015-CR23, Class D, 4.29%, 05/10/48 (b),(c),(g) | 2,247,000 | 1,941,204 | ||||||||
Series 2015-CR25, Class D, 3.78%, 08/10/48 (b),(g) | 432,000 | 379,753 | ||||||||
Series 2015-CR27, Class D, 3.45%, 10/10/48 (b),(c),(f),(g) | 2,955,000 | 2,696,497 | ||||||||
Series 2015-LC21, Class D, 4.33%, 07/10/48 (b),(c),(g) | 1,010,000 | 870,496 | ||||||||
Series 2016-CD1, Class D, 2.76%, 08/10/49 (b),(c),(f),(g) | 2,075,000 | 1,618,369 | ||||||||
CORE Mortgage Trust, Series 2019-CORE, Class F, 1 mo. USD LIBOR + 2.35%, | 6,358,000 | 5,956,619 | ||||||||
Credit Suisse Commercial Mortgage Trust, Series 2018-TOP, Class E, 1 mo. USD LIBOR + 2.25%, 2.41%, 08/15/35 (c),(f),(g) | 5,111,908 | 4,806,057 |
See Notes to Consolidated Schedule of Investments.
63
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
December 31, 2020 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Credit Suisse Mortgage Capital Certificates, Series 2019-ICE4, Class E, 1 mo. USD LIBOR + 2.15%, 2.31%, 05/15/36 (b),(c),(f),(g) | $ | 5,000,000 | $ | 4,931,495 | ||||||
CSAIL Commercial Mortgage Trust, | ||||||||||
Series 2015-C2, Class D, 4.19%, 06/15/57 (b),(g),(h) | 1,282,000 | 694,032 | ||||||||
Series 2015-C3, Class D, 3.38%, 08/15/48 (b),(g),(h) | 3,139,000 | 1,378,291 | ||||||||
Series 2015-C4, Class F, 3.50%, 11/15/48 (b),(c),(f),(g) | 5,568,000 | 3,689,585 | ||||||||
Series 2018-CX11, Class D, 2.75%, 04/15/51 (b),(f),(g) | 604,000 | 501,915 | ||||||||
Series 2019-C17, Class D, 2.50%, 09/15/52 (b),(c),(f) | 1,409,000 | 1,115,693 | ||||||||
DBWF Mortgage Trust, Series 2018-GLKS, Class F, 1 mo. USD LIBOR + 3.49%, | 2,202,000 | 1,863,203 | ||||||||
FREMF Mortgage Trust, | ||||||||||
Series 2019-K102, Class C, 3.53%, 12/25/51 (b),(f),(g) | 479,000 | 489,362 | ||||||||
Series 2019-K95, Class C, 3.92%, 08/25/52 (b),(c),(f),(g) | 1,882,000 | 1,973,157 | ||||||||
Series 2019-K96, Class C, 3.81%, 08/25/56 (b),(c),(f),(g),(h) | 3,697,000 | 3,887,244 | ||||||||
Series 2019-K97, Class C, 3.76%, 09/25/51 (b),(c),(f),(g) | 1,559,000 | 1,627,925 | ||||||||
GS Mortgage Securities Corp. II, | ||||||||||
Series 2012-TMSQ, Class D, 3.46%, 12/10/30 (b),(c),(f),(g) | 1,000,000 | 873,276 | ||||||||
Series 2013-GC10, Class E, 4.40%, 02/10/46 (b),(c),(f),(g) | 3,900,000 | 3,174,647 | ||||||||
Series 2017-GS8 SEQ, Class A4, 3.47%, 11/10/50 (b) | 1,100,000 | 1,250,511 | ||||||||
Series 2017-SLP, Class E, 4.59%, 10/10/32 (b),(c),(f),(g) | 5,000,000 | 4,678,545 | ||||||||
Series 2018-GS10, Class E, 3.00%, 07/10/51 (b),(c),(f),(g) | 1,379,000 | 1,143,631 | ||||||||
GS Mortgage Securities Corp. Trust, Series 2019-70P, Class E, 1 mo. USD LIBOR + 2.20%, 2.36%, 10/15/36 (c),(f),(g) | 7,400,000 | 6,892,937 | ||||||||
GS Mortgage Securities Trust, | ||||||||||
Series 2014-GC20, Class D, 4.96%, 04/10/47 (b),(c),(f),(g) | 1,199,911 | 618,866 | ||||||||
Series 2014-GC20, Class C, 4.96%, 04/10/47 (b),(c),(g) | 1,358,000 | 1,228,083 | ||||||||
Series 2014-GC24, Class C, 4.53%, 09/10/47 (b),(g) | 303,000 | 251,925 | ||||||||
Series 2016-GS2, Class D, 2.75%, 05/10/49 (b),(c),(f) | 1,415,000 | 1,074,088 | ||||||||
Series 2017-GS8, Class D, 2.70%, 11/10/50 (b),(c),(f) | 1,593,000 | 1,331,270 | ||||||||
Harvest Commercial Capital Loan Trust, | ||||||||||
Series 2019-1, Class M4, 4.64%, 09/25/46 (b),(c),(f),(g) | 1,290,000 | 1,200,407 | ||||||||
Series 2019-1, Class M5, 5.73%, 09/25/46 (b),(c),(f),(g) | 1,944,000 | 1,718,035 | ||||||||
Hawaii Hotel Trust, Series 2019-MAUI, Class F, 1 mo. USD LIBOR + 2.75%, | 17,654,000 | 16,311,007 | ||||||||
Hilton Orlando Trust, Series 2018-ORL, Class E, 1 mo. USD LIBOR + 2.65%, | 5,202,000 | 4,800,218 | ||||||||
Hilton USA Trust, Series 2016-HHV, Class F, 4.19%, 11/05/38 (b),(c),(f),(g) | 20,134,000 | 19,191,326 | ||||||||
IMT Trust, Series 2017-APTS, Class FFX, 3.50%, 06/15/34 (b),(f),(g) | 625,000 | 561,760 | ||||||||
J.P. Morgan Chase Commercial Mortgage SecuritiesTrust, Series 2018-MINN, Class E, 1 mo. USD LIBOR + 2.50%, 3.50%, 11/15/35 (b),(c),(f),(g) | 6,000,000 | 4,742,508 | ||||||||
JP Morgan Chase Commercial Mortgage Securities Corp., | ||||||||||
Series 2019-MARG, Class E, 1 mo. USD LIBOR + 2.50%, | 3,258,000 | 3,044,086 | ||||||||
Series 2020-NNNZ SEQ, Class M, 8.54%, 01/16/37 (c),(f) | 3,077,939 | 2,382,017 | ||||||||
JP Morgan Chase Commercial Mortgage Securities Trust, | ||||||||||
Series 2003-CB7, Class H, 6.04%, 01/12/38 (c),(f),(g) | 3,938,585 | 3,993,111 | ||||||||
Series 2006-CB15, Class AM, 5.86%, 06/12/43 (c),(g) | 2,627,552 | 2,446,151 | ||||||||
Series 2007-CB20, Class D, 6.28%, 02/12/51 (c),(f),(g) | 1,250,585 | 1,106,655 |
See Notes to Consolidated Schedule of Investments.
64
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
December 31, 2020 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Series 2017-FL11, Class D, 1 mo. USD LIBOR + 2.14%, 2.30%, 10/15/32 (c),(f),(g) | $ | 4,486,458 | $ | 4,170,620 | ||||||
Series 2018-ASH8, Class E, 1 mo. USD LIBOR + 3.00%, | 16,190,000 | 13,284,057 | ||||||||
Series 2018-WPT, Class FFX, 5.54%, 07/05/33 (b),(c),(f),(g) | 4,570,000 | 4,361,037 | ||||||||
JPMBB Commercial Mortgage Securities Trust, | ||||||||||
Series 2015-C28, Class D, 3.65%, 10/15/48 (b),(c),(f),(g) | 5,074,000 | 3,972,465 | ||||||||
Series 2015-C29, Class D, 3.70%, 05/15/48 (b),(g) | 112,000 | 79,503 | ||||||||
Series 2015-C30, Class D, 3.77%, 07/15/48 (b),(c),(g),(h) | 4,924,500 | 4,393,481 | ||||||||
Series 2015-C30, Class C, 4.27%, 07/15/48 (b),(g),(h) | 11,768,000 | 11,625,313 | ||||||||
Series 2015-C31, Class E, 4.62%, 08/15/48 (b),(c),(f),(g) | 1,093,000 | 754,252 | ||||||||
Series 2016-C1, Class E, 4.74%, 03/15/49 (b),(c),(f),(g) | 3,126,000 | 2,293,034 | ||||||||
JPMDB Commercial Mortgage Securities Trust, Series 2017-C7 SEQ, Class A5, 3.41%, 10/15/50 (b) | 4,950,000 | 5,594,569 | ||||||||
KKR Industrial Portfolio Trust, Series 2020-AIP, Class F, 1 mo. USD LIBOR + 3.43%, 3.59%, 03/15/37 (b),(c),(f),(g) | 4,828,742 | 4,780,595 | ||||||||
LB-UBS Commercial Mortgage Trust, | ||||||||||
Series 2005-C3, Class G, 5.11%, 07/15/40 (c),(f),(g) | 3,878,926 | 3,360,279 | ||||||||
Series 2006-C1, Class C, 5.34%, 02/15/41 (c),(g) | 5,200,821 | 2,912,460 | ||||||||
Series 2007-C6, Class AJ, 6.24%, 07/15/40 (c),(g) | 2,817,880 | 2,687,700 | ||||||||
LSTAR Commercial Mortgage Trust, Series 2017-5, Class C, | 967,000 | 921,867 | ||||||||
Morgan Stanley Bank of America Merrill Lynch Trust, | ||||||||||
Series 2012-C5 SEQ, Class G, 4.50%, 08/15/45 (b),(c),(f) | 8,330,000 | 7,173,113 | ||||||||
Series 2014-C15, Class F, 4.00%, 04/15/47 (c),(f) | 2,000,000 | 1,532,600 | ||||||||
Series 2014-C15, Class D, 4.91%, 04/15/47 (b),(c),(f),(g) | 2,270,000 | 2,196,797 | ||||||||
Series 2014-C15, Class E, 4.91%, 04/15/47 (b),(c),(f),(g) | 6,000,000 | 5,066,046 | ||||||||
Series 2015-C20, Class D, 3.07%, 02/15/48 (b),(c),(f) | 3,659,000 | 3,241,043 | ||||||||
Series 2015-C21, Class D, 4.14%, 03/15/48 (b),(c),(f),(g) | 4,754,000 | 3,176,090 | ||||||||
Series 2015-C22, Class D, 4.22%, 04/15/48 (b),(c),(f),(g) | 870,000 | 630,980 | ||||||||
Series 2016-C29, Class D, 3.00%, 05/15/49 (b),(c),(f) | 2,517,000 | 1,750,755 | ||||||||
Series 2016-C30, Class D, 3.00%, 09/15/49 (b),(c),(f),(g) | 1,323,000 | 785,849 | ||||||||
Series 2016-C31, Class D, 3.00%, 11/15/49 (b),(c),(f),(g) | 2,354,000 | 1,518,591 | ||||||||
Series 2016-C32, Class D, 3.40%, 12/15/49 (b),(c),(f),(g) | 991,000 | 621,127 | ||||||||
Series 2017-C34 SEQ, Class A4, 3.54%, 11/15/52 (b) | 2,907,303 | 3,298,219 | ||||||||
Morgan Stanley Capital I Trust, | ||||||||||
Series 2016-UB11, Class E, 2.63%, 08/15/49 (b),(c),(f),(g) | 3,200,500 | 1,703,194 | ||||||||
Series 2016-UB12, Class D, 3.31%, 12/15/49 (b),(c),(f) | 1,761,000 | 684,240 | ||||||||
Motel 6 Trust, Series 2017-MTL6, Class E, 1 mo. USD LIBOR + 3.25%, | 379,558 | 373,886 | ||||||||
Natixis Commercial Mortgage Securities Trust, | ||||||||||
Series 2018-RIVA, Class D, 1 mo. USD LIBOR + 2.05%, 2.21%, 02/15/33 (b),(f),(g) | 250,000 | 213,381 | ||||||||
Series 2019-MILE, Class D, 1 mo. USD LIBOR + 2.75%, | 102,000 | 98,699 | ||||||||
Series 2019-MILE, Class E, 1 mo. USD LIBOR + 3.50%, | 105,000 | 100,293 | ||||||||
New Orleans Hotel Trust, Series 2019-HNLA, Class E, 1 mo. USD LIBOR + 2.69%, | 1,301,000 | 1,125,997 |
See Notes to Consolidated Schedule of Investments.
65
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
December 31, 2020 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Palisades Center Trust, Series 2016-PLSD, Class D, 4.74%, 04/13/33 (b),(c),(f) | $ | 6,907,000 | $ | 1,523,256 | ||||||
Prima Capital CRE Securitization Ltd., | ||||||||||
Series 2019-RK1, Class DD, 3.50%, 04/15/38 (b),(c),(f) | 1,648,000 | 1,433,880 | ||||||||
Series 2019-RK1, Class CG, 4.00%, 04/15/38 (b),(f) | 339,000 | 282,473 | ||||||||
Series 2019-RK1, Class BT, 4.45%, 04/15/38 (b),(c),(f) | 1,173,000 | 1,015,395 | ||||||||
Series 2019-RK1, Class CT, 4.45%, 04/15/38 (b),(f) | 121,000 | 97,081 | ||||||||
ReadyCap Commercial Mortgage Trust, | ||||||||||
Series 2019-6, Class C, 4.13%, 10/25/52 (b),(c),(f),(g) | 1,691,000 | 1,510,538 | ||||||||
Series 2019-6, Class D, 4.75%, 10/25/52 (b),(f),(g) | 227,000 | 197,634 | ||||||||
Series RR Trust, Series 2015-1, Class B, 0.01%, 04/26/48 (b),(c),(f),(m) | 3,595,000 | 2,903,919 | ||||||||
SG Commercial Mortgage Securities Trust, | ||||||||||
Series 2016-C5, Class D, 4.84%, 10/10/48 (b),(f),(g) | 295,000 | 238,137 | ||||||||
Series 2019-PREZ, Class E, 3.48%, 09/15/39 (b),(c),(f),(g) | 1,720,000 | 1,566,490 | ||||||||
Shelter Growth CRE Issuer Ltd., Series 2018-FL1, Class D, 1 mo. USD LIBOR + 3.00%, 3.13%, 01/15/35 (b),(c),(f),(g) | 550,553 | 548,536 | ||||||||
UBS Commercial Mortgage Trust, | ||||||||||
Series 2018-C9, Class D, 4.88%, 03/15/51 (b),(f),(g) | 308,000 | 260,363 | ||||||||
Series 2018-NYCH, Class F, 1 mo. USD LIBOR + 3.82%, | 798,000 | 696,118 | ||||||||
UBS-Citigroup Commercial Mortgage Trust, Series 2011-C1, Class E, 6.05%, 01/10/45 (c),(f),(g) | 4,327,496 | 1,756,963 | ||||||||
Wachovia Bank Commercial Mortgage Trust, Series 2006-C28, Class D, 5.72%, 10/15/48 (c),(g) | 6,492,303 | 5,952,793 | ||||||||
Waldorf Astoria Boca Raton Trust, Series 2019-WBM, Class E, 1 mo. USD LIBOR + 2.68%, 2.84%, 12/15/33 (b),(c),(f),(g) | 5,000,000 | 4,228,500 | ||||||||
Wells Fargo Commercial Mortgage Trust, | ||||||||||
Series 2014-LC18, Class D, 3.96%, 12/15/47 (b),(c),(f),(g) | 992,000 | 856,935 | ||||||||
Series 2015-C26, Class D, 3.59%, 02/15/48 (b),(c),(f) | 4,512,000 | 3,516,702 | ||||||||
Series 2015-C27, Class D, 3.77%, 02/15/48 (b),(f),(h) | 6,903,000 | 4,438,664 | ||||||||
Series 2015-C31, Class D, 3.85%, 11/15/48 (b),(h) | 3,546,000 | 3,001,256 | ||||||||
Series 2015-LC20, Class E, 2.63%, 04/15/50 (b),(c),(f) | 1,312,000 | 807,646 | ||||||||
Series 2015-LC20, Class D, 4.37%, 04/15/50 (b),(c),(f),(g) | 3,000,000 | 2,686,320 | ||||||||
Series 2015-LC22, Class D, 4.54%, 09/15/58 (c),(g) | 1,500,000 | 1,421,726 | ||||||||
Series 2015-NXS2, Class C, 4.29%, 07/15/58 (b),(c),(g) | 9,557,000 | 9,015,892 | ||||||||
Series 2015-NXS4, Class E, 3.70%, 12/15/48 (b),(f),(g),(h) | 2,629,000 | 2,132,448 | ||||||||
Series 2016-C34, Class C, 5.02%, 06/15/49 (c),(g) | 4,661,495 | 3,975,547 | ||||||||
Series 2016-C34, Class D, 5.02%, 06/15/49 (c),(f),(g) | 2,749,162 | 1,686,462 | ||||||||
Series 2016-LC24, Class D, 3.21%, 10/15/49 (b),(c),(f) | 4,253,000 | 3,830,056 | ||||||||
Series 2019-JWDR, Class E, 3.86%, 09/15/31 (b),(c),(f),(g) | 1,978,000 | 1,708,298 | ||||||||
Series 2019-JWDR, Class F, 4.56%, 09/15/31 (b),(c),(f),(g) | 2,291,000 | 1,931,022 | ||||||||
Series 2019-JWDR, Class G, 5.38%, 09/15/31 (b),(c),(f),(g) | 2,067,000 | 1,720,622 | ||||||||
Series 2020-SOP, Class E, 1 mo. USD LIBOR + 2.71%, | 1,250,000 | 1,175,165 | ||||||||
WFRBS Commercial Mortgage Trust, | ||||||||||
Series 2014-C19, Class D, 4.23%, 03/15/47 (b),(f) | 325,000 | 306,598 | ||||||||
Series 2014-C22, Class C, 3.76%, 09/15/57 (b),(c),(g) | 1,525,000 | 1,474,091 | ||||||||
Series 2014-C22, Class D, 3.90%, 09/15/57 (b),(c),(f),(g) | 4,635,000 | 3,844,343 | ||||||||
Worldwide Plaza Trust, Series 2017-WWP, Class F, 3.60%, 11/10/36 (b),(f),(g) | $ | 129,000 | $ | 111,356 | ||||||
|
| |||||||||
453,981,689 | ||||||||||
|
|
See Notes to Consolidated Schedule of Investments.
66
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
December 31, 2020 (Unaudited)
Security Description | Principal Amount | Value | ||||||||||
Interest Only Commercial Mortgage-Backed Securities — 0.8% | ||||||||||||
CFK Trust, Series 2020-MF2, Class X, 0.77%, 03/15/39 (b),(c),(f),(g),(i) | $ | 19,612,000 | $ | 860,967 | ||||||||
Citigroup Commercial Mortgage Trust, |
| |||||||||||
Series 2019-C7, Class XD, 1.20%, 12/15/72 (b),(c),(f),(g),(i) | 5,347,000 | 492,774 | ||||||||||
Series 2019-GC43, Class XD, 0.62%, 11/10/52 (b),(c),(f),(g),(i) | 5,918,000 | 287,337 | ||||||||||
Commercial Mortgage Trust, Series 2014-UBS4, Class XA, | 16,750,257 | 516,461 | ||||||||||
CSAIL Commercial Mortgage Trust, | ||||||||||||
Series 2015-C2, Class XA, 0.75%, 06/15/57 (b),(c),(g),(i) | 36,938,280 | 917,288 | ||||||||||
Series 2015-C3, Class XA, 0.72%, 08/15/48 (b),(c),(g),(i) | 99,407,077 | 2,746,916 | ||||||||||
Series 2019-C18, Class XD, 1.45%, 12/15/52 (b),(c),(f),(g),(i) | 4,452,333 | 480,968 | ||||||||||
DC Office Trust, Series 2019-MTC, Class X, 0.11%, 09/15/45 (b),(c),(f),(g),(i) | 64,579,000 | 703,653 | ||||||||||
Federal Home Loan Mortgage Corp., | ||||||||||||
Series K-1514, Class X3, 2.76%, 10/25/34 (b),(c),(g),(i) | 13,043,739 | 3,548,614 | ||||||||||
Series K049, Class X3, 1.55%, 10/25/43 (b),(c),(g),(i) | 2,177,000 | 127,494 | ||||||||||
Series K061, Class X1, 0.18%, 11/25/26 (b),(c),(g),(i) | 17,844,955 | 182,607 | ||||||||||
Series K071, Class X1, 0.29%, 11/25/27 (b),(c),(g),(i) | 89,059,704 | 1,593,812 | ||||||||||
Series K089, Class X3, 2.30%, 01/25/46 (b),(c),(g),(i) | 7,963,000 | 1,249,920 | ||||||||||
Series K095, Class X3, 2.10%, 08/25/47 (b),(c),(g),(i) | 9,297,000 | 1,371,289 | ||||||||||
Series K102, Class X3, 1.89%, 12/25/46 (b),(c),(g),(i) | 20,880,337 | 2,862,047 | ||||||||||
Series K105, Class X3, 1.92%, 06/25/30 (b),(c),(g),(i) | 8,413,000 | 1,196,118 | ||||||||||
Series K122, Class X3, 2.63%, 01/25/49 (b),(c),(g),(i) | 1,000,000 | 207,802 | ||||||||||
Series K154, Class X1, 0.31%, 11/25/32 (b),(c),(g),(i) | 33,006,975 | 902,048 | ||||||||||
Series K725, Class X1, 0.70%, 01/25/24 (b),(c),(g),(i) | 141,200,788 | 2,582,986 | ||||||||||
Series KG01, Class X3, 3.12%, 05/25/29 (b),(c),(g),(i) | 9,477,000 | 2,037,915 | ||||||||||
Series KG04, Class X3, 2.63%, 11/25/30 (b),(g),(i) | 1,000,000 | 202,001 | ||||||||||
Series KLU1, Class X3, 3.97%, 01/25/31 (b),(c),(g),(i) | 25,095,034 | 4,352,809 | ||||||||||
Series KLU2, Class X1, 1.03%, 08/25/29 (b),(c),(g),(i) | 63,804,809 | 4,404,701 | ||||||||||
Series KLU2, Class X3, 3.97%, 08/25/29 (b),(c),(g),(i) | 9,476,533 | 2,153,561 | ||||||||||
Series KS11, Class XFX, 1.60%, 06/25/29 (b),(c),(g),(i) | 25,265,000 | 2,722,658 | ||||||||||
Series KW08, Class X3, 3.19%, 10/25/31 (b),(c),(g),(i) | 6,701,000 | 1,342,921 | ||||||||||
Series KW09, Class X3, 3.01%, 06/25/29 (b),(c),(g),(i) | 6,654,000 | 1,365,747 | ||||||||||
Series KW10, Class X3, 2.72%, 10/25/32 (b),(c),(g),(i) | 5,935,000 | 1,109,786 | ||||||||||
Federal National Mortgage Association, | ||||||||||||
Series 2017-C03, Class 1X2, 1.80%, 10/25/29 (b),(c),(i) | 12,364,191 | 321,617 | ||||||||||
Series 2018-C01, Class 1X2, 1.40%, 07/25/30 (b),(c),(i) | 29,020,886 | 248,303 | ||||||||||
GS Mortgage Securities Corp. Trust, Series 2020-DUNE, Class XCP, | 15,243,000 | 152 | ||||||||||
GS Mortgage Securities Trust, Series 2019-GC40, Class XD, | 2,219,000 | 198,862 | ||||||||||
JPMDB Commercial Mortgage Securities Trust, Series 2019-COR6, Class XD, | 4,231,000 | 446,167 | ||||||||||
MFT Trust, Series 2020-ABC, Class XA, 0.12%, 02/10/42 (b),(c),(f),(g),(i) | 20,401,000 | 255,523 | ||||||||||
STACR Trust, Series 2018-DNA3, Class M2AI, 1.50%, 09/25/48 (b),(c),(f),(i) | 7,351,600 | 100,254 | ||||||||||
|
| |||||||||||
44,094,078 | ||||||||||||
|
| |||||||||||
Total North America | 945,872,281 | |||||||||||
|
| |||||||||||
TOTAL MORTGAGE-BACKED SECURITIES | 960,798,716 | |||||||||||
|
|
See Notes to Consolidated Schedule of Investments.
67
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
December 31, 2020 (Unaudited)
Security Description | Principal Amount | Value | ||||||||||
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%, | $ | 5,826,174 | $ | 1,160,300 | ||||||||
Series 2015-161, Class AS, 1 mo. USD LIBOR + 6.20%, | 5,890,190 | 1,313,088 | ||||||||||
Series 2017-114, Class SP, 1 mo. USD LIBOR + 6.20%, | 5,343,768 | 927,780 | ||||||||||
Series 2017-117, Class SA, 1 mo. USD LIBOR + 6.20%, | 6,086,437 | 1,321,274 | ||||||||||
Series 2017-156, Class SB, 1 mo. USD LIBOR + 6.20%, | 6,384,287 | 1,264,312 | ||||||||||
Series 2017-56, Class AS, 1 mo. USD LIBOR + 6.15%, | 5,504,239 | 1,085,304 | ||||||||||
Series 2017-73, Class SM, 1 mo. USD LIBOR + 6.20%, | 5,680,294 | 1,149,396 | ||||||||||
Series 2018-48, Class SA, 1 mo. USD LIBOR + 6.20%, | 7,760,188 | 1,623,563 | ||||||||||
Series 2018-65, Class PS, 1 mo. USD LIBOR + 6.15%, | 5,884,752 | 966,912 | ||||||||||
Series 2018-93, Class SA, 1 mo. USD LIBOR + 6.20%, | 4,945,588 | 667,561 | ||||||||||
|
| |||||||||||
11,479,490 | ||||||||||||
|
| |||||||||||
Total North America | 11,479,490 | |||||||||||
|
| |||||||||||
TOTAL U.S. GOVERNMENT SPONSORED AGENCY SECURITIES | 11,479,490 | |||||||||||
|
| |||||||||||
MUNICIPALS — 0.6% | ||||||||||||
North America — 0.6% | ||||||||||||
California Housing Finance, Rev., Series 2019 X, (SER X), 0.29%, 01/15/35 (b),(c),(g) | 15,220,675 | 306,849 | ||||||||||
Puerto Rico, | ||||||||||||
GO, Series 2012 A, (REF-PUBLIC IMPT-SER A), 5.00%, 07/01/41 (c),(k) | 5,505,000 | 3,839,737 | ||||||||||
GO, Series 2012 A, (REF-PUBLIC IMPT-SER A), 5.50%, 07/01/39 (c),(k) | 3,740,000 | 2,730,200 | ||||||||||
GO, Series 2014 A, (SER A), 8.00%, 07/01/35 (c),(k) | 32,250,000 | 22,091,250 | ||||||||||
|
| |||||||||||
Total North America | 28,968,036 | |||||||||||
|
| |||||||||||
TOTAL MUNICIPALS | 28,968,036 | |||||||||||
|
| |||||||||||
Security Description | Shares | Value | ||||||||||
EXCHANGE-TRADED FUNDS — 0.1% | ||||||||||||
Invesco Emerging Markets Sovereign Debt ETF (b) | 4,662 | 134,452 | ||||||||||
iShares Core MSCI Emerging Markets ETF (b) | 30,691 | 1,904,070 | ||||||||||
SPDR Dow Jones International Real Estate ETF (b),(c) | 27,250 | 928,952 | ||||||||||
Vanguard Emerging Markets Government Bond ETF (b) | 1,375 | 113,162 | ||||||||||
Vanguard FTSE Emerging Markets ETF (b) | 36,544 | 1,831,220 | ||||||||||
Vanguard Global ex-U.S. Real Estate ETF (b),(c) | 29,423 | 1,597,963 |
See Notes to Consolidated Schedule of Investments.
68
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
December 31, 2020 (Unaudited)
Security Description | Shares | Value | ||||||||||
Vanguard Real Estate ETF (b),(c) | $ | 7,077 | $ | 601,050 | ||||||||
|
| |||||||||||
TOTAL EXCHANGE-TRADED FUNDS | 7,110,869 | |||||||||||
|
| |||||||||||
WARRANTS — 0.2% | ||||||||||||
Amplitude Healthcare Acquisition Corp. (a),(b) | 150,000 | 217,500 | ||||||||||
Ascendant Digital Acquisition Corp. (a),(b) | 266,000 | 454,860 | ||||||||||
Bespoke Capital Acquisition Corp. (a),(b) | 375,000 | 450,000 | ||||||||||
Capstar Special Purpose Acquisition Corp. (a),(b) | 268,650 | 378,797 | ||||||||||
Chardan Healthcare Acquisition 2 Corp. (a),(b) | 297,500 | 294,525 | ||||||||||
CHP Merger Corp., Class A (a),(b) | 291,000 | 369,570 | ||||||||||
Churchill Capital Corp. IV (a),(b) | 208,860 | 317,467 | ||||||||||
CM Life Sciences, Inc., A Shares(a),(b) | 232,466 | 634,632 | ||||||||||
Crescent Acquisition Corp. (a),(b) | 375,000 | 551,250 | ||||||||||
DFP Healthcare Acquisitions Corp., A Shares(a),(b) | 206,351 | 402,384 | ||||||||||
E.Merge Technology Acquisition Corp. (a),(b) | 213,333 | 320,000 | ||||||||||
Foley Trasimene Acquisition Corp., Class A (a),(b) | 194,000 | 490,820 | ||||||||||
GigCapital2, Inc. (a),(b) | 500,000 | 980,000 | ||||||||||
GS Acquisition Holdings Corp. II (a),(b) | 160,800 | 411,648 | ||||||||||
LIV Capital Acquisition Corp. (a),(b) | 210,000 | 147,000 | ||||||||||
McLaren Racing Ltd. (a),(b) | 22,935 | 3,136,363 | ||||||||||
Osprey Technology Acquisition Corp. (a),(b) | 474,375 | 697,331 | ||||||||||
RedBall Acquisition Corp. (a),(b) | 181,700 | 407,008 | ||||||||||
SC Health Corp. (a),(b) | 123,794 | 167,122 | ||||||||||
SCVX Corp., Class A (a),(b) | 214,286 | 364,286 | ||||||||||
Subversive Capital Acquisition Corp. (a),(b) | 308,459 | 508,957 | ||||||||||
Trebia Acquisition Corp. (a),(b) | 209,746 | 436,272 | ||||||||||
TWC Tech Holdings II Corp. (a),(b) | 238,400 | 402,896 | ||||||||||
Union Acquisition Corp. II (a),(b) | 525,000 | 498,750 | ||||||||||
|
| |||||||||||
TOTAL WARRANTS | ||||||||||||
(COST $5,979,455) | 13,039,438 | |||||||||||
|
| |||||||||||
INVESTMENTS IN INVESTEE FUNDS — 6.6% | ||||||||||||
North America — 6.6% | ||||||||||||
Aeolus Property Catastrophe Keystone PF Fund LP (a),(o) | 3 | 108,407,584 | ||||||||||
EJF Debt Opportunities Offshore Fund, Ltd. | 1,750,207 | 165,289,503 | ||||||||||
PIMCO ILS Fund SP II (a),(o) | 2 | 12,289,472 | ||||||||||
Saba Capital Carry Neutral Tail Hedge Offshore Fund Ltd. | 1 | 41,606,396 | ||||||||||
Saba Capital Carry Neutral Tail Hedge Partners, L.P. | 1 | 22,431,859 | ||||||||||
|
| |||||||||||
Total North America | 350,024,814 | |||||||||||
|
| |||||||||||
TOTAL INVESTMENTS IN INVESTEE FUNDS | 350,024,814 | |||||||||||
|
|
See Notes to Consolidated Schedule of Investments.
69
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
December 31, 2020 (Unaudited)
Security Description | Shares | Value | ||||||||||
RIGHTS — 0.0% | ||||||||||||
GigCapital2, Inc. (a),(b) | $ | 500,000 | $ | 206,550 | ||||||||
|
| |||||||||||
TOTAL RIGHTS | 206,550 | |||||||||||
|
| |||||||||||
TOTAL LONG-TERM INVESTMENTS | 4,378,061,860 | |||||||||||
|
|
Strike | Expiration | Contracts | Notional | Premium | Market | Unrealized | ||||||||||||||||||||||
PURCHASED OPTIONS — 0.6% |
| |||||||||||||||||||||||||||
Exchange-Traded Call Options — 0.4% |
| |||||||||||||||||||||||||||
BRENT CRUDE FUTURE DEC21 | 60.00 USD | 10/26/21 | 600 | 30,450,000 | $ | 1,267,637 | $ | 1,488,000 | $ | 220,363 | ||||||||||||||||||
CRUDE OIL FUTURE DEC21 | 50.00 USD | 10/26/21 | 50 | 2,537,500 | 200,001 | 335,500 | 135,499 | |||||||||||||||||||||
CRUDE OIL FUTURE DEC21 | 70.00 USD | 11/16/21 | 125 | 5,960,000 | 62,690 | 87,500 | 24,810 | |||||||||||||||||||||
CRUDE OIL FUTURE JUN21 | 50.00 USD | 05/17/21 | 50 | 2,431,500 | 66,576 | 176,500 | 109,924 | |||||||||||||||||||||
NATURAL GAS FUTURE APR21 | 3.00 USD | 03/26/21 | 375 | 9,517,500 | 833,337 | 304,125 | (529,212 | ) | ||||||||||||||||||||
NATURAL GAS FUTURE APR21 | 3.25 USD | 03/26/21 | 75 | 1,903,500 | 58,700 | 32,625 | (26,075 | ) | ||||||||||||||||||||
NATURAL GAS FUTURE APR21 | 4.00 USD | 03/26/21 | 75 | 1,903,500 | 22,700 | 4,875 | (17,825 | ) | ||||||||||||||||||||
NATURAL GAS FUTURE APR22 | 2.50 USD | 03/28/22 | 75 | 1,821,750 | 216,950 | 236,025 | 19,075 | |||||||||||||||||||||
NATURAL GAS FUTURE APR22 | 3.00 USD | 03/28/22 | 75 | 1,821,750 | 119,638 | 126,225 | 6,587 | |||||||||||||||||||||
NATURAL GAS FUTURE APR23 | 3.00 USD | 03/28/23 | 139 | 3,195,610 | 272,349 | 140,112 | (132,237 | ) | ||||||||||||||||||||
NATURAL GAS FUTURE AUG21 | 3.00 USD | 07/27/21 | 375 | 10,181,250 | 833,337 | 660,750 | (172,587 | ) | ||||||||||||||||||||
NATURAL GAS FUTURE AUG21 | 3.25 USD | 07/27/21 | 75 | 2,036,250 | 58,700 | 83,625 | 24,925 | |||||||||||||||||||||
NATURAL GAS FUTURE AUG21 | 4.00 USD | 07/27/21 | 75 | 2,036,250 | 22,700 | 21,225 | (1,475 | ) | ||||||||||||||||||||
NATURAL GAS FUTURE AUG22 | 2.50 USD | 07/26/22 | 75 | 1,841,250 | 216,950 | 203,625 | (13,325 | ) | ||||||||||||||||||||
NATURAL GAS FUTURE AUG22 | 3.00 USD | 07/26/22 | 75 | 1,841,250 | 119,638 | 95,325 | (24,313 | ) | ||||||||||||||||||||
NATURAL GAS FUTURE AUG23 | 3.00 USD | 07/26/23 | 139 | 3,260,940 | 272,349 | 103,277 | (169,072 | ) | ||||||||||||||||||||
NATURAL GAS FUTURE DEC23 | 3.00 USD | 11/27/23 | 139 | 3,716,860 | 272,349 | 344,442 | 72,093 | |||||||||||||||||||||
NATURAL GAS FUTURE FEB21 | 2.75 USD | 01/26/21 | 440 | 11,171,600 | 299,475 | 421,960 | 122,485 | |||||||||||||||||||||
NATURAL GAS FUTURE FEB21 | 3.00 USD | 01/26/21 | 500 | 12,695,000 | 1,906,335 | 226,000 | (1,680,335 | ) | ||||||||||||||||||||
NATURAL GAS FUTURE FEB21 | 3.25 USD | 01/26/21 | 565 | 14,345,350 | 322,509 | 128,820 | (193,689 | ) | ||||||||||||||||||||
NATURAL GAS FUTURE FEB21 | 3.50 USD | 01/26/21 | 337 | 8,556,430 | 424,745 | 46,169 | (378,576 | ) | ||||||||||||||||||||
NATURAL GAS FUTURE FEB21 | 3.75 USD | 01/26/21 | 1,499 | 41,072,600 | 375,040 | 140,906 | (234,134 | ) | ||||||||||||||||||||
NATURAL GAS FUTURE FEB21 | 4.25 USD | 01/26/21 | 1,999 | 50,754,610 | 325,863 | 115,942 | (209,921 | ) | ||||||||||||||||||||
NATURAL GAS FUTURE FEB21 | 5.00 USD | 01/26/21 | 250 | 6,347,500 | 380,005 | 8,750 | (371,255 | ) | ||||||||||||||||||||
NATURAL GAS FUTURE FEB23 | 3.00 USD | 01/26/23 | 139 | 3,808,600 | 272,349 | 545,436 | 273,087 | |||||||||||||||||||||
NATURAL GAS FUTURE JAN22 | 3.50 USD | 12/28/21 | 250 | 7,515,000 | 1,201,293 | 778,000 | (423,293 | ) | ||||||||||||||||||||
NATURAL GAS FUTURE JAN23 | 3.00 USD | 12/22/22 | 50 | 348,625 | 375 | 12,863 | 12,488 | |||||||||||||||||||||
NATURAL GAS FUTURE JAN23 | 3.00 USD | 12/27/22 | 139 | 3,876,710 | 272,349 | 523,613 | 251,264 | |||||||||||||||||||||
NATURAL GAS FUTURE JUL21 | 3.00 USD | 06/25/21 | 375 | 10,068,750 | 833,336 | 573,000 | (260,336 | ) | ||||||||||||||||||||
NATURAL GAS FUTURE JUL21 | 3.25 USD | 06/25/21 | 75 | 2,013,750 | 58,700 | 70,425 | 11,725 | |||||||||||||||||||||
NATURAL GAS FUTURE JUL21 | 4.00 USD | 06/25/21 | 75 | 2,013,750 | 22,700 | 15,825 | (6,875 | ) | ||||||||||||||||||||
NATURAL GAS FUTURE JUL22 | 2.50 USD | 06/27/22 | 75 | 1,835,250 | 216,950 | 197,850 | (19,100 | ) | ||||||||||||||||||||
NATURAL GAS FUTURE JUL22 | 3.00 USD | 06/27/22 | 75 | 1,835,250 | 119,638 | 91,350 | (28,288 | ) | ||||||||||||||||||||
NATURAL GAS FUTURE JUL23 | 3.00 USD | 06/27/23 | 139 | 3,249,820 | 272,349 | 100,080 | (172,269 | ) | ||||||||||||||||||||
NATURAL GAS FUTURE JUN21 | 3.00 USD | 05/25/21 | 375 | 9,791,250 | 833,336 | 464,250 | (369,086 | ) | ||||||||||||||||||||
NATURAL GAS FUTURE JUN21 | 3.25 USD | 05/25/21 | 75 | 1,958,250 | 58,700 | 54,900 | (3,800 | ) | ||||||||||||||||||||
NATURAL GAS FUTURE JUN21 | 4.00 USD | 05/25/21 | 757 | 19,765,270 | 344,352 | 105,980 | (238,372 | ) |
See Notes to Consolidated Schedule of Investments.
70
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
December 31, 2020 (Unaudited)
Strike | Expiration | Contracts | Notional | Premium | Market | Unrealized | ||||||||||||||||||||||
NATURAL GAS FUTURE JUN22 | 2.50 USD | 05/25/22 | 75 | 1,809,000 | $ | 216,950 | $ | 184,950 | $ | (32,000 | ) | |||||||||||||||||
NATURAL GAS FUTURE JUN22 | 3.00 USD | 05/25/22 | 75 | 1,809,000 | 119,638 | 84,600 | (35,038 | ) | ||||||||||||||||||||
NATURAL GAS FUTURE JUN23 | 3.00 USD | 05/25/23 | 139 | 3,195,610 | 272,349 | 88,265 | (184,084 | ) | ||||||||||||||||||||
NATURAL GAS FUTURE MAR21 | 2.50 USD | 02/23/21 | 412 | 10,407,120 | 1,214,360 | 969,024 | (245,336 | ) | ||||||||||||||||||||
NATURAL GAS FUTURE MAR21 | 3.25 USD | 02/23/21 | 750 | 18,945,000 | 543,878 | 345,000 | (198,878 | ) | ||||||||||||||||||||
NATURAL GAS FUTURE MAR21 | 4.25 USD | 02/23/21 | 535 | 13,514,100 | 775,829 | 63,130 | (712,699 | ) | ||||||||||||||||||||
NATURAL GAS FUTURE MAR21 | 9.00 USD | 02/23/21 | 300 | 7,578,000 | 198,756 | 1,500 | (197,256 | ) | ||||||||||||||||||||
NATURAL GAS FUTURE MAR21 | 3.50 USD | 02/23/21 | 3,115 | 78,684,900 | 5,402,760 | 853,510 | (4,549,250 | ) | ||||||||||||||||||||
NATURAL GAS FUTURE MAR21 | 3.00 USD | 02/23/21 | 1,554 | 39,254,040 | 4,588,039 | 1,246,308 | (3,341,731 | ) | ||||||||||||||||||||
NATURAL GAS FUTURE MAR21 | 4.00 USD | 02/23/21 | 638 | 16,115,880 | 1,743,409 | 92,510 | (1,650,899 | ) | ||||||||||||||||||||
NATURAL GAS FUTURE MAR23 | 3.00 USD | 02/23/23 | 139 | 3,612,610 | 272,349 | 498,871 | 226,522 | |||||||||||||||||||||
NATURAL GAS FUTURE MAY21 | 3.00 USD | 04/27/21 | 375 | 9,581,250 | 833,336 | 364,875 | (468,461 | ) | ||||||||||||||||||||
NATURAL GAS FUTURE MAY21 | 3.25 USD | 04/27/21 | 75 | 1,916,250 | 58,700 | 40,650 | (18,050 | ) | ||||||||||||||||||||
NATURAL GAS FUTURE MAY21 | 4.00 USD | 04/27/21 | 75 | 1,916,250 | 22,700 | 6,300 | (16,400 | ) | ||||||||||||||||||||
NATURAL GAS FUTURE MAY22 | 2.50 USD | 04/26/22 | 75 | 1,788,000 | 216,950 | 186,375 | (30,575 | ) | ||||||||||||||||||||
NATURAL GAS FUTURE MAY22 | 3.00 USD | 04/26/22 | 75 | 1,788,000 | 119,638 | 88,650 | (30,988 | ) | ||||||||||||||||||||
NATURAL GAS FUTURE MAY23 | 3.00 USD | 04/25/23 | 139 | 3,148,350 | 272,349 | 92,157 | (180,192 | ) | ||||||||||||||||||||
NATURAL GAS FUTURE NOV23 | 3.00 USD | 10/26/23 | 139 | 3,416,620 | 272,349 | 182,646 | (89,703 | ) | ||||||||||||||||||||
NATURAL GAS FUTURE OCT21 | 3.00 USD | 09/27/21 | 375 | 10,278,750 | 833,336 | 812,625 | (20,711 | ) | ||||||||||||||||||||
NATURAL GAS FUTURE OCT21 | 3.25 USD | 09/27/21 | 75 | 2,055,750 | 58,700 | 109,650 | 50,950 | |||||||||||||||||||||
NATURAL GAS FUTURE OCT21 | 3.50 USD | 09/27/21 | 128 | 3,508,480 | 118,422 | 124,160 | 5,738 | |||||||||||||||||||||
NATURAL GAS FUTURE OCT21 | 4.00 USD | 09/27/21 | 450 | 12,334,500 | 423,958 | 187,200 | (236,758 | ) | ||||||||||||||||||||
NATURAL GAS FUTURE OCT22 | 2.50 USD | 09/27/22 | 75 | 1,843,500 | 216,950 | 215,325 | (1,625 | ) | ||||||||||||||||||||
NATURAL GAS FUTURE OCT22 | 3.00 USD | 09/27/22 | 75 | 1,843,500 | 119,638 | 105,300 | (14,338 | ) | ||||||||||||||||||||
NATURAL GAS FUTURE OCT23 | 3.00 USD | 09/26/23 | 139 | 3,287,350 | 272,349 | 121,764 | (150,585 | ) | ||||||||||||||||||||
NATURAL GAS FUTURE SEP21 | 3.00 USD | 08/26/21 | 375 | 10,170,000 | 833,336 | 709,125 | (124,211 | ) | ||||||||||||||||||||
NATURAL GAS FUTURE SEP21 | 3.25 USD | 08/26/21 | 75 | 2,034,000 | 58,700 | 92,325 | 33,625 | |||||||||||||||||||||
NATURAL GAS FUTURE SEP21 | 4.00 USD | 08/26/21 | 75 | 2,013,750 | 22,700 | 23,925 | 1,225 | |||||||||||||||||||||
NATURAL GAS FUTURE SEP22 | 2.50 USD | 08/26/22 | 75 | 1,826,250 | 216,950 | 200,250 | (16,700 | ) | ||||||||||||||||||||
NATURAL GAS FUTURE SEP22 | 3.00 USD | 08/26/22 | 75 | 1,826,250 | 119,638 | 95,100 | (24,538 | ) | ||||||||||||||||||||
NATURAL GAS FUTURE SEP23 | 3.00 USD | 08/28/23 | 139 | 3,244,260 | 272,349 | 104,111 | (168,238 | ) | ||||||||||||||||||||
US IR | 1.02 USD | 02/05/21 | 75,400,000 | 75,400,000 | 399,620 | 304,627 | (94,993 | ) | ||||||||||||||||||||
WTI CRUDE FUTURE DEC21 | 45.00 USD | 11/16/21 | 367 | 17,498,560 | 1,921,508 | 2,825,900 | 904,392 | |||||||||||||||||||||
|
| |||||||||||||||||||||||||||
$ | 36,489,493 | $ | 20,486,583 | $ | (16,002,910 | ) | ||||||||||||||||||||||
|
|
See Notes to Consolidated Schedule of Investments.
71
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
December 31, 2020 (Unaudited)
Strike | Expiration | Contracts | Notional | Premium | Market | Unrealized | ||||||||||||||||||||||
Exchange-Traded Put Options — 0.2% |
| |||||||||||||||||||||||||||
CRUDE OIL FUTURE FEB21 | 25.00 USD | 01/14/21 | 375 | 18,195,000 | $ | 83,070 | $ | 3,750 | $ | (79,320 | ) | |||||||||||||||||
CRUDE OIL FUTURE FEB21 | 35.00 USD | 01/14/21 | 377 | 18,292,040 | 502,852 | 11,310 | (491,542 | ) | ||||||||||||||||||||
CRUDE OIL FUTURE MAR21 | 35.00 USD | 02/17/21 | 377 | 18,333,510 | 658,984 | 71,630 | (587,354 | ) | ||||||||||||||||||||
INR vs USD | 74.37 USD | 01/04/21 | 40,500,000 | 40,500,000 | 966,533 | 736,978 | (229,555 | ) | ||||||||||||||||||||
NATURAL GAS FUTURE APR21 | 2.00 USD | 03/26/21 | 257 | 6,522,660 | 228,359 | 105,884 | (122,475 | ) | ||||||||||||||||||||
NATURAL GAS FUTURE APR21 | 2.25 USD | 03/26/21 | 376 | 9,542,880 | 310,264 | 382,392 | 72,128 | |||||||||||||||||||||
NATURAL GAS FUTURE APR23 | 1.50 USD | 03/28/23 | 76 | 1,747,240 | 16,641 | 29,412 | 12,771 | |||||||||||||||||||||
NATURAL GAS FUTURE AUG23 | 1.50 USD | 07/26/23 | 76 | 1,782,960 | 16,641 | 15,884 | (757 | ) | ||||||||||||||||||||
NATURAL GAS FUTURE DEC23 | 1.50 USD | 11/27/23 | 76 | 2,032,240 | 16,640 | 11,780 | (4,860 | ) | ||||||||||||||||||||
NATURAL GAS FUTURE FEB21 | 2.00 USD | 01/26/21 | 129 | 3,275,310 | 31,627 | 23,220 | (8,407 | ) | ||||||||||||||||||||
NATURAL GAS FUTURE FEB21 | 2.25 USD | 01/26/21 | 578 | 14,675,420 | 328,556 | 348,534 | 19,978 | |||||||||||||||||||||
NATURAL GAS FUTURE FEB21 | 2.40 USD | 01/26/21 | 150 | 3,808,500 | 360,776 | 165,000 | (195,776 | ) | ||||||||||||||||||||
NATURAL GAS FUTURE FEB21 | 2.75 USD | 01/26/21 | 214 | 5,433,460 | 555,201 | 656,766 | 101,565 | |||||||||||||||||||||
NATURAL GAS FUTURE FEB23 | 1.50 USD | 01/26/23 | 76 | 2,082,400 | 16,640 | 17,252 | 612 | |||||||||||||||||||||
NATURAL GAS FUTURE JAN23 | 1.50 USD | 12/27/22 | 76 | 2,119,640 | 16,640 | 10,944 | (5,696 | ) | ||||||||||||||||||||
NATURAL GAS FUTURE JUL23 | 1.50 USD | 06/27/23 | 76 | 1,776,880 | 16,640 | 15,960 | (680 | ) | ||||||||||||||||||||
NATURAL GAS FUTURE JUN23 | 1.50 USD | 05/25/23 | 76 | 1,747,240 | 16,640 | 17,252 | 612 | |||||||||||||||||||||
NATURAL GAS FUTURE MAR21 | 2.00 USD | 02/23/21 | 981 | 24,780,060 | 595,617 | 368,856 | (226,761 | ) | ||||||||||||||||||||
NATURAL GAS FUTURE MAR21 | 2.50 USD | 02/23/21 | 1,601 | 40,441,260 | 3,406,236 | 3,349,292 | (56,944 | ) | ||||||||||||||||||||
NATURAL GAS FUTURE MAR21 | 2.25 USD | 02/23/21 | 1,691 | 42,714,660 | 1,768,708 | 1,694,382 | (74,326 | ) | ||||||||||||||||||||
NATURAL GAS FUTURE MAR23 | 1.50 USD | 02/23/23 | 76 | 1,975,240 | 16,640 | 26,068 | 9,428 | |||||||||||||||||||||
NATURAL GAS FUTURE MAY23 | 1.50 USD | 04/25/23 | 76 | 1,721,400 | 16,640 | 21,964 | 5,324 | |||||||||||||||||||||
NATURAL GAS FUTURE NOV23 | 1.50 USD | 10/26/23 | 76 | 1,868,080 | 16,640 | 11,780 | (4,860 | ) | ||||||||||||||||||||
NATURAL GAS FUTURE OCT21 | 2.00 USD | 09/27/21 | 107 | 2,630,060 | 58,066 | 58,066 | — | |||||||||||||||||||||
NATURAL GAS FUTURE OCT23 | 1.50 USD | 09/26/23 | 76 | 1,797,400 | 16,640 | 17,860 | 1,220 | |||||||||||||||||||||
NATURAL GAS FUTURE SEP23 | 1.50 USD | 08/28/23 | 76 | 1,773,840 | 16,640 | 17,404 | 764 | |||||||||||||||||||||
|
| |||||||||||||||||||||||||||
$ | 10,054,531 | $ | 8,189,620 | $ | (1,864,911 | ) | ||||||||||||||||||||||
|
| |||||||||||||||||||||||||||
Total Purchased Options Outstanding |
| $ | 46,544,024 | $ | 28,676,203 | $ | (17,867,821 | ) | ||||||||||||||||||||
|
|
See Notes to Consolidated Schedule of Investments.
72
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
December 31, 2020 (Unaudited)
Security Description | Shares | Value | ||||||||||
SHORT-TERM INVESTMENT - MONEY MARKET FUNDS — 0.0% | ||||||||||||
Morgan Stanley Institutional Liquidity Funds Treasury Securities Portfolio, 0.01%, Institutional Class (b),(p) | 2,449 | $ | 2,449 | |||||||||
|
| |||||||||||
TOTAL SHORT-TERM INVESTMENT - MONEY MARKET FUNDS | 2,449 | |||||||||||
|
| |||||||||||
TOTAL INVESTMENTS IN SECURITIES — 83.3% | 4,406,740,512 | |||||||||||
|
| |||||||||||
TOTAL SECURITIES SOLD SHORT— (6.8)% | (359,477,986 | ) | ||||||||||
|
| |||||||||||
Other Assets (q) — 23.5% | 1,239,995,029 | |||||||||||
|
| |||||||||||
Net Assets — 100.0% | $ | 5,287,257,555 | ||||||||||
|
| |||||||||||
Security Description | Shares | Value | ||||||||||
SECURITIES SOLD SHORT — (6.8)% | ||||||||||||
COMMON STOCK — (6.8)% | ||||||||||||
Africa — (0.0)% | ||||||||||||
Materials — (0.0)% | ||||||||||||
Harmony Gold Mining Co. Ltd., ADR | 34,500 | $ | (161,460 | ) | ||||||||
Metals & Mining — (0.0)% | ||||||||||||
Gold Fields Ltd., ADR | 20,000 | (185,400 | ) | |||||||||
|
| |||||||||||
Total Africa | (346,860 | ) | ||||||||||
|
| |||||||||||
Asia — (0.5)% | ||||||||||||
Banking — (0.1)% | ||||||||||||
HDFC Bank Ltd., ADR | 8,500 | (614,210 | ) | |||||||||
ICICI Bank Ltd., ADR | 91,400 | (1,358,204 | ) | |||||||||
KB Financial Group, Inc., ADR | 2,700 | (106,920 | ) | |||||||||
Mitsubishi UFJ Financial Group, Inc., ADR | 23,300 | (103,219 | ) | |||||||||
Mizuho Financial Group, Inc., ADR | 6,100 | (15,555 | ) | |||||||||
Shinhan Financial Group Co. Ltd., ADR | 1,600 | (47,616 | ) | |||||||||
Sumitomo Mitsui Financial Group, Inc., ADR | 19,600 | (120,932 | ) | |||||||||
|
| |||||||||||
(2,366,656 | ) | |||||||||||
|
| |||||||||||
Consumer Discretionary Products — (0.1)% | ||||||||||||
Honda Motor Co. Ltd., ADR | 10,800 | (305,100 | ) | |||||||||
Kandi Technologies Group, Inc. | 22,400 | (154,560 | ) | |||||||||
Li Auto, Inc., ADR | 86,800 | (2,502,444 | ) | |||||||||
Toyota Motor Corp., ADR | 3,400 | (525,538 | ) | |||||||||
XPeng, Inc., ADR | 66,700 | (2,856,761 | ) | |||||||||
|
| |||||||||||
(6,344,403 | ) | |||||||||||
|
| |||||||||||
Consumer Discretionary Services — (0.0)% | ||||||||||||
Ambow Education Holding Ltd., ADR | 300 | (651 | ) | |||||||||
Bright Scholar Education Holdings Ltd., ADR | 500 | (2,880 | ) | |||||||||
Melco Resorts & Entertainment Ltd., ADR | 11,800 | (218,890 | ) | |||||||||
OneSmart International Education Group Ltd., ADR | 700 | (2,660 | ) | |||||||||
Tarena International, Inc., ADR | 3,800 | (11,552 | ) | |||||||||
|
| |||||||||||
(236,633 | ) | |||||||||||
|
| |||||||||||
Consumer Services — (0.0)% | ||||||||||||
RISE Education Cayman Ltd., ADR | 1,176 | (7,197 | ) | |||||||||
|
|
See Notes to Consolidated Schedule of Investments.
73
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
December 31, 2020 (Unaudited)
Security Description | Shares | Value | ||||||||
Consumer Staple Products — (0.0)% | ||||||||||
China Xiangtai Food Co. Ltd. | 2,000 | $ | (1,908 | ) | ||||||
|
| |||||||||
Financial Services — (0.0)% | ||||||||||
Hudson Capital, Inc. | 1,980 | (7,168 | ) | |||||||
LexinFintech Holdings Ltd., ADR | 11,000 | (73,700 | ) | |||||||
ORIX Corp., ADR | 200 | (15,466 | ) | |||||||
|
| |||||||||
(96,334 | ) | |||||||||
|
| |||||||||
Gaming, Lodging & Restaurants — (0.0)% | ||||||||||
Huazhu Group Ltd., ADR | 20,000 | (900,600 | ) | |||||||
|
| |||||||||
Health Care — (0.0)% | ||||||||||
111, Inc., ADR | 100 | (695 | ) | |||||||
China SXT Pharmaceuticals, Inc. | 4,100 | (1,348 | ) | |||||||
Happiness Biotech Group Ltd. | 600 | (1,104 | ) | |||||||
Lianluo Smart Ltd., A Shares | 25 | (104 | ) | |||||||
Takeda Pharmaceutical Co. Ltd., ADR | 17,691 | (321,976 | ) | |||||||
|
| |||||||||
(325,227 | ) | |||||||||
|
| |||||||||
Institutional Financial Services — (0.0)% | ||||||||||
Nomura Holdings, Inc., ADR | 3,100 | (16,523 | ) | |||||||
|
| |||||||||
Insurance — (0.0)% | ||||||||||
China Life Insurance Co. Ltd., ADR | 1,600 | (17,696 | ) | |||||||
Fanhua, Inc., ADR | 800 | (9,632 | ) | |||||||
|
| |||||||||
(27,328 | ) | |||||||||
|
| |||||||||
Materials — (0.0)% | ||||||||||
Antelope Enterprise Holdings Ltd. | 500 | (1,255 | ) | |||||||
POSCO, ADR | 100 | (6,231 | ) | |||||||
Vedanta Ltd., ADR | 8,700 | (76,386 | ) | |||||||
|
| |||||||||
(83,872 | ) | |||||||||
|
| |||||||||
Media — (0.1)% | ||||||||||
Baidu, Inc., ADR | 3,700 | (800,088 | ) | |||||||
Bilibili, Inc., ADR | 2,100 | (180,012 | ) | |||||||
Dada Nexus Ltd., ADR | 4,100 | (149,650 | ) | |||||||
iQIYI, Inc., ADR | 91,600 | (1,601,168 | ) | |||||||
LINE Corp., ADR | 100 | (5,198 | ) | |||||||
MakeMyTrip Ltd. | 5,900 | (174,227 | ) | |||||||
Tencent Music Entertainment Group, ADR | 200 | (3,848 | ) | |||||||
Trip.com Group Ltd., ADR | 13,000 | (438,490 | ) | |||||||
Uxin Ltd., ADR | 23,000 | (20,067 | ) | |||||||
Weibo Corp., ADR | 900 | (36,891 | ) | |||||||
Yatra Online, Inc. | 1,000 | (1,930 | ) | |||||||
|
| |||||||||
(3,411,569 | ) | |||||||||
|
| |||||||||
Oil, Gas & Coal — (0.0)% | ||||||||||
China Petroleum & Chemical Corp., ADR | 1,000 | (44,600 | ) | |||||||
CNOOC Ltd., ADR | 100 | (9,165 | ) | |||||||
Recon Technology Ltd. | 2,200 | (3,234 | ) | |||||||
|
| |||||||||
(56,999 | ) | |||||||||
|
| |||||||||
Renewable Energy — (0.0)% | ||||||||||
Jinksolar Holding Co., ADR | 2,500 | (154,675 | ) | |||||||
|
|
See Notes to Consolidated Schedule of Investments.
74
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
December 31, 2020 (Unaudited)
Security Description | Shares | Value | ||||||||
Retail - Discretionary — (0.0)% | ||||||||||
Alibaba Group Holding Ltd., ADR | 2,800 | $ | (651,644 | ) | ||||||
Boqii Holding Ltd., ADR | 100 | (521 | ) | |||||||
JD.com, Inc., ADR | 200 | (17,580 | ) | |||||||
|
| |||||||||
(669,745 | ) | |||||||||
|
| |||||||||
Software — (0.0)% | ||||||||||
GSX Techedu, Inc., ADR | 19,500 | (1,008,345 | ) | |||||||
Kingsoft Cloud Holdings Ltd., ADR | 6,200 | (270,010 | ) | |||||||
Link Motion, Inc., ADR | 11,000 | 0 | ||||||||
NetEase, Inc., ADR | 400 | (38,308 | ) | |||||||
OneConnect Financial Technology Co. Ltd., ADR | 4,700 | (92,637 | ) | |||||||
Sea Ltd., ADR | 2,100 | (418,005 | ) | |||||||
|
| |||||||||
(1,827,305 | ) | |||||||||
|
| |||||||||
Software & Technology Services — (0.0)% | ||||||||||
Agora, Inc., ADR | 2,700 | (106,812 | ) | |||||||
Datasea, Inc. | 1,900 | (3,800 | ) | |||||||
Infosys Ltd., ADR | 5,100 | (86,445 | ) | |||||||
Qutoutiao, Inc., ADR | 23,000 | (36,570 | ) | |||||||
|
| |||||||||
(233,627 | ) | |||||||||
|
| |||||||||
Specialty Finance — (0.0)% | ||||||||||
FinVolution Group, ADR | 900 | (2,403 | ) | |||||||
|
| |||||||||
Tech Hardware & Semiconductors — (0.2)% | ||||||||||
Canaan, Inc., ADR | 400 | (2,372 | ) | |||||||
Huami Corp., ADR | 200 | (2,370 | ) | |||||||
Sony Corp., ADR | 20,800 | (2,102,880 | ) | |||||||
Taiwan Semiconductor Manufacturing Co. Ltd., ADR | 78,100 | (8,516,024 | ) | |||||||
United Microelectronics Corp., ADR | 3,700 | (31,191 | ) | |||||||
|
| |||||||||
(10,654,837 | ) | |||||||||
|
| |||||||||
Technology Services — (0.0)% | ||||||||||
Baozun, Inc., ADR | 5,100 | (175,185 | ) | |||||||
Wipro Ltd., ADR | 2,066 | (11,673 | ) | |||||||
|
| |||||||||
(186,858 | ) | |||||||||
|
| |||||||||
Telecommunications — (0.0)% | ||||||||||
China Unicom Hong Kong Ltd., ADR | 200 | (1,136 | ) | |||||||
Chindata Group Holdings Ltd., ADR | 500 | (11,980 | ) | |||||||
Chunghwa Telecom Co. Ltd., ADR | 600 | (23,172 | ) | |||||||
KT Corp., ADR | 500 | (5,505 | ) | |||||||
PLDT, Inc., ADR | 1,100 | (30,701 | ) | |||||||
PT Telekomunikasi Indonesia Persero Tbk, ADR | 1,100 | (25,872 | ) | |||||||
SK Telecom Co. Ltd., ADR | 2,700 | (66,096 | ) | |||||||
|
| |||||||||
(164,462 | ) | |||||||||
|
| |||||||||
Transportation & Logistics — (0.0)% | ||||||||||
BEST, Inc., ADR | 10,500 | (21,420 | ) | |||||||
|
|
See Notes to Consolidated Schedule of Investments.
75
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
December 31, 2020 (Unaudited)
Security Description | Shares | Value | ||||||||||
Utilities — (0.0)% | ||||||||||||
Korea Electric Power Corp., ADR | 2,300 | $ | (28,221 | ) | ||||||||
|
| |||||||||||
Total Asia | (27,818,802 | ) | ||||||||||
|
| |||||||||||
Europe — (0.4)% | ||||||||||||
Asset Management — (0.0)% | ||||||||||||
UBS Group AG | 41,500 | (586,395 | ) | |||||||||
|
| |||||||||||
Automotive — (0.0)% | ||||||||||||
Ferrari NV | 900 | (206,568 | ) | |||||||||
Fiat Chrysler Automobiles NV | 19,800 | (358,182 | ) | |||||||||
|
| |||||||||||
(564,750 | ) | |||||||||||
|
| |||||||||||
Banking — (0.1)% | ||||||||||||
Banco Bilbao Vizcaya Argentaria SA, ADR | 22,100 | (109,174 | ) | |||||||||
Banco Santander SA, ADR | 137,836 | (420,400 | ) | |||||||||
Barclays plc, ADR | 51,981 | (415,328 | ) | |||||||||
HSBC Holdings plc, ADR | 49,626 | (1,285,810 | ) | |||||||||
ING Groep NV, ADR | 12,000 | (113,280 | ) | |||||||||
Lloyds Banking Group plc, ADR | 44,300 | (86,828 | ) | |||||||||
Natwest Group plc, ADR | 10,300 | (46,556 | ) | |||||||||
|
| |||||||||||
(2,477,376 | ) | |||||||||||
|
| |||||||||||
Biotechnology & Pharmaceuticals — (0.0)% | ||||||||||||
Novartis AG, ADR | 1,200 | (113,316 | ) | |||||||||
|
| |||||||||||
Construction Materials — (0.0)% | ||||||||||||
CRH plc, ADR | 6,800 | (289,544 | ) | |||||||||
|
| |||||||||||
Consumer Discretionary Products — (0.0)% | ||||||||||||
Veoneer, Inc. | 500 | (10,650 | ) | |||||||||
|
| |||||||||||
Consumer Discretionary Services — (0.0)% | ||||||||||||
Esports Entertainment Group, Inc. | 900 | (5,715 | ) | |||||||||
GAN Ltd. | 8,000 | (162,240 | ) | |||||||||
InterContinental Hotels Group plc, ADR | 300 | (19,536 | ) | |||||||||
|
| |||||||||||
(187,491 | ) | |||||||||||
|
| |||||||||||
Consumer Products — (0.1)% | ||||||||||||
Anheuser-Busch InBev NV, ADR | 19,400 | (1,356,254 | ) | |||||||||
Coca-Cola European Partners PLC | 4,400 | (219,252 | ) | |||||||||
Diageo plc, ADR | 300 | (47,643 | ) | |||||||||
|
| |||||||||||
(1,623,149 | ) | |||||||||||
|
| |||||||||||
Consumer Staple Products — (0.1)% | ||||||||||||
British American Tobacco plc, ADR | 25,100 | (940,999 | ) | |||||||||
Unilever plc, ADR | 14,300 | (863,148 | ) | |||||||||
|
| |||||||||||
(1,804,147 | ) | |||||||||||
|
| |||||||||||
Financial Services — (0.0)% | ||||||||||||
Credit Suisse Group AG, ADR | 5,949 | (76,147 | ) | |||||||||
|
| |||||||||||
Health Care — (0.0)% | ||||||||||||
Artelo Biosciences, Inc. | 4,600 | (3,358 | ) |
See Notes to Consolidated Schedule of Investments.
76
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
December 31, 2020 (Unaudited)
Security Description | Shares | Value | ||||||||
Calliditas Therapeutics AB, ADR | 100 | $ | (3,399 | ) | ||||||
Centogene NV | 800 | (8,624 | ) | |||||||
Grifols SA, ADR | 4,800 | (88,512 | ) | |||||||
Koninklijke Philips NV | 8,638 | (467,920 | ) | |||||||
Smith & Nephew plc, ADR | 1,000 | (42,170 | ) | |||||||
Tiziana Life Sciences plc, ADR | 5,500 | (11,110 | ) | |||||||
|
| |||||||||
(625,093 | ) | |||||||||
|
| |||||||||
Industrial Products — (0.0)% | ||||||||||
ABB Ltd., ADR | 26,800 | (749,328 | ) | |||||||
|
| |||||||||
Industrial Services — (0.0)% | ||||||||||
Ardmore Shipping Corp. | 900 | (2,943 | ) | |||||||
Globus Maritime Ltd. | 100 | (571 | ) | |||||||
Ryanair Holdings plc, ADR | 10,700 | (1,176,786 | ) | |||||||
SFL Corp. Ltd. | 600 | (3,768 | ) | |||||||
|
| |||||||||
(1,184,068 | ) | |||||||||
|
| |||||||||
Insurance — (0.0)% | ||||||||||
Prudential plc, ADR | 5,200 | (192,036 | ) | |||||||
|
| |||||||||
Machinery — (0.0)% | ||||||||||
CNH Industrial NV | 100 | (1,284 | ) | |||||||
|
| |||||||||
Media — (0.0)% | ||||||||||
Jumia Technologies AG, ADR | 27,600 | (1,113,660 | ) | |||||||
Liberty Global plc, Class A | 11,700 | (283,374 | ) | |||||||
Pearson plc, ADR | 700 | (6,426 | ) | |||||||
WISeKey International Holding Ltd., ADR | 400 | (2,836 | ) | |||||||
WPP plc, ADR | 2,300 | (124,384 | ) | |||||||
|
| |||||||||
(1,530,680 | ) | |||||||||
|
| |||||||||
Medical Equipment & Devices — (0.0)% | ||||||||||
Alcon, Inc. | 4,600 | (303,508 | ) | |||||||
|
| |||||||||
Metals & Mining — (0.0)% | ||||||||||
Ferroglobe PLC | 400 | 0 | ||||||||
|
| |||||||||
Oil, Gas & Coal — (0.0)% | ||||||||||
Equinor ASA, ADR | 200 | (3,284 | ) | |||||||
Royal Dutch Shell plc, ADR | 300 | (10,542 | ) | |||||||
|
| |||||||||
(13,826 | ) | |||||||||
|
| |||||||||
Semiconductors — (0.1)% | ||||||||||
ASML Holding NV | 6,500 | (3,170,180 | ) | |||||||
|
| |||||||||
Software & Technology Services — (0.0)% | ||||||||||
RELX plc, ADR | 600 | (14,796 | ) | |||||||
SAP SE, ADR | 9,900 | (1,290,861 | ) | |||||||
|
| |||||||||
(1,305,657 | ) | |||||||||
|
| |||||||||
Specialty Finance — (0.0)% | ||||||||||
Fly Leasing Ltd., ADR | 300 | (2,955 | ) | |||||||
|
| |||||||||
Tech Hardware & Semiconductors — (0.0)% | ||||||||||
Nokia Oyj, ADR | 74,700 | (292,077 | ) |
See Notes to Consolidated Schedule of Investments.
77
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
December 31, 2020 (Unaudited)
Security Description | Shares | Value | ||||||||||
STMicroelectronics NV | 100 | $ | (3,712 | ) | ||||||||
|
| |||||||||||
(295,789 | ) | |||||||||||
|
| |||||||||||
Telecommunications — (0.0)% | ||||||||||||
Telefonica SA, ADR | 28,919 | (116,833 | ) | |||||||||
Vodafone Group plc, ADR | 37,600 | (619,648 | ) | |||||||||
|
| |||||||||||
(736,481 | ) | |||||||||||
|
| |||||||||||
Transportation & Logistics — (0.0)% | ||||||||||||
Diana Shipping, Inc. | 653 | (1,260 | ) | |||||||||
Euronav SA | 8,800 | (70,400 | ) | |||||||||
Frontline Ltd. | 42,040 | (261,489 | ) | |||||||||
GasLog Ltd. | 21,200 | (78,864 | ) | |||||||||
Golden Ocean Group Ltd. | 1,880 | (8,704 | ) | |||||||||
Scorpio Tankers, Inc. | 4,342 | (48,587 | ) | |||||||||
Star Bulk Carriers Corp. | 6,300 | �� | (55,629 | ) | ||||||||
|
| |||||||||||
(524,933 | ) | |||||||||||
|
| |||||||||||
Utilities — (0.0)% | ||||||||||||
National Grid plc, ADR | 5,900 | (348,277 | ) | |||||||||
|
| |||||||||||
Total Europe | (18,717,060 | ) | ||||||||||
|
| |||||||||||
Middle East — (0.1)% | ||||||||||||
Biotechnology & Pharmaceuticals — (0.0)% | ||||||||||||
Compugen Ltd. | 300 | (3,633 | ) | |||||||||
|
| |||||||||||
Consumer Discretionary Products — (0.0)% | ||||||||||||
Foresight Autonomous Holdings Ltd., ADR | 2,100 | (8,568 | ) | |||||||||
|
| |||||||||||
Hardware — (0.0)% | ||||||||||||
Kornit Digital Ltd. | 1,700 | (151,521 | ) | |||||||||
|
| |||||||||||
Health Care — (0.0)% | ||||||||||||
Cellect Biotechnology Ltd., ADR | 900 | (1,944 | ) | |||||||||
Intec Pharma Ltd. | 1,215 | (4,192 | ) | |||||||||
Teva Pharmaceutical Industries Ltd., ADR | 71,700 | (691,905 | ) | |||||||||
|
| |||||||||||
(698,041 | ) | |||||||||||
|
| |||||||||||
Materials — (0.0)% | ||||||||||||
Evogene Ltd. | 2,400 | (11,280 | ) | |||||||||
ICL Group Ltd. | 1,600 | (8,080 | ) | |||||||||
|
| |||||||||||
(19,360 | ) | |||||||||||
|
| |||||||||||
Media — (0.1)% | ||||||||||||
Eros STX Global Corp. | 49,300 | (89,726 | ) | |||||||||
Fiverr International Ltd. | 3,600 | (702,360 | ) | |||||||||
|
| |||||||||||
(792,086 | ) | |||||||||||
|
| |||||||||||
Oil, Gas & Coal — (0.0)% | ||||||||||||
Borr Drilling Ltd. | 10,500 | (8,549 | ) | |||||||||
|
| |||||||||||
Software & Technology Services — (0.0)% | ||||||||||||
JFrog Ltd. | 2,600 | (163,358 | ) | |||||||||
|
|
See Notes to Consolidated Schedule of Investments.
78
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
December 31, 2020 (Unaudited)
Security Description | Shares | Value | ||||||||||
Tech Hardware & Semiconductors — (0.0)% | ||||||||||||
Nano Dimension Ltd., ADR | 52,200 | $ | (475,020 | ) | ||||||||
|
| |||||||||||
Telecommunications — (0.0)% | ||||||||||||
Turkcell Iletisim Hizmetleri AS, ADR | 600 | (3,234 | ) | |||||||||
|
| |||||||||||
Total Middle East | (2,323,370 | ) | ||||||||||
|
| |||||||||||
North America — (5.6)% | ||||||||||||
Apparel & Textile Products — (0.0)% | ||||||||||||
Capri Holdings Ltd. | 40,200 | (1,688,400 | ) | |||||||||
Fossil Group, Inc. | 6,300 | (54,621 | ) | |||||||||
|
| |||||||||||
(1,743,021 | ) | |||||||||||
|
| |||||||||||
Asset Management — (0.0)% | ||||||||||||
Artisan Partners Asset Management, Inc., Class A | 1,700 | (85,578 | ) | |||||||||
BrightSphere Investment Group PLC | 1,700 | (32,776 | ) | |||||||||
Carlyle Group, Inc. (The) | 5,900 | (185,496 | ) | |||||||||
Focus Financial Partners, Inc., Class A | 700 | (30,450 | ) | |||||||||
|
| |||||||||||
(334,300 | ) | |||||||||||
|
| |||||||||||
Automotive — (0.1)% | ||||||||||||
Aptiv plc | 17,700 | (2,306,133 | ) | |||||||||
General Motors Co. | 49,300 | (2,052,852 | ) | |||||||||
|
| |||||||||||
(4,358,985 | ) | |||||||||||
|
| |||||||||||
Banking — (0.1)% | ||||||||||||
Allegiance Bancshares, Inc. | 500 | (17,065 | ) | |||||||||
Ameris Bancorp | 5,699 | (216,961 | ) | |||||||||
Atlantic Union Bankshares Corp. | 400 | (13,176 | ) | |||||||||
Banc of California, Inc. | 2,900 | (42,659 | ) | |||||||||
Banco Latinoamericano de Comercio Exterior SA, Class E | 2,300 | (36,409 | ) | |||||||||
Bank of Montreal | 800 | (60,824 | ) | |||||||||
Bank of Nova Scotia | 13,700 | (740,348 | ) | |||||||||
BankUnited, Inc. | 3,000 | (104,340 | ) | |||||||||
Berkshire Hills Bancorp, Inc. | 500 | (8,560 | ) | |||||||||
Byline Bancorp, Inc. | 200 | (3,090 | ) | |||||||||
Canadian Imperial Bank of Commerce | 2,600 | (222,222 | ) | |||||||||
Capitol Federal Financial, Inc. | 6,700 | (83,750 | ) | |||||||||
Credicorp Ltd. | 2,500 | (410,050 | ) | |||||||||
Customers Bancorp, Inc. | 2,500 | (45,450 | ) | |||||||||
CVB Financial Corp. | 300 | (5,850 | ) | |||||||||
FB Financial Corp. | 1,600 | (55,568 | ) | |||||||||
First Hawaiian, Inc. | 200 | (4,716 | ) | |||||||||
First Midwest Bancorp, Inc. | 100 | (1,592 | ) | |||||||||
First Republic Bank | 8,900 | (1,307,677 | ) | |||||||||
Fulton Financial Corp. | 100 | (1,272 | ) | |||||||||
Glacier Bancorp, Inc. | 300 | (13,803 | ) | |||||||||
Great Western Bancorp, Inc. | 300 | (6,270 | ) | |||||||||
Hilltop Holdings, Inc. | 200 | (5,502 | ) | |||||||||
Independent Bank Corp. | 100 | (7,304 | ) | |||||||||
Independent Bank Group, Inc. | 800 | (50,016 | ) |
See Notes to Consolidated Schedule of Investments.
79
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
December 31, 2020 (Unaudited)
Security Description | Shares | Value | ||||||||
Meta Financial Group, Inc. | 1,700 | $ | (62,152 | ) | ||||||
Old National Bancorp | 200 | (3,312 | ) | |||||||
Pacific Premier Bancorp, Inc. | 420 | (13,158 | ) | |||||||
Park National Corp. | 100 | (10,501 | ) | |||||||
Pinnacle Financial Partners, Inc. | 6,400 | (412,160 | ) | |||||||
PNC Financial Services Group, Inc. | 5,700 | (849,300 | ) | |||||||
Renasant Corp. | 1,800 | (60,624 | ) | |||||||
Royal Bank of Canada | 6,200 | (508,772 | ) | |||||||
Simmons First National Corp., Class A | 800 | (17,272 | ) | |||||||
South State Corp. | 2,000 | (144,600 | ) | |||||||
Sterling Bancorp | 27,408 | (492,796 | ) | |||||||
SVB Financial Group | 500 | (193,915 | ) | |||||||
TCF Financial Corp. | 14,147 | (523,722 | ) | |||||||
Triumph Bancorp, Inc. | 1,300 | (63,115 | ) | |||||||
United Bankshares, Inc. | 300 | (9,720 | ) | |||||||
Webster Financial Corp. | 800 | (33,720 | ) | |||||||
Western Alliance Bancorp | 800 | (47,960 | ) | |||||||
WSFS Financial Corp. | 300 | (13,464 | ) | |||||||
|
| |||||||||
(6,924,737 | ) | |||||||||
|
| |||||||||
Biotechnology & Pharmaceuticals — (0.2)% | ||||||||||
Acorda Therapeutics, Inc. | 14,800 | (10,213 | ) | |||||||
Adamis Pharmaceuticals Corp. | 12,300 | (5,967 | ) | |||||||
Alnylam Pharmaceuticals, Inc. | 100 | (12,997 | ) | |||||||
Ampio Pharmaceuticals, Inc. | 57,312 | (91,126 | ) | |||||||
Anixa Biosciencies, Inc. | 4,662 | (14,312 | ) | |||||||
Arbutus Biopharma Corp. | 300 | (1,065 | ) | |||||||
Assertio Holdings, Inc. | 24,000 | (8,582 | ) | |||||||
Aurinia Pharmaceuticals, Inc. | 7,900 | (109,257 | ) | |||||||
Biogen Idec, Inc. | 13,900 | (3,403,554 | ) | |||||||
BioMarin Pharmaceutical, Inc. | 7,000 | (613,830 | ) | |||||||
Coherus Biosciences, Inc. | 11,900 | (206,822 | ) | |||||||
Collegium Pharmaceutical, Inc. | 100 | (2,003 | ) | |||||||
Elanco Animal Health, Inc. | 45,700 | (1,401,619 | ) | |||||||
Endo International plc | 26,200 | (188,116 | ) | |||||||
Evoke Pharma, Inc. | 100 | (263 | ) | |||||||
Evolus, Inc. | 6,800 | (22,848 | ) | |||||||
Guardant Health, Inc. | 9,700 | (1,250,136 | ) | |||||||
Inovio Pharmaceuticals, Inc. | 400 | (3,540 | ) | |||||||
Intra-Cellular Therapies, Inc. | 2,900 | (92,220 | ) | |||||||
Lumos Pharma, Inc. | 222 | (7,928 | ) | |||||||
Myovant Sciences Ltd. | 200 | (5,524 | ) | |||||||
NantKwest, Inc. | 400 | (5,332 | ) | |||||||
Neurobo Pharmaceuticals, Inc. | 92 | (29 | ) | |||||||
Neurocrine Biosciences, Inc. | 100 | (9,585 | ) | |||||||
Novan, Inc. | 16,096 | (13,086 | ) | |||||||
PDL BioPharma, Inc. | 4,500 | (11,115 | ) | |||||||
SELLAS Life Sciences Group, Inc. | 2,067 | (12,009 | ) | |||||||
Sorrento Therapeutics, Inc. | 81,500 | (556,238 | ) | |||||||
Stoke Therapeutics, Inc. | 1,300 | (80,509 | ) | |||||||
TG Therapeutics, Inc. | 13,000 | (676,260 | ) |
See Notes to Consolidated Schedule of Investments.
80
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
December 31, 2020 (Unaudited)
Security Description | Shares | Value | ||||||||
TransMedics Group, Inc. | 1,400 | $ | (27,860 | ) | ||||||
Trillium Therapeutics, Inc. | 26,800 | (394,228 | ) | |||||||
United Therapeutics Corp. | 199 | (30,206 | ) | |||||||
UroGen Pharma Ltd. | 2,300 | (41,446 | ) | |||||||
Vaxart, Inc. | 26,100 | (149,031 | ) | |||||||
VBI Vaccines, Inc. | 1,200 | (3,300 | ) | |||||||
Veru, Inc. | 8,600 | (74,390 | ) | |||||||
Vir Biotechnology, Inc. | 11,500 | (307,970 | ) | |||||||
Xencor, Inc. | 700 | (30,541 | ) | |||||||
Zosano Pharma Corp. | 21,496 | (11,331 | ) | |||||||
|
| |||||||||
(9,886,388 | ) | |||||||||
|
| |||||||||
Chemicals — (0.0)% | ||||||||||
AgroFresh Solutions, Inc. | 900 | (2,043 | ) | |||||||
Amyris, Inc. | 16,300 | (100,653 | ) | |||||||
Avient Corp. | 400 | (16,112 | ) | |||||||
DuPont de Nemours, Inc. | 2,500 | (177,775 | ) | |||||||
GCP Applied Technologies, Inc. | 1,700 | (40,205 | ) | |||||||
LyondellBasell Industries NV, Class A | 900 | (82,494 | ) | |||||||
Nutrien Ltd. | 9,401 | (452,752 | ) | |||||||
Tronox Holdings PLC, Class A | 17,200 | (251,464 | ) | |||||||
|
| |||||||||
(1,123,498 | ) | |||||||||
|
| |||||||||
Commercial Services — (0.0)% | ||||||||||
Aramark | 900 | (34,632 | ) | |||||||
GP Strategies Corp. | 100 | (1,186 | ) | |||||||
Interpace Biosciences, Inc. | 1,160 | (3,642 | ) | |||||||
NV5 Global, Inc. | 1,100 | (86,658 | ) | |||||||
Willdan Group, Inc. | 500 | (20,850 | ) | |||||||
|
| |||||||||
(146,968 | ) | |||||||||
|
| |||||||||
Construction Materials — (0.0)% | ||||||||||
Advanced Drainage Systems, Inc. | 300 | (25,074 | ) | |||||||
Trex Co., Inc. | 14,300 | (1,197,196 | ) | |||||||
|
| |||||||||
(1,222,270 | ) | |||||||||
|
| |||||||||
Consumer Discretionary Products — (0.2)% | ||||||||||
American Woodmark Corp. | 1,700 | (159,545 | ) | |||||||
AYRO, Inc. | 3,600 | (21,888 | ) | |||||||
BorgWarner, Inc. | 7,640 | (295,210 | ) | |||||||
Brunswick Corp. | 200 | (15,248 | ) | |||||||
Canada Goose Holdings, Inc. | 2,100 | (62,517 | ) | |||||||
Carter’s, Inc. | 8,700 | (818,409 | ) | |||||||
Columbia Sportswear Co. | 1,200 | (104,856 | ) | |||||||
Cooper Tire & Rubber Co. | 6,200 | (251,100 | ) | |||||||
Deckers Outdoor Corp. | 1,300 | (372,814 | ) | |||||||
ElectraMeccanica Vehicles Corp. | 12,400 | (76,756 | ) | |||||||
Green Brick Partners, Inc. | 100 | (2,296 | ) | |||||||
Hanesbrands, Inc. | 38,700 | (564,246 | ) | |||||||
Harley-Davidson, Inc. | 27,300 | (1,001,910 | ) | |||||||
Hasbro, Inc. | 2,700 | (252,558 | ) |
See Notes to Consolidated Schedule of Investments.
81
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
December 31, 2020 (Unaudited)
Security Description | Shares | Value | ||||||||
HNI Corp. | 100 | $ | (3,484 | ) | ||||||
Hooker Furniture Corp. | 600 | (19,350 | ) | |||||||
Hovnanian Enterprises, Class A | 416 | (13,670 | ) | |||||||
Iconix Brand Group, Inc. | 2,310 | (2,910 | ) | |||||||
Lakeland Industries, Inc. | 2,400 | (65,400 | ) | |||||||
Lear Corp. | 5,500 | (874,665 | ) | |||||||
Lennar Corp., Class A | 424 | (32,321 | ) | |||||||
Magna International, Inc. | 200 | (14,160 | ) | |||||||
Mattel, Inc. | 50,500 | (881,225 | ) | |||||||
Methode Electronics, Inc. | 500 | (19,140 | ) | |||||||
Mohawk Group Holdings, Inc. | 400 | (6,884 | ) | |||||||
Mohawk Industries, Inc. | 1,200 | (169,140 | ) | |||||||
Motorcar Parts of America, Inc. | 1,000 | (19,620 | ) | |||||||
Newell Brands, Inc. | 40,418 | (858,074 | ) | |||||||
PVH Corp. | 10,000 | (938,900 | ) | |||||||
Sequential Brands Group, Inc. | 415 | (5,955 | ) | |||||||
Skechers U.S.A., Inc., Class A | 2,500 | (89,850 | ) | |||||||
Skyline Champion Corp. | 200 | (6,188 | ) | |||||||
Smith & Wesson Brands, Inc. | 12,500 | (221,875 | ) | |||||||
Steven Madden Ltd. | 7,950 | (280,794 | ) | |||||||
Thor Industries, Inc. | 200 | (18,598 | ) | |||||||
Toll Brothers, Inc. | 6,000 | (260,820 | ) | |||||||
Tupperware Brands Corp. | 2,300 | (74,497 | ) | |||||||
Visteon Corp. | 300 | (37,656 | ) | |||||||
Westport Fuel Systems, Inc. | 11,100 | (59,163 | ) | |||||||
Whirlpool Corp. | 1,200 | (216,588 | ) | |||||||
XPEL, Inc. | 300 | (15,468 | ) | |||||||
|
| |||||||||
(9,205,748 | ) | |||||||||
|
| |||||||||
Consumer Discretionary Services — (0.2)% | ||||||||||
Bally’s Corp. | 1,100 | (55,253 | ) | |||||||
BJ’s Restaurants, Inc. | 4,300 | (165,507 | ) | |||||||
Bright Horizons Family Solutions, Inc. | 1,600 | (276,784 | ) | |||||||
Brinker International, Inc. | 2,300 | (130,111 | ) | |||||||
Choice Hotels International, Inc. | 3,700 | (394,901 | ) | |||||||
Darden Restaurants, Inc. | 3,400 | (405,008 | ) | |||||||
Dave & Buster’s Entertainment, Inc. | 14,700 | (441,294 | ) | |||||||
Drive Shack, Inc. | 12,267 | (29,195 | ) | |||||||
El Pollo Loco Holdings, Inc. | 4,700 | (85,070 | ) | |||||||
Hyatt Hotels Corp., Class A | 3,800 | (282,150 | ) | |||||||
Kura Sushi USA, Inc., Class A | 800 | (15,600 | ) | |||||||
Las Vegas Sands Corp. | 74,200 | (4,422,320 | ) | |||||||
Laureate Education, Inc., Class A | 7,200 | (104,832 | ) | |||||||
Liberty Media Corp-Liberty Braves, Class C | 1,100 | (27,368 | ) | |||||||
Live Nation Entertainment, Inc. | 1,100 | (80,828 | ) | |||||||
Luby’s, Inc. | 900 | (2,556 | ) | |||||||
Madison Square Garden Entertainment Corp. | 300 | (31,512 | ) | |||||||
Madison Square Garden Sports Corp. | 100 | (18,410 | ) | |||||||
Marriott International, Inc., Class A | 1,000 | (131,920 | ) | |||||||
MGM Resorts International | 26,000 | (819,260 | ) |
See Notes to Consolidated Schedule of Investments.
82
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
December 31, 2020 (Unaudited)
Security Description | Shares | Value | ||||||||
Potbelly Corp. | 2,500 | $ | (11,000 | ) | ||||||
RCI Hospitality Holdings, Inc. | 100 | (3,944 | ) | |||||||
Regis Corp. | 7,200 | (66,168 | ) | |||||||
SCWorx Corp. | 2,600 | (3,562 | ) | |||||||
Starbucks Corp. | 400 | (42,792 | ) | |||||||
Target Hospitality Corp. | 100 | (158 | ) | |||||||
Vail Resorts, Inc. | 600 | (167,376 | ) | |||||||
Wynn Resorts Ltd. | 33,400 | (3,768,522 | ) | |||||||
XpresSpa Group, Inc. | 29,100 | (34,629 | ) | |||||||
|
| |||||||||
(12,018,030 | ) | |||||||||
|
| |||||||||
Consumer Products — (0.0)% | ||||||||||
22nd Century Group, Inc. | 12,700 | (27,940 | ) | |||||||
Alkaline Water Co., Inc. (The) | 22,800 | (23,028 | ) | |||||||
B&G Foods, Inc. | 6,900 | (191,337 | ) | |||||||
Cronos Group, Inc. | 63,600 | (441,384 | ) | |||||||
Fresh Del Monte Produce, Inc. | 2,100 | (50,547 | ) | |||||||
Helen of Troy Ltd. | 2,300 | (511,037 | ) | |||||||
Pilgrim’s Pride Corp. | 2,100 | (41,181 | ) | |||||||
Primo Water Corp. | 100 | (1,560 | ) | |||||||
TreeHouse Foods, Inc. | 500 | (21,245 | ) | |||||||
Vector Group Ltd. | 10,328 | (120,321 | ) | |||||||
|
| |||||||||
(1,429,580 | ) | |||||||||
|
| |||||||||
Consumer Services — (0.0)% | ||||||||||
Rent-A-Center, Inc. | 600 | (22,974 | ) | |||||||
Strategic Education, Inc. | 525 | (50,048 | ) | |||||||
|
| |||||||||
(73,022 | ) | |||||||||
|
| |||||||||
Consumer Staple Products — (0.1)% | ||||||||||
Aurora Cannabis, Inc. | 43,700 | (363,147 | ) | |||||||
Beyond Meat, Inc. | 18,700 | (2,337,500 | ) | |||||||
Brown-Forman Corp., Class B | 1,500 | (119,145 | ) | |||||||
Cadiz, Inc. | 700 | (7,455 | ) | |||||||
Celsius Holdings, Inc. | 11,800 | (593,658 | ) | |||||||
Coty, Inc., Class A | 202,985 | (1,424,955 | ) | |||||||
Darling Ingredients, Inc. | 3,700 | (213,416 | ) | |||||||
Edgewell Personal Care Co. | 4,500 | (155,610 | ) | |||||||
Estee Lauder Cos., Inc. (The), Class A | 1,800 | (479,142 | ) | |||||||
Greenlane Holdings, Inc., Class A | 300 | (1,188 | ) | |||||||
Hain Celestial Group, Inc. | 1,700 | (68,255 | ) | |||||||
Inter Parfums, Inc. | 100 | (6,049 | ) | |||||||
Keurig Dr Pepper, Inc. | 5,400 | (172,800 | ) | |||||||
Limoneira Co. | 500 | (8,325 | ) | |||||||
NewAge, Inc. | 27,200 | (71,536 | ) | |||||||
Ocean Bio-Chem, Inc. | 600 | (8,016 | ) | |||||||
Organigram Holdings, Inc. | 21,100 | (28,063 | ) | |||||||
Post Holdings, Inc. | 4,000 | (404,040 | ) | |||||||
Sanderson Farms, Inc. | 400 | (52,880 | ) | |||||||
Simply Good Foods Co. (The) | 5,700 | (178,752 | ) |
See Notes to Consolidated Schedule of Investments.
83
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
December 31, 2020 (Unaudited)
Security Description | Shares | Value | ||||||||
Tejon Ranch Co. | 300 | $ | (4,335 | ) | ||||||
Tilray, Inc. | 41,300 | (341,138 | ) | |||||||
Universal Corp. | 2,100 | (102,081 | ) | |||||||
Village Farms International, Inc. | 100 | (1,014 | ) | |||||||
Vital Farms, Inc. | 500 | (12,655 | ) | |||||||
|
| |||||||||
(7,155,155 | ) | |||||||||
|
| |||||||||
Containers & Packaging — (0.0)% | ||||||||||
Amcor plc | 38,800 | (456,676 | ) | |||||||
|
| |||||||||
Design, Manufacturing & Distribution — (0.0)% | ||||||||||
Benchmark Electronics, Inc. | 2,600 | (70,226 | ) | |||||||
Flex Ltd. | 46,100 | (828,878 | ) | |||||||
SYNNEX Corp. | 2,700 | (219,888 | ) | |||||||
|
| |||||||||
(1,118,992 | ) | |||||||||
|
| |||||||||
Distributors - Consumer Staples — (0.0)% | ||||||||||
Bunge Ltd. | 8,500 | (557,430 | ) | |||||||
Grocery Outlet Holding Corp. | 5,700 | (223,725 | ) | |||||||
Performance Food Group Co. | 800 | (38,088 | ) | |||||||
|
| |||||||||
(819,243 | ) | |||||||||
|
| |||||||||
Distributors - Discretionary — (0.0)% | ||||||||||
G-III Apparel Group Ltd. | 300 | (7,122 | ) | |||||||
Pool Corp. | 200 | (74,500 | ) | |||||||
|
| |||||||||
(81,622 | ) | |||||||||
|
| |||||||||
Electrical Equipment — (0.0)% | ||||||||||
Babcock & Wilcox Enterprises, Inc. | 8 | (28 | ) | |||||||
Energous Corp. | 13,800 | (24,840 | ) | |||||||
IntriCon Corp. | 500 | (9,050 | ) | |||||||
Mesa Laboratories, Inc. | 200 | (57,328 | ) | |||||||
Novanta, Inc. | 1,200 | (141,864 | ) | |||||||
|
| |||||||||
(233,110 | ) | |||||||||
|
| |||||||||
Engineering & Construction Services — (0.0)% | ||||||||||
Construction Partners, Inc., Class A | 500 | (14,555 | ) | |||||||
frontdoor, Inc. | 50 | (2,510 | ) | |||||||
Kratos Defense & Security Solutions, Inc. | 1,300 | (35,659 | ) | |||||||
|
| |||||||||
(52,724 | ) | |||||||||
|
| |||||||||
Financial Services — (0.1)% | ||||||||||
Affiliated Managers Group, Inc. | 300 | (30,510 | ) | |||||||
Altus Midstream | 710 | (33,697 | ) | |||||||
Brookfield Asset Management, Inc., Class A | 41,375 | (1,707,546 | ) | |||||||
Charles Schwab Corp. | 83,697 | (4,439,289 | ) | |||||||
Columbia Financial, Inc. | 1,300 | (20,228 | ) | |||||||
Credit Acceptance Corp. | 700 | (242,298 | ) | |||||||
Discover Financial Services | 300 | (27,159 | ) | |||||||
Encore Capital Group, Inc. | 2,300 | (89,585 | ) | |||||||
Evercore, Inc., Class A | 200 | (21,928 | ) |
See Notes to Consolidated Schedule of Investments.
84
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
December 31, 2020 (Unaudited)
Security Description | Shares | Value | ||||||||
Greenhill & Co., Inc. | 1,700 | $ | (20,638 | ) | ||||||
Marathon Patent Group, Inc. | 19,700 | (205,668 | ) | |||||||
Morgan Stanley | 3,400 | (233,002 | ) | |||||||
PHENIXFIN Corp. | 120 | (3,397 | ) | |||||||
Rocket Cos., Inc., Class A | 2,600 | (52,572 | ) | |||||||
Stifel Financial Corp. | 4,700 | (237,162 | ) | |||||||
Waddell & Reed Financial, Inc., Class A | 800 | (20,376 | ) | |||||||
World Acceptance Corp. | 400 | (40,888 | ) | |||||||
|
| |||||||||
(7,425,943 | ) | |||||||||
|
| |||||||||
Gaming, Lodging & Restaurants — (0.1)% | ||||||||||
Caesars Entertainment, Inc. | 10,476 | (778,052 | ) | |||||||
DraftKings, Inc., Class A | 110,000 | (5,121,600 | ) | |||||||
Fiesta Restaurant Group, Inc. | 2,200 | (25,080 | ) | |||||||
Marriott Vacations Worldwide Corp. | 4,900 | (672,378 | ) | |||||||
Playa Hotels & Resorts NV | 9,100 | (54,145 | ) | |||||||
Red Robin Gourmet Burgers, Inc. | 2,100 | (40,383 | ) | |||||||
Restaurant Brands International, Inc. | 5,579 | (340,933 | ) | |||||||
|
| |||||||||
(7,032,571 | ) | |||||||||
|
| |||||||||
Hardware — (0.0)% | ||||||||||
CommScope Holding Co., Inc. | 14,700 | (196,980 | ) | |||||||
Dell Technologies, Inc., Class C | 8,170 | (598,779 | ) | |||||||
GoPro, Inc., Class A | 36,300 | (300,564 | ) | |||||||
Lumentum Holdings, Inc. | 5 | (474 | ) | |||||||
Maxar Technologies, Inc. | 3,000 | (115,770 | ) | |||||||
Ubiquiti, Inc. | 500 | (139,255 | ) | |||||||
|
| |||||||||
(1,351,822 | ) | |||||||||
|
| |||||||||
Health Care — (0.4)% | ||||||||||
Abeona Therapeutics, Inc. | 2,100 | (3,297 | ) | |||||||
Accolade, Inc. | 5,500 | (239,250 | ) | |||||||
Achieve Life Sciences, Inc. | 1,800 | (14,580 | ) | |||||||
Actinium Pharmaceuticals, Inc. | 1,986 | (15,491 | ) | |||||||
Adial Pharmaceuticals, Inc. | 400 | (680 | ) | |||||||
ADMA Biologics, Inc. | 29,300 | (57,135 | ) | |||||||
Advaxis, Inc. | 14,300 | (4,986 | ) | |||||||
Aerpio Pharmaceuticals, Inc. | 200 | (196 | ) | |||||||
Aeterna Zentaris, Inc. | 10,524 | (4,478 | ) | |||||||
Agios Pharmaceuticals, Inc. | 100 | (4,333 | ) | |||||||
AIkido Pharma, Inc. | 100 | (95 | ) | |||||||
Akouos, Inc. | 900 | (17,847 | ) | |||||||
Allena Pharmaceuticals, Inc. | 1,900 | (2,432 | ) | |||||||
Allied Healthcare Products, Inc. | 1,200 | (5,844 | ) | |||||||
Allovir, Inc. | 1,700 | (65,348 | ) | |||||||
Alpha Pro Tech Ltd. | 4,200 | (46,830 | ) | |||||||
ALX Oncology Holdings, Inc. | 100 | (8,620 | ) | |||||||
American Well Corp., Class A | 8,000 | (202,640 | ) | |||||||
Anavex Life Sciences Corp. | 8,700 | (46,980 | ) | |||||||
Applied Molecular Transport, Inc. | 900 | (27,693 | ) |
See Notes to Consolidated Schedule of Investments.
85
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
December 31, 2020 (Unaudited)
Security Description | Shares | Value | ||||||||
Aptose Biosciences, Inc. | 500 | $ | (2,190 | ) | ||||||
Aquestive Therapeutics, Inc. | 200 | (1,070 | ) | |||||||
Aspira Women’s Health, Inc. | 6,800 | (45,628 | ) | |||||||
AtriCure, Inc. | 1,500 | (83,505 | ) | |||||||
Avalon GloboCare Corp. | 5,900 | (6,608 | ) | |||||||
Avanos Medical, Inc. | 2,200 | (100,936 | ) | |||||||
Avenue Therapeutics, Inc. | 900 | (5,355 | ) | |||||||
Avidity Biosciences, Inc. | 200 | (5,104 | ) | |||||||
Avinger, Inc. | 26,248 | (11,552 | ) | |||||||
Aytu BioScience, Inc. | 3,390 | (20,272 | ) | |||||||
Beam Therapeutics, Inc. | 3,500 | (285,740 | ) | |||||||
Bellicum Pharmaceuticals, Inc. | 1,470 | (5,189 | ) | |||||||
Berkeley Lights, Inc. | 2,100 | (187,761 | ) | |||||||
Biocept, Inc. | 4,110 | (18,248 | ) | |||||||
Biolase, Inc. | 28,900 | (12,043 | ) | |||||||
Biomerica, Inc. | 2,600 | (12,948 | ) | |||||||
BioNano Genomics, Inc. | 39,000 | (120,120 | ) | |||||||
BioSig Technologies, Inc. | 500 | (1,950 | ) | |||||||
BioTelemetry, Inc. | 800 | (57,664 | ) | |||||||
Blueprint Medicines Corp. | 100 | (11,215 | ) | |||||||
Bruker Corp. | 300 | (16,239 | ) | |||||||
Cancer Genetics, Inc. | 1,200 | (3,324 | ) | |||||||
Cantel Medical Corp. | 100 | (7,886 | ) | |||||||
Capital Senior Living Corp. | 246 | (3,036 | ) | |||||||
Cassava Sciences, Inc. | 8,400 | (57,288 | ) | |||||||
Catabasis Pharmaceuticals, Inc. | 400 | (856 | ) | |||||||
Catalent, Inc. | 3,000 | (312,210 | ) | |||||||
cbdMD, Inc. | 800 | (2,360 | ) | |||||||
Cellular Biomedicine Group, Inc. | 700 | (12,866 | ) | |||||||
Celsion Corp. | 700 | (498 | ) | |||||||
Check Cap Ltd. | 700 | (322 | ) | |||||||
Chembio Diagnostics, Inc. | 6,200 | (29,450 | ) | |||||||
CHF Solutions, Inc. | 820 | (5,715 | ) | |||||||
China Pharma Holdings, Inc. | 2,000 | (892 | ) | |||||||
Cigna Corp. | 2,900 | (603,722 | ) | |||||||
Clovis Oncology, Inc. | 27,300 | (131,040 | ) | |||||||
Co-Diagnostics, Inc. | 8,300 | (77,190 | ) | |||||||
Cocrystal Pharma, Inc. | 21,200 | (28,832 | ) | |||||||
Corcept Therapeutics, Inc. | 1,100 | (28,776 | ) | |||||||
Curis, Inc. | 3,900 | (31,941 | ) | |||||||
CVS Health Corp. | 9,100 | (621,530 | ) | |||||||
Danaher Corp. | 900 | (199,926 | ) | |||||||
DermTech, Inc. | 1,000 | (32,440 | ) | |||||||
DexCom, Inc. | 700 | (258,804 | ) | |||||||
Edwards Lifesciences Corp. | 5,600 | (510,888 | ) | |||||||
Electromed, Inc. | 600 | (5,886 | ) | |||||||
Eloxx Pharmaceuticals, Inc. | 100 | (398 | ) | |||||||
Emergent BioSolutions, Inc. | 2,600 | (232,960 | ) | |||||||
Ensign Group, Inc. | 200 | (14,584 | ) | |||||||
Enveric Biosciences, Inc. | 475 | (2,023 | ) |
See Notes to Consolidated Schedule of Investments.
86
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
December 31, 2020 (Unaudited)
Security Description | Shares | Value | ||||||||
Enzo Biochem, Inc. | 5,200 | $ | (13,104 | ) | ||||||
Equillium, Inc. | 1,100 | (5,885 | ) | |||||||
Evofem Biosciences, Inc. | 21,000 | (50,610 | ) | |||||||
EyePoint Pharmaceuticals, Inc. | 100 | (658 | ) | |||||||
Fennec Pharmaceuticals, Inc. | 1,500 | (11,175 | ) | |||||||
Frequency Therapeutics, Inc. | 100 | (3,526 | ) | |||||||
Fulgent Genetics, Inc. | 2,300 | (119,830 | ) | |||||||
Generation Bio Co. | 700 | (19,845 | ) | |||||||
Genprex, Inc. | 3,200 | (13,280 | ) | |||||||
Geovax Labs, Inc. | 1,100 | (3,718 | ) | |||||||
Glaukos Corp. | 3,000 | (225,780 | ) | |||||||
Global Blood Therapeutics, Inc. | 300 | (12,993 | ) | |||||||
GoodRx Holdings, Inc., Class A | 2,400 | (96,816 | ) | |||||||
Gritstone Oncology, Inc. | 200 | (788 | ) | |||||||
Guardion Health Sciences, Inc. | 11,300 | (4,690 | ) | |||||||
Hancock Jaffe Laboratories, Inc. | 660 | (5,709 | ) | |||||||
Heat Biologics, Inc. | 4,028 | (21,590 | ) | |||||||
Henry Schein, Inc. | 100 | (6,686 | ) | |||||||
Hepion Pharmaceuticals, Inc. | 1,800 | (3,942 | ) | |||||||
Heron Therapeutics, Inc. | 600 | (12,699 | ) | |||||||
Homology Medicines, Inc. | 100 | (1,129 | ) | |||||||
HTG Molecular Diagnostics, Inc. | 633 | (3,032 | ) | |||||||
Humanigen, Inc. | 200 | (3,500 | ) | |||||||
IGM Biosciences, Inc. | 600 | (52,974 | ) | |||||||
Inari Medical, Inc. | 4,900 | (427,721 | ) | |||||||
Inmune Bio, Inc. | 800 | (13,776 | ) | |||||||
Inspire Medical Systems, Inc. | 100 | (18,809 | ) | |||||||
Integra LifeSciences Holdings Corp. | 1,200 | (77,904 | ) | |||||||
InVivo Therapeutics Holdings Corp. | 1,300 | (1,016 | ) | |||||||
iRhythm Technologies, Inc. | 1,100 | (260,931 | ) | |||||||
Jaguar Health, Inc. | 19,100 | (15,567 | ) | |||||||
Jazz Pharmaceuticals plc | 4,400 | (726,220 | ) | |||||||
Krystal Biotech, Inc. | 500 | (30,000 | ) | |||||||
Kymera Therapeutics, Inc. | 100 | (6,200 | ) | |||||||
Lannett Co., Inc. | 200 | (1,304 | ) | |||||||
Legend Biotech Corp., ADR | 100 | (2,816 | ) | |||||||
Lexicon Pharmaceuticals, Inc. | 15,900 | (54,378 | ) | |||||||
Lipocine, Inc. | 900 | (1,224 | ) | |||||||
Marker Therapeutics, Inc. | 200 | (290 | ) | |||||||
Masimo Corp. | 200 | (53,676 | ) | |||||||
MediciNova, Inc. | 200 | (1,052 | ) | |||||||
Milestone Scientific, Inc. | 5,200 | (11,024 | ) | |||||||
Monopar Therapeutics, Inc. | 100 | (612 | ) | |||||||
Nabriva Therapeutics plc | 1,300 | (3,146 | ) | |||||||
Neovasc, Inc. | 700 | (666 | ) | |||||||
Nkarta, Inc. | 600 | (36,882 | ) | |||||||
Novavax, Inc. | 19,700 | (2,196,747 | ) | |||||||
Nurix Therapeutics, Inc. | 100 | (3,288 | ) | |||||||
Nymox Pharmaceutical Corp. | 400 | (992 | ) | |||||||
Obalon Therapeutics, Inc. | 1,600 | (2,400 | ) |
See Notes to Consolidated Schedule of Investments.
87
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
December 31, 2020 (Unaudited)
Security Description | Shares | Value | ||||||||
Ocugen, Inc. | 50,200 | $ | (91,866 | ) | ||||||
Omeros Corp. | 600 | (8,571 | ) | |||||||
Oncocyte Corp. | 3,500 | (8,365 | ) | |||||||
Optinose, Inc. | 100 | (414 | ) | |||||||
Oragenics, Inc. | 26,600 | (11,943 | ) | |||||||
Organovo Holdings, Inc. | 905 | (11,132 | ) | |||||||
ORIC Pharmaceuticals, Inc. | 500 | (16,925 | ) | |||||||
OrthoPediatrics Corp. | 200 | (8,250 | ) | |||||||
Osmotica Pharmaceuticals plc | 100 | (411 | ) | |||||||
Patterson Cos., Inc. | 2,400 | (71,112 | ) | |||||||
PAVmed, Inc. | 6,900 | (14,628 | ) | |||||||
PerkinElmer, Inc. | 2,000 | (287,000 | ) | |||||||
PhaseBio Pharmaceuticals, Inc. | 2,500 | (8,400 | ) | |||||||
Pliant Therapeutics, Inc. | 200 | (4,544 | ) | |||||||
PolarityTE, Inc. | 12,199 | (8,295 | ) | |||||||
Prelude Therapeutics, Inc. | 200 | (14,310 | ) | |||||||
Progyny, Inc. | 3,900 | (165,321 | ) | |||||||
Pulmonx Corp. | 100 | (6,902 | ) | |||||||
Qualigen Therapeutics, Inc. | 100 | (301 | ) | |||||||
Relay Therapeutics, Inc. | 500 | (20,780 | ) | |||||||
ResMed, Inc. | 3,500 | (743,960 | ) | |||||||
Retractable Technologies, Inc. | 100 | (1,074 | ) | |||||||
Revance Therapeutics, Inc. | 200 | (5,668 | ) | |||||||
REVOLUTION Medicines, Inc. | 400 | (15,836 | ) | |||||||
Rockwell Medical, Inc. | 2,100 | (2,121 | ) | |||||||
Royalty Pharma plc, Class A | 6,300 | (315,315 | ) | |||||||
Sarepta Therapeutics, Inc. | 3,200 | (545,568 | ) | |||||||
Scholar Rock Holding Corp. | 900 | (43,677 | ) | |||||||
SCYNEXIS, Inc. | 1,600 | (12,240 | ) | |||||||
Seagen, Inc. | 600 | (105,084 | ) | |||||||
Senseonics Holdings, Inc. | 800 | (697 | ) | |||||||
Sio Gene Therapies, Inc. | 5,000 | (13,900 | ) | |||||||
SmileDirectClub, Inc. | 100 | (1,174 | ) | |||||||
Soligenix, Inc. | 5,300 | (6,784 | ) | |||||||
STAAR Surgical Co. | 200 | (15,844 | ) | |||||||
Stryker Corp. | 200 | (49,008 | ) | |||||||
Sundial Growers, Inc. | 236,200 | (111,841 | ) | |||||||
Sunesis Pharmaceuticals, Inc. | 5,540 | (11,025 | ) | |||||||
Taro Pharmaceutical Industries Ltd. | 300 | (22,026 | ) | |||||||
Teligent, Inc. | 2,200 | (1,650 | ) | |||||||
Thermo Fisher Scientific, Inc. | 16,800 | (7,825,104 | ) | |||||||
ThermoGenesis Holdings, Inc. | 1,400 | (2,926 | ) | |||||||
Titan Pharmaceuticals, Inc. | 100 | (329 | ) | |||||||
Tonix Pharmaceuticals Holding Corp. | 59,400 | (40,095 | ) | |||||||
Tyme Technologies, Inc. | 200 | (244 | ) | |||||||
UNITY Biotechnology, Inc. | 400 | (2,096 | ) | |||||||
Vaccinex, Inc. | 1,000 | (2,070 | ) | |||||||
Viatris, Inc. | 68,001 | (1,274,339 | ) | |||||||
Viela Bio, Inc. | 2,400 | (86,328 | ) | |||||||
VolitionRX Ltd. | 2,700 | (10,503 | ) |
See Notes to Consolidated Schedule of Investments.
88
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
December 31, 2020 (Unaudited)
Security Description | Shares | Value | ||||||||
West Pharmaceutical Services, Inc. | 100 | $ | (28,331 | ) | ||||||
XBiotech, Inc. | 1,300 | (20,345 | ) | |||||||
Xenetic Biosciences, Inc. | 100 | (204 | ) | |||||||
Xtant Medical Holdings, Inc. | 4,500 | (5,382 | ) | |||||||
Yumanity Therapeutics, Inc. | 200 | (3,400 | ) | |||||||
Zomedica Corp. | 45,500 | (10,492 | ) | |||||||
|
| |||||||||
(21,736,485 | ) | |||||||||
|
| |||||||||
Health Care Facilities & Services — (0.0)% | ||||||||||
Acasti Pharma, Inc. | 30,000 | (9,750 | ) | |||||||
Genesis Healthcare, Inc. | 4,500 | (2,181 | ) | |||||||
Acadia Healthcare Co., Inc. | 2,200 | (110,572 | ) | |||||||
Centene Corp. | 700 | (42,021 | ) | |||||||
DaVita, Inc. | 2,900 | (340,460 | ) | |||||||
Elanco Animal Health, Inc. | 6,500 | 0 | ||||||||
HealthEquity, Inc. | 4,400 | (306,724 | ) | |||||||
LHC Group, Inc. | 2,183 | (465,678 | ) | |||||||
NeoGenomics, Inc. | 12,600 | (678,384 | ) | |||||||
Surgery Partners, Inc. | 2,200 | (63,822 | ) | |||||||
|
| |||||||||
(2,019,592 | ) | |||||||||
|
| |||||||||
Home & Office Products — (0.0)% | ||||||||||
LGI Homes, Inc. | 4,100 | (433,985 | ) | |||||||
|
| |||||||||
Industrial Products — (0.2)% | ||||||||||
Advanced Energy Industries, Inc. | 3,800 | (368,486 | ) | |||||||
Aerojet Rocketdyne Holdings, Inc. | 100 | (5,285 | ) | |||||||
AeroVironment, Inc. | 900 | (78,210 | ) | |||||||
AgEagle Aerial Systems, Inc. | 17,900 | (107,400 | ) | |||||||
Alamo Group, Inc. | 500 | (68,975 | ) | |||||||
Allied Motion Technologies, Inc. | 100 | (5,110 | ) | |||||||
Argan, Inc. | 1,200 | (53,388 | ) | |||||||
Astec Industries, Inc. | 1,800 | (104,184 | ) | |||||||
Badger Meter, Inc. | 200 | (18,812 | ) | |||||||
Belden, Inc. | 300 | (12,570 | ) | |||||||
Blink Charging Co. | 9,500 | (406,125 | ) | |||||||
Bloom Energy Corp. | 14,600 | (418,436 | ) | |||||||
CAE, Inc. | 200 | (5,548 | ) | |||||||
Caterpillar, Inc. | 14,900 | (2,712,098 | ) | |||||||
Chart Industries, Inc. | 1,800 | (212,022 | ) | |||||||
Eastman Kodak Co. | 23,900 | (194,546 | ) | |||||||
Enerpac Tool Group Corp. | 4,100 | (92,701 | ) | |||||||
Fuel Tech, Inc. | 7,500 | (29,100 | ) | |||||||
Generac Holdings, Inc. | 200 | (45,482 | ) | |||||||
General Electric Co. | 175,700 | (1,897,560 | ) | |||||||
GreenPower Motor Co., Inc. | 300 | (8,733 | ) | |||||||
Howmet Aerospace, Inc. | 595 | (16,981 | ) | |||||||
Itron, Inc. | 500 | (47,950 | ) | |||||||
John Bean Technologies Corp. | 1,900 | (216,353 | ) | |||||||
Mercury Systems, Inc. | 1,400 | (123,284 | ) | |||||||
Middleby Corp. | 8,100 | (1,044,252 | ) |
See Notes to Consolidated Schedule of Investments.
89
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
December 31, 2020 (Unaudited)
Security Description | Shares | Value | ||||||||
MSA Safety, Inc. | 400 | $ | (59,756 | ) | ||||||
MTS Systems Corp. | 100 | (5,816 | ) | |||||||
Nikola Corp. | 27,100 | (413,546 | ) | |||||||
Rekor Systems, Inc. | 1,100 | (8,877 | ) | |||||||
Research Frontiers, Inc. | 1,600 | (4,496 | ) | |||||||
Rockwell Automation, Inc. | 1,800 | (451,458 | ) | |||||||
Stoneridge, Inc. | 700 | (21,161 | ) | |||||||
Terex Corp. | 3,600 | (125,604 | ) | |||||||
Textron, Inc. | 3,000 | (144,990 | ) | |||||||
Timken Co. (The) | 300 | (23,208 | ) | |||||||
Tredegar Corp. | 400 | (6,680 | ) | |||||||
Trimble, Inc. | 4,700 | (313,819 | ) | |||||||
Triumph Group, Inc. | 4,900 | (61,544 | ) | |||||||
Universal Security Instruments, Inc. | 200 | (1,002 | ) | |||||||
Wabtec Corp. | 5,275 | (386,130 | ) | |||||||
Xylem, Inc. | 100 | (10,179 | ) | |||||||
|
| |||||||||
(10,331,857 | ) | |||||||||
|
| |||||||||
Industrial Services — (0.1)% | ||||||||||
ASGN, Inc. | 2,100 | (175,413 | ) | |||||||
CAI International, Inc. | 100 | (3,124 | ) | |||||||
Comfort Systems USA, Inc. | 700 | (36,862 | ) | |||||||
Copa Holdings SA, Class A | 1,600 | (123,568 | ) | |||||||
CryoPort, Inc. | 200 | (8,776 | ) | |||||||
Diamond S Shipping, Inc. | 5,600 | (37,296 | ) | |||||||
Dorian LPG Ltd. | 100 | (1,219 | ) | |||||||
Eagle Bulk Shipping, Inc. | 303 | (5,757 | ) | |||||||
Echo Global Logistics, Inc. | 100 | (2,682 | ) | |||||||
EVI Industries, Inc. | 200 | (5,984 | ) | |||||||
Expeditors International of Washington, Inc. | 100 | (9,511 | ) | |||||||
GFL Environmental ,Inc. | 5,800 | (169,244 | ) | |||||||
Granite Construction, Inc. | 500 | (13,355 | ) | |||||||
Harsco Corp. | 1,000 | (17,980 | ) | |||||||
International Seaways, Inc. | 2,300 | (37,559 | ) | |||||||
MSC Industrial Direct Co., Inc., Class A | 100 | (8,439 | ) | |||||||
Nordic American Tankers Ltd. | 9,700 | (28,615 | ) | |||||||
Orbital Energy Group, Inc. | 100 | (192 | ) | |||||||
Rollins, Inc. | 13,000 | (507,910 | ) | |||||||
RR Donnelley & Sons Co. | 834 | (1,885 | ) | |||||||
Schnitzer Steel Industries, Inc., Class A | 1,400 | (44,674 | ) | |||||||
SEACOR Marine Holdings, Inc. | 2,200 | (5,962 | ) | |||||||
SiteOne Landscape Supply, Inc. | 100 | (15,863 | ) | |||||||
Stericycle, Inc. | 4,200 | (291,186 | ) | |||||||
Team, Inc. | 2,800 | (30,520 | ) | |||||||
TOP Ships, Inc. | 12,300 | (14,883 | ) | |||||||
United Parcel Service, Inc., Class B | 1,200 | (202,080 | ) | |||||||
United Rentals, Inc. | 6,500 | (1,507,415 | ) | |||||||
|
| |||||||||
(3,307,954 | ) | |||||||||
|
|
See Notes to Consolidated Schedule of Investments.
90
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
December 31, 2020 (Unaudited)
Security Description | Shares | Value | ||||||||
Institutional Financial Services — (0.1)% | ||||||||||
Goldman Sachs Group, Inc. | 7,900 | $ | (2,083,309 | ) | ||||||
Intercontinental Exchange, Inc. | 2,600 | (299,754 | ) | |||||||
Moelis & Co., Class A | 1,700 | (79,492 | ) | |||||||
|
| |||||||||
(2,462,555 | ) | |||||||||
|
| |||||||||
Insurance — (0.1)% | ||||||||||
Ambac Financial Group, Inc. | 6,000 | (92,280 | ) | |||||||
American International Group, Inc. | 42,200 | (1,597,692 | ) | |||||||
Arch Capital Group Ltd. | 100 | (3,607 | ) | |||||||
Axis Capital Holdings Ltd. | 1,800 | (90,702 | ) | |||||||
Cincinnati Financial Corp. | 200 | (17,474 | ) | |||||||
CNO Financial Group, Inc. | 400 | (8,892 | ) | |||||||
eHealth, Inc. | 8,000 | (564,880 | ) | |||||||
Enstar Group Ltd. | 100 | (20,489 | ) | |||||||
Erie Indemnity Co., Class A | 400 | (98,240 | ) | |||||||
FedNat Holding Co. | 100 | (592 | ) | |||||||
GoHealth, Inc., Class A | 2,000 | (27,320 | ) | |||||||
HCI Group, Inc. | 300 | (15,690 | ) | |||||||
Kemper Corp. | 200 | (15,366 | ) | |||||||
Kinsale Capital Group, Inc. | 1,500 | (300,195 | ) | |||||||
Lemonade, Inc. | 10,600 | (1,298,500 | ) | |||||||
Manulife Financial Corp. | 4,400 | (78,408 | ) | |||||||
MBIA, Inc. | 1,200 | (7,896 | ) | |||||||
National General Holdings Corp. | 6,600 | (225,588 | ) | |||||||
Palomar Holdings, Inc. | 800 | (71,072 | ) | |||||||
ProSight Global, Inc. | 100 | (1,283 | ) | |||||||
Third Point Reinsurance Ltd. | 100 | (952 | ) | |||||||
Travelers Cos., Inc. | 100 | (14,037 | ) | |||||||
Trupanion, Inc. | 800 | (95,768 | ) | |||||||
Voya Financial, Inc. | 400 | (23,524 | ) | |||||||
|
| |||||||||
(4,670,447 | ) | |||||||||
|
| |||||||||
Iron & Steel — (0.0)% | ||||||||||
Arch Resources, Inc. | 3,100 | (135,687 | ) | |||||||
Warrior Met Coal, Inc. | 10,400 | (221,728 | ) | |||||||
|
| |||||||||
(357,415 | ) | |||||||||
|
| |||||||||
Leisure Products — (0.0)% | ||||||||||
Fox Factory Holding Corp. | 3,900 | (412,269 | ) | |||||||
LCI Industries | 1,800 | (233,424 | ) | |||||||
Nautilus, Inc. | 9,300 | (168,702 | ) | |||||||
|
| |||||||||
(814,395 | ) | |||||||||
|
| |||||||||
Machinery — (0.0)% | ||||||||||
Altra Industrial Motion Corp. | 1,700 | (94,231 | ) | |||||||
CIRCOR International, Inc. | 1,700 | (65,348 | ) | |||||||
Helios Technologies, Inc. | 800 | (42,632 | ) | |||||||
Ingersoll Rand, Inc. | 11,952 | (544,533 | ) | |||||||
SPX FLOW, Inc. | 1,700 | (98,532 | ) | |||||||
|
| |||||||||
(845,276 | ) | |||||||||
|
|
See Notes to Consolidated Schedule of Investments.
91
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
December 31, 2020 (Unaudited)
Security Description | Shares | Value | ||||||||
Manufactured Goods — (0.0)% | ||||||||||
RBC Bearings, Inc. | 200 | $ | (35,808 | ) | ||||||
|
| |||||||||
Materials — (0.1)% | ||||||||||
Albemarle Corp. | 7,500 | (1,106,400 | ) | |||||||
American Vanguard Corp. | 100 | (1,552 | ) | |||||||
Barrick Gold Corp. | 24,248 | (552,370 | ) | |||||||
Century Aluminum Co. | 15,900 | (175,377 | ) | |||||||
Cleveland-Cliffs, Inc. | 29,600 | (430,976 | ) | |||||||
Compass Minerals International, Inc. | 900 | (55,548 | ) | |||||||
Document Security Systems, Inc. | 600 | (3,744 | ) | |||||||
Eastman Chemical Co. | 300 | (30,084 | ) | |||||||
Element Solutions, Inc. | 400 | (7,092 | ) | |||||||
Energy Fuels, Inc. | 20,300 | (86,478 | ) | |||||||
Ferro Corp. | 500 | (7,315 | ) | |||||||
Fortuna Silver Mines, Inc. | 4,400 | (36,256 | ) | |||||||
Greif, Inc., Class A | 2,700 | (126,576 | ) | |||||||
International Tower Hill Mines Ltd. | 1,500 | (2,070 | ) | |||||||
Intrepid Potash, Inc. | 100 | (2,415 | ) | |||||||
Kronos Worldwide, Inc. | 1,300 | (19,383 | ) | |||||||
LSB Industries, Inc. | 2,000 | (6,780 | ) | |||||||
Martin Marietta Materials, Inc. | 200 | (56,794 | ) | |||||||
Mercer International, Inc. | 3,700 | (37,925 | ) | |||||||
Minerals Technologies, Inc. | 100 | (6,212 | ) | |||||||
North American Construction Group Ltd. | 1,800 | (17,784 | ) | |||||||
Novagold Resources, Inc. | 35,500 | (343,285 | ) | |||||||
Packaging Corp. of America | 900 | (124,119 | ) | |||||||
Pan American Silver Corp. | 9,000 | (310,590 | ) | |||||||
PQ Group Holdings, Inc. | 100 | (1,426 | ) | |||||||
Quaker Chemical Corp. | 900 | (228,051 | ) | |||||||
Seabridge Gold, Inc. | 5,200 | (109,564 | ) | |||||||
SilverCrest Metals, Inc. | 700 | (7,826 | ) | |||||||
Turquoise Hill Resources Ltd. | 2,870 | (35,645 | ) | |||||||
Uranium Energy Corp. | 16,700 | (29,392 | ) | |||||||
WD-40 Co. | 300 | (79,704 | ) | |||||||
Westwater Resources, Inc. | 5,800 | (28,594 | ) | |||||||
Worthington Industries, Inc. | 1,500 | (77,010 | ) | |||||||
|
| |||||||||
(4,144,337 | ) | |||||||||
|
| |||||||||
Media — (0.7)% | ||||||||||
Activision Blizzard, Inc. | 7,500 | (696,375 | ) | |||||||
AutoWeb, Inc. | 4,000 | (9,880 | ) | |||||||
Booking Holdings, Inc. | 2,300 | (5,122,721 | ) | |||||||
Boston Omaha Corp., Class A | 1,600 | (44,240 | ) | |||||||
Cardlytics, Inc. | 5,700 | (813,789 | ) | |||||||
Cinedigm Corp. | 40,200 | (25,921 | ) | |||||||
DHI Group, Inc. | 900 | (1,998 | ) | |||||||
Discovery, Inc., Class A | 41,300 | (1,242,717 | ) | |||||||
Dolphin Entertainment, Inc. | 580 | (1,972 | ) | |||||||
Electronic Arts, Inc. | 2,800 | (402,080 | ) |
See Notes to Consolidated Schedule of Investments.
92
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
December 31, 2020 (Unaudited)
Security Description | Shares | Value | ||||||||
EW Scripps Co., Class A | 2,736 | $ | (41,833 | ) | ||||||
Expedia, Inc. | 16,716 | (2,213,198 | ) | |||||||
fuboTV, Inc. | 800 | (22,400 | ) | |||||||
Gannett Co., Inc. | 16,914 | (56,831 | ) | |||||||
Gray Television, Inc. | 10,400 | (186,056 | ) | |||||||
Groupon, Inc. | 8,875 | (337,206 | ) | |||||||
Houghton Mifflin Harcourt Co. | 27,100 | (90,243 | ) | |||||||
IAC/InterActiveCorp | 600 | (113,610 | ) | |||||||
IMAX Corp. | 200 | (3,604 | ) | |||||||
Inuvo, Inc. | 30,200 | (13,678 | ) | |||||||
IZEA Worldwide, Inc. | 15,000 | (27,300 | ) | |||||||
Liberty Media Corp-Liberty SiriusXM | 1,700 | (73,967 | ) | |||||||
Liberty Media Group, Class A | 1,492 | (56,681 | ) | |||||||
Lyft, Inc., Class A | 52,523 | (2,580,455 | ) | |||||||
Magnite, Inc. | 7,800 | (239,538 | ) | |||||||
Match Group, Inc. | 11,200 | (1,693,328 | ) | |||||||
Media General, Inc. | 12,100 | 0 | ||||||||
MSG Networks, Inc. | 2,300 | (33,902 | ) | |||||||
News Corp., Class A | 17,900 | (321,663 | ) | |||||||
Nexstar Media Group, Inc., Class A | 5,511 | (601,746 | ) | |||||||
NTN Buzztime, Inc. | 800 | (1,792 | ) | |||||||
Quotient Technology, Inc. | 2,400 | (22,608 | ) | |||||||
Remark Holdings, Inc. | 30,800 | (58,520 | ) | |||||||
Roku, Inc. | 6,000 | (1,992,120 | ) | |||||||
Take-Two Interactive Software, Inc. | 200 | (41,558 | ) | |||||||
Trade Desk, Inc. (The), Class A | 8,700 | (6,968,700 | ) | |||||||
Trxade Group, Inc. | 100 | (529 | ) | |||||||
Twitter, Inc. | 8,100 | (438,615 | ) | |||||||
Uber Technologies, Inc. | 37,300 | (1,902,300 | ) | |||||||
Upwork, Inc. | 5,600 | (193,312 | ) | |||||||
ViacomCBS, Inc., Class B | 39,729 | (1,480,303 | ) | |||||||
Walt Disney Co. | 45,900 | (8,316,162 | ) | |||||||
Warner Music Group Corp., Class A | 2,700 | (102,573 | ) | |||||||
|
| |||||||||
(38,588,024 | ) | |||||||||
|
| |||||||||
Medical Equipment & Devices — (0.2)% | ||||||||||
Adaptive Biotechnologies Corp. | 4,800 | (283,824 | ) | |||||||
Apyx Medical Corp. | 700 | (5,040 | ) | |||||||
BioLife Solutions, Inc. | 1,700 | (67,813 | ) | |||||||
DENTSPLY SIRONA, Inc. | 18,700 | (979,132 | ) | |||||||
Envista Holdings Corp. | 400 | (13,492 | ) | |||||||
Exact Sciences Corp. | 27,400 | (3,630,226 | ) | |||||||
IDEXX Laboratories, Inc. | 700 | (349,909 | ) | |||||||
Insulet Corp. | 200 | (51,126 | ) | |||||||
LivaNova plc | 400 | (26,484 | ) | |||||||
Microbot Medical, Inc. | 2,200 | (15,158 | ) | |||||||
OPKO Health, Inc. | 26,299 | (103,881 | ) | |||||||
OraSure Technologies, Inc. | 300 | (3,175 | ) | |||||||
Pacific Biosciences of California, Inc. | 53,900 | (1,398,166 | ) | |||||||
Penumbra, Inc. | 2,800 | (490,000 | ) |
See Notes to Consolidated Schedule of Investments.
93
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
December 31, 2020 (Unaudited)
Security Description | Shares | Value | ||||||||
Pulse Biosciences, Inc. | 1,430 | $ | (34,120 | ) | ||||||
Quidel Corp. | 1,200 | (215,580 | ) | |||||||
Second Sight Medical Products, Inc. | 7,123 | (13,320 | ) | |||||||
Shockwave Medical, Inc. | 5,200 | (539,344 | ) | |||||||
Silk Road Medical, Inc. | 2,300 | (144,854 | ) | |||||||
Stereotaxis, Inc. | 900 | (4,581 | ) | |||||||
T2 Biosystems, Inc. | 200 | (256 | ) | |||||||
TransEnterix, Inc. | 2,130 | (1,331 | ) | |||||||
Varian Medical Systems, Inc. | 3,800 | (665,038 | ) | |||||||
Venus Concept, Inc. | 100 | (177 | ) | |||||||
Veracyte, Inc. | 400 | (19,576 | ) | |||||||
Zynex, Inc. | 9,900 | (133,254 | ) | |||||||
|
| |||||||||
(9,188,857 | ) | |||||||||
|
| |||||||||
Metals & Mining — (0.0)% | ||||||||||
Cameco Corp. | 6,500 | (87,100 | ) | |||||||
First Majestic Silver Corp. | 49,200 | (661,248 | ) | |||||||
Livent Corp. | 6,200 | (116,808 | ) | |||||||
|
| |||||||||
(865,156 | ) | |||||||||
|
| |||||||||
Oil, Gas & Coal — (0.2)% | ||||||||||
Abraxas Petroleum Corp. | 2,545 | (5,828 | ) | |||||||
Amplify Energy Corp. | 734 | (961 | ) | |||||||
Antero Midstream Corp. | 62,800 | (484,188 | ) | |||||||
Baker Hughes a GE Co. | 1,300 | (27,105 | ) | |||||||
Berry Petroleum Corp. | 2,000 | (7,360 | ) | |||||||
Bonanza Creek Energy, Inc. | 3,300 | (63,789 | ) | |||||||
Cabot Oil & Gas Corp. | 28,200 | (459,096 | ) | |||||||
Cheniere Energy, Inc. | 5,600 | (336,168 | ) | |||||||
Chevron Corp. (b) | 12,070 | (1,019,311 | ) | |||||||
Clean Energy Fuels Corp. | 18,200 | (143,052 | ) | |||||||
CNX Resources Corp. | 4,900 | (52,920 | ) | |||||||
Comstock Resources, Inc. | 800 | (3,496 | ) | |||||||
Contango Oil & Gas Co. | 7,100 | (16,259 | ) | |||||||
Delek US Holdings, Inc. | 7,939 | (127,580 | ) | |||||||
Denbury, Inc. | 600 | (15,414 | ) | |||||||
Diamondback Energy, Inc. | 100 | (4,840 | ) | |||||||
Dril-Quip, Inc. | 3,900 | (115,518 | ) | |||||||
Earthstone Energy, Inc., Class A | 3,300 | (17,589 | ) | |||||||
Enbridge, Inc. | 16,122 | (515,743 | ) | |||||||
EQT Corp. | 23,400 | (297,414 | ) | |||||||
Equitrans Midstream Corp. | 39,700 | (319,188 | ) | |||||||
Exxon Mobil Corp. (b) | 106,445 | (4,387,663 | ) | |||||||
Forum Energy Technologies, Inc. | 850 | (10,115 | ) | |||||||
Frank’s International NV | 17,000 | (46,580 | ) | |||||||
FTS International, Inc., Class A | 5 | (96 | ) | |||||||
Geospace Technologies Corp. | 300 | (2,568 | ) | |||||||
Hess Corp. | 700 | (36,953 | ) | |||||||
ION Geophysical Corp. | 4,600 | (11,178 | ) | |||||||
KLX Energy Services Holdings, Inc. | 1,400 | (9,044 | ) |
See Notes to Consolidated Schedule of Investments.
94
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
December 31, 2020 (Unaudited)
Security Description | Shares | Value | ||||||||
Laredo Petroleum, Inc. | 2,550 | $ | (50,235 | ) | ||||||
Liberty Oilfield Services, Inc., Class A | 9,200 | (94,852 | ) | |||||||
Murphy USA, Inc. | 100 | (13,087 | ) | |||||||
Nabors Industries Ltd. | 416 | (24,224 | ) | |||||||
National Energy Services Reunited Corp. | 3,000 | (29,790 | ) | |||||||
New Fortress Energy LLC | 3,300 | (176,847 | ) | |||||||
Northern Oil and Gas, Inc. | 8,890 | (77,876 | ) | |||||||
Par Pacific Holdings, Inc. | 2,200 | (30,756 | ) | |||||||
Penn Virginia Corp. | 1,900 | (19,285 | ) | |||||||
Phillips 66 | 1,700 | (118,898 | ) | |||||||
Ramaco Resources, Inc. | 1,300 | (3,744 | ) | |||||||
Range Resources Corp. | 7,287 | (48,823 | ) | |||||||
Ring Energy, Inc. | 8,300 | (5,477 | ) | |||||||
SilverBow Resources, Inc. | 1,800 | (9,558 | ) | |||||||
Smart Sand, Inc. | 4,500 | (7,740 | ) | |||||||
Solaris Oilfield Infrastructure, Inc., Class A | 2,200 | (17,908 | ) | |||||||
Southwestern Energy Co. | 91,112 | (271,514 | ) | |||||||
Sundance Energy, Inc. | 1,600 | (2,784 | ) | |||||||
Talos Energy, Inc. | 1,800 | (14,832 | ) | |||||||
Tellurian, Inc. | 1,800 | (2,304 | ) | |||||||
TETRA Technologies, Inc. | 15,800 | (13,612 | ) | |||||||
Tidewater, Inc. | 2,700 | (23,328 | ) | |||||||
World Fuel Services Corp. | 6,400 | (199,424 | ) | |||||||
|
| |||||||||
(9,793,914 | ) | |||||||||
|
| |||||||||
Passenger Transportation — (0.0)% | ||||||||||
Bristow Group, Inc. | 33 | (869 | ) | |||||||
|
| |||||||||
Real Estate — (0.2)% | ||||||||||
Alexandria Real Estate Equities, Inc. | 300 | (53,466 | ) | |||||||
American Campus Communities, Inc. | 9,400 | (402,038 | ) | |||||||
Americold Realty Trust | 7,900 | (294,907 | ) | |||||||
Apartment Investment and Management Co., Class A | 45 | (238 | ) | |||||||
Apple Hospitality REIT, Inc. | 32,200 | (415,702 | ) | |||||||
Ashford Hospitality Trust, Inc. | 16,400 | (42,476 | ) | |||||||
Braemar Hotels & Resorts, Inc. | 4,722 | (21,768 | ) | |||||||
Brixmor Property Group, Inc. | 13,700 | (226,735 | ) | |||||||
BRT Apartments Corp. | 500 | (7,600 | ) | |||||||
CBRE Group, Inc., Class A | 4,400 | (275,968 | ) | |||||||
Chatham Lodging Trust | 4,500 | (48,600 | ) | |||||||
Clipper Realty, Inc. | 600 | (4,230 | ) | |||||||
Cousins Properties, Inc. | 15,398 | (515,833 | ) | |||||||
Crown Castle International Corp. | 1,200 | (191,028 | ) | |||||||
Cushman & Wakefield plc | 2,700 | (40,041 | ) | |||||||
CyrusOne, Inc. | 2,700 | (197,505 | ) | |||||||
DiamondRock Hospitality Co. | 37,200 | (306,900 | ) | |||||||
Digital Realty Trust, Inc. | 700 | (97,657 | ) | |||||||
Douglas Emmett, Inc. | 600 | (17,508 | ) | |||||||
Essential Properties Realty Trust, Inc. | 7,300 | (154,760 | ) | |||||||
eXp World Holdings, Inc. | 600 | (37,872 | ) | |||||||
Fathom Holdings, Inc. | 200 | (7,208 | ) |
See Notes to Consolidated Schedule of Investments.
95
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
December 31, 2020 (Unaudited)
Security Description | Shares | Value | ||||||||
Five Point Holdings LLC, Class A | 2,100 | $ | (11,466 | ) | ||||||
Franklin Street Properties Corp. | 100 | (437 | ) | |||||||
Hannon Armstrong Sustainable Infrastructure Capital, Inc. | 200 | (12,686 | ) | |||||||
Healthcare Trust of America, Inc., Class A | 800 | (22,032 | ) | |||||||
Hersha Hospitality Trust | 2,500 | (19,725 | ) | |||||||
Host Hotels & Resorts, Inc. | 94,700 | (1,385,461 | ) | |||||||
Industrial Logistics Properties Trust | 1,400 | (32,606 | ) | |||||||
Iron Mountain, Inc. | 13,700 | (403,876 | ) | |||||||
iStar, Inc. | 2,200 | (32,670 | ) | |||||||
JBG SMITH Properties | 1,200 | (37,524 | ) | |||||||
Jones Lang LaSalle, Inc. | 2,900 | (430,273 | ) | |||||||
Kite Realty Group Trust | 8,000 | (119,680 | ) | |||||||
Life Storage, Inc. | 700 | (83,573 | ) | |||||||
Mack-Cali Realty Corp. | 10,600 | (132,076 | ) | |||||||
Marcus & Millichap, Inc. | 400 | (14,892 | ) | |||||||
New Senior Investment Group, Inc. | 7,401 | (38,337 | ) | |||||||
NexPoint Residential Trust, Inc. | 1,600 | (67,696 | ) | |||||||
Office Properties Income Trust | 3,973 | (90,267 | ) | |||||||
Pebblebrook Hotel Trust | 26,800 | (503,840 | ) | |||||||
Physicians Realty Trust | 2,000 | (35,600 | ) | |||||||
Piedmont Office Realty Trust, Inc., Class A | 100 | (1,623 | ) | |||||||
PotlatchDeltic Corp. | 5,521 | (276,160 | ) | |||||||
Rayonier, Inc. | 500 | (14,690 | ) | |||||||
Rexford Industrial Realty, Inc. | 6,400 | (314,304 | ) | |||||||
RLJ Lodging Trust | 12,100 | (171,215 | ) | |||||||
Seritage Growth Properties | 10,100 | (148,268 | ) | |||||||
Service Properties Trust | 3,500 | (40,215 | ) | |||||||
St Joe Co. | 400 | (16,980 | ) | |||||||
Sunstone Hotel Investors, Inc. | 600 | (6,798 | ) | |||||||
Ventas, Inc. | 8,700 | (426,648 | ) | |||||||
Vornado Realty Trust | 29,400 | (1,097,796 | ) | |||||||
Washington Real Estate Investment Trust | 6,200 | (134,106 | ) | |||||||
Welltower, Inc. | 29,200 | (1,886,904 | ) | |||||||
Wheeler Real Estate Investment Trust, Inc. | 52 | (144 | ) | |||||||
Xenia Hotels & Resorts, Inc. | 4,800 | (72,960 | ) | |||||||
|
| |||||||||
(11,443,568 | ) | |||||||||
|
| |||||||||
Recreation Facilities & Services — (0.1)% | ||||||||||
Cinemark Holdings, Inc. | 36,600 | (637,206 | ) | |||||||
Virgin Galactic Holdings, Inc. | 67,500 | (1,601,775 | ) | |||||||
|
| |||||||||
(2,238,981 | ) | |||||||||
|
| |||||||||
Renewable Energy — (0.2)% | ||||||||||
Ballard Power Systems, Inc. | 24,500 | (573,300 | ) | |||||||
Beam Global | 1,900 | (140,182 | ) | |||||||
Cleanspark, Inc. | 7,200 | (209,160 | ) | |||||||
First Solar, Inc. | 200 | (19,784 | ) | |||||||
Flux Power Holdings, Inc. | 1,800 | (31,032 | ) | |||||||
FuelCell Energy, Inc. | 99,029 | (1,106,154 | ) | |||||||
Gevo, Inc. | 38,000 | (161,500 | ) |
See Notes to Consolidated Schedule of Investments.
96
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
December 31, 2020 (Unaudited)
Security Description | Shares | Value | ||||||||
Pacific Ethanol, Inc. | 7,700 | $ | (41,811 | ) | ||||||
Plug Power, Inc. | 137,000 | (4,645,670 | ) | |||||||
Renewable Energy Group, Inc. | 6,400 | (453,248 | ) | |||||||
SunPower Corp. | 2,000 | (51,280 | ) | |||||||
|
| |||||||||
(7,433,121 | ) | |||||||||
|
| |||||||||
Retail & Wholesale - Staples — (0.1)% | ||||||||||
Big Lots, Inc. | 10,200 | (437,886 | ) | |||||||
HF Foods Group, Inc. | 1,900 | (14,288 | ) | |||||||
Kroger Co. (The) | 15,100 | (479,576 | ) | |||||||
PriceSmart, Inc. | 1,300 | (118,417 | ) | |||||||
Rite Aid Corp. | 6,288 | (99,539 | ) | |||||||
United Natural Foods, Inc. | 1,100 | (17,567 | ) | |||||||
Walgreens Boots Alliance, Inc. | 27,400 | (1,092,712 | ) | |||||||
Walmart, Inc. (b) | 8,580 | (1,236,807 | ) | |||||||
|
| |||||||||
(3,496,792 | ) | |||||||||
|
| |||||||||
Retail - Consumer Staples — (0.1)% | ||||||||||
Five Below, Inc. | 12,202 | (2,135,106 | ) | |||||||
Sprouts Farmers Market, Inc. | 2,000 | (40,200 | ) | |||||||
|
| |||||||||
(2,175,306 | ) | |||||||||
|
| |||||||||
Retail - Discretionary — (0.4)% | ||||||||||
1-800-Flowers.com, Inc., Class A | 300 | (7,800 | ) | |||||||
ADDvantage Technologies Group, Inc. | 500 | (1,495 | ) | |||||||
Advance Auto Parts, Inc. | 700 | (110,257 | ) | |||||||
American Eagle Outfitters, Inc. | 200 | (4,014 | ) | |||||||
Aspen Aerogels, Inc. | 200 | (3,338 | ) | |||||||
Big 5 Sporting Goods Corp. | 6,717 | (68,581 | ) | |||||||
Boot Barn Holdings, Inc. | 1,700 | (73,712 | ) | |||||||
Buckle, Inc. | 5,000 | (146,000 | ) | |||||||
Builders FirstSource, Inc. | 500 | (20,405 | ) | |||||||
Burlington Stores, Inc. | 3,000 | (784,650 | ) | |||||||
CarParts.com, Inc. | 14,800 | (183,372 | ) | |||||||
Carvana Co. | 21,800 | (5,221,972 | ) | |||||||
Cato Corp., Class A | 2,700 | (25,893 | ) | |||||||
Chewy, Inc., Class A | 12,900 | (1,159,581 | ) | |||||||
Chico’s FAS, Inc. | 11,300 | (17,967 | ) | |||||||
Copart, Inc. | 15,500 | (1,972,375 | ) | |||||||
Express, Inc. | 11,000 | (10,010 | ) | |||||||
Freshpet, Inc. | 1,100 | (156,189 | ) | |||||||
GameStop Corp., Class A | 21,600 | (406,944 | ) | |||||||
Genesco, Inc. | 1,000 | (30,090 | ) | |||||||
Group 1 Automotive, Inc. | 1,800 | (236,052 | ) | |||||||
GrowGeneration Corp. | 13,400 | (538,948 | ) | |||||||
Hibbett Sports, Inc. | 1,200 | (55,416 | ) | |||||||
Hudson Technologies, Inc. | 2,100 | (2,289 | ) | |||||||
IAA, Inc. | 200 | (12,996 | ) | |||||||
Lithia Motors, Inc., Class A | 2,700 | (790,209 | ) | |||||||
LKQ Corp. | 3,800 | (133,912 | ) |
See Notes to Consolidated Schedule of Investments.
97
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
December 31, 2020 (Unaudited)
Security Description | Shares | Value | ||||||||
LMP Automotive Holdings, Inc. | 200 | $ | (4,994 | ) | ||||||
Lovesac Co. (The) | 1,600 | (68,944 | ) | |||||||
Lululemon Athletica, Inc. | 15,200 | (5,290,056 | ) | |||||||
Monro, Inc. | 2,600 | (138,580 | ) | |||||||
Net Element, Inc. | 1,500 | (20,925 | ) | |||||||
NovaBay Pharmaceuticals, Inc. | 12,900 | (8,991 | ) | |||||||
Overstock.com, Inc. | 9,300 | (446,121 | ) | |||||||
PetIQ, Inc. | 4,900 | (188,405 | ) | |||||||
PetMed Express, Inc. | 1,400 | (44,884 | ) | |||||||
RH | 300 | (134,256 | ) | |||||||
Sally Beauty Holdings, Inc. | 13,000 | (169,520 | ) | |||||||
Stitch Fix, Inc., Class A | 2,200 | (129,184 | ) | |||||||
Ulta Salon Cosmetics & Fragrance, Inc. | 100 | (28,716 | ) | |||||||
Vroom, Inc. | 24,000 | (983,280 | ) | |||||||
|
| |||||||||
(19,831,323 | ) | |||||||||
|
| |||||||||
Semiconductors — (0.1)% | ||||||||||
Marvell Technology Group Ltd. | 125,070 | (5,945,828 | ) | |||||||
MKS Instruments, Inc. | 1,400 | (210,630 | ) | |||||||
Universal Display Corp. | 1,200 | (275,760 | ) | |||||||
|
| |||||||||
(6,432,218 | ) | |||||||||
|
| |||||||||
Software — (0.5)% | ||||||||||
Alteryx, Inc., Class A | 7,500 | (913,425 | ) | |||||||
ANSYS, Inc. | 1,800 | (654,840 | ) | |||||||
Appian Corp. | 11,700 | (1,896,453 | ) | |||||||
BlackBerry Ltd. | 58,800 | (389,844 | ) | |||||||
Cloudflare, Inc., Class A | 26,900 | (2,044,131 | ) | |||||||
Coupa Software, Inc. | 12,200 | (4,134,702 | ) | |||||||
Fastly, Inc., Class A | 12,000 | (1,048,440 | ) | |||||||
MongoDB, Inc. | 7,600 | (2,728,704 | ) | |||||||
MTBC, Inc. | 600 | (5,442 | ) | |||||||
Nuance Communications, Inc. | 34,400 | (1,516,696 | ) | |||||||
Ping Identity Holding Corp. | 4,800 | (137,472 | ) | |||||||
RingCentral, Inc., Class A | 100 | (37,897 | ) | |||||||
salesforce.com, Inc. | 20,004 | (4,451,490 | ) | |||||||
ServiceNow, Inc. | 1,300 | (715,559 | ) | |||||||
Smartsheet, Inc., Class A | 16,900 | (1,171,001 | ) | |||||||
Twilio, Inc., Class A | 11,339 | (3,838,252 | ) | |||||||
Upland Software, Inc. | 2,700 | (123,903 | ) | |||||||
VirnetX Holding Corp. | 8,000 | (40,320 | ) | |||||||
Workday, Inc., Class A | 100 | (23,961 | ) | |||||||
Yext, Inc. | 200 | (3,144 | ) | |||||||
Zynga, Inc., Class A | 28,300 | (279,321 | ) | |||||||
|
| |||||||||
(26,154,997 | ) | |||||||||
|
| |||||||||
Software & Technology Services — (0.3)% | ||||||||||
Akerna Corp. | 6,100 | (19,764 | ) | |||||||
Anaplan, Inc. | 200 | (14,370 | ) | |||||||
Atlassian Corp. plc, Class A | 3,500 | (818,545 | ) |
See Notes to Consolidated Schedule of Investments.
98
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
December 31, 2020 (Unaudited)
Security Description | Shares | Value | ||||||||
Autodesk, Inc. | 800 | $ | (244,272 | ) | ||||||
BigCommerce Holdings, Inc. | 700 | (44,905 | ) | |||||||
Boxlight Corp., Class A | 15,800 | (24,174 | ) | |||||||
Cadence Design Systems, Inc. | 200 | (27,286 | ) | |||||||
Computer Programs & Systems, Inc. | 300 | (8,052 | ) | |||||||
Dun & Bradstreet Holdings, Inc. | 100 | (2,490 | ) | |||||||
Fiserv, Inc. | 2,500 | (284,650 | ) | |||||||
Genius Brands International, Inc. | 79,400 | (109,572 | ) | |||||||
Ideanomics, Inc. | 74,000 | (147,260 | ) | |||||||
Jamf Holding Corp. | 500 | (14,960 | ) | |||||||
Leidos Holdings, Inc. | 800 | (84,096 | ) | |||||||
Lightspeed POS, Inc. | 500 | (35,195 | ) | |||||||
MicroStrategy, Inc., Class A | 300 | (116,565 | ) | |||||||
NantHealth, Inc. | 5,800 | (18,734 | ) | |||||||
nCino, Inc. | 2,900 | (209,989 | ) | |||||||
Oblong, Inc. | 700 | (3,598 | ) | |||||||
Palantir Technologies, Inc., Class A | 285,500 | (6,723,525 | ) | |||||||
Paycom Software, Inc. | 1,200 | (542,700 | ) | |||||||
Pegasystems, Inc. | 400 | (53,304 | ) | |||||||
RealNetworks, Inc. | 100 | (156 | ) | |||||||
Riot Blockchain, Inc. | 20,900 | (355,091 | ) | |||||||
SailPoint Technologies Holding, Inc. | 700 | (37,268 | ) | |||||||
Shift4 Payments, Inc., Class A | 100 | (7,540 | ) | |||||||
SilverSun Technologies, Inc. | 1,000 | (2,860 | ) | |||||||
Snowflake, Inc., Class A | 11,500 | (3,236,100 | ) | |||||||
Splunk, Inc. | 8,100 | (1,376,109 | ) | |||||||
Sumo Logic, Inc. | 1,000 | (28,580 | ) | |||||||
Tabula Rasa HealthCare, Inc. | 5,700 | (244,188 | ) | |||||||
Thomson Reuters Corp. | 900 | (73,701 | ) | |||||||
TransUnion | 200 | (19,844 | ) | |||||||
Unity Software, Inc. | 8,600 | (1,319,842 | ) | |||||||
Vislink Technologies, Inc. | 6,466 | (8,535 | ) | |||||||
ZoomInfo Technologies, Inc., Class A | 8,700 | (419,601 | ) | |||||||
|
| |||||||||
(16,677,421 | ) | |||||||||
|
| |||||||||
Specialty Finance — (0.1)% | ||||||||||
Capital One Financial Corp. | 500 | (49,425 | ) | |||||||
Colony Credit Real Estate, Inc. | 2,100 | (15,750 | ) | |||||||
Global Payments, Inc. | 9,500 | (2,046,490 | ) | |||||||
KKR Real Estate Finance Trust, Inc. | 3,400 | (60,928 | ) | |||||||
PayPal Holdings, Inc. | 5,600 | (1,311,520 | ) | |||||||
Ready Capital Corp. | 1,600 | (19,920 | ) | |||||||
Santander Consumer USA Holdings, Inc. | 8,100 | (178,362 | ) | |||||||
SLM Corp. | 4,900 | (60,711 | ) | |||||||
|
| |||||||||
(3,743,106 | ) | |||||||||
|
| |||||||||
Tech Hardware & Semiconductors — (0.1)% | ||||||||||
3D Systems Corp. | 1,800 | (18,864 | ) | |||||||
Apple, Inc. (b) | 9,730 | (1,291,074 | ) | |||||||
Applied Optoelectronics, Inc. | 100 | (851 | ) |
See Notes to Consolidated Schedule of Investments.
99
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
December 31, 2020 (Unaudited)
Security Description | Shares | Value | ||||||||
Arrow Electronics, Inc. | 1,600 | $ | (155,680 | ) | ||||||
Atomera, Inc. | 4,700 | (75,623 | ) | |||||||
Bio-key International, Inc. | 2,099 | (7,388 | ) | |||||||
Blonder Tongue Laboratories | 200 | (256 | ) | |||||||
Brooks Automation, Inc. | 1,800 | (122,130 | ) | |||||||
Ciena Corp. | 4,100 | (216,685 | ) | |||||||
Cohu, Inc. | 500 | (19,090 | ) | |||||||
Cree, Inc. | 3,700 | (391,830 | ) | |||||||
Cubic Corp. | 4,800 | (297,792 | ) | |||||||
Digital Ally, Inc. | 8,200 | (19,188 | ) | |||||||
II-VI, Inc. | 15,600 | (1,184,976 | ) | |||||||
Insignia Systems, Inc. | 41 | (36 | ) | |||||||
Jabil Circuit, Inc. | 1,600 | (68,048 | ) | |||||||
KLA Corp. | 700 | (181,237 | ) | |||||||
LightPath Technologies, Inc., Class A | 200 | (784 | ) | |||||||
MicroVision, Inc. | 45,300 | (243,714 | ) | |||||||
NetScout Systems, Inc. | 600 | (16,452 | ) | |||||||
NXT-ID, Inc. | 10,600 | (16,960 | ) | |||||||
PAR Technology Corp. | 200 | (12,558 | ) | |||||||
|
| |||||||||
(4,341,216 | ) | |||||||||
|
| |||||||||
Technology Services — (0.0)% | ||||||||||
Insight Enterprises, Inc. | 2,700 | (205,443 | ) | |||||||
LiveRamp Holdings, Inc. | 1,200 | (87,828 | ) | |||||||
Nielsen Holdings plc | 14,600 | (304,702 | ) | |||||||
Parsons Corp. | 200 | (7,282 | ) | |||||||
StarTek, Inc. | 500 | (3,760 | ) | |||||||
|
| |||||||||
(609,015 | ) | |||||||||
|
| |||||||||
Telecommunications — (0.1)% | ||||||||||
Alaska Communications Systems Group, Inc. | 200 | (738 | ) | |||||||
BCE, Inc. | 800 | (34,240 | ) | |||||||
CenturyLink, Inc. | 41,500 | (404,625 | ) | |||||||
Cincinnati Bell, Inc. | 7,449 | (113,821 | ) | |||||||
Consolidated Communications Holdings, Inc. | 8,176 | (39,981 | ) | |||||||
Globalstar, Inc. | 27,800 | (9,413 | ) | |||||||
Gogo, Inc. | 6,500 | (62,595 | ) | |||||||
HC2 Holdings, Inc. | 4,642 | (15,133 | ) | |||||||
Iridium Communications, Inc. | 100 | (3,932 | ) | |||||||
RigNet, Inc. | 2,900 | (17,081 | ) | |||||||
Rogers Communications, Inc., B Shares | 400 | (18,636 | ) | |||||||
Shenandoah Telecommunications Co. | 1,800 | (77,850 | ) | |||||||
T-Mobile US, Inc. | 20,032 | (2,701,315 | ) | |||||||
|
| |||||||||
(3,499,360 | ) | |||||||||
|
| |||||||||
Transportation & Logistics — (0.1)% | ||||||||||
Atlas Corp. | 6,778 | (73,474 | ) | |||||||
FedEx Corp. | 7,300 | (1,895,226 | ) | |||||||
Golar LNG Ltd. | 30,800 | (296,912 | ) | |||||||
Matson, Inc. | 1,900 | (108,243 | ) |
See Notes to Consolidated Schedule of Investments.
100
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
December 31, 2020 (Unaudited)
Security Description | Shares | Value | ||||||||||
Navigator Holdings Ltd. | 300 | $ | (3,285 | ) | ||||||||
Overseas Shipholding Group, Inc. | 100 | (214 | ) | |||||||||
Saia, Inc. | 1,000 | (180,800 | ) | |||||||||
Scorpio Bulkers, Inc. | 3,510 | (59,424 | ) | |||||||||
Seanergy Maritime Holdings | 4,943 | (2,657 | ) | |||||||||
Teekay Corp. | 12,400 | (26,660 | ) | |||||||||
Teekay Tankers Ltd., Class A | 8,937 | (98,397 | ) | |||||||||
|
| |||||||||||
(2,745,292 | ) | |||||||||||
|
| |||||||||||
Transportation Equipment — (0.0)% | ||||||||||||
Meritor, Inc. | 10,500 | (293,055 | ) | |||||||||
Workhorse Group, Inc. | 37,300 | (737,794 | ) | |||||||||
|
| |||||||||||
(1,030,849 | ) | |||||||||||
|
| |||||||||||
Utilities — (0.0)% | ||||||||||||
Algonquin Power & Utilities Corp. | 100 | (1,652 | ) | |||||||||
Avangrid, Inc. | 5,000 | (227,250 | ) | |||||||||
Avista Corp. | 100 | (4,014 | ) | |||||||||
Brookfield Infrastructure Corp., Class A | 2,200 | (159,060 | ) | |||||||||
Brookfield Renewable Corp., Class A | 4,750 | (276,783 | ) | |||||||||
California Water Service Group | 100 | (5,403 | ) | |||||||||
Edison International | 100 | (6,282 | ) | |||||||||
Fortis, Inc. | 2,800 | (114,296 | ) | |||||||||
Genie Energy Ltd., Class B | 1,100 | (7,931 | ) | |||||||||
Just Energy Group, Inc. | 2,700 | (12,636 | ) | |||||||||
New Jersey Resources Corp. | 800 | (28,440 | ) | |||||||||
NRG Energy, Inc. | 600 | (22,530 | ) | |||||||||
Ormat Technologies, Inc. | 400 | (36,112 | ) | |||||||||
PG&E Corp. | 3,000 | (37,380 | ) | |||||||||
SJW Group | 1,100 | (76,296 | ) | |||||||||
South Jersey Industries, Inc. | 8,500 | (183,175 | ) | |||||||||
TransAlta Corp. | 1,500 | (11,385 | ) | |||||||||
Vistra Energy Corp. | 19,600 | (385,336 | ) | |||||||||
|
| |||||||||||
(1,595,961 | ) | |||||||||||
|
| |||||||||||
Waste & Environmental Services & Equipment — (0.0)% | ||||||||||||
Aqua Metals, Inc. | 2,600 | (7,800 | ) | |||||||||
Energy Recovery, Inc. | 3,600 | (49,104 | ) | |||||||||
Lightbridge Corp. | 1,590 | (6,726 | ) | |||||||||
LiqTech International, Inc. | 800 | (6,400 | ) | |||||||||
|
| |||||||||||
(70,030 | ) | |||||||||||
|
| |||||||||||
Total North America | (297,309,887 | ) | ||||||||||
|
| |||||||||||
Oceania — (0.0)% |
| |||||||||||
Apparel & Textile Products — (0.0)% | ||||||||||||
Naked Brand Group Ltd. | 72,500 | (13,920 | ) | |||||||||
|
| |||||||||||
Banking — (0.0)% | ||||||||||||
Westpac Banking Corp., ADR | 3,600 | (53,640 | ) | |||||||||
|
|
See Notes to Consolidated Schedule of Investments.
101
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
December 31, 2020 (Unaudited)
Security Description | Shares | Value | ||||||||||
Materials — (0.0)% | ||||||||||||
Piedmont Lithium Ltd., ADR | 1,200 | $ | (31,860 | ) | ||||||||
|
| |||||||||||
Total Oceania |
| (99,420 | ) | |||||||||
|
| |||||||||||
South America — (0.2)% | ||||||||||||
Aerospace & Defense — (0.0)% | ||||||||||||
Embraer SA, ADR | 13,200 | (89,892 | ) | |||||||||
|
| |||||||||||
Asset Management — (0.0)% | ||||||||||||
XP, Inc., Class A | 10,700 | (424,469 | ) | |||||||||
|
| |||||||||||
Banking — (0.0)% | ||||||||||||
Banco BBVA Argentina SA, ADR | 6,000 | (19,260 | ) | |||||||||
Banco de Chile, ADR | 2,800 | (57,064 | ) | |||||||||
Banco Santander Brasil SA, ADR | 25,200 | (217,728 | ) | |||||||||
Banco Santander Chile, ADR | 7,500 | (142,425 | ) | |||||||||
Bancolombia SA, ADR | 400 | (16,072 | ) | |||||||||
Itau CorpBanca, ADR | 300 | (1,485 | ) | |||||||||
Itau Unibanco Holding SA, ADR | 35,500 | (216,195 | ) | |||||||||
|
| |||||||||||
(670,229 | ) | |||||||||||
|
| |||||||||||
Consumer Products — (0.0)% | ||||||||||||
AMBEV SA, ADR | 10,000 | (30,600 | ) | |||||||||
|
| |||||||||||
Consumer Services — (0.0)% | ||||||||||||
Afya Ltd., Class A | 3,400 | (86,020 | ) | |||||||||
|
| |||||||||||
Consumer Staple Products — (0.0)% | ||||||||||||
Adecoagro SA | 3,700 | (25,160 | ) | |||||||||
Natura & Co. Holding SA, ADR | 3,500 | (70,000 | ) | |||||||||
|
| |||||||||||
(95,160 | ) | |||||||||||
|
| |||||||||||
Engineering & Construction Services — (0.0)% | ||||||||||||
Corporacion America Airports SA | 5,100 | (20,349 | ) | |||||||||
|
| |||||||||||
Gaming, Lodging & Restaurants — (0.0)% | ||||||||||||
Arcos Dorados Holdings, Inc., A Shares | 200 | (1,006 | ) | |||||||||
|
| |||||||||||
Materials — (0.0)% | ||||||||||||
Gerdau SA, ADR | 2,600 | (12,142 | ) | |||||||||
Sociedad Quimica y Minera de Chile SA, ADR | 3,600 | (176,724 | ) | |||||||||
|
| |||||||||||
(188,866 | ) | |||||||||||
|
| |||||||||||
Media — (0.0)% | ||||||||||||
Despegar.com Corp. | 2,800 | (35,868 | ) | |||||||||
Liberty Latin America Ltd., Class C | 16,100 | (178,549 | ) | |||||||||
|
| |||||||||||
(214,417 | ) | |||||||||||
|
| |||||||||||
Metals & Mining — (0.0)% | ||||||||||||
Nexa Resources SA | 800 | (7,712 | ) | |||||||||
Southern Copper Corp. | 7,500 | (488,400 | ) | |||||||||
|
| |||||||||||
(496,112 | ) | |||||||||||
|
|
See Notes to Consolidated Schedule of Investments.
102
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
December 31, 2020 (Unaudited)
Security Description | Shares | Value | ||||||||||
Oil, Gas & Coal — (0.0)% | ||||||||||||
Cosan Ltd., A Shares | 4,400 | $ | (81,092 | ) | ||||||||
Transportadora de Gas del Sur SA, ADR | 3,100 | (16,120 | ) | |||||||||
Ultrapar Participacoes SA, ADR | 300 | (1,359 | ) | |||||||||
|
| |||||||||||
(98,571 | ) | |||||||||||
|
| |||||||||||
Passenger Transportation — (0.0)% | ||||||||||||
Gol Linhas Aereas Inteligentes SA, ADR | 3,200 | (31,424 | ) | |||||||||
|
| |||||||||||
Retail & Wholesale - Staples — (0.0)% | ||||||||||||
IRSA Inversiones y Representaciones SA, ADR | 100 | (451 | ) | |||||||||
|
| |||||||||||
Retail - Discretionary — (0.1)% | ||||||||||||
MercadoLibre, Inc. | 3,100 | (5,193,182 | ) | |||||||||
|
| |||||||||||
Specialty Finance — (0.1)% | ||||||||||||
Pagseguro Digital Ltd., Class A | 22,800 | (1,296,864 | ) | |||||||||
StoneCo Ltd., Class A | 11,900 | (998,648 | ) | |||||||||
|
| |||||||||||
(2,295,512 | ) | |||||||||||
|
| |||||||||||
Technology Services — (0.0)% | ||||||||||||
Globant SA | 2,600 | (565,786 | ) | |||||||||
|
| |||||||||||
Telecommunications — (0.0)% | ||||||||||||
TIM SA, ADR | 1,700 | (23,664 | ) | |||||||||
|
| |||||||||||
Utilities — (0.0)% | ||||||||||||
Central Puerto SA, ADR | 2,600 | (7,020 | ) | |||||||||
Cia de Saneamento Basico do Estado de Sao Paulo, ADR | 6,700 | (57,553 | ) | |||||||||
Cia Energetica de Minas Gerais, ADR | 53 | (153 | ) | |||||||||
Cia Paranaense de Energia, ADR | 7,400 | (105,820 | ) | |||||||||
Enel Americas SA, ADR | 19,900 | (163,578 | ) | |||||||||
Pampa Energia SA, ADR | 4,000 | (55,120 | ) | |||||||||
|
| |||||||||||
(389,244 | ) | |||||||||||
|
| |||||||||||
Total South America | (10,914,954 | ) | ||||||||||
|
| |||||||||||
TOTAL COMMON STOCK | (357,530,353 | ) | ||||||||||
|
| |||||||||||
EXCHANGE-TRADED FUNDS — (0.0)% | ||||||||||||
iShares iBoxx $ Investment Grade Corporate Bond ETF (b) | 14,100 | (1,947,633 | ) | |||||||||
|
| |||||||||||
TOTAL EXCHANGE-TRADED FUNDS | (1,947,633 | ) | ||||||||||
|
| |||||||||||
RIGHTS — (0.0)% | ||||||||||||
Flex Pharma, Inc. | 1,000 | 0 | ||||||||||
Social Reality | 200 | 0 | ||||||||||
|
| |||||||||||
TOTAL RIGHTS | 0 | |||||||||||
|
| |||||||||||
WARRANTS — (0.0)% | ||||||||||||
FTS International, Inc. | 698 | 0 | ||||||||||
Galectin Therapeutics, Inc. | 1,340 | 0 |
See Notes to Consolidated Schedule of Investments.
103
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
December 31, 2020 (Unaudited)
Security Description | Shares | Value | ||||||||||
Pulse Biosciences, Inc. | 19 | $ | 0 | |||||||||
|
| |||||||||||
TOTAL WARRANTS | 0 | |||||||||||
|
| |||||||||||
TOTAL SECURITIES SOLD SHORT— (6.8)% | (359,477,986 | ) | ||||||||||
|
|
Footnote Legend:
(a) | Non-income producing. |
(b) | Security is held by a consolidated wholly-owned subsidiary of Blackstone Alternative Multi-Strategy Fund. |
(c) | Security (or a portion thereof) has been pledged to cover collateral requirements on open derivative contracts and/or securities sold short. |
(d) | Security is valued using significant unobservable inputs. |
(e) | Security is exempt from registration pursuant to Regulation S under the Securities Act of 1933, as amended. Security may only be offered or sold outside of the Unites States unless registered under the Securities Act of 1933, as amended, or otherwise exempt from registration. |
(f) | Security is exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. Security may only be sold to qualified institutional buyers unless registered under the Securities Act of 1933, as amended, or otherwise exempt from registration. |
(g) | Variable/Floating interest rate security. Certain variable/floating interest rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities may not indicate a reference rate and spread in their description above. Rate presented is as of December 31, 2020. |
(h) | All or a portion of this security is pledged as collateral in connection with reverse repurchase agreements. |
(i) | 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. |
(j) | All or a portion of the security represents an unsettled loan commitment at December 31, 2020 where the rate will be determined at time of settlement. |
(k) | Security is currently in default due to bankruptcy or failure to make payment of principal or interest. |
(l) | Represents a step-up bond. Coupon rate increases in increments to maturity. Rate presented is as of December 31, 2020. Maturity date presented is the ultimate maturity. |
(m) | Non-interest bearing bond. |
(n) | When issued or delayed delivery security included. |
(o) | Security is restricted per Rule 12-12.8 of Regulation S-X. First acquisition dates of EJF Debt Opportunities Offshore Fund, Ltd., Aeolus Property Catastrophe Keystone PF Fund LP, PIMCO ILS Fund SP II, Saba Capital Carry Neutral Tail Hedge Offshore Fund Ltd. and Saba Capital Carry Neutral Tail Hedge Partners, L.P. are 9/4/2018, 1/2/2019 and 12/30/2019, 10/20/2020 and 10/20/2020. |
(p) | Rate disclosed, the 7 day net yield, is as of December 31, 2020. |
(q) | Assets, other than investments in securities, less liabilities other than securities sold short. |
Options Written Contracts Outstanding at December 31, 2020
Strike | Expiration | Contracts | Notional | Premium | Market | Unrealized | ||||||||||||||||||||
Exchange-Traded Call Options Written | ||||||||||||||||||||||||||
BRENT CRUDE FUTURE DEC21 | 80.00 USD | 10/26/21 | 600 | (30,450,000 | ) | $ | (246,512 | ) | $ | (234,000 | ) | $ | 12,512 | |||||||||||||
BRENT CRUDE FUTURE DEC21 | 60.00 USD | 10/26/21 | 50 | (2,537,500 | ) | (75,501 | ) | (124,000 | ) | (48,499 | ) | |||||||||||||||
CRUDE OIL FUTURE JUN21 | 55.00 USD | 05/17/21 | 50 | (2,431,500 | ) | (34,076 | ) | (86,000 | ) | (51,924 | ) | |||||||||||||||
NATURAL GAS FUTURE APR21 | 3.00 USD | 03/26/21 | 75 | (1,903,500 | ) | (91,888 | ) | (60,825 | ) | 31,063 | ||||||||||||||||
NATURAL GAS FUTURE APR21 | 3.25 USD | 03/26/21 | 450 | (11,421,000 | ) | (708,859 | ) | (195,750 | ) | 513,109 | ||||||||||||||||
NATURAL GAS FUTURE APR22 | 3.00 USD | 03/28/22 | 75 | (1,821,750 | ) | (97,888 | ) | (126,225 | ) | (28,337 | ) | |||||||||||||||
NATURAL GAS FUTURE APR23 | 3.50 USD | 03/28/23 | 63 | (1,448,370 | ) | (79,946 | ) | (29,043 | ) | 50,903 | ||||||||||||||||
NATURAL GAS FUTURE APR23 | 4.00 USD | 03/28/23 | 76 | (1,747,240 | ) | (61,841 | ) | (16,872 | ) | 44,969 | ||||||||||||||||
NATURAL GAS FUTURE AUG21 | 3.00 USD | 07/27/21 | 75 | (2,036,250 | ) | (91,888 | ) | (132,150 | ) | (40,262 | ) | |||||||||||||||
NATURAL GAS FUTURE AUG21 | 3.25 USD | 07/27/21 | 450 | (12,217,500 | ) | (708,859 | ) | (501,750 | ) | 207,109 | ||||||||||||||||
NATURAL GAS FUTURE AUG22 | 3.00 USD | 07/26/22 | 75 | (1,841,250 | ) | (97,888 | ) | (95,325 | ) | 2,563 | ||||||||||||||||
NATURAL GAS FUTURE AUG23 | 4.00 USD | 07/26/23 | 76 | (1,782,960 | ) | (61,841 | ) | (9,120 | ) | 52,721 | ||||||||||||||||
NATURAL GAS FUTURE AUG23 | 3.50 USD | 07/26/23 | 63 | (1,477,980 | ) | (79,946 | ) | (18,207 | ) | 61,739 | ||||||||||||||||
NATURAL GAS FUTURE DEC23 | 3.50 USD | 11/27/23 | 63 | (1,684,620 | ) | (79,946 | ) | (84,672 | ) | (4,726 | ) |
See Notes to Consolidated Schedule of Investments.
104
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
December 31, 2020 (Unaudited)
Strike | Expiration | Contracts | Notional | Premium | Market | Unrealized | ||||||||||||||||||||
NATURAL GAS FUTURE DEC23 | 4.00 USD | 11/27/23 | 76 | (2,032,240 | ) | $ | (61,841 | ) | $ | (55,936 | ) | $ | 5,905 | |||||||||||||
NATURAL GAS FUTURE FEB21 | 2.50 USD | 01/26/21 | 377 | (9,572,030 | ) | (1,060,389 | ) | (729,872 | ) | 330,517 | ||||||||||||||||
NATURAL GAS FUTURE FEB21 | 3.00 USD | 01/26/21 | 290 | (7,363,100 | ) | (660,899 | ) | (131,080 | ) | 529,819 | ||||||||||||||||
NATURAL GAS FUTURE FEB21 | 3.25 USD | 01/26/21 | 1,126 | (28,589,140 | ) | (440,981 | ) | (256,728 | ) | 184,253 | ||||||||||||||||
NATURAL GAS FUTURE FEB21 | 3.50 USD | 01/26/21 | 336 | (8,531,040 | ) | (851,062 | ) | (46,032 | ) | 805,030 | ||||||||||||||||
NATURAL GAS FUTURE FEB21 | 4.00 USD | 01/26/21 | 3,001 | (76,195,390 | ) | (495,655 | ) | (216,072 | ) | 279,583 | ||||||||||||||||
NATURAL GAS FUTURE FEB21 | 4.25 USD | 01/26/21 | 500 | (12,695,000 | ) | (726,923 | ) | (29,000 | ) | 697,923 | ||||||||||||||||
NATURAL GAS FUTURE FEB21 | 5.00 USD | 01/26/21 | 249 | (6,322,110 | ) | (26,187 | ) | (8,715 | ) | 17,472 | ||||||||||||||||
NATURAL GAS FUTURE FEB23 | 3.50 USD | 01/26/23 | 63 | (1,726,200 | ) | (79,946 | ) | (186,480 | ) | (106,534 | ) | |||||||||||||||
NATURAL GAS FUTURE FEB23 | 4.00 USD | 01/26/23 | 76 | (2,082,400 | ) | (61,841 | ) | (172,520 | ) | (110,679 | ) | |||||||||||||||
NATURAL GAS FUTURE JAN23 | 3.50 USD | 12/22/22 | 50 | (348,625 | ) | — | (5,388 | ) | (5,388 | ) | ||||||||||||||||
NATURAL GAS FUTURE JAN23 | 3.50 USD | 12/27/22 | 63 | (1,757,070 | ) | (79,946 | ) | (175,518 | ) | (95,572 | ) | |||||||||||||||
NATURAL GAS FUTURE JAN23 | 4.00 USD | 12/27/22 | 76 | (2,119,640 | ) | (61,840 | ) | (159,220 | ) | (97,380 | ) | |||||||||||||||
NATURAL GAS FUTURE JUL21 | 3.00 USD | 06/25/21 | 75 | (2,013,750 | ) | (91,888 | ) | (114,600 | ) | (22,712 | ) | |||||||||||||||
NATURAL GAS FUTURE JUL21 | 3.25 USD | 06/25/21 | 450 | (12,082,500 | ) | (708,859 | ) | (422,550 | ) | 286,309 | ||||||||||||||||
NATURAL GAS FUTURE JUL22 | 3.00 USD | 06/27/22 | 75 | (1,835,250 | ) | (97,888 | ) | (91,350 | ) | 6,538 | ||||||||||||||||
NATURAL GAS FUTURE JUL23 | 3.50 USD | 06/27/23 | 63 | (1,472,940 | ) | (79,946 | ) | (17,451 | ) | 62,495 | ||||||||||||||||
NATURAL GAS FUTURE JUL23 | 4.00 USD | 06/27/23 | 76 | (1,776,880 | ) | (61,840 | ) | (8,740 | ) | 53,100 | ||||||||||||||||
NATURAL GAS FUTURE JUN21 | 3.00 USD | 05/25/21 | 75 | (1,958,250 | ) | (91,888 | ) | (92,850 | ) | (962 | ) | |||||||||||||||
NATURAL GAS FUTURE JUN21 | 3.25 USD | 05/25/21 | 649 | (16,945,390 | ) | (1,146,663 | ) | (475,068 | ) | 671,595 | ||||||||||||||||
NATURAL GAS FUTURE JUN22 | 3.00 USD | 05/25/22 | 75 | (1,809,000 | ) | (97,888 | ) | (84,600 | ) | 13,288 | ||||||||||||||||
NATURAL GAS FUTURE JUN23 | 3.50 USD | 05/25/23 | 63 | (1,448,370 | ) | (79,946 | ) | (15,246 | ) | 64,700 | ||||||||||||||||
NATURAL GAS FUTURE JUN23 | 4.00 USD | 05/25/23 | 76 | (1,747,240 | ) | (61,840 | ) | (7,448 | ) | 54,392 | ||||||||||||||||
NATURAL GAS FUTURE MAR21 | 4.25 USD | 02/23/21 | 536 | (13,539,360 | ) | (247,954 | ) | (63,248 | ) | 184,706 | ||||||||||||||||
NATURAL GAS FUTURE MAR21 | 7.00 USD | 02/23/21 | 200 | (5,052,000 | ) | (206,504 | ) | (4,600 | ) | 201,904 | ||||||||||||||||
NATURAL GAS FUTURE MAR21 | 3.50 USD | 02/23/21 | 2,850 | (71,991,000 | ) | (6,800,795 | ) | (780,900 | ) | 6,019,895 | ||||||||||||||||
NATURAL GAS FUTURE MAR21 | 3.00 USD | 02/23/21 | 1,560 | (39,405,600 | ) | (3,444,998 | ) | (1,251,120 | ) | 2,193,878 | ||||||||||||||||
NATURAL GAS FUTURE MAR21 | 4.00 USD | 02/23/21 | 643 | (16,242,180 | ) | (1,217,359 | ) | (93,235 | ) | 1,124,124 | ||||||||||||||||
NATURAL GAS FUTURE MAR23 | 3.50 USD | 02/23/23 | 63 | (1,637,370 | ) | (79,946 | ) | (171,297 | ) | (91,351 | ) | |||||||||||||||
NATURAL GAS FUTURE MAR23 | 4.00 USD | 02/23/23 | 76 | (1,975,240 | ) | (61,840 | ) | (159,372 | ) | (97,532 | ) | |||||||||||||||
NATURAL GAS FUTURE MAY21 | 3.00 USD | 04/27/21 | 75 | (1,916,250 | ) | (91,888 | ) | (72,975 | ) | 18,913 | ||||||||||||||||
NATURAL GAS FUTURE MAY21 | 3.25 USD | 04/27/21 | 450 | (11,497,500 | ) | (708,859 | ) | (243,900 | ) | 464,959 | ||||||||||||||||
NATURAL GAS FUTURE MAY22 | 3.00 USD | 04/26/22 | 75 | (1,788,000 | ) | (97,888 | ) | (88,650 | ) | 9,238 | ||||||||||||||||
NATURAL GAS FUTURE MAY23 | 3.50 USD | 04/25/23 | 63 | (1,426,950 | ) | (79,946 | ) | (16,632 | ) | 63,314 | ||||||||||||||||
NATURAL GAS FUTURE MAY23 | 4.00 USD | 04/25/23 | 76 | (1,721,400 | ) | (61,840 | ) | (8,512 | ) | 53,328 | ||||||||||||||||
NATURAL GAS FUTURE NOV23 | 3.50 USD | 10/26/23 | 63 | (1,548,540 | ) | (79,946 | ) | (38,367 | ) | 41,579 | ||||||||||||||||
NATURAL GAS FUTURE NOV23 | 4.00 USD | 10/26/23 | 76 | (1,868,080 | ) | (61,840 | ) | (24,320 | ) | 37,520 | ||||||||||||||||
NATURAL GAS FUTURE OCT21 | 3.00 USD | 09/27/21 | 75 | (2,055,750 | ) | (91,888 | ) | (162,525 | ) | (70,637 | ) | |||||||||||||||
NATURAL GAS FUTURE OCT21 | 3.25 USD | 09/27/21 | 450 | (12,334,500 | ) | (708,859 | ) | (657,900 | ) | 50,959 | ||||||||||||||||
NATURAL GAS FUTURE OCT21 | 3.50 USD | 09/27/21 | 250 | (6,852,500 | ) | (464,130 | ) | (242,500 | ) | 221,630 | ||||||||||||||||
NATURAL GAS FUTURE OCT21 | 4.00 USD | 09/27/21 | 128 | (3,508,480 | ) | (54,422 | ) | (53,248 | ) | 1,174 | ||||||||||||||||
NATURAL GAS FUTURE OCT22 | 3.00 USD | 09/27/22 | 75 | (1,843,500 | ) | (97,888 | ) | (105,300 | ) | (7,412 | ) | |||||||||||||||
NATURAL GAS FUTURE OCT23 | 3.50 USD | 09/26/23 | 63 | (1,489,950 | ) | (79,946 | ) | (22,617 | ) | 57,329 | ||||||||||||||||
NATURAL GAS FUTURE OCT23 | 4.00 USD | 09/26/23 | 76 | (1,797,400 | ) | (61,840 | ) | (11,932 | ) | 49,908 | ||||||||||||||||
NATURAL GAS FUTURE SEP21 | 3.00 USD | 08/26/21 | 75 | (2,034,000 | ) | (91,888 | ) | (141,825 | ) | (49,937 | ) | |||||||||||||||
NATURAL GAS FUTURE SEP21 | 3.25 USD | 08/26/21 | 450 | (12,204,000 | ) | (708,859 | ) | (553,950 | ) | 154,909 | ||||||||||||||||
NATURAL GAS FUTURE SEP22 | 3.00 USD | 08/26/22 | 75 | (1,826,250 | ) | (97,888 | ) | (95,100 | ) | 2,788 | ||||||||||||||||
NATURAL GAS FUTURE SEP23 | 3.50 USD | 08/28/23 | 63 | (1,470,420 | ) | (79,946 | ) | (18,648 | ) | 61,298 |
See Notes to Consolidated Schedule of Investments.
105
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
December 31, 2020 (Unaudited)
Strike | Expiration | Contracts | Notional | Premium | Market | Unrealized | ||||||||||||||||||||
NATURAL GAS FUTURE SEP23 | 4.00 USD | 08/28/23 | 76 | (1,773,840 | ) | $ | (61,840 | ) | $ | (9,500 | ) | $ | 52,340 | |||||||||||||
WTI CRUDE FUTURE DEC21 | 60.00 USD | 11/16/21 | 367 | (17,498,560 | ) | (414,018 | ) | (664,270 | ) | (250,252 | ) | |||||||||||||||
|
| |||||||||||||||||||||||||
$ | (25,898,050 | ) | $ | (10,972,846 | ) | $ | 14,925,204 | |||||||||||||||||||
|
| |||||||||||||||||||||||||
Exchange-Traded Put Options Written | ||||||||||||||||||||||||||
CRUDE OIL FUTURE DEC21 | 40.00 USD | 11/16/21 | 90 | (4,291,200 | ) | $ | (441,847 | ) | $ | (297,000 | ) | $ | 144,847 | |||||||||||||
CRUDE OIL FUTURE FEB21 | 30.00 USD | 01/14/21 | 377 | (18,292,040 | ) | (250,262 | ) | (7,540 | ) | 242,722 | ||||||||||||||||
CRUDE OIL FUTURE MAR21 | 30.00 USD | 02/17/21 | 377 | (18,333,510 | ) | (335,530 | ) | (37,700 | ) | 297,830 | ||||||||||||||||
NATURAL GAS FUTURE APR21 | 2.00 USD | 03/26/21 | 364 | (9,238,320 | ) | (114,664 | ) | (149,968 | ) | (35,304 | ) | |||||||||||||||
NATURAL GAS FUTURE APR21 | 2.25 USD | 03/26/21 | 129 | (3,274,020 | ) | (165,787 | ) | (131,193 | ) | 34,594 | ||||||||||||||||
NATURAL GAS FUTURE APR23 | 2.00 USD | 03/28/23 | 76 | (1,747,240 | ) | (82,136 | ) | (120,460 | ) | (38,324 | ) | |||||||||||||||
NATURAL GAS FUTURE AUG23 | 2.00 USD | 07/26/23 | 76 | (1,782,960 | ) | (82,136 | ) | (82,840 | ) | (704 | ) | |||||||||||||||
NATURAL GAS FUTURE DEC23 | 2.00 USD | 11/27/23 | 76 | (2,032,240 | ) | (82,136 | ) | (67,640 | ) | 14,496 | ||||||||||||||||
NATURAL GAS FUTURE FEB21 | 2.00 USD | 01/26/21 | 257 | (6,525,230 | ) | (168,379 | ) | (46,260 | ) | 122,119 | ||||||||||||||||
NATURAL GAS FUTURE FEB21 | 2.25 USD | 01/26/21 | 472 | (11,984,080 | ) | (562,530 | ) | (284,616 | ) | 277,914 | ||||||||||||||||
NATURAL GAS FUTURE FEB21 | 2.40 USD | 01/26/21 | 214 | (5,433,460 | ) | (275,026 | ) | (275,026 | ) | — | ||||||||||||||||
NATURAL GAS FUTURE FEB21 | 2.75 USD | 01/26/21 | 214 | (5,433,460 | ) | (484,746 | ) | (656,766 | ) | (172,020 | ) | |||||||||||||||
NATURAL GAS FUTURE FEB21 | 3.00 USD | 01/26/21 | 214 | (5,433,460 | ) | (617,426 | ) | (1,083,268 | ) | (465,842 | ) | |||||||||||||||
NATURAL GAS FUTURE FEB21 | 3.50 USD | 01/26/21 | 150 | (3,808,500 | ) | (1,860,776 | ) | (150 | ) | 1,860,626 | ||||||||||||||||
NATURAL GAS FUTURE FEB23 | 2.00 USD | 01/26/23 | 76 | (2,082,400 | ) | (82,136 | ) | (78,736 | ) | 3,400 | ||||||||||||||||
NATURAL GAS FUTURE JAN23 | 2.00 USD | 12/27/22 | 76 | (2,119,640 | ) | (82,136 | ) | (58,292 | ) | 23,844 | ||||||||||||||||
NATURAL GAS FUTURE JUL23 | 2.00 USD | 06/27/23 | 76 | (1,776,880 | ) | (82,135 | ) | (83,600 | ) | (1,465 | ) | |||||||||||||||
NATURAL GAS FUTURE JUN23 | 2.00 USD | 05/25/23 | 76 | (1,747,240 | ) | (82,135 | ) | (89,908 | ) | (7,773 | ) | |||||||||||||||
NATURAL GAS FUTURE MAR21 | 2.00 USD | 02/23/21 | 279 | (7,047,540 | ) | (227,823 | ) | (104,904 | ) | 122,919 | ||||||||||||||||
NATURAL GAS FUTURE MAR21 | 2.50 USD | 02/23/21 | 2,501 | (63,175,260 | ) | (4,848,133 | ) | (5,232,092 | ) | (383,959 | ) | |||||||||||||||
NATURAL GAS FUTURE MAR21 | 2.25 USD | 02/23/21 | 1,690 | (42,689,400 | ) | (2,019,351 | ) | (1,693,380 | ) | 325,971 | ||||||||||||||||
NATURAL GAS FUTURE MAR23 | 2.00 USD | 02/23/23 | 76 | (1,975,240 | ) | (82,135 | ) | (108,224 | ) | (26,089 | ) | |||||||||||||||
NATURAL GAS FUTURE MAY23 | 2.00 USD | 04/25/23 | 76 | (1,721,400 | ) | (82,135 | ) | (104,728 | ) | (22,593 | ) |
See Notes to Consolidated Schedule of Investments.
106
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
December 31, 2020 (Unaudited)
Strike | Expiration | Contracts | Notional | Premium | Market | Unrealized | ||||||||||||||||||||||
NATURAL GAS FUTURE NOV23 | 2.00 USD | 10/26/23 | 76 | (1,868,080 | ) | $ | (82,135 | ) | $ | (76,836 | ) | $ | 5,299 | |||||||||||||||
NATURAL GAS FUTURE OCT21 | 2.25 USD | 09/27/21 | 128 | (3,146,240 | ) | (182,422 | ) | (149,120 | ) | 33,302 | ||||||||||||||||||
NATURAL GAS FUTURE OCT23 | 2.00 USD | 09/26/23 | 76 | (1,797,400 | ) | (82,135 | ) | (86,412 | ) | (4,277 | ) | |||||||||||||||||
NATURAL GAS FUTURE SEP23 | 2.00 USD | 08/28/23 | 76 | (1,773,840 | ) | (82,135 | ) | (87,324 | ) | (5,189 | ) | |||||||||||||||||
S&P 500 Index | 2,980.00 USD | 01/15/21 | 163 | (61,223,941 | ) | (1,217,115 | ) | (28,525 | ) | 1,188,590 | ||||||||||||||||||
S&P 500 Index | 2,900.00 USD | 01/29/21 | 165 | (61,975,155 | ) | (1,649,499 | ) | (52,470 | ) | 1,597,029 | ||||||||||||||||||
S&P 500 Index | 3,500.00 USD | 02/19/21 | 147 | (55,214,229 | ) | (991,804 | ) | (624,750 | ) | 367,054 | ||||||||||||||||||
US IR | 0.60 USD | 02/05/21 | 75,400,000 | (75,400,000 | ) | (237,510 | ) | (22,528 | ) | 214,982 | ||||||||||||||||||
|
| |||||||||||||||||||||||||||
$ | (17,636,255 | ) | $ | (11,922,256 | ) | $ | 5,713,999 | |||||||||||||||||||||
|
| |||||||||||||||||||||||||||
Total Options Written Outstanding | $ | (43,534,305 | ) | $ | (22,895,102 | ) | $ | 20,639,203 | ||||||||||||||||||||
|
|
At December 31, 2020, the Fund had the following unfunded loan commitment(s) for the loan agreement(s) noted, which could be extended at the option of the borrower:
Borrower | Unfunded Loan Commitment | Value | Unrealized Appreciation (Depreciation) | |||||||||
Latam Airlines Group S.A., PIK DIP Delayed Draw Term Loan A, 0.75%, 03/29/22 | $ | 1,180,727 | $ | 1,210,871 | $ | 30,144 | ||||||
Latam Airlines Group S.A., PIK DIP Delayed Draw Term Loan C, 1.25%, 03/29/22 | 878,371 | 961,816 | 83,445 | |||||||||
|
|
|
|
|
| |||||||
Total Unfunded Loan Commitment | $ | 2,059,098 | $ | 2,172,687 | $ | 113,589 | ||||||
|
|
|
|
|
|
Reverse Repurchase Agreements Outstanding at December 31, 2020
Counterparty | Interest Rate | Trade Date | Maturity Date | Face Value | Face Value Including Accrued Interest | |||||||||||||
Barclays Bank plc | 0.50% | 09/09/20 | 02/04/22 | $ | 1,108,828 | $ | 1,110,568 | |||||||||||
Barclays Bank plc | 0.50% | 08/06/20 | 01/03/22 | 8,513,418 | 8,530,800 | |||||||||||||
Barclays Bank plc | 0.50% | 09/09/20 | 02/04/22 | 798,000 | 799,252 | |||||||||||||
Barclays Bank plc | 0.55% | 11/30/20 | 04/27/22 | 3,559,771 | 3,561,457 | |||||||||||||
BNP Paribas Securities Corp. | 1.70% | 12/07/20 | 01/11/21 | 9,826,000 | 9,837,619 | |||||||||||||
BNP Paribas Securities Corp. | 1.70% | 12/07/20 | 01/11/21 | 1,903,000 | 1,905,250 | |||||||||||||
BNP Paribas Securities Corp. | 1.70% | 12/07/20 | 01/11/21 | 160,000 | 160,189 | |||||||||||||
BNP Paribas Securities Corp. | 1.70% | 12/07/20 | 01/11/21 | 3,981,000 | 3,985,707 | |||||||||||||
BNP Paribas Securities Corp. | 1.70% | 12/07/20 | 01/11/21 | 7,137,000 | 7,145,439 | |||||||||||||
BNP Paribas Securities Corp. | 1.70% | 12/07/20 | 01/11/21 | 6,177,000 | 6,184,304 | |||||||||||||
BNP Paribas Securities Corp. | 1.70% | 12/07/20 | 01/11/21 | 6,085,000 | 6,092,195 | |||||||||||||
BNP Paribas Securities Corp. | 1.70% | 12/07/20 | 01/11/21 | 6,345,000 | 6,352,503 | |||||||||||||
BNP Paribas Securities Corp. | 1.70% | 12/07/20 | 01/11/21 | 283,000 | 283,335 | |||||||||||||
Goldman Sachs Bank USA | 1.69% | 12/15/20 | 01/13/21 | 898,000 | 898,718 | |||||||||||||
Goldman Sachs Bank USA | 1.69% | 12/15/20 | 01/13/21 | 6,820,000 | 6,825,451 | |||||||||||||
Goldman Sachs Bank USA | 1.69% | 12/15/20 | 01/13/21 | 10,414,000 | 10,422,324 | |||||||||||||
Goldman Sachs Bank USA | 1.69% | 12/15/20 | 01/13/21 | 4,669,000 | 4,672,732 | |||||||||||||
Goldman Sachs Bank USA | 1.70% | 12/15/20 | 01/13/21 | 605,000 | 605,487 | |||||||||||||
Goldman Sachs Bank USA | 1.75% | 12/15/20 | 01/13/21 | 1,761,000 | 1,762,458 | |||||||||||||
Goldman Sachs Bank USA | 1.81% | 12/15/20 | 01/13/21 | 897,000 | 897,768 | |||||||||||||
Goldman Sachs Bank USA | 1.81% | 12/15/20 | 01/13/21 | 6,095,000 | 6,100,220 |
See Notes to Consolidated Schedule of Investments.
107
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
December 31, 2020 (Unaudited)
Counterparty | Interest Rate | Trade Date | Maturity Date | Face Value | Face Value Including Accrued Interest | |||||||||||||
Goldman Sachs Bank USA | 1.81% | 12/15/20 | 01/13/21 | $ | 4,325,000 | $ | 4,328,704 | |||||||||||
Goldman Sachs Bank USA | 1.81% | 12/15/20 | 01/13/21 | 5,107,000 | 5,111,374 | |||||||||||||
Goldman Sachs Bank USA | 1.81% | 12/15/20 | 01/13/21 | 5,208,000 | 5,212,460 | |||||||||||||
Goldman Sachs Bank USA | 1.85% | 12/15/20 | 01/13/21 | 1,523,000 | 1,524,333 | |||||||||||||
Goldman Sachs Bank USA | 1.85% | 12/15/20 | 01/13/21 | 15,644,000 | 15,657,695 | |||||||||||||
Goldman Sachs Bank USA | 2.01% | 12/15/20 | 01/13/21 | 760,000 | 760,723 | |||||||||||||
Goldman Sachs Bank USA | 2.01% | 12/15/20 | 01/13/21 | 1,028,000 | 1,028,977 | |||||||||||||
Goldman Sachs Bank USA | 2.01% | 12/15/20 | 01/13/21 | 771,000 | 771,733 | |||||||||||||
Goldman Sachs Bank USA | 2.01% | 12/15/20 | 01/13/21 | 1,188,000 | 1,189,130 | |||||||||||||
Goldman Sachs Bank USA | 2.01% | 12/15/20 | 01/13/21 | 614,000 | 614,584 | |||||||||||||
Goldman Sachs Bank USA | 2.01% | 12/15/20 | 01/13/21 | 995,000 | 995,946 | |||||||||||||
Merrill Lynch, Pierce, Fenner & Smith, Inc. | 2.16% | 12/18/20 | 01/21/21 | 793,000 | 793,665 | |||||||||||||
RBC (Barbados) Trading Bank Corporation | 2.07% | 11/16/20 | 02/16/21 | 8,437,000 | 8,459,327 | |||||||||||||
RBC (Barbados) Trading Bank Corporation | 2.43% | 11/06/20 | 01/08/21 | 388,000 | 389,468 | |||||||||||||
RBC (Barbados) Trading Bank Corporation | 2.43% | 11/06/20 | 01/08/21 | 946,000 | 949,579 | |||||||||||||
RBC (Barbados) Trading Bank Corporation | 2.43% | 11/06/20 | 01/08/21 | 2,715,000 | 2,725,272 | |||||||||||||
RBC (Barbados) Trading Bank Corporation | 2.43% | 11/06/20 | 01/08/21 | 1,959,000 | 1,966,412 | |||||||||||||
RBC (Barbados) Trading Bank Corporation | 2.43% | 11/06/20 | 01/08/21 | 1,359,000 | 1,364,142 | |||||||||||||
RBC (Barbados) Trading Bank Corporation | 2.43% | 11/06/20 | 01/08/21 | 971,000 | 974,674 | |||||||||||||
RBC (Barbados) Trading Bank Corporation | 2.43% | 11/06/20 | 01/08/21 | 256,000 | 256,969 | |||||||||||||
Royal Bank of Canada | 0.20% | 12/18/20 | 01/21/21 | 8,845,000 | 8,845,541 | |||||||||||||
|
| |||||||||||||||||
Total Reverse Repurchase Agreements Outstanding | $ | 151,868,017 | $ | 152,054,484 | ||||||||||||||
|
|
Futures Contracts Outstanding at December 31, 2020
Description | Contracts | Exchange | Notional Amount | Expiration Date | Value/ Unrealized Appreciation (Depreciation) | |||||||||||
Long Futures | ||||||||||||||||
3 Month Eurodollar | 28 | ICE | 7,037,734 EUR | 06/14/21 | $ | 936 | ||||||||||
3 Month Eurodollar | 47 | ICE | 11,812,914 EUR | 09/13/21 | 2,090 | |||||||||||
3 Month Eurodollar | 145 | ICE | 36,459,448 EUR | 12/13/21 | (10,092 | ) | ||||||||||
3 Month Eurodollar | 150 | ICE | 37,706,940 EUR | 03/14/22 | (843 | ) | ||||||||||
3 Month Eurodollar | 15 | ICE | 3,770,635 EUR | 06/13/22 | (241 | ) | ||||||||||
90 Day Eurodollar | 27 | CME | 6,737,130 USD | 06/14/21 | 1,732 | |||||||||||
90 Day Eurodollar | 2,470 | CME | 616,042,776 USD | 12/13/21 | 160,475 | |||||||||||
90 Day Eurodollar | 73 | CME | 18,203,406 USD | 06/13/22 | 11,919 | |||||||||||
90 Day Eurodollar | 14 | CME | 3,485,049 USD | 09/18/23 | (274 | ) | ||||||||||
90 Day Sterling | 33 | ICE | 4,124,815 GBP | 06/16/21 | 1,381 | |||||||||||
90 Day Sterling | 75 | ICE | 9,377,989 GBP | 12/15/21 | 4,246 | |||||||||||
90 Day Sterling | 757 | ICE | 94,597,930 GBP | 03/16/22 | 37,019 | |||||||||||
90 Day Sterling | 140 | ICE | 17,490,161 GBP | 06/15/22 | 11,062 | |||||||||||
Aluminum | 6 | LME | 287,760 USD | 03/15/21 | 8,865 | |||||||||||
Amsterdam Index | 5 | Euronext | 621,189 EUR | 01/15/21 | 4,082 | |||||||||||
Argus Eurobob Oxy FOB Rotterdam Barges | 21 | ICE | 69,076 USD | 01/29/21 | (12,376 | ) | ||||||||||
Argus Eurobob Oxy FOB Rotterdam Barges | 21 | ICE | 69,076 USD | 02/26/21 | (7,063 | ) | ||||||||||
Argus Eurobob Oxy FOB Rotterdam Barges | 21 | ICE | 69,076 USD | 03/31/21 | 2,660 |
See Notes to Consolidated Schedule of Investments.
108
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
December 31, 2020 (Unaudited)
Description | Contracts | Exchange | Notional Amount | Expiration Date | Value/ Unrealized Appreciation (Depreciation) | |||||||||||
Argus Eurobob Oxy FOB Rotterdam Barges | 21 | ICE | 69,076 USD | 04/30/21 | $ | 71,414 | ||||||||||
Argus Eurobob Oxy FOB Rotterdam Barges | 21 | ICE | 69,076 USD | 05/31/21 | 85,190 | |||||||||||
Argus Eurobob Oxy FOB Rotterdam Barges | 21 | ICE | 69,076 USD | 06/30/21 | 90,524 | |||||||||||
Argus Eurobob Oxy FOB Rotterdam Barges | 21 | ICE | 69,076 USD | 07/30/21 | 88,004 | |||||||||||
Argus Eurobob Oxy FOB Rotterdam Barges | 21 | ICE | 69,076 USD | 08/31/21 | 82,313 | |||||||||||
Argus Eurobob Oxy FOB Rotterdam Barges | 21 | ICE | 69,076 USD | 09/30/21 | 66,563 | |||||||||||
Argus Eurobob Oxy FOB Rotterdam Barges | 21 | ICE | 69,076 USD | 10/29/21 | 16,772 | |||||||||||
Argus Eurobob Oxy FOB Rotterdam Barges | 21 | ICE | 69,076 USD | 11/30/21 | (1,120 | ) | ||||||||||
Argus Eurobob Oxy FOB Rotterdam Barges | 21 | ICE | 69,076 USD | 12/31/21 | (10,549 | ) | ||||||||||
Australian 10-Year Bond | 85 | SFE | 12,479,344 AUD | 03/15/21 | 27,147 | |||||||||||
Australian dollar Currency | 15 | CME | 1,130,073 USD | 03/15/21 | 24,927 | |||||||||||
Brent 1st Line | 43 | ICE | 41,680 USD | 01/29/21 | (18,976 | ) | ||||||||||
Brent 1st Line | 43 | ICE | 41,680 USD | 02/26/21 | (16,654 | ) | ||||||||||
Brent 1st Line | 43 | ICE | 41,680 USD | 03/31/21 | (16,310 | ) | ||||||||||
Brent 1st Line | 43 | ICE | 41,680 USD | 04/30/21 | (21,040 | ) | ||||||||||
Brent 1st Line | 43 | ICE | 41,680 USD | 05/31/21 | (22,330 | ) | ||||||||||
Brent 1st Line | 43 | ICE | 41,680 USD | 06/30/21 | (23,620 | ) | ||||||||||
Brent 1st Line | 43 | ICE | 41,680 USD | 07/30/21 | (24,480 | ) | ||||||||||
Brent 1st Line | 43 | ICE | 41,680 USD | 08/31/21 | (24,910 | ) | ||||||||||
Brent 1st Line | 43 | ICE | 41,680 USD | 09/30/21 | (25,340 | ) | ||||||||||
Brent 1st Line | 43 | ICE | 41,680 USD | 10/29/21 | (25,340 | ) | ||||||||||
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 | 58 | NYMEX | 2,907,073 USD | 01/29/21 | 97,327 | |||||||||||
Brent Crude | 58 | ICE | 2,947,971 USD | 02/26/21 | 57,589 | |||||||||||
Brent Crude | 56 | NYMEX | 2,574,279 USD | 10/29/21 | 267,721 | |||||||||||
British Pound Currency | 16 | CME | 1,332,458 USD | 03/15/21 | 33,442 | |||||||||||
CA Carbon | 250 | ICE | 4,377,660 USD | 03/26/21 | 89,840 | |||||||||||
CAC40 Index | 3 | Euronext | 166,375 EUR | 01/15/21 | (140 | ) | ||||||||||
California Carbon | 150 | ICE | 2,632,545 USD | 03/26/21 | 86,955 | |||||||||||
Canadian 10-Year Bond | 39 | CDE | 5,788,887 CAD | 03/22/21 | 20,436 | |||||||||||
Canadian Dollar Currency | 17 | CME | 1,332,813 USD | 03/16/21 | (1,033 | ) | ||||||||||
CBOE Volatility Index | 22 | CFE | 575,913 USD | 03/17/21 | (8,863 | ) | ||||||||||
Cocoa | 13 | ICE | 335,476 USD | 03/16/21 | 2,914 | |||||||||||
Coffee ‘C’ | 23 | ICE | 1,099,735 USD | 05/18/21 | 22,809 | |||||||||||
Copper | 4 | COMEX | 332,347 USD | 03/29/21 | 19,553 | |||||||||||
Copper | 427 | COMEX | 36,591,844 USD | 05/26/21 | 1,026,856 | |||||||||||
Corn | 861 | CBOT | 19,400,223 USD | 05/14/21 | 1,403,690 | |||||||||||
Cotton No.2 | 401 | ICE | 15,598,113 USD | 05/06/21 | 181,237 | |||||||||||
Crude Palm Oil | 12 | MYX | 1,013,558 MYR | 03/15/21 | 16,518 | |||||||||||
DAX Index | 6 | Eurex | 1,992,399 EUR | 03/19/21 | 84,906 | |||||||||||
DJIA mini E-CBOT | 20 | CBOT | 3,000,117 USD | 03/19/21 | 49,583 | |||||||||||
E-mini Russell 2000 | 46 | CME | 4,398,325 USD | 03/19/21 | 143,715 | |||||||||||
Euro BOBL | 189 | Eurex | 25,597,123 EUR | 03/08/21 | (58,765 | ) | ||||||||||
Euro BTP | 38 | Eurex | 5,744,481 EUR | 03/08/21 | 38,969 | |||||||||||
Euro FX Currency | 9 | CME | 1,367,709 USD | 03/15/21 | 9,966 | |||||||||||
Euro OAT | 35 | Eurex | 5,859,739 EUR | 03/08/21 | 18,766 |
See Notes to Consolidated Schedule of Investments.
109
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
December 31, 2020 (Unaudited)
Description | Contracts | Exchange | Notional Amount | Expiration Date | Value/ Unrealized Appreciation (Depreciation) | |||||||||||
Euro Stoxx 50 | 154 | Eurex | 5,407,358 EUR | 03/19/21 | $ | 72,862 | ||||||||||
Euro-Bund | 146 | Eurex | 25,933,051 EUR | 03/08/21 | 2,918 | |||||||||||
Euro-Schatz | 715 | Eurex | 80,364,928 EUR | 03/08/21 | (107,875 | ) | ||||||||||
FTSE 100 Index | 14 | LIF | 909,262 GBP | 03/19/21 | (14,306 | ) | ||||||||||
FTSE Taiwan Index | 16 | SGX | 803,382 USD | 01/28/21 | 13,098 | |||||||||||
FTSE/MIB Index | 5 | IDEM | 549,886 EUR | 03/19/21 | 4,079 | |||||||||||
Gasoline RBOB | 25 | NYMEX | 1,439,352 USD | 01/29/21 | 41,253 | |||||||||||
Gasoline RBOB | 353 | NYMEX | 18,797,422 USD | 05/28/21 | 3,945,662 | |||||||||||
Globex Natural Gas | 102 | NYMEX | 2,600,975 USD | 03/26/21 | (12,215 | ) | ||||||||||
Globex Natural Gas | 37 | NYMEX | 1,014,576 USD | 04/27/21 | (69,226 | ) | ||||||||||
Globex Natural Gas | 46 | NYMEX | 1,256,714 USD | 05/25/21 | (55,654 | ) | ||||||||||
Globex Natural Gas | 37 | NYMEX | 1,014,576 USD | 06/25/21 | (21,126 | ) | ||||||||||
Globex Natural Gas | 37 | NYMEX | 1,014,576 USD | 07/27/21 | (10,026 | ) | ||||||||||
Globex Natural Gas | 37 | NYMEX | 1,014,576 USD | 08/26/21 | (11,136 | ) | ||||||||||
Globex Natural Gas | 70 | NYMEX | 1,918,249 USD | 09/27/21 | 451 | |||||||||||
Gold 100 OZ | 9 | COMEX | 1,636,712 USD | 02/24/21 | 68,878 | |||||||||||
Hang Seng China Enterprises Index | 7 | HKFE | 3,629,580 HKD | 01/28/21 | 14,933 | |||||||||||
Henry Hub | 635 | NYMEX | 4,190,955 USD | 01/26/21 | (160,292 | ) | ||||||||||
Henry Hub | 106 | ICE | 644,000 USD | 01/27/21 | 28,835 | |||||||||||
Henry Hub | 250 | NYMEX | 1,598,168 USD | 02/23/21 | (19,417 | ) | ||||||||||
Henry Hub | 62 | ICE | 387,297 USD | 02/24/21 | 4,233 | |||||||||||
Henry Hub | 30 | ICE | 208,889 USD | 03/29/21 | (18,539 | ) | ||||||||||
Henry Hub | 93 | ICE | 629,576 USD | 04/28/21 | (35,539 | ) | ||||||||||
Henry Hub | 30 | ICE | 208,889 USD | 05/26/21 | (13,064 | ) | ||||||||||
Henry Hub | 31 | ICE | 215,852 USD | 06/28/21 | (7,765 | ) | ||||||||||
Henry Hub | 31 | ICE | 215,852 USD | 07/28/21 | (5,440 | ) | ||||||||||
Henry Hub | 30 | ICE | 208,889 USD | 08/27/21 | (5,489 | ) | ||||||||||
Henry Hub | 31 | ICE | 215,852 USD | 09/28/21 | (3,425 | ) | ||||||||||
Henry Hub | 150 | ICE | 1,133,984 USD | 10/27/21 | (85,483 | ) | ||||||||||
Henry Hub | 124 | ICE | 934,237 USD | 11/26/21 | (31,207 | ) | ||||||||||
Henry Hub | 124 | ICE | 940,360 USD | 12/29/21 | (8,500 | ) | ||||||||||
Henry Hub | 112 | ICE | 849,357 USD | 01/27/22 | (26,437 | ) | ||||||||||
Henry Hub | 155 | ICE | 1,151,484 USD | 02/24/22 | (69,584 | ) | ||||||||||
Henry Hub | 62 | ICE | 386,974 USD | 12/28/22 | 45,321 | |||||||||||
Henry Hub | 56 | ICE | 349,525 USD | 01/27/23 | 34,075 | |||||||||||
Henry Hub | 62 | ICE | 386,974 USD | 02/24/23 | 15,871 | |||||||||||
Henry Hub | 30 | ICE | 187,358 USD | 03/29/23 | (14,933 | ) | ||||||||||
Henry Hub | 31 | ICE | 193,603 USD | 04/26/23 | (18,066 | ) | ||||||||||
Henry Hub | 30 | ICE | 187,358 USD | 05/26/23 | (233 | ) | ||||||||||
Henry Hub | 31 | ICE | 193,603 USD | 06/28/23 | (12,408 | ) | ||||||||||
Henry Hub | 31 | ICE | 193,603 USD | 07/27/23 | (11,788 | ) | ||||||||||
Henry Hub | 30 | ICE | 187,358 USD | 08/29/23 | (12,308 | ) | ||||||||||
Henry Hub | 31 | ICE | 193,603 USD | 09/27/23 | (10,316 | ) | ||||||||||
Henry Hub | 60 | ICE | 374,491 USD | 10/27/23 | (5,791 | ) | ||||||||||
Henry Hub | 62 | ICE | 386,974 USD | 11/28/23 | 27,496 | |||||||||||
Japanese Yen Currency | 11 | CME | 1,321,272 USD | 03/15/21 | 10,966 | |||||||||||
KOSPI 200 Index | 7 | KRX FM | 633,178,000 KRW | 03/11/21 | 44,034 | |||||||||||
Lean Hogs | 11 | CME | 313,804 USD | 04/15/21 | 4,097 |
See Notes to Consolidated Schedule of Investments.
110
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
December 31, 2020 (Unaudited)
Description | Contracts | Exchange | Notional Amount | Expiration Date | Value/ Unrealized Appreciation (Depreciation) | |||||||||||
Live Cattle | 361 | CME | 16,142,216 USD | 02/26/21 | $ | 467,394 | ||||||||||
Long Gilt | 18 | ICE | 2,413,273 GBP | 03/29/21 | 36,167 | |||||||||||
Low Sulphur Gasoil | 78 | ICE | 3,310,315 USD | 03/11/21 | 4,685 | |||||||||||
Low Sulphur Gasoil | 17 | ICE | 723,416 USD | 04/12/21 | 1,209 | |||||||||||
Low Sulphur Gasoil | 6 | ICE | 256,670 USD | 05/12/21 | (320 | ) | ||||||||||
Low Sulphur Gasoil 1st Line | 21 | ICE | 107,604 USD | 01/29/21 | (4,979 | ) | ||||||||||
Low Sulphur Gasoil 1st Line | 21 | ICE | 107,604 USD | 02/26/21 | (51 | ) | ||||||||||
Low Sulphur Gasoil 1st Line | 21 | ICE | 107,604 USD | 03/31/21 | 5,405 | |||||||||||
Low Sulphur Gasoil 1st Line | 21 | ICE | 107,604 USD | 04/30/21 | 11,226 | |||||||||||
Low Sulphur Gasoil 1st Line | 21 | ICE | 107,604 USD | 05/31/21 | 18,056 | |||||||||||
Low Sulphur Gasoil 1st Line | 21 | ICE | 107,604 USD | 06/30/21 | 24,929 | |||||||||||
Low Sulphur Gasoil 1st Line | 21 | ICE | 107,604 USD | 07/30/21 | 32,787 | |||||||||||
Low Sulphur Gasoil 1st Line | 21 | ICE | 107,604 USD | 08/31/21 | 39,746 | |||||||||||
Low Sulphur Gasoil 1st Line | 21 | ICE | 107,604 USD | 09/30/21 | 47,542 | |||||||||||
Low Sulphur Gasoil 1st Line | 21 | ICE | 107,604 USD | 10/29/21 | 52,262 | |||||||||||
Low Sulphur Gasoil 1st Line | 21 | ICE | 107,604 USD | 11/30/21 | 53,816 | |||||||||||
Low Sulphur Gasoil 1st Line | 21 | ICE | 107,604 USD | 12/31/21 | 58,548 | |||||||||||
MSCI Emerging Market | 33 | ICE | 2,064,892 USD | 03/19/21 | 60,638 | |||||||||||
MSCI Singapore Index | 24 | SGX | 779,362 SGD | 01/28/21 | (2,604 | ) | ||||||||||
NASDAQ 100 E-Mini | 18 | CME | 4,478,131 USD | 03/19/21 | 160,649 | |||||||||||
Natural Gas | 610 | NYMEX | 15,467,850 USD | 01/27/21 | 20,050 | |||||||||||
Natural Gas | 305 | NYMEX | 7,925,305 USD | 03/29/21 | (184,405 | ) | ||||||||||
Natural Gas | 39 | NYMEX | 1,141,319 USD | 07/28/21 | (82,469 | ) | ||||||||||
Natural Gas | 2 | NYMEX | 54,504 USD | 08/27/21 | (263 | ) | ||||||||||
Natural Gas | 151 | NYMEX | 4,160,737 USD | 02/24/22 | 55,183 | |||||||||||
Natural Gas | 147 | NYMEX | 3,603,430 USD | 03/29/22 | (32,800 | ) | ||||||||||
Natural Gas | 9 | NYMEX | 223,216 USD | 04/27/22 | (8,656 | ) | ||||||||||
Natural Gas | 6 | NYMEX | 145,151 USD | 06/28/22 | 1,669 | |||||||||||
Natural Gas | 100 | NYMEX | 2,561,677 USD | 07/27/22 | (106,677 | ) | ||||||||||
Natural Gas | 184 | NYMEX | 4,570,266 USD | 09/28/22 | (47,546 | ) | ||||||||||
Natural Gas | 27 | NYMEX | 168,369 USD | 12/28/22 | 19,888 | |||||||||||
Natural Gas | 24 | NYMEX | 149,661 USD | 01/27/23 | 14,739 | |||||||||||
Natural Gas | 27 | NYMEX | 168,369 USD | 02/24/23 | 7,063 | |||||||||||
Natural Gas | 26 | NYMEX | 162,133 USD | 03/29/23 | (12,698 | ) | ||||||||||
Natural Gas | 27 | NYMEX | 168,369 USD | 04/26/23 | (15,482 | ) | ||||||||||
Natural Gas | 26 | NYMEX | 162,133 USD | 05/26/23 | (12,698 | ) | ||||||||||
Natural Gas | 27 | NYMEX | 168,369 USD | 06/28/23 | (10,554 | ) | ||||||||||
Natural Gas | 27 | NYMEX | 168,369 USD | 07/27/23 | (10,014 | ) | ||||||||||
Natural Gas | 26 | NYMEX | 162,133 USD | 08/29/23 | (10,423 | ) | ||||||||||
Natural Gas | 27 | NYMEX | 168,369 USD | 09/28/23 | (8,732 | ) | ||||||||||
Natural Gas | 26 | NYMEX | 162,133 USD | 10/27/23 | (2,363 | ) | ||||||||||
Natural Gas | 27 | NYMEX | 168,369 USD | 11/28/23 | 12,126 | |||||||||||
New Zealand Dollar Currency | 6 | CME | 424,676 USD | 03/15/21 | 6,604 | |||||||||||
Nickel | 3 | LME | 279,821 USD | 03/15/21 | 19,123 | |||||||||||
NY Harbor ULSD | 86 | NYMEX | 4,533,875 USD | 01/29/21 | 826,333 | |||||||||||
NY Harbor ULSD | 125 | NYMEX | 7,902,443 USD | 02/26/21 | (104,092 | ) | ||||||||||
NY Harbor ULSD | 150 | NYMEX | 7,689,525 USD | 05/28/21 | 1,700,625 | |||||||||||
OMXS30 Index | 24 | Nasdaq OMX | 4,542,280 SEK | 01/15/21 | (4,191 | ) |
See Notes to Consolidated Schedule of Investments.
111
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
December 31, 2020 (Unaudited)
Description | Contracts | Exchange | Notional Amount | Expiration Date | Value/ Unrealized Appreciation (Depreciation) | |||||||||||
S&P 500 E-mini | 51 | CME | 9,364,476 USD | 03/19/21 | $ | 194,964 | ||||||||||
S&P/TSX 60 Index | 6 | CDE | 1,247,199 CAD | 03/18/21 | (9,835 | ) | ||||||||||
Silver | 3 | COMEX | 352,047 USD | 03/29/21 | 44,133 | |||||||||||
Soybean | 623 | CBOT | 38,920,011 USD | 05/14/21 | 1,785,252 | |||||||||||
Soybean Meal | 626 | CBOT | 25,687,008 USD | 05/14/21 | 817,832 | |||||||||||
Soybean Oil | 964 | CBOT | 22,740,328 USD | 05/14/21 | 1,274,840 | |||||||||||
SPI 200 | 5 | SFE | 820,310 AUD | 03/18/21 | (2,456 | ) | ||||||||||
Sugar 11 | 222 | ICE | 3,560,703 USD | 04/30/21 | 89,333 | |||||||||||
Swiss Franc Currency | 35 | CME | 4,948,227 USD | 03/15/21 | 5,148 | |||||||||||
Swiss Market Index | 15 | Eurex | 1,547,428 CHF | 03/19/21 | 55,542 | |||||||||||
Topix | 38 | OSE | 673,895,129 JPY | 03/11/21 | 114,424 | |||||||||||
U.S. Treasury 10-Year Note | 185 | CBOT | 25,502,890 USD | 03/22/21 | 41,563 | |||||||||||
U.S. Treasury 2-Year Note | 1,281 | CBOT | 282,906,940 USD | 03/31/21 | 164,036 | |||||||||||
U.S. Treasury 5-Year Note | 469 | CBOT | 59,070,826 USD | 03/31/21 | 100,119 | |||||||||||
U.S. Treasury Long Bond | 11 | CBOT | 1,914,531 USD | 03/22/21 | (9,469 | ) | ||||||||||
U.S. Treasury Ultra Bond | 1 | CBOT | 215,939 USD | 03/22/21 | (2,376 | ) | ||||||||||
Wheat | 956 | CBOT | 28,855,574 USD | 05/14/21 | 1,712,526 | |||||||||||
WTI Crude | 33 | NYMEX | 1,581,968 USD | 01/20/21 | 19,192 | |||||||||||
WTI Crude | 90 | NYMEX | 4,261,519 USD | 02/22/21 | 115,181 | |||||||||||
WTI Crude | 3 | NYMEX | 146,386 USD | 04/20/21 | (316 | ) | ||||||||||
WTI Crude | 465 | NYMEX | 19,694,327 USD | 11/19/21 | 2,476,873 | |||||||||||
WTI Crude | 694 | NYMEX | 30,261,578 USD | 11/21/22 | 1,828,982 | |||||||||||
XICE JNB | 8 | ICE | 43,600 USD | 07/31/21 | 9,744 | |||||||||||
XICE JNB | 8 | ICE | 43,600 USD | 08/31/21 | 13,080 | |||||||||||
XICE JNB | 8 | ICE | 43,600 USD | 09/30/21 | 16,712 | |||||||||||
XICE JNB | 8 | ICE | 43,600 USD | 10/31/21 | 19,240 | |||||||||||
XICE JNB | 8 | ICE | 43,600 USD | 11/30/21 | 20,872 | |||||||||||
XICE JNB | 8 | ICE | 43,600 USD | 12/31/21 | 23,648 | |||||||||||
Zinc | 3 | LME | 197,261 USD | 03/15/21 | 8,938 | |||||||||||
|
| |||||||||||||||
$ | 21,616,715 | |||||||||||||||
|
| |||||||||||||||
Short Futures | ||||||||||||||||
90 Day Eurodollar | 34 | CME | 8,483,636 USD | 03/15/21 | $ | (1,914 | ) | |||||||||
90 Day Eurodollar | 35 | CME | 8,733,883 USD | 06/14/21 | (1,679 | ) | ||||||||||
90 Day Eurodollar | 88 | CME | 21,954,710 USD | 09/13/21 | (7,890 | ) | ||||||||||
90 Day Eurodollar | 13 | CME | 3,242,766 USD | 12/13/21 | (409 | ) | ||||||||||
90 Day Eurodollar | 345 | CME | 86,072,052 USD | 03/14/22 | (22,698 | ) | ||||||||||
90 Day Eurodollar | 17 | CME | 4,240,830 USD | 06/13/22 | (1,094 | ) | ||||||||||
90 Day Eurodollar | 20 | CME | 4,988,748 USD | 09/19/22 | (1,002 | ) | ||||||||||
90 Day Eurodollar | 11 | CME | 2,742,696 USD | 12/19/22 | (291 | ) | ||||||||||
90 Day Eurodollar | 9 | CME | 2,243,789 USD | 03/13/23 | (474 | ) | ||||||||||
90 Day Eurodollar | 2 | CME | 497,345 USD | 12/18/23 | (230 | ) | ||||||||||
90 Day Eurodollar | 1 | CME | 248,522 USD | 03/18/24 | (128 | ) | ||||||||||
90 Day Eurodollar | 9 | CME | 2,237,851 USD | 06/17/24 | 1,464 | |||||||||||
90 Day Eurodollar | 5 | CME | 1,243,087 USD | 09/16/24 | 1,524 | |||||||||||
90 Day Eurodollar | 1 | CME | 248,010 USD | 12/16/24 | (115 | ) | ||||||||||
90 Day Eurodollar | 6 | CME | 1,489,497 USD | 03/17/25 | 1,722 | |||||||||||
90 Day Eurodollar | 4 | CME | 991,965 USD | 06/16/25 | 865 |
See Notes to Consolidated Schedule of Investments.
112
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
December 31, 2020 (Unaudited)
Description | Contracts | Exchange | Notional Amount | Expiration Date | Value/ Unrealized Appreciation (Depreciation) | |||||||||||
90 Day Eurodollar | 1 | CME | 247,497 USD | 09/15/25 | $ | (90 | ) | |||||||||
90 Day Eurodollar | 1 | CME | 247,297 USD | 12/15/25 | (103 | ) | ||||||||||
90 Day Sterling | 446 | ICE | 55,761,845 GBP | 09/15/21 | (21,920 | ) | ||||||||||
Brent Crude | 30 | ICE | 1,520,121 USD | 01/29/21 | (33,879 | ) | ||||||||||
Brent Crude | 5 | ICE | 240,826 USD | 03/31/21 | (18,074 | ) | ||||||||||
Brent Crude | 39 | ICE | 1,670,505 USD | 04/30/21 | (344,235 | ) | ||||||||||
Brent Crude | 38 | NYMEX | 1,625,553 USD | 04/30/21 | (337,527 | ) | ||||||||||
Brent Crude | 262 | NYMEX | 12,139,826 USD | 10/31/22 | (905,154 | ) | ||||||||||
Canadian Dollar Currency | 9 | CME | 699,213 USD | 03/16/21 | (5,847 | ) | ||||||||||
CBOE Volatility Index | 20 | CFE | 504,627 USD | 01/20/21 | 31,127 | |||||||||||
CBOE Volatility Index | 39 | CFE | 1,010,547 USD | 02/17/21 | 13,122 | |||||||||||
Chicago CG | 62 | ICE | 9,052 USD | 12/31/20 | (11,098 | ) | ||||||||||
Cocoa | 6 | ICE | 148,061 USD | 05/13/21 | (4,039 | ) | ||||||||||
Coffee ‘C’ | 21 | ICE | 990,669 USD | 03/19/21 | (19,300 | ) | ||||||||||
Copper | 407 | COMEX | 34,840,707 USD | 03/29/21 | (965,118 | ) | ||||||||||
Corn | 800 | CBOT | 17,984,394 USD | 03/12/21 | (1,375,606 | ) | ||||||||||
Cotton No.2 | 387 | ICE | 14,915,841 USD | 03/09/21 | (200,379 | ) | ||||||||||
Euro FX Currency | 46 | CME | 7,001,057 USD | 03/15/21 | (40,393 | ) | ||||||||||
Gasoline RBOB | 196 | NYMEX | 10,963,377 USD | 02/26/21 | (688,195 | ) | ||||||||||
GDH2M IFED | 93 | ICE | 564,931 USD | 01/29/21 | (44 | ) | ||||||||||
Globex Natural Gas | 360 | NYMEX | 9,088,786 USD | 01/26/21 | (51,614 | ) | ||||||||||
Globex Natural Gas | 603 | NYMEX | 15,755,863 USD | 02/23/21 | 524,083 | |||||||||||
Globex Natural Gas | 8 | NYMEX | 200,398 USD | 12/27/22 | (22,722 | ) | ||||||||||
Globex Natural Gas | 8 | NYMEX | 200,398 USD | 01/26/23 | (18,802 | ) | ||||||||||
Globex Natural Gas | 8 | NYMEX | 200,398 USD | 02/23/23 | (7,522 | ) | ||||||||||
Globex Natural Gas | 8 | NYMEX | 200,398 USD | 03/28/23 | 16,478 | |||||||||||
Globex Natural Gas | 8 | NYMEX | 200,398 USD | 04/25/23 | 19,198 | |||||||||||
Globex Natural Gas | 8 | NYMEX | 200,398 USD | 05/25/23 | 16,478 | |||||||||||
Globex Natural Gas | 8 | NYMEX | 200,398 USD | 06/27/23 | 13,358 | |||||||||||
Globex Natural Gas | 8 | NYMEX | 200,398 USD | 07/26/23 | 12,718 | |||||||||||
Globex Natural Gas | 8 | NYMEX | 200,398 USD | 08/28/23 | 13,678 | |||||||||||
Globex Natural Gas | 8 | NYMEX | 200,398 USD | 09/26/23 | 11,198 | |||||||||||
Globex Natural Gas | 8 | NYMEX | 200,398 USD | 10/26/23 | 3,758 | |||||||||||
Globex Natural Gas | 8 | NYMEX | 200,398 USD | 11/27/23 | (13,522 | ) | ||||||||||
Henry Hub | 195 | NYMEX | 1,337,308 USD | 03/26/21 | 100,033 | |||||||||||
Henry Hub | 227 | NYMEX | 1,557,293 USD | 04/27/21 | 107,331 | |||||||||||
Henry Hub | 227 | NYMEX | 1,557,293 USD | 05/25/21 | 75,551 | |||||||||||
Henry Hub | 227 | NYMEX | 1,557,293 USD | 06/25/21 | 33,556 | |||||||||||
Henry Hub | 227 | NYMEX | 1,557,293 USD | 07/27/21 | 16,531 | |||||||||||
Henry Hub | 227 | NYMEX | 1,557,293 USD | 08/26/21 | 18,233 | |||||||||||
Henry Hub | 407 | NYMEX | 2,754,096 USD | 09/27/21 | (34,871 | ) | ||||||||||
Henry Hub | 470 | NYMEX | 3,936,123 USD | 12/28/21 | 404,073 | |||||||||||
Henry Hub | 177 | NYMEX | 1,120,942 USD | 03/28/22 | 46,109 | |||||||||||
Henry Hub | 177 | NYMEX | 1,120,942 USD | 04/26/22 | 66,022 | |||||||||||
Henry Hub | 177 | NYMEX | 1,120,942 USD | 05/25/22 | 53,632 | |||||||||||
Henry Hub | 177 | NYMEX | 1,120,942 USD | 06/27/22 | 38,144 | |||||||||||
Henry Hub | 177 | NYMEX | 1,120,942 USD | 07/26/22 | 34,604 |
See Notes to Consolidated Schedule of Investments.
113
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
December 31, 2020 (Unaudited)
Description | Contracts | Exchange | Notional Amount | Expiration Date | Value/ Unrealized Appreciation (Depreciation) | |||||||||||||
Henry Hub | 177 | NYMEX | 1,120,942 USD | 08/26/22 | $ | 43,454 | ||||||||||||
Henry Hub | 177 | NYMEX | 1,120,942 USD | 09/27/22 | 33,277 | |||||||||||||
Henry Hub | 86 | NYMEX | 537,769 USD | 12/27/22 | (61,866 | ) | ||||||||||||
Henry Hub | 86 | NYMEX | 537,769 USD | 01/26/23 | (51,331 | ) | ||||||||||||
Henry Hub | 86 | NYMEX | 537,769 USD | 02/23/23 | (21,016 | ) | ||||||||||||
Henry Hub | 86 | NYMEX | 537,769 USD | 03/28/23 | 43,484 | |||||||||||||
Henry Hub | 86 | NYMEX | 537,769 USD | 04/25/23 | 50,794 | |||||||||||||
Henry Hub | 86 | NYMEX | 537,769 USD | 05/25/23 | 43,484 | |||||||||||||
Henry Hub | 86 | NYMEX | 537,769 USD | 06/27/23 | 35,099 | |||||||||||||
Henry Hub | 86 | NYMEX | 537,769 USD | 07/26/23 | 33,379 | |||||||||||||
Henry Hub | 86 | NYMEX | 537,769 USD | 08/28/23 | 35,959 | |||||||||||||
Henry Hub | 86 | NYMEX | 537,769 USD | 09/26/23 | 29,294 | |||||||||||||
Henry Hub | 86 | NYMEX | 537,769 USD | 10/26/23 | 9,299 | |||||||||||||
Henry Hub | 86 | NYMEX | 537,769 USD | 11/27/23 | (37,141 | ) | ||||||||||||
Japanese Yen Currency | 7 | CME | 843,273 USD | 03/15/21 | (4,514 | ) | ||||||||||||
Lean Hogs | 9 | CME | 244,441 USD | 02/12/21 | (8,549 | ) | ||||||||||||
Live Cattle | 402 | CME | 18,597,942 USD | 04/30/21 | (577,458 | ) | ||||||||||||
Low Sulphur Gasoil | 70 | ICE | 2,950,725 USD | 02/11/21 | (10,275 | ) | ||||||||||||
Natural Gas | 865 | NYMEX | 22,785,490 USD | 02/24/21 | 935,590 | |||||||||||||
Natural Gas | 21 | NYMEX | 587,393 USD | 04/28/21 | 50,843 | |||||||||||||
Natural Gas | 336 | NYMEX | 9,503,888 USD | 05/26/21 | 730,928 | |||||||||||||
Natural Gas | 7 | NYMEX | 198,998 USD | 06/28/21 | 11,048 | |||||||||||||
Natural Gas | 36 | NYMEX | 1,040,696 USD | 09/28/21 | 53,936 | |||||||||||||
Natural Gas | 16 | NYMEX | 480,752 USD | 10/27/21 | 33,392 | |||||||||||||
Natural Gas | 8 | NYMEX | 260,866 USD | 11/26/21 | 27,826 | |||||||||||||
Natural Gas | 236 | NYMEX | 6,867,872 USD | 12/29/21 | (226,288 | ) | ||||||||||||
Natural Gas | 26 | NYMEX | 810,244 USD | 01/27/22 | 46,104 | |||||||||||||
Natural Gas | 370 | NYMEX | 9,120,695 USD | 05/26/22 | 196,295 | |||||||||||||
NY Harbor ULSD | 93 | NYMEX | 5,897,565 USD | 01/29/21 | 101,061 | |||||||||||||
S&P 500 E-mini | 422 | CME | 77,104,903 USD | 03/19/21 | (1,994,777 | ) | ||||||||||||
Soybean | 612 | CBOT | 38,252,539 USD | 03/12/21 | (1,864,061 | ) | ||||||||||||
Soybean Meal | 570 | CBOT | 23,540,348 USD | 03/12/21 | (935,452 | ) | ||||||||||||
Soybean Oil | 892 | CBOT | 21,365,151 USD | 03/12/21 | (1,327,329 | ) | ||||||||||||
Sugar 11 | 168 | ICE | 2,843,024 USD | 02/26/21 | (71,574 | ) | ||||||||||||
U.S. Treasury 10-Year Note | 109 | CBOT | 15,040,356 USD | 03/22/21 | (10,159 | ) | ||||||||||||
US Natural Gas Henry Hub | 273 | ICE | 1,658,207 USD | 12/31/20 | (74,661 | ) | ||||||||||||
Wheat | 871 | CBOT | 26,195,500 USD | 03/12/21 | (1,698,275 | ) | ||||||||||||
WTI Crude | 622 | NYMEX | 28,632,409 USD | 01/20/21 | (1,547,031 | ) | ||||||||||||
WTI Crude | 9 | NYMEX | 385,443 USD | 02/22/21 | (52,227 | ) | ||||||||||||
WTI Crude | 13 | NYMEX | 618,847 USD | 03/22/21 | (14,123 | ) | ||||||||||||
WTI Crude | 429 | NYMEX | 19,359,281 USD | 05/20/21 | (1,502,989 | ) | ||||||||||||
WTI Crude | 300 | NYMEX | 13,502,199 USD | 11/20/23 | (120,801 | ) | ||||||||||||
|
| |||||||||||||||||
$ | (13,150,739 | ) | ||||||||||||||||
|
| |||||||||||||||||
Total Futures Contracts Outstanding | $ | 8,465,976 | ||||||||||||||||
|
|
See Notes to Consolidated Schedule of Investments.
114
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
December 31, 2020 (Unaudited)
Forward Foreign Currency Exchange Contracts Outstanding at December 31, 2020
Currency | Amount in | Currency | Amount in | Counterparty | Settlement | Unrealized | ||||||||||||||
AUD | 2,200,000 | USD | 1,631,762 | State Street Bank and Trust Company | 03/15/21 | $ | 65,296 | |||||||||||||
BRL | 3,140,000 | USD | 612,122 | State Street Bank and Trust Company | 03/15/21 | (8,474 | ) | |||||||||||||
CHF | 7,400,000 | USD | 8,350,354 | State Street Bank and Trust Company | 03/15/21 | 26,331 | ||||||||||||||
CNH | 142,100,000 | USD | 20,300,000 | Citibank N.A. | 02/03/21 | 1,510,452 | ||||||||||||||
CNH | 20,530,409 | USD | 3,124,206 | JPMorgan Chase Bank, N.A. | 03/17/21 | 18,462 | ||||||||||||||
EUR | 2,410,000 | USD | 2,837,534 | Citibank N.A. | 01/26/21 | 108,173 | ||||||||||||||
EUR | 22,974,708 | USD | 27,885,092 | State Street Bank and Trust Company | 03/15/21 | 225,223 | ||||||||||||||
GBP | 160,000 | USD | 210,355 | Citibank N.A. | 03/01/21 | 8,524 | ||||||||||||||
GBP | 9,240,000 | USD | 12,349,445 | State Street Bank and Trust Company | 03/15/21 | 291,333 | ||||||||||||||
HKD | 22,250,000 | USD | 2,870,523 | State Street Bank and Trust Company | 03/15/21 | 268 | ||||||||||||||
IDR | 3,800,000,000 | USD | 266,573 | State Street Bank and Trust Company | 03/15/21 | 2,247 | ||||||||||||||
INR | 1,507,612,500 | USD | 20,250,000 | JPMorgan Chase Bank, N.A. | 01/04/21 | 383,147 | ||||||||||||||
INR | 1,686,598,200 | USD | 22,679,085 | JPMorgan Chase Bank, N.A. | 01/06/21 | 400,723 | ||||||||||||||
INR | 2,853,859,200 | USD | 37,920,000 | HSBC Bank plc | 06/09/21 | 399,232 | ||||||||||||||
INR | 1,476,993,600 | USD | 19,620,000 | JPMorgan Chase Bank, N.A. | 06/10/21 | 209,106 | ||||||||||||||
MXN | 1,006,832,796 | USD | 50,663,352 | Goldman Sachs International | 01/08/21 | (79,960 | ) | |||||||||||||
MXN | 11,600,000 | USD | 580,859 | State Street Bank and Trust Company | 03/16/21 | (2,465 | ) | |||||||||||||
NOK | 11,446,666 | USD | 1,308,106 | State Street Bank and Trust Company | 03/15/21 | 26,805 | ||||||||||||||
NOK | 1,750,000 | USD | 200,407 | State Street Bank and Trust Company | 03/16/21 | 3,677 | ||||||||||||||
RUB | 229,429,235 | USD | 3,114,093 | Morgan Stanley Capital Services, Inc. | 01/15/21 | (12,718 | ) | |||||||||||||
RUB | 39,000,000 | USD | 525,819 | State Street Bank and Trust Company | 03/15/21 | (1,815 | ) | |||||||||||||
SEK | 15,728 | USD | 1,860 | State Street Bank and Trust Company | 03/15/21 | 53 | ||||||||||||||
SGD | 940,001 | USD | 702,615 | State Street Bank and Trust Company | 03/15/21 | 8,714 | ||||||||||||||
TRY | 52,354,538 | USD | 6,558,924 | Barclays Bank plc | 01/15/21 | 464,554 | ||||||||||||||
TRY | 1,068,000 | USD | 132,071 | State Street Bank and Trust Company | 03/15/21 | 7,919 | ||||||||||||||
ZAR | 107,771,815 | USD | 7,114,825 | Deutsche Bank AG | 01/15/21 | 207,781 | ||||||||||||||
USD | 1,557,591 | AUD | 2,100,000 | State Street Bank and Trust Company | 03/15/21 | (62,328 | ) | |||||||||||||
USD | 4,440,357 | CHF | 3,935,000 | State Street Bank and Trust Company | 03/15/21 | (14,002 | ) | |||||||||||||
USD | 19,867,179 | CNH | 142,100,000 | Citibank N.A. | 02/03/21 | (1,943,272 | ) | |||||||||||||
USD | 3,905,534 | EUR | 3,196,000 | Citibank N.A. | 06/23/21 | (13,545 | ) | |||||||||||||
USD | 38,539,214 | EUR | 31,752,708 | State Street Bank and Trust Company | 03/15/21 | (311,275 | ) | |||||||||||||
USD | 2,170,243 | EUR | 1,830,000 | State Street Bank and Trust Company | 01/22/21 | (66,337 | ) | |||||||||||||
USD | 2,859,706 | EUR | 2,410,000 | Citibank N.A. | 01/26/21 | (86,001 | ) | |||||||||||||
USD | 211,204 | GBP | 160,000 | Citibank N.A. | 03/01/21 | (7,675 | ) | |||||||||||||
USD | 22,281,302 | GBP | 16,645,000 | State Street Bank and Trust Company | 03/16/21 | (490,834 | ) | |||||||||||||
USD | 13,063,085 | GBP | 9,773,954 | State Street Bank and Trust Company | 03/15/21 | (308,168 | ) | |||||||||||||
USD | 11,297,095 | GBP | 8,533,000 | Citibank N.A. | 05/20/21 | (380,711 | ) |
See Notes to Consolidated Schedule of Investments.
115
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
December 31, 2020 (Unaudited)
Currency | Amount in | Currency | Amount in | Counterparty | Settlement | Unrealized | ||||||||||||||
USD | 199,840 | HKD | 1,549,000 | State Street Bank and Trust Company | 03/15/21 | $ | (19 | ) | ||||||||||||
USD | 11,787,999 | IDR | 168,144,014,754 | JPMorgan Chase Bank, N.A. | 03/17/21 | (235,420 | ) | |||||||||||||
USD | 22,680,000 | INR | 1,686,598,200 | JPMorgan Chase Bank, N.A. | 01/06/21 | (399,808 | ) | |||||||||||||
USD | 20,534,085 | INR | 1,507,612,500 | JPMorgan Chase Bank, N.A. | 01/04/21 | (99,063 | ) | |||||||||||||
USD | 7,040,000 | INR | 528,211,200 | JPMorgan Chase Bank, N.A. | 06/10/21 | (51,402 | ) | |||||||||||||
USD | 802,669 | KRW | 870,900,000 | State Street Bank and Trust Company | 03/15/21 | 243 | ||||||||||||||
USD | 7,040,000 | MXN | 139,846,080 | Goldman Sachs International | 01/08/21 | 14,117 | ||||||||||||||
USD | 1,064,831 | NOK | 9,230,000 | State Street Bank and Trust Company | 03/15/21 | (11,572 | ) | |||||||||||||
USD | 200,579 | NOK | 1,750,000 | State Street Bank and Trust Company | 03/16/21 | (3,505 | ) | |||||||||||||
USD | 6,904,313 | RUB | 510,342,653 | JPMorgan Chase Bank, N.A. | 03/17/21 | 58,256 | ||||||||||||||
USD | 4,655,137 | RUB | 343,935,489 | Bank of America, N.A. | 03/17/21 | 41,370 | ||||||||||||||
USD | 18,704,423 | RUB | 1,381,826,680 | Morgan Stanley Capital Services, Inc. | 03/17/21 | 167,731 | ||||||||||||||
USD | 474,266 | SGD | 634,501 | State Street Bank and Trust Company | 03/15/21 | (5,882 | ) | |||||||||||||
USD | 3,073,428 | ZAR | 47,026,528 | JPMorgan Chase Bank, N.A. | 03/17/21 | (98,832 | ) | |||||||||||||
USD | 2,988,411 | ZAR | 45,000,000 | State Street Bank and Trust Company | 03/15/21 | (47,845 | ) | |||||||||||||
|
| |||||||||||||||||||
Total Forward Foreign Currency Exchange Contracts Outstanding |
| $ | (93,191 | ) | ||||||||||||||||
|
|
Centrally Cleared Credit Default Swaps on Single-Name Issuer (Buy Protection) — Outstanding at December 31, 2020
Reference | Financing | Payment | Maturity | Counterparty | Notional | Market | Upfront | Unrealized | ||||||||||||||||||
Penerbangan Malaysia Bhd | (1.00)% | 3M | 12/21/2024 | Credit Suisse Securities (USA) LLC | 8,627,000 USD | $ | (247,767 | ) | $ | (228,570 | ) | $ | (19,197 | ) | ||||||||||||
Republic Of South Africa | (1.00)% | 3M | 12/21/2024 | Credit Suisse Securities (USA) LLC | 16,612,000 USD | 451,413 | 11,997 | 439,416 | ||||||||||||||||||
Republic Of Turkey | (1.00)% | 3M | 12/21/2022 | Credit Suisse Securities (USA) LLC | 2,816,000 USD | 70,851 | 87,706 | (16,855 | ) | |||||||||||||||||
Republic Of Turkey | (1.00)% | 3M | 6/21/2025 | Credit Suisse Securities (USA) LLC | 291,000 USD | 23,186 | 66,010 | (42,824 | ) | |||||||||||||||||
United Mexican States | (1.00)% | 3M | 6/21/2023 | Credit Suisse Securities (USA) LLC | 8,000,000 USD | (139,224 | ) | 907 | (140,131 | ) | ||||||||||||||||
United Mexican States | (1.00)% | 3M | 12/21/2023 | Credit Suisse Securities (USA) LLC | 14,521,000 USD | (270,434 | ) | 22,185 | (292,619 | ) | ||||||||||||||||
|
| |||||||||||||||||||||||||
Total Centrally Cleared Credit Default Swaps on Single-Name Issuer (Buy Protection) |
| $ | (111,975 | ) | $ | (39,765 | ) | $ | (72,210 | ) | ||||||||||||||||
|
|
See Notes to Consolidated Schedule of Investments.
116
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
December 31, 2020 (Unaudited)
Centrally Cleared Credit Default Swaps on Index (Buy Protection) — Outstanding at December 31, 2020
Reference | Financing | Payment | Maturity | Counterparty | Notional | Market | Upfront | Unrealized | ||||||||||||||||||
CDX.EM.31 | (1.00)% | 3M | 6/20/2024 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 5,640,000 USD | $ | (34,708 | ) | $ | 592,200 | $ | (626,908 | ) | |||||||||||||
CDX.NA.HY.35 | (5.00)% | 3M | 12/20/2025 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 4,595,600 USD | (428,582 | ) | (321,692 | ) | (106,890 | ) | |||||||||||||||
iTraxx Europe Crossover series 32 | (5.00)% | 3M | 12/20/2024 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 32,640,340 EUR | (4,348,181 | ) | 2,474,045 | (6,822,226 | ) | ||||||||||||||||
|
| |||||||||||||||||||||||||
Total Centrally Cleared Credit Default Swaps on Index (Buy Protection) |
| $ | (4,811,471 | ) | $ | 2,744,553 | $ | (7,556,024 | ) | |||||||||||||||||
|
|
Centrally Cleared Credit Default Swaps on Index (Sell Protection) — Outstanding at December 31, 2020
Reference | Financing | Payment | Maturity | Counterparty | Rating(1) | Notional | Market | Upfront | Unrealized | |||||||||||||||||||||||
CDX.EM.34 | 1.00% | 3M | 12/20/202 5 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | NR | 16,500,000 USD | $ | (396,013 | ) | $ | (1,056,000 | ) | $ | 659,987 | ||||||||||||||||||
CDX.NA.HY.34 | 5.00% | 3M | 6/20/2025 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | NR | 368 USD | 34 | 9 | 25 | |||||||||||||||||||||||
CDX.NA.HY.38 | 0.00% | 3M | 6/20/2022 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | NR | 28,710,000 USD | 1,412,492 | 2,099,428 | (686,936 | ) | ||||||||||||||||||||||
iTraxx Europe Crossover Series 29 | 5.00% | 3M | 6/20/2023 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | NR | 38,681,622 EUR | $ | 3,351,184 | $ | 4,094,394 | $ | (743,210 | ) | |||||||||||||||||||
iTraxx Europe Crossover Series 31 | 5.00% | 3M | 6/20/2024 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | NR | 8,026,724 EUR | 1,001,453 | 990,894 | 10,559 | |||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||||
Total Centrally Cleared Credit Default Swaps on Index (Sell Protection) |
| $ | 5,369,150 | $ | 6,128,725 | $ | (759,575 | ) | ||||||||||||||||||||||||
|
|
OTC Credit Default Swaps on Single-Name Issues (Buy Protection) — Outstanding at December 31, 2020
See Notes to Consolidated Schedule of Investments.
117
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
December 31, 2020 (Unaudited)
Reference | Financing | Payment | Maturity | Counterparty | Notional | Market | Upfront | Unrealized | ||||||||||||||||||||
Republic Of South Africa | (1.00)% | 3M | 6/21/2022 | Morgan Stanley Capital Services LLC | 300,000 USD | $ | (1,213 | ) | $ | 17,362 | $ | (18,575 | ) | |||||||||||||||
Republic Of South Africa | (1.00)% | 3M | 6/21/2022 | Morgan Stanley Capital Services LLC | 9,000,000 USD | (36,377 | ) | 520,876 | (557,253 | ) | ||||||||||||||||||
|
| |||||||||||||||||||||||||||
Total OTC Credit Default Swaps on Single-Name Issuer (Buy Protection) |
| $ | (37,590) | $ | 538,238 | $ | (575,828) | |||||||||||||||||||||
|
|
OTC Credit Default Swaps on Index (Buy Protection) — Outstanding at December 31, 2020
Reference | Financing | Payment | Maturity | Counterparty | Notional | Market | Upfront | Unrealized | ||||||||||||||||||
CMBX.NA.BBB-.10 | (3.00)% | 1M | 11/18/2059 | J.P. Morgan Securities LLC | 7,363,000 USD | $ | 909,761 | $ | 71,579 | $ | 838,182 | |||||||||||||||
CMBX.NA.BBB-.10 | (3.00)% | 1M | 11/18/2059 | Morgan Stanley Capital Services LLC | 1,102,000 USD | 136,161 | 374,805 | (238,644 | ) | |||||||||||||||||
CMBX.NA.BBB-.10 | (3.00)% | 1M | 11/18/2059 | Morgan Stanley Capital Services LLC | 5,645,000 USD | 697,487 | 453,500 | 243,987 | ||||||||||||||||||
CMBX.NA.BBB-.8 | (3.00)% | 1M | 10/18/2057 | Morgan Stanley Capital Services LLC | 69,000 USD | 10,941 | 14,170 | (3,229 | ) | |||||||||||||||||
CMBX.NA.BBB-.9 | (3.00)% | 1M | 9/18/2058 | Credit Suisse International | 10,000 USD | 1,189 | 593 | 596 | ||||||||||||||||||
CMBX.NA.BBB-.9 | (3.00)% | 1M | 9/18/2058 | Goldman Sachs International | 177,000 USD | 21,052 | 5,121 | 15,931 | ||||||||||||||||||
|
| |||||||||||||||||||||||||
Total OTC Credit Default Swaps on Index (Buy Protection) |
| $ | 1,776,591 | $ | 919,768 | $ | 856,823 | |||||||||||||||||||
|
|
OTC Credit Default Swaps on Index (Sell Protection) — Outstanding at December 31, 2020
Reference | Financing | Payment | Maturity | Counterparty | Rating(1) | Notional | Market | Upfront | Unrealized | |||||||||||||||||||
CMBX.NA.BBB-.10 | 3.00% | 1M | 11/18/2059 | Goldman Sachs Bank USA | BBB- | 1,096,000 USD | $ | (135,420 | ) | $ | (30,005 | ) | $ | (105,415 | ) | |||||||||||||
CMBX.NA.BBB-.10 | 3.00% | 1M | 11/18/2059 | Goldman Sachs International | BBB- | 18,066,000 USD | (2,232,206 | ) | (682,644 | ) | (1,549,562 | ) | ||||||||||||||||
CMBX.NA.BBB-.11 | 3.00% | 1M | 11/19/2054 | J.P. Morgan Securities LLC | BBB- | 7,500,000 USD | (571,396 | ) | (620,025 | ) | 48,629 | |||||||||||||||||
CMBX.NA.BBB-.8 | 3.00% | 1M | 10/18/2057 | Credit Suisse International | BBB- | 286,000 USD | (45,350 | ) | (20,492 | ) | (24,858 | ) | ||||||||||||||||
CMBX.NA.BBB-.8 | 3.00% | 1M | 10/18/2057 | Goldman Sachs International | BBB- | 1,294,000 USD | (205,186 | ) | (72,380 | ) | (132,806 | ) | ||||||||||||||||
CMBX.NA.BBB-.8 | 3.00% | 1M | 10/18/2057 | Goldman Sachs International | BBB- | 232,000 USD | $ | (36,788 | ) | $ | (5,855 | ) | $ | (30,933 | ) |
See Notes to Consolidated Schedule of Investments.
118
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
December 31, 2020 (Unaudited)
Reference | Financing | Payment | Maturity | Counterparty | Rating(1) | Notional | Market | Upfront | Unrealized | |||||||||||||||||||
CMBX.NA.BBB-.8 | 3.00% | 1M | 10/18/2057 | J.P. Morgan Securities LLC | BBB- | 2,160,000 USD | $ | (342,505 | ) | $ | (114,150 | ) | $ | (228,355 | ) | |||||||||||||
CMBX.NA.BBB-.9 | 3.00% | 1M | 9/18/2058 | J.P. Morgan Securities LLC | BBB- | 187,000 USD | (22,241 | ) | (962 | ) | (21,279 | ) | ||||||||||||||||
|
| |||||||||||||||||||||||||||
Total OTC Credit Default Swaps on Index (Sell Protection) |
| $ | (3,591,092 | ) | $ | (1,546,513 | ) | $ | (2,044,579 | ) | ||||||||||||||||||
|
|
(1) | Using the higher of the S&P’s or Moody’s ratings. NR represents a security that is not rated. |
(2) | The maximum potential amount the Fund may pay should a negative credit event take place as defined under the terms of the agreement. |
OTC Total Return Swaps Outstanding at December 31, 2020
Reference | Termination | Payment | Financing | Counterparty | Notional | Unrealized | ||||||||||||||
Buys | ||||||||||||||||||||
Acacia Communications, Inc. | 03/04/22 | 1M | 0.44% | Morgan Stanley Capital Services LLC | 7,590,308 USD | $ | 156,074 | |||||||||||||
Acacia Communications, Inc. | 07/13/21 | 1M | 0.65% | JPMorgan Chase Bank, N.A. | 10,403,296 USD | 213,916 | ||||||||||||||
Aerojet Rocketdyne Holdings, Inc. | 12/23/22 | 1M | 0.65% | JPMorgan Chase Bank, N.A. | 20,975,601 USD | 24,399 | ||||||||||||||
Alexion Pharmaceuticals, Inc. | 12/16/22 | 1M | 0.65% | JPMorgan Chase Bank, N.A. | 23,979,451 USD | 218,375 | ||||||||||||||
Bankia S.A | 09/21/22 | 1M | 0.06% | JPMorgan Chase Bank, N.A. | 914,386 EUR | 4,645 | ||||||||||||||
BMC Stock Holdings, Inc. | 08/31/22 | 1M | 0.40% | Goldman Sachs International | 15,795,058 USD | 85,794 | ||||||||||||||
Cineplex, Inc. | 03/07/22 | 1M | 1.01% | JPMorgan Chase Bank, N.A. | 502,117 CAD | 26,328 | ||||||||||||||
Cineplex, Inc. | 12/20/21 | 1M | 0.71% | Goldman Sachs International | 1,554,285 CAD | 81,498 | ||||||||||||||
Cit Group, Inc. | 10/19/22 | 1M | 0.65% | JPMorgan Chase Bank, N.A. | 1,293,325 USD | (20,563 | ) | |||||||||||||
Coca-Cola Amatil Ltd. | 11/09/22 | 1M | 0.36% | JPMorgan Chase Bank, N.A. | 30,483,457 AUD | 109,563 | ||||||||||||||
Concho Resources, Inc. | 10/26/22 | 1M | 0.65% | JPMorgan Chase Bank, N.A. | 3,961,148 USD | (14,879 | ) | |||||||||||||
Crown Castle | ||||||||||||||||||||
International Corp. | 08/05/22 | 1M | 0.53% | Goldman Sachs International | 11,938,494 USD | 461,929 | ||||||||||||||
CSI 500 NTR swap | 06/23/21 | 1M | 10.66% | Goldman Sachs International | 147,221,540 USD | 1,433,774 | ||||||||||||||
Egypt Government Bond | 01/14/25 | 3M | 0.00% | Goldman Sachs International | 10,248,119 USD | 584,948 | ||||||||||||||
Egypt Government Bond | 01/14/21 | 3M | 0.00% | Citigroup Global Markets Inc. | 1,599,976 USD | 42,498 | ||||||||||||||
Fitbit, Inc. | 11/03/21 | 1M | 0.40% | Goldman Sachs International | 9,437,181 USD | (573,530 | ) | |||||||||||||
Fitbit, Inc. | 03/04/22 | 1M | 0.44% | Morgan Stanley Capital Services LLC | 2,430,540 USD | (147,712 | ) | |||||||||||||
Georgian Government Bonds | 09/22/21 | 1M | 0.00% | Credit Suisse Securities (USA) LLC | 25,449,512 USD | 468,624 | ||||||||||||||
Grubhub, Inc. | 06/15/22 | 1M | 0.40% | Goldman Sachs International | 12,663,457 USD | 300,223 | ||||||||||||||
GSENREU0 SWAP | 10/05/22 | 1M | 0.40% | Goldman Sachs International | 163,575,368 USD | 3,204,829 | ||||||||||||||
GSISMES2 SWAP | 11/07/22 | 1M | 0.00% | Goldman Sachs International | 10,859,224 USD | (4,072 | ) | |||||||||||||
GSISMNQ1 SWAP | 11/07/22 | 1M | 0.00% | Goldman Sachs International | 17,389,460 USD | 9,719 | ||||||||||||||
Healthcor 40 Act | 08/16/21 | 1M | 0.00% | Morgan Stanley Capital Services LLC | 1,700,000 USD | 743,274 | ||||||||||||||
HMS Holdings Corp. | 12/23/22 | 1M | 0.40% | Goldman Sachs International | 13,448,842 USD | 80,046 | ||||||||||||||
Indonesian Government Bond | 05/18/21 | 3M | 0.00% | Bank of America, N.A. | 7,344,615 USD | 1,147,034 | ||||||||||||||
Indonesian Government Bond | 05/21/21 | 3M | 0.00% | Bank of America, N.A. | 2,943,894 USD | 664,969 | ||||||||||||||
Inphi Corp. | 11/02/22 | 1M | 0.65% | JPMorgan Chase Bank, N.A. | 28,360,146 USD | 330,767 | ||||||||||||||
Mastercard, Inc. | 03/21/22 | 1M | 0.40% | Goldman Sachs International | 7,099,678 USD | 479,229 | ||||||||||||||
Maxim Integrated Products | 07/15/22 | 1M | 0.40% | Goldman Sachs International | 28,953,857 USD | 1,172,427 | ||||||||||||||
MS Intraday Trend SWAP | 10/25/22 | 1M | 0.15% | Morgan Stanley Capital Services LLC | 282,678,053 USD | (40,536 | ) | |||||||||||||
MTS Systems Corp. | 12/13/22 | 1M | 0.40% | Goldman Sachs International | 3,353,307 USD | (11,492 | ) |
See Notes to Consolidated Schedule of Investments.
119
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
December 31, 2020 (Unaudited)
Reference | Termination | Payment | Financing | Counterparty | Notional | Unrealized | ||||||||||||||
Navistar International Corp. | 11/14/22 | 1M | 0.40% | Goldman Sachs International | 21,451,430 USD | $ | (29,239 | ) | ||||||||||||
Norbord, Inc. | 11/23/22 | 1M | 1.01% | JPMorgan Chase Bank, N.A. | 15,998,160 CAD | (191,418 | ) | |||||||||||||
NVI BASMF | 08/16/21 | 1M | 0.00% | Morgan Stanley Capital Services LLC | 1,780,004 USD | 2,602,606 | ||||||||||||||
Parsley Energy, Inc., Class A | 10/25/22 | 1M | 0.65% | JPMorgan Chase Bank, N.A. | 9,669,759 USD | 323,733 | ||||||||||||||
PNM Resources, Inc. | 10/25/22 | 1M | 0.65% | JPMorgan Chase Bank, N.A. | 26,032,175 USD | (286,476 | ) | |||||||||||||
Repsol S.A | 05/25/22 | 1M | 0.17% | Morgan Stanley Capital Services LLC | 193,648 EUR | 12,372 | ||||||||||||||
Rsa Insurance Group PLC | 11/22/22 | 1M | 0.42% | Goldman Sachs International | 12,923,353 GBP | (31,251 | ) | |||||||||||||
Seiga Mix | 12/27/21 | 1M | 0.00% | Morgan Stanley Capital Services LLC | 1,500,000 USD | 1,355,694 | ||||||||||||||
Slack Technologies, Inc., Class A | 12/06/22 | 1M | 0.40% | Goldman Sachs International | 17,954,025 USD | (139,178 | ) | |||||||||||||
TCF Financial Corp. | 12/16/22 | 1M | 0.40% | Goldman Sachs International | 8,657,140 USD | 218,627 | ||||||||||||||
Teranga Gold Corp. | 11/18/22 | 1M | 1.01% | JPMorgan Chase Bank, N.A. | 326,585 CAD | (17,011 | ) | |||||||||||||
Tiffany & Co. | 11/30/21 | 1M | 0.40% | Goldman Sachs International | 14,564,871 USD | 35,543 | ||||||||||||||
Tikkurila OYJ | 12/21/22 | 1M | 0.16% | Goldman Sachs International | 3,395,890 EUR | 27,621 | ||||||||||||||
Tilray, Inc., Class 2 | 12/20/22 | 1M | 0.65% | JPMorgan Chase Bank, N.A. | 580,781 USD | (8,999 | ) | |||||||||||||
Varian Medical Systems, Inc. | 08/08/22 | 1M | 0.40% | Goldman Sachs International | 10,936,872 USD | 25,054 | ||||||||||||||
Varian Medical Systems, Inc. | 08/05/22 | 1M | 0.65% | JPMorgan Chase Bank, N.A. | 15,658,676 USD | 35,871 | ||||||||||||||
Waddell & Reed Financial, Class A | 12/07/22 | 1M | 0.40% | Goldman Sachs International | 1,522,433 USD | 16,312 | ||||||||||||||
Willis Towers Watson PLC | 03/04/22 | 1M | 0.44% | Morgan Stanley Capital Services LLC | 15,578,250 USD | 222,750 | ||||||||||||||
Willis Towers Watson PLC | 03/11/22 | 1M | 0.65% | JPMorgan Chase Bank, N.A. | 10,956,079 USD | 156,659 | ||||||||||||||
Worldline S.A | 09/23/22 | 1M | 0.06% | JPMorgan Chase Bank, N.A. | 69,044 EUR | 3,394 | ||||||||||||||
Xilinx, Inc. | 10/31/22 | 1M | 0.65% | JPMorgan Chase Bank, N.A. | 27,909,596 USD | (674,303 | ) | |||||||||||||
|
| |||||||||||||||||||
Total Buys | $ | 14,890,459 | ||||||||||||||||||
|
| |||||||||||||||||||
Sells | ||||||||||||||||||||
Advanced Micro Devices | 10/31/22 | 1M | 0.22% | JPMorgan Chase Bank, N.A. | 28,207,296 USD | $ | 459,885 | |||||||||||||
Analog Devices, Inc. | 07/15/22 | 1M | 0.31% | Goldman Sachs International | 29,094,919 USD | (1,048,796 | ) | |||||||||||||
AON PLC | 04/05/22 | 1M | 0.22% | JPMorgan Chase Bank, N.A. | 10,787,957 USD | (109,350 | ) | |||||||||||||
AON PLC | 03/04/22 | 1M | 0.16% | Morgan Stanley Capital Services LLC | 16,340,053 USD | (165,627 | ) | |||||||||||||
Aphria, Inc. | 12/20/22 | 1M | 1.25% | JPMorgan Chase Bank, N.A. | 572,719 USD | 23,036 | ||||||||||||||
Astrazeneca plc, ADR | 12/16/22 | 1M | 0.22% | JPMorgan Chase Bank, N.A. | 15,378,096 USD | (95,958 | ) | |||||||||||||
BancorpSouth Bank | 09/23/22 | 1M | 0.16% | Goldman Sachs International | 7,642,515 USD | 77,197 | ||||||||||||||
BancorpSouth Bank | 07/23/21 | 1M | 0.31% | Morgan Stanley Capital Services LLC | 1,167,261 USD | 11,791 | ||||||||||||||
Bank Of Hawaii Corp. | 07/13/22 | 1M | 0.16% | Goldman Sachs International | 4,135,312 USD | 42,731 | ||||||||||||||
Bank Of New York Mellon Corp. | 11/14/22 | 1M | 0.16% | Goldman Sachs International | 7,681,759 USD | (184,452 | ) | |||||||||||||
Builders Firstsource, Inc. | 08/31/22 | 1M | 0.31% | Goldman Sachs International | 15,760,188 USD | (30,955 | ) | |||||||||||||
Caixabank S.A | 09/21/22 | 1M | 0.77% | JPMorgan Chase Bank, N.A. | 912,624 EUR | 7,903 | ||||||||||||||
Capitol Federal Financial, Inc. | 09/23/22 | 1M | 0.16% | Goldman Sachs International | 16,225,445 USD | (550,243 | ) | |||||||||||||
Cathay General Bancorp | 07/23/21 | 1M | 0.31% | Morgan Stanley Capital Services LLC | 15,195,018 USD | (784,323 | ) | |||||||||||||
Conocophillips | 10/26/22 | 1M | 0.22% | JPMorgan Chase Bank, N.A. | 3,950,482 USD | 24,543 | ||||||||||||||
Douglas Emmett, Inc. | 11/29/22 | 1M | 0.16% | Goldman Sachs International | 2,022,578 USD | 13,768 | ||||||||||||||
Endeavour Mining Corp. | 11/18/22 | 1M | 0.24% | JPMorgan Chase Bank, N.A. | 309,404 CAD | 10,746 |
See Notes to Consolidated Schedule of Investments.
120
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
December 31, 2020 (Unaudited)
Reference | Termination | Payment | Financing | Counterparty | Notional | Unrealized | ||||||||||||
Financial Select Sector SPDR Fund | 03/21/22 | 1M | 0.10% | Goldman Sachs International | 51,501,680 USD | $ | (1,362,858 | ) | ||||||||||
Financial Select Sector SPDR Fund | 07/23/21 | 1M | 0.31% | Morgan Stanley Capital Services LLC | 323,990 USD | (8,574 | ) | |||||||||||
First Citizens Bancshares, Class A | 10/19/22 | 1M | 0.22% | JPMorgan Chase Bank, N.A. | 1,283,368 USD | 21,123 | ||||||||||||
First Commonwealth Financial Corp. | 07/23/21 | 1M | 0.31% | Morgan Stanley Capital Services LLC | 34,540 USD | (1,759 | ) | |||||||||||
First Commonwealth Financial Corp. | 10/14/22 | 1M | 0.16% | Goldman Sachs International | 1,449,197 USD | (73,782 | ) |
Reference | Termination | Payment | Financing | Counterparty | Notional | Unrealized | ||||||||||||
First Hawaiian, Inc. | 03/09/22 | 1M | 0.16% | Goldman Sachs International | 18,934,984 USD | $ | (690,815) | |||||||||||
First Interstate BancSystem, Inc. | 09/23/22 | 1M | 0.16% | Goldman Sachs International | 2,351,662 USD | (62,166) | ||||||||||||
First Interstate BancSystem, Inc. | 07/23/21 | 1M | 0.31% | Morgan Stanley Capital Services LLC | 1,146,478 USD | (30,307) | ||||||||||||
Huntington Bancshares, Inc. | 12/16/22 | 1M | 0.31% | Goldman Sachs International | 8,842,945 USD | (251,489) | ||||||||||||
Just Eat Takeaway | 06/15/22 | 1M | 0.97% | Goldman Sachs International | 10,070,357 EUR | (518,962) | ||||||||||||
Keycorp. | 06/15/22 | 1M | 0.16% | Goldman Sachs International | 14,080,264 USD | (590,030) | ||||||||||||
Marvell Technology Group Ltd. | 11/02/22 | 1M | 0.22% | JPMorgan Chase Bank, N.A. | 17,999,226 USD | (110,471) | ||||||||||||
National Bank Holding Corp. | 07/23/21 | 1M | 0.31% | Morgan Stanley Capital Services LLC | 5,173,108 USD | (22,202) | ||||||||||||
Northwest Bancshares, Inc. | 07/23/21 | 1M | 0.31% | Morgan Stanley Capital Services LLC | 414,756 USD | (16,238) | ||||||||||||
Northwest Bancshares, Inc. | 12/16/22 | 1M | 0.16% | Goldman Sachs International | 1,464,359 USD | (57,332) | ||||||||||||
People’s United Financial, Inc. | 07/23/21 | 1M | 0.31% | Morgan Stanley Capital Services LLC | 10,657,536 USD | (108,241) | ||||||||||||
Pioneer Natural Resources Co. | 10/25/22 | 1M | 0.22% | JPMorgan Chase Bank, N.A. | 9,731,817 USD | (263,283) | ||||||||||||
Piper Jaffray | 08/19/22 | 1M | 0.16% | Goldman Sachs International | 1,928,921 USD | 35,835 | ||||||||||||
Preferred Bank | 07/23/21 | 1M | 0.31% | Morgan Stanley Capital Services LLC | 9,294,375 USD | (554,189) | ||||||||||||
Prosperity Bancshares, Inc. | 03/16/22 | 1M | 0.16% | Goldman Sachs International | 13,974,958 USD | (119,896) | ||||||||||||
Renasant Corp. | 10/11/22 | 1M | 0.16% | Goldman Sachs International | 9,039,787 USD | (371,651) | ||||||||||||
Salesforce.com, Inc. | 12/06/22 | 1M | 0.31% | Goldman Sachs International | 7,204,464 USD | 125,339 | ||||||||||||
Sandy Spring Bancorp, Inc. | 07/23/21 | 1M | 0.31% | Morgan Stanley Capital Services LLC | 2,717,762 USD | (75,493) | ||||||||||||
Simmons First National Corp. | 01/20/21 | 1M | 0.16% | Goldman Sachs International | 8,787,664 USD | (325,000) | ||||||||||||
SL Green Realty Corp. | 11/29/22 | 1M | 0.16% | Goldman Sachs International | 1,012,992 USD | (69,398) | ||||||||||||
SPDR S&P 500 ETF Trust | 06/14/22 | 1M | 0.10% | Goldman Sachs International | 32,899,374 USD | (541,949) | ||||||||||||
SPDR S&P Regional Banking ETF | 02/08/21 | 1M | 0.54% | Goldman Sachs International | 22,938,707 USD | (682,023) | ||||||||||||
SPDR S&P Regional Banking ETF | 07/23/21 | 1M | 0.91% | Morgan Stanley Capital Services LLC | 33,481,546 USD | (995,487) | ||||||||||||
Synchrony Financial | 06/03/21 | 1M | 0.16% | Goldman Sachs International | 7,526,456 USD | (299,886) | ||||||||||||
T Rowe Price Group, Inc. | 03/11/22 | 1M | 0.16% | Goldman Sachs International | 5,296,458 USD | (97,265) |
See Notes to Consolidated Schedule of Investments.
121
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
December 31, 2020 (Unaudited)
Reference | Termination | Payment | Financing | Counterparty | Notional | Unrealized | ||||||||||||||
US Bancorp. | 03/09/22 | 1M | 0.16% | Goldman Sachs International | 9,358,514 USD | $ | (260,131) | |||||||||||||
Verra Mobility Corp. | 12/14/22 | 1M | 0.16% | Goldman Sachs International | 2,533,319 USD | (15,192) | ||||||||||||||
Vornado Realty Trust | 04/29/22 | 1M | 0.16% | Goldman Sachs International | 6,697,859 USD | (214,746) | ||||||||||||||
Washington Federal, Inc. | 07/23/21 | 1M | 0.31% | Morgan Stanley Capital Services LLC | 1,733,125 USD | (47,028) | ||||||||||||||
West Fraser Timber Co. Ltd. | 11/23/22 | 1M | 0.10% | JPMorgan Chase Bank, N.A. | 15,949,536 CAD | 225,686 | ||||||||||||||
WEX, Inc. | 11/21/22 | 1M | 0.16% | Goldman Sachs International | 7,602,247 USD | (143,087) | ||||||||||||||
Worldline S.A | 02/07/22 | 1M | 0.97% | Goldman Sachs International | 69,044 EUR | (3,394) | ||||||||||||||
|
| |||||||||||||||||||
Total Sells | $ | (10,874,445) | ||||||||||||||||||
|
| |||||||||||||||||||
Total OTC Total Return Swaps Outstanding |
| $ | 4,016,014 | |||||||||||||||||
|
|
Centrally Cleared Interest Rate Swaps Outstanding at December 31, 2020
The Fund | Floating | Fixed | Pay/ | Maturity | Counterparty | Notional | Market | Upfront | Unrealized | |||||||||||||||||||
Pays | 3-Month USD LIBOR | 0.21% | 3M/6M | 3/18/2023 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 14,000,000 USD | $ | 5,089 | $ | — | $ | 5,089 | ||||||||||||||||
Pays | 3-Month USD LIBOR | 0.23% | 3M/6M | 12/14/2022 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 4,700,000 USD | 3,564 | — | 3,564 | |||||||||||||||||||
Pays | 3-Month USD LIBOR | 0.25% | 3M/6M | 3/3/2023 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 27,700,000 USD | 35,450 | — | 35,450 | |||||||||||||||||||
Pays | 3-Month USD LIBOR | 0.27% | 3M/6M | 8/3/2022 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 114,616,000 USD | 152,950 | — | 152,950 | |||||||||||||||||||
Pays | 3-Month USD LIBOR | 0.31% | 3M/6M | 7/24/2022 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 33,588,605 USD | 65,425 | — | 65,425 | |||||||||||||||||||
Pays | 3-Month USD LIBOR | 0.31% | 3M/6M | 7/29/2022 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 9,141,220 USD | 18,149 | — | 18,149 | |||||||||||||||||||
Pays | 3-Month USD LIBOR | 0.33% | 3M/6M | 7/16/2022 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 82,371,000 USD | 181,479 | — | 181,479 | |||||||||||||||||||
Pays | 3-Month USD LIBOR | 0.36% | 3M/6M | 6/30/2022 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 18,347,000 USD | 48,007 | — | 48,007 | |||||||||||||||||||
Pays | 3-Month USD LIBOR | 0.37% | 3M/6M | 10/5/2025 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 1,600,000 USD | (2,423 | ) | — | (2,423 | ) | |||||||||||||||||
Pays | 3-Month USD LIBOR | 0.41% | 3M/6M | 6/29/2022 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 84,970,800 USD | 280,338 | — | 280,338 | |||||||||||||||||||
Pays | 3-Month USD LIBOR | 0.44% | 3M/6M | 7/24/2025 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 6,032,440 USD | 17,302 | — | 17,302 | |||||||||||||||||||
Pays | 3-Month USD LIBOR | 0.46% | 3M/6M | 7/29/2025 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 2,362,800 USD | 8,194 | — | 8,194 | |||||||||||||||||||
Pays | 3-Month USD LIBOR | 0.50% | 3M/6M | 6/30/2025 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 1,932,800 USD | 10,656 | — | 10,656 |
See Notes to Consolidated Schedule of Investments.
122
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
December 31, 2020 (Unaudited)
The Fund | Floating | Fixed | Pay/ | Maturity | Counterparty | Notional | Market | Upfront | Unrealized | |||||||||||||||||||
Pays | 3-Month USD LIBOR | 0.57% | 3M/6M | 6/29/2025 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 22,060,000 USD | $ | 199,426 | $ | — | $ | 199,426 | ||||||||||||||||
Pays | 3-Month USD LIBOR | 0.69% | 3M/6M | 10/5/2030 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 6,300,000 USD | (132,595 | ) | — | (132,595 | ) | |||||||||||||||||
Pays | 3-Month USD LIBOR | 0.78% | 3M/6M | 6/8/2025 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 35,000,000 USD | 645,466 | — | 645,466 | |||||||||||||||||||
Pays | 3-Month USD LIBOR | 0.88% | 3M/6M | 3/10/2035 | Morgan Stanley Capital Services LLC | 700,000 USD | (26,019 | ) | — | (26,019 | ) | |||||||||||||||||
Pays | 3-Month USD LIBOR | 0.98% | 3M/6M | 3/25/2030 | Morgan Stanley Capital Services LLC | 3,000,000 USD | (49,236 | ) | — | (49,236 | ) | |||||||||||||||||
Pays | 3-Month USD LIBOR | 0.99% | 3M/6M | 6/8/2030 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 25,000,000 USD | 248,668 | — | 248,668 | |||||||||||||||||||
Pays | 3-Month USD LIBOR | 1.26% | 3M/6M | 9/25/2026 | Morgan Stanley Capital Services LLC | 2,235,000 USD | 94,735 | — | 94,735 | |||||||||||||||||||
Pays | 3-Month USD LIBOR | 1.44% | 3M/6M | 9/25/2026 | Morgan Stanley Capital Services LLC | 2,408,000 USD | 126,779 | 583 | 126,196 | |||||||||||||||||||
Pays | 3-Month USD LIBOR | 1.46% | 3M/6M | 5/11/2025 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 20,809,000 USD | 997,968 | — | 997,968 | |||||||||||||||||||
Pays | 3-Month USD LIBOR | 1.64% | 3M/6M | 11/25/2026 | Morgan Stanley Capital Services LLC | 2,047,000 USD | 132,909 | — | 132,909 | |||||||||||||||||||
Pays | 3-Month USD LIBOR | 1.66% | 3M/6M | 2/27/2030 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 3,221,000 USD | 233,058 | — | 233,058 | |||||||||||||||||||
Pays | 3-Month USD LIBOR | 1.67% | 3M/6M | 2/25/2030 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 10,246,000 USD | 749,080 | — | 749,080 | |||||||||||||||||||
Pays | 3-Month USD LIBOR | 1.80% | 3M/6M | 7/25/2026 | Morgan Stanley Capital Services LLC | 3,312,000 USD | 239,794 | (13 | ) | 239,807 | ||||||||||||||||||
Pays | 3-Month USD LIBOR | 1.80% | 3M/6M | 6/25/2026 | Morgan Stanley Capital Services LLC | 3,479,000 USD | 250,087 | 2,244 | 247,843 | |||||||||||||||||||
Pays | 3-Month USD LIBOR | 1.93% | 3M/6M | 7/15/2027 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 50,000,000 USD | 4,301,661 | — | 4,301,661 | |||||||||||||||||||
Pays | 3-Month USD LIBOR | 1.99% | 3M/6M | 6/26/2024 | Morgan Stanley & Co. LLC | 2,320,000 USD | 138,260 | (11,818 | ) | 150,078 | ||||||||||||||||||
Pays | 3-Month USD LIBOR | 1.99% | 3M/6M | 5/25/2024 | Morgan Stanley & Co. LLC | 2,597,000 USD | 152,625 | (12,569 | ) | 165,194 |
See Notes to Consolidated Schedule of Investments.
123
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
December 31, 2020 (Unaudited)
The Fund | Floating | Fixed | Pay/ | Maturity | Counterparty | Notional | Market | Upfront | Unrealized | |||||||||||||||||||
Pays | 3-Month USD LIBOR | 2.02% | 3M/6M | 6/4/2027 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 15,000,000 USD | $ | 1,368,188 | $ | — | $ | 1,368,188 | ||||||||||||||||
Pays | 3-Month USD LIBOR | 2.03% | 3M/6M | 5/25/2024 | Morgan Stanley Capital Services LLC | 2,089,000 USD | 125,525 | (7,422 | ) | 132,947 | ||||||||||||||||||
Pays | 3-Month USD LIBOR | 2.17% | 3M/6M | 5/20/2025 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 40,000,000 USD | 3,170,874 | — | 3,170,874 | |||||||||||||||||||
Pays | 3-Month USD LIBOR | 2.20% | 3M/6M | 11/27/2024 | Morgan Stanley & Co. LLC | 2,257,000 USD | 165,200 | (11,404 | ) | 176,604 | ||||||||||||||||||
Pays | 3-Month USD LIBOR | 2.24% | 3M/6M | 11/27/2024 | Morgan Stanley & Co. LLC | 2,580,000 USD | 192,713 | 2,511 | 190,202 | |||||||||||||||||||
Pays | 3-Month USD LIBOR | 2.28% | 3M/6M | 12/27/2024 | Morgan Stanley & Co. LLC | 3,310,000 USD | 257,550 | (1,411 | ) | 258,961 | ||||||||||||||||||
Pays | 3-Month USD LIBOR | 2.40% | 3M/6M | 5/27/2026 | Morgan Stanley Capital Services LLC | 2,366,000 USD | 244,862 | — | 244,862 | |||||||||||||||||||
Pays | 3-Month USD LIBOR | 2.41% | 3M/6M | 4/25/2026 | Morgan Stanley Capital Services LLC | 3,899,000 USD | 401,671 | (26,506 | ) | 428,177 | ||||||||||||||||||
Pays | 3-Month USD LIBOR | 2.58% | 3M/6M | 2/25/2026 | Morgan Stanley & Co. LLC | 2,348,000 USD | 257,023 | — | 257,023 | |||||||||||||||||||
Pays | 3-Month USD LIBOR | 2.62% | 3M/6M | 2/25/2026 | Morgan Stanley Capital Services LLC | 3,187,500 USD | 356,046 | (21,811 | ) | 377,857 | ||||||||||||||||||
Pays | 3-Month USD LIBOR | 2.66% | 3M/6M | 1/25/2026 | Morgan Stanley Capital Services LLC | 1,905,000 USD | 214,066 | 411 | 213,655 | |||||||||||||||||||
Pays | 3-Month USD LIBOR | 2.83% | 3M/6M | 2/26/2025 | Morgan Stanley & Co. LLC | 1,528,000 USD | 157,130 | (1,314 | ) | 158,444 | ||||||||||||||||||
Pays | 3-Month CNY - CNREPO FIX | 2.84% | 3M/3M | 3/17/2026 | Credit Suisse Securities (USA) LLC | 66,454,440 CNY | 80,115 | — | 80,115 | |||||||||||||||||||
Pays | 3-Month CNY - CNREPO FIX | 2.84% | 3M/3M | 3/17/2026 | Credit Suisse Securities (USA) LLC | 584,000,000 CNY | 704,053 | — | 704,053 | |||||||||||||||||||
Pays | 3-Month USD LIBOR | 2.87% | 3M/6M | 4/25/2025 | Morgan Stanley & Co. LLC | 2,883,000 USD | 311,499 | — | 311,499 |
See Notes to Consolidated Schedule of Investments.
124
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
December 31, 2020 (Unaudited)
The Fund | Floating | Fixed | Pay/ | Maturity | Counterparty | Notional | Market | Upfront | Unrealized | |||||||||||||||||||
Pays | 3-Month CNY-CNREPO FIX | 2.88% | 3M/3M | 3/17/2026 | Credit Suisse Securities (USA) LLC | 806,704,426 CNY | $ | 1,182,066 | $ | — | $ | 1,182,066 | ||||||||||||||||
Pays | 3-Month CNY-CNREPO FIX | 2.88% | 3M/3M | 3/17/2026 | Credit Suisse Securities (USA) LLC | 792,193,637 CNY | 1,188,990 | — | 1,188,990 | |||||||||||||||||||
Pays | 3-Month CNY-CNREPO FIX | 2.90% | 3M/3M | 3/17/2026 | Credit Suisse Securities (USA) LLC | 413,836,807 CNY | 680,018 | — | 680,018 | |||||||||||||||||||
Pays | 3-Month CNY-CNREPO FIX | 2.90% | 3M/3M | 3/17/2026 | Credit Suisse Securities (USA) LLC | 1,192,958,000 CNY | 1,960,271 | — | 1,960,271 | |||||||||||||||||||
Pays | 3-Month USD LIBOR | 2.92% | 3M/6M | 8/28/2025 | Morgan Stanley & Co. LLC | 3,185,000 USD | 373,771 | — | 373,771 | |||||||||||||||||||
Pays | 3-Month USD LIBOR | 3.00% | 3M/6M | 6/25/2025 | Morgan Stanley & Co. LLC | 2,272,000 USD | 266,283 | — | 266,283 | |||||||||||||||||||
Pays | 28-Days MXN TIIE | 4.40% | 28D/28D | 3/15/2023 | Credit Suisse Securities (USA) LLC | 160,790,485 MXN | 15,751 | — | 15,751 | |||||||||||||||||||
Pays | 28-Days MXN TIIE | 4.91% | 28D/28D | 11/3/2026 | Credit Suisse Securities (USA) LLC | 143,672,947 MXN | 17,030 | — | 17,030 | |||||||||||||||||||
Pays | 28-Days MXN TIIE | 5.58% | 28D/28D | 7/22/2030 | Credit Suisse Securities (USA) LLC | 190,400,000 MXN | 160,622 | — | 160,622 | |||||||||||||||||||
Pays | 28-Days MXN TIIE | 5.58% | 28D/28D | 3/5/2031 | Credit Suisse Securities (USA) LLC | 162,920,366 MXN | 80,743 | — | 80,743 | |||||||||||||||||||
Pays | 28-Days MXN TIIE | 5.58% | 28D/28D | 7/25/2030 | Credit Suisse Securities (USA) LLC | 78,400,000 MXN | 66,519 | — | 66,519 | |||||||||||||||||||
Pays | 28-Days MXN TIIE | 5.58% | 28D/28D | 7/18/2030 | Credit Suisse Securities (USA) LLC | 38,304,000 MXN | 32,762 | — | 32,762 | |||||||||||||||||||
Pays | 28-Days MXN TIIE | 5.58% | 28D/28D | 7/16/2030 | Credit Suisse Securities (USA) LLC | 187,680,000 MXN | 161,800 | — | 161,800 | |||||||||||||||||||
Pays | 28-Days MXN TIIE | 5.59% | 28D/28D | 7/29/2030 | Credit Suisse Securities (USA) LLC | �� | 78,400,000 MXN | 67,703 | — | 67,703 | ||||||||||||||||||
Pays | 28-Days MXN TIIE | 5.60% | 28D/28D | 07/30/2030 | Credit Suisse Securities (USA) LLC | 74,592,000 MXN | 67,257 | — | 67,257 | |||||||||||||||||||
Pays | 28-Days MXN TIIE | 5.60% | 28D/28D | 7/23/2030 | Credit Suisse Securities (USA) LLC | 230,000,000 MXN | 209,010 | — | 209,010 | |||||||||||||||||||
Pays | 28-Days MXN TIIE | 5.61% | 28D/28D | 7/24/2030 | Credit Suisse Securities (USA) LLC | 233,700,000 MXN | 225,776 | — | 225,776 | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 0.22% | 6M/3M | 10/5/2022 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 31,600,000 USD | (18,245 | ) | — | (18,245 | ) |
See Notes to Consolidated Schedule of Investments.
125
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
December 31, 2020 (Unaudited)
The Fund | Floating | Fixed | Pay/ | Maturity | Counterparty | Notional | Market | Upfront | Unrealized | |||||||||||||||||||||
Receives | 3-Month USD LIBOR | 0.37% | 6M/3M | 12/14/2025 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 5,300,000 USD | $ | 14,372 | $ | — | $ | 14,372 | ||||||||||||||||||
Receives | 3-Month USD LIBOR | 0.40% | 6M/3M | 8/3/2025 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 24,941,000 USD | (21,341 | ) | — | (21,341 | ) | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 0.47% | 6M/3M | 9/11/2027 | Morgan Stanley Capital Services LLC | 1,000,000 USD | 10,086 | 136 | 9,950 | |||||||||||||||||||||
Receives | 3-Month USD LIBOR | 0.48% | 6M/3M | 3/22/2026 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 10,655,000 USD | (11,970 | ) | — | (11,970 | ) | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 0.51% | 6M/3M | 3/3/2026 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 20,650,000 USD | (54,262 | ) | — | (54,262 | ) | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 0.57% | 6M/3M | 7/27/2030 | Morgan Stanley Capital Services LLC | 4,000,000 USD | 119,835 | — | 119,835 | |||||||||||||||||||||
Receives | 3-Month USD LIBOR | 0.62% | 6M/3M | 8/3/2030 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 6,512,706 USD | 165,542 | — | 165,542 | |||||||||||||||||||||
Receives | 3-Month USD LIBOR | 0.65% | 6M/3M | 6/8/2022 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 14,000,000 USD | (93,764 | ) | — | (93,764 | ) | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 0.66% | 6M/3M | 3/11/2035 | Morgan Stanley Capital Services LLC | 1,500,000 USD | 100,948 | — | 100,948 | |||||||||||||||||||||
Receives | 3-Month USD LIBOR | 0.67% | 6M/3M | 7/24/2030 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 4,438,980 USD | 93,042 | — | 93,042 | |||||||||||||||||||||
Receives | 3-Month USD LIBOR | 0.68% | 6M/3M | 7/29/2030 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 713,880 USD | 14,285 | — | 14,285 | |||||||||||||||||||||
Receives | 3-Month USD LIBOR | 0.69% | 6M/3M | 12/29/2027 | Morgan Stanley Capital Services LLC | 3,000,000 USD | (6,374 | ) | — | (6,374 | ) | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 0.69% | 6M/3M | 8/19/2030 | Morgan Stanley Capital Services LLC | 1,200,000 USD | 23,342 | — | 23,342 | |||||||||||||||||||||
Receives | 3-Month USD LIBOR | 0.70% | 6M/3M | 6/30/2030 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 3,605,000 USD | 62,598 | — | 62,598 |
See Notes to Consolidated Schedule of Investments.
126
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
December 31, 2020 (Unaudited)
The Fund | Floating | Fixed | Pay/ | Maturity | Counterparty | Notional | Market | Upfront | Unrealized | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 0.74% | 6M/3M | 3/19/2027 | Morgan Stanley Capital Services LLC | 19,099,000 USD | $ | (203,855 | ) | $ | — | $ | (203,855 | ) | ||||||||||||||
Receives | 3-Month USD LIBOR | 0.77% | 6M/3M | 3/25/2027 | Morgan Stanley Capital Services LLC | 13,006,000 USD | (164,342 | ) | — | (164,342 | ) | |||||||||||||||||
Receives | 3-Month USD LIBOR | 0.79% | 6M/3M | 6/29/2030 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 6,347,000 USD | 57,355 | — | 57,355 | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 0.82% | 6M/3M | 7/16/2030 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 11,975,000 USD | 75,142 | — | 75,142 | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 0.95% | 6M/3M | 3/3/2031 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 719,000 USD | (416 | ) | — | (416 | ) | |||||||||||||||||
Receives | 6-Month SGD SOR | 0.98% | 6M/6M | 3/17/2031 | Credit Suisse Securities (USA) LLC | 4,763,076 SGD | (25,744 | ) | — | (25,744 | ) | |||||||||||||||||
Receives | 3-Month USD LIBOR | 1.10% | 6M/3M | 3/25/2030 | Morgan Stanley Capital Services LLC | 1,500,000 USD | (31,615 | ) | — | (31,615 | ) | |||||||||||||||||
Receives | 6-Month PLN WIBOR | 1.18% | 12M/6M | 3/17/2031 | Credit Suisse Securities (USA) LLC | 11,706,887 PLN | (16,876 | ) | — | (16,876 | ) | |||||||||||||||||
Receives | 6-Month PLN WIBOR | 1.21% | 12M/6M | 3/17/2031 | Credit Suisse Securities (USA) LLC | 11,707,259 PLN | (27,422 | ) | — | (27,422 | ) | |||||||||||||||||
Receives | 6-Month PLN WIBOR | 1.29% | 6M/6M | 3/17/2031 | Credit Suisse Securities (USA) LLC | 23,760,770 PLN | (108,294 | ) | — | (108,294 | ) | |||||||||||||||||
Receives | 3-Month USD LIBOR | 1.32% | 6M/3M | 2/28/2027 | Morgan Stanley Capital Services LLC | 5,000,000 USD | (231,299 | ) | — | (231,299 | ) | |||||||||||||||||
Receives | 3-Month USD LIBOR | 1.46% | 6M/3M | 2/14/2024 | Morgan Stanley Capital Services LLC | 10,000,000 USD | (378,273 | ) | — | (378,273 | ) | |||||||||||||||||
Receives | 3-Month USD LIBOR | 1.48% | 6M/3M | 1/2/2025 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 4,163,000 USD | (191,710 | ) | — | (191,710 | ) | |||||||||||||||||
Receives | 3-Month USD LIBOR | 1.49% | 6M/3M | 8/27/2029 | Morgan Stanley Capital Services LLC | 3,140,000 USD | (180,149 | ) | — | (180,149 | ) |
See Notes to Consolidated Schedule of Investments.
127
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
December 31, 2020 (Unaudited)
The Fund | Floating | Fixed | Pay/ | Maturity | Counterparty | Notional | Market | Upfront | Unrealized | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 1.51% | 6M/3M | 9/25/2029 | Morgan Stanley Capital Services LLC | 2,000,000 USD | $ | (117,202 | ) | $ | — | $ | (117,202 | ) | ||||||||||||||
Receives | 3-Month USD LIBOR | 1.52% | 6M/3M | 2/5/2025 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 6,245,000 USD | (302,711 | ) | — | (302,711 | ) | |||||||||||||||||
Receives | 3-Month USD LIBOR | 1.53% | 6M/3M | 2/25/2022 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 47,860,000 USD | (737,521 | ) | — | (737,521 | ) | |||||||||||||||||
Receives | 3-Month USD LIBOR | 1.53% | 6M/3M | 2/5/2022 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 11,244,800 USD | (166,160 | ) | — | (166,160 | ) | |||||||||||||||||
Receives | 3-Month USD LIBOR | 1.54% | 6M/3M | 1/2/2022 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 80,236,000 USD | (1,092,111 | ) | — | (1,092,111 | ) | |||||||||||||||||
Receives | 3-Month USD LIBOR | 1.55% | 6M/3M | 1/28/2025 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 4,580,000 USD | (226,319 | ) | — | (226,319 | ) | |||||||||||||||||
Receives | 3-Month USD LIBOR | 1.55% | 6M/3M | 2/5/2022 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 25,106,000 USD | (374,569 | ) | — | (374,569 | ) | |||||||||||||||||
Receives | 3-Month USD LIBOR | 1.55% | 6M/3M | 2/27/2022 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 14,928,000 USD | (234,430 | ) | — | (234,430 | ) | |||||||||||||||||
Receives | 3-Month USD LIBOR | 1.55% | 6M/3M | 2/27/2022 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 5,033,000 USD | (79,242 | ) | — | (79,242 | ) | |||||||||||||||||
Receives | 3-Month USD LIBOR | 1.55% | 6M/3M | 1/28/2022 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 10,000,000 USD | (146,617 | ) | — | (146,617 | ) | |||||||||||||||||
Receives | 3-Month USD LIBOR | 1.56% | 6M/3M | 9/26/2026 | Morgan Stanley & Co. LLC | 1,800,000 USD | (106,933 | ) | 6,114 | (113,047 | ) | |||||||||||||||||
Receives | 3-Month USD LIBOR | 1.57% | 6M/3M | 2/18/2022 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 25,187,000 USD | (391,719 | ) | — | (391,719 | ) | |||||||||||||||||
Receives | 3-Month USD LIBOR | 1.58% | 6M/3M | 5/21/2025 | Morgan Stanley Capital Services LLC | 10,000,000 USD | (534,822 | ) | — | (534,822 | ) | |||||||||||||||||
Receives | 3-Month USD LIBOR | 1.58% | 6M/3M | 2/18/2025 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 6,253,000 USD | (321,436 | ) | — | (321,436 | ) | |||||||||||||||||
Receives | 3-Month USD LIBOR | 1.59% | 6M/3M | 4/14/2022 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 15,118,000 USD | (272,035 | ) | — | (272,035 | ) |
See Notes to Consolidated Schedule of Investments.
128
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
December 31, 2020 (Unaudited)
The Fund | Floating | Fixed | Pay/ | Maturity | Counterparty | Notional | Market | Upfront | Unrealized | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 1.60% | 6M/3M | 12/9/2024 | Morgan Stanley Capital Services LLC | 11,333,700 USD | $ | (573,525 | ) | $ | — | $ | (573,525 | ) | ||||||||||||||
Receives | 3-Month USD LIBOR | 1.61% | 6M/3M | 3/23/2027 | Morgan Stanley Capital Services LLC | 7,000,000 USD | (452,200 | ) | — | (452,200 | ) | |||||||||||||||||
Receives | 3-Month USD LIBOR | 1.62% | 6M/3M | 3/24/2027 | Morgan Stanley Capital Services LLC | 7,000,000 USD | (455,014 | ) | — | (455,014 | ) | |||||||||||||||||
Receives | 3-Month USD LIBOR | 1.62% | 6M/3M | 7/25/2026 | Morgan Stanley & Co. LLC | 1,900,000 USD | (118,308 | ) | 4,658 | (122,966 | ) | |||||||||||||||||
Receives | 3-Month USD LIBOR | 1.62% | 6M/3M | 4/14/2025 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 5,222,000 USD | (283,415 | ) | — | (283,415 | ) | |||||||||||||||||
Receives | 3-Month USD LIBOR | 1.63% | 6M/3M | 11/6/2027 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 40,000,000 USD | (2,686,004 | ) | — | (2,686,004 | ) | |||||||||||||||||
Receives | 3-Month USD LIBOR | 1.64% | 6M/3M | 7/22/2022 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 15,000,000 USD | (338,694 | ) | — | (338,694 | ) | |||||||||||||||||
Receives | 3-Month USD LIBOR | 1.66% | 6M/3M | 6/17/2025 | Morgan Stanley Capital Services LLC | 10,000,000 USD | (575,060 | ) | — | (575,060 | ) | |||||||||||||||||
Receives | 3-Month USD LIBOR | 1.69% | 6M/3M | 7/29/2022 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 25,000,000 USD | (592,609 | ) | — | (592,609 | ) | |||||||||||||||||
Receives | 3-Month USD LIBOR | 1.72% | 6M/3M | 2/18/2030 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 1,945,000 USD | (150,776 | ) | — | (150,776 | ) | |||||||||||||||||
Receives | 3-Month USD LIBOR | 1.73% | 6M/3M | 12/16/2026 | Morgan Stanley Capital Services LLC | 3,500,000 USD | (246,536 | ) | — | (246,536 | ) | |||||||||||||||||
Receives | 3-Month USD LIBOR | 1.73% | 6M/3M | 7/15/2023 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 100,000,000 USD | (3,875,408 | ) | — | (3,875,408 | ) | |||||||||||||||||
Receives | 3-Month USD LIBOR | 1.77% | 6M/3M | 11/25/2029 | Morgan Stanley Capital Services LLC | 1,000,000 USD | (81,427 | ) | 43 | (81,470 | ) | |||||||||||||||||
Receives | 3-Month USD LIBOR | 1.77% | 6M/3M | 10/24/2021 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 18,500,000 USD | (239,283 | ) | — | (239,283 | ) |
See Notes to Consolidated Schedule of Investments.
129
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
December 31, 2020 (Unaudited)
The Fund | Floating | Fixed | Pay/ | Maturity | Counterparty | Notional | Market | Upfront | Unrealized | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 1.81% | 6M/3M | 2/1/2024 | Morgan Stanley Capital Services LLC | 2,500,000 USD | $ | (120,378 | ) | $ | — | $ | (120,378 | ) | ||||||||||||||
Receives | 3-Month USD LIBOR | 1.86% | 6M/3M | 12/21/2023 | Morgan Stanley Capital Services LLC | 8,000,000 USD | (385,274 | ) | — | (385,274 | ) | |||||||||||||||||
Receives | 3-Month USD LIBOR | 1.86% | 6M/3M | 5/25/2022 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 8,200,000 USD | (192,414 | ) | — | (192,414 | ) | |||||||||||||||||
Receives | 3-Month USD LIBOR | 1.88% | 6M/3M | 1/24/2027 | Morgan Stanley Capital Services LLC | 1,500,000 USD | (120,376 | ) | — | (120,376 | ) | |||||||||||||||||
Receives | 3-Month USD LIBOR | 1.90% | 6M/3M | 8/27/2029 | Morgan Stanley Capital Services LLC | 1,650,000 USD | (152,144 | ) | — | (152,144 | ) | |||||||||||||||||
Receives | 3-Month USD LIBOR | 1.98% | 6M/3M | 7/25/2029 | Morgan Stanley Capital Services LLC | 4,000,000 USD | (395,762 | ) | — | (395,762 | ) | |||||||||||||||||
Receives | 3-Month USD LIBOR | 2.05% | 6M/3M | 11/30/2024 | Morgan Stanley Capital Services LLC | 5,000,000 USD | (338,060 | ) | — | (338,060 | ) | |||||||||||||||||
Receives | 3-Month USD LIBOR | 2.18% | 6M/3M | 6/26/2027 | Morgan Stanley & Co. LLC | 2,100,000 USD | (212,982 | ) | 11,201 | (224,183 | ) | |||||||||||||||||
Receives | 3-Month USD LIBOR | 2.22% | 6M/3M | 9/29/2024 | Morgan Stanley Capital Services LLC | 2,000,000 USD | (143,398 | ) | — | (143,398 | ) | |||||||||||||||||
Receives | 3-Month USD LIBOR | 2.27% | 6M/3M | 1/25/2026 | Morgan Stanley & Co. LLC | 2,000,000 USD | (184,602 | ) | — | (184,602 | ) | |||||||||||||||||
Receives | 3-Month USD LIBOR | 2.30% | 6M/3M | 1/26/2025 | Morgan Stanley & Co. LLC | 900,000 USD | (71,960 | ) | 4,800 | (76,760 | ) | |||||||||||||||||
Receives | 3-Month USD LIBOR | 2.33% | 6M/3M | 8/25/2025 | Morgan Stanley Capital Services LLC | 5,250,000 USD | (471,592 | ) | 31,222 | (502,814 | ) | |||||||||||||||||
Receives | 3-Month USD LIBOR | 2.34% | 6M/3M | 1/25/2027 | Morgan Stanley & Co. LLC | 1,000,000 USD | (107,362 | ) | — | (107,362 | ) | |||||||||||||||||
Receives | 3-Month USD LIBOR | 2.35% | 6M/3M | 11/8/2024 | Morgan Stanley Capital Services LLC | 4,000,000 USD | (314,193 | ) | — | (314,193 | ) |
See Notes to Consolidated Schedule of Investments.
130
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
December 31, 2020 (Unaudited)
The Fund | Floating | Fixed | Pay/ | Maturity | Counterparty | Notional | Market | Upfront | Unrealized | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 2.37% | 6M/3M | 11/1/2024 | Morgan Stanley Capital Services LLC | 2,000,000 USD | $ | (157,726 | ) | $ | — | $ | (157,726 | ) | ||||||||||||||
Receives | 3-Month USD LIBOR | 2.38% | 6M/3M | 10/5/2023 | Morgan Stanley Capital Services LLC | 3,000,000 USD | (178,247 | ) | — | (178,247 | ) | |||||||||||||||||
Receives | 3-Month USD LIBOR | 2.39% | 6M/3M | 11/16/2028 | Morgan Stanley Capital Services LLC | 4,000,000 USD | (511,360 | ) | — | (511,360 | ) | |||||||||||||||||
Receives | 3-Month USD LIBOR | 2.40% | 6M/3M | 1/25/2027 | Morgan Stanley & Co. LLC | 2,900,000 USD | (321,660 | ) | 24,111 | (345,771 | ) | |||||||||||||||||
Receives | 3-Month USD LIBOR | 2.41% | 6M/3M | 2/27/2027 | Morgan Stanley & Co. LLC | 2,300,000 USD | (258,996 | ) | — | (258,996 | ) | |||||||||||||||||
Receives | 3-Month USD LIBOR | 2.41% | 6M/3M | 12/22/2022 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 50,000,000 USD | (2,192,410 | ) | — | (2,192,410 | ) | |||||||||||||||||
Receives | 3-Month USD LIBOR | 2.42% | 6M/3M | 9/22/2024 | Morgan Stanley Capital Services LLC | 2,000,000 USD | (157,669 | ) | — | (157,669 | ) | |||||||||||||||||
Receives | 3-Month USD LIBOR | 2.42% | 6M/3M | 10/24/2024 | Morgan Stanley Capital Services LLC | 2,000,000 USD | (161,276 | ) | — | (161,276 | ) | |||||||||||||||||
Receives | 3-Month USD LIBOR | 2.43% | 6M/3M | 10/11/2026 | Morgan Stanley Capital Services LLC | 3,000,000 USD | (330,576 | ) | — | (330,576 | ) | |||||||||||||||||
Receives | 3-Month USD LIBOR | 2.45% | 6M/3M | 10/18/2024 | Morgan Stanley Capital Services LLC | 4,000,000 USD | (325,142 | ) | — | (325,142 | ) | |||||||||||||||||
Receives | 3-Month USD LIBOR | 2.53% | 6M/3M | 9/25/2024 | Morgan Stanley & Co. LLC | 2,130,000 USD | (177,234 | ) | — | (177,234 | ) | |||||||||||||||||
Receives | 3-Month USD LIBOR | 2.58% | 6M/3M | 3/27/2027 | Morgan Stanley & Co. LLC | 300,000 USD | (37,227 | ) | — | (37,227 | ) | |||||||||||||||||
Receives | 3-Month USD LIBOR | 2.58% | 6M/3M | 8/5/2025 | Morgan Stanley Capital Services LLC | 7,000,000 USD | (703,460 | ) | — | (703,460 | ) | |||||||||||||||||
Receives | 3-Month USD LIBOR | 2.67% | 6M/3M | 9/13/2028 | Morgan Stanley Capital Services LLC | 2,500,000 USD | (370,044 | ) | — | (370,044 | ) |
See Notes to Consolidated Schedule of Investments.
131
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
December 31, 2020 (Unaudited)
The Fund | Floating | Fixed | Pay/ | Maturity | Counterparty | Notional | Market | Upfront | Unrealized | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 2.72% | 6M/3M | 9/8/2028 | Morgan Stanley Capital Services LLC | 1,000,000 USD | $ | (150,904 | ) | $ | — | $ | (150,904 | ) | ||||||||||||||
Receives | 3-Month USD LIBOR | 2.72% | 6M/3M | 8/8/2028 | Morgan Stanley Capital Services LLC | 3,000,000 USD | (451,076 | ) | — | (451,076 | ) | |||||||||||||||||
Receives | 3-Month USD LIBOR | 2.83% | 6M/3M | 2/26/2025 | Morgan Stanley Capital Services LLC | 1,496,000 USD | (154,215 | ) | (171,226 | ) | 17,011 | |||||||||||||||||
Receives | 3-Month USD LIBOR | 2.83% | 6M/3M | 7/29/2029 | Morgan Stanley Capital Services LLC | 3,000,000 USD | (513,167 | ) | — | (513,167 | ) | |||||||||||||||||
Receives | 3-Month USD LIBOR | 2.90% | 6M/3M | 3/27/2026 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 20,000,000 USD | (2,554,440 | ) | — | (2,554,440 | ) | |||||||||||||||||
Receives | 3-Month USD LIBOR | 3.02% | 6M/3M | 9/25/2025 | Morgan Stanley & Co. LLC | 2,000,000 USD | (246,981 | ) | — | (246,981 | ) | |||||||||||||||||
Receives | 3-Month USD LIBOR | 3.08% | 6M/3M | 4/30/2027 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 20,000,000 USD | (3,145,048 | ) | — | (3,145,048 | ) | |||||||||||||||||
Receives | 3-Month USD LIBOR | 3.15% | 6M/3M | 5/21/2022 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 20,000,000 USD | (825,152 | ) | — | (825,152 | ) | |||||||||||||||||
Receives | 3-Month USD LIBOR | 3.21% | 6M/3M | 5/25/2033 | Morgan Stanley & Co. LLC | 2,000,000 USD | (365,642 | ) | (1,053 | ) | (364,589 | ) | ||||||||||||||||
|
| |||||||||||||||||||||||||||
Total Centrally Cleared Interest Rate Swaps Outstanding | $ | (10,411,906 | ) | $ | (178,513 | ) | $ | (10,233,393 | ) | |||||||||||||||||||
|
|
OTC Interest Rate Swaps Outstanding at December 31, 2020
The Fund | Floating Rate Index | Fixed Rate | Pay/ Receive Payment Frequency | Maturity | Counterparty | Notional | Market | Upfront | Unrealized | |||||||||||||||||||
Receives | 3-Month CNY- CNREPO FIX | 2.89% | 3M/3M | 03/17/2026 | Credit Suisse Securities (USA) LLC | 402,903,339 CNY | $ | (638,199 | ) | $ | — | $ | (638,199 | ) | ||||||||||||||
|
| |||||||||||||||||||||||||||
Total OTC Interest Rate Swaps Outstanding |
| $ | (638,199 | ) | $ | — | $ | (638,199 | ) | |||||||||||||||||||
|
|
Abbreviation Legend: | ||
1M | Monthly | |
1Y | Yearly | |
28D | 28 Days | |
3M | Quarterly | |
6M | Semi-Annually | |
ADR | American Depository Receipt | |
BADLAR PP | BADLAR Private Banks | |
CBOT | Chicago Board of Trade | |
CDE | Montreal Exchange | |
CFE | CBOE Futures Exchange | |
CME | Chicago Mercantile Exchange | |
COMEX | Commodities Exchange Center | |
Eurex | Eurex Exchange | |
EURIBOR | Euro Interbank Offered Rate | |
Euronext | Euronext Paris | |
HKFE | Hong Kong Futures Exchange Ltd. | |
ICE | Ice Futures Europe |
See Notes to Consolidated Schedule of Investments.
132
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
December 31, 2020 (Unaudited)
IDEM | Italian Derivatives Exchange Market | |
ISE | Istanbul Stock Exchange | |
KRX FM | Korea Exchange (Futures Market) | |
LIBOR | London Interbank Offered Rate | |
LIF | New York Stock Exchange Euronext Liffe | |
LME | London Metal Exchange | |
MTN | Medium Term Note | |
MYX | Bursa Malaysia | |
Nasdaq- | ||
OMX | NASDAQ OMX Stockholm | |
NYMEX | New York Mercantile Exchange | |
OSE | Osaka Exchange | |
OTC | Over the Counter | |
PIK | Payment in Kind | |
REG S | Regulation-S | |
REIT | Real Estate Investment Trust | |
SFE | ASX Trade24 | |
SGX | Singapore Exchange | |
T | At Maturity | |
TFEX | Thailand Futures Exchange | |
Currency Legend: | ||
AUD | Australian Dollar | |
BRL | Brazilian Real | |
CAD | Canadian Dollar | |
CHF | Swiss Franc | |
CNH | Chinese Renminbi | |
CNY | Chinese Yuan | |
EGP | Egyptian Pound | |
EUR | Euro | |
GBP | British Pound | |
HKD | Hong Kong Dollar | |
IDR | Indonesian Rupiah | |
INR | Indian Rupee | |
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 | |
TRY | Turkish Lira | |
USD | United States Dollar | |
ZAR | South African Rand |
See Notes to Consolidated Schedule of Investments.
133
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Notes to Consolidated Schedule of Investments
For the Period Ended December 31, 2020 (Unaudited)
1. Organization
Blackstone Alternative Investment Funds (the “Trust”) is a Massachusetts business trust authorized to issue an unlimited number of shares of beneficial interest, which may be divided into different series and classes. The Trust is registered as an open-end management investment company under the Investment Company Act of 1940, as amended (the “1940 Act”). During the period ended December 31, 2020, the Trust consisted of a single series, Blackstone Alternative Multi-Strategy Fund (the “Fund”). The Fund commenced operations offering Class I Shares on June 16, 2014. The Fund also offers Class D Shares, Class Y Shares and Class R Shares. Class D Shares and Class Y Shares commenced operations on November 17, 2014 and January 28, 2015, respectively. As of December 31, 2020, the Fund had not issued any Class R Shares. The Fund operates as a diversified open-end investment company as defined in the 1940 Act.
The investment adviser of the Fund is Blackstone Alternative Investment Advisors LLC (“BAIA” or the “Investment Adviser”), a registered investment adviser under the Investment Advisers Act of 1940, as amended. The Board of Trustees (the “Board” and each member a “Trustee”) of the Trust supervises the conduct of the Fund’s affairs and has engaged BAIA to manage the Fund’s day-to-day investment activities pursuant to an investment management agreement. The Fund’s investment objective is to seek capital appreciation. In pursuing the Fund’s investment objective, the Investment Adviser seeks to maintain an investment portfolio with, on average, lower volatility relative to the broader equity markets. The Investment Adviser seeks to achieve the Fund’s objectives by allocating the Fund’s assets among a variety of non-traditional, or “alternative,” investment strategies. The Investment Adviser determines the allocations of the Fund’s assets and allocates a majority of the Fund’s assets among the sub-advisers (the “Sub-Advisers”) with experience managing alternative investment strategies and among investment funds. The Investment Adviser also manages a portion of the Fund’s assets directly and, from time to time, may instruct Sub-Advisers with respect to particular investments. The Investment Adviser may allocate the Fund’s assets among discretionary and non-discretionary Sub-Advisers. Each discretionary Sub-Adviser is responsible for the day-to-day management of the portion of the Fund’s assets that the Investment Adviser allocates to it. Each non-discretionary Sub-Adviser is responsible for providing the Investment Adviser with a model portfolio for the assets allocated to it to be implemented by the Investment Adviser in its discretion. The Investment Adviser has the ultimate responsibility to oversee each Sub-Adviser (subject to the oversight of the Board). The Adviser also is responsible for recommending the hiring, termination, and replacement of Sub-Advisers.
The Fund’s assets may be invested in three wholly-owned and controlled subsidiaries of the Fund (collectively, the “Subsidiaries”), each of which has the same investment objective as the Fund. One of the Fund’s Subsidiaries, Blackstone Alternative Multi-Strategy Sub Fund II Ltd. (the “Cayman Subsidiary”), is a Cayman Islands exempted company. Both of the other Subsidiaries, Blackstone Alternative Multi-Strategy Sub Fund III L.L.C. (the “Domestic Subsidiary III”) and Blackstone Alternative Multi-Strategy Sub Fund IV L.L.C. (the “Domestic Subsidiary IV”), are Delaware limited liability companies. The Cayman Subsidiary invests, directly or indirectly through the use of derivatives, in securities and commodity interests. The Domestic Subsidiary III and the Domestic Subsidiary IV invest, directly or indirectly through the use of derivatives, almost entirely in securities (with only de minimis exposure to commodity interests). The consolidated schedule of investments include the schedule of investments of the Fund and the three Subsidiaries. Except where context otherwise requires, the term “Fund” refers to the Fund together with the applicable Subsidiaries.
The Fund and the Cayman Subsidiary are each a commodity pool subject to regulation by the Commodity Futures Trading Commission (“CFTC”). BAIA, the commodity pool operator of the Fund and the Cayman Subsidiary, is registered as such with the CFTC, but has claimed relief under Rules 4.12(c)(3) and 4.7 under the Commodity Exchange Act (“CEA”), respectively, from certain disclosure, reporting, and recordkeeping 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 schedule of investments 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 schedule of investments 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.
134
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Notes to Consolidated Schedule of Investments (Continued)
For the Period Ended December 31, 2020 (Unaudited)
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. 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.
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 period ended December 31, 2020.
COVID-19 and Global Economic and Market Conditions
The ongoing novel coronavirus (“COVID-19”) pandemic and restrictions on certain non-essential businesses have caused disruption in the U.S. and global economies. Although an economic recovery is partially underway, it continues to be gradual, uneven, and characterized by meaningful dispersion across sections and regions. The estimates and assumptions underlying this consolidated schedule of investments are based on the information available as of December 31, 2020, including judgments about the financial markets and economic conditions which may change over time.
Fair Value Measurements
Fair value guidance defines fair value, establishes a framework for measuring fair value, and expands disclosures about fair value measurements. U.S. GAAP defines fair value as the price that the Fund would receive to sell an asset or pay to transfer a liability (i.e., the exit price) in an orderly transaction between market participants at the measurement date.
The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for investments categorized in Level 3. The inputs or methodology used for valuing an investment are not necessarily an indication of the risk associated with investing in those securities.
135
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Notes to Consolidated Schedule of Investments (Continued)
For the Period Ended December 31, 2020 (Unaudited)
Investments measured and reported at fair value are classified and disclosed in one of the following levels within the fair value hierarchy based on the lowest level of input that is significant to the fair value measurement:
• | Level 1 – quoted prices are available in active markets for identical investments as of the measurement date. The Fund does not adjust the quoted price for these investments. |
The types of investments categorized within Level 1 generally include actively traded domestic and certain foreign equity securities, short-term investments and derivative financial instruments actively traded on recognized exchanges.
• | Level 2 – quoted prices are available in markets that are not active or model inputs are based on inputs that are either directly or indirectly observable as of the measurement date. |
The types of investments categorized within Level 2 generally include certain foreign equities; fixed income securities including corporate and convertible bonds, loans, trade claims, sovereign debt obligations, U.S. Treasury obligations , and asset-backed and mortgage-backed securities; over-the-counter (“OTC”) derivative financial instruments such as total return swaps, interest rate swaps, credit default swaps, OTC options; and forward foreign currency exchange contracts (“Forwards”).
• | Level 3 – pricing inputs are unobservable and include instances where there is little, if any, market activity for the investment. Inputs reflect the best estimate of what market participants would use in determining fair value of investments as of the measurement date. |
Changes in valuation techniques may result in transfers in or out of an investment’s assigned level within the fair value hierarchy.
Level 3 investments are valued by broker quotes, fair value models, or pricing services that may employ valuation techniques with unobservable inputs. At December 31, 2020, the total fair value of Level 3 investments was $45,931,787. The appropriateness of fair values for these securities are monitored on an ongoing basis, including through backtesting, pricing due diligence, unchanged price review, use of specialists, and consideration of macro security specific events.
Where appropriate, the accounting for Blackstone’s investments incorporates the changes in fair value of those investments as determined under U.S. GAAP. The decrease in Fund investments for the period ended December 31, 2020 was primarily from the unrealized depreciation in the fair value of underlying investments driven by the impact of COVID-19. The significant inputs and assumptions required to determine the change in fair value of the investments of the Fund are discussed in more detail below.
A description of the valuation techniques applied to the Fund’s major categories of investments measured at fair value on a recurring basis are as follows:
Exchange-Traded Securities
Equity securities, including common stock, listed preferred stock, exchange-traded funds, special purpose acquisition companies, and derivative financial instruments, such as futures contracts and option contracts, that are traded on a recognized securities exchange or on the NASDAQ Global Market System (“NASDAQ”) are valued at the last reported sales price (or the official closing price of certain foreign exchanges) or the NASDAQ official closing price, as applicable. For securities traded on more than one exchange, the last reported sales price on the exchange where the security is primarily traded is used. To the extent these securities and derivative financial instruments are actively traded and adjustments are not applied, they are categorized as Level 1 within the fair value hierarchy.
The Fund may use a third-party fair valuation service provider to value foreign equity securities that are primarily traded outside of North America and South America. The third-party fair valuation service provider calculates a factor (“Fair Value Factor”) that is applied to adjust the last price of each such security in the event that there is movement in excess of a specified trigger (“Fair Value Trigger”), as measured by the movement between the prior close and the current close of the U.S. market. Foreign equities for which the last price has been adjusted by such factor will generally be categorized as Level 2 within the fair value hierarchy. As of December 31, 2020, certain foreign equity securities were classified as Level 2 since a Fair Value Factor was applied to the prices of these securities.
136
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Notes to Consolidated Schedule of Investments (Continued)
For the Period Ended December 31, 2020 (Unaudited)
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 December 31, 2020, the Fund had $2,449 invested in Morgan Stanley Institutional Liquidity Funds Treasury Securities Portfolio (MSUXX). Investments in money market funds are categorized as Level 1 within the fair value hierarchy and are valued at net asset value.
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 net asset value per share of the Investee Fund, or its equivalent, as a practical expedient for fair value, unless the investment in the Investee Fund is traded on a recognized securities exchange and a quoted price is available as of the measurement date. If the Investee Fund is not traded on an exchange, the Fund may, as a practical expedient, estimate the fair value of an Investee Fund based on the reported net asset value per share or its equivalent if the reported net asset value per share or its equivalent of the Investee Fund is calculated in a manner consistent with the measurement principles applied to investment companies, in accordance with ASC 946.
Securities and Other Investments
Bank Debt
The Fund may invest in bank debt including, for example, corporate loans, trade claims, loan participations, direct debt, revolvers , bank loans, and bridge loans. The Fund invests in loans through novations, assignments, and participation interests. In a novation, the Fund typically assumes all of the rights of a lending institution, including the right to receive payments of principal and interest and other amounts directly from the borrower and to enforce its rights as a lender directly against the borrower. When the Fund takes an
137
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Notes to Consolidated Schedule of Investments (Continued)
For the Period Ended December 31, 2020 (Unaudited)
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 December 31, 2020, the Fund had an outstanding commitment of $2,059,098 related to held unfunded 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 Investments 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.
Reverse Repurchase Agreements
The Fund may enter into reverse repurchase agreements. In a reverse repurchase agreement, the Fund sells a security in exchange for cash to a financial institution, the counterparty, with a simultaneous agreement to repurchase the same or substantially the same security at an agreed upon price and date, under the terms of a Master Repurchase Agreement (“MRA”). The Fund is entitled to receive principal and interest payments, if any, made on the security delivered to the counterparty during the term of the agreement. Cash received in exchange for securities delivered plus accrued interest payments to be made by the Fund to counterparties is reflected as a liability. Reverse repurchase agreements involve the risk that the market value of the securities purchased with the proceeds from the sale of securities received by the Fund may decline below the price of the securities the Fund is obligated to repurchase. Reverse repurchase agreements also involve credit risk with the counterparty to the extent that the value of securities subject to repurchase exceed the Fund’s liability under the reverse repurchase agreement. Securities subject to repurchase under reverse repurchase agreements, if any, are designated as such in the Consolidated Schedule of Investments. Due to the short term nature of the reverse repurchase agreements, face value approximates fair value. As of December 31, 2020, the face value of open reverse repurchase agreements for the Fund was $151,868,017.
An MRA contains provisions for, among other things, initiation, income payments, events of default and maintenance of securities for repurchase agreements. An MRA also permits offsetting with collateral to create one single net payment in the event of default or similar events, including the bankruptcy or insolvency of a counterparty. The Fund may not use reverse repurchase agreements and related collateral governed by an MRA to offset derivatives contracts and related collateral governed by an ISDA (see Note 4) or securities lending agreements and related collateral governed by a securities lending agreement (“SLA”).
138
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Notes to Consolidated Schedule of Investments (Continued)
For the Period Ended December 31, 2020 (Unaudited)
Securities Lending
The Fund may lend securities, through its agent, to certain qualified financial institutions. The loans are collateralized by cash in an amount at least equal to the market value of the securities loaned. The market value of securities loaned is determined daily and any additional required collateral is allocated to the Fund on the next Business Day. The initial collateral received by the Fund should have a value of at least 102% of the current value of loaned securities for U.S. securities and at least 105% for all other securities. The risk of borrower default will be borne by the Fund’s agent; the Fund will bear the risk of loss with respect to the investment of the cash collateral. The advantage of such loans is that the Fund continues to receive income on loaned securities while earning returns on the cash amounts, which may be reinvested for the purchase of investments in securities. As of December 31, 2020, there were no securities on loan.
The SLA entered into by the Fund provides the right, in the event of default, for the non-defaulting party to liquidate the collateral and calculate a net exposure to the defaulting party or request additional collateral. Under the agreement, the Fund can reinvest cash collateral.
When-Issued and Delayed-Delivery Transactions
The Fund may engage in when-issued or delayed-delivery transactions. The Fund records when-issued or delayed-delivery securities on the trade date and maintains security positions such that sufficient liquid assets will be available to make payment for the securities purchased. Securities purchased on a when-issued or delayed-delivery basis are marked-to-market daily and begin earning interest on the settlement date. Losses may occur on these transactions due to changes in market conditions or the failure of counter parties 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
In March 2020, the Financial Accounting Standards Board (“FASB”) issued guidance providing optional temporary financial reporting relief from the effect of certain types of contract modifications due to the planned discontinuation of the LIBOR (London Interbank Offered Rate) or other interbank-offered based reference rates as of the end of December 2021. Management continues to evaluate the impact of the guidance and may apply other elections, as applicable, as the expected market transition to alternative reference rates evolves.
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.
139
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Notes to Consolidated Schedule of Investments (Continued)
For the Period Ended December 31, 2020 (Unaudited)
Forward Foreign Currency Exchange Contracts
The Fund may enter into Forwards to obtain investment exposure, seek to enhance return or hedge or protect its portfolio holdings against the risk of future movements in certain foreign currency exchange rates. Forwards are agreements between two parties to receive or deliver a fixed quantity of foreign currency for an agreed-upon price on an agreed upon future date. The market value of a Forward fluctuates with the changes in foreign currency exchange rates. These contracts are valued daily and the change in market value is recorded as an unrealized gain or loss on forward foreign currency exchange contracts. When a contract is closed, the Fund recognizes a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
The use of forward foreign currency exchange contracts does not eliminate fluctuations in the underlying prices of the securities of the Fund, but it does establish a rate of exchange that can be achieved in the future. Although forward foreign currency exchange contracts may limit the risk of loss due to a decline in the value of the currency holdings, they also limit any potential gain that might result should the value of the currency increase. In addition, the Fund could be exposed to losses if the counterparties to the contracts are unable to meet the terms of the contracts. The Fund’s maximum potential loss from such contracts is the aggregate face value in U.S. dollars at the time the contract was opened.
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. Futures contracts are marked-to-market daily and subsequent payments (“variation margin”) are made or received by the Fund depending on whether unrealized gains or losses are incurred. When the contract is closed or expires, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. The potential risk to the Fund is that the change in value of futures contracts may not correspond to the change in the value of the hedge investments. In addition, losses may arise from changes in the value of the underlying instrument, if interest or exchange rates move unexpectedly or if the counterparty is unable to perform. With futures, there is minimal counterparty credit risk to the Fund since futures are exchange traded and the exchanges’ clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default.
Options Contracts
The Fund may purchase and write call and put options. An option contract purchased by the Fund gives the Fund the right, but not the obligation, to buy (call) or sell (put) an underlying instrument at a fixed exercise price during a specified period. Call options written by the Fund give the holder the right to buy the underlying instrument from the Fund at a fixed exercise price; put options written by the Fund give the holder the right to sell the underlying instrument to the Fund at a fixed exercise price. The Fund may use options to hedge against changes in values of securities or currencies it owns or expects to own, to gain or to maintain exposure to interest rates, currencies or broad equity markets, to generate additional income or to enhance returns.
Options trading involve certain additional risks. Specific market movements of the option and the instruments underlying the option cannot be predicted. No assurance can be given that a liquid secondary market will exist for any particular option or at any particular time. The Fund might not be able to enter into a closing transaction for the option as a result of an illiquid market for the option. To realize any profit in the case of an option, therefore, the option holder would need to exercise the option and comply with margin requirements for the underlying instrument. A writer could not terminate the obligation until the option expired or the writer was assigned an exercise notice. The purchaser of an option is subject to the risk of losing the entire purchase price of the option. The writer of an option is subject to the risk of loss resulting from the difference between the premium received for the option and the price of the futures contract underlying the option that the writer must purchase or deliver upon exercise of the option. The writer of a naked option may have to purchase the underlying contract in the market for substantially more than the exercise price of the option in order to satisfy his delivery obligations. This could result in a large net loss.
140
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Notes to Consolidated Schedule of Investments (Continued)
For the Period Ended December 31, 2020 (Unaudited)
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. Swap agreements are privately negotiated in the OTC market or may be executed in a multilateral or other trade facility platform, such as a registered exchange or swap execution facility (“centrally cleared swaps”). The Fund may enter into swap agreements for the purposes of managing exposure to interest rate, credit or market risk, or for other purposes. In connection with these agreements, securities or cash (“segregated cash” or “collateral”) may be paid or received, as applicable, by the Fund as collateral or margin in accordance with the terms of the respective swap agreements to provide assets of value and recourse in the event of default or bankruptcy/insolvency. Securities posted by the Fund as collateral for swaps are identified in the Consolidated Schedule of Investments.
Swap transactions involve, to varying degrees, elements of interest rate, credit and market risk. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform, or that there may be unfavorable changes in market conditions or interest rates. In addition, entering into swap agreements involves documentation risk resulting from the possibility that the parties to a swap agreement may disagree as to the meaning of contractual terms in the agreement. The Fund’s maximum risk of loss from counterparty credit risk is the discounted value of the net cash flows to be received from the counterparty over the contract’s remaining life, to the extent that amount is positive, or the fair value of the contract. The risk may be mitigated by having an MNA between the Fund and the counterparty and by the posting of collateral by the counterparty to cover the Fund’s exposure to the counterparty.
Interest Rate Swaps: The Fund may enter into OTC and/or centrally cleared interest rate swap contracts to hedge interest rate risk, to gain exposure on interest rates and to hedge prepayment risk. The Fund is subject to interest rate risk exposure in the normal course of pursuing their investment objectives. The Fund may hold fixed rate bonds, and the value of these bonds may decrease if interest rates rise. Interest rate swaps are agreements in which one party pays a stream of interest payments, either fixed or floating rate, for another party’s stream of interest payments, either fixed or floating, on the same notional amount for a specified period of time. The Fund’s maximum risk of loss from counterparty credit risk, as opposed to investment and other types of risk, in respect of interest rate swaps is typically the discounted net value of the cash flows to be received from the counterparty over the contracts remaining life, to the extent that amount is positive.
141
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Notes to Consolidated Schedule of Investments (Continued)
For the Period Ended December 31, 2020 (Unaudited)
Interest rate swaps can be purchased or sold with an upfront premium. An upfront payment received by the Fund is recorded as a liability and an upfront payment made by the Fund is recorded as an asset. 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. Payments, including upfront premiums, received or made are recorded as realized gains or losses at the closing of the contract.
Total Return Swaps: The Fund may enter into total return swap agreements to obtain exposure to a security, index, market or other basket of securities without owning such security or investing directly in that security, index, market or other basket of securities or to transfer the risk/return of one market (e.g., fixed income) to another market (e.g., equity) (equity risk and/or interest rate risk). Total return swaps are agreements in which one party agrees to make periodic payments to another party based on the change in market value of the underlying instrument, which may include a specified security, index, basket of securities or securities indices during the specific period, in return for periodic payments based on a fixed or floating rate or the total return from other underlying assets. To the extent the total return of the instrument underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the Fund will receive a payment from or make a payment to the counterparty. Total return swaps can also be structured without an interest payment, so that one party pays the other party if the value of the underlying instrument increases and receives payment from the other party if the value of the underlying asset decreases.
The Fund may utilize total return swaps on baskets of securities (“Basket Swaps”) to a significant extent in order to obtain synthetic exposure to investment strategies. For a Basket Swap, the Fund or a Subsidiary makes payments to a counterparty (at either a fixed or variable rate) in exchange for receiving from the counterparty payments that reflect the return of a “basket” of securities, derivatives, and/or commodity interests identified by the Sub-Adviser (or the Adviser). The Fund may also utilize structured notes (“Basket Notes”) in which the Fund or a Subsidiary purchases a note from an issuer in exchange for receiving from the issuer payments that reflect the return of an account through which the Sub-Adviser (or the Adviser) manages a portfolio reflecting a basket of securities, derivatives, and/or commodity interests. The Sub-Adviser (or the Adviser) will select and manage the securities, derivatives, and/or commodity interests underlying the Basket Swap or the Basket Note in a manner consistent with the Fund’s strategies. The Fund’s investment returns on Basket Swaps or Basket Notes generally will correspond to the Fund’s returns had the Sub-Adviser managed the notional equivalent of the Fund’s assets directly (although returns on Basket Swaps or Basket Notes will be reduced by financing charges and trading costs incurred by the Basket Swap counterparty or Basket Note issuer). The Fund expects to obtain a significant portion of its investment exposure through Basket Swaps and/or Basket Notes.
Credit Default Swaps: The Fund may enter into OTC and/or centrally cleared credit default swap contracts to hedge credit risk, to hedge market risk, or to gain exposure on single-name issuers and/or baskets of securities.
In a credit default swap contract, the protection buyer typically makes an upfront payment and a periodic stream of payments to a counterparty, the protection seller, in exchange for the right to receive a contingent payment upon the occurrence of a credit event on the reference obligation or all other equally ranked obligations of the reference entity. Credit events are contract specific but may include bankruptcy, failure to pay, restructurings and obligation acceleration. An upfront payment received by the Fund or made by the Fund is recorded as a liability or asset, respectively, in the Consolidated Statement of Assets and Liabilities. Periodic payments received or paid by the Fund are recorded as realized gains or losses. Credit default swap contracts are marked-to-market daily and the change is recorded as an unrealized gain or loss on swaps. Upon the occurrence of a credit event, the difference between the par value and the market value of the reference obligation, net of any proportional amount of upfront payment, is recorded as a realized gain or loss on swaps.
Interest rate swaps, total return swaps and credit default swaps outstanding at period end are listed at the end of the Fund’s Consolidated Schedule of Investments.
115
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Notes to Consolidated Schedule of Investments (Continued)
For the Period Ended December 31, 2020 (Unaudited)
5. Fair Value Measurements
The following table presents information about the classification of the Fund’s investments measured at fair value within the fair value hierarchy as of December 31, 2020:
Assets: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Investments in Securities: |
| |||||||||||||||
Common Stock | $ | 1,346,750,429 | $ | 2,417,913 | $ | 1,217,580 | $ | 1,350,385,922 | ||||||||
Preferred Stock | 2,303,058 | — | 4,241,289 | 6,544,347 | ||||||||||||
Asset-Backed Securities | — | 330,736,406 | — | 330,736,406 | ||||||||||||
Convertible Bonds | — | 3,242,999 | — | 3,242,999 | ||||||||||||
Bank Debt | — | 258,801,411 | 39,792,229 | 298,593,640 | ||||||||||||
Corporate Bonds & Notes | — | 323,831,456 | 128,620 | 323,960,076 | ||||||||||||
Sovereign Debt | — | 692,970,557 | — | 692,970,557 | ||||||||||||
Mortgage-Backed Securities | — | 960,798,716 | — | 960,798,716 | ||||||||||||
U.S. Government Sponsored Agency | ||||||||||||||||
Securities | — | 11,479,490 | — | 11,479,490 | ||||||||||||
Municipals | — | 28,968,036 | — | 28,968,036 | ||||||||||||
Exchange-Traded Funds | 7,110,869 | — | — | 7,110,869 | ||||||||||||
Warrants | 13,039,438 | — | — | 13,039,438 | ||||||||||||
Rights | 206,550 | — | — | 206,550 | ||||||||||||
Purchased Options | 28,676,203 | — | — | 28,676,203 | ||||||||||||
Short-Term Investment - Money | ||||||||||||||||
Market Funds | 2,449 | — | — | 2,449 | ||||||||||||
Subtotal | $ | 1,398,088,996 | $ | 2,613,246,984 | $ | 45,379,718 | $ | 4,056,715,698 | ||||||||
Investments Valued at NAV | 350,024,814 | |||||||||||||||
Total Investments in Securities | $ | 1,398,088,996 | $ | 2,613,246,984 | $ | 45,379,718 | $ | 4,406,740,512 | ||||||||
Unfunded Loan Commitment(a) | — | 30,144 | 83,445 | 113,589 | ||||||||||||
Futures Contracts | 27,780,947 | — | — | 27,780,947 | ||||||||||||
Forward Foreign Currency Exchange Contracts (a) | — | 4,649,737 | — | 4,649,737 | ||||||||||||
Centrally Cleared Credit Default Swaps | — | 6,310,613 | — | 6,310,613 | ||||||||||||
OTC Credit Default Swaps | — | 1,776,591 | — | 1,776,591 | ||||||||||||
OTC Total Return Swaps (a) | — | 17,692,077 | 468,624 | 18,160,701 | ||||||||||||
Centrally Cleared Interest Rate Swaps | — | 24,836,553 | — | 24,836,553 | ||||||||||||
Total Assets | $ | 1,425,869,943 | $ | 2,668,542,699 | $ | 45,931,787 | $ | 4,490,369,243 | ||||||||
Liabilities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Securities Sold Short: | ||||||||||||||||
Common Stock | $ | 357,530,353 | $ | — | $ | — | $ | 357,530,353 | ||||||||
Exchange-Traded Funds | 1,947,633 | — | — | 1,947,633 | ||||||||||||
Total Securities Sold Short | 359,477,986 | — | — | 359,477,986 | ||||||||||||
Options Written | 22,895,102 | — | — | 22,895,102 | ||||||||||||
Reverse Repurchase Agreements | — | 152,054,484 | — | | 152,054,484 | | ||||||||||
Futures Contracts | 19,314,971 | — | — | 19,314,971 | ||||||||||||
Forward Foreign Currency Exchange Contracts (a) | — | 4,742,928 | — | 4,742,928 | ||||||||||||
Centrally Cleared Credit Default Swaps | — | 5,864,909 | — | 5,864,909 | ||||||||||||
OTC Credit Default Swaps | — | 3,628,682 | — | 3,628,682 | ||||||||||||
OTC Total Return Swaps (a) | — | 14,144,687 | — | 14,144,687 | ||||||||||||
Centrally Cleared Interest Rate Swaps | — | 35,248,459 | — | 35,248,459 | ||||||||||||
OTC Interest Rate Swaps | — | 638,199 | — | 638,199 | ||||||||||||
Total Liabilities | $ | 401,688,059 | $ | 216,322,348 | $ | — | $ | 618,010,407 |
(a) | Represents unrealized appreciation (depreciation). |
143
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Notes to Consolidated Schedule of Investments (Continued)
For the Period Ended December 31, 2020 (Unaudited)
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 schedule of investments.
Investments in Investee Funds that are non-redeemable or subject to other restrictions such as a lockup at the measurement date or have the ability to limit the individual amount of investor redemptions shall be classified as having a redemption restriction.
The following table summarizes investments in Investee Funds, by investment strategy, the unfunded commitment of each strategy (if applicable), and the amount of the investment in Investee Fund that cannot be redeemed because of redemption restrictions put in place by the Investee Fund.
Investments in by Strategy | Unfunded $ | Non-Redeemable Investments (A) | Other Restricted Investments (B) | Investments Subject to No Restrictions | Total $ | |||||||||
Amount $ | Redemption Commencement | Amount $ | Redemption Term | Amount $ | ||||||||||
Credit- Driven(1)(2) | N/A | — | N/A | 229,327,758 | 12 months | — | 229,327,758 | |||||||
Event- Driven(3)(4) | 17,700,956 | — | N/A | 12,289,472 | 12 months | 108,407,584 | 120,697,056 |
(1) | The Credit-Driven strategy generally includes Investee Funds with a focus on fundamental hedged products or otherwise low net exposure, positional concentration and opportunistic directional exposures, mortgages and non-mortgage asset-backed securities. |
(2) | Investments are redeemable quarterly upon 30 - 60 days written notice. |
(3) | The Event-Driven strategy generally includes Investee Funds that seek returns by investing in strategies including catalyst events, share class arbitrage, share buybacks, post re-organization equity, recapitalizations, spin-offs and stub trades. |
(4) | Investments are redeemable semi-annually upon 60 - 90 days written notice. |
(A) | Investments in Investee Funds cannot currently be redeemed and the remaining redemption restriction period is not known. The date the redemption restriction commenced is disclosed. |
(B) | Investments subject to other restrictions include investments in Investee Funds that are subject to a lockup at the measurement date and/or have the ability to limit the individual amount of investor redemptions. The redemption restriction term is based on the restriction period (or range of restriction periods) for Investee Funds as defined in each respective Investee Fund’s governing legal agreement without consideration of the length of time elapsed from the date of investments in Investee Funds. The Fund’s investment in a particular Investee Fund classified within the strategies above may be comprised of investments with differing liquidity terms or investments that were made at differing points in time. |
The Fund recognizes transfers within the fair value hierarchy as of the beginning of the period. Transfers into and out of Level 3 were primarily related to the availability of broker quotations in accordance with valuation methodology.
144
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Notes to Consolidated Schedule of Investments (Continued)
For the Period Ended December 31, 2020 (Unaudited)
The changes in investments measured at fair value for which the Fund used Level 3 inputs to determine fair value are as follows:
Assets: Investments | Common Stocks | Preferred Stocks | Bank Debt | Corporate Bonds & Notes | Sovereign Debt | Unfunded Bank Debt | Total Return Swap | Total | ||||||||||||||||||||||||
Balance as of March 31, 2020 | $ | — | $ | — | $ | 164,166,827 | $ | 135,160 | $ | 91,747,567 | $ | — | $ | 22,581 | $ | 256,072,135 | ||||||||||||||||
Transfers In | — | — | 276,114 | — | — | — | — | 276,114 | ||||||||||||||||||||||||
Transfers Out | — | — | (82,696,975 | ) | — | — | — | — | (82,696,975 | ) | ||||||||||||||||||||||
Purchases | 920,795 | 4,243,806 | 25,233,403 | — | — | — | — | 30,398,004 | ||||||||||||||||||||||||
Sales | — | — | (80,415,051 | ) | — | (93,879,193 | ) | — | — | (174,294,244 | ) | |||||||||||||||||||||
Amortization | — | — | 2,471,246 | — | 253,530 | — | — | 2,724,776 | ||||||||||||||||||||||||
Net realized gain (loss) | — | — | (603,237 | ) | — | 447,155 | — | — | (156,082 | ) | ||||||||||||||||||||||
Net change in unrealized appreciation (depreciation) | 296,785 | (2,517 | ) | 11,359,902 | (6,540 | ) | 1,430,941 | 83,445 | 446,043 | 13,608,059 | ||||||||||||||||||||||
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Balance as of December 31, 2020 | $ | 1,217,580 | $ | 4,241,289 | $ | 39,792,229 | $ | 128,620 | $ | — | $ | 83,445 | $ | 468,624 | $ | 45,931,787 | ||||||||||||||||
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Net change in unrealized appreciation (depreciation) related to investments still held as of December 31, 2020 | $ | 296,785 | $ | (2,517 | ) | $ | 11,077,823 | $ | (6,540 | ) | $ | — | $ | 83,445 | $ | 446,043 | $ | 11,895,039 | ||||||||||||||
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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 December 31, 2020.
Assets | Fair Value at December 31, 2020 | Valuation Technique | Unobservable Inputs | Range of inputs (Weighted Average) | ||||||||||||
Investments in Securities: | ||||||||||||||||
Common Stock | $ | 1,217,580 | | Broker-dealer Quotations | | Indicative Bid | N/A | |||||||||
Preferred Stock | 4,241,289 | | Broker-dealer Quotations | | Indicative Bid | N/A | ||||||||||
Bank Debt | 39,792,229 | | Broker-dealer Quotations | | Indicative Bid | N/A | ||||||||||
Corporate Bonds & Notes | 128,620 | | Broker-dealer Quotations | | Indicative Bid | N/A | ||||||||||
Unfunded Bank Debt | 83,445 | | Broker-dealer Quotations | | Indicative Bid | N/A | ||||||||||
OTC Total Return Swaps | 468,624 | | Broker-dealer Quotations | | Indicative Bid | N/A | ||||||||||
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| |||||||||||||||
Total Investments in Securities | $ | 45,931,787 | ||||||||||||||
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145