UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-22743
Blackstone Alternative Investment Funds
(Exact Name of Registrant as Specified in Charter)
345 Park Avenue
28th Floor
New York, NY 10154
(Address of Principal Executive Offices)
Registrant’s telephone number, including area code: (212) 583-5000
Peter Koffler, Esq.
c/o Blackstone Alternative Investment Advisors LLC
345 Park Avenue
28th Floor
New York, NY 10154
(Name and Address of Agent for Service)
With a copy to:
James E. Thomas, Esq.
Ropes & Gray LLP
Prudential Tower
800 Boylston Street
Boston, MA 02199-3600
Date of fiscal year end: March 31
Date of reporting period: March 31, 2018
| Item 1. | Reports to Stockholders. |
The Report to Shareholders is attached hereto.
Blackstone Alternative Multi-Strategy Fund
a series of Blackstone Alternative Investment Funds
|
Annual Report For the Year Ended March 31, 2018 |
TABLE OF CONTENTS
All investors should consider the investment objectives, risks, charges and expenses of Blackstone Alternative Multi-Strategy Fund (the “Fund”) carefully before investing. The prospectus and, if available, the summary prospectus contain this and other information about the Fund. You can obtain a prospectus and a summary prospectus from the Fund’s website (www.bxmix.com). All investors are urged to carefully read the prospectus and summary prospectus in their entirety before investing. Interests in the Fund are offered through Blackstone Advisory Partners L.P., a member of FINRA and an affiliate of Blackstone Alternative Investment Advisors LLC.
Important Risks: An investment in the Fund should be considered a speculative investment that entails substantial risks; you may lose part or all of your investment or your investment may not perform as well as other investments. The Fund’s investments involve special risks including, but not limited to, loss of all or a significant portion of the investment due to leveraging, short-selling, or other speculative practices, lack of liquidity and volatility of returns. The following is a summary description of certain additional principal risks of investing in the Fund:
Allocation Risk - Blackstone’s judgment about the attractiveness, value or market trends affecting a particular asset class, investment style, sub-adviser or security may be incorrect and this may have a negative impact upon performance. Debt Securities Risk - investments in debt securities, such as bonds and certain asset-backed securities involve certain risks which may cause the securities to lose value, including credit risk, extension risk, interest rate risk, prepayment risk, and variable and floating rate instrument risk. Derivatives Risk - the use of derivatives involves the risk that their value may not move as expected relative to the value of the relevant underlying assets, rates, or indices. Derivatives can be volatile and illiquid, can be subject to counterparty credit risk, and may entail investment exposure greater than their notional amount. Distressed Securities Risk - investments in securities of business enterprises involved in workouts, liquidations, reorganizations, bankruptcies and similar situations involve a high degree of risk of loss since there is typically substantial uncertainty concerning the outcome of such situations. Equity Securities Risk - there is a risk of loss associated with price fluctuations of equity and preferred securities which change based on a company’s financial condition and overall market and economic environment. Event-Driven Trading Risk - involves the risk that the specific event identified may not occur as anticipated and that this may have a negative impact upon the market price of the securities involved. Foreign Investments/Emerging Markets Risk - involves special risks caused by foreign political, social and economic factors, including exposure to currency fluctuations, less liquidity, less developed and less efficient trading markets, political instability and less developed legal and auditing standards. High Portfolio Turnover Risk - active trading of securities can increase transaction costs (thus lowering performance) and taxable distributions. Model and Technology Risk - involves the risk that model-based strategies, data gathering systems, order execution and trade allocation systems and risk management systems may not be successful on an ongoing basis or could contains errors, omissions, imperfections or malfunctions. Multi-Manager Risk - managers may make investment decisions which conflict with each other and as a result, the Fund could incur transaction costs without accomplishing any net investment result.
BLACKSTONE ALTERNATIVE INVESTMENT FUNDS
Dear Blackstone Investor,
We are pleased to present this annual shareholder report for Blackstone Alternative Investment Funds (“BAIF”) and its series, Blackstone Alternative Multi-Strategy Fund (the “Fund”). This report includes portfolio commentary, a listing of the Fund’s investments and the Fund’s audited financial statements. Audited financial statements for the Fund cover the period from April 1, 2017 to March 31, 2018 (the “Reporting Period”).
The Fund’s investment objective is to seek capital appreciation. The Fund seeks this objective by allocating its assets among a variety of nontraditional, or “alternative,” investment strategies. Blackstone Alternative Investment Advisors LLC (the “Investment Adviser” or “BAIA”) determines the allocations of the Fund’s assets and allocates a majority of the Fund’s assets among investment sub-advisers with experience managing alternative investment strategies and among investment funds. Each discretionary sub-adviser is responsible for the day-to-day management of the Fund’s assets that the Investment Adviser allocates to it. Subject to oversight by the Board of Trustees, the Investment Adviser is responsible for making recommendations with respect to hiring, terminating and/or replacing the Fund’s investment sub-advisers, and it may also manage a portion of the Fund’s assets directly and, from time to time, may instruct Sub-Advisers with respect to particular investments1. In pursuing the Fund’s investment objective, the Fund seeks to maintain an investment portfolio with, on average, lower volatility relative to the broader equity markets.
Fund Performance2
The Reporting Period was comprised of three quarters with very low volatility in capital markets and a final quarter punctuated by sharply elevated volatility. The Fund weathered the turbulence, mitigating investor exposure to sharp market pullbacks, and, on the year, provided investors with positive returns in accord with its objective of capital appreciation. As we look ahead to the next 12 months, we intend to continue leveraging our due diligence, risk management, and investment expertise, accumulated over our 28 years’ experience in hedge fund investing, to identify attractive alternative investment strategies and investment sub-advisers that we believe may advance the Fund in its objective.
None of the indices presented herein are benchmarks or targets for the Fund.
| 1 | BAIA manages a portion of the Fund’s assets directly. Such investments presently include allocations to BAIA’s systematic risk premia trading strategy, a short-only fundamental equity strategy (advised by Gracian Capital on a non-discretionary basis), and funds managed by Glenview Capital Management LLC, and may include other opportunistic trades in the future. BAIA’s fees on directly managed assets are not reduced by a payment to a sub-adviser. |
| 2 | The volatility of the indices presented may be materially different from that of the performance of the Fund. In addition, the indices employ different investment guidelines and criteria than the Fund; as a result, the holdings in the Fund may differ significantly from the securities that comprise the indices. The performance of the indices has not been selected to represent an appropriate benchmark to compare to the performance of the Fund, but rather is disclosed to allow for comparison of the Fund’s performance to that of well-known and widely recognized indices. A summary of the investment guidelines for the indices presented are available upon request. In the case of equity indices, performance of the indices reflects the reinvestment of dividends. |
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During the Reporting Period, the Fund generated a cumulative return, net of fees and expenses, of 3.06%3 and realized a volatility of 2.35%4 with a Sharpe ratio5 of 0.87. Over the same period, the HFRX Global Hedge Fund Index, a measure of hedge fund performance, returned 3.20%; the MSCI World Total Return Index, a measure of global equity market performance, returned 14.20%; the S&P 500 Index, a measure of U.S. equity market performance, returned 13.99%; and the Bloomberg Barclays Global Aggregate Bond Index, a measure of investment grade bond performance, returned 6.97%.
Portfolio Managers
In keeping with its historical approach to team-based portfolio management, the Investment Adviser has designated each of the members of the BAIA Investment Committee as a portfolio manager of the Fund. Effective March 31, 2018, the list of portfolio managers is as follows:
Market and Portfolio Commentary
The fiscal year ended March 31, 2018 began with a steady continuation of the market rally that followed President Donald Trump’s entrance into the White House, leading many—including us—to wonder when the party would end. For ten months of the Reporting Period, a number of geopolitical events failed to stall the market’s upward plod: the GOP failed to unwind Obamacare with even a ‘skinny’ repeal, a bad hurricane season wrought tragic destruction upon Puerto Rico and the Gulf Coast, and North Korea tested record numbers of missiles, to name just a few. Yet the equity market climbed higher, albeit with notable dispersion among sectors—consider, for instance, the rally among financial stocks in June as big tech names sank during the so-called ‘tech tantrum’.
For months, historically high stock prices relative to fundamentals (i.e., earnings) suggested the potential for a market correction. Indeed, despite earnings growth over the course of the year, the Cyclically Adjusted Price to Earnings or “CAPE” ratio—a metric designed to enable comparison of market valuations across economic cycles—by January had swollen to over 33x, a multiple topped only in the lead-up to the Dot Com Bubble7. Around the same time, net margin debt as a percentage of the total value of the New York Stock Exchange (“NYSE”) surpassed its peak also hit in the buildup to the Dot Com Bubble8.
| 3 | Performance is shown net of the Gross Expense Ratio less waived expenses for Class I shares. Performance data quoted represents past performance and does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost and current performance may be lower or higher than the performance data above. There can be no assurance that the Fund will achieve its goals or avoid losses. |
| 4 | “Volatility” refers to the standard deviation of returns. Standard deviation is a measure of how spread out a set of data is from its mean. |
| 5 | “Sharpe ratio” is a measure of a fund’s risk-adjusted returns. |
| 6 | Min Htoo joined as a portfolio manager in July of 2017. |
| 7 | CAPE Ratio Data. Professor Robert Schiller, Yale University, Department of Economics. February 28, 2018. |
| 8 | Wall Street Journal, “Investors’ Zeal to Buy Stocks With Debt Leaves Markets Vulnerable”. February 25, 2018. |
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In February, equities’ calm climb came to an abrupt halt: the S&P 500 ended twelve of February’s nineteen trading days with a move of over 1% in either direction. Three of those days ended down in excess of 2%, and by the end of the month’s first week of trading, the index entered “market correction” territory with an overall pullback of over 10% from its January 26th peak. Equity market volatility (as measured by the so-called “Fear Gauge”, the CBOE Volatility Index) spiked to a level last seen in November 2011 as a broad selloff in stocks reversed the positive momentum of much of the year to that point. As stocks dropped, investors who had piled into equities on margin—funds borrowed against securities posted as collateral—were forced to deleverage, i.e. sell holdings to meet margin calls, thereby amplifying the market rout.
February’s equity market turbulence serves as a good case study as to the potential benefits of a multialternative portfolio diversifier in times of elevated volatility. Across three days in the first half of February with drawdowns greater than 1%, the S&P 500 Index plummeted 9.64%, and the MSCI World Index plunged 7.45%. The Fund, meanwhile, dropped just 1.21% as positive performance from certain of the Fund’s Credit and Multi-Asset exposures offset declines in equities9. Looking at the Reporting Period as a whole, there were 14 trading days on which the S&P 500 Index dropped 1% or more in a single day. Over the same period, this happened to the MSCI World Index 10 times. As for the Fund? Not once10. In fact, the Fund has been down 1% or more just once since inception—as compared to 79 times for the S&P 500 Index and 61 times for the MSCI World Index11. The Fund’s inherent diversification has helped to mitigate volatility and weather drawdowns in equity markets both this Reporting Period and since inception. However, because of the broadly diversified and low beta nature of the portfolio, the Fund is not expected to participate, and historically has not participated, in the full upside of broader equity markets.
Over the Reporting Period, the Fund’s Equity strategies contributed positively to performance, propelled both by alpha opportunities created by the year’s political uncertainties and developments as well as by factor positioning—especially momentum, a factor premised upon the tendency for assets’ relative performance to continue for a certain period of time, as equities climbed ever higher over the first ten months. Market hedges, however, dampened the overall positive performance: sub-advisers’ pursuit of delivering alpha while neutralizing beta was hindered by the persistent rise in equity markets. This year underscored the value of Equity Market Neutral sub-strategies in particular. The Fund’s exposure to these sub-strategies resulted in strong, uncorrelated performance throughout the Reporting Period even during the recent equity market drawdown. Equity Long/Short sub-strategies, meanwhile, ultimately detracted despite positive performance over much of the period until the market correction of early 2018. Broad exposure to healthcare, notably managed care, produced positive returns early in the Reporting Period, as did exposure to the financial sector, which benefitted from a favorable regulatory outlook. Later, however, tech exposure faltered, as did exposure to certain healthcare sub-sectors and financials, due, in large part, to disappointing earnings or macroeconomic news. Still, these sub-strategies’ low beta to equities proved beneficial, as short exposures implemented directly by BAIA helped the Fund to preserve capital amidst the market’s broader move lower in February and March12.
Credit strategies contributed the most to the Fund’s positive returns over the Reporting Period, with all sub-strategies generating gains on the year. Fixed Income—Asset Backed sub-strategies were the highest-performing ones in this part of the portfolio, benefitting in large part from positive carry and appreciation of
| 9 | Based on performance on 2/2/18, 2/5/18 and 2/8/18. The average daily return for BXMIX on the three best MSCI World TR Index trading days over the same period was 0.13%, while the average return of the MSCI World TR Index on those days was 1.23% and the average return of the S&P 500 TR Index on those days was 1.33%. |
| 10 | From 4/11/17 to 3/31/18, on days that the S&P 500 TR was up, the average daily returns for the S&P 500 TR, MSCI World TR and BXMIX were 0.43%, 0.34% and 0.05%, respectively. |
| 11 | From 6/16/14 to 3/31/18, on days that the S&P 500 TR was up, the average daily returns for the S&P 500 TR, MSCI World TR and BXMIX were 0.55%, 0.43% and 0.08%, respectively. Over the same period, on the 10 best S&P 500 TR trading days, the average daily returns for the S&P 500 TR, MSCI World TR and BXMIX were 2.52%, 1.69% and 0.46%, respectively. |
| 12 | BAIA is technically classified with Multi-Asset strategies, but the exposures mentioned here are relevant to equity strategies. |
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government-sponsored enterprise (“GSE”) credit risk transfer (“CRT”) bonds. CRT bonds are U.S. residential mortgage debentures—unsecured GSE obligations originating from a regulator mandate in the wake of the Great Financial Crisis that Fannie Mae and Freddie Mac sell off credit risk to the private sector. This exposure has performed well over the past year, as steadily growing track-records of payment and new ratings by the National Association of Insurance Commissioners (“NAIC”) increased the market’s estimation of such securities’ creditworthiness, and accordingly, their value.
During the Reporting Period, Multi-Asset strategies also collectively posted gains, driven by Multi-Strategy sub-strategies. Uncorrelated returns this year largely derived from idiosyncratic European and emerging markets exposures, along with certain quantitative exposures. Early in the Reporting Period, as Emmanuel Macron’s party secured a majority in the French parliament, Multi-Strategy exposures to European equity markets rallied. Later, as tensions between North Korea and the United States intensified over the summer and fall, exposure to safe-haven assets, such as gold, gained in value. Towards the end of the calendar year, exposure to long-dated sovereign debt in the United States and Europe within Systematic Diversified sub-strategies contributed to performance. Meanwhile, a sharp factor reversal late in the year dampened gains: Momentum (which we mentioned earlier) gave up gains, and value—a factor defined by systematic comparison of some measure of an asset’s fundamental value to its price—outperformed. This factor performance dispersion, we believe, was driven by a material tax differential between the underlying indices in light of November’s tax reform legislation. (The weighted-average effective tax rate for companies within the value index was 26% as compared to 17% for momentum). Additionally, in the first few months of 2018, Risk Premia and Systematic Trend Following strategies detracted from performance in this part of the portfolio. Some of these strategies’ trading models take shorter-term views, accounting more significantly for recent market moves in their positioning; most, however, are built around medium-to-long-term trends, meaning that they aim to capture more persistent risk premia over longer time frames. Accordingly, these models are less likely to adapt to short-term swings in market factors, and at certain moments in the Reporting Period like November or February, when longer-term trends reversed suddenly, these models did not dramatically adjust positioning; hence, they experienced losses at those times. But as long-term investors, we retain our conviction in Risk Premia and other systematic strategies. We believe that the diversification benefits and potential to harvest differentiated sources of return over time outweigh the month-to-month fluctuations that may at times detract from performance.
During the Reporting Period, the Investment Advisor added seven new sub-advisers to the Fund: Cerebellum GP LLC (doing business as Cerebellum Capital) (Equity Hedge strategy), Endeavour Capital Advisors Inc. (Equity Hedge strategy), Gracian Capital LLC (Equity Hedge strategy13), GSA Capital Partners LLP (Macro strategy), H2O AM LLP (Macro strategy), Magnetar Asset Management LLC (Event-Driven strategy), and NWI Management, L.P. (Macro strategy). Also during the Reporting Period, the Investment Adviser terminated three sub-advisers to the Fund: Chatham Asset Management, LLC (Relative Value strategy), FT AlphaParity, LLC (Macro strategy), and GS Investment Strategies, LLC (Equity Hedge strategy). Sub-adviser additions and terminations are normal events in the Investment Adviser’s investment process and result from our dynamic top-down evaluation of the opportunity set for hedge fund strategies as well as the bottom-up evaluation of a manager’s ability to deliver alpha in a given environment. When done well, value may be generated by making the right top-down calls on which asset classes are attractive in a given environment and increasing the Fund’s exposure to those asset classes. For more information on the Fund’s sub-advisers, please refer to their profiles available on the Fund’s website.
Looking forward to the remainder of 2018 and into 2019, we anticipate continued volatility and further dispersion among stocks, sectors, and geographies—together, conditions that furnish active managers with potential opportunities to pick winners and losers and thereby generate alpha. The market correction in February and continued slump through March may portend additional downside volatility this year; after all, the CAPE ratio remains historically high at 31.2x even after equities’ recent pullback. Still, the tax cuts and Jobs Act, signed by President Trump in December and the favorable regulatory environment may stimulate earnings growth that could help bring fundamentals into closer alignment with valuations. Whether through
| 13 | Gracian Capital, LLC serves as a non-discretionary sub-adviser, advising the Investment Advisor with a short-only fundamental equity strategy on a non-discretionary basis. |
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corporate earnings growth or by market moves to the downside, we would expect the CAPE to revert to the mean. (Since 1881, the average CAPE ratio is 16.9x; since the December 1999 peak before the Dot Com Bubble, the average is 25.3x). In either event, we believe that skilled active managers are well positioned to take advantage of what the coming year may bring in equity markets, whether by picking winning companies poised for earnings growth or by determining losing companies most susceptible to downside risk.
Turning to fixed income, the rising rate environment portends challenges ahead: when rates rise, prices fall on fixed rate bonds as investors favor new supply with a higher yield. Additionally, borrower creditworthiness may also decrease in the face of higher interest rates as debt service increases and profitability comes under pressure. Together, these potential headwinds could reduce the value of many fixed income investments. If equity markets also face headwinds in the coming year, traditional equity-fixed income diversification techniques may fall short in protecting investor capital. This potential threat to investors’ portfolios suggests the importance of seeking new means of diversification—a gap that alternative investment strategies and nontraditional asset classes could fill. In our view, an actively-managed long/short investment approach, for instance, may reduce a portfolio’s reliance on the overall market’s direction. We also believe that floating rate instruments may weather a rising rate environment better than fixed rate debt. And we believe that diversifying, multi-asset strategies, such as Global Macro, may be well-positioned to navigate the challenges presented by increasing domestic inflation and divergent Central Bank policy around the world, while quantitative and risk premia-oriented strategies may provide additional differentiation and uncorrelated sources of return.
We maintain conviction in the expertise and opportunity sets for the Fund’s sub-advisory lineup; nonetheless, we continue to manage the portfolio dynamically—allocating to strategies that we deem attractive in the current market environment and reassessing those that face potential headwinds. It is impossible to predict with accuracy what the coming year holds in store, but we remain confident that investment strategies that are both diversified and hedged by nature could play an important role in the prudent investor’s portfolio by mitigating downside volatility and affording alpha generation potential.
We are grateful for your choosing to invest with us and for giving us the opportunity to serve you for years to come.
Sincerely,
5
Performance Summary
Performance quoted represents past performance, which may be higher or lower than current performance. Past performance is not indicative of future results. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The returns shown do not reflect taxes that an investor would pay on fund distributions or on the sale of fund shares. To obtain the most recent month-end performance, visit www.bxmix.com.
Value of a $10,000 Investment Since Inception at Net Asset Value*
None of the indices presented are benchmarks or targets for the Fund.
| * | The line graph represents historical performance of a hypothetical investment of $10,000 from Inception (June 16, 2014) to March 31, 2018, assuming the reinvestment of distributions. |
Cumulative Total Return
| | | | | | | | | | |
| | | For the
Year Ended
March 31,
2018 | | Since
Inception
(June 16,
2014) |
Class I Shares (“BXMIX”) | | | | 3.06 | % | | | | 12.66 | % |
HFRX Global Hedge Fund Index | | | | 3.20 | % | | | | 2.18 | % |
MSCI World Total Return Index | | | | 14.20 | % | | | | 32.28 | % |
Bloomberg Barclays Global Aggregate Bond Index | | | | 6.97 | % | | | | 3.91 | % |
6
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Portfolio Information
March 31, 2018
| | | | | |
Geographic Breakdown | | Percentage of
Total Net Assets |
North America | | | | 66.6 | % |
Asia | | | | 4.2 | |
Europe | | | | 2.4 | |
South America | | | | 0.8 | |
Middle East | | | | 0.4 | |
Africa | | | | 0.0 | 1 |
Oceania | | | | 0.0 | 1 |
Other 2 | | | | 16.4 | |
Securities Sold Short | | | | (24.3 | ) |
Other Assets and Liabilities 3 | | | | 33.5 | |
| | | | | |
Total | | | | 100.0 | % |
| | | | | |
| 1 | Represents less than 0.1%. |
| 2 | Includes Sovereign Debt, Exchange-Traded Funds, Short-Term Investment—Money Market Funds and Purchased Options. |
| 3 | Assets, other than investments in securities, net of other liabilities. See Consolidated Statement of Assets and Liabilities. A significant portion of the balance represents cash collateral for derivatives. |
| | | | | |
Portfolio Composition | | Percentage of
Total Net Assets |
Common Stock | | | | 28.7 | % |
Mortgage-Backed Securities | | | | 24.8 | |
Sovereign Debt | | | | 8.4 | |
Short-Term Investment—Money Market Funds | | | | 5.8 | |
Investments in Investee Funds | | | | 5.4 | |
Asset-Backed Securities | | | | 5.1 | |
Preferred Stock | | | | 3.5 | |
Corporate Bonds & Notes | | | | 3.0 | |
Exchange-Traded Funds | | | | 2.2 | |
U.S. Treasury Obligations | | | | 2.0 | |
Convertible Bonds | | | | 0.9 | |
Bank Debt | | | | 0.5 | |
U.S. Government Sponsored Agency Securities | | | | 0.5 | |
Other 1 | | | | 0.0 | 2 |
Securities Sold Short | | | | (24.3 | ) |
Other Assets and Liabilities 3 | | | | 33.5 | |
| | | | | |
Total | | | | 100.0 | % |
| | | | | |
| 1 | Includes Purchased Options. |
| 2 | Represents less than 0.1%. |
| 3 | Assets, other than investments in securities, net of other liabilities. See Consolidated Statement of Assets and Liabilities. A significant portion of the balance represents cash collateral for derivatives. |
| | | | | |
Credit Quality Allocation1 | | Percentage of
Total
Investments
in Securities |
AAA/Aaa2 | | | | 4.2 | % |
AA/Aa | | | | 1.5 | |
A | | | | 1.0 | |
BBB/Baa | | | | 6.6 | |
BB/Ba | | | | 5.6 | |
B | | | | 8.2 | |
CCC/Caa | | | | 0.5 | |
CC/Ca | | | | — | |
Not Rated | | | | 26.0 | |
Other3 | | | | 46.4 | |
| | | | | |
Total Investments in Securities | | | | 100.0 | % |
| | | | | |
| 1 | Using the higher of Standard & Poor’s (“S&P’s”) or Moody’s Investor Service (“Moody’s”) ratings. |
| 2 | Includes U.S. Government Sponsored Agency Securities and U.S. Treasury Obligations which are deemed AAA/Aaa by the Investment Adviser. |
| 3 | Includes Common Stock, Exchange-Traded Funds, Investments in Investee Funds, Short-Term Investment—Money Market Funds and Purchased Options. |
7
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Portfolio Information (Continued)
March 31, 2018
| | | | | |
Industry | | Percentage of
Total Net Assets |
Financial Services | | | | 4.2 | % |
Medical Equipment & Devices | | | | 3.4 | |
Banking | | | | 3.2 | |
Biotechnology & Pharmaceuticals | | | | 3.2 | |
Health Care Facilities & Services | | | | 1.9 | |
Retail—Discretionary | | | | 1.7 | |
Semiconductors | | | | 1.7 | |
Media | | | | 1.5 | |
Gaming, Lodging & Restaurants | | | | 1.4 | |
Software | | | | 1.2 | |
Consumer Products | | | | 1.1 | |
Oil, Gas & Coal | | | | 1.1 | |
Hardware | | | | 1.0 | |
Integrated Oils | | | | 0.9 | |
Retail—Consumer Staples | | | | 0.8 | |
Specialty Finance | | | | 0.7 | |
Chemicals | | | | 0.5 | |
Diversified Banks | | | | 0.5 | |
Pharmaceuticals | | | | 0.5 | |
Apparel & Textile Products | | | | 0.4 | |
Real Estate | | | | 0.4 | |
Electrical Equipment | | | | 0.3 | |
Engineering & Construction Services | | | | 0.3 | |
Technology Services | | | | 0.3 | |
Utilities | | | | 0.3 | |
Aerospace & Defense | | | | 0.2 | |
Automotive | | | | 0.2 | |
Consumer Services | | | | 0.2 | |
Containers & Packaging | | | | 0.2 | |
Insurance | | | | 0.2 | |
Machinery | | | | 0.2 | |
Passenger Transportation | | | | 0.2 | |
Retail—Consumer Discretionary | | | | 0.2 | |
Telecommunications | | | | 0.2 | |
Transportation & Logistics | | | | 0.2 | |
Transportation Equipment | | | | 0.2 | |
Wireless Telecommunications Services | | | | 0.2 | |
Casinos & Gaming | | | | 0.1 | |
Commercial Finance | | | | 0.1 | |
Design, Manufacturing & Distribution | | | | 0.1 | |
Distributors—Consumer Staples | | | | 0.1 | |
Exploration & Production | | | | 0.1 | |
Home & Office Products | | | | 0.1 | |
Industrial Services | | | | 0.1 | |
Leisure Products | | | | 0.1 | |
Machinery Manufacturing | | | | 0.1 | |
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Portfolio Information (Continued)
March 31, 2018
| | | | | |
Industry | | Percentage of
Total Net Assets |
Medical Equipment & Devices Manufacturing | | | | 0.1 | % |
Metals & Mining | | | | 0.1 | |
Oil & Gas Services & Equipment | | | | 0.1 | |
Pipeline | | | | 0.1 | |
Property & Casualty Insurance | | | | 0.1 | |
Recreation Facilities & Services | | | | 0.1 | |
Software & Services | | | | 0.1 | |
Waste & Environmental Services & Equipment | | | | 0.1 | |
Advertising & Marketing | | | | 0.0 | 1 |
Asset Management | | | | 0.0 | 1 |
Banks | | | | 0.0 | 1 |
Coal Operations | | | | 0.0 | 1 |
Commercial Services | | | | 0.0 | 1 |
Construction Materials | | | | 0.0 | 1 |
Consumer Finance | | | | 0.0 | 1 |
Distributors—Discretionary | | | | 0.0 | 1 |
Food & Beverage | | | | 0.0 | 1 |
Forest & Paper Products | | | | 0.0 | 1 |
Industrial Other | | | | 0.0 | 1 |
Institutional Financial Services | | | | 0.0 | 1 |
Internet Media | | | | 0.0 | 1 |
Iron & Steel | | | | 0.0 | 1 |
Manufactured Goods | | | | 0.0 | 1 |
Publishing & Broadcasting | | | | 0.0 | 1 |
Refining & Marketing | | | | 0.0 | 1 |
Renewable Energy | | | | 0.0 | 1 |
Supermarkets & Pharmacies | | | | 0.0 | 1 |
Travel & Lodging | | | | 0.0 | 1 |
Wireline Telecommunication Services | | | | 0.0 | 1 |
Other2 | | | | 54.2 | |
Securities Sold Short | | | | (24.3 | ) |
Other Assets and Liabilities3 | | | | 33.5 | |
| | | | | |
Total Investments | | | | 100.0 | % |
| | | | | |
| 1 | Represents less than 0.1%. |
| 2 | Includes Asset-Backed Securities, Sovereign Debt, Mortgage-Backed Securities, U.S. Government Sponsored Agency Securities, U.S. Treasury Obligations, Exchange-Traded Funds, Investments in Investee Funds, Short-Term Investment—Money Market Funds and Purchased Options. |
| 3 | Assets, other than investments in securities, net of other liabilities. See Consolidated Statement of Assets and Liabilities. A significant portion of the balance represents cash collateral for derivatives. |
9
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments
March 31, 2018
| | | | | | | | | | | | |
Security Description | | Shares | | | | | | Value | |
| | | |
INVESTMENTS IN SECURITIES — 90.8% | | | | | | | | | | | | |
COMMON STOCK — 28.7% | | | | | | | | | | | | |
Africa — 0.0% | | | | | | | | | | | | |
Metals & Mining — 0.0% | | | | | | | | | | | | |
Gold Fields Ltd. ADR | | | 153,900 | | | | | | | $ | 618,678 | |
Harmony Gold Mining Co. Ltd. ADR | | | 12,600 | | | | | | | | 30,114 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 648,792 | |
| | | | | | | | | | | | |
Specialty Finance — 0.0% | | | | | | | | | | | | |
Net 1 UEPS Technologies, Inc. (a),(b) | | | 16,500 | | | | | | | | 156,090 | |
| | | | | | | | | | | | |
Total Africa | | | | | | | | | | | 804,882 | |
| | | | | | | | | | | | |
Asia — 0.6% | | | | | | | | | | | | |
Biotechnology & Pharmaceuticals — 0.0% | | | | | | | | | | | | |
Sinovac Biotech Ltd. (a) | | | 200 | | | | | | | | 1,722 | |
| | | | | | | | | | | | |
Consumer Services — 0.1% | | | | | | | | | | | | |
New Oriental Education & Technology Group, Inc. ADR | | | 20,600 | | | | | | | | 1,805,590 | |
TAL Education Group ADR | | | 68,700 | | | | | | | | 2,548,083 | |
Tarena International, Inc. ADR | | | 7,200 | | | | | | | | 80,784 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 4,434,457 | |
| | | | | | | | | | | | |
Design, Manufacturing & Distribution — 0.0% | | | | | | | | | | | | |
Fabrinet (a) | | | 18,000 | | | | | | | | 564,840 | |
| | | | | | | | | | | | |
Gaming, Lodging & Restaurants — 0.1% | | | | | | | | | | | | |
China Lodging Group Ltd. ADR | | | 4,600 | | | | | | | | 605,866 | |
Melco Crown Entertainment Ltd. ADR | | | 135,600 | | | | | | | | 3,929,688 | |
Yum China Holdings, Inc. | | | 82,600 | | | | | | | | 3,427,900 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 7,963,454 | |
| | | | | | | | | | | | |
Hardware — 0.1% | | | | | | | | | | | | |
AU Optronics Corp. ADR | | | 16,000 | | | | | | | | 73,120 | |
Canon, Inc. ADR | | | 469 | | | | | | | | 17,095 | |
Kyocera Corp. ADR | | | 200 | | | | | | | | 11,348 | |
LG Display Co. Ltd. ADR | | | 6,600 | | | | | | | | 79,860 | |
Sony Corp. ADR | | | 42,700 | | | | | | | | 2,064,118 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,245,541 | |
| | | | | | | | | | | | |
Health Care Facilities & Services — 0.0% | | | | | | | | | | | | |
Global Cord Blood Corp. (a) | | | 5,600 | | | | | | | | 57,120 | |
iKang Healthcare Group, Inc. ADR (a) | | | 8,200 | | | | | | | | 163,590 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 220,710 | |
| | | | | | | | | | | | |
See Notes to Consolidated Financial Statements.
10
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | |
Security Description | | Shares | | | | | Value | |
Insurance — 0.0% | | | | | | | | | | |
Fanhua, Inc. (b) | | | 400 | | | | | $ | 10,808 | |
| | | | | | | | | | |
Machinery — 0.0% | | | | | | | | | | |
China Yuchai International Ltd. (b) | | | 4,245 | | | | | | 89,867 | |
Hollysys Automation Technologies Ltd. (b) | | | 5,900 | | | | | | 145,848 | |
| | | | | | | | | | |
| | | | | | | | | 235,715 | |
| | | | | | | | | | |
Media — 0.3% | | | | | | | | | | |
58.com, Inc. ADR (a) | | | 16,100 | | | | | | 1,285,746 | |
Autohome, Inc. ADR | | | 20,000 | | | | | | 1,718,800 | |
Baidu, Inc. ADR (a) | | | 14,800 | | | | | | 3,303,212 | |
Ctrip.com International Ltd. ADR (a) | | | 1,900 | | | | | | 88,578 | |
Leju Holdings Ltd. ADR (a) | | | 800 | | | | | | 1,080 | |
Phoenix New Media Ltd. ADR (a) | | | 2,100 | | | | | | 9,135 | |
SINA Corp. (a) | | | 30,700 | | | | | | 3,201,089 | |
Sohu.com, Inc. (a),(b) | | | 14,500 | | | | | | 448,340 | |
Weibo Corp. ADR (a) | | | 47,510 | | | | | | 5,679,345 | |
Yandex NV A Shares (a) | | | 68,800 | | | | | | 2,714,160 | |
| | | | | | | | | | |
| | | | | | | | | 18,449,485 | |
| | | | | | | | | | |
Oil, Gas & Coal — 0.0% | | | | | | | | | | |
China Petroleum & Chemical Corp. ADR | | | 2,500 | | | | | | 221,200 | |
| | | | | | | | | | |
Passenger Transportation — 0.0% | | | | | | | | | | |
China Southern Airlines Co. Ltd. ADR (b) | | | 600 | | | | | | 31,578 | |
Guangshen Railway Co. Ltd. ADR (b) | | | 100 | | | | | | 2,950 | |
| | | | | | | | | | |
| | | | | | | | | 34,528 | |
| | | | | | | | | | |
Real Estate — 0.0% | | | | | | | | | | |
Xinyuan Real Estate Co. Ltd. ADR (b) | | | 13,800 | | | | | | 72,864 | |
| | | | | | | | | | |
Renewable Energy — 0.0% | | | | | | | | | | |
Highpower International, Inc. (a) | | | 200 | | | | | | 750 | |
JA Solar Holdings Co. Ltd. ADR (a) | | | 13,300 | | | | | | 87,248 | |
| | | | | | | | | | |
| | | | | | | | | 87,998 | |
| | | | | | | | | | |
Retail—Discretionary — 0.0% | | | | | | | | | | |
Alibaba Group Holding Ltd. ADR (a) | | | 3,318 | | | | | | 608,986 | |
| | | | | | | | | | |
Semiconductors — 0.0% | | | | | | | | | | |
ChipMOS Technologies, Inc. ADR | | | 600 | | | | | | 9,510 | |
Kulicke & Soffa Industries, Inc. (a),(b) | | | 21,100 | | | | | | 527,711 | |
Magnachip Semiconductor Corp. (a) | | | 15,300 | | | | | | 146,880 | |
Silicon Motion Technology Corp. ADR | | | 200 | | | | | | 9,624 | |
Siliconware Precision Industries Co. Ltd. ADR | | | 20 | | | | | | 173 | |
See Notes to Consolidated Financial Statements.
11
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | | | |
Security Description | | Shares | | | | | | Value | |
Taiwan Semiconductor Manufacturing Co. Ltd. ADR | | | 6,900 | | | | | | | $ | 301,944 | |
United Microelectronics Corp. ADR | | | 36,100 | | | | | | | | 93,499 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,089,341 | |
| | | | | | | | | | | | |
Software — 0.0% | | | | | | | | | | | | |
Changyou.com Ltd. ADR (a),(b) | | | 9,700 | | | | | | | | 270,533 | |
Momo, Inc. ADR (a) | | | 23,200 | | | | | | | | 867,216 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,137,749 | |
| | | | | | | | | | | | |
Technology Services — 0.0% | | | | | | | | | | | | |
WNS Holdings Ltd. ADR (a) | | | 11,100 | | | | | | | | 503,163 | |
| | | | | | | | | | | | |
Telecommunications — 0.0% | | | | | | | | | | | | |
Aspire Holdings LLC Class A (a),(d) | | | 1,502,082 | | | | | | | | 1 | |
China Telecom Corp. Ltd. ADR | | | 300 | | | | | | | | 13,344 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 13,345 | |
| | | | | | | | | | | | |
Total Asia | | | | | | | | | | | 37,895,906 | |
| | | | | | | | | | | | |
Europe — 1.3% | | | | | | | | | | | | |
Automotive — 0.1% | | | | | | | | | | | | |
Autoliv, Inc. | | | 2,000 | | | | | | | | 291,880 | |
Fiat Chrysler Automobiles NV | | | 130,600 | | | | | | | | 2,679,912 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,971,792 | |
| | | | | | | | | | | | |
Biotechnology & Pharmaceuticals — 0.3% | | | | | | | | | | | | |
Amarin Corp. PLC ADR (a) | | | 34,700 | | | | | | | | 104,447 | |
AstraZeneca PLC ADR | | | 1,100 | | | | | | | | 38,467 | |
GlaxoSmithKline PLC ADR | | | 100 | | | | | | | | 3,907 | |
Grifols SA ADR | | | 3,800 | | | | | | | | 80,560 | |
Novartis AG (d) | | | 235,700 | | | | | | | | 19,063,622 | |
Novartis AG ADR | | | 700 | | | | | | | | 56,595 | |
uniQure NV (a) | | | 600 | | | | | | | | 14,100 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 19,361,698 | |
| | | | | | | | | | | | |
Chemicals — 0.0% | | | | | | | | | | | | |
Orion Engineered Carbons SA (b) | | | 33,200 | | | | | | | | 899,720 | |
| | | | | | | | | | | | |
Commercial Services — 0.0% | | | | | | | | | | | | |
Cimpress NV (a) | | | 7,500 | | | | | | | | 1,160,250 | |
| | | | | | | | | | | | |
Consumer Products — 0.0% | | | | | | | | | | | | |
Avon Products, Inc. (a) | | | 11,600 | | | | | | | | 32,944 | |
Unilever NV | | | 24 | | | | | | | | 1,353 | |
Unilever PLC ADR | | | 15,700 | | | | | | | | 872,292 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 906,589 | |
| | | | | | | | | | | | |
See Notes to Consolidated Financial Statements.
12
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | | | |
Security Description | | Shares | | | | | | Value | |
Engineering & Construction Services — 0.3% | | | | | | | | | | | | |
Abertis Infraestructuras SA | | | 696,497 | | | | | | | $ | 15,614,013 | |
| | | | | | | | | | | | |
Hardware — 0.0% | | | | | | | | | | | | |
Logitech International SA | | | 3,500 | | | | | | | | 128,555 | |
| | | | | | | | | | | | |
Insurance — 0.0% | | | | | | | | | | | | |
Aegon NV | | | 5 | | | | | | | | 34 | |
| | | | | | | | | | | | |
Media — 0.0% | | | | | | | | | | | | |
Trivago NV ADR (a) | | | 300 | | | | | | | | 2,085 | |
| | | | | | | | | | | | |
Medical Equipment & Devices — 0.3% | | | | | | | | | | | | |
Lonza Group AG (a),(d) | | | 81,520 | | | | | | | | 19,225,600 | |
Trinity Biotech PLC ADR (a),(b) | | | 1,700 | | | | | | | | 8,755 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 19,234,355 | |
| | | | | | | | | | | | |
Metals & Mining — 0.0% | | | | | | | | | | | | |
Constellium NV Class A (a) | | | 25,100 | | | | | | | | 272,335 | |
| | | | | | | | | | | | |
Passenger Transportation — 0.0% | | | | | | | | | | | | |
Ryanair Holdings PLC ADR (a) | | | 12,575 | | | | | | | | 1,544,839 | |
| | | | | | | | | | | | |
Recreation Facilities & Services — 0.0% | | | | | | | | | | | | |
Manchester United PLC Class A | | | 1,200 | | | | | | | | 23,040 | |
| | | | | | | | | | | | |
Semiconductors — 0.3% | | | | | | | | | | | | |
NXP Semiconductor NV (a),(d) | | | 117,575 | | | | | | | | 13,756,275 | |
| | | | | | | | | | | | |
Software — 0.0% | | | | | | | | | | | | |
InterXion Holding NV (a) | | | 7,300 | | | | | | | | 453,403 | |
| | | | | | | | | | | | |
Technology Services — 0.0% | | | | | | | | | | | | |
Atento SA | | | 200 | | | | | | | | 1,560 | |
| | | | | | | | | | | | |
Transportation & Logistics — 0.0% | | | | | | | | | | | | |
Aegean Marine Petroleum Network, Inc. (b) | | | 2,400 | | | | | | | | 5,400 | |
Navios Maritime Partners LP (a) | | | 10,300 | | | | | | | | 18,540 | |
Safe Bulkers, Inc. (a) | | | 23,200 | | | | | | | | 73,544 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 97,484 | |
| | | | | | | | | | | | |
Total Europe | | | | | | | | | | | 76,428,027 | |
| | | | | | | | | | | | |
Middle East — 0.1% | | | | | | | | | | | | |
Biotechnology & Pharmaceuticals — 0.0% | | | | | | | | | | | | |
Teva Pharmaceutical Industries Ltd. ADR | | | 90,900 | | | | | | | | 1,553,481 | |
| | | | | | | | | | | | |
Electrical Equipment — 0.0% | | | | | | | | | | | | |
Camtek Ltd. | | | 900 | | | | | | | | 6,075 | |
| | | | | | | | | | | | |
See Notes to Consolidated Financial Statements.
13
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | | | |
Security Description | | Shares | | | | | | Value | |
Orbotech Ltd. (a),(b) | | | 17,700 | | | | | | | $ | 1,100,586 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,106,661 | |
| | | | | | | | | | | | |
Hardware — 0.0% | | | | | | | | | | | | |
Ceragon Networks Ltd. (a) | | | 4,900 | | | | | | | | 13,181 | |
Radware Ltd. (a),(b) | | | 9,700 | | | | | | | | 207,095 | |
Silicom Ltd. (a) | | | 200 | | | | | | | | 6,882 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 227,158 | |
| | | | | | | | | | | | |
Media — 0.0% | | | | | | | | | | | | |
Wix.com Ltd. (a) | | | 2,200 | | | | | | | | 175,010 | |
| | | | | | | | | | | | |
Oil, Gas & Coal — 0.0% | | | | | | | | | | | | |
Ocean Rig UDW, Inc. (a) | | | 8,800 | | | | | | | | 222,024 | |
| | | | | | | | | | | | |
Semiconductors — 0.1% | | | | | | | | | | | | |
Mellanox Technologies Ltd. (a) | | | 25,900 | | | | | | | | 1,886,815 | |
Tower Semiconductor Ltd. (a) | | | 12,200 | | | | | | | | 328,302 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,215,117 | |
| | | | | | | | | | | | |
Software — 0.0% | | | | | | | | | | | | |
Attunity Ltd. (a) | | | 500 | | | | | | | | 3,750 | |
CyberArk Software Ltd. (a) | | | 5,800 | | | | | | | | 295,916 | |
NICE-Systems Ltd. ADR | | | 100 | | | | | | | | 9,393 | |
Sapiens International Corp. NV (b) | | | 1,300 | | | | | | | | 11,089 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 320,148 | |
| | | | | | | | | | | | |
Technology Services — 0.0% | | | | | | | | | | | | |
Magic Software Enterprises Ltd. (b) | | | 600 | | | | | | | | 5,100 | |
| | | | | | | | | | | | |
Telecommunications — 0.0% | | | | | | | | | | | | |
Allot Communications Ltd. (a) | | | 900 | | | | | | | | 4,918 | |
| | | | | | | | | | | | |
Total Middle East | | | | | | | | | | | 5,829,617 | |
| | | | | | | | | | | | |
North America — 26.6% | | | | | | | | | | | | |
Aerospace & Defense — 0.2% | | | | | | | | | | | | |
Boeing Co. | | | 2,500 | | | | | | | | 819,700 | |
Ducommun, Inc. (a),(b) | | | 2,200 | | | | | | | | 66,836 | |
Esterline Technologies Corp. (a) | | | 9,800 | | | | | | | | 716,870 | |
HEICO Corp. | | | 5,250 | | | | | | | | 455,753 | |
Hexcel Corp. | | | 11,100 | | | | | | | | 716,949 | |
Lockheed Martin Corp. (b) | | | 28,999 | | | | | | | | 9,799,632 | |
Moog, Inc. Class A (a),(b) | | | 3,100 | | | | | | | | 255,471 | |
Orbital ATK, Inc. | | | 8 | | | | | | | | 1,060 | |
TransDigm Group, Inc. | | | 4,200 | | | | | | | | 1,289,148 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 14,121,419 | |
| | | | | | | | | | | | |
See Notes to Consolidated Financial Statements.
14
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | |
Security Description | | Shares | | | | | Value | |
Apparel & Textile Products — 0.4% | | | | | | | | | | |
Carter's, Inc. | | | 500 | | | | | $ | 52,050 | |
Cherokee, Inc. (a) | | | 100 | | | | | | 130 | |
Crocs, Inc. (a) | | | 33,500 | | | | | | 544,375 | |
Culp, Inc. | | | 700 | | | | | | 21,385 | |
Fossil Group, Inc. (a) | | | 1,600 | | | | | | 20,320 | |
Gildan Activewear, Inc. | | | 600 | | | | | | 17,334 | |
Movado Group, Inc. | | | 2,500 | | | | | | 96,000 | |
Nike, Inc. Class B | | | 336,700 | | | | | | 22,370,348 | |
Perry Ellis International, Inc. (a),(b) | | | 3,700 | | | | | | 95,460 | |
PVH Corp. | | | 100 | | | | | | 15,143 | |
Rocky Brands, Inc. | | | 300 | | | | | | 6,435 | |
Skechers U.S.A., Inc. Class A (a) | | | 75,200 | | | | | | 2,924,528 | |
Under Armour, Inc. Class A (a) | | | 4,600 | | | | | | 75,210 | |
Unifi, Inc. (a) | | | 1,200 | | | | | | 43,500 | |
Vince Holding Corp. (a) | | | 306 | | | | | | 2,739 | |
| | | | | | | | | | |
| | | | | | | | | 26,284,957 | |
| | | | | | | | | | |
Asset Management — 0.0% | | | | | | | | | | |
Apollo Investment Corp. | | | 45,297 | | | | | | 236,450 | |
BBX Capital Corp. | | | 100 | | | | | | 921 | |
BlackRock Kelso Capital Corp. (b) | | | 29,000 | | | | | | 174,870 | |
Capital Southwest Corp. | | | 200 | | | | | | 3,404 | |
Capitala Finance Corp. | | | 6,600 | | | | | | 50,952 | |
Fidus Investment Corp. (b) | | | 6,600 | | | | | | 85,008 | |
Financial Engines, Inc. | | | 4,200 | | | | | | 147,000 | |
FS Investment Corp. | | | 1,800 | | | | | | 13,050 | |
Garrison Capital, Inc. (b) | | | 1,900 | | | | | | 15,428 | |
Gladstone Capital Corp. (b) | | | 6,600 | | | | | | 56,760 | |
Gladstone Investment Corp. (b) | | | 6,200 | | | | | | 62,620 | |
GSV Capital Corp. (a) | | | 200 | | | | | | 1,508 | |
Hercules Technology Growth Capital, Inc. | | | 8,800 | | | | | | 106,480 | |
Horizon Technology Finance Corp. (b) | | | 2,400 | | | | | | 24,936 | |
Invesco Ltd. | | | 100 | | | | | | 3,201 | |
KCAP Financial, Inc. (b) | | | 6,500 | | | | | | 20,410 | |
Manning & Napier, Inc. | | | 1,600 | | | | | | 5,600 | |
Medallion Financial Corp.(a),(b) | | | 4,400 | | | | | | 20,460 | |
Monroe Capital Corp. | | | 3,800 | | | | | | 46,740 | |
MVC Capital, Inc. (b) | | | 1,800 | | | | | | 17,874 | |
New Mountain Finance Corp. | | | 100 | | | | | | 1,315 | |
Newtek Business Services Corp. | | | 3,913 | | | | | | 70,708 | |
OM Asset Management plc | | | 11,000 | | | | | | 173,360 | |
Oppenheimer Holdings, Inc. Class A (b) | | | 2,900 | | | | | | 74,675 | |
Oxford Square Capital Corp. (b) | | | 16,100 | | | | | | 98,371 | |
PennantPark Floating Rate Capital Ltd. (b) | | | 1,962 | | | | | | 25,683 | |
PennantPark Investment Corp. (b) | | | 21,100 | | | | | | 140,948 | |
See Notes to Consolidated Financial Statements.
15
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | |
Security Description | | Shares | | | | | Value | |
Rafael Holdings, Inc. Class B (a) | | | 1,150 | | | | | $ | 5,577 | |
Safeguard Scientifics, Inc. (a) | | | 400 | | | | | | 4,900 | |
Solar Capital Ltd. (b) | | | 6,900 | | | | | | 140,139 | |
Solar Senior Capital Ltd. | | | 2,400 | | | | | | 40,320 | |
Stellus Capital Investment Corp. (b) | | | 3,800 | | | | | | 43,738 | |
TCP Capital Corp. | | | 10,400 | | | | | | 147,888 | |
THL Credit, Inc. (b) | | | 7,600 | | | | | | 59,052 | |
TPG Specialty Lending, Inc. | | | 200 | | | | | | 3,572 | |
TriplePoint Venture Growth BDC Corp. | | | 3,400 | | | | | | 40,630 | |
WhiteHorse Finance, Inc. (b) | | | 3,500 | | | | | | 43,470 | |
| | | | | | | | | | |
| | | | | | | | | 2,208,018 | |
| | | | | | | | | | |
Automotive — 0.1% | | | | | | | | | | |
BorgWarner, Inc. | | | 7,000 | | | | | | 351,610 | |
Cooper-Standard Holding, Inc. (a) | | | 3,400 | | | | | | 417,554 | |
Dana Holding Corp. | | | 1,700 | | | | | | 43,792 | |
Delphi Technologies plc | | | 500 | | | | | | 23,825 | |
Ford Motor Co. | | | 43,800 | | | | | | 485,304 | |
Gentex Corp. | | | 20,800 | | | | | | 478,816 | |
Lear Corp. | | | 3,700 | | | | | | 688,533 | |
Miller Industries, Inc. | | | 100 | | | | | | 2,500 | |
Modine Manufacturing Co. (a) | | | 14,400 | | | | | | 304,560 | |
Superior Industries International, Inc. | | | 200 | | | | | | 2,660 | |
Tenneco, Inc. | | | 3,400 | | | | | | 186,558 | |
Tower International, Inc. (b) | | | 4,000 | | | | | | 111,000 | |
| | | | | | | | | | |
| | | | | | | | | 3,096,712 | |
| | | | | | | | | | |
Banking — 3.1% | | | | | | | | | | |
Access National Corp. | | | 400 | | | | | | 11,412 | |
Allegiance Bancshares, Inc. (a),(d) | | | 31,423 | | | | | | 1,230,210 | |
Arrow Financial Corp. (b) | | | 559 | | | | | | 18,978 | |
Associated Banc-Corp | | | 34 | | | | | | 845 | |
Atlantic Capital Bancshares, Inc. (a) | | | 3,200 | | | | | | 57,920 | |
Banco Latinoamericano de Comercio Exterior SA E Shares | | | 100 | | | | | | 2,850 | |
Bancorp, Inc. (a),(b) | | | 10,400 | | | | | | 112,320 | |
Bank of Marin Bancorp | | | 400 | | | | | | 27,580 | |
Bank of NT Butterfield & Son Ltd. | | | 13,900 | | | | | | 623,832 | |
BankFinancial Corp. | | | 1,155 | | | | | | 19,612 | |
Banner Corp. (d) | | | 99,999 | | | | | | 5,548,945 | |
Beneficial Bancorp, Inc. | | | 5,182 | | | | | | 80,580 | |
Berkshire Hills Bancorp, Inc. (d) | | | 106,507 | | | | | | 4,041,941 | |
Bridge Bancorp, Inc. | | | 200 | | | | | | 6,710 | |
Bryn Mawr Bank Corp. | | | 200 | | | | | | 8,790 | |
Byline Bancorp, Inc. (a),(d) | | | 151,989 | | | | | | 3,485,108 | |
Cadence BanCorp | | | 5,700 | | | | | | 155,211 | |
See Notes to Consolidated Financial Statements.
16
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | |
Security Description | | Shares | | | | | Value | |
Capitol Federal Financial, Inc. | | | 1,000 | | | | | $ | 12,350 | |
Centerstate Banks, Inc. (d) | | | 449,375 | | | | | | 11,921,919 | |
Central Pacific Financial Corp. (b) | | | 5,000 | | | | | | 142,300 | |
Charter Financial Corp. (b) | | | 1,300 | | | | | | 26,507 | |
City Holding Co. (b) | | | 100 | | | | | | 6,856 | |
CoBiz Financial, Inc. | | | 700 | | | | | | 13,720 | |
Comerica, Inc. | | | 15,000 | | | | | | 1,438,950 | |
ConnectOne Bancorp, Inc. (d) | | | 17,061 | | | | | | 491,357 | |
East West Bancorp, Inc. | | | 9,100 | | | | | | 569,114 | |
Enterprise Financial Services Corp. (d) | | | 133,830 | | | | | | 6,276,627 | |
Farmers Capital Bank Corp. (b) | | | 100 | | | | | | 3,995 | |
Fidelity Southern Corp. (b) | | | 2,800 | | | | | | 64,596 | |
Financial Institutions, Inc. (b) | | | 1,800 | | | | | | 53,280 | |
First BanCorp (a),(b) | | | 90,200 | | | | | | 543,004 | |
First Bancorp/Southern Pines | | | 300 | | | | | | 10,695 | |
First Business Financial Services, Inc. | | | 600 | | | | | | 15,096 | |
First Community Bancshares, Inc. (b) | | | 800 | | | | | | 23,880 | |
First Defiance Financial Corp. | | | 1,000 | | | | | | 57,320 | |
First Financial Corp. | | | 400 | | | | | | 16,640 | |
First Financial Northwest, Inc. (b) | | | 600 | | | | | | 10,050 | |
First Interstate BancSystem, Inc. Class A (b) | | | 1,700 | | | | | | 67,235 | |
First Midwest Bancorp, Inc. (d) | | | 286,570 | | | | | | 7,046,756 | |
Flushing Financial Corp. | | | 1,500 | | | | | | 40,440 | |
Green Bancorp, Inc. (a) | | | 800 | | | | | | 17,800 | |
Heritage Commerce Corp. | | | 3,600 | | | | | | 59,328 | |
HomeTrust Bancshares, Inc. (a) | | | 200 | | | | | | 5,210 | |
Independent Bank Corp. (b) | | | 2,400 | | | | | | 54,960 | |
JPMorgan Chase & Co. (d) | | | 141,329 | | | | | | 15,541,950 | |
Lakeland Bancorp, Inc. | | | 1,000 | | | | | | 19,850 | |
Macatawa Bank Corp. | | | 100 | | | | | | 1,027 | |
MB Financial, Inc. (d) | | | 107,932 | | | | | | 4,369,087 | |
Mercantile Bank Corp. | | | 1,100 | | | | | | 36,575 | |
Merchants Bancorp (d) | | | 668 | | | | | | 14,362 | |
Meridian Bancorp, Inc. | | | 600 | | | | | | 12,090 | |
Midland States Bancorp, Inc. (d) | | | 165,479 | | | | | | 5,222,517 | |
MidWestOne Financial Group, Inc. | | | 300 | | | | | | 9,987 | |
National Bankshares, Inc. (b) | | | 100 | | | | | | 4,505 | |
Northrim BanCorp, Inc. | | | 500 | | | | | | 17,275 | |
OceanFirst Financial Corp. (d) | | | 190,786 | | | | | | 5,103,525 | |
OFG Bancorp | | | 300 | | | | | | 3,135 | |
Opus Bank (d) | | | 147,174 | | | | | | 4,120,872 | |
Oritani Financial Corp. | | | 9,100 | | | | | | 139,685 | |
PacWest Bancorp (d) | | | 289,721 | | | | | | 14,349,881 | |
Peapack Gladstone Financial Corp. | | | 800 | | | | | | 26,712 | |
Peoples Bancorp, Inc. | | | 500 | | | | | | 17,725 | |
PNC Financial Services Group, Inc. (d) | | | 66,498 | | | | | | 10,057,158 | |
See Notes to Consolidated Financial Statements.
17
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | |
Security Description | | Shares | | | | | Value | |
Preferred Bank (b) | | | 800 | | | | | $ | 51,360 | |
Prosperity Bancshares, Inc. | | | 1,000 | | | | | | 72,630 | |
QCR Holdings, Inc. (d) | | | 29,031 | | | | | | 1,302,040 | |
RBB Bancorp | | | 200 | | | | | | 5,274 | |
Seacoast Banking Corp. of Florida (a) | | | 300 | | | | | | 7,941 | |
Signature Bank (a),(d) | | | 99,099 | | | | | | 14,067,103 | |
Simmons First National Corp. Class A (d) | | | 116,384 | | | | | | 3,311,125 | |
Southside Bancshares, Inc. | | | 15 | | | | | | 521 | |
Sterling Bancorp (d) | | | 75,411 | | | | | | 1,700,518 | |
SunTrust Banks, Inc. (d) | | | 172,704 | | | | | | 11,750,780 | |
SVB Financial Group (a),(d) | | | 35,183 | | | | | | 8,444,272 | |
Synovus Financial Corp. | | | 2,600 | | | | | | 129,844 | |
Towne Bank (d) | | | 184,437 | | | | | | 5,274,898 | |
Trico Bancshares (b) | | | 1,800 | | | | | | 66,996 | |
TriState Capital Holdings, Inc. (a),(b) | | | 2,300 | | | | | | 53,475 | |
Triumph Bancorp, Inc. (a) | | | 2,700 | | | | | | 111,240 | |
TrustCo Bank Corp. | | | 700 | | | | | | 5,915 | |
Univest Corp. of Pennsylvania (d) | | | 160,463 | | | | | | 4,444,825 | |
US Bancorp (b) | | | 124,700 | | | | | | 6,297,350 | |
Veritex Holdings, Inc. (a),(d) | | | 187,143 | | | | | | 5,178,247 | |
Washington Trust Bancorp, Inc. | | | 1,100 | | | | | | 59,125 | |
Waterstone Financial, Inc. | | | 900 | | | | | | 15,570 | |
Wells Fargo & Co. | | | 15,900 | | | | | | 833,319 | |
Western Alliance Bancorp (a) | | | 4,481 | | | | | | 260,391 | |
WSFS Financial Corp. (d) | | | 73,375 | | | | | | 3,514,662 | |
Zions BanCorp. (d) | | | 252,935 | | | | | | 13,337,263 | |
| | | | | | | | | | |
| | | | | | | | | 183,787,431 | |
| | | | | | | | | | |
Biotechnology & Pharmaceuticals — 2.9% | | | | | | | | | | |
AbbVie, Inc. (d),(b) | | | 188,560 | | | | | | 17,847,204 | |
Aceto Corp. | | | 12,600 | | | | | | 95,760 | |
Acorda Therapeutics, Inc. (a),(b) | | | 3,000 | | | | | | 70,950 | |
Adverum Biotechnollogies, Inc. (a) | | | 800 | | | | | | 4,640 | |
Agios Pharmaceuticals, Inc. (a) | | | 200 | | | | | | 16,356 | |
Allergan PLC (d) | | | 51,290 | | | | | | 8,631,594 | |
Alnylam Pharmaceuticals, Inc. (a) | | | 6,800 | | | | | | 809,880 | |
Anika Therapeutics, Inc. (a) | | | 2,700 | | | | | | 134,244 | |
Antares Pharma, Inc. (a) | | | 800 | | | | | | 1,760 | |
Array BioPharma, Inc. (a) | | | 15,300 | | | | | | 249,696 | |
Audentes Therapeutics, Inc. (a) | | | 100 | | | | | | 3,005 | |
BioSpecifics Technologies Corp. (a),(b) | | | 100 | | | | | | 4,434 | |
Bluebird Bio, Inc. (a) | | | 7,600 | | | | | | 1,297,700 | |
Bristol-Myers Squibb Co. (d) | | | 104,680 | | | | | | 6,621,010 | |
Celgene Corp. (a),(d),(b) | | | 311,580 | | | | | | 27,796,052 | |
ChemoCentryx, Inc. (a) | | | 500 | | | | | | 6,800 | |
Chimerix, Inc. (a) | | | 3,500 | | | | | | 18,200 | |
See Notes to Consolidated Financial Statements.
18
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | |
Security Description | | Shares | | | | | Value | |
Clearside Biomedical, Inc. (a) | | | 300 | | | | | $ | 3,219 | |
Corium International, Inc. (a) | | | 1,800 | | | | | | 20,646 | |
CTI BioPharma Corp. (a) | | | 1,100 | | | | | | 4,290 | |
Curis, Inc. (a) | | | 35,300 | | | | | | 23,061 | |
Cytokinetics, Inc. (a) | | | 500 | | | | | | 3,600 | |
CytomX Therapeutics, Inc. (a) | | | 2,500 | | | | | | 71,125 | |
Dermira, Inc. (a) | | | 200 | | | | | | 1,598 | |
Dicerna Pharmaceuticals, Inc. (a) | | | 500 | | | | | | 4,780 | |
Eiger BioPharmaceuticals, Inc. (a) | | | 20 | | | | | | 197 | |
Eli Lilly & Co. | | | 2,100 | | | | | | 162,477 | |
Enanta Pharmaceuticals, Inc. (a) | | | 200 | | | | | | 16,182 | |
Fate Therapeutics, Inc. (a) | | | 8,300 | | | | | | 81,008 | |
Five Prime Therapeutics, Inc. (a) | | | 4,000 | | | | | | 68,720 | |
Gilead Sciences, Inc. (d) | | | 190,090 | | | | | | 14,330,885 | |
Halozyme Therapeutics, Inc. (a) | | | 25,600 | | | | | | 501,504 | |
Immune Design Corp. (a) | | | 1,800 | | | | | | 5,940 | |
ImmunoGen, Inc. (a) | | | 4,200 | | | | | | 44,184 | |
Impax Laboratories, Inc. (a) | | | 8,800 | | | | | | 171,160 | |
Incyte Corp. (a),(d),(b) | | | 37,510 | | | | | | 3,125,708 | |
Jazz Pharmaceuticals PLC (a) | | | 7,100 | | | | | | 1,072,029 | |
Kadmon Holdings, Inc. (a) | | | 900 | | | | | | 3,825 | |
KemPharm, Inc. (a) | | | 100 | | | | | | 790 | |
Lexicon Pharmaceuticals, Inc. (a) | | | 15 | | | | | | 129 | |
Ligand Pharmaceuticals, Inc. (a) | | | 2,700 | | | | | | 445,932 | |
Mallinckrodt PLC (a) | | | 27,533 | | | | | | 398,678 | |
Merck & Co., Inc. (d),(b) | | | 726,470 | | | | | | 39,570,821 | |
OncoMed Pharmaceuticals, Inc. (a) | | | 700 | | | | | | 2,226 | |
Otonomy, Inc. (a) | | | 11,700 | | | | | | 49,140 | |
PDL BioPharma, Inc. (a),(b) | | | 34,400 | | | | | | 101,136 | |
Ra Pharmaceuticals, Inc. (a) | | | 1,100 | | | | | | 5,841 | |
Recro Pharma, Inc. (a) | | | 1,100 | | | | | | 12,111 | |
Regeneron Pharmaceuticals, Inc. (a),(d),(b) | | | 120,430 | | | | | | 41,471,275 | |
Rigel Pharmaceuticals, Inc. (a) | | | 100 | | | | | | 354 | |
Seattle Genetics, Inc. (a) | | | 3,200 | | | | | | 167,488 | |
Selecta Biosciences, Inc. (a) | | | 800 | | | | | | 8,152 | |
Sierra Oncology, Inc. (a) | | | 2,300 | | | | | | 4,761 | |
USANA Health Sciences, Inc. (a),(b) | | | 4,000 | | | | | | 343,600 | |
Verastem, Inc. (a) | | | 7,600 | | | | | | 22,648 | |
Versartis, Inc. (a) | | | 11,400 | | | | | | 18,810 | |
Vertex Pharmaceuticals, Inc. (a),(d),(b) | | | 61,370 | | | | | | 10,002,083 | |
Veru, Inc. (a),(b) | | | 500 | | | | | | 905 | |
Xencor, Inc. (a) | | | 100 | | | | | | 2,998 | |
Zoetis, Inc. (a) | | | 2,300 | | | | | | 192,073 | |
| | | | | | | | | | |
| | | | | | | | | 176,147,374 | |
| | | | | | | | | | |
See Notes to Consolidated Financial Statements.
19
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | |
Security Description | | Shares | | | | | Value | |
Chemicals — 0.4% | | | | | | | | | | |
3M Co. | | | 14,300 | | | | | $ | 3,139,136 | |
A Schulman, Inc. | | | 1,100 | | | | | | 47,300 | |
AdvanSix, Inc. (a) | | | 6,400 | | | | | | 222,592 | |
AgroFresh Solutions, Inc. (a) | | | 100 | | | | | | 735 | |
Air Products & Chemicals, Inc. | | | 2,000 | | | | | | 318,060 | |
American Vanguard Corp. | | | 200 | | | | | | 4,040 | |
Axalta Coating Systems Ltd. (a) | | | 13,600 | | | | | | 410,584 | |
Cabot Corp. | | | 9,800 | | | | | | 546,056 | |
Celanese Corp. | | | 2,800 | | | | | | 280,588 | |
Chemours Co. | | | 50,600 | | | | | | 2,464,726 | |
CSW Industrials, Inc. (a) | | | 300 | | | | | | 13,515 | |
Eastman Chemical Co. (b) | | | 48,600 | | | | | | 5,131,188 | |
FutureFuel Corp. | | | 2,900 | | | | | | 34,771 | |
Huntsman Corp. | | | 126,500 | | | | | | 3,700,125 | |
Ingevity Corp. (a) | | | 6,000 | | | | | | 442,140 | |
International Flavors & Fragrances, Inc. | | | 5,600 | | | | | | 766,696 | |
KMG Chemicals, Inc. | | | 1,800 | | | | | | 107,910 | |
Koppers Holdings, Inc. (a) | | | 3,000 | | | | | | 123,300 | |
Kraton Performance Polymers, Inc. (a) | | | 4,900 | | | | | | 233,779 | |
Landec Corp. (a) | | | 200 | | | | | | 2,610 | |
Lydall, Inc. (a) | | | 2,400 | | | | | | 115,800 | |
LyondellBasell Industries NV Class A | | | 3,600 | | | | | | 380,448 | |
Materion Corp. | | | 100 | | | | | | 5,105 | |
Methanex Corp. | | | 800 | | | | | | 48,520 | |
Minerals Technologies, Inc. | | | 600 | | | | | | 40,170 | |
Monsanto Co. | | | 3,741 | | | | | | 438,632 | |
Nexeo Solutions, Inc. (a) | | | 1,800 | | | | | | 19,260 | |
OMNOVA Solutions, Inc. (a) | | | 6,500 | | | | | | 68,250 | |
PPG Industries, Inc. | | | 8,100 | | | | | | 903,960 | |
Praxair, Inc. | | | 2,900 | | | | | | 418,470 | |
Stepan Co. (b) | | | 2,400 | | | | | | 199,632 | |
Univar, Inc. (a) | | | 17,300 | | | | | | 480,075 | |
Valhi, Inc. | | | 200 | | | | | | 1,212 | |
Venator Materials plc (a) | | | 300 | | | | | | 5,427 | |
Versum Materials, Inc. | | | 14,500 | | | | | | 545,635 | |
Westlake Chemical Corp. | | | 1,700 | | | | | | 188,955 | |
WR Grace & Co. | | | 23,500 | | | | | | 1,438,905 | |
| | | | | | | | | | |
| | | | | | | | | 23,288,307 | |
| | | | | | | | | | |
Commercial Services — 0.0% | | | | | | | | | | |
Acacia Research Corp. (a) | | | 2,700 | | | | | | 9,450 | |
Alarm.com Holdings, Inc. (a) | | | 2,000 | | | | | | 75,480 | |
ARAMARK Holdings Corp. | | | 2,800 | | | | | | 110,768 | |
ARC Document Solutions, Inc. (a),(b) | | | 8,700 | | | | | | 19,140 | |
Barrett Business Services, Inc. | | | 600 | | | | | | 49,728 | |
See Notes to Consolidated Financial Statements.
20
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | |
Security Description | | Shares | | | | | Value | |
Brady Corp. Class A | | | 4,600 | | | | | $ | 170,890 | |
Care.com, Inc. (a) | | | 5,500 | | | | | | 89,485 | |
CBIZ, Inc. (a),(b) | | | 3,300 | | | | | | 60,225 | |
Collectors Universe, Inc. (b) | | | 700 | | | | | | 10,997 | |
CorVel Corp. (a) | | | 900 | | | | | | 45,495 | |
CRA International, Inc. (b) | | | 1,700 | | | | | | 88,893 | |
Cross Country Healthcare, Inc. (a) | | | 2,300 | | | | | | 25,553 | |
FTI Consulting, Inc. (a) | | | 400 | | | | | | 19,364 | |
GP Strategies Corp. (a),(b) | | | 100 | | | | | | 2,265 | |
Hackett Group, Inc. (b) | | | 4,400 | | | | | | 70,664 | |
Healthcare Services Group, Inc. | | | 100 | | | | | | 4,348 | |
Heidrick & Struggles International, Inc. (b) | | | 600 | | | | | | 18,750 | |
Hill International, Inc. (a) | | | 300 | | | | | | 1,710 | |
HMS Holdings Corp. (a) | | | 1,700 | | | | | | 28,628 | |
Huron Consulting Group, Inc. (a) | | | 3,600 | | | | | | 137,160 | |
Information Services Group, Inc. (a) | | | 1,500 | | | | | | 6,270 | |
Insperity, Inc. | | | 800 | | | | | | 55,640 | |
Kelly Services, Inc. Class A | | | 3,000 | | | | | | 87,120 | |
Korn/Ferry International | | | 1,500 | | | | | | 77,385 | |
LSC Communications, Inc. | | | 2,000 | | | | | | 34,900 | |
Navigant Consulting, Inc. (a),(b) | | | 5,400 | | | | | | 103,896 | |
Quad/Graphics, Inc. | | | 2,500 | | | | | | 63,375 | |
Resources Connection, Inc. (b) | | | 600 | | | | | | 9,720 | |
Robert Half International, Inc. | | | 2,600 | | | | | | 150,514 | |
RPX Corp. (b) | | | 5,800 | | | | | | 62,002 | |
ServiceMaster Global Holdings, Inc. (a) | | | 6,200 | | | | | | 315,270 | |
SP Plus Corp. (a) | | | 4,300 | | | | | | 153,080 | |
TriNet Group, Inc. (a) | | | 5,900 | | | | | | 273,288 | |
TrueBlue, Inc. (a) | | | 1,600 | | | | | | 41,440 | |
Vectrus, Inc. (a) | | | 1,200 | | | | | | 44,688 | |
Viad Corp. | | | 1,000 | | | | | | 52,450 | |
| | | | | | | | | | |
| | | | | | | | | 2,570,031 | |
| | | | | | | | | | |
Construction Materials — 0.0% | | | | | | | | | | |
Advanced Drainage Systems, Inc. | | | 2,900 | | | | | | 75,110 | |
Carlisle Cos., Inc. | | | 6,400 | | | | | | 668,224 | |
Continental Building Products, Inc. (a),(b) | | | 11,200 | | | | | | 319,760 | |
MDU Resources Group, Inc. | | | 4,300 | | | | | | 121,088 | |
Universal Forest Products, Inc. | | | 9,700 | | | | | | 314,765 | |
| | | | | | | | | | |
| | | | | | | | | 1,498,947 | |
| | | | | | | | | | |
Consumer Products — 1.1% | | | | | | | | | | |
Alliance One International (a) | | | 1,100 | | | | | | 28,655 | |
Altria Group, Inc. | | | 50,400 | | | | | | 3,140,928 | |
Archer-Daniels-Midland Co. | | | 47,400 | | | | | | 2,055,738 | |
Boston Beer Co., Inc. Class A (a) | | | 3,700 | | | | | | 699,485 | |
See Notes to Consolidated Financial Statements.
21
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | |
Security Description | | Shares | | | | | Value | |
Central Garden and Pet Co. Class A (a),(b) | | | 4,000 | | | | | $ | 158,440 | |
Church & Dwight Co., Inc. | | | 12,100 | | | | | | 609,356 | |
Clearwater Paper Corp. (a) | | | 300 | | | | | | 11,730 | |
Clorox Co. (The) | | | 10,000 | | | | | | 1,331,100 | |
Coca-Cola Co. (The) | | | 16,000 | | | | | | 694,880 | |
Colgate-Palmolive Co. | | | 118,500 | | | | | | 8,494,080 | |
ConAgra Foods, Inc. | | | 7,300 | | | | | | 269,224 | |
Cott Corp. | | | 13,500 | | | | | | 198,720 | |
Craft Brew Alliance, Inc. (a) | | | 200 | | | | | | 3,720 | |
DavidsTea, Inc. (a) | | | 400 | | | | | | 1,360 | |
Flowers Foods, Inc. | | | 9,000 | | | | | | 196,740 | |
General Mills, Inc. | | | 26,100 | | | | | | 1,176,066 | |
Herbalife Ltd. (a) | | | 52,400 | | | | | | 5,107,428 | |
Hershey Co. | | | 2 | | | | | | 198 | |
Kimberly-Clark Corp. (b) | | | 69,700 | | | | | | 7,676,061 | |
Mondelez International, Inc. Class A | | | 23,000 | | | | | | 959,790 | |
Monster Beverage Corp. (a),(b) | | | 70,800 | | | | | | 4,050,468 | |
Nu Skin Enterprises, Inc. | | | 14,700 | | | | | | 1,083,537 | |
PepsiCo, Inc. (b) | | | 136,900 | | | | | | 14,942,635 | |
Phibro Animal Health Corp. Class A | | | 600 | | | | | | 23,820 | |
Philip Morris International, Inc. (b) | | | 23,000 | �� | | | | | 2,286,200 | |
Pinnacle Foods, Inc. | | | 16,000 | | | | | | 865,600 | |
Primo Water Corp. (a) | | | 8,100 | | | | | | 94,851 | |
Procter & Gamble Co. | | | 115,800 | | | | | | 9,180,624 | |
Senomyx, Inc. (a) | | | 5,100 | | | | | | 4,538 | |
Simply Good Foods Co. (The) (a) | | | 1,700 | | | | | | 23,341 | |
Vector Group Ltd. (b) | | | 23,422 | | | | | | 477,575 | |
| | | | | | | | | | |
| | | | | | | | | 65,846,888 | |
| | | | | | | | | | |
Consumer Services — 0.1% | | | | | | | | | | |
American Public Education, Inc. (a),(b) | | | 1,800 | | | | | | 77,400 | |
Bridgepoint Education, Inc. (a),(b) | | | 10,500 | | | | | | 70,770 | |
Capella Education Co. | | | 1,800 | | | | | | 157,230 | |
Carriage Services, Inc. | | | 3,600 | | | | | | 99,576 | |
K12, Inc. (a),(b) | | | 6,300 | | | | | | 89,334 | |
Matthews International Corp. Class A | | | 2,700 | | | | | | 136,620 | |
Medifast, Inc. | | | 1,100 | | | | | | 102,795 | |
Regis Corp. (a) | | | 4,400 | | | | | | 66,572 | |
Service Corp. International/US | | | 2,100 | | | | | | 79,254 | |
Universal Technical Institute, Inc. (a),(b) | | | 1,000 | | | | | | 2,940 | |
Weight Watchers International, Inc. (a) | | | 30,000 | | | | | | 1,911,600 | |
| | | | | | | | | | |
| | | | | | | | | 2,794,091 | |
| | | | | | | | | | |
Containers & Packaging — 0.1% | | | | | | | | | | |
AptarGroup, Inc. | | | 1,700 | | | | | | 152,711 | |
Ball Corp. | | | 29,800 | | | | | | 1,183,358 | |
See Notes to Consolidated Financial Statements.
22
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | |
Security Description | | Shares | | | | | Value | |
Berry Plastics Group, Inc. (a),(b) | | | 38,497 | | | | | $ | 2,110,021 | |
Blackhawk Network Holdings, Inc. Class C (a),(d) | | | 27 | | | | | | 0 | |
Crown Holdings, Inc. (a) | | | 68,900 | | | | | | 3,496,675 | |
Graphic Packaging Holding Co. | | | 1,700 | | | | | | 26,095 | |
Greif, Inc. Class A | | | 1,000 | | | | | | 52,250 | |
Myers Industries, Inc. | | | 300 | | | | | | 6,345 | |
Packaging Corp. of America | | | 100 | | | | | | 11,270 | |
Silgan Holdings, Inc. | | | 4,300 | | | | | | 119,755 | |
| | | | | | | | | | |
| | | | | | | | | 7,158,480 | |
| | | | | | | | | | |
Design, Manufacturing & Distribution — 0.1% | | | | | | | | | | |
Avnet, Inc. | | | 18,900 | | | | | | 789,264 | |
Benchmark Electronics, Inc. | | | 4,600 | | | | | | 137,310 | |
Celestica, Inc. (a) | | | 30,800 | | | | | | 318,780 | |
Flextronics International Ltd. (a),(b) | | | 90,700 | | | | | | 1,481,131 | |
Jabil Circuit, Inc. | | | 49,000 | | | | | | 1,407,770 | |
Sanmina Corp. (a),(b) | | | 13,000 | | | | | | 339,950 | |
SYNNEX Corp. | | | 1,600 | | | | | | 189,440 | |
| | | | | | | | | | |
| | | | | | | | | 4,663,645 | |
| | | | | | | | | | |
Distributors—Consumer Staples — 0.1% | | | | | | | | | | |
Andersons, Inc. (b) | | | 1,000 | | | | | | 33,100 | |
Performance Food Group Co. (a) | | | 25,400 | | | | | | 758,190 | |
Sysco Corp. | | | 19,000 | | | | | | 1,139,240 | |
US Foods Holding Corp. (a) | | | 126,100 | | | | | | 4,132,297 | |
| | | | | | | | | | |
| | | | | | | | | 6,062,827 | |
| | | | | | | | | | |
Distributors—Discretionary — 0.0% | | | | | | | | | | |
ePlus, Inc. (a) | | | 100 | | | | | | 7,770 | |
Essendant, Inc. | | | 6,000 | | | | | | 46,800 | |
FTD Cos., Inc. (a) | | | 6,000 | | | | | | 21,840 | |
G-III Apparel Group Ltd. (a) | | | 2,300 | | | | | | 86,664 | |
KAR Auction Services, Inc. | | | 10,100 | | | | | | 547,420 | |
PCM, Inc. (a) | | | 2,600 | | | | | | 21,580 | |
ScanSource, Inc. (a),(b) | | | 1,200 | | | | | | 42,660 | |
| | | | | | | | | | |
| | | | | | | | | 774,734 | |
| | | | | | | | | | |
Electrical Equipment — 0.3% | | | | | | | | | | |
Allegion PLC | | | 9,400 | | | | | | 801,726 | |
Amphenol Corp. Class A | | | 700 | | | | | | 60,291 | |
Argan, Inc. | | | 800 | | | | | | 34,360 | |
Bel Fuse, Inc. Class B | | | 100 | | | | | | 1,890 | |
Eaton Corp. PLC | | | 67,100 | | | | | | 5,361,961 | |
Emerson Electric Co. | | | 100 | | | | | | 6,830 | |
FARO Technologies, Inc. (a) | | | 3,200 | | | | | | 186,880 | |
Fortive Corp. | | | 6,700 | | | | | | 519,384 | |
See Notes to Consolidated Financial Statements.
23
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | |
Security Description | | Shares | | | | | Value | |
Generac Holdings, Inc. (a) | | | 400 | | | | | $ | 18,364 | |
Honeywell International, Inc. | | | 5,100 | | | | | | 737,001 | |
Houston Wire & Cable Co. (a),(b) | | | 1,200 | | | | | | 8,790 | |
Ingersoll-Rand PLC | | | 61,200 | | | | | | 5,233,212 | |
Keysight Technologies, Inc. (a) | | | 4,000 | | | | | | 209,560 | |
Kimball Electronics, Inc. (a) | | | 100 | | | | | | 1,615 | |
Littelfuse, Inc. | | | 18 | | | | | | 3,747 | |
LSI Industries, Inc. | | | 3,200 | | | | | | 25,952 | |
Powell Industries, Inc. | | | 500 | | | | | | 13,420 | |
Rockwell Automation, Inc. | | | 200 | | | | | | 34,840 | |
Sensata Technologies Holding plc (a) | | | 35,500 | | | | | | 1,839,965 | |
SPX Corp. (a) | | | 500 | | | | | | 16,240 | |
Stoneridge, Inc. (a) | | | 2,900 | | | | | | 80,040 | |
| | | | | | | | | | |
| | | | | | | | | 15,196,068 | |
| | | | | | | | | | |
Engineering & Construction Services — 0.0% | | | | | | | | | | |
Comfort Systems USA, Inc. (b) | | | 1,100 | | | | | | 45,375 | |
Granite Construction, Inc. | | | 100 | | | | | | 5,586 | |
Great Lakes Dredge & Dock Corp. (a) | | | 2,300 | | | | | | 10,580 | |
Jacobs Engineering Group, Inc. | | | 19,100 | | | | | | 1,129,765 | |
Layne Christensen Co. (a) | | | 4,900 | | | | | | 73,108 | |
Mistras Group, Inc. (a) | | | 2,800 | | | | | | 53,032 | |
MYR Group, Inc. (a),(b) | | | 3,200 | | | | | | 98,624 | |
Orion Marine Group, Inc. (a),(b) | | | 3,900 | | | | | | 25,701 | |
Primoris Services Corp. | | | 1,700 | | | | | | 42,466 | |
Quanta Services, Inc. (a) | | | 9,800 | | | | | | 336,630 | |
Sterling Construction Co., Inc. (a) | | | 7,700 | | | | | | 88,242 | |
| | | | | | | | | | |
| | | | | | | | | 1,909,109 | |
| | | | | | | | | | |
Forest & Paper Products — 0.0% | | | | | | | | | | |
Mercer International, Inc. (b) | | | 9,700 | | | | | | 120,765 | |
Resolute Forest Products, Inc. (a) | | | 9,400 | | | | | | 78,020 | |
Verso Corp. (a) | | | 20,500 | | | | | | 345,220 | |
| | | | | | | | | | |
| | | | | | | | | 544,005 | |
| | | | | | | | | | |
Gaming, Lodging & Restaurants — 1.3% | | | | | | | | | | |
BJ's Restaurants, Inc. | | | 800 | | | | | | 35,920 | |
Bloomin' Brands, Inc. | | | 12,700 | | | | | | 308,356 | |
Bojangles', Inc. (a) | | | 13,300 | | | | | | 184,205 | |
Bravo Brio Restaurant Group, Inc. (a),(b) | | | 1,800 | | | | | | 7,200 | |
Carrols Restaurant Group, Inc. (a) | | | 11,100 | | | | | | 124,320 | |
Century Casinos, Inc. (a) | | | 700 | | | | | | 5,222 | |
Cheesecake Factory, Inc. (The) | | | 27,500 | | | | | | 1,326,050 | |
Chipotle Mexican Grill, Inc. (a) | | | 3,099 | | | | | | 1,001,318 | |
Choice Hotels International, Inc. | | | 8,800 | | | | | | 705,320 | |
Cracker Barrel Old Country Store, Inc. | | | 11,000 | | | | | | 1,751,200 | |
See Notes to Consolidated Financial Statements.
24
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | |
Security Description | | Shares | | | | | Value | |
Darden Restaurants, Inc. | | | 29,001 | | | | | $ | 2,472,335 | |
Del Frisco's Restaurant Group, Inc. (a),(b) | | | 7,400 | | | | | | 112,850 | |
DineEquity, Inc. | | | 7,900 | | | | | | 518,082 | |
Domino's Pizza, Inc. (b) | | | 25,800 | | | | | | 6,025,848 | |
El Pollo Loco Holdings, Inc. (a) | | | 5,600 | | | | | | 53,200 | |
Eldorado Resorts, Inc. (a) | | | 39,265 | | | | | | 1,295,745 | |
Famous Dave's of America (a),(e) | | | 191 | | | | | | 0 | |
Famous Dave's of America, Inc. (a) | | | 900 | | | | | | 6,390 | |
Fogo De Chao, Inc. (a) | | | 200 | | | | | | 3,150 | |
Habit Restaurants, Inc. (The) Class A (a) | | | 1,100 | | | | | | 9,680 | |
Hilton Grand Vacations, Inc. (a) | | | 6,800 | | | | | | 292,536 | |
Hilton Worldwide Holdings, Inc. | | | 36,001 | | | | | | 2,835,439 | |
Hyatt Hotels Corp. Class A | | | 24,300 | | | | | | 1,853,118 | |
J Alexander's Holdings, Inc. (a) | | | 1,100 | | | | | | 12,595 | |
Kona Grill, Inc. (a) | | | 1,200 | | | | | | 2,280 | |
Marriott International, Inc. Class A | | | 76,514 | | | | | | 10,404,374 | |
McDonald's Corp. (b) | | | 146,200 | | | | | | 22,862,756 | |
Monarch Casino & Resort, Inc. (a) | | | 1,600 | | | | | | 67,664 | |
Norwegian Cruise Line Holdings Ltd. (a) | | | 94,800 | | | | | | 5,021,556 | |
Penn National Gaming, Inc. (a) | | | 2,400 | | | | | | 63,024 | |
Pinnacle Entertainment, Inc. (a) | | | 1,400 | | | | | | 42,210 | |
Playa Hotels & Resorts NV (a) | | | 4,200 | | | | | | 42,924 | |
Potbelly Corp. (a) | | | 2,000 | | | | | | 24,100 | |
Red Robin Gourmet Burgers, Inc. (a) | | | 7,700 | | | | | | 446,600 | |
Restaurant Brands International | | | 71,621 | | | | | | 4,076,667 | |
Royal Caribbean Cruises Ltd. | | | 20,200 | | | | | | 2,378,348 | |
Ruth's Hospitality Group, Inc. | | | 5,700 | | | | | | 139,365 | |
Scientific Games Corp. Class A (a) | | | 16,700 | | | | | | 694,720 | |
Shake Shack, Inc. Class A (a) | | | 7,700 | | | | | | 320,551 | |
Sonic Corp. | | | 10,600 | | | | | | 267,438 | |
Texas Roadhouse, Inc. | | | 9,400 | | | | | | 543,132 | |
Wingstop, Inc. | | | 17,400 | | | | | | 821,802 | |
Yum! Brands, Inc. (b) | | | 93,500 | | | | | | 7,959,655 | |
| | | | | | | | | | |
| | | | | | | | | 77,119,245 | |
| | | | | | | | | | |
Hardware — 0.9% | | | | | | | | | | |
A10 Networks, Inc. (a) | | | 14,600 | | | | | | 84,972 | |
ADTRAN, Inc. | | | 300 | | | | | | 4,665 | |
Arista Networks, Inc. (a),(b) | | | 21,400 | | | | | | 5,463,420 | |
CalAmp Corp. (a) | | | 700 | | | | | | 16,016 | |
Clearfield, Inc. (a) | | | 1,100 | | | | | | 14,190 | |
CommScope Holding Co., Inc. (a) | | | 37,900 | | | | | | 1,514,863 | |
Comtech Telecommunications Corp. (b) | | | 5,800 | | | | | | 173,362 | |
Daktronics, Inc. (b) | | | 3,800 | | | | | | 33,478 | |
Dolby Laboratories, Inc. Class A (b) | | | 10,400 | | | | | | 661,024 | |
Eastman Kodak Co. (a) | | | 1,000 | | | | | | 5,350 | |
See Notes to Consolidated Financial Statements.
25
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | |
Security Description | | Shares | | | | | Value | |
Electronics For Imaging, Inc. (a) | | | 19,000 | | | | | $ | 519,270 | |
Emcore Corp. (a) | | | 12,100 | | | | | | 68,970 | |
F5 Networks, Inc. (a) | | | 21,600 | | | | | | 3,123,576 | |
Finisar Corp. (a) | | | 46,100 | | | | | | 728,841 | |
Garmin Ltd. | | | 2 | | | | | | 118 | |
Harmonic, Inc. (a) | | | 4,600 | | | | | | 17,480 | |
Hewlett Packard Enterprise Co. | | | 362,100 | | | | | | 6,351,234 | |
HP, Inc. (b) | | | 332,200 | | | | | | 7,281,824 | |
Infinera Corp. (a) | | | 1,700 | | | | | | 18,462 | |
InterDigital, Inc. | | | 8,900 | | | | | | 655,040 | |
Juniper Networks, Inc. | | | 32,800 | | | | | | 798,024 | |
Knowles Corp. (a) | | | 13 | | | | | | 164 | |
KVH Industries, Inc. (a) | | | 700 | | | | | | 7,245 | |
LightPath Technologies, Inc. Class A (a) | | | 800 | | | | | | 1,760 | |
Mitel Networks Corp. (a) | | | 722 | | | | | | 6,700 | |
Motorola Solutions, Inc. | | | 36,300 | | | | | | 3,822,390 | |
Pitney Bowes, Inc. | | | 16,800 | | | | | | 182,952 | |
Pure Storage, Inc. Class A (a) | | | 65,900 | | | | | | 1,314,705 | |
Quantum Corp. (a) | | | 637 | | | | | | 2,319 | |
Radisys Corp. (a) | | | 17,400 | | | | | | 11,153 | |
Seagate Technology PLC | | | 106,200 | | | | | | 6,214,824 | |
Sierra Wireless, Inc. (a) | | | 2,200 | | | | | | 36,300 | |
Stratasys Ltd. (a) | | | 6,171 | | | | | | 124,531 | |
Telenav, Inc. (a),(b) | | | 2,600 | | | | | | 14,040 | |
Viavi Solutions, Inc. (a),(b) | | | 40,900 | | | | | | 397,548 | |
Vicor Corp. (a),(b) | | | 500 | | | | | | 14,275 | |
Vishay Precision Group, Inc. (a),(b) | | | 1,300 | | | | | | 40,495 | |
Vocera Communications, Inc. (a) | | | 1,100 | | | | | | 25,762 | |
VOXX International Corp. (a),(b) | | | 4,800 | | | | | | 23,760 | |
Western Digital Corp. (b) | | | 137,400 | | | | | | 12,677,898 | |
Xerox Corp. | | | 24,425 | | | | | | 702,951 | |
ZAGG, Inc. (a) | | | 100 | | | | | | 1,220 | |
Zebra Technologies Corp. Class A (a) | | | 10,000 | | | | | | 1,391,900 | |
| | | | | | | | | | |
| | | | | | | | | 54,549,071 | |
| | | | | | | | | | |
Health Care Facilities & Services — 1.7% | | | | | | | | | | |
Addus HomeCare Corp. (a),(b) | | | 1,100 | | | | | | 53,515 | |
AmerisourceBergen Corp. (d) | | | 69,085 | | | | | | 5,955,818 | |
Anthem, Inc. (d) | | | 38,990 | | | | | | 8,566,103 | |
BioScrip, Inc. (a) | | | 10,000 | | | | | | 24,600 | |
Civitas Solutions, Inc. (a) | | | 1,400 | | | | | | 21,560 | |
CVS Health Corp. (b) | | | 133,600 | | | | | | 8,311,256 | |
Digirad Corp. (b) | | | 1,900 | | | | | | 2,945 | |
Encompass Health Corp. | | | 100 | | | | | | 5,717 | |
Envision Healthcare Corp. (a),(d),(c) | | | 92,860 | | | | | | 3,568,610 | |
Enzo Biochem, Inc. (a) | | | 6,600 | | | | | | 36,168 | |
See Notes to Consolidated Financial Statements.
26
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | |
Security Description | | Shares | | | | | Value | |
Five Star Quality Care, Inc. (a) | | | 2,178 | | | | | $ | 2,831 | |
HCA Holdings, Inc. | | | 3,000 | | | | | | 291,000 | |
Henry Schein, Inc. (a),(b) | | | 74,100 | | | | | | 4,980,261 | |
Iqvia Holdings, Inc. (a),(d),(b) | | | 86,170 | | | | | | 8,454,139 | |
Laboratory Corp. of America Holdings (a),(d),(b) | | | 187,590 | | | | | | 30,342,682 | |
Magellan Health, Inc. (a) | | | 4,800 | | | | | | 514,080 | |
Medpace Holdings, Inc. (a) | | | 200 | | | | | | 6,982 | |
Molina Healthcare, Inc. (a) | | | 11,600 | | | | | | 941,688 | |
OvaScience, Inc. (a) | | | 4,700 | | | | | | 3,812 | |
Owens & Minor, Inc. | | | 25,500 | | | | | | 396,525 | |
Patterson Cos., Inc. | | | 10,900 | | | | | | 242,307 | |
Providence Service Corp. (a) | | | 500 | | | | | | 34,570 | |
Quest Diagnostics, Inc. | | | 14,800 | | | | | | 1,484,440 | |
Quorum Health Corp. (a) | | | 2,000 | | | | | | 16,360 | |
RadNet, Inc. (a),(b) | | | 12,600 | | | | | | 181,440 | |
Tivity Health, Inc. (a),(b) | | | 14,700 | | | | | | 582,855 | |
Triple-S Management Corp. B Shares (a),(b) | | | 5,900 | | | | | | 154,226 | |
UnitedHealth Group, Inc. (d),(b) | | | 114,200 | | | | | | 24,438,800 | |
Universal Health Services, Inc. Class B | | | 100 | | | | | | 11,841 | |
WellCare Health Plans, Inc. (a) | | | 6,400 | | | | | | 1,239,232 | |
| | | | | | | | | | |
| | | | | | | | | 100,866,363 | |
| | | | | | | | | | |
Home & Office Products — 0.1% | | | | | | | | | | |
ACCO Brands Corp. | | | 5,600 | | | | | | 70,280 | |
Armstrong Flooring, Inc. (a) | | | 5,100 | | | | | | 69,207 | |
Caesarstone Sdot-Yam Ltd. | | | 14,600 | | | | | | 286,890 | |
Herman Miller, Inc. | | | 900 | | | | | | 28,755 | |
HNI Corp. | | | 300 | | | | | | 10,827 | |
Kimball International, Inc. Class B (b) | | | 3,400 | | | | | | 57,936 | |
Knoll, Inc. | | | 2,900 | | | | | | 58,551 | |
Leggett & Platt, Inc. | | | 15,100 | | | | | | 669,836 | |
Masco Corp. (b) | | | 92,500 | | | | | | 3,740,700 | |
Masonite International Corp. (a) | | | 2,500 | | | | | | 153,375 | |
Meritage Homes Corp. (a) | | | 600 | | | | | | 27,150 | |
New Home Co., Inc. (a) | | | 200 | | | | | | 2,216 | |
PGT, Inc. (a) | | | 5,500 | | | | | | 102,575 | |
Quanex Building Products Corp. | | | 2,200 | | | | | | 38,280 | |
Steelcase, Inc. Class A | | | 6,500 | | | | | | 88,400 | |
Taylor Morrison Home Corp. Class A (a) | | | 16,300 | | | | | | 379,464 | |
| | | | | | | | | | |
| | | | | | | | | 5,784,442 | |
| | | | | | | | | | |
Industrial Services — 0.1% | | | | | | | | | | |
AMERCO | | | 300 | | | | | | 103,530 | |
CAI International, Inc. (a) | | | 6,400 | | | | | | 136,064 | |
DXP Enterprises, Inc. (a) | | | 400 | | | | | | 15,580 | |
H&E Equipment Services, Inc. | | | 7,200 | | | | | | 277,128 | |
See Notes to Consolidated Financial Statements.
27
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | |
Security Description | | Shares | | | | | Value | |
HD Supply Holdings, Inc. (a) | | | 63,400 | | | | | $ | 2,405,396 | |
Herc Holdings, Inc. (a) | | | 3,154 | | | | | | 204,852 | |
McGrath RentCorp | | | 500 | | | | | | 26,845 | |
Pool Corp. | | | 300 | | | | | | 43,866 | |
SiteOne Landscape Supply, Inc. (a) | | | 1,300 | | | | | | 100,152 | |
Titan Machinery, Inc. (a) | | | 7,600 | | | | | | 179,056 | |
United Rentals, Inc. (a) | | | 21,400 | | | | | | 3,696,422 | |
Watsco, Inc. | | | 3,302 | | | | | | 597,563 | |
WESCO International, Inc. (a),(b) | | | 7,800 | | | | | | 483,990 | |
WW Grainger, Inc. | | | 699 | | | | | | 197,307 | |
| | | | | | | | | | |
| | | | | | | | | 8,467,751 | |
| | | | | | | | | | |
Institutional Financial Services — 0.0% | | | | | | | | | | |
Cowen Group, Inc. Class A (a) | | | 25 | | | | | | 330 | |
IntercontinentalExchange Group, Inc. | | | 100 | | | | | | 7,252 | |
INTL. FCStone, Inc. (a),(b) | | | 100 | | | | | | 4,268 | |
LPL Financial Holdings, Inc. | | | 900 | | | | | | 54,963 | |
NASDAQ OMX Group, Inc. | | | 900 | | | | | | 77,598 | |
Piper Jaffray Cos. | | | 200 | | | | | | 16,610 | |
PJT Partners, Inc. | | | 200 | | | | | | 10,020 | |
SEI Investments Co. | | | 2,600 | | | | | | 194,766 | |
| | | | | | | | | | |
| | | | | | | | | 365,807 | |
| | | | | | | | | | |
Insurance — 0.2% | | | | | | | | | | |
Aflac, Inc. | | | 100 | | | | | | 4,376 | |
Allstate Corp. | | | 37,801 | | | | | | 3,583,535 | |
Ambac Financial Group, Inc. (a) | | | 2,700 | | | | | | 42,336 | |
American Equity Investment Life Holding Co. | | | 800 | | | | | | 23,488 | |
AMERISAFE, Inc. | | | 1,200 | | | | | | 66,300 | |
Arch Capital Group Ltd. (a) | | | 2,700 | | | | | | 231,093 | |
Aspen Insurance Holdings Ltd. | | | 17,800 | | | | | | 798,330 | |
Assured Guaranty Ltd. | | | 1,300 | | | | | | 47,060 | |
Athene Holding Ltd. Class A (a) | | | 1,900 | | | | | | 90,839 | |
Atlas Financial Holdings, Inc. (a) | | | 300 | | | | | | 3,105 | |
Axis Capital Holdings Ltd. | | | 8,600 | | | | | | 495,102 | |
Baldwin & Lyons, Inc. Class B | | | 800 | | | | | | 17,600 | |
Brown & Brown, Inc. | | | 1,600 | | | | | | 40,704 | |
Cincinnati Financial Corp. | | | 600 | | | | | | 44,556 | |
Citizens, Inc. (a) | | | 200 | | | | | | 1,464 | |
Crawford & Co. Class B | | | 100 | | | | | | 822 | |
eHealth, Inc. (a) | | | 4,100 | | | | | | 58,671 | |
Employers Holdings, Inc. (b) | | | 3,300 | | | | | | 133,485 | |
Federated National Holding Co. | | | 200 | | | | | | 3,154 | |
Genworth Financial, Inc. Class A (a) | | | 4,200 | | | | | | 11,886 | |
Greenlight Capital Re Ltd. A Shares (a) | | | 4,500 | | | | | | 72,225 | |
Hanover Insurance Group, Inc. | | | 2,000 | | | | | | 235,780 | |
See Notes to Consolidated Financial Statements.
28
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | |
Security Description | | Shares | | | | | Value | |
Kemper Corp. | | | 100 | | | | | $ | 5,700 | |
Kinsale Capital Group, Inc. | | | 1,800 | | | | | | 92,394 | |
Lincoln National Corp. (b) | | | 10,900 | | | | | | 796,354 | |
Maiden Holdings Ltd. (b) | | | 20,300 | | | | | | 131,950 | |
Mercury General Corp. | | | 1,000 | | | | | | 45,870 | |
NMI Holdings, Inc. Class A (a) | | | 15,800 | | | | | | 261,490 | |
Old Republic International Corp. | | | 11,400 | | | | | | 244,530 | |
Principal Financial Group, Inc. | | | 6,400 | | | | | | 389,824 | |
Prudential Financial, Inc. | | | 26,600 | | | | | | 2,754,430 | |
RenaissanceRe Holdings Ltd. | | | 2,200 | | | | | | 304,722 | |
State Auto Financial Corp. (b) | | | 82 | | | | | | 2,343 | |
Torchmark Corp. | | | 951 | | | | | | 80,045 | |
Trupanion, Inc. (a) | | | 5,600 | | | | | | 167,384 | |
Universal Insurance Holdings, Inc. | | | 800 | | | | | | 25,520 | |
Unum Group | | | 100 | | | | | | 4,761 | |
Willis Towers Watson PLC | | | 1,888 | | | | | | 287,335 | |
| | | | | | | | | | |
| | | | | | | | | 11,600,563 | |
| | | | | | | | | | |
Iron & Steel — 0.0% | | | | | | | | | | |
Haynes International, Inc. | | | 600 | | | | | | 22,266 | |
Northwest Pipe Co. (a) | | | 1,200 | | | | | | 20,760 | |
Nucor Corp. | | | 22,300 | | | | | | 1,362,307 | |
Ryerson Holding Corp. (a) | | | 2,600 | | | | | | 21,190 | |
Shiloh Industries, Inc. (a) | | | 600 | | | | | | 5,220 | |
SunCoke Energy, Inc. (a) | | | 2,700 | | | | | | 29,052 | |
Warrior Met Coal, Inc. | | | 24,800 | | | | | | 694,648 | |
| | | | | | | | | | |
| | | | | | | | | 2,155,443 | |
| | | | | | | | | | |
Leisure Products — 0.1% | | | | | | | | | | |
Brunswick Corp. | | | 37,500 | | | | | | 2,227,125 | |
Clarus Corp. (a) | | | 2,700 | | | | | | 18,225 | |
Hasbro, Inc. | | | 21,000 | | | | | | 1,770,300 | |
JAKKS Pacific, Inc. (a) | | | 4,300 | | | | | | 9,030 | |
MCBC Holdings, Inc. (a) | | | 5,800 | | | | | | 146,160 | |
| | | | | | | | | | |
| | | | | | | | | 4,170,840 | |
| | | | | | | | | | |
Machinery — 0.2% | | | | | | | | | | |
AGCO Corp. | | | 14,900 | | | | | | 966,265 | |
Briggs & Stratton Corp. | | | 7,900 | | | | | | 169,139 | |
Caterpillar, Inc. | | | 30,100 | | | | | | 4,436,138 | |
Columbus McKinnon Corp. | | | 1,600 | | | | | | 57,344 | |
Crane Co. | | | 300 | | | | | | 27,822 | |
Deere & Co. | | | 200 | | | | | | 31,064 | |
Dover Corp. | | | 4,900 | | | | | | 481,278 | |
Graco, Inc. | | | 18,000 | | | | | | 822,960 | |
Graham Corp. (b) | | | 1,200 | | | | | | 25,704 | |
See Notes to Consolidated Financial Statements.
29
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | |
Security Description | | Shares | | | | | Value | |
Hillenbrand, Inc. | | | 13,800 | | | | | $ | 633,420 | |
Hyster-Yale Materials Handling, Inc. (b) | | | 400 | | | | | | 27,972 | |
ITT, Inc. | | | 200 | | | | | | 9,796 | |
Lincoln Electric Holdings | | | 13,200 | | | | | | 1,187,340 | |
Milacron Holdings Corp. (a) | | | 15,400 | | | | | | 310,156 | |
MSA Safety, Inc. | | | 1,800 | | | | | | 149,832 | |
MTS Systems Corp. | | | 1,500 | | | | | | 77,475 | |
Nordson Corp. | | | 4,800 | | | | | | 654,432 | |
Oshkosh Corp. | | | 8,600 | | | | | | 664,522 | |
Parker-Hannifin Corp. | | | 1,200 | | | | | | 205,236 | |
Regal-Beloit Corp. | | | 1,000 | | | | | | 73,350 | |
Rexnord Corp. (a) | | | 6,900 | | | | | | 204,792 | |
SPX FLOW, Inc. (a) | | | 7,200 | | | | | | 354,168 | |
Toro Co. | | | 17,900 | | | | | | 1,117,855 | |
Welbilt, Inc. (a) | | | 1,200 | | | | | | 23,340 | |
Xerium Technologies, Inc. (a),(b) | | | 1,500 | | | | | | 9,675 | |
| | | | | | | | | | |
| | | | | | | | | 12,721,075 | |
| | | | | | | | | | |
Manufactured Goods — 0.0% | | | | | | | | | | |
Aegion Corp. (a),(b) | | | 3,700 | | | | | | 84,767 | |
Atkore International Group, Inc. (a) | | | 8,500 | | | | | | 168,725 | |
Chart Industries, Inc. (a),(b) | | | 4,200 | | | | | | 247,926 | |
Core Molding Technologies, Inc. | | | 400 | | | | | | 7,132 | |
DMC Global, Inc. (b) | | | 2,100 | | | | | | 56,175 | |
Gibraltar Industries, Inc. (a),(b) | | | 6,500 | | | | | | 220,025 | |
Global Brass & Copper Holdings, Inc. | | | 3,400 | | | | | | 113,730 | |
Insteel Industries, Inc. | | | 1,400 | | | | | | 38,682 | |
LB Foster Co. Class A (a) | | | 2,300 | | | | | | 54,165 | |
NCI Building Systems, Inc. (a) | | | 3,200 | | | | | | 56,640 | |
Rogers Corp. (a) | | | 2,200 | | | | | | 262,988 | |
Valmont Industries, Inc. | | | 2,500 | | | | | | 365,750 | |
| | | | | | | | | | |
| | | | | | | | | 1,676,705 | |
| | | | | | | | | | |
Media — 1.2% | | | | | | | | | | |
ANGI Homeservices, Inc. (a) | | | 3,846 | | | | | | 52,229 | |
AutoWeb, Inc. (a),(b) | | | 4,400 | | | | | | 13,112 | |
Boingo Wireless, Inc. (a),(b) | | | 13,900 | | | | | | 344,303 | |
Booking Holdings, Inc. (a) | | | 9,001 | | | | | | 18,725,590 | |
Cars.com, Inc. (a) | | | 21,300 | | | | | | 603,429 | |
CBS Corp. Class B | | | 3,700 | | | | | | 190,143 | |
Central European Media Enterprises Ltd. A Shares (a) | | | 5,200 | | | | | | 21,840 | |
Clear Channel Outdoor Holdings, Inc. Class A (b) | | | 3,800 | | | | | | 18,620 | |
Comcast Corp. Class A | | | 10,300 | | | | | | 351,951 | |
DHI Group, Inc. (a) | | | 13,300 | | | | | | 21,280 | |
DISH Network Corp. Class A (a) | | | 4,800 | | | | | | 181,872 | |
See Notes to Consolidated Financial Statements.
30
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | |
Security Description | | Shares | | | | | Value | |
Entravision Communications Corp. Class A | | | 2,000 | | | | | $ | 9,400 | |
GoDaddy, Inc. Class A (a) | | | 53,400 | | | | | | 3,279,828 | |
GrubHub, Inc. (a) | | | 2,000 | | | | | | 202,940 | |
Harte-Hanks, Inc. (a) | | | 390 | | | | | | 3,596 | |
IAC/InterActiveCorp (a) | | | 9,600 | | | | | | 1,501,248 | |
IMAX Corp. (a) | | | 800 | | | | | | 15,360 | |
Lee Enterprises, Inc. (a) | | | 300 | | | | | | 585 | |
Liberty Broadband Corp. Class A (a),(d),(b) | | | 5,333 | | | | | | 452,238 | |
Liberty Broadband Corp. Class C (a),(d),(b) | | | 13,265 | | | | | | 1,136,678 | |
Liberty SiriusXM Group Class A (a),(d),(b) | | | 36,575 | | | | | | 1,503,233 | |
Liberty SiriusXM Group Class C (a),(d),(b) | | | 32,973 | | | | | | 1,346,947 | |
Liberty TripAdvisor Holdings, Inc. Class A (a) | | | 15,600 | | | | | | 167,700 | |
Marchex, Inc. Class B | | | 2,600 | | | | | | 7,098 | |
Marin Software, Inc. (a) | | | 442 | | | | | | 2,939 | |
Match Group, Inc. (a) | | | 38,600 | | | | | | 1,715,384 | |
McClatchy Co. Class A (a) | | | 90 | | | | | | 833 | |
MDC Partners, Inc. Class A (a) | | | 1,100 | | | | | | 7,920 | |
Netflix, Inc. (a),(b) | | | 81,400 | | | | | | 24,041,490 | |
News Corp. Class A (b) | | | 61,700 | | | | | | 974,860 | |
QuinStreet, Inc. (a) | | | 2,100 | | | | | | 26,817 | |
Quotient Technology, Inc. (a) | | | 600 | | | | | | 7,860 | |
Rubicon Project, Inc. (a) | | | 29,800 | | | | | | 53,640 | |
Shutterfly, Inc. (a) | | | 19,400 | | | | | | 1,576,250 | |
Shutterstock, Inc. (a) | | | 7,900 | | | | | | 380,385 | |
TechTarget, Inc. (a),(b) | | | 1,600 | | | | | | 31,808 | |
Time Warner, Inc. (d),(b) | | | 54,564 | | | | | | 5,160,663 | |
TiVo Corp. | | | 7,382 | | | | | | 100,026 | |
Townsquare Media, Inc. Class A | | | 100 | | | | | | 793 | |
Travelzoo, Inc. (a) | | | 100 | | | | | | 725 | |
tronc, Inc. (a) | | | 500 | | | | | | 8,210 | |
TrueCar, Inc. (a) | | | 37,700 | | | | | | 356,642 | |
Twitter, Inc. (a) | | | 42,700 | | | | | | 1,238,727 | |
VeriSign, Inc. (a),(b) | | | 22,600 | | | | | | 2,679,456 | |
Viacom, Inc. | | | 3,300 | | | | | | 102,498 | |
Web.com Group, Inc. (a) | | | 600 | | | | | | 10,860 | |
World Wrestling Entertainment, Inc. Class A | | | 300 | | | | | | 10,803 | |
XO Group, Inc. (a),(b) | | | 6,200 | | | | | | 128,650 | |
Yelp, Inc. (a) | | | 9,600 | | | | | | 400,800 | |
Zillow Group, Inc. (a) | | | 12,618 | | | | | | 681,372 | |
| | | | | | | | | | |
| | | | | | | | | 69,851,631 | |
| | | | | | | | | | |
Medical Equipment & Devices — 3.1% | | | | | | | | | | |
Accuray, Inc. (a) | | | 3,700 | | | | | | 18,500 | |
Agilent Technologies, Inc. (d),(b) | | | 248,620 | | | | | | 16,632,678 | |
Analogic Corp. | | | 2,500 | | | | | | 239,750 | |
AngioDynamics, Inc. (a),(b) | | | 7,200 | | | | | | 124,200 | |
See Notes to Consolidated Financial Statements.
31
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | |
Security Description | | Shares | | | | | Value | |
AtriCure, Inc. (a) | | | 100 | | | | | $ | 2,052 | |
AxoGen, Inc. (a) | | | 3,700 | | | | | | 135,050 | |
Baxter International, Inc. (d),(b) | | | 527,603 | | | | | | 34,315,299 | |
Becton Dickinson and Co. | | | 900 | | | | | | 195,030 | |
Boston Scientific Corp. (a),(d),(b) | | | 302,697 | | | | | | 8,269,682 | |
Cardiovascular Systems, Inc. (a) | | | 3,300 | | | | | | 72,369 | |
CareDx, Inc. (a) | | | 2,000 | | | | | | 15,940 | |
Cerus Corp. (a) | | | 1,600 | | | | | | 8,768 | |
ConforMIS, Inc. (a) | | | 3,600 | | | | | | 5,220 | |
CONMED Corp. | | | 300 | | | | | | 18,999 | |
CryoLife, Inc. (a),(b) | | | 1,600 | | | | | | 32,080 | |
Cutera, Inc. (a) | | | 3,200 | | | | | | 160,800 | |
CytoSorbents Corp. (a) | | | 100 | | | | | | 705 | |
Danaher Corp. (d),(b) | | | 209,380 | | | | | | 20,500,396 | |
Dentsply Sirona, Inc. (d) | | | 397,516 | | | | | | 19,999,030 | |
Edwards Lifesciences Corp. (a),(b) | | | 53,200 | | | | | | 7,422,464 | |
Fluidigm Corp. (a) | | | 2,500 | | | | | | 14,600 | |
FONAR Corp. (a) | | | 400 | | | | | | 11,920 | |
GenMark Diagnostics, Inc. (a) | | | 9,000 | | | | | | 48,960 | |
Genomic Health, Inc. (a),(b) | | | 800 | | | | | | 25,032 | |
Harvard Bioscience, Inc. (a),(b) | | | 500 | | | | | | 2,500 | |
Hill-Rom Holdings, Inc. | | | 16,500 | | | | | | 1,435,500 | |
Hologic, Inc. (a) | | | 104,900 | | | | | | 3,919,064 | |
IDEXX Laboratories, Inc. (a) | | | 18,700 | | | | | | 3,578,993 | |
Insulet Corp. (a) | | | 19,700 | | | | | | 1,707,596 | |
Intuitive Surgical, Inc. (a),(d),(b) | | | 47,030 | | | | | | 19,415,395 | |
Lantheus Holdings, Inc. (a) | | | 6,500 | | | | | | 103,350 | |
Luminex Corp. (b) | | | 2,700 | | | | | | 56,889 | |
Medtronic PLC (d) | | | 83,740 | | | | | | 6,625,827 | |
Meridian Bioscience, Inc. | | | 7,700 | | | | | | 109,340 | |
Mettler-Toledo International, Inc. (a) | | | 200 | | | | | | 115,006 | |
MiMedx Group, Inc. (a) | | | 3,400 | | | | | | 23,698 | |
OraSure Technologies, Inc. (a),(b) | | | 400 | | | | | | 6,756 | |
Orthofix International NV (a) | | | 4,000 | | | | | | 235,120 | |
Oxford Immunotec Global PLC (a) | | | 700 | | | | | | 8,715 | |
QIAGEN NV (a) | | | 41,976 | | | | | | 1,356,245 | |
RTI Surgical, Inc. (a) | | | 7,400 | | | | | | 34,040 | |
SeaSpine Holdings Corp. (a) | | | 200 | | | | | | 2,028 | |
STAAR Surgical Co. (a) | | | 3,300 | | | | | | 48,840 | |
SurModics, Inc. (a),(b) | | | 900 | | | | | | 34,245 | |
Waters Corp. (a) | | | 100 | | | | | | 19,865 | |
Zimmer Holdings, Inc. (d) | | | 337,580 | | | | | | 36,809,723 | |
| | | | | | | | | | |
| | | | | | | | | 183,918,259 | |
| | | | | | | | | | |
Metals & Mining — 0.1% | | | | | | | | | | |
Alcoa Corp. (b) | | | 92,601 | | | | | | 4,163,341 | |
Asanko Gold, Inc. (a) | | | 1,800 | | | | | | 1,800 | |
See Notes to Consolidated Financial Statements.
32
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | |
Security Description | | Shares | | | | | Value | |
Encore Wire Corp. (b) | | | 700 | | | | | $ | 39,690 | |
Fortuna Silver Mines, Inc. (a) | | | 4,700 | | | | | | 24,487 | |
Freeport-McMoRan, Inc. (a) | | | 51,600 | | | | | | 906,612 | |
Golden Star Resources Ltd. (a) | | | 6,000 | | | | | | 3,522 | |
Harsco Corp. (a) | | | 7,900 | | | | | | 163,135 | |
HudBay Minerals, Inc. | | | 2,000 | | | | | | 14,200 | |
New Gold, Inc. (a) | | | 41,900 | | | | | | 108,102 | |
Newmont Mining Corp. | | | 4,100 | | | | | | 160,187 | |
Royal Gold, Inc. | | | 2,100 | | | | | | 180,327 | |
Silvercorp Metals, Inc. | | | 900 | | | | | | 2,421 | |
Taseko Mines Ltd. (a) | | | 4,500 | | | | | | 5,175 | |
Teck Resources Ltd. B Shares | | | 69,300 | | | | | | 1,785,168 | |
| | | | | | | | | | |
| | | | | | | | | 7,558,167 | |
| | | | | | | | | | |
Oil, Gas & Coal — 1.1% | | | | | | | | | | |
Abraxas Petroleum Corp. (a) | | | 42,000 | | | | | | 93,240 | |
Advantage Oil & Gas Ltd. (a),(b) | | | 4,200 | | | | | | 12,390 | |
Anadarko Petroleum Corp. | | | 7,200 | | | | | | 434,952 | |
Arch Coal, Inc. | | | 3,100 | | | | | | 284,828 | |
Baker Hughes a GE Co. (b) | | | 107,400 | | | | | | 2,982,498 | |
Bellatrix Exploration Ltd. (a) | | | 60 | | | | | | 65 | |
Bonanza Creek Energy, Inc. (a) | | | 100 | | | | | | 2,771 | |
Cabot Oil & Gas Corp. | | | 53,600 | | | | | | 1,285,328 | |
Chevron Corp. (b) | | | 78,900 | | | | | | 8,997,756 | |
Cimarex Energy Co. | | | 8,800 | | | | | | 822,800 | |
Civeo Corp. (a) | | | 51,100 | | | | | | 192,647 | |
CNX Resources Corp. (a) | | | 96,500 | | | | | | 1,488,995 | |
Concho Resources, Inc. (a) | | | 13,700 | | | | | | 2,059,521 | |
Continental Resources, Inc. (a) | | | 66,100 | | | | | | 3,896,595 | |
Dawson Geophysical Co. (a),(b) | | | 840 | | | | | | 5,662 | |
Denbury Resources, Inc. (a) | | | 100 | | | | | | 274 | |
Diamondback Energy, Inc. (a) | | | 9,200 | | | | | | 1,163,984 | |
Dril-Quip, Inc. (a) | | | 2,000 | | | | | | 89,600 | |
Energen Corp. (a) | | | 24,300 | | | | | | 1,527,498 | |
Energy XXI Gulf Coast, Inc. (a) | | | 11,500 | | | | | | 44,160 | |
EOG Resources, Inc. (b) | | | 1,600 | | | | | | 168,432 | |
Era Group, Inc. (a) | | | 300 | | | | | | 2,805 | |
Evolution Petroleum Corp. (b) | | | 2,500 | | | | | | 20,125 | |
Exxon Mobil Corp. | | | 31,100 | | | | | | 2,320,371 | |
Geospace Technologies Corp. (a) | | | 100 | | | | | | 987 | |
Gran Tierra Energy, Inc. (a) | | | 800 | | | | | | 2,232 | |
Gulf Island Fabrication, Inc. (b) | | | 2,400 | | | | | | 17,040 | |
Hallador Energy Co. | | | 600 | | | | | | 4,122 | |
Halliburton Co. (b) | | | 208,000 | | | | | | 9,763,520 | |
Helmerich & Payne, Inc. | | | 4,000 | | | | | | 266,240 | |
HighPoint Resources Corp. (a) | | | 9,800 | | | | | | 49,784 | |
See Notes to Consolidated Financial Statements.
33
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | |
Security Description | | Shares | | | | | Value | |
Independence Contract Drilling, Inc. (a) | | | 4,900 | | | | | $ | 18,522 | |
ION Geophysical Corp. (a) | | | 386 | | | | | | 10,461 | |
Marathon Petroleum Corp. (b) | | | 119,900 | | | | | | 8,765,889 | |
Matador Resources Co. (a) | | | 5,000 | | | | | | 149,550 | |
Matrix Service Co. (a),(b) | | | 11,900 | | | | | | 163,030 | |
Midstates Petroleum Co., Inc. (a) | | | 300 | | | | | | 3,999 | |
Murphy USA, Inc. (a) | | | 5,600 | | | | | | 407,680 | |
NACCO Industries, Inc. Class A | | | 100 | | | | | | 3,285 | |
National Oilwell Varco, Inc. | | | 22,100 | | | | | | 813,501 | |
Natural Gas Services Group, Inc. (a) | | | 1,200 | | | | | | 28,620 | |
Newfield Exploration Co. (a) | | | 1,700 | | | | | | 41,514 | |
Newpark Resources, Inc. (a),(b) | | | 800 | | | | | | 6,480 | |
Noble Energy, Inc. | | | 24,067 | | | | | | 729,230 | |
NOW, Inc. (a) | | | 17,800 | | | | | | 181,916 | |
Parker Drilling Co. (a) | | | 3,200 | | | | | | 2,032 | |
PDC Energy, Inc. (a) | | | 500 | | | | | | 24,515 | |
Peabody Energy Corp. | | | 45,100 | | | | | | 1,646,150 | |
Penn Virginia Corp. (a) | | | 900 | | | | | | 31,536 | |
PHI, Inc. (a) | | | 1,200 | | | | | | 12,288 | |
Pioneer Energy Services Corp. (a) | | | 8,600 | | | | | | 23,220 | |
Pioneer Natural Resources Co. (b) | | | 51,600 | | | | | | 8,863,848 | |
Precision Drilling Corp. (a) | | | 900 | | | | | | 2,493 | |
SandRidge Energy, Inc. (a) | | | 1,000 | | | | | | 14,510 | |
Schlumberger Ltd. | | | 3,300 | | | | | | 213,774 | |
SEACOR Holdings, Inc. (a) | | | 100 | | | | | | 5,110 | |
SilverBow Resources, Inc. (a) | | | 500 | | | | | | 14,550 | |
Superior Energy Services, Inc. (a) | | | 5,500 | | | | | | 46,365 | |
Tidewater, Inc. (a) | | | 2,853 | | | | | | 81,624 | |
TransGlobe Energy Corp. (a),(b) | | | 800 | | | | | | 1,072 | |
Transocean Ltd. (a) | | | 215,500 | | | | | | 2,133,450 | |
TravelCenters of America LLC (a) | | | 4,700 | | | | | | 16,920 | |
VAALCO Energy, Inc. (a) | | | 3,200 | | | | | | 2,757 | |
World Fuel Services Corp. | | | 18,100 | | | | | | 444,355 | |
| | | | | | | | | | |
| | | | | | | | | 62,905,468 | |
| | | | | | | | | | |
Passenger Transportation — 0.2% | | | | | | | | | | |
Copa Holdings SA Class A | | | 8,000 | | | | | | 1,029,040 | |
Delta Air Lines, Inc. | | | 36,000 | | | | | | 1,973,160 | |
Hawaiian Holdings, Inc. (b) | | | 24,400 | | | | | | 944,280 | |
JetBlue Airways Corp. (a) | | | 29,500 | | | | | | 599,440 | |
Student Transportation, Inc. (b) | | | 3,000 | | | | | | 22,470 | |
United Continental Holdings, Inc. (a),(b) | | | 122,900 | | | | | | 8,537,863 | |
| | | | | | | | | | |
| | | | | | | | | 13,106,253 | |
| | | | | | | | | | |
Real Estate — 0.4% | | | | | | | | | | |
American Tower Corp. | | | 501 | | | | | | 72,815 | |
AvalonBay Communities, Inc. (d),(b) | | | 3,682 | | | | | | 605,542 | |
Boston Properties, Inc. (d),(b) | | | 3,824 | | | | | | 471,193 | |
See Notes to Consolidated Financial Statements.
34
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | |
Security Description | | Shares | | | | | Value | |
CareTrust REIT, Inc. | | | 2,000 | | | | | $ | 26,800 | |
CBRE Group, Inc. (a) | | | 10,800 | | | | | | 509,976 | |
Colliers International Group, Inc. | | | 1,100 | | | | | | 76,395 | |
CoreCivic, Inc. | | | 17,300 | | | | | | 337,696 | |
Digital Realty Trust, Inc. (d) | | | 7,217 | | | | | | 760,527 | |
Equinix, Inc. (d),(b) | | | 1,826 | | | | | | 763,524 | |
Equity Residential (d),(b) | | | 10,317 | | | | | | 635,734 | |
Essex Property Trust, Inc. (d) | | | 3,345 | | | | | | 805,075 | |
Extra Space Storage, Inc. | | | 2,000 | | | | | | 174,720 | |
FirstService Corp. | | | 1,300 | | | | | | 95,134 | |
Forest City Realty Trust, Inc.—Class A, (REIT) | | | 11,300 | | | | | | 228,938 | |
Gaming and Leisure Properties, Inc. | | | 45 | | | | | | 1,506 | |
Geo Group, Inc. (The) | | | 50 | | | | | | 1,023 | |
GGP, Inc. (d) | | | 33,381 | | | | | | 682,975 | |
Gladstone Commercial Corp. (b) | | | 6,300 | | | | | | 109,242 | |
HCP, Inc. (d) | | | 32,196 | | | | | | 747,913 | |
Highwoods Properties, Inc. | | | 9,800 | | | | | | 429,436 | |
Host Hotels & Resorts, Inc. (d) | | | 37,783 | | | | | | 704,275 | |
Howard Hughes Corp. (a) | | | 3,100 | | | | | | 431,303 | |
InfraREIT, Inc. | | | 3,300 | | | | | | 64,119 | |
Investors Real Estate Trust (d) | | | 378,788 | | | | | | 1,965,910 | |
JBG SMITH Properties (d),(b) | | | 1,481 | | | | | | 49,925 | |
Jones Lang LaSalle, Inc. (b) | | | 10,000 | | | | | | 1,746,400 | |
Liberty Property Trust | | | 1,800 | | | | | | 71,514 | |
LTC Properties, Inc. | | | 1,718 | | | | | | 65,284 | |
Marcus & Millichap, Inc. (a) | | | 1,500 | | | | | | 54,090 | |
MedEquities Realty Trust, Inc. | | | 4,300 | | | | | | 45,193 | |
MGM Growth Properties LLC Class A | | | 101 | | | | | | 2,681 | |
Monmouth Real Estate Investment Corp. Class A | | | 7,700 | | | | | | 115,808 | |
One Liberty Properties, Inc. | | | 1,600 | | | | | | 35,360 | |
Outfront Media, Inc. | | | 400 | | | | | | 7,496 | |
Prologis, Inc. (d),(b) | | | 15,075 | | | | | | 949,574 | |
Public Storage (d),(b) | | | 4,028 | | | | | | 807,171 | |
RE/MAX Holdings, Inc. Class A | | | 23 | | | | | | 1,390 | |
Realogy Holdings Corp. | | | 26,500 | | | | | | 722,920 | |
Realty Income Corp. (d) | | | 14,624 | | | | | | 756,500 | |
Saul Centers, Inc. | | | 100 | | | | | | 5,097 | |
SBA Communications Corp. (a),(b) | | | 31,600 | | | | | | 5,401,072 | |
Simon Property Group, Inc. (d),(b) | | | 10,920 | | | | | | 1,685,502 | |
Tier REIT, Inc. | | | 100 | | | | | | 1,848 | |
Urstadt Biddle Properties, Inc. Class A (b) | | | 3,500 | | | | | | 67,550 | |
Ventas, Inc. (d),(b) | | | 12,206 | | | | | | 604,563 | |
Vornado Realty Trust (d),(b) | | | 4,398 | | | | | | 295,985 | |
Weingarten Realty Investors | | | 200 | | | | | | 5,616 | |
Welltower, Inc. (d),(b) | | | 9,827 | | | | | | 534,884 | |
WP Carey, Inc. | | | 100 | | | | | | 6,199 | |
| | | | | | | | | | |
| | | | | | | | | 24,741,393 | |
| | | | | | | | | | |
See Notes to Consolidated Financial Statements.
35
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | |
Security Description | | Shares | | | | | Value | |
Recreation Facilities & Services — 0.1% | | | | | | | | | | |
Cinemark Holdings, Inc. | | | 11,800 | | | | | $ | 444,506 | |
Live Nation Entertainment, Inc. (a) | | | 53,600 | | | | | | 2,258,704 | |
Madison Square Garden Co. (The) (a) | | | 2,500 | | | | | | 614,500 | |
Marcus Corp. | | | 1,400 | | | | | | 42,490 | |
Planet Fitness, Inc. Class A (a) | | | 5,200 | | | | | | 196,404 | |
Speedway Motorsports, Inc. (b) | | | 1,200 | | | | | | 21,384 | |
| | | | | | | | | | |
| | | | | | | | | 3,577,988 | |
| | | | | | | | | | |
Renewable Energy — 0.0% | | | | | | | | | | |
Advanced Energy Industries, Inc. (a) | | | 200 | | | | | | 12,780 | |
Ameresco, Inc. Class A (a),(b) | | | 3,000 | | | | | | 39,000 | |
Canadian Solar, Inc. (a) | | | 200 | | | | | | 3,254 | |
Renewable Energy Group, Inc. (a),(b) | | | 6,100 | | | | | | 78,080 | |
SolarEdge Technologies, Inc. (a) | | | 12,600 | | | | | | 662,760 | |
Sunrun, Inc. (a) | | | 6,000 | | | | | | 53,580 | |
TPI Composites, Inc. (a) | | | 500 | | | | | | 11,225 | |
| | | | | | | | | | |
| | | | | | | | | 860,679 | |
| | | | | | | | | | |
Retail—Consumer Staples — 0.8% | | | | | | | | | | |
Costco Wholesale Corp. | | | 68,000 | | | | | | 12,813,240 | |
Dollar General Corp. | | | 1,700 | | | | | | 159,035 | |
Dollar Tree, Inc. (a),(b) | | | 107,100 | | | | | | 10,163,790 | |
Five Below, Inc. (a) | | | 33,200 | | | | | | 2,434,888 | |
Ingles Markets, Inc. Class A | | | 5,200 | | | | | | 176,020 | |
Kroger Co. | | | 77,400 | | | | | | 1,852,956 | |
Natural Grocers by Vitamin Cottage, Inc. (a) | | | 1,600 | | | | | | 11,456 | |
Rite Aid Corp. (a) | | | 5,200 | | | | | | 8,736 | |
Smart & Final Stores, Inc. (a) | | | 5,900 | | | | | | 32,745 | |
Sprouts Farmers Market, Inc. (a) | | | 37,300 | | | | | | 875,431 | |
Target Corp. | | | 287,500 | | | | | | 19,961,125 | |
Village Super Market, Inc. Class A | | | 1,200 | | | | | | 31,644 | |
Weis Markets, Inc. | | | 100 | | | | | | 4,098 | |
| | | | | | | | | | |
| | | | | | | | | 48,525,164 | |
| | | | | | | | | | |
Retail—Discretionary — 1.7% | | | | | | | | | | |
1-800-Flowers.com, Inc. Class A (a) | | | 2,500 | | | | | | 29,500 | |
Abercrombie & Fitch Co. Class A | | | 700 | | | | | | 16,947 | |
Amazon.com, Inc. (a) | | | 7,500 | | | | | | 10,855,050 | |
American Eagle Outfitters, Inc. | | | 11,800 | | | | | | 235,174 | |
At Home Group, Inc. (a) | | | 800 | | | | | | 25,632 | |
Avis Budget Group, Inc. (a) | | | 48,500 | | | | | | 2,271,740 | |
Barnes & Noble Education, Inc. (a) | | | 8,500 | | | | | | 58,565 | |
Bassett Furniture Industries, Inc. (b) | | | 900 | | | | | | 27,315 | |
Bed Bath & Beyond, Inc. | | | 75,700 | | | | | | 1,588,943 | |
Best Buy Co., Inc. (b) | | | 169,200 | | | | | | 11,842,308 | |
See Notes to Consolidated Financial Statements.
36
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | |
Security Description | | Shares | | | | | Value | |
Boot Barn Holdings, Inc. (a) | | | 2,200 | | | | | $ | 39,006 | |
Burlington Stores, Inc. (a),(b) | | | 40,600 | | | | | | 5,405,890 | |
CarMax, Inc. (a) | | | 800 | | | | | | 49,552 | |
Christopher & Banks Corp. (a) | | | 100 | | | | | | 107 | |
Citi Trends, Inc. (b) | | | 4,700 | | | | | | 145,277 | |
Container Store Group, Inc. (a) | | | 1,800 | | | | | | 9,792 | |
Destination XL Group, Inc. (a) | | | 2,499 | | | | | | 4,373 | |
Dick's Sporting Goods, Inc. | | | 49,600 | | | | | | 1,738,480 | |
DSW, Inc. Class A | | | 17,000 | | | | | | 381,820 | |
eBay, Inc. (a) | | | 224,500 | | | | | | 9,033,880 | |
Etsy, Inc. (a) | | | 72,900 | | | | | | 2,045,574 | |
EVINE Live, Inc. (a),(b) | | | 1,700 | | | | | | 1,734 | |
Express, Inc. (a) | | | 13,700 | | | | | | 98,092 | |
Ezcorp, Inc. Class A (a) | | | 7,100 | | | | | | 93,720 | |
Floor & Decor Holdings, Inc. Class A (a) | | | 4,400 | | | | | | 229,328 | |
Foot Locker, Inc. | | | 72,700 | | | | | | 3,310,758 | |
Gap, Inc. | | | 17,200 | | | | | | 536,640 | |
Genesco, Inc. (a) | | | 10,400 | | | | | | 422,240 | |
Genuine Parts Co. | | | 25,000 | | | | | | 2,246,000 | |
Kirkland's, Inc. (a),(b) | | | 7,100 | | | | | | 68,799 | |
Kohl's Corp. (b) | | | 100,900 | | | | | | 6,609,959 | |
Lands' End, Inc. (a) | | | 800 | | | | | | 18,680 | |
Liquidity Services, Inc. (a),(b) | | | 4,300 | | | | | | 27,950 | |
Lowe's Cos., Inc. (b) | | | 800 | | | | | | 70,200 | |
Lululemon Athletica, Inc. (a) | | | 75,400 | | | | | | 6,719,648 | |
Monro Muffler Brake, Inc. | | | 400 | | | | | | 21,440 | |
Nordstrom, Inc. | | | 32,300 | | | | | | 1,563,643 | |
O'Reilly Automotive, Inc. (a) | | | 400 | | | | | | 98,952 | |
Qurate Retail, Inc. (a) | | | 97,534 | | | | | | 2,454,931 | |
Ross Stores, Inc. (b) | | | 91,000 | | | | | | 7,096,180 | |
Sears Hometown and Outlet Stores, Inc. (a) | | | 100 | | | | | | 300 | |
Shoe Carnival, Inc. | | | 1,200 | | | | | | 28,560 | |
Sleep Number Corp. (a) | | | 1,100 | | | | | | 38,665 | |
Stein Mart, Inc. (b) | | | 4,400 | | | | | | 6,688 | |
Tapestry, Inc. | | | 27,800 | | | | | | 1,462,558 | |
Tile Shop Holdings, Inc. | | | 31,200 | | | | | | 187,200 | |
Tilly's, Inc. Class A | | | 5,600 | | | | | | 63,280 | |
TJX Cos., Inc. | | | 158,900 | | | | | | 12,959,884 | |
Tuesday Morning Corp. (a) | | | 6,200 | | | | | | 24,490 | |
Ulta Salon Cosmetics & Fragrance, Inc. (a) | | | 2,272 | | | | | | 464,101 | |
Urban Outfitters, Inc. (a) | | | 64,900 | | | | | | 2,398,704 | |
Vera Bradley, Inc. (a) | | | 7,900 | | | | | | 83,819 | |
Vitamin Shoppe, Inc. (a) | | | 5,500 | | | | | | 23,925 | |
Wayfair, Inc. Class A (a) | | | 30,600 | | | | | | 2,066,418 | |
Williams-Sonoma, Inc. | | | 50,200 | | | | | | 2,648,552 | |
| | | | | | | | | | |
| | | | | | | | | 99,950,963 | |
| | | | | | | | | | |
See Notes to Consolidated Financial Statements.
37
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | |
Security Description | | Shares | | | | | Value | |
Semiconductors — 1.3% | | | | | | | | | | |
Alpha & Omega Semiconductor Ltd. (a),(b) | | | 3,800 | | | | | $ | 58,710 | |
Amkor Technology, Inc. (a),(b) | | | 52,500 | | | | | | 531,825 | |
Amtech Systems, Inc. (a) | | | 500 | | | | | | 3,660 | |
Axcelis Technologies, Inc. (a) | | | 17,550 | | | | | | 431,730 | |
Cabot Microelectronics Corp. | | | 3,400 | | | | | | 364,174 | |
CEVA, Inc. (a),(b) | | | 3,200 | | | | | | 115,840 | |
Cirrus Logic, Inc. (a) | | | 4,700 | | | | | | 190,961 | |
Cohu, Inc. (b) | | | 9,800 | | | | | | 223,538 | |
Cypress Semiconductor Corp. | | | 11,270 | | | | | | 191,139 | |
Data I/O Corp. (a) | | | 100 | | | | | | 744 | |
Diodes, Inc. (a) | | | 8,100 | | | | | | 246,726 | |
DSP Group, Inc. (a),(b) | | | 2,400 | | | | | | 28,320 | |
Entegris, Inc. | | | 32,600 | | | | | | 1,134,480 | |
FormFactor, Inc. (a) | | | 3,561 | | | | | | 48,608 | |
Intel Corp. (b) | | | 459,419 | | | | | | 23,926,542 | |
KLA-Tencor Corp. (b) | | | 57,800 | | | | | | 6,300,778 | |
Lam Research Corp. | | | 9,964 | | | | | | 2,024,286 | |
Lattice Semiconductor Corp. (a) | | | 42,800 | | | | | | 238,396 | |
M/A-COM Technology Solutions Holdings, Inc. (a) | | | 8,132 | | | | | | 134,991 | |
Marvell Technology Group Ltd. | | | 103,700 | | | | | | 2,177,700 | |
Maxim Integrated Products, Inc. | | | 50,200 | | | | | | 3,023,044 | |
Maxwell Technologies, Inc. (a) | | | 700 | | | | | | 4,151 | |
Microchip Technology, Inc. | | | 24 | | | | | | 2,193 | |
Micron Technology, Inc. (a) | | | 408,000 | | | | | | 21,273,120 | |
Nanometrics, Inc. (a) | | | 7,000 | | | | | | 188,300 | |
ON Semiconductor Corp. (a) | | | 38,035 | | | | | | 930,336 | |
Photronics, Inc. (a),(b) | | | 24,800 | | | | | | 204,600 | |
Pixelworks, Inc. (a) | | | 8,700 | | | | | | 33,669 | |
Qualcomm, Inc. | | | 98,400 | | | | | | 5,452,344 | |
Rambus, Inc. (a) | | | 38,700 | | | | | | 519,741 | |
Rudolph Technologies, Inc. (a),(b) | | | 8,700 | | | | | | 240,990 | |
Semtech Corp. (a) | | | 2,600 | | | | | | 101,530 | |
Sigma Designs, Inc. (a) | | | 2,600 | | | | | | 16,120 | |
SMART Global Holdings, Inc. (a) | | | 6,300 | | | | | | 313,992 | |
Synaptics, Inc. (a) | | | 20,600 | | | | | | 942,038 | |
Teradyne, Inc. (b) | | | 99,000 | | | | | | 4,525,290 | |
Universal Display Corp. | | | 11,200 | | | | | | 1,131,200 | |
Veeco Instruments, Inc. (a) | | | 16,230 | | | | | | 275,910 | |
Vishay Intertechnology, Inc. | | | 1,000 | | | | | | 18,600 | |
Xcerra Corp. (a) | | | 32,900 | | | | | | 383,285 | |
Xilinx, Inc. | | | 5,600 | | | | | | 404,544 | |
Xperi Corp. | | | 3,300 | | | | | | 69,795 | |
| | | | | | | | | | |
| | | | | | | | | 78,427,940 | |
| | | | | | | | | | |
See Notes to Consolidated Financial Statements.
38
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | |
Security Description | | Shares | | | | | Value | |
Software — 1.2% | | | | | | | | | | |
2U, Inc. (a) | | | 900 | | | | | $ | 75,627 | |
Agilysys, Inc. (a),(b) | | | 900 | | | | | | 10,728 | |
Amber Road, Inc. (a) | | | 3,200 | | | | | | 28,480 | |
Appfolio, Inc. (a) | | | 6,000 | | | | | | 245,100 | |
Apptio, Inc. Class A (a) | | | 18,000 | | | | | | 510,120 | |
Aspen Technology, Inc. (a) | | | 1,000 | | | | | | 78,890 | |
Autodesk, Inc. (a) | | | 13,200 | | | | | | 1,657,656 | |
Avid Technology, Inc. (a) | | | 6,500 | | | | | | 29,510 | |
Black Knight, Inc. (a) | | | 5,200 | | | | | | 244,920 | |
Blackline, Inc. (a) | | | 1,200 | | | | | | 47,052 | |
Brightcove, Inc. (a) | | | 8,100 | | | | | | 56,295 | |
CA, Inc. | | | 12,300 | | | | | | 416,970 | |
Cadence Design Systems, Inc. (a) | | | 18,800 | | | | | | 691,276 | |
Calix, Inc. (a),(b) | | | 4,200 | | | | | | 28,770 | |
CDK Global, Inc. | | | 29,701 | | | | | | 1,881,261 | |
Cerner Corp. (a) | | | 65,500 | | | | | | 3,799,000 | |
ChannelAdvisor Corp. (a) | | | 3,100 | | | | | | 28,210 | |
Citrix Systems, Inc. (a) | | | 9,400 | | | | | | 872,320 | |
Cloudera, Inc. (a) | | | 28,800 | | | | | | 621,504 | |
CommerceHub, Inc. (a) | | | 3,300 | | | | | | 74,217 | |
Cotiviti Holdings, Inc. (a) | | | 300 | | | | | | 10,332 | |
Coupa Software, Inc. (a) | | | 29,900 | | | | | | 1,364,038 | |
Digi International, Inc. (a),(b) | | | 3,500 | | | | | | 36,050 | |
Digital Turbine, Inc. (a) | | | 2,600 | | | | | | 5,226 | |
Envestnet, Inc. (a) | | | 200 | | | | | | 11,460 | |
Everbridge, Inc. (a) | | | 2,000 | | | | | | 73,200 | |
FireEye, Inc. (a) | | | 20,100 | | | | | | 340,293 | |
Five9, Inc. (a) | | | 19,300 | | | | | | 574,947 | |
Fortinet, Inc. (a) | | | 52,600 | | | | | | 2,818,308 | |
Hortonworks, Inc. (a) | | | 7,800 | | | | | | 158,886 | |
HubSpot, Inc. (a) | | | 6,400 | | | | | | 693,120 | |
Immersion Corp. (a) | | | 600 | | | | | | 7,170 | |
Imperva, Inc. (a) | | | 1,200 | | | | | | 51,960 | |
InnerWorkings, Inc. (a),(b) | | | 10,700 | | | | | | 96,835 | |
Instructure, Inc. (a) | | | 8,400 | | | | | | 354,060 | |
KEYW Holding Corp. (The) (a) | | | 800 | | | | | | 6,288 | |
Limelight Networks, Inc. (a),(b) | | | 32,900 | | | | | | 135,219 | |
LivePerson, Inc. (a) | | | 6,400 | | | | | | 104,640 | |
Microsoft Corp. | | | 37,100 | | | | | | 3,386,117 | |
MicroStrategy, Inc. Class A (a),(b) | | | 3,100 | | | | | | 399,869 | |
Mimecast Ltd. (a) | | | 4,400 | | | | | | 155,892 | |
MINDBODY, Inc. Class A (a) | | | 18,200 | | | | | | 707,980 | |
Model N, Inc. (a),(b) | | | 9,600 | | | | | | 173,280 | |
Monotype Imaging Holdings, Inc. (b) | | | 2,200 | | | | | | 49,390 | |
MuleSoft, Inc. Class A (a) | | | 31,200 | | | | | | 1,372,176 | |
See Notes to Consolidated Financial Statements.
39
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | |
Security Description | | Shares | | | | | Value | |
New Relic, Inc. (a) | | | 20,600 | | | | | $ | 1,526,872 | |
Nuance Communications, Inc. (a) | | | 16,500 | | | | | | 259,875 | |
Okta, Inc. (a) | | | 20,500 | | | | | | 816,925 | |
Palo Alto Networks, Inc. (a),(b) | | | 55,100 | | | | | | 10,001,752 | |
PDF Solutions, Inc. (a),(b) | | | 4,600 | | | | | | 53,636 | |
Pegasystems, Inc. | | | 2,300 | | | | | | 139,495 | |
Proofpoint, Inc. (a) | | | 25,100 | | | | | | 2,852,615 | |
PROS Holdings, Inc. (a) | | | 1,400 | | | | | | 46,214 | |
Q2 Holdings, Inc. (a) | | | 500 | | | | | | 22,775 | |
QAD, Inc. Class A (b) | | | 1,400 | | | | | | 58,310 | |
Quality Systems, Inc. (a) | | | 5,600 | | | | | | 76,440 | |
Rapid7, Inc. (a) | | | 11,400 | | | | | | 291,498 | |
Red Hat, Inc. (a) | | | 4,300 | | | | | | 642,893 | |
Ribbon Communications, Inc. (a) | | | 8,500 | | | | | | 43,350 | |
Rosetta Stone, Inc. (a) | | | 6,700 | | | | | | 88,105 | |
SailPoint Technologies Holding, Inc. (a) | | | 800 | | | | | | 16,552 | |
Seachange International, Inc. (a) | | | 10,700 | | | | | | 28,997 | |
ServiceNow, Inc. (a),(b) | | | 51,800 | | | | | | 8,570,310 | |
Splunk, Inc. (a) | | | 39,500 | | | | | | 3,886,405 | |
SPS Commerce, Inc. (a) | | | 5,200 | | | | | | 333,164 | |
Synchronoss Technologies, Inc. (a) | | | 24,300 | | | | | | 256,365 | |
Tableau Software, Inc. Class A (a) | | | 13,400 | | | | | | 1,082,988 | |
Twilio, Inc. (a) | | | 42,100 | | | | | | 1,607,378 | |
Upland Software, Inc. (a) | | | 500 | | | | | | 14,395 | |
Varonis Systems, Inc. (a) | | | 8,700 | | | | | | 526,350 | |
VASCO Data Security International, Inc. (a) | | | 700 | | | | | | 9,065 | |
Veeva Systems, Inc. Class A (a) | | | 2,500 | | | | | | 182,550 | |
VMware, Inc. Class A (a),(b) | | | 37,900 | | | | | | 4,596,133 | |
Workday, Inc. Class A (a),(b) | | | 50,700 | | | | | | 6,444,477 | |
Workiva, Inc. (a) | | | 7,500 | | | | | | 177,750 | |
Zendesk, Inc. (a) | | | 26,100 | | | | | | 1,249,407 | |
Zynga, Inc. Class A (a) | | | 387,600 | | | | | | 1,418,616 | |
| | | | | | | | | | |
| | | | | | | | | 71,806,299 | |
| | | | | | | | | | |
Specialty Finance — 0.7% | | | | | | | | | | |
AG Mortgage Investment Trust, Inc. | | | 7,400 | | | | | | 128,538 | |
AGNC Investment Corp. (b) | | | 195,238 | | | | | | 3,693,903 | |
Alliance Data Systems Corp. | | | 29 | | | | | | 6,173 | |
American Express Co. (d) | | | 124,381 | | | | | | 11,602,260 | |
Annaly Capital Management, Inc. | | | 51,800 | | | | | | 540,274 | |
Anworth Mortgage Asset Corp. | | | 3,800 | | | | | | 18,240 | |
Arbor Realty Trust, Inc. (b) | | | 29,400 | | | | | | 259,308 | |
Ares Commercial Real Estate Corp. | | | 300 | | | | | | 3,705 | |
Capital One Financial Corp. (d) | | | 91,971 | | | | | | 8,812,661 | |
Cardtronics PLC (a) | | | 17,500 | | | | | | 390,425 | |
Consumer Portfolio Services, Inc. (a),(b) | | | 1,400 | | | | | | 5,278 | |
See Notes to Consolidated Financial Statements.
40
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | |
Security Description | | Shares | | | | | Value | |
Dynex Capital, Inc. | | | 23,700 | | | | | $ | 157,131 | |
Essent Group Ltd. (a) | | | 18,400 | | | | | | 783,104 | |
Everi Holdings, Inc. (a) | | | 16,700 | | | | | | 109,719 | |
Fidelity National Information Services, Inc. | | | 35,900 | | | | | | 3,457,170 | |
First American Financial Corp. | | | 100 | | | | | | 5,868 | |
First Data Corp. Class A (a) | | | 178,300 | | | | | | 2,852,800 | |
Fiserv, Inc. (a) | | | 24,800 | | | | | | 1,768,488 | |
FleetCor Technologies, Inc. (a) | | | 100 | | | | | | 20,250 | |
Global Payments, Inc. | | | 6,366 | | | | | | 709,936 | |
Great Ajax Corp. | | | 300 | | | | | | 4,065 | |
Green Dot Corp. Class A (a) | | | 5,600 | | | | | | 359,296 | |
HFF, Inc. Class A | | | 300 | | | | | | 14,910 | |
LendingTree, Inc. (a) | | | 4,000 | | | | | | 1,312,600 | |
Liberty Tax, Inc. | | | 300 | | | | | | 3,030 | |
MasterCard, Inc. Class A | | | 5,800 | | | | | | 1,015,928 | |
MFA Financial, Inc. | | | 53,200 | | | | | | 400,596 | |
MTGE Investment Corp. | | | 18,000 | | | | | | 322,200 | |
Navient Corp. | | | 600 | | | | | | 7,872 | |
NewStar Financial, Inc. (a),(e) | | | 100 | | | | | | 0 | |
R1 RCM, Inc. (a) | | | 1,800 | | | | | | 12,852 | |
Redwood Trust, Inc. | | | 1,600 | | | | | | 24,752 | |
Starwood Property Trust, Inc. | | | 7,100 | | | | | | 148,745 | |
Total System Services, Inc. | | | 21,100 | | | | | | 1,820,086 | |
TPG RE Finance Trust, Inc. | | | 3,900 | | | | | | 77,571 | |
Visa, Inc. A Shares | | | 6,400 | | | | | | 765,568 | |
Western Union Co. | | | 29,500 | | | | | | 567,285 | |
WEX, Inc. (a) | | | 3,700 | | | | | | 579,494 | |
World Acceptance Corp. (a) | | | 400 | | | | | | 42,120 | |
| | | | | | | | | | |
| | | | | | | | | 42,804,201 | |
| | | | | | | | | | |
Technology Services — 0.3% | | | | | | | | | | |
Amdocs Ltd. | | | 20,400 | | | | | | 1,361,088 | |
Automatic Data Processing, Inc. | | | 13,200 | | | | | | 1,497,936 | |
Black Box Corp. | | | 4,100 | | | | | | 8,200 | |
CDW Corp. | | | 4,800 | | | | | | 337,488 | |
Conduent, Inc. (a) | | | 121,100 | | | | | | 2,257,304 | |
Convergys Corp. | | | 24,000 | | | | | | 542,880 | |
CPI Card Group, Inc. | | | 320 | | | | | | 965 | |
CSG Systems International, Inc. | | | 100 | | | | | | 4,529 | |
Dell Technologies, Inc.—VMware, Inc. Class V (a) | | | 3,400 | | | | | | 248,914 | |
Dun & Bradstreet Corp. | | | 2,600 | | | | | | 304,200 | |
DXC Technology Co. | | | 1 | | | | | | 100 | |
Engility Holdings, Inc. (a) | | | 1,100 | | | | | | 26,840 | |
Equifax, Inc. (b) | | | 28,900 | | | | | | 3,404,709 | |
Evertec, Inc. | | | 800 | | | | | | 13,080 | |
FactSet Research Systems, Inc. | | | 200 | | | | | | 39,884 | |
See Notes to Consolidated Financial Statements.
41
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | |
Security Description | | Shares | | | | | Value | |
Forrester Research, Inc. | | | 200 | | | | | $ | 8,290 | |
Genpact Ltd. (b) | | | 15,000 | | | | | | 479,850 | |
ICF International, Inc. | | | 1,400 | | | | | | 81,830 | |
International Business Machines Corp. | | | 27,600 | | | | | | 4,234,668 | |
Luxoft Holding, Inc. (a) | | | 7,800 | | | | | | 319,410 | |
ManTech International Corp. Class A | | | 1,500 | | | | | | 83,205 | |
Moody's Corp. | | | 1,200 | | | | | | 193,560 | |
MSCI, Inc. | | | 100 | | | | | | 14,947 | |
NIC, Inc. | | | 4,600 | | | | | | 61,180 | |
Perficient, Inc. (a) | | | 6,100 | | | | | | 139,812 | |
PFSweb, Inc. (a) | | | 1,200 | | | | | | 10,488 | |
S&P Global, Inc. | | | 1,200 | | | | | | 229,272 | |
Sabre Corp. (b) | | | 102,500 | | | | | | 2,198,625 | |
ServiceSource International, Inc. (a) | | | 22,300 | | | | | | 84,963 | |
Syntel, Inc. (a) | | | 14,000 | | | | | | 357,420 | |
TransUnion (a) | | | 12,400 | | | | | | 704,072 | |
Travelport Worldwide Ltd. | | | 5,300 | | | | | | 86,602 | |
TTEC Holdings | | | 600 | | | | | | 18,420 | |
Verisk Analytics, Inc. (a) | | | 9,400 | | | | | | 977,600 | |
WageWorks, Inc. (a) | | | 600 | | | | | | 27,120 | |
| | | | | | | | | | |
| | | | | | | | | 20,359,451 | |
| | | | | | | | | | |
Telecommunications — 0.2% | | | | | | | | | | |
8x8, Inc. (a) | | | 600 | | | | | | 11,190 | |
AT&T, Inc. | | | 58,581 | | | | | | 2,088,412 | |
EchoStar Corp. Class A (a) | | | 1,200 | | | | | | 63,324 | |
Fusion Telecommunications International, Inc. (a) | | | 400 | | | | | | 1,292 | |
GCI Liberty, Inc. Class A (a) | | | 31 | | | | | | 1,639 | |
Hawaiian Telcom Holdco, Inc. (a),(b) | | | 400 | | | | | | 10,672 | |
IDT Corp. Class B (b) | | | 2,200 | | | | | | 13,794 | |
Internap Corp. (a) | | | 3,700 | | | | | | 40,700 | |
RigNet, Inc. (a) | | | 600 | | | | | | 8,160 | |
RingCentral, Inc. Class A (a) | | | 26,800 | | | | | | 1,701,800 | |
Spok Holdings, Inc. (b) | | | 2,100 | | | | | | 31,395 | |
T-Mobile US, Inc. (a) | | | 81,900 | | | | | | 4,999,176 | |
Telephone & Data Systems, Inc. | | | 600 | | | | | | 16,818 | |
Zix Corp. (a),(b) | | | 10,400 | | | | | | 44,408 | |
| | | | | | | | | | |
| | | | | | | | | 9,032,780 | |
| | | | | | | | | | |
Transportation & Logistics — 0.2% | | | | | | | | | | |
Air Transport Services Group, Inc. (a),(b) | | | 17,200 | | | | | | 401,104 | |
ArcBest Corp. | | | 6,700 | | | | | | 214,735 | |
Covenant Transportation Group, Inc. Class A (a) | | | 1,300 | | | | | | 38,779 | |
CSX Corp. | | | 14,100 | | | | | | 785,511 | |
Eagle Bulk Shipping, Inc. (a) | | | 9,085 | | | | | | 44,971 | |
Genco Shipping & Trading Ltd. (a) | | | 1,100 | | | | | | 15,642 | |
See Notes to Consolidated Financial Statements.
42
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | |
Security Description | | Shares | | | | | Value | |
Genesee & Wyoming, Inc. (a) | | | 900 | | | | | $ | 63,711 | |
JB Hunt Transport Services, Inc. | | | 7,200 | | | | | | 843,480 | |
Kansas City Southern | | | 27,900 | | | | | | 3,064,815 | |
Kirby Corp. (a) | | | 1,000 | | | | | | 76,950 | |
Marten Transport Ltd. | | | 7,033 | | | | | | 160,352 | |
Matson, Inc. | | | 100 | | | | | | 2,864 | |
Norfolk Southern Corp. | | | 13,700 | | | | | | 1,860,186 | |
Roadrunner Transportation Systems, Inc. (a) | | | 5,100 | | | | | | 12,954 | |
Ryder System, Inc. (b) | | | 21,800 | | | | | | 1,586,822 | |
Saia, Inc. (a),(b) | | | 900 | | | | | | 67,635 | |
Schneider National, Inc.—Class B | | | 700 | | | | | | 18,242 | |
Steel Connect, Inc. (a),(b) | | | 2,100 | | | | | | 4,452 | |
USA Truck, Inc. (a),(b) | | | 3,400 | | | | | | 86,666 | |
| | | | | | | | | | |
| | | | | | | | | 9,349,871 | |
| | | | | | | | | | |
Transportation Equipment — 0.2% | | | | | | | | | | |
Allison Transmission Holdings, Inc. (b) | | | 71,000 | | | | | | 2,773,260 | |
American Railcar Industries, Inc. | | | 1,100 | | | | | | 41,151 | |
Blue Bird Corp. (a) | | | 2,700 | | | | | | 63,990 | |
Commercial Vehicle Group, Inc. (a) | | | 9,500 | | | | | | 73,625 | |
Cummins, Inc. (b) | | | 31,500 | | | | | | 5,105,835 | |
Meritor, Inc. (a) | | | 17,700 | | | | | | 363,912 | |
PACCAR, Inc. (b) | | | 46,100 | | | | | | 3,050,437 | |
Spartan Motors, Inc. | | | 4,300 | | | | | | 73,960 | |
Trinity Industries, Inc. | | | 200 | | | | | | 6,526 | |
WABCO Holdings, Inc. (a) | | | 6,000 | | | | | | 803,220 | |
| | | | | | | | | | |
| | | | | | | | | 12,355,916 | |
| | | | | | | | | | |
Utilities — 0.2% | | | | | | | | | | |
AES Corp. | | | 7,200 | | | | | | 81,864 | |
American Electric Power Co., Inc. | | | 300 | | | | | | 20,577 | |
CenterPoint Energy, Inc. | | | 149,600 | | | | | | 4,099,040 | |
Consolidated Water Co. Ltd. | | | 1,600 | | | | | | 23,280 | |
Dominion Resources, Inc. | | | 6,600 | | | | | | 445,038 | |
Exelon Corp. | | | 200 | | | | | | 7,802 | |
Just Energy Group, Inc. | | | 3,600 | | | | | | 15,840 | |
NRG Energy, Inc. | | | 137,200 | | | | | | 4,188,716 | |
PG&E Corp. | | | 41,700 | | | | | | 1,831,881 | |
Pinnacle West Capital Corp. | | | 300 | | | | | | 23,940 | |
Portland General Electric Co. | | | 12,900 | | | | | | 522,579 | |
Public Service Enterprise Group, Inc. | | | 31,000 | | | | | | 1,557,440 | |
WEC Energy Group, Inc. | | | 29 | | | | | | 1,818 | |
Xcel Energy, Inc. | | | 2,500 | | | | | | 113,700 | |
| | | | | | | | | | |
| | | | | | | | | 12,933,515 | |
| | | | | | | | | | |
See Notes to Consolidated Financial Statements.
43
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | | | |
Security Description | | Shares | | | | | | Value | |
Waste & Environmental Services & Equipment — 0.1% | | | | | | | | | |
Advanced Disposal Services, Inc. (a) | | | 19,300 | | | | | | | $ | 430,004 | |
Advanced Emissions Solutions, Inc. | | | 100 | | | | | | | | 1,142 | |
Casella Waste Systems, Inc. Class A (a),(b) | | | 12,500 | | | | | | | | 292,250 | |
Ceco Environmental Corp. | | | 4,100 | | | | | | | | 18,245 | |
Heritage-Crystal Clean, Inc. (a) | | | 1,000 | | | | | | | | 23,550 | |
Republic Services, Inc. | | | 3,900 | | | | | | | | 258,297 | |
Stericycle, Inc. (a) | | | 6,600 | | | | | | | | 386,298 | |
Waste Connections, Inc. | | | 8,734 | | | | | | | | 626,577 | |
Waste Management, Inc. | | | 35,300 | | | | | | | | 2,969,436 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 5,005,799 | |
| | | | | | | | | | | | |
Total North America | | | | | | | | | | | 1,594,502,085 | |
| | | | | | | | | | | | |
Oceania — 0.0% | | | | | | | | | | | | |
Software — 0.0% | | | | | | | | | | | | |
Atlassian Corp. PLC Class A (a) | | | 32,100 | | | | | | | | 1,730,832 | |
| | | | | | | | | | | | |
Total Oceania | | | | | | | | | | | 1,730,832 | |
| | | | | | | | | | | | |
South America — 0.1% | | | | | | | | | | | | |
Banking — 0.1% | | | | | | | | | | | | |
Credicorp Ltd. | | | 11,300 | | | | | | | | 2,565,552 | |
| | | | | | | | | | | | |
Chemicals — 0.0% | | | | | | | | | | | | |
Sociedad Quimica y Minera de Chile SA ADR | | | 7,700 | | | | | | | | 378,455 | |
| | | | | | | | | | | | |
Consumer Products — 0.0% | | | | | | | | | | | | |
Adecoagro SA (a) | | | 19,400 | | | | | | | | 145,888 | |
AMBEV SA ADR | | | 600 | | | | | | | | 4,362 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 150,250 | |
| | | | | | | | | | | | |
Gaming, Lodging & Restaurants — 0.0% | | | | | | | | | | | | |
Arcos Dorados Holdings, Inc. A Shares | | | 24,400 | | | | | | | | 223,260 | |
| | | | | | | | | | | | |
Iron & Steel — 0.0% | | | | | | | | | | | | |
Gerdau SA ADR | | | 20,100 | | | | | | | | 93,666 | |
| | | | | | | | | | | | |
Passenger Transportation — 0.0% | | | | | | | | | | | | |
Avianca Holdings SA ADR | | | 3,233 | | | | | | | | 27,384 | |
Azul SA ADR (a) | | | 4,000 | | | | | | | | 139,000 | |
Gol Linhas Aereas Inteligentes SA ADR (a) | | | 1,250 | | | | | | | | 16,237 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 182,621 | |
| | | | | | | | | | | | |
Utilities — 0.0% | | | | | | | | | | | | |
Cia Energetica de Minas Gerais ADR (b) | | | 34,400 | | | | | | | | 88,752 | |
| | | | | | | | | | | | |
Total South America | | | | | | | | 3,682,556 | |
| | | | | | | | | | | | |
TOTAL COMMON STOCK
(COST $1,680,285,702) | | | | | | | | 1,720,873,905 | |
| | | | | | | | | | | | |
See Notes to Consolidated Financial Statements.
44
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | | | |
Security Description | | Shares | | | | | | Value | |
PREFERRED STOCK — 3.5% | | | | | | | | | | | | |
Asia — 3.5% | | | | | | | | | | | | |
Financial Services — 3.5% | | | | | | | | | | | | |
Mandatory Exchangeable Trust, 5.75%, 06/03/19 (q),(b),(d) | | | 1,015,016 | | | | | | | $ | 209,658,152 | |
| | | | | | | | | | | | |
Total Asia | | | | | | | | 209,658,152 | |
| | | | | | | | | | | | |
TOTAL PREFERRED STOCK
(COST $173,407,605) | | | | | | | | 209,658,152 | |
| | | | | | | | | | | | |
| | | |
Security Description | | Principal
Amount | | | | | | Value | |
|
ASSET-BACKED SECURITIES — 5.1% | |
North America — 5.1% | | | | | | | | | |
ACIS CLO Ltd., Series 2015-6A, Class D,
3 mo. USD LIBOR + 3.77%, 5.54%, 05/01/27 (d),(f),(g) | | $ | 2,000,000 | | | | | | | | 1,997,154 | |
Adams Mill CLO Ltd., Series 2014-1A, Class D1,
3 mo. USD LIBOR + 3.50%, 5.22%, 07/15/26 (d),(f),(g) | | | 4,750,000 | | | | | | | | 4,739,882 | |
Allegro CLO Ltd., | |
Series 2013-1A, Class C, 3 mo. USD LIBOR + 3.45%, 5.22%, 01/30/26 (d),(f),(g) | | | 5,000,000 | | | | | | | | 4,991,310 | |
Series 2015-1A, Class DR,
4.40%, 07/25/27 (d),(f),(g) | | | 1,000,000 | | | | | | | | 998,216 | |
Allegro Ltd., 3 mo. USD LIBOR + 3.85%, 5.59%, 01/21/27 (d),(f),(g) | | | 1,900,000 | | | | | | | | 1,896,747 | |
ALM Loan Funding, Series 2013-7RA, Class CR,
3 mo. USD LIBOR + 4.04%, 5.76%, 10/15/28 (d),(f),(g) | | | 1,000,000 | | | | | | | | 1,030,392 | |
Apidos CLO, Series 2014-18A, Class D,
3 mo. USD LIBOR + 5.20%, 6.94%, 07/22/26 (d),(f),(g) | | | 3,600,000 | | | | | | | | 3,589,805 | |
Atlas Senior Loan Fund V Ltd., Series 2014-1A, Class DR2, 3 mo. USD LIBOR + 4.00%, 5.72%, 07/16/29 (d),(f),(g) | | | 2,000,000 | | | | | | | | 2,039,334 | |
Avery Point CLO Ltd., Series 2014-5A, Class DR, 4.83%, 07/17/26 (d),(f),(g) | | | 1,000,000 | | | | | | | | 998,215 | |
Babson CLO Ltd., Series 2013-IA, Class DR, 4.29%, 01/20/28 (d),(f),(g) | | | 2,000,000 | | | | | | | | 1,996,222 | |
Battalion CLO Ltd., Series 2016-10A, Class C, 3 mo. USD LIBOR + 4.25%, 5.99%, 01/24/29 (d),(f),(g) | | | 7,500,000 | | | | | | | | 7,589,685 | |
Bear Stearns Asset-Backed Securities Trust, | | | | | | | | | | | | |
Series 2007-1, Class A2, 1 mo. USD LIBOR + 0.28%, 2.15%, 01/25/37 (d),(g) | | | 1,513,770 | | | | | | | | 1,482,889 | |
See Notes to Consolidated Financial Statements.
45
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | |
Security Description | | Principal
Amount | | | | | Value | |
Series 2007-2, Class A2, 1 mo. USD LIBOR + 0.32%, 2.19%, 01/25/47 (d),(g) | | $ | 2,566,807 | | | | | $ | 2,482,767 | |
BlueMountain CLO Ltd., Series 2015-3A, Class D, 3 mo. USD LIBOR + 5.25%, 6.99%, 10/20/27 (d),(f),(g) | | | 3,900,000 | | | | | | 3,900,000 | |
Brookside Mill CLO Ltd., Series 2013-1A, Class DR, 4.35%, 01/17/28 (d),(f),(g) | | | 4,000,000 | | | | | | 3,999,144 | |
Carlyle Global Market Strategies CLO Ltd., | | | | | | | | | | |
1.00%, 04/17/31 (d),(g),(f) | | | 3,000,000 | | | | | | 3,000,000 | |
Series 2013-3A, Class CR,
4.17%, 10/15/30 (d),(f),(g) | | | 1,000,000 | | | | | | 994,727 | |
Series 2014-1A, Class D, 3 mo. USD LIBOR + 3.45%, 5.18%, 04/17/25 (d),(f),(g) | | | 1,700,000 | | | | | | 1,696,539 | |
Series 2014-2A, Class D, 3 mo. USD LIBOR + 3.50%, 5.34%, 05/15/25 (d),(f),(g) | | | 1,900,000 | | | | | | 1,898,830 | |
Series 2014-4A, Class E, 3 mo. USD LIBOR + 5.20%, 6.92%, 10/15/26 (d),(f),(g) | | | 1,500,000 | | | | | | 1,495,320 | |
Catamaran CLO Ltd., | | | | | | | | | | |
Series 2013-1A, Class DR,
4.31%, 01/27/28 (d),(f),(g) | | | 2,000,000 | | | | | | 1,997,084 | |
Series 2014-1A, Class CR,
5.17%, 04/22/30 (d),(f),(g) | | | 3,100,000 | | | | | | 3,136,688 | |
Series 2015-1A, Class DR,
4.54%, 04/22/27 (d),(f),(g) | | | 1,000,000 | | | | | | 1,000,705 | |
Series 2015-1A, Class E, 3 mo. USD LIBOR + 5.15%, 6.89%, 04/22/27 (d),(f),(g) | | | 1,000,000 | | | | | | 996,579 | |
Series 2015-1X, Class E, 3 mo. USD LIBOR + 5.15%, 6.89%, 04/22/27 (d),(g) | | | 1,000,000 | | | | | | 996,579 | |
CIFC Funding Ltd., | | | | | | | | | | |
Series 2013-1A, Class DR, 3 mo. USD LIBOR + 6.65%, 8.37%, 07/16/30 (d),(f),(g) | | | 1,000,000 | | | | | | 1,011,586 | |
Series 2014-4A, Class D, 3 mo. USD LIBOR + 3.40%, 5.13%, 10/17/26 (d),(f),(g) | | | 1,200,000 | | | | | | 1,197,558 | |
Series 2015-4A, Class D, 3 mo. USD LIBOR + 5.50%, 7.24%, 10/20/27 (d),(f),(g) | | | 1,000,000 | | | | | | 1,000,594 | |
Covenant Credit Partners CLO Ltd., | | | | | | | | | | |
Series 2014-2A, Class D, 3 mo. USD LIBOR + 3.65%, 5.38%, 10/17/26 (d),(f),(g) | | | 6,000,000 | | | | | | 5,990,148 | |
Series 2017-1A, Class D,
5.47%, 10/15/29 (d),(f),(g) | | | 2,000,000 | | | | | | 2,030,674 | |
Credit Suisse Mortgage Trust, | | | | | | | | | | |
Series 2015-RPL3, Class A1,
3.75%, 12/25/56 (d),(f),(h) | | | 5,492,371 | | | | | | 5,529,440 | |
Series 2015-RPL5, Class A1,
3.80%, 11/26/55 (d),(f),(b) | | | 29,208,221 | | | | | | 29,167,037 | |
See Notes to Consolidated Financial Statements.
46
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | |
Security Description | | Principal
Amount | | | | | Value | |
Denali Capital CLO Ltd., Series 2013-1A, Class B2LR, 6.50%, 10/26/27 (d),(f),(g) | | $ | 1,000,000 | | | | | $ | 984,876 | |
Drive Auto Receivables Trust, | | | | | | | | | | |
Series 2015-AA, Class D,
4.12%, 07/15/22 (d),(f),(b) | | | 5,300,000 | | | | | | 5,379,813 | |
Series 2015-DA, Class D,
4.59%, 01/17/23 (d),(f) | | | 2,500,000 | | | | | | 2,553,050 | |
Dryden Senior Loan Fund, Series 2014-36A, Class DR, 3 mo. USD LIBOR + 4.24%, 5.96%, 01/15/28 (d),(f),(g) | | | 5,000,000 | | | | | | 5,075,845 | |
DT Auto Owner Trust, | | | | | | | | | | |
Series 2015-1A, Class D,
4.26%, 02/15/22 (d),(f) | | | 903,693 | | | | | | 910,574 | |
Series 2015-3A, Class D,
4.53%, 10/17/22 (d),(f) | | | 3,160,000 | | | | | | 3,206,013 | |
Series 2016-1A, Class D,
4.66%, 12/15/22 (d),(f) | | | 3,000,000 | | | | | | 3,051,636 | |
Exeter Automobile Receivables Trust, | | | | | | | | | | |
Series 2014-1A, Class D,
5.53%, 02/16/21 (d),(f),(b) | | | 2,923,970 | | | | | | 2,962,952 | |
Series 2014-2A, Class D,
4.93%, 12/15/20 (d),(f) | | | 2,700,000 | | | | | | 2,740,054 | |
Series 2016-3A, Class C,
4.22%, 06/15/22 (d),(f) | | | 2,000,000 | | | | | | 2,018,678 | |
Flagship Credit Auto Trust, Series 2015-2, Class C, 4.08%, 12/15/21 (d),(f) | | | 1,800,000 | | | | | | 1,821,064 | |
Gallatin Loan Management, 4.97%, 07/15/27 (d),(f),(g) | | | 2,000,000 | | | | | | 2,020,886 | |
Garrison Funding Ltd., Series 2015-1A, Class CR, 5.84%, 09/21/29 (d),(f),(g) | | | 2,000,000 | | | | | | 2,029,966 | |
Greywolf CLO Ltd., | | | | | | | | | | |
Series 2014-1A, Class CR, 3 mo. USD LIBOR + 3.20%, 4.94%, 04/22/26 (d),(f),(g) | | | 5,000,000 | | | | | | 4,991,770 | |
Series 2014-1A, Class D, 3 mo. USD LIBOR + 5.10%, 6.84%, 04/22/26 (d),(f),(g) | | | 6,300,000 | | | | | | 6,287,929 | |
Jamestown CLO Ltd., | | | | | | | | | | |
Series 2014-4A, Class CR,
4.37%, 07/15/26 (d),(f),(g) | | | 5,000,000 | | | | | | 4,987,620 | |
Series 2015-7A, Class CR,
4.35%, 07/25/27 (d),(f),(g) | | | 5,500,000 | | | | | | 5,487,311 | |
JMP Credit Advisors CLO IIIR Ltd., Series 2014-1RA, Class D,
4.32%, 01/17/28 (d),(f),(g) | | | 5,310,000 | | | | | | 5,283,068 | |
KVK CLO Ltd., Series 2015-1A, Class D, 3 mo. USD LIBOR + 4.00%, 5.88%, 05/20/27 (d),(f),(g) | | | 1,250,000 | | | | | | 1,249,345 | |
See Notes to Consolidated Financial Statements.
47
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | |
Security Description | | Principal
Amount | | | | | Value | |
Madison Park Funding Ltd., | | | | | | | | | | |
Series 2012-10A, Class DR, 3 mo. USD LIBOR + 4.20%,
5.94%, 01/20/29 (d),(f),(g) | | $ | 1,000,000 | | | | | $ | 1,015,918 | |
Series 2014-14A, Class DR, 3 mo. USD LIBOR + 3.25%,
4.99%, 07/20/26 (d),(f),(g) | | | 1,000,000 | | | | | | 1,000,434 | |
Series 2018-30A, Class D,
1.00%, 04/15/29 (d),(f),(g) | | | 4,605,000 | | | | | | 4,605,000 | |
Mountain View CLO Ltd., Series 2015-10A, Class DR, 4.37%, 10/13/27 (d),(f),(g) | | | 2,500,000 | | | | | | 2,502,512 | |
Nationstar HECM Loan Trust, | | | | | | | | | | |
Series 2017-1A, Class M2,
4.70%, 05/25/27 (d),(f) | | | 1,480,000 | | | | | | 1,476,251 | |
Series 2017-2A, Class M2,
3.97%, 09/25/27 (d),(f),(g) | | | 4,070,000 | | | | | | 4,052,576 | |
Nelder Grove CLO Ltd., Series 2014-1A, Class D1R, 3 mo. USD LIBOR + 4.10%, 6.08%, 08/28/26 (d),(f),(g) | | | 3,000,000 | | | | | | 2,998,977 | |
Northwoods Capital Ltd., | | | | | | | | | | |
Series 2014-11A, Class E, 3 mo. USD LIBOR + 4.50%,
6.22%, 04/15/25 (d),(f),(g) | | | 2,000,000 | | | | | | 1,992,752 | |
Series 2014-12A, Class DR, 3 mo. USD LIBOR + 3.60%,
5.19%, 09/15/25 (d),(f),(g) | | | 3,000,000 | | | | | | 3,003,135 | |
NYMT Residential LLC, Series 2016-RP1A, Class A, 4.00%, 03/25/21 (d),(f) | | | 2,223,535 | | | | | | 2,229,801 | |
Oaktree CLO Ltd., | | | | | | | | | | |
Series 2014-2A, Class D, 3 mo. USD LIBOR + 5.25%, 6.99%, 10/20/26 (d),(f),(g) | | | 4,500,000 | | | | | | 4,483,912 | |
Series 2015-1A, Class DR, 6.94%, 10/20/27 (d),(f),(g) | | | 2,500,000 | | | | | | 2,500,870 | |
Ocean Trails CLO, | | | | | | | | | | |
Series 2014-5A, Class DR, 3 mo. USD LIBOR + 3.60%,
5.32%, 10/13/26 (d),(f),(g) | | | 1,250,000 | | | | | | 1,247,528 | |
Series 2014-5A, Class E, 3 mo. USD LIBOR + 5.35%, 7.07%, 10/13/26 (d),(f),(g) | | | 2,000,000 | | | | | | 1,993,210 | |
Octagon Investment Partners Ltd., | | | | | | | | | | |
Series 2013-1A, Class CR, 3 mo. USD LIBOR + 3.48%,
5.33%, 12/16/24 (d),(f),(g) | | | 1,000,000 | | | | | | 998,997 | |
Series 2014-1A, Class D, 3 mo. USD LIBOR + 6.60%, 8.43%, 11/14/26 (d),(f),(g) | | | 2,000,000 | | | | | | 2,000,730 | |
OFSI Fund Ltd., | | | | | | | | | | |
Series 2013-5A, Class B2L, 3 mo. USD LIBOR + 5.25%,
6.98%, 04/17/25 (d),(f),(g) | | | 1,900,000 | | | | | | 1,894,317 | |
Series 2014-6A, Class CR,
4.23%, 03/20/25 (d),(f),(g) | | | 5,000,000 | | | | | | 5,000,700 | |
Series 2014-7A, Class DR,
4.93%, 10/18/26 (d),(f),(g) | | | 2,000,000 | | | | | | 1,995,538 | |
See Notes to Consolidated Financial Statements.
48
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | |
Security Description | | Principal
Amount | | | | | Value | |
OHA Credit Partners Ltd., Series 2013-9A, Class E, 3 mo. USD LIBOR + 5.00%,
6.74%, 10/20/25 (d),(f),(g) | | $ | 1,503,000 | | | | | $ | 1,499,197 | |
OHA Loan Funding Ltd., Series 2013-1A, Class E, 3 mo. USD LIBOR + 5.15%,
6.89%, 07/23/25 (d),(f),(g) | | | 3,594,000 | | | | | | 3,597,626 | |
OneMain Financial Issuance Trust, | | | | | | | | | | |
Series 2015-1A, Class D,
6.63%, 03/18/26 (d),(f) | | | 1,500,000 | | | | | | 1,512,590 | |
Series 2016-2A, Class C,
5.67%, 03/20/28 (d),(f) | | | 3,500,000 | | | | | | 3,553,711 | |
Series 2017-1A, Class D,
4.52%, 09/14/32 (d),(f) | | | 3,500,000 | | | | | | 3,485,741 | |
OZLM Funding Ltd., Series 2012-2A, Class CR, 3 mo. USD LIBOR + 4.00%,
5.77%, 10/30/27 (d),(f),(g) | | | 1,500,000 | | | | | | 1,499,417 | |
OZLM Ltd., | | | | | | | | | | |
Series 2014-8A, Class CR, 3 mo. USD LIBOR +
3.40%, 5.13%, 10/17/26 (d),(f),(g) | | | 2,250,000 | | | | | | 2,246,074 | |
Series 2015-12A, Class C, 3 mo. USD LIBOR + 3.70%,
5.47%, 04/30/27 (d),(f),(g) | | | 1,500,000 | | | | | | 1,498,751 | |
Series 2015-12A, Class D, 3 mo. USD LIBOR + 5.40%,
7.17%, 04/30/27 (d),(f),(g) | | | 7,000,000 | | | | | | 6,956,250 | |
Series 2015-13A, Class D, 3 mo. USD LIBOR + 5.45%,
7.22%, 07/30/27 (d),(f),(g) | | | 1,100,000 | | | | | | 1,099,203 | |
Parallel Ltd., Series 2015-1A, Class DR, 4.29%, 07/20/27 (d),(f),(g) | | | 5,000,000 | | | | | | 5,000,625 | |
Sound Harbor Loan Fund Ltd., Series 2014-1A, Class CR, 3 mo. USD LIBOR + 3.90%, 5.67%, 10/30/26 (d),(f),(g) | | | 7,500,000 | | | | | | 7,492,380 | |
Sound Point CLO Ltd., Series 2014-1A, Class D, 3 mo. USD LIBOR + 3.40%, 5.13%, 04/18/26 (d),(f),(g) | | | 1,200,000 | | | | | | 1,197,967 | |
Thacher Park CLO Ltd., Series 2014-1A, Class E2, 3 mo. USD LIBOR + 6.00%,
7.74%, 10/20/26 (d),(f),(g) | | | 1,000,000 | | | | | | 997,711 | |
THL Credit Wind River CLO Ltd., | | | | | | | | | | |
Series 2014-1A, Class E, 3 mo. USD LIBOR + 4.95%, 6.68%, 04/18/26 (d),(f),(g) | | | 4,250,000 | | | | | | 4,202,918 | |
Series 2014-3A, Class DR, 3 mo. USD LIBOR + 3.35%,
5.09%, 01/22/27 (d),(f),(g) | | | 4,000,000 | | | | | | 3,994,116 | |
TICP CLO Ltd., | | | | | | | | | | |
Series 2014-2A, Class C, 3 mo. USD LIBOR + 3.30%, 5.04%, 07/20/26 (d),(f),(g) | | | 1,500,000 | | | | | | 1,497,120 | |
Series 2016-6A, Class D, 3 mo. USD LIBOR + 4.20%, 5.92%, 01/15/29 (d),(f),(g) | | | 1,000,000 | | | | | | 1,012,089 | |
See Notes to Consolidated Financial Statements.
49
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | |
Security Description | | Principal
Amount | | | | | Value | |
Series 2018-IIA, Class C, 1.00%, 04/20/28 (d),(f),(g) | | $ | 1,500,000 | | | | | $ | 1,500,000 | |
TruPS Financials Note Securitization Ltd., Series 2017-1A, Class B, 3 mo. USD LIBOR + 5.10%, 6.46%, 04/20/38 (d),(f),(g),(e) | | | 3,000,000 | | | | | | 2,895,000 | |
Venture CDO Ltd., Series 2014-19A, Class D, 3 mo. USD LIBOR + 4.00%, 5.72%, 01/15/27 (d),(f),(g),(b) | | | 2,500,000 | | | | | | 2,496,385 | |
Venture CLO Ltd., | | | | | | | | | | |
Series 2013-14A, Class DR,
5.98%, 08/28/29 (d),(f),(g) | | | 4,000,000 | | | | | | 4,055,972 | |
Series 2014-16A, Class DRR,
4.23%, 01/15/28 (d),(f),(g) | | | 4,000,000 | | | | | | 4,000,908 | |
Series 2014-18A, Class DR,
4.82%, 10/15/29 (d),(f),(g) | | | 1,000,000 | | | | | | 1,003,430 | |
Vericrest Opportunity Loan Trust, | | | | | | | | | | |
Series 2015-NP12, Class A1,
3.88%, 09/25/45 (d),(f) | | | 1,575,684 | | | | | | 1,574,333 | |
Series 2017-NPL4, Class A1,
3.38%, 04/25/47 (d),(f) | | | 971,239 | | | | | | 972,416 | |
Series 2017-NPL6 SEQ, Class A1, 3.25%, 05/25/47 (d),(f) | | | 624,450 | | | | | | 623,970 | |
Series 2017-NPL7 SEQ, Class A1, 3.25%, 06/25/47 (d),(f) | | | 899,733 | | | | | | 895,794 | |
Series 2017-NPL9 SEQ, Class A1, 3.13%, 09/25/47 (d),(f) | | | 1,771,372 | | | | | | 1,760,850 | |
Vericrest Opportunity Loan Trust LLC, Series 2017-NP11 SEQ, Class A1, 3.38%, 10/25/47 (d),(f) | | | 2,731,916 | | | | | | 2,727,982 | |
Vibrant CLO Ltd., | | | | | | | | | | |
Series 2015-3A, Class C, 3 mo. USD LIBOR + 3.65%, 5.39%, 04/20/26 (d),(f),(g) | | | 3,000,000 | | | | | | 2,995,290 | |
Series 2018-8A, Class C,
4.96%, 01/20/31 (d),(f),(g) | | | 6,000,000 | | | | | | 5,995,008 | |
Voya CLO Ltd., Series 2014-3A, Class CR, 4.40%, 07/25/26 (d),(f),(g) | | | 1,000,000 | | | | | | 998,371 | |
West CLO Ltd., Series 2012-1A, Class D,
3 mo. USD LIBOR + 6.50%, 8.27%, 10/30/23 (d),(f),(g) | | | 1,000,000 | | | | | | 999,146 | |
| | | | | | | | | | |
TOTAL ASSET-BACKED SECURITIES
(COST $302,695,507) | | | 304,745,799 | |
| | | | | | | | | | |
See Notes to Consolidated Financial Statements.
50
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | | | |
Security Description | | Principal
Amount | | | | | | Value | |
CONVERTIBLE BONDS — 0.9% | |
Europe — 0.5% | | | | | |
Pharmaceuticals — 0.5% | | | | | | | | | | | | |
Bayer Capital Corp. BV,
5.63%, 11/22/19 (d),(f),(b) | | | 23,000,000 | | | | EUR | | | $ | 28,877,670 | |
Bayer Capital Corp. BV REG S, 5.63%, 11/22/19 | | | 500,000 | | | | EUR | | | | 627,775 | |
| | | | | | | | | | | | |
Total Europe | | | | | | | | | | | 29,505,445 | |
| | | | | | | | | | | | |
Middle East — 0.3% | | | | | | | | | | | | |
Financial Services — 0.3% | | | | | | | | | | | | |
Volcan Holdings PLC REG S, 4.13%, 04/11/20 | | | 2,300,000 | | | | GBP | | | | 4,161,412 | |
Volcan Holdings II PLC, 3.88%, 10/10/20 | | | 6,700,000 | | | | GBP | | | | 11,244,876 | |
| | | | | | | | | | | | |
Total Middle East | | | | | | | | | | | 15,406,288 | |
| | | | | | | | | | | | |
North America — 0.1% | | | | | | | | | | | | |
Wireless Telecommunications Services — 0.1% | | | | | | | | | | | | |
America Movil SAB de CV, 0.01%, 05/28/20 | | | 5,500,000 | | | | EUR | | | | 6,682,880 | |
| | | | | | | | | | | | |
Total North America | | | | | | | | | | | 6,682,880 | |
| | | | | | | | | | | | |
TOTAL CONVERTIBLE BONDS
(COST $44,479,386) | | | | | | | | | | | 51,594,613 | |
| | | | | | | | | | | | |
BANK DEBT — 0.5% | | | | | | | | | | | | |
Asia — 0.0% | | | | | | | | | | | | |
Transportation & Logistics — 0.0% | | | | | | | | | | | | |
Hanjin International Corp., 2017 Term Loan B, 3 mo. LIBOR + 2.50%, 4.23%, 10/18/20 (d),(r),(e),(g) | | $ | 483,006 | | | | | | | | 484,518 | |
| | | | | | | | | | | | |
Total Asia | | | | | | | | | | | 484,518 | |
| | | | | | | | | | | | |
Europe — 0.0% | | | | | | | | | | | | |
Exploration & Production — 0.0% | | | | | | | | | | | | |
Endeavour International Holding BV, Term Loan A1, Defaulted, 0.00%, 01/02/19 (d),(j),(r),(e),(g) | | | 1,563,903 | | | | | | | | 46,917 | |
| | | | | | | | | | | | |
Wireless Telecommunications Services — 0.0% | | | | | | | | | | | | |
Intelsat Jackson Holdings S.A., | | | | | | | | | | | | |
2017 Term Loan B4, 3 mo. LIBOR + 4.50%, 6.46%, 01/02/24 (d),(e) | | | 17,354 | | | | | | | | 17,800 | |
2017 Term Loan B5, Fixed + 6.63%,
6.63%, 01/02/24 (d),(e) | | | 202,215 | | | | | | | | 204,532 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 222,332 | |
| | | | | | | | | | | | |
Total Europe | | | | | | | | | | | 269,249 | |
| | | | | | | | | | | | |
See Notes to Consolidated Financial Statements.
51
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | | | |
Security Description | | Principal
Amount | | | | | | Value | |
North America — 0.5% | | | | | | | | | | | | |
Advertising & Marketing — 0.0% | | | | | | | | | | | | |
Getty Images, Inc., Term Loan B, 3 mo. LIBOR + 3.50%, 5.80%, 10/18/19 (d),(e),(g) | | $ | 1,689,476 | | | | | | | $ | 1,614,750 | |
| | | | | | | | | | | | |
Chemicals — 0.0% | | | | | | | | | | | | |
LyondellBasell Industries NV, | | | | | | | | | | | | |
0.00%, 08/15/49 (d),(e),(i),(j),(k),(r) | | | 11,000,000 | | | | | | | | 27,500 | |
1.00%, 08/15/15 (d),(i),(r),(e) | | | 882,886 | | | | EUR | | | | 5,432 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 32,932 | |
| | | | | | | | | | | | |
Coal Operations — 0.0% | | | | | | | | | | | | |
Blackhawk Mining LLC, Term Loan, 3 mo. LIBOR + 10.00%,
11.78%, 02/14/22 (d),(e),(g) | | $ | 1,848,517 | | | | | | | | 1,600,501 | |
| | | | | | | | | | | | |
Consumer Finance — 0.0% | | | | | | | | | | | | |
Ocwen LN Servicing LLC, Term Loan B, 1 mo. LIBOR + 5.00%,
6.79%, 12/05/20 (d),(e),(g) | | | 660,567 | | | | | | | | 663,870 | |
| | | | | | | | | | | | |
Consumer Products — 0.0% | | | | | | | | | | | | |
KIK Custom Products, Inc., Term Loan B, 1 mo. LIBOR + 4.00%,
5.88%, 05/15/23 (d),(e),(g) | | | 1,305,660 | | | | | | | | 1,317,294 | |
| | | | | | | | | | | | |
Consumer Services — 0.0% | | | | | | | | | | | | |
Pearl Intermediate Parent LLC, 2018 2nd Lien Term Loan, 1 mo. LIBOR + 6.25%, 8.03%, 02/13/26 (d),(r),(e) | | | 184,860 | | | | | | | | 184,398 | |
| | | | | | | | | | | | |
Containers & Packaging — 0.1% | | | | | | | | | | | | |
BWAY Holding Co., Term Loan B, 3 mo. LIBOR + 3.25%, 4.96%, 04/03/24 (d),(e),(g) | | | 1,766,810 | | | | | | | | 1,774,690 | |
Fort Dearborn Company, 2016 1st Lien Term Loan, 3 mo. LIBOR + 4.00%,
5.70%, 10/19/23 (d),(r),(e) | | | 1,412,999 | | | | | | | | 1,397,103 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 3,171,793 | |
| | | | | | | | | | | | |
Financial Services — 0.0% | | | | | | | | | | | | |
UFC Holdings LLC, 1st Lien Term Loan, 1 mo. LIBOR + 3.25%,
5.13%, 08/18/23 (d),(e),(g) | | | 1,211,421 | | | | | | | | 1,216,909 | |
| | | | | | | | | | | | |
Food & Beverage — 0.0% | | | | | | | | | | | | |
Flavors Holdings, Inc., 1st Lien Term Loan, 0.00%, 04/03/20 (d),(j),(g),(s) | | | 36,687 | | | | | | | | 32,835 | |
| | | | | | | | | | | | |
Health Care Facilities & Services — 0.1% | | | | | | | | | | | | |
Prospect Medical Holdings, Inc., 2018 Term Loan B, 1 mo. LIBOR + 5.50%, 7.19%, 02/22/24 (d),(r),(e),(g) | | | 1,210,391 | | | | | | | | 1,210,391 | |
See Notes to Consolidated Financial Statements.
52
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | |
Security Description | | Principal
Amount | | | | | Value | |
Quorum Health Corporation, Term Loan B, 1 mo. LIBOR + 6.75%, 8.63%, 04/29/22 (d),(e),(g) | | $ | 494,129 | | | | | $ | 504,011 | |
Wink Holdco, Inc, 2nd Lien Term Loan B, 1 mo. LIBOR + 6.75%,
8.42%, 12/1/25 (d),(r),(e),(g) | | | 496,862 | | | | | | 495,620 | |
| | | | | | | | | | |
| | | | | | 2,210,022 | |
| | | | | | | | | | |
Industrial Other — 0.0% | | | | | | | | | | |
Michael Baker International LLC, 2017 Term Loan B, 1 mo. LIBOR + 4.50%,
6.34%, 11/21/22 (d),(r),(e),(g) | | | 1,356,345 | | | | | | 1,352,954 | |
| | | | | | | | | | |
Internet Media — 0.0% | | | | | | | | | | |
W3 Co., 2017 Term Loan B, 1 mo. LIBOR + 6.00%, 7.88%, 03/08/22 (d),(e),(g) | | | 1,108,161 | | | | | | 1,099,850 | |
| | | | | | | | | | |
Machinery — 0.0% | | | | | | | | | | |
Engineered Machinery Holdings, Inc., 2nd Lien Delayed Draw Term Loan, 3 mo. LIBOR + 7.25%, 9.55%, 07/19/25 (d),(e) | | | 65,879 | | | | | | 66,154 | |
| | | | | | | | | | |
Machinery Manufacturing — 0.1% | | | | | | | | | | |
Engineered Machinery Holdings, Inc., | | | | | | | | | | |
USD 1st Lien Term Loan, 3 mo. LIBOR + 3.25%, 5.55%, 07/19/24 (d),(e),(g) | | | 710,260 | | | | | | 709,670 | |
USD 2nd Lien Term Loan, 3 mo. LIBOR + 7.25%, 9.55%, 07/18/25 (d),(e),(g) | | | 768,179 | | | | | | 771,383 | |
Gardner Denver, Inc., 2017 USD Term Loan B, 3 mo. LIBOR + 2.75%, 5.05%, 07/30/24 (d),(e),(g) | | | 2,605,059 | | | | | | 2,616,599 | |
| | | | | | | | | | |
| | | | | | 4,097,652 | |
| | | | | | | | | | |
Medical Equipment & Devices Manufacturing — 0.1% | | | | | | | |
Ortho Clinical Diagnostics SA, Term Loan B, 1 mo. LIBOR + 3.75%, 5.63%, 06/30/21 (d),(e),(g) | | | 2,182,537 | | | | | | 2,199,451 | |
| | | | | | | | | | |
Metals & Mining — 0.0% | | | | | | | | | | |
Offshore Group Investment Ltd., Term Loan, 1 mo. LIBOR + 6.50%, 8.38%, 12/31/19 (d),(r),(e) | | | 576,536 | | | | | | 576,536 | |
| | | | | | | | | | |
Oil & Gas Services & Equipment — 0.0% | | | | | | | | | | |
Thermon Industries, Inc., Term Loan B, 1 mo. LIBOR + 3.75%,
5.41%, 10/30/24 (d),(r),(e),(g) | | | 682,896 | | | | | | 686,310 | |
| | | | | | | | | | |
Real Estate — 0.0% | | | | | | | | | | |
Quality Care Properties, 1st Lien Term Loan, 1 mo. LIBOR + 5.25%, 7.13%, 10/31/22 (d),(e),(g) | | | 831,825 | | | | | | 840,144 | |
| | | | | | | | | | |
See Notes to Consolidated Financial Statements.
53
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | | | |
Security Description | | Principal
Amount | | | | | | Value | |
Retail—Consumer Discretionary — 0.0% | | | | | | | | | | | | |
Culligan Holding, Inc., | | | | | | | | | | | | |
2017 1st Lien Term Loan B, 1 mo. LIBOR + 3.25%, 5.13%, 12/13/23 (d),(r),(e),(g) | | $ | 252,032 | | | | | | | $ | 253,136 | |
2017 Incremental Term Loan, 1 mo. LIBOR + 3.25%, 5.13%, 12/13/23 (d),(r),(e),(g) | | | 646,106 | | | | | | | | 647,721 | |
| | | | | | | | | | | | |
| | | | | | | | 900,857 | |
| | | | | | | | | | | | |
Retail—Consumer Staples — 0.0% | | | | | | | | | | | | |
Pinnacle Operating Corp., Term Loan, 1 mo. LIBOR + 5.50% (Cash) + 1.75% (PIK) 7.88% (Cash), 1.25% (PIK), 11/15/21 (d),(r),(e),(g) | | | 423,493 | | | | | | | | 397,554 | |
| | | | | | | | | | | | |
Software & Services — 0.0% | | | | | | | | | | | | |
BlackBoard, Inc., Term Loan B4, 3 mo. LIBOR + 5.00%,
6.73%, 06/30/21 (d),(e),(g) | | | 1,054,517 | | | | | | | | 981,692 | |
Syniverse Holdings, Inc., 2018 Term Loan, 3 mo. LIBOR + 5.00%,
6.72%, 03/09/23 (d),(e) | | | 558,642 | | | | | | | | 564,614 | |
| | | | | | | | | | | | |
| | | | | | | | 1,546,306 | |
| | | | | | | | | | | | |
Transportation & Logistics — 0.0% | | | | | | | | | | | | |
Utility One Source L.P., Term Loan B, 1 mo. LIBOR + 5.50%,
7.38%, 04/18/23 (d),(r),(e),(g) | | | 122,285 | | | | | | | | 125,651 | |
| | | | | | | | | | | | |
Wireless Telecommunications Services — 0.1% | | | | | | | | | | | | |
Ligado Networks LLC, Exit Term Loan,
3 mo. LIBOR + 8.75%,
PIK, 10.78%, 12/07/20 (d),(r),(e),(g) | | | 5,645,211 | | | | | | | | 4,939,560 | |
| | | | | | | | | | | | |
Total North America | | | | | | | | | | | 30,874,283 | |
| | | | | | | | | | | | |
TOTAL BANK DEBT
(COST $34,754,745) | | | | | | | | | | | 31,628,050 | |
| | | | | | | | | | | | |
| | | |
CORPORATE BONDS & NOTES — 3.0% | | | | | | | | | | | | |
Asia — 0.1% | | | | | | | | | | | | |
Casinos & Gaming — 0.1% | | | | | | | | | | | | |
Wynn Macau Ltd., 4.88%, 10/01/24 (d),(f) | | | 3,554,000 | | | | | | | | 3,465,150 | |
| | | | | | | | | | | | |
Metals & Mining — 0.0% | | | | | | | | | | | | |
Rusal Capital DAC, 5.13%, 02/02/22 | | | 1,274,000 | | | | | | | | 1,255,224 | |
| | | | | | | | | | | | |
Utilities — 0.0% | | | | | | | | | | | | |
1MDB Energy Ltd. REG S, 5.99%, 05/11/22 | | | 2,500,000 | | | | | | | | 2,645,965 | |
| | | | | | | | | | | | |
Total Asia | | | | | | | | | | | 7,366,339 | |
| | | | | | | | | | | | |
Europe — 0.6% | | | | | | | | | | | | |
Banks — 0.0% | | | | | | | | | | | | |
RESPARCS Funding II LP,
7.50%, 06/29/49 (d),(k) | | | 433,000 | | | | EUR | | | | 194,999 | |
| | | | | | | | | | | | |
See Notes to Consolidated Financial Statements.
54
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | | | |
Security Description | | Principal
Amount | | | | | | Value | |
Diversified Banks — 0.5% | | | | | | | | | | | | |
Deutsche Bank AG MTN, 0.00%, 07/19/18 - 08/30/18 (j) | | | 523,925,000 | | | | EGP | | | $ | 28,071,304 | |
| | | | | | | | | | | | |
Oil & Gas Services & Equipment — 0.0% | | | | | | | | | | | | |
CGG SA, | | | | | | | | | | | | |
PIK, 5.00%, 02/21/24 | | | 603,000 | | | | EUR | | | | 873,288 | |
PIK, 5.88%, 02/21/24 | | $ | 630,000 | | | | | | | | 743,400 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,616,688 | |
| | | | | | | | | | | | |
Property & Casualty Insurance — 0.1% | | | | | | | | | | | | |
Groupama SA, 6.00%, 01/23/27 | | | 200,000 | | | | EUR | | | | 297,848 | |
Groupama SA REG S, 3 mo. EURIBOR + 5.77%, 6.38%, 05/29/49 (g),(k) | | | 1,900,000 | | | | EUR | | | | 2,730,046 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 3,027,894 | |
| | | | | | | | | | | | |
Total Europe | | | | | | | | | | | 32,910,885 | |
| | | | | | | | | | | | |
Middle East — 0.0% | | | | | | | | | | | | |
Oil & Gas Services & Equipment — 0.0% | | | | | | | | | | | | |
Oil and Gas Holding Co. BSCC, 7.50%, 10/25/27 | | $ | 2,500,000 | | | | | | | | 2,475,350 | |
| | | | | | | | | | | | |
Total Middle East | | | | | | | | | | | 2,475,350 | |
| | | | | | | | | | | | |
North America — 1.6% | | | | | | | | | | | | |
Advertising & Marketing — 0.0% | | | | | | | | | | | | |
Aimia, Inc., MTN, 5.60%, 05/17/19 (d),(l) | | | 413,000 | | | | CAD | | | | 310,948 | |
| | | | | | | | | | | | |
Casinos & Gaming — 0.0% | | | | | | | | | | | | |
Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp., 5.50%, 03/01/25 (d),(f) | | $ | 1,133,000 | | | | | | | | 1,138,665 | |
| | | | | | | | | | | | |
Chemicals — 0.1% | | | | | | | | | | | | |
Hexion, Inc., | | | | | | | | | | | | |
10.00%, 04/15/20 (d) | | | 2,789,000 | | | | | | | | 2,698,357 | |
10.38%, 02/01/22 (d),(f) | | | 1,357,000 | | | | | | | | 1,312,898 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 4,011,255 | |
| | | | | | | | | | | | |
Commercial Finance — 0.1% | | | | | | | | | | | | |
Fortress Transportation & Infrastructure Investors LLC, 6.75%, 03/15/22 (d),(f) | | | 8,499,000 | | | | | | | | 8,615,861 | |
| | | | | | | | | | | | |
Consumer Products — 0.0% | | | | | | | | | | | | |
Revlon Consumer Products Corp., 6.25%, 08/01/24 (d) | | | 472,000 | | | | | | | | 290,870 | |
| | | | | | | | | | | | |
Consumer Services — 0.0% | | | | | | | | | | | | |
Corporate Risk Holdings LLC,
9.50%, 07/01/19 (d),(f) | | | 1,883,000 | | | | | | | | 1,967,735 | |
| | | | | | | | | | | | |
See Notes to Consolidated Financial Statements.
55
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | |
Security Description | | Principal
Amount | | | | | Value | |
Exploration & Production — 0.1% | | | | | | | | | | |
Par Petroleum LLC / Petroleum Finance Corp., 7.75%, 12/15/25 (d),(f) | | $ | 3,892,000 | | | | | $ | 3,901,730 | |
| | | | | | | | | | |
Financial Services — 0.4% | | | | | | | | | | |
Citigroup Global Markets Holdings, Inc., | | | | | | | | | | |
MTN, 0.00%, 07/26/18 - 10/04/18 (j),(r) | | | 322,613,218 | | | EGP | | | 17,102,671 | |
MTN, 0.01%, 07/19/18 (r) | | | 86,777,887 | | | EGP | | | 4,672,224 | |
Cooke Omega Investments, Inc. / Alpha VesselCo Holdings, Inc., 8.50%, 12/15/22 (d),(f) | | $ | 1,810,000 | | | | | | 1,805,475 | |
Griffey Intermediate, Inc. / Griffey Finance Sub LLC, 7.00%, 10/15/20 (d),(f) | | | 1,045,000 | | | | | | 864,737 | |
MF Global Holdings Ltd., 6.25%, 08/08/16 (d),(i),(e),(l) | | | 1,847,000 | | | | | | 554,100 | |
Och-Ziff Finance Co. LLC, 4.50%, 11/20/19 (d),(f) | | | 480,000 | | | | | | 469,200 | |
| | | | | | | | | | |
| | | | | | | | | 25,468,407 | |
| | | | | | | | | | |
Health Care Facilities & Services — 0.1% | | | | | | | | | | |
Universal Hospital Services, Inc.,
7.63%, 08/15/20 (d) | | | 4,511,000 | | | | | | 4,544,832 | |
| | | | | | | | | | |
Industrial Other — 0.0% | | | | | | | | | | |
Michael Baker International LLC, 8.75%, 03/01/23 (d),(f) | | | 108,000 | | | | | | 103,680 | |
| | | | | | | | | | |
Integrated Oils — 0.2% | | | | | | | | | | |
Petroleos Mexicanos, | | | | | | | | | | |
4.25%, 01/15/25 | | | 2,129,000 | | | | | | 2,057,679 | |
5.35%, 02/12/28 (l) | | | 900,000 | | | | | | 882,000 | |
6.35%, 02/12/48 (l) | | | 2,200,000 | | | | | | 2,125,750 | |
6.38%, 02/04/21 - 01/23/45 | | | 3,497,000 | | | | | | 3,698,003 | |
6.88%, 08/04/26 | | | 2,214,000 | | | | | | 2,423,887 | |
| | | | | | | | | | |
| | | | | | | | | 11,187,319 | |
| | | | | | | | | | |
Medical Equipment & Devices Manufacturing — 0.0% | | | | | | | |
Crimson Merger Sub, Inc.,
6.63%, 05/15/22 (d),(f) | | | 1,773,000 | | | | | | 1,728,675 | |
| | | | | | | | | | |
Oil & Gas Services & Equipment — 0.1% | | | | | | | | | | |
CSI Compressco LP / Compressco Finance, Inc., 7.25%, 08/15/22 (d),(b) | | | 1,183,000 | | | | | | 1,112,020 | |
CSI Compressco LP / CSI Compressco Finance, Inc., 7.50%, 04/01/25 (d),(f) | | | 2,920,000 | | | | | | 2,949,200 | |
| | | | | | | | | | |
| | | | | | | | | 4,061,220 | |
| | | | | | | | | | |
See Notes to Consolidated Financial Statements.
56
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | | | |
Security Description | | Principal
Amount | | | | | | Value | |
Pipeline — 0.1% | | | | | | | | | | | | |
American Midstream Partners LP / American Midstream Finance Corp.,
8.50%, 12/15/21 (d),(f),(l) | | $ | 1,694,000 | | | | | | | $ | 1,706,705 | |
Martin Midstream Partners LP / Martin Midstream Finance Corp., 7.25%, 02/15/21 (d) | | | 1,007,000 | | | | | | | | 1,007,000 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,713,705 | |
| | | | | | | | | | | | |
Publishing & Broadcasting — 0.0% | | | | | | | | | | | | |
LBI Media, Inc., 11.50%, 04/15/20 (d),(f) | | | 3,813,546 | | | | | | | | 591,100 | |
| | | | | | | | | | | | |
Retail—Consumer Discretionary — 0.2% | | | | | | | | | | | | |
DriveTime Automotive Group, Inc. / DT Acceptance Corp., 8.00%, 06/01/21 (d),(f),(b) | | | 10,137,000 | | | | | | | | 10,086,315 | |
| | | | | | | | | | | | |
Software & Services — 0.1% | | | | | | | | | | | | |
Blackboard, Inc., 9.75%, 10/15/21 (d),(f) | | | 1,744,000 | | | | | | | | 1,482,400 | |
CURO Financial Technologies Corp., 12.000%, 03/01/22 (d),(f) | | | 2,909,000 | | | | | | | | 3,210,852 | |
Syniverse Holdings, Inc., 9.13%, 01/15/19 (d) | | | 108,000 | | | | | | | | 107,460 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 4,800,712 | |
| | | | | | | | | | | | |
Supermarkets & Pharmacies — 0.0% | | | | | | | | | | | | |
Rite Aid Corp., 9.25%, 03/15/20 (d) | | | 318,000 | | | | | | | | 318,477 | |
| | | | | | | | | | | | |
Travel & Lodging — 0.0% | | | | | | | | | | | | |
River Cree Enterprises LP,
11.00%, 01/20/21 (d),(f) | | | 1,404,000 | | | | CAD | | | | 1,141,530 | |
| | | | | | | | | | | | |
Utilities — 0.1% | | | | | | | | | | | | |
NGL Energy Partners LP / NGL Energy Finance Corp., 5.13%, 07/15/19 (d) | | $ | 320,000 | | | | | | | | 319,200 | |
Rockpoint Gas Storage Canada Ltd., 7.00%, 03/31/23 (d),(f) | | | 2,768,000 | | | | | | | | 2,764,540 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 3,083,740 | |
| | | | | | | | | | | | |
Wireless Telecommunications Services — 0.0% | | | | | | | | | | | | |
Sprint Communications, Inc.,
9.00%, 11/15/18 (d),(f) | | | 1,650,000 | | | | | | | | 1,701,563 | |
| | | | | | | | | | | | |
Wireline Telecommunication Services — 0.0% | | | | | | | | | | | | |
Consolidated Communications, Inc., 6.50%, 10/01/22 (d) | | | 2,858,000 | | | | | | | | 2,553,051 | |
| | | | | | | | | | | | |
Total North America | | | | | | | | | | | 94,321,390 | |
| | | | | | | | | | | | |
See Notes to Consolidated Financial Statements.
57
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | | | |
Security Description | | Principal
Amount | | | | | | Value | |
South America — 0.7% | | | | | | | | | | | | |
Integrated Oils — 0.7% | | | | | | | | | | | | |
Petrobras Global Finance BV, | | | | | | | | | | | | |
5.30%, 01/27/25 (l) | | $ | 900,000 | | | | | | | $ | 888,750 | |
5.75%, 02/01/29 | | | 5,600,000 | | | | | | | | 5,418,728 | |
6.00%, 01/27/28 (l) | | | 21,600,000 | | | | | | | | 21,384,000 | |
6.13%, 01/17/22 | | | 7,106,000 | | | | | | | | 7,592,761 | |
6.25%, 03/17/24 | | | 5,008,000 | | | | | | | | 5,285,944 | |
8.38%, 05/23/21 | | | 2,112,000 | | | | | | | | 2,404,512 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 42,974,695 | |
| | | | | | | | | | | | |
Refining & Marketing — 0.0% | | | | | | | | | | | | |
EP PetroEcuador via Noble Sovereign Funding I Ltd., 3 mo. USD LIBOR + 5.63%, 7.93%, 09/24/19 (g) | | | 1,373,053 | | | | | | | | 1,383,351 | |
| | | | | | | | | | | | |
Total South America | | | | | | | | | | | 44,358,046 | |
| | | | | | | | | | | | |
TOTAL CORPORATE BONDS & NOTES
(COST $180,765,183) | | | | | | | | | | | 181,432,010 | |
| | | | | | | | | | | | |
SOVEREIGN DEBT — 8.4% | | | | | | | | | | | | |
Argentina Bonar Bonds, BADLARPP + 2.00%, 24.95%, 04/03/22 (g) | | | 6,400,000 | | | | ARS | | | | 325,833 | |
Argentina Treasury Bill, 0.01%, 09/14/18 | | | 110,133,667 | | | | ARS | | | | 5,566,233 | |
Argentine Republic Government International Bond, | | | | | | | | | | | | |
2.26%, 12/31/38 (l) | | | 10,718,403 | | | | EUR | | | | 9,092,094 | |
3.88%, 01/15/22 | | | 4,213,000 | | | | EUR | | | | 5,322,294 | |
4.63%, 01/11/23 | | $ | 20,508,000 | | | | | | | | 19,769,917 | |
5.63%, 01/26/22 | | | 4,023,000 | | | | | | | | 4,081,334 | |
5.88%, 01/11/28 | | | 579,000 | | | | | | | | 544,550 | |
7.82%, 12/31/33 | | | 4,676,000 | | | | EUR | | | | 6,429,859 | |
Autonomous City of Buenos Aires Argentina, BADLARPP + 5.00%, 27.88%, 01/23/22 (g) | | $ | 6,800,000 | | | | | | | | 368,996 | |
Bonos de la Nacion Argentina con Ajuste por CER, 3.75%, 02/08/19 | | | 309,833,000 | | | | ARS | | | | 16,297,280 | |
Deutsche Bundesrepublik Inflation Linked Bond REG S, 0.10%, 04/15/26 (b), (d) | | | 24,747,888 | | | | EUR | | | | 33,550,398 | |
Ecuador Government International Bond, | | | | | | | | | | | | |
8.75%, 06/02/23 | | $ | 1,105,000 | | | | | | | | 1,133,178 | |
10.75%, 03/28/22 | | | 2,662,000 | | | | | | | | 2,912,228 | |
Egypt Government International Bond, | | | | | | | | | | | | |
6.88%, 04/30/40 | | | 2,500,000 | | | | | | | | 2,437,800 | |
7.90%, 02/21/48 | | | 14,400,000 | | | | | | | | 15,152,803 | |
France Government Bond OAT REG S, 0.10%, 03/01/25 (d),(b) | | | 25,628,654 | | | | EUR | | | | 33,966,604 | |
See Notes to Consolidated Financial Statements.
58
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | |
Security Description | | Principal
Amount | | | | | Value | |
French Republic Government Bond OAT, 0.10%, 03/01/28 (d) | | | 9,655,040 | | | EUR | | $ | 12,850,640 | |
Hellenic Republic Government Bond, | | | | | | | | | | |
1.00%, 10/15/42 (g) | | | 6,700,000 | | | EUR | | | 30,305 | |
3.38%, 02/15/25 (f) | | | 3,500,000 | | | EUR | | | 4,175,422 | |
3.50%, 01/30/23 | | | 4,000,000 | | | EUR | | | 4,945,177 | |
3.75%, 01/30/28 | | | 4,100,000 | | | EUR | | | 4,826,402 | |
3.90%, 01/30/33 | | | 19,400,000 | | | EUR | | | 21,972,047 | |
4.00%, 01/30/37 | | | 16,600,000 | | | EUR | | | 18,230,544 | |
4.20%, 01/30/42 | | | 8,400,000 | | | EUR | | | 9,224,702 | |
Honduras Government International Bond, 8.75%, 12/16/20 | | $ | 298,000 | | | | | | 329,257 | |
Iraq International Bond, 6.75%, 03/09/23 | | | 2,229,000 | | | | | | 2,262,435 | |
Japan Treasury Discount Bill, 0.00%, 04/05/18 (d),(j) | | | 3,000,000,000 | | | JPY | | | 28,194,305 | |
Jordan Government International Bond, 7.38%, 10/10/47 | | $ | 3,800,000 | | | | | | 3,838,000 | |
Mexican Bonos, 10.00%, 12/05/24 (d),(b) | | | 315,050,000 | | | MXN | | | 19,880,036 | |
National Highways Authority of India, 7.30%, 05/18/22 | | | 330,000,000 | | | INR | | | 5,036,862 | |
Nigeria Government International Bond, | | | | | | | | | | |
7.14%, 02/23/30 | | $ | 2,100,000 | | | | | | 2,178,876 | |
MTN, 7.63%, 11/28/47 | | | 800,000 | | | | | | 828,480 | |
Oman Government International Bond, 6.75%, 01/17/48 | | | 1,300,000 | | | | | | 1,250,964 | |
Paraguay Government International Bond, 4.63%, 01/25/23 | | | 5,367,000 | | | | | | 5,510,836 | |
Peruvian Government International Bond, | | | | | | | | | | |
6.95%, 08/12/31 | | | 25,235,000 | | | PEN | | | 9,209,318 | |
8.20%, 08/12/26 | | | 21,569,000 | | | PEN | | | 8,331,870 | |
Provincia de Buenos Aires, BADLARPP + 3.83%, 26.74%, 05/31/22 (g) | | $ | 35,600,000 | | | | | | 1,830,130 | |
PT ZAR Sovereign Capital Fund Pty Ltd., 3.90%, 06/24/20 | | | 2,962,000 | | | | | | 2,979,541 | |
Republic of Iraq REG S, 5.80%, 01/15/28 | | | 3,700,000 | | | | | | 3,537,200 | |
Republic of South Africa Government Bond, | | | | | | | | | | |
8.75%, 02/28/48 | | | 214,125,972 | | | ZAR | | | 17,880,683 | |
10.50%, 12/21/26 | | | 30,650,000 | | | ZAR | | | 2,992,833 | |
Republic of South Africa Government International Bond, 5.50%, 03/09/20 | | $ | 5,508,000 | | | | | | 5,711,245 | |
Russian Federal Bond—OFZ, | | | | | | | | | | |
7.75%, 09/16/26 | | | 475,902,000 | | | RUB | | | 8,780,771 | |
8.50%, 09/17/31 | | | 1,285,166,000 | | | RUB | | | 25,177,476 | |
Russian Foreign Bond—Eurobond, | | | | | | | | | | |
4.50%, 04/04/22 | | $ | 6,200,000 | | | | | | 6,391,952 | |
5.00%, 04/29/20 | | | 5,200,000 | | | | | | 5,367,960 | |
See Notes to Consolidated Financial Statements.
59
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | | | |
Security Description | | Principal
Amount | | | | | | Value | |
Senegal Government International Bond, 6.75%, 03/13/48 | | $ | 1,600,000 | | | | | | | $ | 1,566,938 | |
Sweden Government Bond, | | | | | | | | | | | | |
0.75%, 05/12/28 (d), (b) | | | 93,000,000 | | | | SEK | | | | 11,205,688 | |
1.00%, 11/12/26 (d),(b) | | | 177,000,000 | | | | SEK | | | | 22,086,123 | |
Turkey Government International Bond, 7.00%, 06/05/20 | | $ | 9,116,000 | | | | | | | | 9,658,675 | |
United Kingdom Gilt Inflation Linked Bond REG S,
0.125%, 03/22/24 - 03/22/26 (b),(d) | | | 37,371,611 | | | | GBP | | | | 60,400,736 | |
| | | | | | | | | | | | |
TOTAL SOVEREIGN DEBT
(COST $495,132,085) | | | | | | | | | | | 505,625,830 | |
| | | | | | | | | | | | |
| | | |
MORTGAGE-BACKED SECURITIES — 24.8% | | | | | | | | | | | | |
North America — 24.8% | | | | | | | | | | | | |
Collateralized Mortgage Obligation (Residential) — 16.4% | | | | | | | | | |
Bellemeade Re Ltd., | | | | | | | | | | | | |
Series 2015-1A, Class M2,
1 mo. USD LIBOR + 4.30%, 6.17%, 07/25/25 (d),(f),(g) | | $ | 1,330,450 | | | | | | | | 1,351,925 | |
Series 2017-1, Class M2,
5.22%, 10/25/27 (d),(f),(g) | | | 7,962,000 | | | | | | | | 8,208,328 | |
Chase Mortgage Finance Corp., Series 2007-A2, Class 3A2, 3.78%, 07/25/37 (d),(g) | | | 154,209 | | | | | | | | 149,193 | |
ChaseFlex Trust, Series 2007-2, Class A2, 1 mo. USD LIBOR + 0.34%,
2.21%, 05/25/37 (d),(g) | | | 903,834 | | | | | | | | 852,342 | |
Citicorp Mortgage Securities Trust, Series 2006-3, Class 1A10, 6.25%, 06/25/36 (d) | | | 392,435 | | | | | | | | 388,099 | |
Connecticut Avenue Securities, | | | | | | | | | | | | |
Series 2014-C02, Class 1M2,
1 mo. USD LIBOR + 2.60%, 4.47%, 05/25/24 (d),(g),(b),(h) | | | 6,010,685 | | | | | | | | 6,397,352 | |
Series 2014-C03, Class 1M2,
1 mo. USD LIBOR + 3.00%, 4.87%, 07/25/24 (d),(g),(b),(h) | | | 4,404,844 | | | | | | | | 4,711,025 | |
Series 2015-C02, Class 1M2,
1 mo. USD LIBOR + 4.00%, 5.87%, 05/25/25 (d),(g),(h) | | | 18,368,890 | | | | | | | | 20,007,597 | |
Series 2015-C03, Class 1M2,
1 mo. USD LIBOR + 5.00%, 6.87%, 07/25/25 (d),(g),(h) | | | 1,693,745 | | | | | | | | 1,929,311 | |
Series 2015-C04, Class 2M2,
1 mo. USD LIBOR + 5.55%, 7.42%, 04/25/28 (d),(g),(h) | | | 7,516,744 | | | | | | | | 8,446,566 | |
Series 2015-C04, Class 1M2,
1 mo. USD LIBOR + 5.70%, 7.57%, 04/25/28 (d),(g),(h) | | | 6,993,687 | | | | | | | | 8,119,951 | |
See Notes to Consolidated Financial Statements.
60
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | |
Security Description | | Principal
Amount | | | | | Value | |
Series 2016-C01, Class 1M2,
1 mo. USD LIBOR + 6.75%, 8.62%, 08/25/28 (d),(g),(b) | | $ | 12,291,000 | | | | | $ | 14,848,425 | |
Series 2016-C01, Class 2M2,
1 mo. USD LIBOR + 6.95%, 8.82%, 08/25/28 (d),(g),(b) | | | 9,668,624 | | | | | | 11,540,122 | |
Series 2016-C02, Class 1M2, 1 mo. USD LIBOR + 6.00%,
7.87%, 09/25/28 (d),(g) | | | 26,712,000 | | | | | | 31,923,217 | |
Series 2016-C03, Class 2M2, 1 mo. USD LIBOR + 5.90%,
7.77%, 10/25/28 (d),(g) | | | 4,336,000 | | | | | | 5,077,543 | |
Series 2016-C05, Class 2M2, 1 mo. USD LIBOR + 4.45%,
6.32%, 01/25/29 (d),(g) | | | 7,014,000 | | | | | | 7,842,003 | |
Countrywide Alternative Loan Trust, | | | | | | | | | | |
Series 2004-28CB SEQ, Class 3A1, 6.00%, 01/25/35 (d) | | | 821,838 | | | | | | 820,710 | |
Series 2005-21CB, Class A17, 6.00%, 06/25/35 (d),(b) | | | 984,010 | | | | | | 968,835 | |
Countrywide Asset-Backed Certificates, | | | | | | | | | | |
Series 2005-15, Class 1AF6, 3.95%, 04/25/36 (d),(g) | | | 6,855 | | | | | | 6,886 | |
Series 2006-BC4, Class 2A2, 1 mo. USD LIBOR + 0.16%,
2.03%, 11/25/36 (d),(g) | | | 111,279 | | | | | | 111,523 | |
Federal Home Loan Mortgage Corp., | | | | | | | | | | |
Series 2015-SC02, Class M3, 3.68%, 09/25/45 (d),(g) | | | 866,000 | | | | | | 811,267 | |
Series 2016-DNA3, Class M3, 1 mo. USD LIBOR + 5.00%,
6.87%, 12/25/28 (d),(g) | | | 1,784,000 | | | | | | 2,082,604 | |
Series 2016-DNA4, Class M3, 1 mo. USD LIBOR + 3.80%,
5.67%, 03/25/29 (d),(g) | | | 1,500,000 | | | | | | 1,675,725 | |
Series 2016-HQA3, Class M3, 1 mo. USD LIBOR + 3.85%,
5.72%, 03/25/29 (d),(g) | | | 7,794,000 | | | | | | 8,753,753 | |
Series 2016-HQA4, Class M3, 1 mo. USD LIBOR + 3.90%,
5.77%, 04/25/29 (d),(g) | | | 18,419,000 | | | | | | 20,671,091 | |
Series 2017-DNA, Class M2, 1 mo. USD LIBOR + 3.25%,
5.12%, 07/25/29 (d),(g) | | | 534,000 | | | | | | 575,049 | |
Series 2017-DNA2, Class M2, 1 mo. USD LIBOR + 3.45%,
5.32%, 10/25/29 (d),(g) | | | 1,851,000 | | | | | | 2,020,478 | |
Series 2017-DNA3, Class M2, 4.37%, 03/25/30 (d),(g) | | | 4,838,000 | | | | | | 4,973,464 | |
Series 2017-HQA1, Class M2, 1 mo. USD LIBOR + 3.55%,
5.42%, 08/25/29 (d),(g) | | | 13,755,000 | | | | | | 14,974,793 | |
Series 2017-HQA2, Class M2, 1 mo. USD LIBOR + 2.65%,
4.52%, 12/25/29 (d),(g) | | | 20,068,000 | | | | | | 20,652,380 | |
Series 2017-HQA3, Class M2, 4.22%, 04/25/30 (d),(g) | | | 2,926,000 | | | | | | 2,964,857 | |
See Notes to Consolidated Financial Statements.
61
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | |
Security Description | | Principal
Amount | | | | | Value | |
Series 2017-HRP1, Class M2, 4.32%, 12/25/42 (d),(g) | | $ | 1,687,000 | | | | | $ | 1,742,873 | |
Series 2017-SPI1, Class M2, 3.99%, 09/25/47 (d),(f),(g) | | | 284,000 | | | | | | 268,523 | |
Series 2018-DNA1, Class M2, 3.67%, 07/25/30 (d),(g) | | | 28,605,000 | | | | | | 28,366,148 | |
Series 2018-HQA1, Class M2, 4.15%, 09/25/30 (d),(g) | | | 4,146,000 | | | | | | 4,167,684 | |
Federal National Mortgage Association, | | | | | | | | | | |
4.00%, 04/01/48 (d),(m) | | | 101,500,000 | | | | | | 104,077,186 | |
4.50%, 04/01/48 (d),(m) | | | 57,500,000 | | | | | | 60,181,858 | |
Series 2016-C06, Class 1M2, 1 mo. USD LIBOR + 4.25%,
6.12%, 04/25/29 (d),(g) | | | 37,197,000 | | | | | | 42,153,128 | |
Series 2016-C07, Class 2M2, 1 mo. USD LIBOR + 4.35%,
6.22%, 05/25/29 (d),(g) | | | 29,355,000 | | | | | | 32,588,747 | |
Series 2017-C01, Class 1M2, 1 mo. USD LIBOR + 3.55%,
5.42%, 07/25/29 (d),(g) | | | 27,530,000 | | | | | | 29,902,067 | |
Series 2017-C02, Class 2M2,
1 mo. USD LIBOR + 3.65%, 5.52%, 09/25/29 (d),(g),(h) | | | 26,653,000 | | | | | | 28,988,496 | |
Series 2017-C03, Class 1M2, 1 mo. USD LIBOR + 3.00%,
4.87%, 10/25/29 (d),(g) | | | 21,896,000 | | | | | | 23,216,132 | |
Series 2017-C04, Class 2M2, 1 mo. USD LIBOR + 2.85%,
4.72%, 11/25/29 (d),(g) | | | 37,139,000 | | | | | | 38,715,551 | |
Series 2017-C05, Class 1M2, 1 mo. USD LIBOR + 2.20%,
4.07%, 01/25/30 (d),(g) | | | 34,086,000 | | | | | | 34,610,584 | |
Series 2017-C06, Class 1M2,
4.52%, 02/25/30 (d),(g) | | | 20,331,000 | | | | | | 20,944,183 | |
Series 2017-C06, Class 2M2,
4.67%, 02/25/30 (d),(g) | | | 34,089,000 | | | | | | 35,284,501 | |
Series 2017-C07, Class 1M2,
4.27%, 05/25/30 (d),(g) | | | 8,593,000 | | | | | | 8,745,612 | |
Series 2018-C01, Class 1M2,
4.12%, 07/25/30 (d),(g) | | | 73,751,000 | | | | | | 74,701,650 | |
Series 2018-C02, Class 2M2,
4.07%, 08/25/30 (d),(g) | | | 7,032,000 | | | | | | 7,069,902 | |
Government National Mortgage Association, 4.000%, 09/20/45 - 04/01/48 (d),(m) | | | 83,061,898 | | | | | | 85,635,479 | |
JP Morgan Alternative Loan Trust, Series 2005-A2, Class 1A1, 1 mo. USD LIBOR + 0.52%, 2.39%, 01/25/36 (d),(g),(b) | | | 460,977 | | | | | | 438,137 | |
Oaktown RE Ltd., Series 2017-1A, Class M2, 1 mo. USD LIBOR + 4.00%,
5.87%, 04/25/27 (d),(f),(g),(h) | | | 8,686,000 | | | | | | 8,939,770 | |
Radnor RE Ltd., Series 2018-1, Class M2, 4.55%, 03/25/28 (d),(f),(g) | | | 401,000 | | | | | | 401,157 | |
See Notes to Consolidated Financial Statements.
62
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | |
Security Description | | Principal
Amount | | | | | Value | |
Sequoia Mortgage Trust, Series 2018-3, Class B4, 3.79%, 03/25/48 (d),(f),(g) | | $ | 642,000 | | | | | $ | 468,497 | |
Structured Agency Credit Risk, | | | | | | | | | | |
Series 2015-DNA3, Class M3,
1 mo. USD LIBOR + 4.70%, 6.57%, 04/25/28 (d),(g),(h) | | | 3,112,447 | | | | | | 3,742,437 | |
Series 2015-HQA1, Class M3, 1 mo. USD LIBOR + 4.70%,
6.57%, 03/25/28 (d),(g) | | | 4,242,000 | | | | | | 4,853,030 | |
Series 2015-HQA1, Class B,
1 mo. USD LIBOR + 8.80%, 10.67%, 03/25/28 (d),(g),(e) | | | 3,392,920 | | | | | | 4,292,116 | |
Series 2015-HQA2, Class M3, 1 mo. USD LIBOR + 4.80%,
6.67%, 05/25/28 (d),(g) | | | 5,130,000 | | | | | | 6,009,892 | |
Series 2016-DNA1, Class M3,
1 mo. USD LIBOR + 5.55%, 7.42%, 07/25/28 (d),(g),(b) | | | 36,678,000 | | | | | | 44,322,429 | |
Series 2016-DNA2, Class M3, 1 mo. USD LIBOR + 4.65%,
6.52%, 10/25/28 (d),(g) | | | 9,840,000 | | | | | | 11,326,716 | |
Series 2016-HQA1, Class M3, 1 mo. USD LIBOR + 6.35%,
8.22%, 09/25/28 (d),(g) | | | 5,109,000 | | | | | | 6,302,687 | |
Series 2016-HQA2, Class M3,
1 mo. USD LIBOR + 5.15%, 7.02%, 11/25/28 (d),(g),(h) | | | 14,088,000 | | | | | | 16,821,213 | |
Wells Fargo Mortgage-Backed Securities Trust, Series 2007-14, Class 1A1, 6.00%, 10/25/37 (d),(b) | | | 263,760 | | | | | | 257,912 | |
| | | | | | | | | | |
| | | | | | | | | 983,392,711 | |
| | | | | | | | | | |
Commercial Mortgage-Backed Securities — 7.9% | | | | | | | | | | |
280 Park Avenue Mortgage Trust, Series 2017-280P, Class F,
4.60%, 09/15/34 (d),(f),(g) | | | 8,000,000 | | | | | | 7,848,992 | |
BAMLL Commercial Mortgage Securities Trust, | | | | | | | | | | |
Series 2013-DSNY, Class F, 1 mo. USD LIBOR + 3.50%,
5.28%, 09/15/26 (d),(f),(g) | | | 1,000,000 | | | | | | 1,001,554 | |
Series 2014-ICTS, Class D, 1 mo. USD LIBOR + 1.90%,
3.68%, 06/15/28 (d),(f),(g) | | | 2,300,000 | | | | | | 2,288,753 | |
Series 2014-ICTS, Class E, 1 mo. USD LIBOR + 2.95%,
4.73%, 06/15/28 (d),(f),(g) | | | 3,150,000 | | | | | | 3,140,339 | |
Banc of America Commercial Mortgage Trust, Series 2007-1 SEQ, Class AMFX, 5.48%, 01/15/49 (g),(h),(k) | | | 5,033,404 | | | | | | 5,139,105 | |
Bank 2017-BNK4, Series 2017-BNK8, Class A4, 3.49%, 11/15/50 (d),(b) | | | 4,200,000 | | | | | | 4,177,853 | |
BBCMS Trust, | | | | | | | | | | |
Series 2014-BXO, Class D, 1 mo. USD LIBOR + 3.00%,
4.78%, 08/15/27 (d),(f),(g) | | | 2,084,912 | | | | | | 2,098,854 | |
See Notes to Consolidated Financial Statements.
63
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | |
Security Description | | Principal
Amount | | | | | Value | |
Series 2014-BXO, Class E, 1 mo. USD LIBOR + 3.75%,
5.53%, 08/15/27 (d),(f),(g) | | $ | 1,546,000 | | | | | $ | 1,548,902 | |
Bear Stearns Commercial Mortgage Securities Trust, | | | | | | | | | | |
Series 2006-T24, Class AJ,
5.60%, 10/12/41 (g),(b) | | | 8,453 | | | | | | 8,461 | |
Series 2007-PW16, Class C,
5.65%, 06/11/40 (f),(g) | | | 7,444,166 | | | | | | 7,473,943 | |
Series 2007-T26, Class AM,
5.51%, 01/12/45 (g) | | | 68,776 | | | | | | 70,199 | |
Benchmark Mortgage Trust, Series 2018-B2 SEQ, Class A5, 3.88%, 02/15/51 (d) | | | 5,000,000 | | | | | | 5,117,625 | |
BX Trust, | | | | | | | | | | |
Series 2017-SLCT, Class E, 1 mo. USD LIBOR + 3.15%,
4.93%, 07/15/34 (d),(f),(g) | | | 8,000,000 | | | | | | 8,044,864 | |
Series 2017-SLCT, Class F, 1 mo. USD LIBOR + 4.25%,
6.03%, 07/15/34 (d),(f),(g) | | | 4,000,000 | | | | | | 4,022,284 | |
Caesars Palace Las Vegas Trust, Series 2017-VICI, Class E, 4.35%, 10/15/34 (d),(f),(g) | | | 3,600,000 | | | | | | 3,493,922 | |
CD Mortgage Trust, Series 2017-CD6, Class A5, 3.46%, 11/13/50 (d) | | | 3,800,000 | | | | | | 3,766,028 | |
CFCRE Commercial Mortgage Trust, | | | | | | | | | | |
Series 2011-C1, Class D,
6.09%, 04/15/44 (d),(f),(g) | | | 2,900,000 | | | | | | 3,025,402 | |
Series 2016-C6, Class D,
4.22%, 11/10/49 (d),(f),(g),(k) | | | 3,266,000 | | | | | | 2,689,688 | |
Series 2016-C7, Class D,
4.44%, 12/10/54 (d),(f),(g) | | | 1,605,000 | | | | | | 1,348,773 | |
CGDB Commercial Mortgage Trust, Series 2017-BIO, Class E, 1 mo. USD LIBOR + 2.50%, 4.28%, 05/15/30 (d),(f),(g) | | | 4,000,000 | | | | | | 4,022,912 | |
Citigroup Commercial Mortgage Trust, | | | | | | | | | | |
Series 2006-C4, Class C,
6.19%, 03/15/49 (b), (g), (k) | | | 1,594,396 | | | | | | 1,614,804 | |
Series 2015-GC29, Class D,
3.11%, 04/10/48 (d),(f),(h) | | | 4,286,000 | | | | | | 3,222,742 | |
Series 2015-GC31, Class D,
4.06%, 06/10/48 (d),(g) | | | 1,850,000 | | | | | | 1,520,175 | |
Series 2015-P1, Class D,
3.23%, 09/15/48 (d),(f) | | | 1,193,000 | | | | | | 953,923 | |
Series 2016-C3, Class D,
3.00%, 11/15/49 (d),(f),(k) | | | 1,826,000 | | | | | | 1,366,578 | |
Series 2016-P6, Class D,
3.25%, 12/10/49 (d),(f),(k) | | | 1,030,000 | | | | | | 797,921 | |
Series 2016-SMPL, Class E,
4.51%, 09/10/31 (d),(f) | | | 5,000,000 | | | | | | 4,974,880 | |
Series 2018-B2 SEQ, Class A4, 4.01%, 03/10/51 (d) | | | 2,060,000 | | | | | | 2,133,050 | |
See Notes to Consolidated Financial Statements.
64
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | |
Security Description | | Principal
Amount | | | | | Value | |
COBALT CMBS Commercial Mortgage Trust, Series 2007-C2, Class AJFX,
5.57%, 04/15/47 (g) | | $ | 12,453,503 | | | | | $ | 12,483,391 | |
Commercial Mortgage Trust, | | | | | | | | | | |
Series 2006-C8 SEQ, Class AJ, 5.38%, 12/10/46 (b),(h) | | | 9,318,583 | | | | | | 9,365,176 | |
Series 2014-PAT, Class E, 1 mo. USD LIBOR + 3.15%,
4.87%, 08/13/27 (d),(f),(g),(b) | | | 2,400,000 | | | | | | 2,411,268 | |
Series 2015-CR23, Class D,
4.25%, 05/10/48 (d),(g),(b) | | | 1,745,000 | | | | | | 1,389,390 | |
Credit Suisse Commercial Mortgage Trust, | | | | | | | | | | |
Series 2007-C1, Class AMFX, 5.42%, 02/15/40 (f),(g) | | | 2,286,207 | | | | | | 2,320,500 | |
Series 2007-C1, Class AM,
5.42%, 02/15/40 (b) | | | 4,849,419 | | | | | | 4,946,407 | |
Series 2007-C2, Class AJ,
5.57%, 01/15/49 (g),(h),(k) | | | 5,634,137 | | | | | | 5,707,381 | |
Credit Suisse Mortgage Trust, | | | | | | | | | | |
Series 2015-DEAL, Class D, 1 mo. USD LIBOR + 3.10%,
4.88%, 04/15/29 (d),(f),(g) | | | 3,025,000 | | | | | | 3,025,042 | |
Series 2015-DEAL, Class E,
1 mo. USD LIBOR + 4.00%,
5.78%, 04/15/29 (d),(f),(g),(b) | | | 3,900,000 | | | | | | 3,900,055 | |
CSAIL Commercial Mortgage Trust, | | | | | | | | | | |
Series 2015-C2, Class D,
4.21%, 06/15/57 (d),(g) | | | 1,282,000 | | | | | | 1,035,089 | |
Series 2015-C3, Class D,
3.36%, 08/15/48 (d),(g),(h) | | | 3,139,000 | | | | | | 2,478,043 | |
DLJ Commercial Mortgage Corp., Series 1999-CG2, Class B6, 6.11%, 06/10/32 | | | 861,930 | | | | | | 861,930 | |
GE Commercial Mortgage Corp., Series 2007-C1, Class AM,
5.61%, 12/10/49 (b),(g),(h),(k) | | | 34,851,065 | | | | | | 35,548,086 | |
GE Commercial Mortgage Corp. Trust, Series 2007-C1 SEQ, Class AMFX, 5.54%, 12/10/49 (f),(g),(k) | | | 379,345 | | | | | | 387,501 | |
GS Mortgage Securities Corp. II, Series 2017-GS8, Class A4, 3.47%, 11/10/50 (d) | | | 5,700,000 | | | | | | 5,651,881 | |
GS Mortgage Securities Trust, | | | | | | | | | | |
Series 2007-GG10, Class AM, 5.83%, 08/10/45 (g),(h) | | | 8,421,062 | | | | | | 8,589,483 | |
Series 2013-GC12, Class D, 4.44%, 06/10/46 (d),(f),(g) | | | 4,000,000 | | | | | | 3,436,048 | |
Series 2017-SLP, Class E,
4.59%, 10/10/32 (d),(f),(g) | | | 5,000,000 | | | | | | 4,832,680 | |
Hyatt Hotel Portfolio Trust, | | | | | | | | | | |
Series 2017-HYT2, Class D,
3.63%, 08/09/32 (d),(f),(g) | | | 3,500,000 | | | | | | 3,509,853 | |
See Notes to Consolidated Financial Statements.
65
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | |
Security Description | | Principal
Amount | | | | | Value | |
Series 2017-HYT2, Class F,
4.83%, 08/09/32 (d),(f),(g) | | $ | 4,225,000 | | | | | $ | 4,256,654 | |
J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2018-ASH8, Class E, 4.78%, 02/15/35 (d),(f),(g) | | | 3,000,000 | | | | | | 3,010,287 | |
JP Morgan Chase Commercial Mortgage Securities Trust, | | | | | | | | | | |
Series 2003-CB7, Class H,
5.38%, 01/12/38 (f),(g) | | | 4,065,178 | | | | | | 4,217,622 | |
Series 2005-CB13, Class AJ,
5.58%, 01/12/43 (g) | | | 2,813,473 | | | | | | 2,893,657 | |
Series 2006-CB14, Class AJ,
5.65%, 12/12/44 (g),(b) | | | 219,931 | | | | | | 222,131 | |
Series 2006-CB15, Class AM,
5.86%, 06/12/43 (g),(h) | | | 15,048,676 | | | | | | 15,296,979 | |
Series 2007-CB18, Class AM,
5.47%, 06/12/47 (g) | | | 142,097 | | | | | | 143,518 | |
Series 2007-LD11, Class AM,
5.95%, 06/15/49 (g),(k) | | | 2,874,198 | | | | | | 2,887,132 | |
Series 2013-C10, Class D,
4.14%, 12/15/47 (d),(g) | | | 5,200,000 | | | | | | 4,671,124 | |
Series 2014-BXH, Class E, 1 mo. USD LIBOR + 3.75%,
5.53%, 04/15/27 (d),(f),(g) | | | 1,413,798 | | | | | | 1,400,867 | |
Series 2014-C20, Class D,
4.57%, 07/15/47 (d),(f),(g),(b) | | | 3,813,137 | | | | | | 3,195,294 | |
Series 2014-CBM, Class E,
1 mo. USD LIBOR + 3.85%, 5.63%, 10/15/29 (d),(f),(g),(b) | | | 7,100,000 | | | | | | 7,100,000 | |
Series 2016-WPT, Class D, 1 mo. USD LIBOR + 3.75%,
5.53%, 10/15/33 (d),(f),(g) | | | 1,500,000 | | | | | | 1,506,554 | |
Series 2016-WPT, Class E, 1 mo. USD LIBOR + 5.00%,
6.78%, 10/15/33 (d),(f),(g) | | | 2,600,000 | | | | | | 2,621,083 | |
JPMBB Commercial Mortgage Securities Trust, | | | | | | | | | | |
Series 2015-C28, Class D,
3.74%, 10/15/48 (d),(f),(g) | | | 5,074,000 | | | | | | 3,878,708 | |
Series 2015-C30, Class D,
3.81%, 07/15/48 (d),(g) | | | 1,694,000 | | | | | | 1,337,410 | |
Series 2015-C30, Class C,
4.31%, 07/15/48 (d),(g),(h) | | | 11,768,000 | | | | | | 11,376,938 | |
JPMDB Commercial Mortgage Securities Trust 2017-C7, Series 2017-C7 SEQ, Class A5, 3.41%, 10/15/50 (d),(b) | | | 4,950,000 | | | | | | 4,887,031 | |
LB Commercial Mortgage Trust, Series 2007-C3, Class AJFL, 1 mo. USD LIBOR + 0.35%, 2.14%, 07/15/44 (f),(g) | | | 4,126,179 | | | | | | 4,060,160 | |
LB UBS Commercial Mortgage Trust, Series 2008-C1, Class AM, 6.32%, 04/15/41 (g),(h) | | | 17,576,409 | | | | | | 18,130,066 | |
See Notes to Consolidated Financial Statements.
66
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | |
Security Description | | Principal
Amount | | | | | Value | |
LB-UBS Commercial Mortgage Trust, Series 2007-C6, Class AJ, 6.22%, 07/15/40 (g),(b),(h) | | $ | 17,259,252 | | | | | $ | 17,604,437 | |
Lone Star Portfolio Trust, Series 2015-LSP, Class E, 1 mo. USD LIBOR + 5.60%,
7.38%, 09/15/28 (d),(f),(g) | | | 7,081,748 | | | | | | 7,130,350 | |
LSTAR Commercial Mortgage Trust, Series 2015-3, Class D,
3.11%, 04/20/48 (d),(f),(g) | | | 3,194,000 | | | | | | 2,408,187 | |
Merrill Lynch Mortgage Trust, | | | | | | | | | | |
Series 2006-C1, Class AJ,
5.43%, 05/12/39 (g),(b) | | | 1,310,255 | | | | | | 1,322,047 | |
Series 2007-C1, Class AM,
5.81%, 06/12/50 (g),(h) | | | 38,397,314 | | | | | | 38,954,075 | |
ML-CFC Commercial Mortgage Trust, | | | | | | | | | | |
Series 2007-6, Class AM, 5.48%, 03/12/51 (g) | | | 3,952,775 | | | | | | 3,960,681 | |
Series 2007-7, Class AMFL, 1 mo. USD LIBOR + 0.23%,
2.00%, 06/12/50 (f),(g) | | | 1,676,433 | | | | | | 1,691,521 | |
Series 2007-7, Class AM,
5.75%, 06/12/50 (g),(b) | | | 1,122,157 | | | | | | 1,133,379 | |
Morgan Stanley Bank of America Merrill Lynch Trust, | | | | | | | | | | |
Series 2014-C19, Class D,
3.25%, 12/15/47 (d),(f) | | | 3,660,000 | | | | | | 2,874,260 | |
Series 2015-C21, Class D,
4.16%, 03/15/48 (d),(f),(g) | | | 4,754,000 | | | | | | 3,833,402 | |
Series 2015-C23, Class D,
4.13%, 07/15/50 (d),(f),(g) | | | 2,195,000 | | | | | | 1,866,852 | |
Series 2015-C27, Class D,
3.24%, 12/15/47 (d),(f),(g) | | | 1,466,500 | | | | | | 1,135,423 | |
Series 2016-C29, Class D,
3.00%, 05/15/49 (d),(f),(k) | | | 2,517,000 | | | | | | 1,907,878 | |
Series 2016-C30, Class D,
3.00%, 09/15/49 (d),(f),(g),(k) | | | 1,323,000 | | | | | | 990,169 | |
Series 2016-C32, Class D,
3.40%, 12/15/49 (d),(f),(g),(k) | | | 991,000 | | | | | | 756,171 | |
Series 2017-C34 SEQ, Class A4,
3.54%, 11/15/52 (d),(b) | | | 2,907,303 | | | | | | 2,901,779 | |
Morgan Stanley Capital I Trust, | | | | | | | | | | |
Series 2006-HQ10, Class AJ,
5.39%, 11/12/41 (g),(b),(h) | | | 4,605,483 | | | | | | 4,646,932 | |
Series 2007-T25, Class AJ,
5.57%, 11/12/49 (g),(h),(k) | | | 12,196,688 | | | | | | 12,373,540 | |
Series 2016-UB12, Class D,
3.31%, 12/15/49 (d),(f),(k) | | | 1,761,000 | | | | | | 1,313,710 | |
Morgan Stanley Capital Trust, Series 2007-IQ15, Class AJ, 5.99%, 06/11/49 (g),(k) | | | 1,867,489 | | | | | | 1,901,104 | |
See Notes to Consolidated Financial Statements.
67
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | |
Security Description | | Principal
Amount | | | | | Value | |
Motel 6 Trust, Series 2017-MTL6, Class E, 5.03%, 08/15/34 (d),(f),(g) | | $ | 5,925,906 | | | | | $ | 5,959,133 | |
Palisades Center Trust, Series 2016-PLSD, Class D, 4.74%, 04/13/33 (d),(f) | | | 6,907,000 | | | | | | 6,830,546 | |
PFP Ltd., Series 2017-3, Class D, 1 mo. USD LIBOR + 3.50%,
5.28%, 01/14/35 (d),(f),(g) | | | 1,000,000 | | | | | | 1,003,288 | |
Resource Capital Corp. Ltd., Series 2015-CRE3, Class D, 1 mo. USD LIBOR + 4.00%, 5.79%, 03/15/32 (d),(f),(g) | | | 810,062 | | | | | | 810,155 | |
TPG Real Estate Finance Issuer Ltd., Series 2018-FL1, Class D,
4.49%, 02/15/35 (d),(f),(g) | | | 1,500,000 | | | | | | 1,505,513 | |
UBS Commercial Mortgage Trust, Series 2018-NYCH, Class F,
5.60%, 02/15/32 (d),(f),(g) | | | 798,000 | | | | | | 794,166 | |
Wachovia Bank Commercial Mortgage Trust, | | | | | | | | | | |
Series 2006-C26, Class AM,
6.00%, 06/15/45 (g),(b) | | | 1,304,075 | | | | | | 1,322,332 | |
Series 2006-C27, Class AJ,
5.83%, 07/15/45 (g),(b) | | | 1,434,041 | | | | | | 1,435,475 | |
Series 2007-C30, Class AJ,
5.41%, 12/15/43 (g),(h) | | | 2,825,818 | | | | | | 2,854,076 | |
Series 2007-C33, Class AJ,
6.01%, 02/15/51 (g) | | | 5,016,257 | | | | | | 5,066,420 | |
Waldorf Astoria Boca Raton Trust, Series 2016-BOCA, Class E, 1 mo. USD LIBOR + 4.35%, 6.13%, 06/15/29 (d),(f),(g) | | | 3,000,000 | | | | | | 3,005,619 | |
Wells Fargo Commercial Mortgage Trust, | | | | | | | | | | |
Series 2015-C27, Class D,
3.77%, 02/15/48 (d),(f) | | | 6,903,000 | | | | | | 5,420,988 | |
Series 2015-C31, Class D, 3.85%, 11/15/48 (d) | | | 3,546,000 | | | | | | 2,801,673 | |
Series 2015-LC20, Class D,
4.36%, 04/15/50 (d),(f),(g),(h) | | | 5,292,000 | | | | | | 4,459,542 | |
Series 2015-NXS2, Class C,
4.25%, 07/15/58 (d),(g) | | | 9,557,000 | | | | | | 9,252,504 | |
Series 2015-NXS4, Class E,
3.60%, 12/15/48 (d),(f),(g) | | | 2,629,000 | | | | | | 1,995,958 | |
Series 2016-C34, Class D,
5.03%, 06/15/49 (d),(f),(g),(k) | | | 2,764,000 | | | | | | 2,307,885 | |
WFRBS Commercial Mortgage Trust, | | | | | | | | | | |
Series 2013-C11, Class D,
4.27%, 03/15/45 (d),(f),(g) | | | 3,976,000 | | | | | | 3,735,225 | |
Series 2013-C18, Class D,
4.66%, 12/15/46 (d),(f),(g) | | | 2,000,000 | | | | | | 1,796,526 | |
Series 2014-C19, Class D,
4.23%, 03/15/47 (d),(f) | | | 3,500,000 | | | | | | 2,685,683 | |
| | | | | | | | | | |
| | | | | | 471,633,549 | |
| | | | | | | | | | |
See Notes to Consolidated Financial Statements.
68
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | |
Security Description | | Principal
Amount | | | | | Value | |
Interest Only Commercial Mortgage-Backed Securities — 0.4% | | | | | | | |
Citigroup Commercial Mortgage Trust, Series 2015-GC29, Class XA,
1.11%, 04/10/48 (d),(g),(h) | | $ | 13,966,658 | | | | | $ | 778,390 | |
Commercial Mortgage Trust, | | | | | | | | | | |
Series 2014-UBS4, Class XA, 1.21%, 08/10/47 (d),(g) | | | 20,424,737 | | | | | | 1,019,930 | |
Series 2014-UBS5, Class XA, 1.03%, 09/10/47 (d),(g),(b) | | | 3,960,517 | | | | | | 152,943 | |
Series 2015-CR23, Class XA,
0.98%, 05/10/48 (d),(g),(b) | | | 12,224,701 | | | | | | 564,781 | |
CSAIL Commercial Mortgage Trust, | | | | | | | | | | |
Series 2015-C2, Class XA,
0.84%, 06/15/57 (d),(g),(b) | | | 40,118,053 | | | | | | 1,719,059 | |
Series 2015-C3, Class XA,
0.85%, 08/15/48 (d),(g) | | | 34,255,212 | | | | | | 1,401,655 | |
GS Mortgage Securities Trust, | | | | | | | | | | |
Series 2014-GC24, Class XA, 0.83%, 09/10/47 (d),(g),(b) | | | 13,816,068 | | | | | | 519,747 | |
Series 2015-GC32, Class XA, 0.85%, 07/10/48 (d),(g),(h) | | | 23,689,853 | | | | | | 1,045,694 | |
JPMBB Commercial Mortgage Securities Trust, Series 2015-C30, Class XA,
0.67%, 07/15/48 (d),(g) | | | 52,173,541 | | | | | | 1,577,937 | |
Morgan Stanley Bank of America Merrill Lynch Trust, | | | | | | | | | | |
Series 2014-C17, Class XA,
1.21%, 08/15/47 (d),(g),(b) | | | 24,780,028 | | | | | | 1,087,719 | |
Series 2015-C22, Class XA,
1.14%, 04/15/48 (d),(g) | | | 19,116,838 | | | | | | 1,039,554 | |
Series 2015-C23, Class XA,
0.73%, 07/15/50 (d),(g),(h) | | | 56,426,100 | | | | | | 1,795,140 | |
Series 2015-C25, Class XA,
1.13%, 10/15/48 (d),(g) | | | 36,116,941 | | | | | | 2,225,020 | |
Wells Fargo Commercial Mortgage Trust, | | | | | | | | | | |
Series 2014-LC18, Class XA,
1.15%, 12/15/47 (d),(g) | | | 43,419,290 | | | | | | 2,356,495 | |
Series 2015-C29, Class XA,
0.73%, 06/15/48 (d),(g),(h) | | | 121,415,192 | | | | | | 4,642,188 | |
Series 2016-C32, Class XA,
1.34%, 01/15/59 (d),(g) | | | 38,060,963 | | | | | | 2,849,624 | |
WFRBS Commercial Mortgage Trust, Series 2014-C22, Class XA, 0.90%, 09/15/57 (d),(g),(b) | | | 1,818,334 | | | | | | 75,363 | |
| | | | | | | | | | |
| | | | | | | | | 24,851,239 | |
| | | | | | | | | | |
See Notes to Consolidated Financial Statements.
69
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | | | |
Security Description | | Principal
Amount | | | | | | Value | |
Inverse Interest Only Collateralized Mortgage Obligations — 0.1% | | | | | | | | | |
Federal National Mortgage Association, | | | | | | | | | | | | |
Series 2014-28, Class SB, 1 mo. USD LIBOR + 6.05%, 4.18%, 05/25/44 (d),(g),(b) | | $ | 23,487,225 | | | | | | | $ | 3,675,774 | |
Series 2015-13, Class ST, 1 mo. USD LIBOR + 5.60%, 3.73%, 03/25/45 (d),(g),(b) | | | 14,072,466 | | | | | | | | 2,238,338 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 5,914,112 | |
| | | | | | | | | | | | |
TOTAL MORTGAGE-BACKED SECURITIES (COST $1,433,609,213) | | | | | | | | | | | 1,485,791,611 | |
| | | | | | | | | | | | |
| | |
U.S. GOVERNMENT SPONSORED AGENCY SECURITIES — 0.5% | | | | | | | | | |
North America — 0.5% | | | | | | | | | | | | |
Inverse Interest Only Collateralized Mortgage Obligations — 0.5% | | | | | | | | | |
Government National Mortgage Association, | | | | | | | | | | | | |
Series 2011-157, Class LS,
1 mo. USD LIBOR + 6.63%,
4.81%, 12/20/41 (d),(g),(b) | | | 6,512,042 | | | | | | | | 1,348,201 | |
Series 2012-96, Class SA, 1 mo. USD LIBOR + 6.10%, 4.28%, 08/20/42 (d),(g),(b) | | | 6,701,542 | | | | | | | | 1,161,310 | |
Series 2013-188, Class SA,
1 mo. USD LIBOR + 6.15%,
4.33%, 12/20/43 (d),(g),(b) | | | 6,414,610 | | | | | | | | 894,819 | |
Series 2014-116, Class SC,
1 mo. USD LIBOR + 5.60%,
3.78%, 08/20/44 (d),(g),(b) | | | 4,471,942 | | | | | | | | 628,312 | |
Series 2015-148, Class SL,
1 mo. USD LIBOR + 5.68%, 3.86%, 10/20/45 (d),(g),(b) | | | 18,481,167 | | | | | | | | 2,637,965 | |
Series 2015-151, Class SC,
1 mo. USD LIBOR + 6.15%, 4.33%, 10/20/45 (d),(g),(b) | | | 11,091,812 | | | | | | | | 1,841,185 | |
Series 2015-161, Class AS,
1 mo. USD LIBOR + 6.20%, 4.38%, 11/20/45 (d),(g),(b) | | | 9,252,496 | | | | | | | | 1,931,024 | |
Series 2015-162, Class LS,
1 mo. USD LIBOR + 6.20%,
4.38%, 11/20/45 (d),(g),(b) | | | 12,983,411 | | | | | | | | 2,371,121 | |
Series 2016-5, Class QS, 1 mo. USD LIBOR + 6.20%, 4.38%, 01/20/46 (d),(g),(b) | | | 14,859,027 | | | | | | | | 2,588,591 | |
Series 2017-114, Class SP, 1 mo. USD LIBOR + 6.20%,
4.38%, 07/20/47 (d),(g),(b) | | | 9,105,707 | | | | | | | | 1,643,480 | |
Series 2017-117, Class BS,
4.38%, 08/20/47 (d),(g) | | | 7,095,256 | | | | | | | | 1,332,979 | |
Series 2017-117, Class SA,
4.38%, 08/20/47 (d),(g) | | | 8,747,115 | | | | | | | | 1,730,022 | |
Series 2017-156, Class SB,
4.38%, 10/20/47 (d),(g),(b) | | | 9,606,809 | | | | | | | | 1,972,537 | |
See Notes to Consolidated Financial Statements.
70
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | | | |
Security Description | | Principal
Amount | | | | | | Value | |
Series 2017-56, Class AS, 1 mo. USD LIBOR + 6.15%, 4.33%, 04/20/47 (d),(g) | | $ | 8,695,264 | | | | | | | $ | 1,774,860 | |
Series 2017-73, Class SM, 1 mo. USD LIBOR + 6.20%, 4.38%, 05/20/47 (d),(g),(b) | | | 9,050,943 | | | | | | | | 1,773,641 | |
Series 2017-78, Class CS, 1 mo. USD LIBOR + 6.20%, 4.38%, 05/20/47 (d),(g),(b) | | | 18,178,961 | | | | | | | | 3,729,723 | |
| | | | | | | | | | | | |
TOTAL U.S. GOVERNMENT SPONSORED AGENCY SECURITIES
(COST $29,359,163) | | | | | | | | | | | 29,359,770 | |
| | | | | | | | | �� | | | |
| | | |
U.S. TREASURY OBLIGATIONS — 2.0% | | | | | | | | | | | | |
North America — 2.0% | | | | | | | | | | | | |
U.S. Treasury Inflation Indexed Notes, | | | | | | | | | | | | |
0.13%, 07/15/26 (d), (b) | | | 31,016,700 | | | | | | | | 29,780,130 | |
0.38%, 07/15/25 - 07/15/27 (b),(d) | | | 17,699,555 | | | | | | | | 17,336,618 | |
0.50%, 01/15/28 (d) | | | 22,856,697 | | | | | | | | 22,424,214 | |
0.63%, 01/15/26 (d), (b) | | | 50,063,040 | | | | | | | | 50,010,872 | |
| | | | | | | | | | | | |
TOTAL U.S. TREASURY OBLIGATIONS (COST $122,515,399) | | | | | | | | | | | 119,551,834 | |
| | | | | | | | | | | | |
| | | |
Security Description | | Shares | | | | | | Value | |
| | | |
EXCHANGE-TRADED FUNDS — 2.2% | | | | | | | | | | | | |
iShares Core MSCI Emerging Markets ETF (d),(b) | | | 261,163 | | | | | | | | 15,251,919 | |
iShares Core S&P 500 ETF (d) | | | 150,000 | | | | | | | | 39,805,500 | |
PowerShares Emerging Markets Sovereign Debt Portfolio (d),(b) | | | 23,760 | | | | | | | | 669,795 | |
SPDR Dow Jones International Real Estate ETF (d),(b) | | | 390,960 | | | | | | | | 15,646,219 | |
Vanguard Emerging Markets Government Bond ETF (d),(b) | | | 6,600 | | | | | | | | 517,770 | |
Vanguard FTSE Emerging Markets ETF (d),(b) | | | 346,644 | | | | | | | | 16,285,335 | |
Vanguard Global ex-U.S. Real Estate ETF (d),(b) | | | 399,595 | | | | | | | | 24,343,328 | |
Vanguard REIT ETF (d),(b) | | | 278,539 | | | | | | | | 21,021,338 | |
| | | | | | | | | | | | |
TOTAL EXCHANGE-TRADED FUNDS
(COST $128,296,932) | | | | | | | | | | | 133,541,204 | |
| | | | | | | | | | | | |
| | | |
INVESTMENTS IN INVESTEE FUNDS — 5.4% | | | | | | | | | | | | |
North America — 5.4% | | | | | | | | | | | | |
GCM Equity Partners LP (cost $91,734,684) (e),(n) | | | | | | | | | | | 128,771,016 | |
GCM Offshore Equity Partners LP
(cost $30,211,561) (e),(n) | | | | | | | | | | | 42,142,590 | |
Glenview Capital Partners (Cayman), Ltd.
(cost $125,000,000) (e),(n) | | | 125,000 | | | | | | | | 150,658,750 | |
| | | | | | | | | | | | |
TOTAL INVESTMENTS IN INVESTEE FUNDS (COST $246,946,245) | | | | | | | | | | | 321,572,356 | |
| | | | | | | | | | | | |
See Notes to Consolidated Financial Statements.
71
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Strike | | | Expiration
Date | | Contracts | | | Notional
Amount | | | Premium
Paid | | | Market
Value | | | Unrealized
Appreciation
(Depreciation) | |
| | | | |
PURCHASED OPTIONS — 0.0% | | | | | | | | | | | | | | | | | |
| | | | |
Exchange-Traded Call Options — 0.0% | | | | | | | | | | | | | | | | | |
Airbus SE | | | 96.00 EUR | | | 04/20/18 | | | 129 | | | | 1,210,020 | | | $ | 49,468 | | | $ | 20,714 | | | $ | (28,754 | ) |
Airbus SE | | | 100.00 EUR | | | 04/20/18 | | | 103 | | | | 966,140 | | | | 29,350 | | | | 5,893 | | | | (23,457 | ) |
Airbus SE | | | 102.00 EUR | | | 04/20/18 | | | 193 | | | | 1,810,340 | | | | 62,426 | | | | 7,481 | | | | (54,945 | ) |
Airbus SE | | | 98.00 EUR | | | 04/20/18 | | | 129 | | | | 1,210,020 | | | | 26,384 | | | | 12,143 | | | | (14,241 | ) |
Akzo Nobel NV | | | 80.00 EUR | | | 04/20/18 | | | 129 | | | | 989,946 | | | | 23,980 | | | | 10,476 | | | | (13,504 | ) |
Akzo Nobel NV | | | 82.00 EUR | | | 04/20/18 | | | 129 | | | | 989,946 | | | | 28,672 | | | | 5,159 | | | | (23,513 | ) |
Akzo Nobel NV | | | 80.00 EUR | | | 06/15/18 | | | 129 | | | | 989,946 | | | | 35,916 | | | | 23,333 | | | | (12,583 | ) |
Akzo Nobel NV | | | 84.00 EUR | | | 06/15/18 | | | 129 | | | | 989,946 | | | | 33,036 | | | | 10,000 | | | | (23,036 | ) |
Atlantia SpA | | | 25.00 EUR | | | 04/19/18 | | | 64 | | | | 2,009,600 | | | | 41,901 | | | | 53,124 | | | | 11,223 | |
Atlantia SpA | | | 29.00 EUR | | | 04/19/18 | | | 64 | | | | 2,009,600 | | | | 30,772 | | | | 79 | | | | (30,693 | ) |
Atos SE | | | 110.00 EUR | | | 06/15/18 | | | 129 | | | | 1,433,190 | | | | 71,833 | | | | 96,110 | | | | 24,277 | |
Atos SE | | | 120.00 EUR | | | 06/15/18 | | | 129 | | | | 1,433,190 | | | | 59,326 | | | | 40,476 | | | | (18,850 | ) |
Atos SE | | | 115.00 EUR | | | 06/15/18 | | | 129 | | | | 1,433,190 | | | | 47,636 | | | | — | | | | (47,636 | ) |
BASF SE | | | 90.00 EUR | | | 04/20/18 | | | 129 | | | | 1,064,379 | | | | 32,623 | | | | 7,222 | | | | (25,401 | ) |
BASF SE | | | 84.00 EUR | | | 04/20/18 | | | 129 | | | | 1,064,379 | | | | 34,710 | | | | 10,317 | | | | (24,393 | ) |
Bayer AG | | | 105.00 EUR | | | 04/20/18 | | | 258 | | | | 2,377,470 | | | | 57,030 | | | | 2,063 | | | | (54,967 | ) |
Bayer AG | | | 100.00 EUR | | | 04/20/18 | | | 387 | | | | 3,566,205 | | | | 76,381 | | | | 5,000 | | | | (71,381 | ) |
Bayer AG | | | 110.00 EUR | | | 04/20/18 | | | 258 | | | | 2,377,470 | | | | 38,572 | | | | 1,270 | | | | (37,302 | ) |
Bayer AG | | | 100.00 EUR | | | 05/18/18 | | | 258 | | | | 2,377,470 | | | | 49,426 | | | | 14,920 | | | | (34,506 | ) |
Bayer AG | | | 96.00 EUR | | | 04/20/18 | | | 129 | | | | 1,188,735 | | | | 37,176 | | | | 6,032 | | | | (31,144 | ) |
Bayer AG | | | 98.00 EUR | | | 04/20/18 | | | 129 | | | | 1,188,735 | | | | 20,957 | | | | 2,698 | | | | (18,259 | ) |
Bayer AG | | | 105.00 EUR | | | 06/15/18 | | | 258 | | | | 2,377,470 | | | | 43,035 | | | | 5,714 | | | | (37,321 | ) |
Bayer AG | | | 96.00 EUR | | | 06/15/18 | | | 129 | | | | 1,188,735 | | | | 19,626 | | | | 22,381 | | | | 2,755 | |
Bayer AG | | | 100.00 EUR | | | 09/21/18 | | | 129 | | | | 1,188,735 | | | | 21,689 | | | | 23,809 | | | | 2,120 | |
BNP Paribas SA | | | 62.00 EUR | | | 05/18/18 | | | 516 | | | | 3,104,772 | | | | 56,177 | | | | 59,364 | | | | 3,187 | |
BNP Paribas SA | | | 64.00 EUR | | | 05/18/18 | | | 516 | | | | 3,104,772 | | | | 94,986 | | | | 26,666 | | | | (68,320 | ) |
Cie de Saint-Gobain | | | 46.00 EUR | | | 04/20/18 | | | 258 | | | | 1,105,788 | | | | 26,253 | | | | 4,286 | | | | (21,967 | ) |
Cie de Saint-Gobain | | | 48.00 EUR | | | 04/20/18 | | | 258 | | | | 1,105,788 | | | | 24,827 | | | | 8,095 | | | | (16,732 | ) |
Cie de Saint-Gobain | | | 43.00 EUR | | | 05/18/18 | | | 258 | | | | 1,105,788 | | | | 33,857 | | | | 33,866 | | | | 9 | |
Continental AG | | | 230.00 EUR | | | 06/15/18 | | | 64 | | | | 1,433,600 | | | | 34,721 | | | | 29,295 | | | | (5,426 | ) |
Continental AG | | | 230.00 EUR | | | 05/18/18 | | | 64 | | | | 1,433,600 | | | | 29,697 | | | | 19,136 | | | | (10,561 | ) |
Cypress Semiconductor Corp. | | | 19.00 USD | | | 05/18/18 | | | 967 | | | | 1,640,032 | | | | 49,803 | | | | 38,680 | | | | (11,123 | ) |
Danone SA | | | 70.00 EUR | | | 04/20/18 | | | 258 | | | | 1,695,834 | | | | 38,307 | | | | 10,159 | | | | (28,148 | ) |
Danone SA | | | 68.00 EUR | | | 06/15/18 | | | 129 | | | | 847,917 | | | | 33,092 | | | | 15,873 | | | | (17,219 | ) |
Danone SA | | | 68.00 EUR | | | 05/18/18 | | | 129 | | | | 847,917 | | | | 24,018 | | | | 14,047 | | | | (9,971 | ) |
E.On SE | | | 8.20 EUR | | | 04/20/18 | | | 1,934 | | | | 1,744,468 | | | | 84,890 | | | | 199,894 | | | | 115,004 | |
Enel SpA | | | 4.80 EUR | | | 04/19/18 | | | 258 | | | | 1,282,260 | | | | 39,034 | | | | 62,158 | | | | 23,124 | |
Enel SpA | | | 5.00 EUR | | | 04/19/18 | | | 258 | | | | 1,282,260 | | | | 25,705 | | | | 19,460 | | | | (6,245 | ) |
Euro Stoxx 50 | | | 3,650.00 EUR | | | 04/20/18 | | | 320 | | | | 10,756,800 | | | | 159,906 | | | | 788 | | | | (159,118 | ) |
Euro Stoxx 50 | | | 3,550.00 EUR | | | 04/20/18 | | | 224 | | | | 7,529,760 | | | | 145,760 | | | | 2,756 | | | | (143,004 | ) |
Euro Stoxx 50 | | | 3,525.00 EUR | | | 05/18/18 | | | 256 | | | | 8,605,440 | | | | 119,786 | | | | 21,420 | | | | (98,366 | ) |
Euro Stoxx 50 | | | 3,450.00 EUR | | | 04/20/18 | | | 192 | | | | 6,454,080 | | | | 79,669 | | | | 24,806 | | | | (54,863 | ) |
See Notes to Consolidated Financial Statements.
72
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Strike | | | Expiration
Date | | Contracts | | | Notional
Amount | | | Premium
Paid | | | Market
Value | | | Unrealized
Appreciation
(Depreciation) | |
Euro Stoxx 50 | | | 3,350.00 EUR | | | 06/15/18 | | | 352 | | | | 11,832,480 | | | $ | 143,754 | | | $ | 267,667 | | | $ | 123,913 | |
Euro Stoxx 50 | | | 3,400.00 EUR | | | 06/15/18 | | | 352 | | | | 11,832,480 | | | | 232,170 | | | | 164,585 | | | | (67,585 | ) |
Euro Stoxx 50 | | | 3,625.00 EUR | | | 06/15/18 | | | 720 | | | | 24,202,800 | | | | 102,171 | | | | 35,437 | | | | (66,734 | ) |
Euro Stoxx 50 | | | 3,350.00 EUR | | | 05/18/18 | | | 64 | | | | 2,151,360 | | | | 37,606 | | | | 44,887 | | | | 7,281 | |
Euro Stoxx 50 | | | 3,400.00 EUR | | | 05/18/18 | | | 320 | | | | 10,756,800 | | | | 115,498 | | | | 124,029 | | | | 8,531 | |
Euro Stoxx 50 | | | 3,450.00 EUR | | | 05/18/18 | | | 320 | | | | 10,756,800 | | | | 182,493 | | | | 78,749 | | | | (103,744 | ) |
Euro Stoxx Banks Index | | | 140.00 EUR | | | 06/15/18 | | | 464 | | | | 2,916,008 | | | | 93,277 | | | | 8,564 | | | | (84,713 | ) |
Koninklijke DSM NV | | | 85.00 EUR | | | 06/15/18 | | | 516 | | | | 4,161,024 | | | | 114,679 | | | | 63,491 | | | | (51,188 | ) |
Koninklijke DSM NV | | | 90.00 EUR | | | 06/15/18 | | | 258 | | | | 2,080,512 | | | | 23,899 | | | | 11,428 | | | | (12,471 | ) |
Liberty Global PLC | | | 32.50 USD | | | 05/18/18 | | | 322 | | | | 1,008,182 | | | | 53,625 | | | | 40,250 | | | | (13,375 | ) |
Liberty Global PLC | | | 35.00 USD | | | 05/18/18 | | | 322 | | | | 1,008,182 | | | | 27,854 | | | | 15,295 | | | | (12,559 | ) |
Nikkei 225 | | | 25,000.00 JPY | | | 06/08/18 | | | 23 | | | | 486,658,840 | | | | 12,257 | | | | 3,026 | | | | (9,231 | ) |
Nokia Oyj | | | 5.00 EUR | | | 06/15/18 | | | 2,578 | | | | 1,156,233 | | | | 43,310 | | | | 17,447 | | | | (25,863 | ) |
ON Semiconductor Corp. | | | 26.00 USD | | | 04/20/18 | | | 644 | | | | 1,575,224 | | | | 46,048 | | | | 25,760 | | | | (20,288 | ) |
ON Semiconductor Corp. | | | 28.00 USD | | | 04/20/18 | | | 661 | | | | 1,616,806 | | | | 69,077 | | | | 9,915 | | | | (59,162 | ) |
Orange SA | | | 14.00 EUR | | | 05/18/18 | | | 1,289 | | | | 1,776,887 | | | | 39,890 | | | | 42,030 | | | | 2,140 | |
Peugeot SA | | | 20.00 EUR | | | 04/20/18 | | | 644 | | | | 1,259,020 | | | | 39,471 | | | | 18,622 | | | | (20,849 | ) |
Peugeot SA | | | 20.50 EUR | | | 04/20/18 | | | 644 | | | | 1,259,020 | | | | 26,759 | | | | 8,320 | | | | (18,439 | ) |
Publicis Groupe SA | | | 58.00 EUR | | | 04/20/18 | | | 264 | | | | 1,493,712 | | | | 55,856 | | | | 27,936 | | | | (27,920 | ) |
Publicis Groupe SA | | | 62.00 EUR | | | 04/20/18 | | | 258 | | | | 1,459,764 | | | | 60,830 | | | | 4,286 | | | | (56,544 | ) |
Publicis Groupe SA | | | 64.00 EUR | | | 04/20/18 | | | 387 | | | | 2,189,646 | | | | 94,970 | | | | 3,810 | | | | (91,160 | ) |
RWE AG | | | 17.00 EUR | | | 04/20/18 | | | 1,289 | | | | 2,584,445 | | | | 127,813 | | | | 333,070 | | | | 205,257 | |
Safran SA | | | 94.00 EUR | | | 04/20/18 | | | 129 | | | | 1,109,142 | | | | 34,577 | | | | 1,984 | | | | (32,593 | ) |
Safran SA | | | 92.00 EUR | | | 05/18/18 | | | 129 | | | | 1,109,142 | | | | 41,227 | | | | 11,190 | | | | (30,037 | ) |
SAP SE | | | 88.00 EUR | | | 04/20/18 | | | 129 | | | | 1,101,273 | | | | 17,826 | | | | 6,429 | | | | (11,397 | ) |
Societe Generale SA | | | 45.00 EUR | | | 05/18/18 | | | 516 | | | | 2,278,656 | | | | 76,708 | | | | 69,205 | | | | (7,503 | ) |
Societe Generale SA | | | 47.00 EUR | | | 05/18/18 | | | 516 | | | | 2,278,656 | | | | 80,659 | | | | 28,571 | | | | (52,088 | ) |
Unicredit SpA | | | 17.50 EUR | | | 04/19/18 | | | 64 | | | | 1,344,000 | | | | 25,325 | | | | 85,836 | | | | 60,511 | |
Unicredit SpA | | | 18.00 EUR | | | 05/17/18 | | | 64 | | | | 1,344,000 | | | | 22,956 | | | | 9,450 | | | | (13,506 | ) |
Unicredit SpA | | | 18.50 EUR | | | 04/19/18 | | | 64 | | | | 1,344,000 | | | | 49,805 | | | | 1,189 | | | | (48,616 | ) |
Valeo SA | | | 56.00 EUR | | | 06/15/18 | | | 129 | | | | 691,956 | | | | 24,205 | | | | 20,079 | | | | (4,126 | ) |
Valeo SA | | | 58.00 EUR | | | 06/15/18 | | | 129 | | | | 691,956 | | | | 14,888 | | | | 10,873 | | | | (4,015 | ) |
Vodafone Group PLC | | | 2.15 GBP | | | 04/20/18 | | | 1,289 | | | | 250,349,580 | | | | 99,854 | | | | — | | | | (99,854 | ) |
Vodafone Group PLC | | | 2.10 GBP | | | 04/20/18 | | | 1,289 | | | | 250,349,580 | | | | 44,091 | | | | 9,042 | | | | (35,049 | ) |
Vodafone Group PLC | | | 1.95 GBP | | | 06/15/18 | | | 1,031 | | | | 200,240,820 | | | | 93,686 | | | | 99,446 | | | | 5,760 | |
See Notes to Consolidated Financial Statements.
73
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Strike | | | Expiration
Date | | Contracts | | | Notional
Amount | | | Premium
Paid | | | Market
Value | | | Unrealized
Appreciation
(Depreciation) | |
Vodafone Group PLC | | | 2.00 GBP | | | 05/18/18 | | | 1,289 | | | | 250,349,580 | | | $ | 97,379 | | | $ | 76,860 | | | $ | (20,519 | ) |
Vodafone Group PLC | | | 2.10 GBP | | | 05/18/18 | | | 902 | | | | 175,186,440 | | | | 51,007 | | | | 20,565 | | | | (30,442 | ) |
Volkswagen AG | | | 175.00 EUR | | | 05/18/18 | | | 64 | | | | 1,034,240 | | | | 34,728 | | | | 8,111 | | | | (26,617 | ) |
Volkswagen AG | | | 165.00 EUR | | | 04/20/18 | | | 64 | | | | 1,034,240 | | | | 22,885 | | | | 19,293 | | | | (3,592 | ) |
Volkswagen AG | | | 170.00 EUR | | | 05/18/18 | | | 64 | | | | 1,034,240 | | | | 21,704 | | | | 20,317 | | | | (1,387 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | $ | 4,669,230 | | | $ | 2,824,207 | | | $ | (1,845,023 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | |
Exchange-Traded Put Options — 0.0% | | | | | | | | | | | | | | | | | |
Barclays PLC | | | 2.05 GBP | | | 04/20/18 | | | 644 | | | | 132,986,000 | | | $ | 71,554 | | | $ | 42,918 | | | $ | (28,636 | ) |
Barclays PLC | | | 2.00 GBP | | | 05/18/18 | | | 644 | | | | 132,986,000 | | | | 64,117 | | | | 54,212 | | | | (9,905 | ) |
BASF SE | | | 81.00 EUR | | | 04/20/18 | | | 129 | | | | 1,064,379 | | | | 19,845 | | | | 21,190 | | | | 1,345 | |
BASF SE | | | 78.00 EUR | | | 05/18/18 | | | 129 | | | | 1,064,379 | | | | 31,604 | | | | 31,270 | | | | (334 | ) |
Cypress Semiconductor Corp. | | | 16.00 USD | | | 05/18/18 | | | 322 | | | | 546,112 | | | | 26,405 | | | | 19,320 | | | | (7,085 | ) |
DAX Index | | | 11,850.00 EUR | | | 05/18/18 | | | 19 | | | | 1,149,189 | | | | 39,501 | | | | 25,716 | | | | (13,785 | ) |
FTSE 100 Index | | | 6,500.00 GBP | | | 06/15/18 | | | 13 | | | | 917,359 | | | | 15,553 | | | | 10,396 | | | | (5,157 | ) |
FTSE 100 Index | | | 7,000.00 GBP | | | 05/18/18 | | | 65 | | | | 4,586,797 | | | | 104,477 | | | | 118,554 | | | | 14,077 | |
ING Groep NV | | | 13.00 EUR | | | 05/18/18 | | | 1,934 | | | | 2,649,580 | | | | 104,806 | | | | 66,631 | | | | (38,175 | ) |
Lam Research Corp. | | | 180.00 USD | | | 06/15/18 | | | 42 | | | | 853,272 | | | | 44,991 | | | | 26,460 | | | | (18,531 | ) |
Lam Research Corp. | | | 225.00 USD | | | 04/20/18 | | | 64 | | | | 1,300,224 | | | | 71,776 | | | | 141,376 | | | | 69,600 | |
Lam Research Corp. | | | 195.00 USD | | | 05/18/18 | | | 97 | | | | 1,970,652 | | | | 133,084 | | | | 94,090 | | | | (38,994 | ) |
Lam Research Corp. | | | 225.00 USD | | | 05/18/18 | | | 64 | | | | 1,300,224 | | | | 96,096 | | | | 168,000 | | | | 71,904 | |
Monsanto Co. | | | 110.00 USD | | | 07/20/18 | | | 129 | | | | 1,505,301 | | | | 38,894 | | | | 38,894 | | | | — | |
Nasdaq 100 Stock Index | | | 6,800.00 USD | | | 06/15/18 | | | 1 | | | | 658,113 | | | | 26,301 | | | | 38,810 | | | | 12,509 | |
Nasdaq 100 Stock Index | | | 6,250.00 USD | | | 05/18/18 | | | 2 | | | | 1,316,225 | | | | 36,202 | | | | 25,440 | | | | (10,762 | ) |
Omnicom Group, Inc. | | | 72.50 USD | | | 04/20/18 | | | 132 | | | | 959,244 | | | | 37,818 | | | | 25,080 | | | | (12,738 | ) |
RWE AG | | | 15.50 EUR | | | 04/20/18 | | | 773 | | | | 1,549,865 | | | | 66,617 | | | | 1,902 | | | | (64,715 | ) |
S&P 500 Index | | | 2,600.00 USD | | | 07/20/18 | | | 27 | | | | 7,130,349 | | | | 186,789 | | | | 218,700 | | | | 31,911 | |
S&P 500 Index | | | 2,700.00 USD | | | 07/20/18 | | | 4 | | | | 1,056,348 | | | | 35,777 | | | | 46,080 | | | | 10,303 | |
S&P 500 Index | | | 2,500.00 USD | | | 06/15/18 | | | 13 | | | | 3,433,131 | | | | 77,371 | | | | 54,405 | | | | (22,966 | ) |
SAP SE | | | 84.00 EUR | | | 04/20/18 | | | 129 | | | | 1,101,273 | | | | 19,211 | | | | 19,841 | | | | 630 | |
SAP SE | | | 82.00 EUR | | | 05/18/18 | | | 129 | | | | 1,101,273 | | | | 27,966 | | | | 25,555 | | | | (2,411 | ) |
U.S. Bond Future | | | 137.00 USD | | | 04/20/18 | | | 80 | | | | 9,683,200 | | | | 21,406 | | | | 1,250 | | | | (20,156 | ) |
Unicredit SpA | | | 16.50 EUR | | | 04/19/18 | | | 64 | | | | 1,344,000 | | | | 50,370 | | | | 13,765 | | | | (36,605 | ) |
Vinci SA | | | 76.00 EUR | | | 04/20/18 | | | 129 | | | | 1,030,710 | | | | 27,781 | | | | 5,397 | | | | (22,384 | ) |
Vodafone Group PLC | | | 1.90 GBP | | | 05/18/18 | | | 644 | | | | 125,077,680 | | | | 57,415 | | | | 40,659 | | | | (16,756 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | $ | 1,533,727 | | | $ | 1,375,911 | | | $ | (157,816 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
See Notes to Consolidated Financial Statements.
74
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Counterparty | | Strike | | | Expiration
Date | | | Contracts | | | Notional
Amount | | | Premium
Paid | | | Market
Value | | | Unrealized
Appreciation
(Depreciation) | |
| | | | | |
FX OTC Put Options — 0.0% | | | | | | | | | | | | | | | | | | | | | |
USD/CAD Currency | | Morgan Stanley &
Co. International
plc | | | 1.10 USD | | | | 04/26/18 | | | | 200,000 | | | | — | | | $ | 7,000 | | | $ | 105 | | | $ | (6,895 | ) |
USD/EUR Currency | | Deutsche Bank
AG | | | 1.21 USD | | | | 12/20/18 | | | | 7,000,000 | | | | — | | | | 107,207 | | | | 95,585 | | | | (11,622 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | $ | 114,207 | | | $ | 95,690 | | | $ | (18,517 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Purchased Options Outstanding | | | $ | 6,317,164 | | | $ | 4,295,808 | | | $ | (2,021,356 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | |
Security Description | | Shares | | | | | | Value | |
| | | |
SHORT-TERM INVESTMENT—MONEY MARKET FUNDS — 5.8% | | | | | | | | | | | | |
Morgan Stanley Institutional Liquidity Funds Treasury Securities Portfolio (d),(o) | | | 22,164 | | | | | | | $ | 22,164 | |
State Street Institutional U.S. Government Money Market Fund, Premier Class, 1.58% (o) | | | 349,537,541 | | | | | | | | 349,537,541 | |
| | | | | | | | | | | | |
TOTAL SHORT-TERM INVESTMENT—MONEY MARKET FUNDS
(COST $349,559,705) | | | | | | | | | | | 349,559,705 | |
| | | | | | | | | | | | |
TOTAL INVESTMENTS IN SECURITIES — 90.8%
(COST $5,228,124,034) | | | | | | | | | | | 5,449,230,647 | |
| | | | | | | | | | | | |
TOTAL SECURITIES SOLD SHORT — (24.3)%
(PROCEEDS $1,471,289,826) | | | | | | | | | | | (1,460,283,609 | ) |
| | | | | | | | | | | | |
Other Assets (p) — 33.5% | | | | | | | | | | | 2,015,067,110 | |
| | | | | | | | | | | | |
Net Assets — 100.0% | | | | | | | | | | $ | 6,004,014,148 | |
| | | | | | | | | | | | |
| | | |
Security Description | | Shares | | | | | | Value | |
| | | |
SECURITIES SOLD SHORT — (24.3)% | | | | | | | | | | | | |
COMMON STOCK — (22.1)% | | | | | | | | | | | | |
Africa — (0.0)% | | | | | | | | | | | | |
Metals & Mining — (0.0)% | | | | | | | | | | | | |
AngloGold Ashanti Ltd. ADR | | | 10,000 | | | | | | | | (94,900 | ) |
| | | | | | | | | | | | |
Oil, Gas & Coal — (0.0)% | | | | | | | | | | | | |
Kosmos Energy Ltd. | | | 38,300 | | | | | | | | (241,290 | ) |
Sasol Ltd. ADR | | | 7,200 | | | | | | | | (245,016 | ) |
| | | | | | | | | | | | |
| | | | | | | | | | | (486,306 | ) |
| | | | | | | | | | | | |
Total Africa | | | | | | | | | | | (581,206 | ) |
| | | | | | | | | | | | |
Asia — (1.3)% | | | | | | | | | | | | |
Asset Management — (0.0)% | | | | | | | | | | | | |
Noah Holdings Ltd. ADR | | | 300 | | | | | | | | (14,163 | ) |
| | | | | | | | | | | | |
See Notes to Consolidated Financial Statements.
75
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | |
Security Description | | Shares | | | | | Value | |
Automotive — (0.0)% | | | | | | | | | | |
Kandi Technologies Group, Inc. | | | 12,900 | | | | | $ | (62,565 | ) |
SORL Auto Parts, Inc. | | | 1,000 | | | | | | (6,510 | ) |
Tata Motors Ltd. ADR | | | 12,500 | | | | | | (321,250 | ) |
Toyota Motor Corp. ADR | | | 7,300 | | | | | | (951,701 | ) |
| | | | | | | | | | |
| | | | | | | | | (1,342,026 | ) |
| | | | | | | | | | |
Banking — (0.0)% | | | | | | | | | | |
HDFC Bank Ltd. ADR | | | 25,200 | | | | | | (2,489,004 | ) |
KB Financial Group, Inc. ADR | | | 5,400 | | | | | | (312,876 | ) |
Mitsubishi UFJ Financial Group, Inc. ADR | | | 46,800 | | | | | | (310,752 | ) |
Mizuho Financial Group, Inc. ADR | | | 4,400 | | | | | | (16,280 | ) |
Shinhan Financial Group Co. Ltd. ADR | | | 3,500 | | | | | | (148,400 | ) |
Sumitomo Mitsui Financial Group, Inc. ADR | | | 13,500 | | | | | | (114,750 | ) |
| | | | | | | | | | |
| | | | | | | | | (3,392,062 | ) |
| | | | | | | | | | |
Biotechnology & Pharmaceuticals — (0.0)% | | | | | | | | | | |
Dr Reddy's Laboratories Ltd. ADR | | | 800 | | | | | | (26,152 | ) |
Zai Lab Ltd. ADR | | | 100 | | | | | | (2,135 | ) |
| | | | | | | | | | |
| | | | | | | | | (28,287 | ) |
| | | | | | | | | | |
Consumer Products — (0.0)% | | | | | | | | | | |
Future FinTech Group, Inc. | | | 200 | | | | | | (410 | ) |
| | | | | | | | | | |
Consumer Services — (0.0)% | | | | | | | | | | |
Bright Scholar Education Holdings Ltd. ADR | | | 10,500 | | | | | | (162,120 | ) |
RISE Education Cayman Ltd. ADR | | | 2,699 | | | | | | (41,322 | ) |
RYB Education, Inc. ADR | | | 500 | | | | | | (8,330 | ) |
| | | | | | | | | | |
| | | | | | | | | (211,772 | ) |
| | | | | | | | | | |
Gaming, Lodging & Restaurants — (0.0)% | |
500.com Ltd. Class A ADR | | | 6,900 | | | | | | (118,404 | ) |
| | | | | | | | | | |
Institutional Financial Services — (0.0)% | | | | | | | | | | |
China Internet Nationwide Financial Services, Inc. | | | 200 | | | | | | (6,422 | ) |
| | | | | | | | | | |
Insurance — (0.0)% | | | | | | | | | | |
China Life Insurance Co. Ltd. ADR | | | 1,300 | | | | | | (18,187 | ) |
| | | | | | | | | | |
Iron & Steel — (0.0)% | | | | | | | | | | |
POSCO ADR | | | 1,600 | | | | | | (126,160 | ) |
| | | | | | | | | | |
Media — (0.1)% | | | | | | | | | | |
Eros International PLC | | | 1,800 | | | | | | (19,620 | ) |
Fang Holdings Ltd. ADR | | | 102,500 | | | | | | (526,850 | ) |
LINE Corp. ADR | | | 5,400 | | | | | | (210,654 | ) |
MakeMyTrip Ltd. | | | 16,600 | | | | | | (576,020 | ) |
See Notes to Consolidated Financial Statements.
76
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | |
Security Description | | Shares | | | | | Value | |
Renren, Inc. ADR | | | 40 | | | | | $ | (336 | ) |
Sogou, Inc. ADR | | | 4,100 | | | | | | (33,825 | ) |
Xunlei Ltd. ADR | | | 36,300 | | | | | | (366,267 | ) |
Yatra Online, Inc. | | | 300 | | | | | | (1,983 | ) |
| | | | | | | | | | |
| | | | | | (1,735,555 | ) |
| | | | | | | | | | |
Metals & Mining — (0.0)% | | | | | | | | | | |
Vedanta Ltd. ADR | | | 1,700 | | | | | | (29,869 | ) |
| | | | | | | | | | |
Oil, Gas & Coal — (0.0)% | | | | | | | | | | |
CNOOC Ltd. ADR | | | 5,200 | | | | | | (768,924 | ) |
PetroChina Co. Ltd. ADR | | | 1,900 | | | | | | (132,506 | ) |
Recon Technology Ltd. | | | 500 | | | | | | (590 | ) |
| | | | | | | | | | |
| | | | | | (902,020 | ) |
| | | | | | | | | | |
Renewable Energy — (0.0)% | | | | | | | | | | |
JinkoSolar Holding Co. Ltd. ADR | | | 22,500 | | | | | | (410,625 | ) |
Yingli Green Energy Holding ADR | | | 2,240 | | | | | | (3,763 | ) |
| | | | | | | | | | |
| | | | | | (414,388 | ) |
| | | | | | | | | | |
Retail—Discretionary — (1.1)% | | | | | | | | | | |
Alibaba Group Holding Ltd. ADR (d) | | | 322,001 | | | | | | (59,100,064 | ) |
JD.com, Inc. ADR | | | 176,200 | | | | | | (7,134,338 | ) |
LightInTheBox Holding Co. Ltd. ADR | | | 600 | | | | | | (1,338 | ) |
| | | | | | | | | | |
| | | | | | (66,235,740 | ) |
| | | | | | | | | | |
Semiconductors — (0.0)% | | | | | | | | | | |
Himax Technologies, Inc. ADR | | | 131,800 | | | | | | (811,888 | ) |
Semiconductor Manufacturing International Corp. ADR | | | 3,000 | | | | | | (19,800 | ) |
| | | | | | | | | | |
| | | | | | (831,688 | ) |
| | | | | | | | | | |
Software — (0.0)% | | | | | | | | | | |
Gridsum Holding, Inc. ADR | | | 7,600 | | | | | | (62,092 | ) |
LiNiu Technology Group | | | 1,616 | | | | | | (2,343 | ) |
Link Motion, Inc. ADR | | | 10,800 | | | | | | (17,928 | ) |
NetEase, Inc. ADR | | | 4,100 | | | | | | (1,149,599 | ) |
| | | | | | | | | | |
| | | | | | (1,231,962 | ) |
| | | | | | | | | | |
Specialty Finance — (0.0)% | | | | | | | | | | |
China Rapid Finance Ltd. ADR | | | 1,983 | | | | | | (9,875 | ) |
Jianpu Technology, Inc. ADR | | | 700 | | | | | | (3,871 | ) |
ORIX Corp. ADR | | | 100 | | | | | | (8,986 | ) |
PPDAI Group, Inc. ADR | | | 700 | | | | | | (5,215 | ) |
Qudian, Inc. ADR | | | 17,300 | | | | | | (202,410 | ) |
| | | | | | | | | | |
| | | | | | (230,357 | ) |
| | | | | | | | | | |
See Notes to Consolidated Financial Statements.
77
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | | | |
Security Description | | Shares | | | | | | Value | |
Technology Services — (0.1)% | |
Baozun, Inc. ADR | | | 32,900 | | | | | | | $ | (1,509,452 | ) |
China Information Technology, Inc. | | | 300 | | | | | | | | (537 | ) |
Infosys Ltd. ADR | | | 19,200 | | | | | | | | (342,720 | ) |
Sea Ltd. ADR | | | 25,800 | | | | | | | | (290,766 | ) |
Wipro Ltd. ADR | | | 4,200 | | | | | | | | (21,672 | ) |
| | | | | | | | | | | | |
| | | | | | | | (2,165,147 | ) |
| | | | | | | | | | | | |
Telecommunications — (0.0)% | | | | | | | | | | | | |
21Vianet Group, Inc. ADR | | | 100 | | | | | | | | (693 | ) |
China Mobile Ltd. ADR | | | 2,700 | | | | | | | | (123,525 | ) |
China Unicom Hong Kong Ltd. ADR | | | 14,600 | | | | | | | | (187,318 | ) |
Chunghwa Telecom Co. Ltd. ADR | | | 4,500 | | | | | | | | (174,870 | ) |
GDS Holdings Ltd. ADR | | | 1,100 | | | | | | | | (30,195 | ) |
KT Corp. ADR | | | 21,900 | | | | | | | | (300,030 | ) |
PLDT, Inc. ADR | | | 400 | | | | | | | | (11,348 | ) |
PT Telekomunikasi Indonesia Persero Tbk ADR | | | 5,300 | | | | | | | | (140,026 | ) |
SK Telecom Co. Ltd. ADR | | | 3,600 | | | | | | | | (87,012 | ) |
| | | | | | | | | | | | |
| | | | | | | | (1,055,017 | ) |
| | | | | | | | | | | | |
Transportation & Logistics — (0.0)% | | | | | | | | | | | | |
BEST, Inc. ADR | | | 4,600 | | | | | | | | (47,380 | ) |
Seaspan Corp. | | | 17,200 | | | | | | | | (114,896 | ) |
ZTO Express Cayman, Inc. ADR | | | 43,200 | | | | | | | | (647,568 | ) |
| | | | | | | | | | | | |
| | | | | | | | (809,844 | ) |
| | | | | | | | | | | | |
Utilities — (0.0)% | | | | | | | | | | | | |
Huaneng Power International, Inc. ADR | | | 2,180 | | | | | | | | (58,533 | ) |
Korea Electric Power Corp. ADR | | | 27,900 | | | | | | | | (429,381 | ) |
| | | | | | | | | | | | |
| | | | | | | | (487,914 | ) |
| | | | | | | | | | | | |
Total Asia | | | | | | | | | | | (81,387,394 | ) |
| | | | | | | | | | | | |
Europe — (1.1)% | | | | | | | | | | | | |
Asset Management — (0.0)% | | | | | | | | | | | | |
Janus Henderson Group PLC | | | 8,700 | | | | | | | | (287,883 | ) |
UBS Group AG | | | 114,200 | | | | | | | | (2,016,772 | ) |
| | | | | | | | | | | | |
| | | | | | | | (2,304,655 | ) |
| | | | | | | | | | | | |
Banking — (0.1)% | | | | | | | | | | | | |
Banco Bilbao Vizcaya Argentaria SA ADR | | | 11,200 | | | | | | | | (88,480 | ) |
Banco Santander SA ADR | | | 282,732 | | | | | | | | (1,851,895 | ) |
Barclays PLC ADR | | | 102,104 | | | | | | | | (1,206,869 | ) |
Deutsche Bank AG | | | 94,300 | | | | | | | | (1,318,314 | ) |
HSBC Holdings PLC ADR | | | 54,494 | | | | | | | | (2,597,729 | ) |
ING Groep NV ADR | | | 2,200 | | | | | | | | (37,246 | ) |
See Notes to Consolidated Financial Statements.
78
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | |
Security Description | | Shares | | | | | Value | |
Royal Bank of Scotland Group PLC ADR | | | 45,400 | | | | | $ | (335,960 | ) |
| | | | | | | | | | |
| | | | | | (7,436,493 | ) |
| | | | | | | | | | |
Biotechnology & Pharmaceuticals — (0.5)% | | | | | | | | | | |
AC Immune SA | | | 1,795 | | | | | | (18,560 | ) |
Affimed NV | | | 4,400 | | | | | | (8,140 | ) |
Bayer AG (d) | | | 176,173 | | | | | | (19,860,633 | ) |
Cellectis SA ADR | | | 1,500 | | | | | | (47,265 | ) |
CRISPR Therapeutics AG | | | 2,100 | | | | | | (95,991 | ) |
Nabriva Therapeutics plc | | | 2,200 | | | | | | (11,066 | ) |
Novo Nordisk A/S ADR | | | 11,300 | | | | | | (556,525 | ) |
Prothena Corp. PLC | | | 12,800 | | | | | | (469,888 | ) |
Roche Holding AG (d) | | | 43,350 | | | | | | (9,916,445 | ) |
Vifor Pharma AG (d) | | | 9,680 | | | | | | (1,492,678 | ) |
| | | | | | | | | | |
| | | | | | (32,477,191 | ) |
| | | | | | | | | | |
Construction Materials — (0.0)% | | | | | | | | | | |
CRH PLC ADR | | | 2,800 | | | | | | (95,256 | ) |
| | | | | | | | | | |
Consumer Products — (0.0)% | | | | | | | | | | |
Anheuser-Busch InBev NV ADR | | | 2,600 | | | | | | (285,844 | ) |
| | | | | | | | | | |
Gaming, Lodging & Restaurants — (0.0)% | | | | | | | | | | |
Belmond Ltd. Class A | | | 100 | | | | | | (1,115 | ) |
| | | | | | | | | | |
Hardware — (0.0)% | | | | | | | | | | |
Nokia Oyj ADR | | | 61,300 | | | | | | (335,311 | ) |
Telefonaktiebolaget LM Ericsson ADR | | | 1,900 | | | | | | (12,160 | ) |
voxeljet AG ADR | | | 3,100 | | | | | | (10,633 | ) |
| | | | | | | | | | |
| | | | | | (358,104 | ) |
| | | | | | | | | | |
Health Care Facilities & Services — (0.0)% | | | | | | | | | | |
Fresenius Medical Care AG & Co. KGaA ADR | | | 300 | | | | | | (15,324 | ) |
| | | | | | | | | | |
Industrial Services — (0.1)% | | | | | | | | | | |
AerCap Holdings NV | | | 62,400 | | | | | | (3,164,928 | ) |
| | | | | | | | | | |
Institutional Financial Services — (0.0)% | | | | | | | | | | |
Credit Suisse Group AG ADR | | | 118,349 | | | | | | (1,987,080 | ) |
| | | | | | | | | | |
Insurance — (0.0)% | | | | | | | | | | |
Prudential PLC ADR | | | 7,563 | | | | | | (386,696 | ) |
| | | | | | | | | | |
Iron & Steel — (0.1)% | | | | | | | | | | |
ArcelorMittal | | | 79,297 | | | | | | (2,522,438 | ) |
| | | | | | | | | | |
Machinery — (0.0)% | | | | | | | | | | |
CNH Industrial NV | | | 1,000 | | | | | | (12,400 | ) |
| | | | | | | | | | |
See Notes to Consolidated Financial Statements.
79
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | |
Security Description | | Shares | | | | | Value | |
Media — (0.1)% | | | | | | | | | | |
Liberty Global PLC A Shares | | | 94,400 | | | | | $ | (2,955,664 | ) |
Pearson PLC ADR | | | 10,600 | | | | | | (111,618 | ) |
| | | | | | | | | | |
| | | | | | (3,067,282 | ) |
| | | | | | | | | | |
Medical Equipment & Devices — (0.0)% | | | | | | | | | | |
Auris Medical Holding AG | | | 160 | | | | | | (256 | ) |
Koninklijke Philips NV | | | 300 | | | | | | (11,493 | ) |
| | | | | | | | | | |
| | | | | | (11,749 | ) |
| | | | | | | | | | |
Metals & Mining — (0.0)% | | | | | | | | | | |
Ferroglobe PLC (e) | | | 400 | | | | | | 0 | |
| | | | | | | | | | |
Oil, Gas & Coal — (0.1)% | | | | | | | | | | |
BP PLC ADR | | | 35 | | | | | | (1,419 | ) |
Royal Dutch Shell PLC ADR | | | 61,124 | | | | | | (3,900,322 | ) |
Seadrill Ltd. | | | 12,596 | | | | | | (2,456 | ) |
Statoil ASA ADR | | | 33,060 | | | | | | (781,869 | ) |
TechnipFMC PLC | | | 40,600 | | | | | | (1,195,670 | ) |
| | | | | | | | | | |
| | | | | | (5,881,736 | ) |
| | | | | | | | | | |
Semiconductors — (0.0)% | | | | | | | | | | |
ASML Holding NV New York Shares | | | 1,200 | | | | | | (238,272 | ) |
NXP Semiconductors NV | | | 2,968 | | | | | | (347,256 | ) |
| | | | | | | | | | |
| | | | | | (585,528 | ) |
| | | | | | | | | | |
Software — (0.0)% | | | | | | | | | | |
SAP SE ADR | | | 200 | | | | | | (21,032 | ) |
| | | | | | | | | | |
Specialty Finance — (0.0)% | |
Fly Leasing Ltd. ADR | | | 1,100 | | | | | | (14,641 | ) |
| | | | | | | | | | |
Technology Services — (0.0)% | | | | | | | | | | |
RELX NV ADR | | | 900 | | | | | | (18,711 | ) |
| | | | | | | | | | |
Telecommunications — (0.1)% | | | | | | | | | | |
BT Group PLC ADR | | | 15,600 | | | | | | (252,096 | ) |
Telefonica SA ADR | | | 42,001 | | | | | | (414,550 | ) |
VEON Ltd. ADR | | | 115,100 | | | | | | (303,864 | ) |
Vodafone Group PLC ADR | | | 77,500 | | | | | | (2,156,050 | ) |
| | | | | | | | | | |
| | | | | | (3,126,560 | ) |
| | | | | | | | | | |
Transportation & Logistics — (0.0)% | | | | | | | | | | |
Ardmore Shipping Corp. | | | 9,100 | | | | | | (69,160 | ) |
Diana Shipping, Inc. | | | 300 | | | | | | (1,098 | ) |
DryShips, Inc. | | | 76,210 | | | | | | (278,929 | ) |
Frontline Ltd. | | | 34,040 | | | | | | (150,797 | ) |
See Notes to Consolidated Financial Statements.
80
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | | | |
Security Description | | Shares | | | | | | Value | |
GasLog Ltd. | | | 18,300 | | | | | | | $ | (301,035 | ) |
Globus Maritime Ltd. | | | 1,432 | | | | | | | | (1,060 | ) |
Golden Ocean Group Ltd. | | | 480 | | | | | | | | (3,816 | ) |
Navigator Holdings Ltd. | | | 6,000 | | | | | | | | (70,500 | ) |
Navios Maritime Holdings, Inc. | | | 17,500 | | | | | | | | (15,713 | ) |
Nordic American Offshore Ltd. | | | 4,822 | | | | | | | | (5,304 | ) |
Scorpio Tankers, Inc. | | | 248,800 | | | | | | | | (487,648 | ) |
Ship Finance International Ltd. | | | 2,200 | | | | | | | | (31,460 | ) |
Star Bulk Carriers Corp. | | | 980 | | | | | | | | (11,397 | ) |
Tsakos Energy Navigation Ltd. | | | 19,500 | | | | | | | | (64,350 | ) |
| | | | | | | | | | | | |
| | | | | | | | (1,492,267 | ) |
| | | | | | | | | | | | |
Utilities — (0.0)% | | | | | | | | | | | | |
Abengoa Yield PLC | | | 818 | | | | | | | | (16,016 | ) |
National Grid PLC ADR | | | 6,692 | | | | | | | | (377,630 | ) |
| | | | | | | | | | | | |
| | | | | | | | (393,646 | ) |
| | | | | | | | | | | | |
Total Europe | | | | | | | | | | | (65,660,676 | ) |
| | | | | | | | | | | | |
Middle East — (0.1)% | | | | | | | | | | | | |
Biotechnology & Pharmaceuticals — (0.1)% | | | | | | | | | | | | |
Foamix Pharmaceuticals Ltd. | | | 2,000 | | | | | | | | (10,260 | ) |
Oramed Pharmaceuticals, Inc. | | | 1,400 | | | | | | | | (9,114 | ) |
Teva Pharmaceutical Industries Ltd. ADR (d) | | | 429,200 | | | | | | | | (7,335,028 | ) |
UroGen Pharma Ltd. | | | 100 | | | | | | | | (4,969 | ) |
Vascular Biogenics Ltd. | | | 4,800 | | | | | | | | (11,040 | ) |
| | | | | | | | | | | | |
| | | | | | | | (7,370,411 | ) |
| | | | | | | | | | | | |
Chemicals — (0.0)% | | | | | | | | | | | | |
Israel Chemicals Ltd. | | | 200 | | | | | | | | (848 | ) |
| | | | | | | | | | | | |
Hardware — (0.0)% | | | | | | | | | | | | |
Kornit Digital Ltd. | | | 9,800 | | | | | | | | (126,420 | ) |
SuperCom Ltd. | | | 200 | | | | | | | | (546 | ) |
| | | | | | | | | | | | |
| | | | | | | | (126,966 | ) |
| | | | | | | | | | | | |
Medical Equipment & Devices — (0.0)% | | | | | | | | | | | | |
InspireMD, Inc. | | | 66 | | | | | | | | (69 | ) |
ReWalk Robotics Ltd. | | | 8,400 | | | | | | | | (9,240 | ) |
| | | | | | | | | | | | |
| | | | | | | | (9,309 | ) |
| | | | | | | | | | | | |
Software — (0.0)% | | | | | | | | | | | | |
Check Point Software Technologies Ltd. | | | 3,300 | | | | | | | | (327,822 | ) |
My Size, Inc. | | | 100 | | | | | | | | (140 | ) |
| | | | | | | | | | | | |
| | | | | | | | (327,962 | ) |
| | | | | | | | | | | | |
See Notes to Consolidated Financial Statements.
81
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | | | |
Security Description | | Shares | | | | | | Value | |
Telecommunications — (0.0)% | | | | | | | | | | | | |
magicJack VocalTec Ltd. | | | 500 | | | | | | | $ | (4,200 | ) |
Turkcell Iletisim Hizmetleri AS ADR | | | 2,500 | | | | | | | | (23,900 | ) |
| | | | | | | | | | | | |
| | | | | | | | (28,100 | ) |
| | | | | | | | | | | | |
Total Middle East | | | | | | | | | | | (7,863,596 | ) |
| | | | | | | | | | | | |
North America — (19.5)% | | | | | | | | | | | | |
Aerospace & Defense — (0.2)% | | | | | | | | | | | | |
Aerojet Rocketdyne Holdings, Inc. | | | 1,700 | | | | | | | | (47,549 | ) |
Aerovironment, Inc. | | | 2,400 | | | | | | | | (109,224 | ) |
American Outdoor Brands Corp. | | | 12,400 | | | | | | | | (127,968 | ) |
Arconic, Inc. | | | 4,395 | | | | | | | | (101,261 | ) |
Axon Enterprise, Inc. | | | 16,500 | | | | | | | | (648,615 | ) |
Harris Corp. | | | 18 | | | | | | | | (2,903 | ) |
Rockwell Collins, Inc. | | | 35,001 | | | | | | | | (4,719,885 | ) |
Spirit AeroSystems Holdings, Inc. Class A | | | 300 | | | | | | | | (25,110 | ) |
Sturm Ruger & Co., Inc. | | | 9,400 | | | | | | | | (493,500 | ) |
Textron, Inc. | | | 3,200 | | | | | | | | (188,704 | ) |
Triumph Group, Inc. | | | 5,000 | | | | | | | | (126,000 | ) |
United Technologies Corp. | | | 38,200 | | | | | | | | (4,806,324 | ) |
Woodward, Inc. | | | 3,600 | | | | | | | | (257,976 | ) |
| | | | | | | | | | | | |
| | | | | | | | (11,655,019 | ) |
| | | | | | | | | | | | |
Apparel & Textile Products — (0.0)% | | | | | | | | | | | | |
Canada Goose Holdings, Inc. | | | 1,400 | | | | | | | | (46,788 | ) |
Columbia Sportswear Co. | | | 1,000 | | | | | | | | (76,430 | ) |
Deckers Outdoor Corp. | | | 1,300 | | | | | | | | (117,039 | ) |
Hanesbrands, Inc. | | | 62,400 | | | | | | | | (1,149,408 | ) |
Iconix Brand Group, Inc. | | | 22,100 | | | | | | | | (24,531 | ) |
Lakeland Industries, Inc. | | | 1,200 | | | | | | | | (15,540 | ) |
Michael Kors Holdings Ltd. | | | 9,600 | | | | | | | | (595,968 | ) |
Naked Brand Group, Inc. | | | 694 | | | | | | | | (1,020 | ) |
Sequential Brands Group, Inc. | | | 9,800 | | | | | | | | (20,433 | ) |
VF Corp. | | | 200 | | | | | | | | (14,824 | ) |
Wolverine World Wide, Inc. | | | 300 | | | | | | | | (8,670 | ) |
| | | | | | | | | | | | |
| | | | | | | | (2,070,651 | ) |
| | | | | | | | | | | | |
Asset Management — (0.3)% | | | | | | | | | | | | |
Affiliated Managers Group, Inc. | | | 5,400 | | | | | | | | (1,023,732 | ) |
Artisan Partners Asset Management, Inc. Class A | | | 23,400 | | | | | | | | (779,220 | ) |
Brookfield Asset Management, Inc. Class A | | | 66,650 | | | | | | | | (2,599,350 | ) |
Charles Schwab Corp. | | | 69,200 | | | | | | | | (3,613,624 | ) |
Cohen & Steers, Inc. | | | 100 | | | | | | | | (4,066 | ) |
Ditech Holding Corp. (e) | | | 2,244 | | | | | | | | 0 | |
Ditech Holding Corp. (e) | | | 2,828 | | | | | | | | 0 | |
See Notes to Consolidated Financial Statements.
82
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | |
Security Description | | Shares | | | | | Value | |
E*TRADE Financial Corp. | | | 33,300 | | | | | $ | (1,845,153 | ) |
Federated Investors, Inc. Class B | | | 4,400 | | | | | | (146,960 | ) |
Franklin Resources, Inc. | | | 50,400 | | | | | | (1,747,872 | ) |
Kennedy-Wilson Holdings, Inc. | | | 58,900 | | | | | | (1,024,860 | ) |
Legg Mason, Inc. | | | 2,100 | | | | | | (85,365 | ) |
Leucadia National Corp. | | | 35,400 | | | | | | (804,642 | ) |
Main Street Capital Corp. | | | 1,706 | | | | | | (62,951 | ) |
Medley Capital Corp. | | | 9,500 | | | | | | (37,810 | ) |
Oaktree Specialty Lending Corp. | | | 600 | | | | | | (2,526 | ) |
Ominto, Inc. | | | 100 | | | | | | (287 | ) |
TD Ameritrade Holding Corp. | | | 4,800 | | | | | | (284,304 | ) |
Triangle Capital Corp. | | | 16,500 | | | | | | (183,645 | ) |
Waddell & Reed Financial, Inc. Class A | | | 36,000 | | | | | | (727,560 | ) |
WisdomTree Investments, Inc. | | | 81,100 | | | | | | (743,687 | ) |
ZAIS Group Holdings, Inc. | | | 673 | | | | | | (2,726 | ) |
| | | | | | | | | | |
| | | | | | | | | (15,720,340 | ) |
| | | | | | | | | | |
Automotive — (0.5)% | | | | | | | | | | |
Adient PLC | | | 50,900 | | | | | | (3,041,784 | ) |
ADOMANI, Inc. | | | 100 | | | | | | (118 | ) |
American Axle & Manufacturing Holdings, Inc. | | | 6,700 | | | | | | (101,974 | ) |
Cooper Tire & Rubber Co. | | | 500 | | | | | | (14,650 | ) |
Dorman Products, Inc. | | | 700 | | | | | | (46,347 | ) |
General Motors Co. | | | 2,200 | | | | | | (79,948 | ) |
Goodyear Tire & Rubber Co. | | | 400 | | | | | | (10,632 | ) |
Horizon Global Corp. | | | 19,900 | | | | | | (163,976 | ) |
Motorcar Parts of America, Inc. | | | 1,100 | | | | | | (23,573 | ) |
Tesla Motors, Inc. | | | 90,600 | | | | | | (24,111,378 | ) |
Westport Innovations, Inc. | | | 23,000 | | | | | | (50,370 | ) |
| | | | | | | | | | |
| | | | | | | | | (27,644,750 | ) |
| | | | | | | | | | |
Banking — (0.4)% | | | | | | | | | | |
Ameris Bancorp | | | 100 | | | | | | (5,290 | ) |
Banc of California, Inc. | | | 35,500 | | | | | | (685,150 | ) |
Bank of Hawaii Corp. | | | 100 | | | | | | (8,310 | ) |
Bank of Montreal | | | 16,200 | | | | | | (1,224,234 | ) |
Bank of Nova Scotia | | | 32,200 | | | | | | (1,986,740 | ) |
BankUnited, Inc. | | | 900 | | | | | | (35,982 | ) |
Berkshire Hills Bancorp, Inc. | | | 1,100 | | | | | | (41,745 | ) |
BofI Holding, Inc. | | | 200 | | | | | | (8,106 | ) |
Canadian Imperial Bank of Commerce | | | 21,400 | | | | | | (1,889,192 | ) |
Cathay General Bancorp | | | 4,500 | | | | | | (179,910 | ) |
Centerstate Banks, Inc. | | | 5,171 | | | | | | (137,187 | ) |
Chemical Financial Corp. | | | 6,193 | | | | | | (338,633 | ) |
CIT Group, Inc. | | | 28,400 | | | | | | (1,462,600 | ) |
Columbia Banking System, Inc. | | | 3,300 | | | | | | (138,435 | ) |
See Notes to Consolidated Financial Statements.
83
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | |
Security Description | | Shares | | | | | Value | |
Commerce Bancshares, Inc. | | | 1,284 | | | | | $ | (76,925 | ) |
Community Bank System, Inc. | | | 200 | | | | | | (10,712 | ) |
ConnectOne Bancorp, Inc. | | | 23 | | | | | | (663 | ) |
Customers Bancorp, Inc. | | | 900 | | | | | | (26,235 | ) |
Eagle Bancorp, Inc. | | | 100 | | | | | | (5,985 | ) |
First Busey Corp. | | | 434 | | | | | | (12,899 | ) |
First Commonwealth Financial Corp. | | | 2,000 | | | | | | (28,260 | ) |
First Horizon National Corp. | | | 29,600 | | | | | | (557,368 | ) |
First Merchants Corp. | | | 400 | | | | | | (16,680 | ) |
First Midwest Bancorp, Inc. | | | 5,700 | | | | | | (140,163 | ) |
First Republic Bank | | | 900 | | | | | | (83,349 | ) |
Flagstar Bancorp, Inc. | | | 5,900 | | | | | | (208,860 | ) |
FNB Corp. | | | 100,155 | | | | | | (1,347,085 | ) |
Glacier Bancorp, Inc. | | | 2,400 | | | | | | (92,112 | ) |
Great Western Bancorp, Inc. | | | 2,200 | | | | | | (88,594 | ) |
Hancock Holding Co. | | | 3,100 | | | | | | (160,270 | ) |
Home BancShares, Inc. | | | 685 | | | | | | (15,625 | ) |
HomeStreet, Inc. | | | 6,900 | | | | | | (197,685 | ) |
Hope Bancorp, Inc. | | | 3,138 | | | | | | (57,080 | ) |
IBERIABANK Corp. | | | 4,200 | | | | | | (327,600 | ) |
Independent Bank Corp. | | | 300 | | | | | | (21,465 | ) |
Investors Bancorp, Inc. | | | 2,400 | | | | | | (32,736 | ) |
JPMorgan Chase & Co. | | | 600 | | | | | | (65,982 | ) |
Kearny Financial Corp. | | | 300 | | | | | | (3,900 | ) |
KeyCorp | | | 4 | | | | | | (78 | ) |
MB Financial, Inc. | | | 2,036 | | | | | | (82,417 | ) |
Northwest Bancshares, Inc. | | | 800 | | | | | | (13,248 | ) |
Old National Bancorp | | | 4,809 | | | | | | (81,272 | ) |
Pacific Premier Bancorp, Inc. | | | 4,500 | | | | | | (180,900 | ) |
PacWest Bancorp | | | 12,395 | | | | | | (613,924 | ) |
Pinnacle Financial Partners, Inc. | | | 23,100 | | | | | | (1,483,020 | ) |
Popular, Inc. | | | 2,710 | | | | | | (112,790 | ) |
Provident Financial Services, Inc. | | | 100 | | | | | | (2,559 | ) |
Royal Bank of Canada | | | 37,900 | | | | | | (2,929,291 | ) |
Signature Bank | | | 300 | | | | | | (42,585 | ) |
Simmons First National Corp. Class A | | | 3,318 | | | | | | (94,397 | ) |
South State Corp. | | | 244 | | | | | | (20,813 | ) |
Southern National Bancorp of Virginia, Inc. | | | 600 | | | | | | (9,504 | ) |
Sterling Bancorp | | | 81,308 | | | | | | (1,833,495 | ) |
TCF Financial Corp. | | | 100 | | | | | | (2,281 | ) |
Texas Capital Bancshares, Inc. | | | 1,000 | | | | | | (89,900 | ) |
TFS Financial Corp. | �� | | 5,552 | | | | | | (81,559 | ) |
Toronto-Dominion Bank | | | 63,245 | | | | | | (3,595,478 | ) |
Towne Bank | | | 40 | | | | | | (1,144 | ) |
Trustmark Corp. | | | 100 | | | | | | (3,116 | ) |
Union Bankshares Corp. | | | 1,900 | | | | | | (69,749 | ) |
See Notes to Consolidated Financial Statements.
84
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | |
Security Description | | Shares | | | | | Value | |
United Bankshares, Inc. | | | 1,403 | | | | | $ | (49,456 | ) |
United Community Banks, Inc. | | | 100 | | | | | | (3,165 | ) |
Valley National Bancorp | | | 100 | | | | | | (1,246 | ) |
Washington Federal, Inc. | | | 400 | | | | | | (13,840 | ) |
Webster Financial Corp. | | | 1,200 | | | | | | (66,480 | ) |
| | | | | | | | | | |
| | | | | | | | | (23,197,454 | ) |
| | | | | | | | | | |
Biotechnology & Pharmaceuticals — (2.5)% | | | | | | | | | | |
Abeona Therapeutics, Inc. | | | 37,700 | | | | | | (540,995 | ) |
ACADIA Pharmaceuticals, Inc. | | | 94,900 | | | | | | (2,132,403 | ) |
Acceleron Pharma, Inc. | | | 13,100 | | | | | | (512,210 | ) |
AcelRx Pharmaceuticals, Inc. | | | 25,855 | | | | | | (54,296 | ) |
Achaogen, Inc. | | | 29,700 | | | | | | (384,615 | ) |
Achieve Life Sciences, Inc. | | | 90 | | | | | | (114 | ) |
Achillion Pharmaceuticals, Inc. | | | 3,500 | | | | | | (12,985 | ) |
Aclaris Therapeutics, Inc. | | | 13,500 | | | | | | (236,520 | ) |
Actinium Pharmaceuticals, Inc. | | | 21,600 | | | | | | (7,886 | ) |
Adamas Pharmaceuticals, Inc. | | | 21,400 | | | | | | (511,460 | ) |
Adamis Pharmaceuticals Corp. | | | 26,500 | | | | | | (92,750 | ) |
Aduro Biotech, Inc. | | | 9,300 | | | | | | (86,490 | ) |
Advaxis, Inc. | | | 14,700 | | | | | | (24,843 | ) |
Aerie Pharmaceuticals, Inc. | | | 12,900 | | | | | | (699,825 | ) |
Aeterna Zentaris, Inc. | | | 10,924 | | | | | | (15,949 | ) |
Agenus, Inc. | | | 76,900 | | | | | | (362,199 | ) |
Agile Therapeutics, Inc. | | | 3,400 | | | | | | (8,738 | ) |
Aimmune Therapeutics, Inc. | | | 23,300 | | | | | | (741,639 | ) |
Akcea Therapeutics, Inc. | | | 1,900 | | | | | | (48,659 | ) |
Akebia Therapeutics, Inc. | | | 9,600 | | | | | | (91,488 | ) |
Akers Biosciences, Inc. | | | 3,200 | | | | | | (2,650 | ) |
Alder Biopharmaceuticals, Inc. | | | 54,200 | | | | | | (688,340 | ) |
Aldeyra Therapeutics, Inc. | | | 400 | | | | | | (3,000 | ) |
Alexion Pharmaceuticals, Inc. | | | 18,100 | | | | | | (2,017,426 | ) |
Alimera Sciences, Inc. | | | 8,700 | | | | | | (8,961 | ) |
Alkermes PLC | | | 200 | | | | | | (11,592 | ) |
Allergan PLC | | | 73,470 | | | | | | (12,364,266 | ) |
Alpine Immune Sciences, Inc. | | | 250 | | | | | | (2,000 | ) |
Altimmune, Inc. | | | 1,410 | | | | | | (1,636 | ) |
AMAG Pharmaceuticals, Inc. | | | 21,700 | | | | | | (437,255 | ) |
Amicus Therapeutics, Inc. | | | 44,600 | | | | | | (670,784 | ) |
Ampio Pharmaceuticals, Inc. | | | 21,512 | | | | | | (73,141 | ) |
AnaptysBio, Inc. | | | 800 | | | | | | (83,264 | ) |
Anavex Life Sciences Corp. | | | 19,300 | | | | | | (53,268 | ) |
ANI Pharmaceuticals, Inc. | | | 3,400 | | | | | | (197,948 | ) |
Anthera Pharmaceuticals, Inc. | | | 11,787 | | | | | | (3,765 | ) |
Aptevo Therapeutics, Inc. | | | 8,900 | | | | | | (29,103 | ) |
Aquinox Pharmaceuticals, Inc. | | | 2,400 | | | | | | (33,792 | ) |
See Notes to Consolidated Financial Statements.
85
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | |
Security Description | | Shares | | | | | Value | |
Aradigm Corp. | | | 2,434 | | | | | $ | (2,970 | ) |
Aralez Pharmaceuticals, Inc. | | | 34,728 | | | | | | (52,092 | ) |
Aratana Therapeutics, Inc. | | | 13,000 | | | | | | (57,330 | ) |
Arbutus Biopharma Corp. | | | 4,200 | | | | | | (21,000 | ) |
Arcturus Therapeutics Ltd. | | | 657 | | | | | | (3,614 | ) |
Ardelyx, Inc. | | | 10,200 | | | | | | (51,510 | ) |
Arena Pharmaceuticals, Inc. | | | 8,430 | | | | | | (332,985 | ) |
Argos Therapeutics, Inc. | | | 4,830 | | | | | | (4,347 | ) |
ARMO BioSciences, Inc. | | | 100 | | | | | | (3,741 | ) |
Arrowhead Pharmaceuticals, Inc. | | | 24,500 | | | | | | (176,645 | ) |
Atara Biotherapeutics, Inc. | | | 7,400 | | | | | | (288,600 | ) |
Athenex, Inc. | | | 6,590 | | | | | | (112,096 | ) |
aTyr Pharma, Inc. | | | 1,200 | | | | | | (3,180 | ) |
Aurinia Pharmaceuticals, Inc. | | | 44,200 | | | | | | (229,398 | ) |
AVEO Pharmaceuticals, Inc. | | | 54,800 | | | | | | (158,920 | ) |
Avexis, Inc. | | | 15,800 | | | | | | (1,952,564 | ) |
Avid Bioservices, Inc. | | | 3,457 | | | | | | (10,094 | ) |
Axovant Sciences Ltd. | | | 6,000 | | | | | | (7,980 | ) |
Axsome Therapeutics, Inc. | | | 200 | | | | | | (490 | ) |
Bellicum Pharmaceuticals, Inc. | | | 19,600 | | | | | | (128,576 | ) |
Bio-Path Holdings, Inc. | | | 60 | | | | | | (120 | ) |
Biocept, Inc. | | | 27,392 | | | | | | (8,081 | ) |
BioDelivery Sciences International, Inc. | | | 23,200 | | | | | | (52,200 | ) |
Biogen Idec, Inc. (d) | | | 24,490 | | | | | | (6,705,852 | ) |
Biohaven Pharmaceutical Holding Co. Ltd. | | | 4,500 | | | | | | (115,920 | ) |
BioPharmX Corp. | | | 28,487 | | | | | | (6,581 | ) |
Biostar Pharmaceuticals, Inc. | | | 200 | | | | | | (654 | ) |
Caladrius Biosciences, Inc. | | | 1,160 | | | | | | (6,774 | ) |
Calithera Biosciences, Inc. | | | 8,600 | | | | | | (54,180 | ) |
Cambrex Corp. | | | 200 | | | | | | (10,460 | ) |
Capricor Therapeutics, Inc. | | | 3,318 | | | | | | (4,513 | ) |
Cara Therapeutics, Inc. | | | 26,100 | | | | | | (323,118 | ) |
Catabasis Pharmaceuticals, Inc. | | | 5,400 | | | | | | (9,774 | ) |
Catalyst Biosciences, Inc. | | | 1,700 | | | | | | (43,860 | ) |
Catalyst Pharmaceutical Partners, Inc. | | | 200 | | | | | | (478 | ) |
Celldex Therapeutics, Inc. | | | 12,300 | | | | | | (28,659 | ) |
Cellectar Biosciences, Inc. | | | 1,630 | | | | | | (1,850 | ) |
Cellular Biomedicine Group, Inc. | | | 100 | | | | | | (1,755 | ) |
Celsion Corp. | | | 13,100 | | | | | | (29,344 | ) |
Cerecor, Inc. | | | 100 | | | | | | (429 | ) |
Chiasma, Inc. | | | 300 | | | | | | (450 | ) |
ChromaDex Corp. | | | 1,100 | | | | | | (4,620 | ) |
Cidara Therapeutics, Inc. | | | 500 | | | | | | (2,000 | ) |
Clovis Oncology, Inc. | | | 39,300 | | | | | | (2,075,040 | ) |
Coherus Biosciences, Inc. | | | 23,300 | | | | | | (257,465 | ) |
Collegium Pharmaceutical, Inc. | | | 23,700 | | | | | | (605,535 | ) |
See Notes to Consolidated Financial Statements.
86
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | |
Security Description | | Shares | | | | | Value | |
Conatus Pharmaceuticals, Inc. | | | 13,100 | | | | | $ | (76,897 | ) |
Concert Pharmaceuticals, Inc. | | | 100 | | | | | | (2,290 | ) |
Concordia International Corp. | | | 8,800 | | | | | | (4,280 | ) |
ContraVir Pharmaceuticals, Inc. | | | 39,628 | | | | | | (9,114 | ) |
Corbus Pharmaceuticals Holdings, Inc. | | | 30,000 | | | | | | (183,000 | ) |
CorMedix, Inc. | | | 10,200 | | | | | | (1,848 | ) |
Corvus Pharmaceuticals, Inc. | | | 1,900 | | | | | | (21,907 | ) |
Cyclacel Pharmaceuticals, Inc. | | | 400 | | | | | | (540 | ) |
Cymabay Therapeutics, Inc. | | | 5,200 | | | | | | (67,548 | ) |
CytRx Corp. | | | 15,943 | | | | | | (25,349 | ) |
Dare Bioscience, Inc. | | | 1,763 | | | | | | (1,477 | ) |
Deciphera Pharmaceuticals, Inc. | | | 2,900 | | | | | | (58,116 | ) |
DelMar Pharmaceuticals, Inc. | | | 2,099 | | | | | | (1,973 | ) |
Depomed, Inc. | | | 47,800 | | | | | | (315,002 | ) |
Diffusion Pharmaceuticals, Inc. | | | 8,618 | | | | | | (4,705 | ) |
Dova Pharmaceuticals, Inc. | | | 292 | | | | | | (7,919 | ) |
Durect Corp. | | | 200 | | | | | | (428 | ) |
Dynavax Technologies Corp. | | | 49,330 | | | | | | (979,201 | ) |
Eagle Pharmaceuticals, Inc. | | | 11,500 | | | | | | (605,935 | ) |
Editas Medicine, Inc. | | | 37,500 | | | | | | (1,243,125 | ) |
Egalet Corp. | | | 23,100 | | | | | | (14,555 | ) |
Eleven Biotherapeutics, Inc. | | | 9,468 | | | | | | (9,941 | ) |
Endo International PLC | | | 178,600 | | | | | | (1,060,884 | ) |
Endocyte, Inc. | | | 29,400 | | | | | | (267,246 | ) |
Epizyme, Inc. | | | 8,300 | | | | | | (147,325 | ) |
Esperion Therapeutics, Inc. | | | 20,000 | | | | | | (1,446,600 | ) |
Evoke Pharma, Inc. | | | 5,100 | | | | | | (10,608 | ) |
Exelixis, Inc. | | | 8,500 | | | | | | (188,275 | ) |
EyeGate Pharmaceuticals, Inc. | | | 200 | | | | | | (76 | ) |
EyePoint Pharmaceuticals, Inc. | | | 700 | | | | | | (854 | ) |
Fibrocell Science, Inc. | | | 66 | | | | | | (39 | ) |
Flexion Therapeutics, Inc. | | | 30,000 | | | | | | (672,300 | ) |
Fortress Biotech, Inc. | | | 500 | | | | | | (2,275 | ) |
G1 Therapeutics, Inc. | | | 2,600 | | | | | | (96,330 | ) |
Galectin Therapeutics, Inc. | | | 9,679 | | | | | | (45,878 | ) |
Genocea Biosciences, Inc. | | | 17,503 | | | | | | (18,378 | ) |
Geron Corp. | | | 60,900 | | | | | | (258,825 | ) |
Gilead Sciences, Inc. | | | 10,100 | | | | | | (761,439 | ) |
Global Blood Therapeutics, Inc. | | | 40,500 | | | | | | (1,956,150 | ) |
GlycoMimetics, Inc. | | | 23,300 | | | | | | (378,159 | ) |
Heat Biologics, Inc. | | | 2,847 | | | | | | (4,641 | ) |
Heron Therapeutics, Inc. | | | 18,700 | | | | | | (516,120 | ) |
Horizon Pharma PLC | | | 37,400 | | | | | | (531,080 | ) |
HTG Molecular Diagnostics, Inc. | | | 7,296 | | | | | | (26,412 | ) |
Idera Pharmaceuticals, Inc. | | | 49,500 | | | | | | (91,080 | ) |
Immune Pharmaceuticals, Inc. | | | 13,762 | | | | | | (4,817 | ) |
See Notes to Consolidated Financial Statements.
87
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | |
Security Description | | Shares | | | | | Value | |
Immunomedics, Inc. | | | 49,500 | | | | | $ | (723,195 | ) |
Imprimis Pharmaceuticals, Inc. | | | 11,300 | | | | | | (19,888 | ) |
Incyte Corp. | | | 1,900 | | | | | | (158,327 | ) |
Infinity Pharmaceuticals, Inc. | | | 39,200 | | | | | | (82,320 | ) |
Innoviva, Inc. | | | 1,200 | | | | | | (20,004 | ) |
Inovio Pharmaceuticals, Inc. | | | 47,700 | | | | | | (224,667 | ) |
Insmed, Inc. | | | 8,500 | | | | | | (191,420 | ) |
Insys Therapeutics, Inc. | | | 12,100 | | | | | | (73,084 | ) |
Intellia Therapeutics, Inc. | | | 12,000 | | | | | | (253,080 | ) |
Intellipharmaceutics International, Inc. | | | 5,504 | | | | | | (3,128 | ) |
Intercept Pharmaceuticals, Inc. | | | 8,800 | | | | | | (541,376 | ) |
Intersect ENT, Inc. | | | 2,500 | | | | | | (98,250 | ) |
Intra-Cellular Therapies, Inc. | | | 19,800 | | | | | | (416,790 | ) |
Intrexon Corp. | | | 42,800 | | | | | | (656,124 | ) |
Iovance Biotherapeutics, Inc. | | | 2,100 | | | | | | (35,490 | ) |
Ironwood Pharmaceuticals, Inc. | | | 33,800 | | | | | | (521,534 | ) |
ITUS Corp. | | | 4,362 | | | | | | (16,750 | ) |
Johnson & Johnson | | | 14,700 | | | | | | (1,883,805 | ) |
Jounce Therapeutics, Inc. | | | 6,000 | | | | | | (134,100 | ) |
Kala Pharmaceuticals, Inc. | | | 3,200 | | | | | | (50,656 | ) |
KalVista Pharmaceuticals, Inc. | | | 92 | | | | | | (872 | ) |
Karyopharm Therapeutics, Inc. | | | 7,000 | | | | | | (93,940 | ) |
Keryx Biopharmaceuticals, Inc. | | | 84,500 | | | | | | (345,605 | ) |
La Jolla Pharmaceutical Co. | | | 20,377 | | | | | | (606,827 | ) |
Lannett Co., Inc. | | | 30,200 | | | | | | (484,710 | ) |
Lipocine, Inc. | | | 6,997 | | | | | | (10,705 | ) |
Loxo Oncology, Inc. | | | 13,900 | | | | | | (1,603,643 | ) |
MacroGenics, Inc. | | | 2,700 | | | | | | (67,932 | ) |
Madrigal Pharmaceuticals, Inc. | | | 1,068 | | | | | | (124,732 | ) |
MannKind Corp. | | | 96,329 | | | | | | (219,630 | ) |
Marinus Pharmaceuticals, Inc. | | | 32,400 | | | | | | (123,768 | ) |
Matinas BioPharma Holdings, Inc. | | | 1,800 | | | | | | (1,377 | ) |
Medicines Co. | | | 39,500 | | | | | | (1,301,130 | ) |
MediciNova, Inc. | | | 600 | | | | | | (6,132 | ) |
MEI Pharma, Inc. | | | 3,600 | | | | | | (7,452 | ) |
Melinta Therapeutics, Inc. | | | 2,920 | | | | | | (21,608 | ) |
Merrimack Pharmaceuticals, Inc. | | | 7,560 | | | | | | (60,858 | ) |
Minerva Neurosciences, Inc. | | | 10,000 | | | | | | (62,500 | ) |
Mirati Therapeutics, Inc. | | | 12,100 | | | | | | (371,470 | ) |
Molecular Templates, Inc. | | | 672 | | | | | | (5,376 | ) |
Moleculin Biotech, Inc. | | | 6,259 | | | | | | (11,266 | ) |
Momenta Pharmaceuticals, Inc. | | | 10,700 | | | | | | (194,205 | ) |
Mylan NV | | | 96,900 | | | | | | (3,989,373 | ) |
MyoKardia, Inc. | | | 6,000 | | | | | | (292,800 | ) |
MYOS RENS Technology, Inc. | | | 72 | | | | | | (91 | ) |
Myovant Sciences Ltd. | | | 400 | | | | | | (8,508 | ) |
See Notes to Consolidated Financial Statements.
88
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | |
Security Description | | Shares | | | | | Value | |
NantKwest, Inc. | | | 12,000 | | | | | $ | (46,680 | ) |
Natural Health Trends Corp. | | | 1,900 | | | | | | (36,119 | ) |
Nektar Therapeutics (d) | | | 158,310 | | | | | | (16,822,021 | ) |
Neos Therapeutics, Inc. | | | 9,300 | | | | | | (77,190 | ) |
Neuralstem, Inc. | | | 8,353 | | | | | | (13,782 | ) |
Neurocrine Biosciences, Inc. | | | 20,100 | | | | | | (1,666,893 | ) |
NewLink Genetics Corp. | | | 28,000 | | | | | | (203,000 | ) |
Novavax, Inc. | | | 56,200 | | | | | | (118,020 | ) |
Novelion Therapeutics, Inc. | | | 1,310 | | | | | | (4,585 | ) |
Novus Therapeutics, Inc. | | | 422 | | | | | | (2,034 | ) |
Ocular Therapeutix, Inc. | | | 19,000 | | | | | | (123,690 | ) |
Ohr Pharmaceutical, Inc. | | | 9,900 | | | | | | (2,177 | ) |
Omeros Corp. | | | 28,400 | | | | | | (317,228 | ) |
OncoSec Medical, Inc. | | | 900 | | | | | | (1,692 | ) |
OpGen, Inc. | | | 2,679 | | | | | | (4,501 | ) |
Ophthotech Corp. | | | 18,900 | | | | | | (51,786 | ) |
Orexigen Therapeutics, Inc. | | | 3,670 | | | | | | (738 | ) |
Organovo Holdings, Inc. | | | 58,700 | | | | | | (60,461 | ) |
Ovid therapeutics, Inc. | | | 300 | | | | | | (2,121 | ) |
Pacira Pharmaceuticals, Inc. | | | 7,200 | | | | | | (224,280 | ) |
Pain Therapeutics, Inc. | | | 3,975 | | | | | | (28,183 | ) |
Palatin Technologies, Inc. | | | 22,600 | | | | | | (24,634 | ) |
Paratek Pharmaceuticals, Inc. | | | 13,100 | | | | | | (170,300 | ) |
Pernix Therapeutics Holdings, Inc. | | | 6,200 | | | | | | (14,818 | ) |
Perrigo Co. PLC (d) | | | 124,790 | | | | | | (10,399,999 | ) |
Pfizer, Inc. (d) | | | 531,930 | | | | | | (18,878,196 | ) |
Pieris Pharmaceuticals, Inc. | | | 1,100 | | | | | | (7,502 | ) |
PolarityTE, Inc. | | | 3,899 | | | | | | (70,689 | ) |
Portola Pharmaceuticals, Inc. | | | 14,400 | | | | | | (470,304 | ) |
Precision Therapeutics, Inc. | | | 2,718 | | | | | | (2,990 | ) |
Prestige Brands Holdings, Inc. | | | 9,000 | | | | | | (303,480 | ) |
Progenics Pharmaceuticals, Inc. | | | 43,800 | | | | | | (326,748 | ) |
Protalix BioTherapeutics, Inc. | | | 8,900 | | | | | | (4,805 | ) |
Proteostasis Therapeutics, Inc. | | | 200 | | | | | | (950 | ) |
PTC Therapeutics, Inc. | | | 4,900 | | | | | | (132,594 | ) |
Pulmatrix, Inc. | | | 15,761 | | | | | | (8,022 | ) |
Puma Biotechnology, Inc. | | | 30,100 | | | | | | (2,048,305 | ) |
Radius Health, Inc. | | | 36,000 | | | | | | (1,293,840 | ) |
Reata Pharmaceuticals, Inc. Class A | | | 2,924 | | | | | | (59,971 | ) |
Regulus Therapeutics, Inc. | | | 6,800 | | | | | | (4,879 | ) |
Revance Therapeutics, Inc. | | | 4,700 | | | | | | (144,760 | ) |
Rhythm Pharmaceuticals, Inc. | | | 200 | | | | | | (3,980 | ) |
Rocket Pharmaceuticals, Inc. | | | 5,125 | | | | | | (96,094 | ) |
RXi Pharmaceuticals Corp. | | | 1,020 | | | | | | (3,284 | ) |
Sage Therapeutics, Inc. | | | 20,400 | | | | | | (3,285,828 | ) |
Sangamo BioSciences, Inc. | | | 900 | | | | | | (17,100 | ) |
See Notes to Consolidated Financial Statements.
89
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | |
Security Description | | Shares | | | | | Value | |
Sarepta Therapeutics, Inc. | | | 30,900 | | | | | $ | (2,289,381 | ) |
Savara, Inc. | | | 1,749 | | | | | | (16,091 | ) |
SCYNEXIS, Inc. | | | 4,200 | | | | | | (5,628 | ) |
SELLAS Life Sciences Group, Inc. | | | 856 | | | | | | (2,953 | ) |
Senseonics Holdings, Inc. | | | 8,200 | | | | | | (24,600 | ) |
Seres Therapeutics, Inc. | | | 2,400 | | | | | | (17,616 | ) |
Shire PLC ADR | | | 33,025 | | | | | | (4,933,605 | ) |
Sophiris Bio, Inc. | | | 9,100 | | | | | | (18,291 | ) |
Sorrento Therapeutics, Inc. | | | 3,900 | | | | | | (20,085 | ) |
Spark Therapeutics, Inc. | | | 22,700 | | | | | | (1,511,593 | ) |
Spectrum Pharmaceuticals, Inc. | | | 2,400 | | | | | | (38,616 | ) |
Sunesis Pharmaceuticals, Inc. | | | 233 | | | | | | (634 | ) |
Supernus Pharmaceuticals, Inc. | | | 2,400 | | | | | | (109,920 | ) |
Syndax Pharmaceuticals, Inc. | | | 4,100 | | | | | | (58,343 | ) |
Synergy Pharmaceuticals, Inc. | | | 197,300 | | | | | | (361,059 | ) |
Synthetic Biologics, Inc. | | | 44,700 | | | | | | (14,233 | ) |
Teligent, Inc. | | | 13,600 | | | | | | (45,696 | ) |
Tenax Therapeutics, Inc. | | | 445 | | | | | | (2,443 | ) |
TESARO, Inc. | | | 43,600 | | | | | | (2,491,304 | ) |
Tetraphase Pharmaceuticals, Inc. | | | 9,200 | | | | | | (28,244 | ) |
TG Therapeutics, Inc. | | | 43,100 | | | | | | (612,020 | ) |
TherapeuticsMD, Inc. | | | 139,100 | | | | | | (677,417 | ) |
Theravance Biopharma, Inc. | | | 7,000 | | | | | | (169,750 | ) |
Titan Pharmaceuticals, Inc. | | | 1,600 | | | | | | (1,680 | ) |
Tonix Pharmaceuticals Holding Corp. | | | 3,160 | | | | | | (9,290 | ) |
Trevena, Inc. | | | 22,000 | | | | | | (36,080 | ) |
Trillium Therapeutics, Inc. | | | 1,600 | | | | | | (11,520 | ) |
Trovagene, Inc. | | | 16,292 | | | | | | (5,689 | ) |
Ultragenyx Pharmaceutical, Inc. | | | 21,800 | | | | | | (1,111,582 | ) |
Valeant Pharmaceuticals International, Inc. | | | 64,600 | | | | | | (1,028,432 | ) |
Viking Therapeutics, Inc. | | | 5,500 | | | | | | (24,035 | ) |
VistaGen Therapeutics, Inc. | | | 100 | | | | | | (93 | ) |
Vital Therapies, Inc. | | | 2,600 | | | | | | (17,680 | ) |
VIVUS, Inc. | | | 31,100 | | | | | | (11,069 | ) |
XBiotech, Inc. | | | 4,000 | | | | | | (21,400 | ) |
Xenon Pharmaceuticals, Inc. | | | 100 | | | | | | (490 | ) |
XOMA Corp. | | | 10 | | | | | | (202 | ) |
Zafgen, Inc. | | | 4,300 | | | | | | (32,035 | ) |
ZIOPHARM Oncology, Inc. | | | 74,246 | | | | | | (291,044 | ) |
Zoetis, Inc. (d) | | | 99,720 | | | | | | (8,327,617 | ) |
Zogenix, Inc. | | | 27,225 | | | | | | (1,090,361 | ) |
Zosano Pharma Corp. | | | 1,060 | | | | | | (5,342 | ) |
Zynerba Pharmaceuticals, Inc. | | | 10,800 | | | | | | (93,852 | ) |
| | | | | | | | | | |
| | | | | | | | | (148,587,806 | ) |
| | | | | | | | | | |
See Notes to Consolidated Financial Statements.
90
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | |
Security Description | | Shares | | | | | Value | |
Chemicals — (0.3)% | | | | | | | | | | |
Albemarle Corp. | | | 29,775 | | | | | $ | (2,761,333 | ) |
Ashland Global Holdings, Inc. | | | 300 | | | | | | (20,937 | ) |
Balchem Corp. | | | 3,000 | | | | | | (245,250 | ) |
CF Industries Holdings, Inc. | | | 1,200 | | | | | | (45,276 | ) |
DowDuPont, Inc. | | | 155,243 | | | | | | (9,890,532 | ) |
Ferro Corp. | | | 300 | | | | | | (6,966 | ) |
FMC Corp. | | | 33,600 | | | | | | (2,572,752 | ) |
Innospec, Inc. | | | 100 | | | | | | (6,860 | ) |
Intrepid Potash, Inc. | | | 35,500 | | | | | | (129,220 | ) |
LSB Industries, Inc. | | | 11,500 | | | | | | (70,495 | ) |
Mosaic Co. | | | 2,400 | | | | | | (58,272 | ) |
Nutrien Ltd. | | | 4,200 | | | | | | (198,492 | ) |
Olin Corp. | | | 49,300 | | | | | | (1,498,227 | ) |
Platform Specialty Products Corp. | | | 59,700 | | | | | | (574,911 | ) |
Sensient Technologies Corp. | | | 2,500 | | | | | | (176,450 | ) |
Valvoline, Inc. | | | 4,724 | | | | | | (104,542 | ) |
| | | | | | | | | | |
| | | | | | | | | (18,360,515 | ) |
| | | | | | | | | | |
Commercial Services — (0.0)% | | | | | | | | | | |
ABM Industries, Inc. | | | 7,800 | | | | | | (261,144 | ) |
ASGN, Inc. | | | 2,700 | | | | | | (221,076 | ) |
Brink's Co. | | | 3,100 | | | | | | (221,185 | ) |
Cintas Corp. | | | 300 | | | | | | (51,174 | ) |
Ennis, Inc. | | | 200 | | | | | | (3,940 | ) |
H&R Block, Inc. | | | 10,300 | | | | | | (261,723 | ) |
Rollins, Inc. | | | 1,850 | | | | | | (94,405 | ) |
RR Donnelley & Sons Co. | | | 33,734 | | | | | | (294,498 | ) |
| | | | | | | | | | |
| | | | | | | | | (1,409,145 | ) |
| | | | | | | | | | |
Construction Materials — (0.1)% | | | | | | | | | | |
Boise Cascade Co. | | | 3,300 | | | | | | (127,380 | ) |
Eagle Materials, Inc. | | | 6,400 | | | | | | (659,520 | ) |
Forterra, Inc. | | | 6,700 | | | | | | (55,744 | ) |
Louisiana-Pacific Corp. | | | 5,600 | | | | | | (161,112 | ) |
Martin Marietta Materials, Inc. | | | 430 | | | | | | (89,139 | ) |
Norbord, Inc. | | | 400 | | | | | | (14,532 | ) |
Patrick Industries, Inc. | | | 75 | | | | | | (4,639 | ) |
Summit Materials, Inc. Class A | | | 34,819 | | | | | | (1,054,319 | ) |
Trex Co., Inc. | | | 6,800 | | | | | | (739,636 | ) |
US Concrete, Inc. | | | 13,300 | | | | | | (803,320 | ) |
Vulcan Materials Co. | | | 2,100 | | | | | | (239,757 | ) |
| | | | | | | | | | |
| | | | | | | | | (3,949,098 | ) |
| | | | | | | | | | |
See Notes to Consolidated Financial Statements.
91
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | |
Security Description | | Shares | | | | | Value | |
Consumer Products — (0.8)% | | | | | | | | | | |
22nd Century Group, Inc. | | | 7,500 | | | | | $ | (17,625 | ) |
B&G Foods, Inc. | | | 53,200 | | | | | | (1,260,840 | ) |
Blue Buffalo Pet Products, Inc. | | | 41,000 | | | | | | (1,632,210 | ) |
Brown-Forman Corp. Class B | | | 13,325 | | | | | | (724,880 | ) |
Constellation Brands, Inc. Class A | | | 16,100 | | | | | | (3,669,512 | ) |
Coty, Inc. Class A | | | 252,680 | | | | | | (4,624,044 | ) |
Darling Ingredients, Inc. | | | 24,600 | | | | | | (425,580 | ) |
Dean Foods Co. | | | 3,000 | | | | | | (25,860 | ) |
Edgewell Personal Care Co. | | | 400 | | | | | | (19,528 | ) |
elf Beauty, Inc. | | | 19,800 | | | | | | (383,526 | ) |
Energizer Holdings, Inc. | | | 35,400 | | | | | | (2,109,132 | ) |
Estee Lauder Cos., Inc. (The) Class A | | | 59,100 | | | | | | (8,848,452 | ) |
Hain Celestial Group, Inc. | | | 61,600 | | | | | | (1,975,512 | ) |
Hormel Foods Corp. | | | 100 | | | | | | (3,432 | ) |
Hostess Brands, Inc. | | | 28,000 | | | | | | (414,120 | ) |
HRG Group, Inc. | | | 4,100 | | | | | | (67,609 | ) |
JM Smucker Co. | | | 300 | | | | | | (37,203 | ) |
John B Sanfilippo & Son, Inc. | | | 100 | | | | | | (5,787 | ) |
Kellogg Co. | | | 12,200 | | | | | | (793,122 | ) |
Kraft Heinz Co. | | | 225,600 | | | | | | (14,052,624 | ) |
McCormick & Co., Inc. | | | 17,000 | | | | | | (1,808,630 | ) |
MGP Ingredients, Inc. | | | 300 | | | | | | (26,877 | ) |
Molson Coors Brewing Co. Class B | | | 8,800 | | | | | | (662,904 | ) |
National Beverage Corp. | | | 3,200 | | | | | | (284,864 | ) |
New Age Beverages Corp. | | | 1,600 | | | | | | (3,872 | ) |
Orchids Paper Products Co. | | | 3,172 | | | | | | (25,852 | ) |
Pilgrim's Pride Corp. | | | 9,200 | | | | | | (226,412 | ) |
Post Holdings, Inc. | | | 49,600 | | | | | | (3,757,696 | ) |
Revlon, Inc. Class A | | | 3,856 | | | | | | (79,433 | ) |
Spectrum Brands Holdings, Inc. | | | 200 | | | | | | (20,740 | ) |
SunOpta, Inc. | | | 100 | | | | | | (710 | ) |
Tejon Ranch Co. | | | 100 | | | | | | (2,311 | ) |
Tootsie Roll Industries, Inc. | | | 695 | | | | | | (20,468 | ) |
TreeHouse Foods, Inc. | | | 20,400 | | | | | | (780,708 | ) |
Tyson Foods, Inc. Class A | | | 1,600 | | | | | | (117,104 | ) |
Universal Corp. | | | 2,000 | | | | | | (97,000 | ) |
| | | | | | | | | | |
| | | | | | (49,006,179 | ) |
| | | | | | | | | | |
Consumer Services — (0.0)% | | | | | | | | | | |
Aaron's, Inc. | | | 16,300 | | | | | | (759,580 | ) |
Bright Horizons Family Solutions, Inc. | | | 4,700 | | | | | | (468,684 | ) |
Career Education Corp. | | | 5,900 | | | | | | (77,526 | ) |
Laureate Education, Inc. Class A | | | 8,099 | | | | | | (111,361 | ) |
Nutrisystem, Inc. | | | 6,200 | | | | | | (167,090 | ) |
Rent-A-Center, Inc. | | | 42,700 | | | | | | (368,501 | ) |
| | | | | | | | | | |
| | | | | | (1,952,742 | ) |
| | | | | | | | | | |
See Notes to Consolidated Financial Statements.
92
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | |
Security Description | | Shares | | | | | Value | |
Containers & Packaging — (0.1)% | | | | | | | | | | |
International Paper Co. | | | 68,800 | | | | | $ | (3,675,984 | ) |
KapStone Paper and Packaging Corp. | | | 8,000 | | | | | | (274,480 | ) |
Owens-Illinois, Inc. | | | 30,700 | | | | | | (664,962 | ) |
Sealed Air Corp. | | | 24,500 | | | | | | (1,048,355 | ) |
| | | | | | | | | | |
| | | | | | (5,663,781 | ) |
| | | | | | | | | | |
Design, Manufacturing & Distribution — (0.0)% | | | | | | | | | | |
Arrow Electronics, Inc. | | | 500 | | | | | | (38,510 | ) |
Tech Data Corp. | | | 1,300 | | | | | | (110,669 | ) |
| | | | | | | | | | |
| | | | | | (149,179 | ) |
| | | | | | | | | | |
Distributors—Consumer Staples — (0.0)% | | | | | | | | | | |
Bunge Ltd. | | | 16,100 | | | | | | (1,190,434 | ) |
Calavo Growers, Inc. | | | 300 | | | | | | (27,660 | ) |
Castle Brands, Inc. | | | 13,300 | | | | | | (16,492 | ) |
United Natural Foods, Inc. | | | 500 | | | | | | (21,470 | ) |
| | | | | | | | | | |
| | | | | | (1,256,056 | ) |
| | | | | | | | | | |
Distributors—Discretionary — (0.0)% | | | | | | | | | | |
Fastenal Co. | | | 3,700 | | | | | | (201,983 | ) |
| | | | | | | | | | |
Electrical Equipment — (0.3)% | | | | | | | | | | |
Allied Motion Technologies, Inc. | | | 100 | | | | | | (3,975 | ) |
Babcock & Wilcox Enterprises (e) | | | 4,300 | | | | | | 0 | |
Babcock & Wilcox Enterprises, Inc. | | | 3,900 | | | | | | (17,043 | ) |
Badger Meter, Inc. | | | 400 | | | | | | (18,860 | ) |
Belden, Inc. | | | 800 | | | | | | (55,152 | ) |
BWX Technologies, Inc. | | | 300 | | | | | | (19,059 | ) |
Capstone Turbine Corp. | | | 4,285 | | | | | | (4,907 | ) |
Cognex Corp. | | | 73,100 | | | | | | (3,800,469 | ) |
CyberOptics Corp. | | | 800 | | | | | | (14,400 | ) |
Energous Corp. | | | 20,100 | | | | | | (322,203 | ) |
Energy Focus, Inc. | | | 840 | | | | | | (2,125 | ) |
General Cable Corp. | | | 38,000 | | | | | | (1,124,800 | ) |
Itron, Inc. | | | 1,000 | | | | | | (71,550 | ) |
Johnson Controls International PLC | | | 242,600 | | | | | | (8,549,224 | ) |
National Instruments Corp. | | | 20,000 | | | | | | (1,011,400 | ) |
Resonant, Inc. | | | 100 | | | | | | (319 | ) |
ShotSpotter, Inc. | | | 500 | | | | | | (13,250 | ) |
TE Connectivity Ltd. | | | 5,600 | | | | | | (559,440 | ) |
Trimble Navigation Ltd. | | | 7,500 | | | | | | (269,100 | ) |
| | | | | | | | | | |
| | | | | | (15,857,276 | ) |
| | | | | | | | | | |
See Notes to Consolidated Financial Statements.
93
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | |
Security Description | | Shares | | | | | Value | |
Engineering & Construction Services — (0.0)% | | | | | | | | | | |
AECOM | | | 5,496 | | | | | $ | (195,823 | ) |
Chicago Bridge & Iron Co. NV | | | 56,100 | | | | | | (807,840 | ) |
Goldfield Corp. | | | 4,000 | | | | | | (15,400 | ) |
KBR, Inc. | | | 9,100 | | | | | | (147,329 | ) |
Kratos Defense & Security Solutions, Inc. | | | 82,800 | | | | | | (852,012 | ) |
MasTec, Inc. | | | 1,200 | | | | | | (56,460 | ) |
Stantec, Inc. | | | 200 | | | | | | (4,930 | ) |
Team, Inc. | | | 8,700 | | | | | | (119,625 | ) |
TopBuild Corp. | | | 45 | | | | | | (3,443 | ) |
Tutor Perini Corp. | | | 800 | | | | | | (17,640 | ) |
| | | | | | | | | | |
| | | | | | | | | (2,220,502 | ) |
| | | | | | | | | | |
Forest & Paper Products — (0.0)% | | | | | | | | | | |
Domtar Corp. | | | 1,700 | | | | | | (72,318 | ) |
| | | | | | | | | | |
Gaming, Lodging & Restaurants — (0.8)% | | | | | | | | | | |
Brinker International, Inc. | | | 3,900 | | | | | | (140,790 | ) |
Caesars Entertainment Corp. | | | 3,775 | | | | | | (42,469 | ) |
Carnival Corp. | | | 14,000 | | | | | | (918,120 | ) |
Carnival PLC ADR | | | 3,700 | | | | | | (242,350 | ) |
Churchill Downs, Inc. | | | 3,100 | | | | | | (756,555 | ) |
Chuy's Holdings, Inc. | | | 7,800 | | | | | | (204,360 | ) |
Dave & Buster's Entertainment, Inc. | | | 32,500 | | | | | | (1,356,550 | ) |
Denny's Corp. | | | 3,000 | | | | | | (46,290 | ) |
Dunkin' Brands Group, Inc. | | | 12,400 | | | | | | (740,156 | ) |
Fiesta Restaurant Group, Inc. | | | 6,400 | | | | | | (118,400 | ) |
ILG, Inc. | | | 46,396 | | | | | | (1,443,379 | ) |
International Game Technology PLC | | | 5,800 | | | | | | (155,034 | ) |
Jack in the Box, Inc. | | | 23,500 | | | | | | (2,005,255 | ) |
Jamba, Inc. | | | 1,800 | | | | | | (15,426 | ) |
La Quinta Holdings, Inc. | | | 1,300 | | | | | | (24,583 | ) |
Las Vegas Sands Corp. | | | 183,500 | | | | | | (13,193,650 | ) |
MGM Resorts International | | | 30,100 | | | | | | (1,054,102 | ) |
Noodles & Co. | | | 100 | | | | | | (755 | ) |
Papa John's International, Inc. | | | 5,400 | | | | | | (309,420 | ) |
Papa Murphy's Holdings, Inc. | | | 2,100 | | | | | | (10,206 | ) |
Rave Restaurant Group, Inc. | | | 500 | | | | | | (615 | ) |
Red Rock Resorts, Inc. Class A | | | 29,600 | | | | | | (866,688 | ) |
Starbucks Corp. | | | 414,700 | | | | | | (24,006,983 | ) |
Wendy's Co. | | | 62,300 | | | | | | (1,093,365 | ) |
Wynn Resorts Ltd. | | | 7,600 | | | | | | (1,385,936 | ) |
Zoe's Kitchen, Inc. | | | 600 | | | | | | (8,664 | ) |
| | | | | | | | | | |
| | | | | | | | | (50,140,101 | ) |
| | | | | | | | | | |
See Notes to Consolidated Financial Statements.
94
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | |
Security Description | | Shares | | | | | Value | |
Hardware — (0.7)% | | | | | | | | | | |
3D Systems Corp. | | | 91,000 | | | | | $ | (1,054,690 | ) |
Acacia Communications, Inc. | | | 19,900 | | | | | | (765,354 | ) |
Aerohive Networks, Inc. | | | 600 | | | | | | (2,424 | ) |
Airgain, Inc. | | | 600 | | | | | | (4,644 | ) |
Akoustis Technologies, Inc. | | | 800 | | | | | | (4,664 | ) |
Apple, Inc. | | | 137,300 | | | | | | (23,036,194 | ) |
ARRIS International PLC | | | 3,100 | | | | | | (82,367 | ) |
AVX Corp. | | | 300 | | | | | | (4,965 | ) |
Blackberry Ltd. | | | 200,700 | | | | | | (2,308,050 | ) |
Ciena Corp. | | | 8,800 | | | | | | (227,920 | ) |
Cisco Systems, Inc. | | | 122,500 | | | | | | (5,254,025 | ) |
Control4 Corp. | | | 4,700 | | | | | | (100,956 | ) |
Cray, Inc. | | | 200 | | | | | | (4,140 | ) |
Diebold, Inc. | | | 56,300 | | | | | | (867,020 | ) |
Digimarc Corp. | | | 2,600 | | | | | | (62,270 | ) |
Digital Ally, Inc. | | | 2,100 | | | | | | (5,460 | ) |
Everspin Technologies, Inc. | | | 4,300 | | | | | | (32,465 | ) |
ExOne Co. | | | 4,200 | | | | | | (30,576 | ) |
Extreme Networks, Inc. | | | 32,300 | | | | | | (357,561 | ) |
Fitbit, Inc. | | | 75,800 | | | | | | (386,580 | ) |
GoPro, Inc. Class A | | | 64,700 | | | | | | (309,913 | ) |
Kopin Corp. | | | 6,000 | | | | | | (18,720 | ) |
Lumentum Holdings, Inc. | | | 28,200 | | | | | | (1,799,160 | ) |
Maxar Technologies Ltd. | | | 4,400 | | | | | | (203,500 | ) |
Mercury Systems, Inc. | | | 9,800 | | | | | | (473,536 | ) |
Methode Electronics, Inc. | | | 7,000 | | | | | | (273,700 | ) |
MicroVision, Inc. | | | 26,800 | | | | | | (30,284 | ) |
NCR Corp. | | | 6,700 | | | | | | (211,184 | ) |
Neonode, Inc. | | | 5,200 | | | | | | (2,191 | ) |
NetScout Systems, Inc. | | | 8,900 | | | | | | (234,515 | ) |
Nutanix, Inc. | | | 12,500 | | | | | | (613,875 | ) |
NXT-ID, Inc. | | | 19,201 | | | | | | (38,210 | ) |
Quantenna Communications, Inc. | | | 200 | | | | | | (2,740 | ) |
Roku, Inc. | | | 15,700 | | | | | | (488,270 | ) |
Super Micro Computer, Inc. | | | 11,200 | | | | | | (190,400 | ) |
Superconductor Technologies, Inc. | | | 1,432 | | | | | | (1,349 | ) |
Ubiquiti Networks, Inc. | | | 18,872 | | | | | | (1,298,394 | ) |
VeriFone Systems, Inc. | | | 2,600 | | | | | | (39,988 | ) |
ViaSat, Inc. | | | 3,100 | | | | | | (203,732 | ) |
Vuzix Corp. | | | 17,361 | | | | | | (95,486 | ) |
| | | | | | | | | | |
| | | | | | | | | (41,121,472 | ) |
| | | | | | | | | | |
Health Care Facilities & Services — (0.8)% | | | | | | | | | | |
AAC Holdings, Inc. | | | 600 | | | | | | (6,888 | ) |
Acadia Healthcare Co., Inc. | | | 30,400 | | | | | | (1,191,072 | ) |
See Notes to Consolidated Financial Statements.
95
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | |
Security Description | | Shares | | | | | Value | |
Almost Family, Inc. | | | 200 | | | | | $ | (11,200 | ) |
American Renal Associates Holdings, Inc. | | | 3,200 | | | | | | (60,320 | ) |
AmerisourceBergen Corp. | | | 33,000 | | | | | | (2,844,930 | ) |
Brookdale Senior Living, Inc. | | | 121,291 | | | | | | (813,863 | ) |
Cancer Genetics, Inc. | | | 100 | | | | | | (165 | ) |
Capital Senior Living Corp. | | | 14,300 | | | | | | (153,725 | ) |
Cardinal Health, Inc. (d) | | | 175,910 | | | | | | (11,026,039 | ) |
Centene Corp. | | | 7,985 | | | | | | (853,357 | ) |
CHF Solutions, Inc. | | | 3,336 | | | | | | (9,307 | ) |
Community Health Systems, Inc. | | | 3,300 | | | | | | (13,068 | ) |
DaVita HealthCare Partners, Inc. (d) | | | 105,460 | | | | | | (6,954,032 | ) |
Diplomat Pharmacy, Inc. | | | 12,200 | | | | | | (245,830 | ) |
Ekso Bionics Holdings, Inc. | | | 24,077 | | | | | | (38,042 | ) |
Envision Healthcare Corp. | | | 73,631 | | | | | | (2,829,639 | ) |
Genesis Healthcare, Inc. | | | 7,000 | | | | | | (10,570 | ) |
Henry Schein, Inc. (d) | | | 143,630 | | | | | | (9,653,372 | ) |
Interpace Diagnostics Group, Inc. | | | 20,900 | | | | | | (18,451 | ) |
Invitae Corp. | | | 28,200 | | | | | | (132,258 | ) |
IQVIA Holdings, Inc. | | | 1,802 | | | | | | (176,794 | ) |
Kindred Healthcare, Inc. | | | 48,549 | | | | | | (444,223 | ) |
McKesson Corp. (d) | | | 47,350 | | | | | | (6,670,195 | ) |
Natera, Inc. | | | 7,000 | | | | | | (64,890 | ) |
NeoGenomics, Inc. | | | 11,600 | | | | | | (94,656 | ) |
Nobilis Health Corp. | | | 4,600 | | | | | | (7,590 | ) |
Novan, Inc. | | | 2,400 | | | | | | (7,032 | ) |
PRA Health Sciences, Inc. | | | 4,300 | | | | | | (356,728 | ) |
Premier, Inc. Class A | | | 1,400 | | | | | | (43,834 | ) |
Quest Diagnostics, Inc. (d) | | | 10,700 | | | | | | (1,073,210 | ) |
Surgery Partners, Inc. | | | 7,600 | | | | | | (130,340 | ) |
Syneos Health, Inc. | | | 15,200 | | | | | | (539,600 | ) |
Teladoc, Inc. | | | 16,500 | | | | | | (664,950 | ) |
Tenet Healthcare Corp. | | | 19,600 | | | | | | (475,300 | ) |
XpreSpa Group, Inc. | | | 3,650 | | | | | | (2,628 | ) |
| | | | | | | | | | |
| | | | | | | | | (47,618,098 | ) |
| | | | | | | | | | |
Home & Office Products — (0.4)% | | | | | | | | | | |
American Woodmark Corp. | | | 2,600 | | | | | | (255,970 | ) |
Beazer Homes USA, Inc. | | | 26,800 | | | | | | (427,460 | ) |
Century Communities, Inc. | | | 4,200 | | | | | | (125,790 | ) |
DR Horton, Inc. | | | 17,100 | | | | | | (749,664 | ) |
Green Brick Partners, Inc. | | | 400 | | | | | | (4,360 | ) |
Hovnanian Enterprises, Inc. Class A | | | 75,100 | | | | | | (137,433 | ) |
iRobot Corp. | | | 22,300 | | | | | | (1,431,437 | ) |
JELD-WEN Holding, Inc. | | | 31,800 | | | | | | (973,716 | ) |
KB Home | | | 200 | | | | | | (5,576 | ) |
Lennar Corp. Class A | | | 93,824 | | | | | | (5,529,986 | ) |
See Notes to Consolidated Financial Statements.
96
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | |
Security Description | | Shares | | | | | Value | |
LGI Homes, Inc. | | | 14,000 | | | | | $ | (987,980 | ) |
M/I Homes, Inc. | | | 4,500 | | | | | | (143,325 | ) |
MDC Holdings, Inc. | | | 6,344 | | | | | | (177,124 | ) |
Mohawk Industries, Inc. | | | 30,400 | | | | | | (7,059,488 | ) |
Newell Brands, Inc. | | | 60,818 | | | | | | (1,549,643 | ) |
Nova Lifestyle, Inc. | | | 500 | | | | | | (1,080 | ) |
PulteGroup, Inc. | | | 46,100 | | | | | | (1,359,489 | ) |
Scotts Miracle-Gro Co. (The) Class A | | | 4,100 | | | | | | (351,575 | ) |
Tempur Sealy International, Inc. | | | 35,500 | | | | | | (1,607,795 | ) |
TRI Pointe Homes, Inc. | | | 72,700 | | | | | | (1,194,461 | ) |
Tupperware Brands Corp. | | | 32,300 | | | | | | (1,562,674 | ) |
William Lyon Homes Class A | | | 12,000 | | | | | | (329,880 | ) |
| | | | | | | | | | |
| | | | | | | | | (25,965,906 | ) |
| | | | | | | | | | |
Industrial Services — (0.0)% | | | | | | | | | | |
Anixter International, Inc. | | | 1,400 | | | | | | (106,050 | ) |
Applied Industrial Technologies, Inc. | | | 300 | | | | | | (21,870 | ) |
EnviroStar, Inc. | | | 600 | | | | | | (23,550 | ) |
Kaman Corp. | | | 2,000 | | | | | | (124,240 | ) |
Ritchie Bros Auctioneers, Inc. | | | 800 | | | | | | (25,176 | ) |
Textainer Group Holdings Ltd. | | | 800 | | | | | | (13,560 | ) |
Triton International Ltd. | | | 200 | | | | | | (6,120 | ) |
Wesco Aircraft Holdings, Inc. | | | 700 | | | | | | (7,175 | ) |
| | | | | | | | | | |
| | | | | | | | | (327,741 | ) |
| | | | | | | | | | |
Institutional Financial Services — (0.7)% | | | | | | | | | | |
CBOE Holdings, Inc. | | | 55,300 | | | | | | (6,309,730 | ) |
CME Group, Inc. | | | 11,200 | | | | | | (1,811,488 | ) |
Evercore Partners, Inc. Class A | | | 7,200 | | | | | | (627,840 | ) |
GAIN Capital Holdings, Inc. | | | 12,900 | | | | | | (87,075 | ) |
Global Brokerage, Inc. (e) | | | 2,650 | | | | | | (800 | ) |
Goldman Sachs Group, Inc. | | | 91,300 | | | | | | (22,994,818 | ) |
Greenhill & Co., Inc. | | | 21,800 | | | | | | (403,300 | ) |
Houlihan Lokey, Inc. | | | 2,800 | | | | | | (124,880 | ) |
Moelis & Co. Class A | | | 10,900 | | | | | | (554,265 | ) |
Morgan Stanley | | | 163,600 | | | | | | (8,827,856 | ) |
Raymond James Financial, Inc. | | | 900 | | | | | | (80,469 | ) |
Riot Blockchain, Inc. | | | 9,200 | | | | | | (60,904 | ) |
Stifel Financial Corp. | | | 1,200 | | | | | | (71,076 | ) |
Virtu Financial, Inc. Class A | | | 22,800 | | | | | | (752,400 | ) |
| | | | | | | | | | |
| | | | | | | | | (42,706,901 | ) |
| | | | | | | | | | |
Insurance — (0.3)% | | | | | | | | | | |
American International Group, Inc. | | | 42,200 | | | | | | (2,296,524 | ) |
American National Insurance Co. | | | 100 | | | | | | (11,696 | ) |
Amtrust Financial Services, Inc. | | | 13,800 | | | | | | (169,878 | ) |
See Notes to Consolidated Financial Statements.
97
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | |
Security Description | | Shares | | | | | Value | |
Argo Group International Holdings Ltd. | | | 460 | | | | | $ | (26,404 | ) |
Arthur J Gallagher & Co. | | | 2,900 | | | | | | (199,317 | ) |
Berkshire Hathaway, Inc. Class B | | | 71,400 | | | | | | (14,242,872 | ) |
Brighthouse Financial, Inc. | | | 100 | | | | | | (5,140 | ) |
CNO Financial Group, Inc. | | | 4,100 | | | | | | (88,847 | ) |
Erie Indemnity Co. Class A | | | 100 | | | | | | (11,764 | ) |
Everest Re Group Ltd. | | | 1,500 | | | | | | (385,230 | ) |
HCI Group, Inc. | | | 900 | | | | | | (34,344 | ) |
Health Insurance Innovations, Inc. Class A | | | 3,900 | | | | | | (112,710 | ) |
Heritage Insurance Holdings, Inc. | | | 300 | | | | | | (4,548 | ) |
James River Group Holdings Ltd. | | | 400 | | | | | | (14,188 | ) |
Manulife Financial Corp. | | | 20,500 | | | | | | (380,890 | ) |
MBIA, Inc. | | | 71,000 | | | | | | (657,460 | ) |
MetLife, Inc. | | | 2,500 | | | | | | (114,725 | ) |
National General Holdings Corp. | | | 2,500 | | | | | | (60,775 | ) |
Progressive Corp. (The) | | | 500 | | | | | | (30,465 | ) |
Radian Group, Inc. | | | 9,400 | | | | | | (178,976 | ) |
Selective Insurance Group, Inc. | | | 100 | | | | | | (6,070 | ) |
Sun Life Financial, Inc. | | | 26,300 | | | | | | (1,081,456 | ) |
Third Point Reinsurance Ltd. | | | 200 | | | | | | (2,790 | ) |
Voya Financial, Inc. | | | 1,200 | | | | | | (60,600 | ) |
WMIH Corp. | | | 4,200 | | | | | | (5,964 | ) |
WR Berkley Corp. | | | 400 | | | | | | (29,080 | ) |
XL Group Ltd. | | | 8,700 | | | | | | (480,762 | ) |
| | | | | | | | | | |
| | | | | | | | | (20,693,475 | ) |
| | | | | | | | | | |
Iron & Steel — (0.1)% | | | | | | | | | | |
AK Steel Holding Corp. | | | 252,200 | | | | | | (1,142,466 | ) |
Allegheny Technologies, Inc. | | | 28,800 | | | | | | (681,984 | ) |
Carpenter Technology Corp. | | | 3,000 | | | | | | (132,360 | ) |
Cleveland Cliffs, Inc. | | | 219,100 | | | | | | (1,522,745 | ) |
Commercial Metals Co. | | | 22,300 | | | | | | (456,258 | ) |
Schnitzer Steel Industries, Inc. Class A | | | 4,300 | | | | | | (139,105 | ) |
TimkenSteel Corp. | | | 100 | | | | | | (1,519 | ) |
United States Steel Corp. | | | 102,600 | | | | | | (3,610,494 | ) |
Worthington Industries, Inc. | | | 400 | | | | | | (17,168 | ) |
| | | | | | | | | | |
| | | | | | | | | (7,704,099 | ) |
| | | | | | | | | | |
Leisure Products — (0.1)% | | | | | | | | | | |
Callaway Golf Co. | | | 1,800 | | | | | | (29,448 | ) |
Camping World Holdings, Inc. Class A | | | 9,600 | | | | | | (309,600 | ) |
Fox Factory Holding Corp. | | | 2,000 | | | | | | (69,800 | ) |
Funko, Inc. Class A | | | 1,300 | | | | | | (10,673 | ) |
LCI Industries | | | 5,900 | | | | | | (614,485 | ) |
Mattel, Inc. | | | 275,100 | | | | | | (3,617,565 | ) |
Nautilus, Inc. | | | 500 | | | | | | (6,725 | ) |
See Notes to Consolidated Financial Statements.
98
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | |
Security Description | | Shares | | | | | Value | |
Polaris Industries, Inc. | | | 14,300 | | | | | $ | (1,637,636 | ) |
Thor Industries, Inc. | | | 7,800 | | | | | | (898,326 | ) |
Vista Outdoor, Inc. | | | 6,200 | | | | | | (101,184 | ) |
Winnebago Industries, Inc. | | | 11,200 | | | | | | (421,120 | ) |
| | | | | | | | | | |
| | | | | | | | | (7,716,562 | ) |
| | | | | | | | | | |
Machinery — (0.1)% | | | | | | | | | | |
Actuant Corp. Class A | | | 6,800 | | | | | | (158,100 | ) |
CIRCOR International, Inc. | | | 800 | | | | | | (34,128 | ) |
Flowserve Corp. | | | 19,700 | | | | | | (853,601 | ) |
Ichor Holdings Ltd. | | | 21,000 | | | | | | (508,410 | ) |
IDEX Corp. | | | 3,900 | | | | | | (555,789 | ) |
John Bean Technologies Corp. | | | 4,700 | | | | | | (532,980 | ) |
Kennametal, Inc. | | | 14,000 | | | | | | (562,240 | ) |
Manitowoc Co., Inc. (The) | | | 28,250 | | | | | | (803,995 | ) |
Middleby Corp. | | | 7,401 | | | | | | (916,170 | ) |
NN, Inc. | | | 400 | | | | | | (9,600 | ) |
Raven Industries, Inc. | | | 500 | | | | | | (17,525 | ) |
Sharing Economy International | | | 1,770 | | | | | | (5,805 | ) |
Terex Corp. | | | 9,100 | | | | | | (340,431 | ) |
Titan International, Inc. | | | 4,100 | | | | | | (51,701 | ) |
| | | | | | | | | | |
| | | | | | | | | (5,350,475 | ) |
| | | | | | | | | | |
Manufactured Goods — (0.0)% | | | | | | | | | | |
Mueller Industries, Inc. | | | 200 | | | | | | (5,232 | ) |
Proto Labs, Inc. | | | 2,200 | | | | | | (258,610 | ) |
Simpson Manufacturing Co., Inc. | | | 2,900 | | | | | | (167,011 | ) |
| | | | | | | | | | |
| | | | | | | | | (430,853 | ) |
| | | | | | | | | | |
Media — (1.1)% | | | | | | | | | | |
Altice USA, Inc. | | | 27,000 | | | | | | (498,960 | ) |
AMC Networks, Inc. Class A | | | 1,700 | | | | | | (87,890 | ) |
Blucora, Inc. | | | 300 | | | | | | (7,380 | ) |
Cargurus, Inc. | | | 600 | | | | | | (23,082 | ) |
Carvana Co. | | | 12,900 | | | | | | (295,797 | ) |
Charter Communications, Inc. Class A (d) | | | 7,751 | | | | | | (2,412,266 | ) |
Discovery Communications, Inc. Class A | | | 300 | | | | | | (6,429 | ) |
Entercom Communications Corp. Class A | | | 14,600 | | | | | | (140,890 | ) |
EW Scripps Co. Class A | | | 36 | | | | | | (432 | ) |
Expedia, Inc. | | | 24,584 | | | | | | (2,714,319 | ) |
Facebook, Inc. Class A | | | 145,100 | | | | | | (23,185,529 | ) |
Global Eagle Entertainment, Inc. | | | 4,500 | | | | | | (6,615 | ) |
Gray Television, Inc. | | | 5,900 | | | | | | (74,930 | ) |
Groupon, Inc. | | | 316,400 | | | | | | (1,373,176 | ) |
Houghton Mifflin Harcourt Co. | | | 9,300 | | | | | | (64,635 | ) |
Interpublic Group of Cos., Inc. (The) | | | 300 | | | | | | (6,909 | ) |
See Notes to Consolidated Financial Statements.
99
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | |
Security Description | | Shares | | | | | Value | |
IZEA, Inc. | | | 1,384 | | | | | $ | (5,065 | ) |
John Wiley & Sons, Inc. Class A | | | 200 | | | | | | (12,740 | ) |
Liberty Braves Group Class C | | | 5,400 | | | | | | (123,228 | ) |
Liberty Broadband Corp. Class C | | | 8,600 | | | | | | (736,934 | ) |
Liberty Expedia Holdings, Inc. Class A | | | 15,500 | | | | | | (608,840 | ) |
Liberty Media Corp-Liberty SiriusXM | | | 100 | | | | | | (4,085 | ) |
Liberty Media Group Class A | | | 5,092 | | | | | | (149,145 | ) |
Lions Gate Entertainment Corp. Class A | | | 1,500 | | | | | | (38,745 | ) |
Live Ventures, Inc. | | | 366 | | | | | | (4,451 | ) |
Media General, Inc. | | | 12,100 | | | | | | 0 | |
Meet Group, Inc. | | | 21,300 | | | | | | (44,517 | ) |
Meredith Corp. | | | 6,100 | | | | | | (328,180 | ) |
MSG Networks, Inc. | | | 6,600 | | | | | | (149,160 | ) |
National CineMedia, Inc. | | | 33,100 | | | | | | (171,789 | ) |
New Media Investment Group, Inc. | | | 3,100 | | | | | | (53,134 | ) |
New York Times Co. Class A | | | 8,200 | | | | | | (197,620 | ) |
Nexstar Media Group, Inc. | | | 33,011 | | | | | | (2,195,231 | ) |
Omnicom Group, Inc. | | | 3,900 | | | | | | (283,413 | ) |
Pandora Media, Inc. | | | 127,300 | | | | | | (640,319 | ) |
Remark Holdings, Inc. | | | 2,800 | | | | | | (15,904 | ) |
Shaw Communications, Inc. B Shares | | | 1,800 | | | | | | (34,668 | ) |
Shopify, Inc. Class A | | | 67,000 | | | | | | (8,347,530 | ) |
Sinclair Broadcast Group, Inc. Class A | | | 4,000 | | | | | | (125,200 | ) |
Sirius XM Holdings, Inc. (d) | | | 500,708 | | | | | | (3,124,418 | ) |
Snap, Inc. | | | 710,000 | | | | | | (11,267,700 | ) |
Social Reality, Inc. | | | 200 | | | | | | (766 | ) |
TEGNA, Inc. | | | 26,300 | | | | | | (299,557 | ) |
Trade Desk, Inc. (The) Class A | | | 9,430 | | | | | | (467,917 | ) |
Tribune Media Co. | | | 300 | | | | | | (12,153 | ) |
TripAdvisor, Inc. | | | 87,802 | | | | | | (3,590,224 | ) |
Tucows, Inc. Class A | | | 1,400 | | | | | | (78,400 | ) |
WideOpenWest, Inc. | | | 11,800 | | | | | | (84,370 | ) |
| | | | | | | | | | |
| | | | | | | | | (64,094,642 | ) |
| | | | | | | | | | |
Medical Equipment & Devices — (1.6)% | | | | | | | | | | |
Abbott Laboratories (d) | | | 152,820 | | | | | | (9,156,974 | ) |
ABIOMED, Inc. (d) | | | 9,880 | | | | | | (2,874,981 | ) |
Accelerate Diagnostics, Inc. | | | 17,800 | | | | | | (406,730 | ) |
Aethlon Medical, Inc. | | | 1,838 | | | | | | (2,187 | ) |
Amedica Corp. | | | 1,308 | | | | | | (1,988 | ) |
Avinger, Inc. | | | 480 | | | | | | (634 | ) |
Bellerophon Therapeutics, Inc. | | | 100 | | | | | | (208 | ) |
BioTelemetry, Inc. | | | 22,700 | | | | | | (704,835 | ) |
Cesca Therapeutics, Inc. | | | 284 | | | | | | (574 | ) |
Corindus Vascular Robotics, Inc. | | | 2,400 | | | | | | (3,288 | ) |
Cytori Therapeutics, Inc. | | | 25,446 | | | | | | (7,288 | ) |
See Notes to Consolidated Financial Statements.
100
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | |
Security Description | | Shares | | | | | Value | |
DexCom, Inc. | | | 64,500 | | | | | $ | (4,783,320 | ) |
Edwards Lifesciences Corp. (d) | | | 88,200 | | | | | | (12,305,664 | ) |
Endologix, Inc. | | | 12,400 | | | | | | (52,452 | ) |
Exact Sciences Corp. | | | 10,902 | | | | | | (439,678 | ) |
Foundation Medicine, Inc. | | | 4,000 | | | | | | (315,000 | ) |
Glaukos Corp. | | | 12,800 | | | | | | (394,624 | ) |
Globus Medical, Inc. | | | 7,000 | | | | | | (348,740 | ) |
Hologic, Inc. (d) | | | 173,440 | | | | | | (6,479,718 | ) |
ICU Medical, Inc. | | | 700 | | | | | | (176,680 | ) |
IDEXX Laboratories, Inc. (d) | | | 23,580 | | | | | | (4,512,976 | ) |
Illumina, Inc. (d) | | | 41,470 | | | | | | (9,804,337 | ) |
ImmunoCellular Therapeutics Ltd. | | | 1,500 | | | | | | (375 | ) |
Invacare Corp. | | | 1,000 | | | | | | (17,400 | ) |
InVivo Therapeutics Holdings Corp. | | | 9,400 | | | | | | (5,029 | ) |
IsoRay, Inc. | | | 4,400 | | | | | | (1,851 | ) |
K2M Group Holdings, Inc. | | | 2,000 | | | | | | (37,900 | ) |
Medtronic PLC | | | 3 | | | | | | (241 | ) |
Microbot Medical, Inc. | | | 28,239 | | | | | | (19,061 | ) |
Myomo, Inc. | | | 4,200 | | | | | | (12,474 | ) |
Myriad Genetics, Inc. | | | 2,200 | | | | | | (65,010 | ) |
Natus Medical, Inc. | | | 800 | | | | | | (26,920 | ) |
Navidea Biopharmaceuticals, Inc. | | | 14,299 | | | | | | (5,148 | ) |
Neogen Corp. | | | 493 | | | | | | (33,026 | ) |
Neovasc, Inc. | | | 13,688 | | | | | | (835 | ) |
Nevro Corp. | | | 17,400 | | | | | | (1,508,058 | ) |
Novocure Ltd. | | | 21,900 | | | | | | (477,420 | ) |
NuVasive, Inc. | | | 14,100 | | | | | | (736,161 | ) |
OPKO Health, Inc. | | | 180,400 | | | | | | (571,868 | ) |
Pacific Biosciences of California, Inc. | | | 29,600 | | | | | | (60,680 | ) |
Penumbra, Inc. | | | 2,300 | | | | | | (265,995 | ) |
PerkinElmer, Inc. | | | 5,900 | | | | | | (446,748 | ) |
Pulse Biosciences, Inc. | | | 4,698 | | | | | | (63,564 | ) |
Quidel Corp. | | | 900 | | | | | | (46,629 | ) |
Quotient Ltd. | | | 2,900 | | | | | | (13,659 | ) |
Repligen Corp. | | | 2,500 | | | | | | (90,450 | ) |
ReShape Lifesciences, Inc. | | | 9,859 | | | | | | (14,296 | ) |
Restoration Robotics, Inc. | | | 100 | | | | | | (623 | ) |
Rockwell Medical, Inc. | | | 13,600 | | | | | | (70,856 | ) |
Second Sight Medical Products, Inc. | | | 8,100 | | | | | | (15,552 | ) |
Sientra, Inc. | | | 2,000 | | | | | | (19,320 | ) |
STERIS PLC | | | 1,400 | | | | | | (130,704 | ) |
Stryker Corp. | | | 15,600 | | | | | | (2,510,352 | ) |
T2 Biosystems, Inc. | | | 1,300 | | | | | | (8,437 | ) |
Tactile Systems Technology, Inc. | | | 2,300 | | | | | | (73,140 | ) |
Tandem Diabetes Care, Inc. | | | 8,137 | | | | | | (40,360 | ) |
Thermo Fisher Scientific, Inc. (d) | | | 58,070 | | | | | | (11,989,132 | ) |
See Notes to Consolidated Financial Statements.
101
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | |
Security Description | | Shares | | | | | Value | |
TransEnterix, Inc. | | | 118,400 | | | | | $ | (201,280 | ) |
Varian Medical Systems, Inc. (d) | | | 81,780 | | | | | | (10,030,317 | ) |
Vericel Corp. | | | 7,800 | | | | | | (77,610 | ) |
ViewRay, Inc. | | | 1,700 | | | | | | (10,931 | ) |
Viveve Medical, Inc. | | | 2,800 | | | | | | (10,248 | ) |
Waters Corp. (d) | | | 51,650 | | | | | | (10,260,272 | ) |
Wright Medical Group NV | | | 4,301 | | | | | | (85,332 | ) |
| | | | | | | | | | |
| | | | | | | | | (92,828,140 | ) |
| | | | | | | | | | |
Metals & Mining — (0.2)% | | | | | | | | | | |
Agnico Eagle Mines Ltd. | | | 13,200 | | | | | | (555,324 | ) |
Alamos Gold, Inc. Class A | | | 72,846 | | | | | | (379,528 | ) |
Alexco Resource Corp. | | | 4,600 | | | | | | (6,210 | ) |
Avino Silver & Gold Mines Ltd. | | | 600 | | | | | | (831 | ) |
B2GOLD Corp. | | | 17,500 | | | | | | (47,775 | ) |
Barrick Gold Corp. | | | 2,200 | | | | | | (27,390 | ) |
Cameco Corp. | | | 45,100 | | | | | | (409,959 | ) |
Centrus Energy Corp. Class A | | | 600 | | | | | | (2,130 | ) |
Century Aluminum Co. | | | 50,800 | | | | | | (840,232 | ) |
Coeur Mining, Inc. | | | 72,464 | | | | | | (579,712 | ) |
Compass Minerals International, Inc. | | | 17,900 | | | | | | (1,079,370 | ) |
Eldorado Gold Corp. | | | 18,200 | | | | | | (15,288 | ) |
Endeavour Silver Corp. | | | 63,100 | | | | | | (153,333 | ) |
Fairmount Santrol Holdings, Inc. | | | 175,300 | | | | | | (745,025 | ) |
Ferroglobe PLC | | | 11,800 | | | | | | (126,614 | ) |
First Majestic Silver Corp. | | | 132,700 | | | | | | (810,797 | ) |
Franco-Nevada Corp. | | | 25,200 | | | | | | (1,723,428 | ) |
Gold Resource Corp. | | | 15,500 | | | | | | (69,905 | ) |
Gold Standard Ventures Corp. | | | 23,400 | | | | | | (38,142 | ) |
Goldcorp, Inc. | | | 1,200 | | | | | | (16,584 | ) |
Hecla Mining Co. | | | 63,100 | | | | | | (231,577 | ) |
IAMGOLD Corp. | | | 5,600 | | | | | | (29,064 | ) |
Kinross Gold Corp. | | | 7,600 | | | | | | (30,020 | ) |
Klondex Mines Ltd. | | | 46,600 | | | | | | (109,510 | ) |
MAG Silver Corp. | | | 10,700 | | | | | | (104,325 | ) |
McEwen Mining, Inc. | | | 142,100 | | | | | | (295,568 | ) |
Northern Dynasty Minerals Ltd. | | | 111,700 | | | | �� | | (101,200 | ) |
Novagold Resources, Inc. | | | 77,500 | | | | | | (335,575 | ) |
Osisko Gold Royalties Ltd. | | | 25,900 | | | | | | (250,453 | ) |
Pershing Gold Corp. | | | 1,100 | | | | | | (2,255 | ) |
Platinum Group Metals Ltd. | | | 18,000 | | | | | | (5,287 | ) |
Pretium Resources, Inc. | | | 112,600 | | | | | | (749,916 | ) |
Sandstorm Gold Ltd. | | | 4,100 | | | | | | (19,516 | ) |
Seabridge Gold, Inc. | | | 22,300 | | | | | | (240,840 | ) |
Smart Sand, Inc. | | | 11,100 | | | | | | (64,602 | ) |
SSR Mining, Inc. | | | 11,200 | | | | | | (107,520 | ) |
See Notes to Consolidated Financial Statements.
102
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | |
Security Description | | Shares | | | | | Value | |
Tahoe Resources, Inc. | | | 103,200 | | | | | $ | (484,008 | ) |
Turquoise Hill Resources Ltd. | | | 63,000 | | | | | | (193,410 | ) |
Uranium Energy Corp. | | | 60,900 | | | | | | (79,779 | ) |
US Gold Corp. | | | 1,400 | | | | | | (1,792 | ) |
US Silica Holdings, Inc. | | | 64,400 | | | | | | (1,643,488 | ) |
Vista Gold Corp. | | | 4,800 | | | | | | (3,483 | ) |
Westwater Resources, Inc. | | | 11,405 | | | | | | (6,528 | ) |
Wheaton Precious Metals Corp. | | | 31,100 | | | | | | (633,507 | ) |
Yamana Gold, Inc. | | | 17,500 | | | | | | (48,300 | ) |
| | | | | | | | | | |
| | | | | | | | | (13,399,100 | ) |
| | | | | | | | | | |
Oil, Gas & Coal — (1.9)% | | | | | | | | | | |
Andeavor | | | 66,400 | | | | | | (6,677,184 | ) |
Antero Midstream GP LP | | | 3,400 | | | | | | (54,366 | ) |
Antero Resources Corp. | | | 60,500 | | | | | | (1,200,925 | ) |
Apache Corp. | | | 219,700 | | | | | | (8,454,056 | ) |
Approach Resources, Inc. | | | 4,200 | | | | | | (10,962 | ) |
Archrock, Inc. | | | 8,000 | | | | | | (70,000 | ) |
Basic Energy Services, Inc. | | | 16,700 | | | | | | (241,148 | ) |
Baytex Energy Corp. | | | 44,700 | | | | | | (122,478 | ) |
Bristow Group, Inc. | | | 7,300 | | | | | | (94,900 | ) |
C&J Energy Services, Inc. | | | 3,700 | | | | | | (95,534 | ) |
California Resources Corp. | | | 33,410 | | | | | | (572,981 | ) |
Callon Petroleum Co. | | | 147,600 | | | | | | (1,954,224 | ) |
Camber Energy, Inc. | | | 933 | | | | | | (718 | ) |
Canadian Natural Resources Ltd. | | | 23,600 | | | | | | (742,692 | ) |
CARBO Ceramics, Inc. | | | 21,000 | | | | | | (152,250 | ) |
Carrizo Oil & Gas, Inc. | | | 65,100 | | | | | | (1,041,600 | ) |
Cenovus Energy, Inc. | | | 102,000 | | | | | | (871,080 | ) |
Centennial Resource Development, Inc. Class A | | | 15,300 | | | | | | (280,755 | ) |
Cheniere Energy Partners LP Holdings LLC | | | 4,200 | | | | | | (115,962 | ) |
Cheniere Energy, Inc. | | | 19,600 | | | | | | (1,047,620 | ) |
Chesapeake Energy Corp. | | | 724,100 | | | | | | (2,186,782 | ) |
Chevron Corp. (d) | | | 52,654 | | | | | | (6,004,662 | ) |
Cloud Peak Energy, Inc. | | | 9,800 | | | | | | (28,518 | ) |
Comstock Resources, Inc. | | | 9,080 | | | | | | (66,375 | ) |
Contango Oil & Gas Co. | | | 1,300 | | | | | | (4,615 | ) |
Crescent Point Energy Corp. | | | 51,600 | | | | | | (350,880 | ) |
CVR Energy, Inc. | | | 400 | | | | | | (12,088 | ) |
Delek US Holdings, Inc. | | | 36,740 | | | | | | (1,495,318 | ) |
Devon Energy Corp. | | | 88,600 | | | | | | (2,816,594 | ) |
Diamond Offshore Drilling, Inc. | | | 5,500 | | | | | | (80,630 | ) |
Earthstone Energy, Inc. | | | 7,100 | | | | | | (71,852 | ) |
Eclipse Resources Corp. | | | 6,700 | | | | | | (9,648 | ) |
Eco-Stim Energy Solutions, Inc. | | | 500 | | | | | | (475 | ) |
Enbridge Energy Management LLC | | | 6,107 | | | | �� | | (55,818 | ) |
See Notes to Consolidated Financial Statements.
103
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | |
Security Description | | Shares | | | | | Value | |
Enbridge, Inc. | | | 177,972 | | | | | $ | (5,600,779 | ) |
Encana Corp. | | | 45,300 | | | | | | (498,300 | ) |
Enerplus Corp. | | | 18,100 | | | | | | (203,806 | ) |
EnLink Midstream LLC | | | 19,800 | | | | | | (290,070 | ) |
Ensco PLC Class A | | | 180,400 | | | | | | (791,956 | ) |
EP Energy Corp. Class A | | | 28,000 | | | | | | (37,520 | ) |
EQT Corp. | | | 16,100 | | | | | | (764,911 | ) |
Erin Energy Corp. | | | 700 | | | | | | (2,555 | ) |
Exterran Corp. | | | 300 | | | | | | (8,010 | ) |
Extraction Oil & Gas, Inc. | | | 55,900 | | | | | | (640,614 | ) |
Flotek Industries, Inc. | | | 28,000 | | | | | | (170,800 | ) |
Forum Energy Technologies, Inc. | | | 600 | | | | | | (6,600 | ) |
Frank's International NV | | | 41,300 | | | | | | (224,259 | ) |
Gastar Exploration, Inc. | | | 62,600 | | | | | | (42,737 | ) |
Gulfport Energy Corp. | | | 18,400 | | | | | | (177,560 | ) |
Halcon Resources Corp. | | | 83,400 | | | | | | (406,158 | ) |
Helix Energy Solutions Group, Inc. | | | 9,700 | | | | | | (56,163 | ) |
Hess Corp. | | | 111,800 | | | | | | (5,659,316 | ) |
HollyFrontier Corp. | | | 22,000 | | | | | | (1,074,920 | ) |
Imperial Oil Ltd. | | | 6,600 | | | | | | (174,900 | ) |
Jagged Peak Energy, Inc. | | | 7,800 | | | | | | (110,214 | ) |
Jones Energy, Inc. | | | 47,819 | | | | | | (38,255 | ) |
Keane Group, Inc. | | | 34,600 | | | | | | (512,080 | ) |
Kinder Morgan, Inc. | | | 800,831 | | | | | | (12,060,515 | ) |
Laredo Petroleum, Inc. | | | 154,600 | | | | | | (1,346,566 | ) |
Liberty Oilfield Services, Inc. Class A | | | 800 | | | | | | (13,512 | ) |
Marathon Oil Corp. | | | 85,300 | | | | | | (1,375,889 | ) |
McDermott International, Inc. | | | 38,800 | | | | | | (236,292 | ) |
MRC Global, Inc. | | | 36,300 | | | | | | (596,772 | ) |
Murphy Oil Corp. | | | 45,800 | | | | | | (1,183,472 | ) |
Nabors Industries Ltd. | | | 136,616 | | | | | | (954,946 | ) |
NCS Multistage Holdings, Inc. | | | 3,900 | | | | | | (58,500 | ) |
Noble Corp. PLC | | | 3,100 | | | | | | (11,501 | ) |
Northern Oil and Gas, Inc. | | | 41,800 | | | | | | (82,764 | ) |
Oasis Petroleum, Inc. | | | 48,400 | | | | | | (392,040 | ) |
Occidental Petroleum Corp. | | | 1,000 | | | | | | (64,960 | ) |
Oceaneering International, Inc. | | | 21,000 | | | | | | (389,340 | ) |
ONEOK, Inc. | | | 25,000 | | | | | | (1,423,000 | ) |
Par Pacific Holdings, Inc. | | | 1,500 | | | | | | (25,755 | ) |
Parsley Energy, Inc. Class A | | | 195,600 | | | | | | (5,670,444 | ) |
Patterson-UTI Energy, Inc. | | | 106,000 | | | | | | (1,856,060 | ) |
PBF Energy, Inc. Class A | | | 86,800 | | | | | | (2,942,520 | ) |
Pembina Pipeline Corp. | | | 5,805 | | | | | | (181,290 | ) |
Pengrowth Energy Corp. | | | 28,200 | | | | | | (18,020 | ) |
PetroQuest Energy, Inc. | | | 475 | | | | | | (276 | ) |
ProPetro Holding Corp. | | | 400 | | | | | | (6,356 | ) |
See Notes to Consolidated Financial Statements.
104
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | |
Security Description | | Shares | | | | | Value | |
Ramaco Resources, Inc. | | | 4,100 | | | | | $ | (29,479 | ) |
Range Resources Corp. | | | 198,787 | | | | | | (2,890,363 | ) |
Resolute Energy Corp. | | | 18,400 | | | | | | (637,560 | ) |
Rex Energy Corp. | | | 4,470 | | | | | | (4,076 | ) |
Ring Energy, Inc. | | | 16,000 | | | | | | (229,600 | ) |
Rowan Cos. PLC Class A | | | 23,000 | | | | | | (265,420 | ) |
RPC, Inc. | | | 54,400 | | | | | | (980,832 | ) |
RSP Permian, Inc. | | | 69,600 | | | | | | (3,262,848 | ) |
Sanchez Energy Corp. | | | 67,800 | | | | | | (212,214 | ) |
Select Energy Services, Inc. Class A | | | 600 | | | | | | (7,572 | ) |
SemGroup Corp. Class A | | | 62,100 | | | | | | (1,328,940 | ) |
SM Energy Co. | | | 89,300 | | | | | | (1,610,079 | ) |
Solaris Oilfield Infrastructure, Inc. Class A | | | 300 | | | | | | (4,968 | ) |
Southwestern Energy Co. | | | 349,700 | | | | | | (1,514,201 | ) |
SRC Energy, Inc. | | | 65,200 | | | | | | (614,836 | ) |
Stone Energy Corp. | | | 4,300 | | | | | | (159,530 | ) |
Suncor Energy, Inc. | | | 2,100 | | | | | | (72,534 | ) |
Targa Resources Corp. | | | 86,400 | | | | | | (3,801,600 | ) |
Tellurian, Inc. | | | 64,100 | | | | | | (462,161 | ) |
TETRA Technologies, Inc. | | | 25,400 | | | | | | (95,250 | ) |
Thermon Group Holdings, Inc. | | | 1,700 | | | | | | (38,097 | ) |
TransCanada Corp. | | | 25,400 | | | | | | (1,049,274 | ) |
Ultra Petroleum Corp. | | | 30,900 | | | | | | (128,853 | ) |
Valero Energy Corp. | | | 1,300 | | | | | | (120,601 | ) |
Vermilion Energy, Inc. | | | 7,600 | | | | | | (245,328 | ) |
W&T Offshore, Inc. | | | 11,900 | | | | | | (52,717 | ) |
Weatherford International PLC | | | 794,900 | | | | | | (1,820,321 | ) |
Westmoreland Coal Co. | | | 3,000 | | | | | | (1,230 | ) |
Whiting Petroleum Corp. | | | 4,086 | | | | | | (138,270 | ) |
Williams Cos., Inc. | | | 167,100 | | | | | | (4,154,106 | ) |
WPX Energy, Inc. | | | 161,000 | | | | | | (2,379,580 | ) |
| | | | | | | | | | |
| | | | | | | | | (113,681,403 | ) |
| | | | | | | | | | |
Passenger Transportation — (0.2)% | | | | | | | | | | |
Alaska Air Group, Inc. | | | 1,400 | | | | | | (86,744 | ) |
American Airlines Group, Inc. | | | 236,100 | | | | | | (12,267,756 | ) |
Spirit Airlines, Inc. | | | 29,900 | | | | | | (1,129,622 | ) |
| | | | | | | | | | |
| | | | | | | | | (13,484,122 | ) |
| | | | | | | | | | |
Real Estate — (1.4)% | | | | | | | | | | |
Acadia Realty Trust | | | 2,300 | | | | | | (56,580 | ) |
Alexander & Baldwin, Inc. | | | 1,190 | | | | | | (27,525 | ) |
Alexandria Real Estate Equities, Inc. | | | 10,800 | | | | | | (1,348,812 | ) |
American Campus Communities, Inc. | | | 13,400 | | | | | | (517,508 | ) |
American Homes 4 Rent | | | 46,200 | | | | | | (927,696 | ) |
Apartment Investment & Management Co. Class A | | | 700 | | | | | | (28,525 | ) |
See Notes to Consolidated Financial Statements.
105
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | |
Security Description | | Shares | | | | | Value | |
Apple Hospitality REIT, Inc. | | | 7,200 | | | | | $ | (126,504 | ) |
Armada Hoffler Properties, Inc. | | | 100 | | | | | | (1,369 | ) |
Ashford Hospitality Prime, Inc. | | | 12,722 | | | | | | (123,658 | ) |
Ashford Hospitality Trust, Inc. | | | 22,300 | | | | | | (144,058 | ) |
Bluerock Residential Growth REIT, Inc. | | | 18,100 | | | | | | (153,850 | ) |
Boston Properties, Inc. | | | 8,600 | | | | | | (1,059,692 | ) |
Brandywine Realty Trust | | | 58,900 | | | | | | (935,332 | ) |
Brixmor Property Group, Inc. | | | 10,900 | | | | | | (166,225 | ) |
CBL & Associates Properties, Inc. | | | 138,100 | | | | | | (575,877 | ) |
Cedar Realty Trust, Inc. | | | 4,300 | | | | | | (16,942 | ) |
Chatham Lodging Trust | | | 12,800 | | | | | | (245,120 | ) |
Chesapeake Lodging Trust | | | 10,400 | | | | | | (289,224 | ) |
City Office REIT, Inc. | | | 12,600 | | | | | | (145,656 | ) |
Clipper Realty, Inc. | | | 2,500 | | | | | | (21,175 | ) |
Colony NorthStar, Inc. Class A | | | 431,721 | | | | | | (2,426,272 | ) |
Columbia Property Trust, Inc. | | | 4,100 | | | | | | (83,886 | ) |
Community Healthcare Trust, Inc. | | | 2,900 | | | | | | (74,646 | ) |
CoreSite Realty Corp. | | | 7,700 | | | | | | (772,002 | ) |
Corporate Office Properties Trust | | | 200 | | | | | | (5,166 | ) |
Cousins Properties, Inc. | | | 156,000 | | | | | | (1,354,080 | ) |
CubeSmart | | | 22,500 | | | | | | (634,500 | ) |
CyrusOne, Inc. | | | 15,900 | | | | | | (814,239 | ) |
DCT Industrial Trust, Inc. | | | 100 | | | | | | (5,634 | ) |
DDR Corp. | | | 152,300 | | | | | | (1,116,359 | ) |
DiamondRock Hospitality Co. | | | 6,600 | | | | | | (68,904 | ) |
Digital Realty Trust, Inc. | | | 23,484 | | | | | | (2,474,744 | ) |
Douglas Emmett, Inc. | | | 24,800 | | | | | | (911,648 | ) |
Duke Realty Corp. | | | 100 | | | | | | (2,648 | ) |
Easterly Government Properties, Inc. | | | 17,500 | | | | | | (357,000 | ) |
Education Realty Trust, Inc. | | | 25,566 | | | | | | (837,286 | ) |
Empire State Realty Trust, Inc. Class A | | | 200 | | | | | | (3,358 | ) |
Equinix, Inc. | | | 2,127 | | | | | | (889,384 | ) |
Equity Commonwealth | | | 100 | | | | | | (3,067 | ) |
Equity Residential | | | 2,700 | | | | | | (166,374 | ) |
Essex Property Trust, Inc. | | | 2,600 | | | | | | (625,768 | ) |
Farmland Partners, Inc. | | | 16,700 | | | | | | (139,445 | ) |
Forestar Group, Inc. | | | 118 | | | | | | (2,496 | ) |
Four Corners Property Trust, Inc. | | | 1,600 | | | | | | (36,944 | ) |
Franklin Street Properties Corp. | | | 6,500 | | | | | | (54,665 | ) |
Front Yard Residential Corp. | | | 15,100 | | | | | | (151,755 | ) |
GGP, Inc. | | | 119,000 | | | | | | (2,434,740 | ) |
Global Medical REIT, Inc. | | | 6,800 | | | | | | (47,260 | ) |
Global Net Lease, Inc. | | | 35,461 | | | | | | (598,582 | ) |
Government Properties Income Trust | | | 53,800 | | | | | | (734,908 | ) |
Gramercy Property Trust | | | 4,347 | | | | | | (94,460 | ) |
Hannon Armstrong Sustainable Infrastructure Capital, Inc. | | | 6,100 | | | | | | (118,950 | ) |
See Notes to Consolidated Financial Statements.
106
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | |
Security Description | | Shares | | | | | Value | |
HCP, Inc. | | | 152,400 | | | | | $ | (3,540,252 | ) |
Healthcare Realty Trust, Inc. | | | 33,000 | | | | | | (914,430 | ) |
Healthcare Trust of America, Inc. Class A | | | 50,200 | | | | | | (1,327,790 | ) |
Hersha Hospitality Trust | | | 9,500 | | | | | | (170,050 | ) |
Hospitality Properties Trust | | | 300 | | | | | | (7,602 | ) |
Host Hotels & Resorts, Inc. | | | 202,800 | | | | | | (3,780,192 | ) |
Hudson Pacific Properties, Inc. | | | 35,800 | | | | | | (1,164,574 | ) |
Independence Realty Trust, Inc. | | | 37,600 | | | | | | (345,168 | ) |
Innovative Industrial Properties, Inc. | | | 900 | | | | | | (24,075 | ) |
Invitation Homes, Inc. | | | 96,772 | | | | | | (2,209,305 | ) |
Iron Mountain, Inc. | | | 20,500 | | | | | | (673,630 | ) |
iStar, Inc. | | | 15,700 | | | | | | (159,669 | ) |
JBG SMITH Properties | | | 15,000 | | | | | | (505,650 | ) |
Jernigan Capital, Inc. | | | 5,400 | | | | | | (97,740 | ) |
Kilroy Realty Corp. | | | 8,300 | | | | | | (588,968 | ) |
Kite Realty Group Trust | | | 25,000 | | | | | | (380,750 | ) |
Lamar Advertising Co. Class A | | | 100 | | | | | | (6,366 | ) |
LaSalle Hotel Properties | | | 90,500 | | | | | | (2,625,405 | ) |
Life Storage, Inc. | | | 21,300 | | | | | | (1,778,976 | ) |
Macerich Co. | | | 77,200 | | | | | | (4,324,744 | ) |
Mack-Cali Realty Corp. | | | 17,300 | | | | | | (289,083 | ) |
Medical Properties Trust, Inc. | | | 30,100 | | | | | | (391,300 | ) |
Mid-America Apartment Communities, Inc. | | | 1,700 | | | | | | (155,108 | ) |
National Storage Affiliates Trust | | | 13,000 | | | | | | (326,040 | ) |
New Concept Energy, Inc. | | | 200 | | | | | | (271 | ) |
New Senior Investment Group, Inc. | | | 41,901 | | | | | | (342,750 | ) |
New York REIT, Inc. | | | 4,700 | | | | | | (101,097 | ) |
NorthStar Realty Europe Corp. | | | 13,600 | | | | | | (177,072 | ) |
Omega Healthcare Investors, Inc. | | | 110,940 | | | | | | (2,999,817 | ) |
Park Hotels & Resorts, Inc. | | | 9,600 | | | | | | (259,392 | ) |
Pebblebrook Hotel Trust | | | 30,700 | | | | | | (1,054,545 | ) |
Pennsylvania REIT | | | 55,900 | | | | | | (539,435 | ) |
Physicians Realty Trust | | | 83,200 | | | | | | (1,295,424 | ) |
Piedmont Office Realty Trust, Inc. Class A | | | 4,500 | | | | | | (79,155 | ) |
Potlatch Corp. | | | 20 | | | | | | (1,059 | ) |
Preferred Apartment Communities, Inc. Class A | | | 22,600 | | | | | | (320,694 | ) |
Prologis, Inc. | | | 20,700 | | �� | | | | (1,303,893 | ) |
QTS Realty Trust, Inc. Class A | | | 9,300 | | | | | | (336,846 | ) |
Ramco-Gershenson Properties Trust | | | 12,600 | | | | | | (155,736 | ) |
Realty Income Corp. | | | 34,900 | | | | | | (1,805,377 | ) |
Redfin Corp. | | | 21,600 | | | | | | (493,128 | ) |
Regency Centers Corp. | | | 38,600 | | | | | | (2,276,628 | ) |
Rexford Industrial Realty, Inc. | | | 15,400 | | | | | | (443,366 | ) |
RLJ Lodging Trust | | | 59,800 | | | | | | (1,162,512 | ) |
Sabra Health Care REIT, Inc. | | | 48,990 | | | | | | (864,673 | ) |
Select Income REIT | | | 2,700 | | | | | | (52,596 | ) |
See Notes to Consolidated Financial Statements.
107
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | |
Security Description | | Shares | | | | | Value | |
Senior Housing Properties Trust | | | 46,400 | | | | | $ | (726,624 | ) |
Seritage Growth Properties | | | 25,900 | | | | | | (920,745 | ) |
Spirit Realty Capital, Inc. | | | 239,000 | | | | | | (1,854,640 | ) |
STAG Industrial, Inc. | | | 1,400 | | | | | | (33,488 | ) |
STORE Capital Corp. | | | 31,100 | | | | | | (771,902 | ) |
Summit Hotel Properties, Inc. | | | 300 | | | | | | (4,083 | ) |
Sun Communities, Inc. | | | 1,500 | | | | | | (137,055 | ) |
Sunstone Hotel Investors, Inc. | | | 88,767 | | | | | | (1,351,034 | ) |
Tanger Factory Outlet Centers, Inc. | | | 32,600 | | | | | | (717,200 | ) |
Taubman Centers, Inc. | | | 5,100 | | | | | | (290,241 | ) |
Terreno Realty Corp. | | | 200 | | | | | | (6,902 | ) |
Uniti Group, Inc. | | | 140,300 | | | | | | (2,279,875 | ) |
Vereit, Inc. REIT | | | 414,900 | | | | | | (2,887,704 | ) |
Vornado Realty Trust | | | 36,700 | | | | | | (2,469,910 | ) |
Washington Prime Group, Inc. | | | 148,600 | | | | | | (991,162 | ) |
Washington Real Estate Investment Trust | | | 21,900 | | | | | | (597,870 | ) |
Welltower, Inc. | | | 22,100 | | | | | | (1,202,903 | ) |
Weyerhaeuser Co. | | | 320 | | | | | | (11,200 | ) |
Wheeler Real Estate Investment Trust, Inc. | | | 6,452 | | | | | | (23,098 | ) |
Whitestone REIT | | | 16,600 | | | | | | (172,474 | ) |
Xenia Hotels & Resorts, Inc. | | | 3,200 | | | | | | (63,104 | ) |
| | | | | | | | | | |
| | | | | | | | | (84,318,045 | ) |
| | | | | | | | | | |
Recreation Facilities & Services — (0.0)% | | | | | | | | | | |
AMC Entertainment Holdings, Inc. Class A | | | 41,500 | | | | | | (583,075 | ) |
Drive Shack, Inc. | | | 3,067 | | | | | | (14,660 | ) |
SeaWorld Entertainment, Inc. | | | 72,200 | | | | | | (1,070,726 | ) |
Six Flags Entertainment Corp. | | | 1,300 | | | | | | (80,938 | ) |
Vail Resorts, Inc. | | | 100 | | | | | | (22,170 | ) |
| | | | | | | | | | |
| | | | | | | | | (1,771,569 | ) |
| | | | | | | | | | |
Renewable Energy — (0.1)% | | | | | | | | | | |
Ballard Power Systems, Inc. | | | 43,600 | | | | | | (154,780 | ) |
Enphase Energy, Inc. | | | 10,895 | | | | | | (49,790 | ) |
First Solar, Inc. | | | 42,700 | | | | | | (3,030,846 | ) |
FuelCell Energy, Inc. | | | 35,258 | | | | | | (60,996 | ) |
Gevo, Inc. | | | 15,260 | | | | | | (7,037 | ) |
Green Plains, Inc. | | | 32,800 | | | | | | (551,040 | ) |
Hydrogenics Corp. | | | 300 | | | | | | (2,475 | ) |
Pacific Ethanol, Inc. | | | 2,200 | | | | | | (6,600 | ) |
Plug Power, Inc. | | | 182,700 | | | | | | (345,303 | ) |
SunPower Corp. | | | 35,600 | | | | | | (284,088 | ) |
Sunworks, Inc. | | | 5,300 | | | | | | (5,035 | ) |
Vivint Solar, Inc. | | | 18,900 | | | | | | (68,985 | ) |
| | | | | | | | | | |
| | | | | | | | | (4,566,975 | ) |
| | | | | | | | | | |
See Notes to Consolidated Financial Statements.
108
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | |
Security Description | | Shares | | | | | Value | |
Retail—Consumer Staples — (0.3)% | | | | | | | | | | |
Big Lots, Inc. | | | 33,600 | | | | | $ | (1,462,608 | ) |
Blue Apron Holdings, Inc. Class A | | | 20,600 | | | | | | (41,200 | ) |
Casey's General Stores, Inc. | | | 19,700 | | | | | | (2,162,469 | ) |
Fred's, Inc. Class A | | | 30,500 | | | | | | (91,195 | ) |
Ollie's Bargain Outlet Holdings, Inc. | | | 6,900 | | | | | | (416,070 | ) |
SpartanNash Co. | | | 100 | | | | | | (1,721 | ) |
SUPERVALU, Inc. | | | 30,643 | | | | | | (466,693 | ) |
Walgreens Boots Alliance, Inc. (d) | | | 166,400 | | | | | | (10,894,208 | ) |
| | | | | | | | | | |
| | | | | | | | | (15,536,164 | ) |
| | | | | | | | | | |
Retail—Discretionary — (0.6)% | | | | | | | | | | |
Advance Auto Parts, Inc. | | | 26,000 | | | | | | (3,082,300 | ) |
Ascena Retail Group, Inc. | | | 15,000 | | | | | | (30,150 | ) |
AutoNation, Inc. | | | 19,000 | | | | | | (888,820 | ) |
AutoZone, Inc. | | | 2,400 | | | | | | (1,556,856 | ) |
Barnes & Noble, Inc. | | | 43,900 | | | | | | (217,305 | ) |
Big 5 Sporting Goods Corp. | | | 3,800 | | | | | | (27,550 | ) |
BMC Stock Holdings, Inc. | | | 19,200 | | | | | | (375,360 | ) |
Buckle, Inc. | | | 27,400 | | | | | | (606,910 | ) |
Build-A-Bear Workshop, Inc. | | | 100 | | | | | | (915 | ) |
Builders FirstSource, Inc. | | | 1,800 | | | | | | (35,712 | ) |
Caleres, Inc. | | | 1,600 | | | | | | (53,760 | ) |
Cato Corp. Class A | | | 1,800 | | | | | | (26,532 | ) |
Chegg, Inc. | | | 2,700 | | | | | | (55,782 | ) |
Chico's FAS, Inc. | | | 5,200 | | | | | | (47,008 | ) |
Children's Place, Inc. | | | 5,100 | | | | | | (689,775 | ) |
Conn's, Inc. | | | 17,200 | | | | | | (584,800 | ) |
Copart, Inc. | | | 3,100 | | | | | | (157,883 | ) |
Destination Maternity Corp. | | | 2,600 | | | | | | (6,734 | ) |
Dillard's, Inc. Class A | | �� | 5,100 | | | | | | (409,734 | ) |
Duluth Holdings, Inc. Class B | | | 11,500 | | | | | | (215,395 | ) |
FirstCash, Inc. | | | 128 | | | | | | (10,400 | ) |
Foundation Building Materials, Inc. | | | 4,950 | | | | | | (73,804 | ) |
Francesca's Holdings Corp. | | | 23,500 | | | | | | (112,800 | ) |
GameStop Corp. Class A | | | 81,000 | | | | | | (1,022,220 | ) |
GMS, Inc. | | | 700 | | | | | | (21,392 | ) |
GNC Holdings, Inc. Class A | | | 19,100 | | | | | | (73,726 | ) |
Group 1 Automotive, Inc. | | | 2,100 | | | | | | (137,214 | ) |
Guess?, Inc. | | | 59,500 | | | | | | (1,234,030 | ) |
Hertz Global Holdings, Inc. | | | 66,900 | | | | | | (1,327,965 | ) |
Home Depot, Inc. (The) | | | 22,200 | | | | | | (3,956,928 | ) |
J. Jill, Inc. | | | 3,200 | | | | | | (14,144 | ) |
JC Penney Co., Inc. | | | 4,700 | | | | | | (14,194 | ) |
L Brands, Inc. | | | 8,300 | | | | | | (317,143 | ) |
Lithia Motors, Inc. Class A | | | 10,900 | | | | | | (1,095,668 | ) |
See Notes to Consolidated Financial Statements.
109
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | |
Security Description | | Shares | | | | | Value | |
Lumber Liquidators Holdings, Inc. | | | 9,400 | | | | | $ | (224,848 | ) |
Macy's, Inc. | | | 43,100 | | | | | | (1,281,794 | ) |
MarineMax, Inc. | | | 2,200 | | | | | | (42,790 | ) |
Michaels Cos., Inc. (The) | | | 10,400 | | | | | | (204,984 | ) |
National Vision Holdings, Inc. | | | 6,700 | | | | | | (216,477 | ) |
Net Element, Inc. | | | 1,925 | | | | | | (13,398 | ) |
Office Depot, Inc. | | | 1,655 | | | | | | (3,558 | ) |
Overstock.com, Inc. | | | 23,200 | | | | | | (841,000 | ) |
Party City Holdco, Inc. | | | 8,700 | | | | | | (135,720 | ) |
PetIQ, Inc. | | | 100 | | | | | | (2,660 | ) |
PetMed Express, Inc. | | | 16,400 | | | | | | (684,700 | ) |
Pier 1 Imports, Inc. | | | 59,700 | | | | | | (192,234 | ) |
Restoration Hardware Holdings, Inc. | | | 17,000 | | | | | | (1,619,760 | ) |
Sally Beauty Holdings, Inc. | | | 100,000 | | | | | | (1,645,000 | ) |
Sears Holdings Corp. | | | 86,000 | | | | | | (229,620 | ) |
Signet Jewelers Ltd. | | | 5,100 | | | | | | (196,452 | ) |
Sonic Automotive, Inc. Class A | | | 700 | | | | | | (13,265 | ) |
Sportsman's Warehouse Holdings, Inc. | | | 20,700 | | | | | | (84,456 | ) |
Stage Stores, Inc. | | | 10,900 | | | | | | (23,762 | ) |
Tailored Brands, Inc. | | | 29,500 | | | | | | (739,270 | ) |
Tiffany & Co. | | | 68,701 | | | | | | (6,709,340 | ) |
Tractor Supply Co. | | | 3,000 | | | | | | (189,060 | ) |
Zumiez, Inc. | | | 4,300 | | | | | | (102,770 | ) |
| | | | | | | | | | |
| | | | | | | | | (33,877,827 | ) |
| | | | | | | | | | |
Semiconductors — (0.9)% | | | | | | | | | | |
Advanced Micro Devices, Inc. | | | 775,300 | | | | | | (7,791,765 | ) |
Ambarella, Inc. | | | 25,600 | | | | | | (1,254,144 | ) |
Applied Materials, Inc. | | | 23,300 | | | | | | (1,295,713 | ) |
Applied Optoelectronics, Inc. | | | 3,700 | | | | | | (92,722 | ) |
Aquantia Corp. | | | 1,800 | | | | | | (28,260 | ) |
Broadcom Ltd. | | | 30,038 | | | | | | (7,078,455 | ) |
Brooks Automation, Inc. | | | 1,500 | | | | | | (40,620 | ) |
Cavium, Inc. | | | 700 | | | | | | (55,566 | ) |
Coherent, Inc. | | | 7,200 | | | | | | (1,349,280 | ) |
Cypress Semiconductor Corp. | | | 102,035 | | | | | | (1,730,514 | ) |
Electro Scientific Industries, Inc. | | | 1,900 | | | | | | (36,727 | ) |
II-VI, Inc. | | | 7,800 | | | | | | (319,020 | ) |
Impinj, Inc. | | | 16,400 | | | | | | (213,528 | ) |
Inphi Corp. | | | 34,500 | | | | | | (1,038,450 | ) |
Integrated Device Technology, Inc. | | | 4,700 | | | | | | (143,632 | ) |
IPG Photonics Corp. | | | 900 | | | | | | (210,042 | ) |
KEMET Corp. | | | 14,900 | | | | | | (270,137 | ) |
MaxLinear, Inc. Class A | | | 20,640 | | | | | | (469,560 | ) |
MoSys, Inc. | | | 2,191 | | | | | | (2,607 | ) |
NeoPhotonics Corp. | | | 34,700 | | | | | | (237,695 | ) |
See Notes to Consolidated Financial Statements.
110
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | |
Security Description | | Shares | | | | | Value | |
NVIDIA Corp. | | | 104,500 | | | | | $ | (24,201,155 | ) |
Oclaro, Inc. | | | 75,500 | | | | | | (721,780 | ) |
ON Semiconductor Corp. | | | 10,800 | | | | | | (264,168 | ) |
ParkerVision, Inc. | | | 6,400 | | | | | | (5,120 | ) |
Qorvo, Inc. | | | 24,223 | | | | | | (1,706,510 | ) |
Skyworks Solutions, Inc. | | | 2,400 | | | | | | (240,624 | ) |
Texas Instruments, Inc. | | | 27,000 | | | | | | (2,805,030 | ) |
Ultra Clean Holdings, Inc. | | | 11,300 | | | | | | (217,525 | ) |
| | | | | | | | | | |
| | | | | | | | | (53,820,349 | ) |
| | | | | | | | | | |
Software — (0.6)% | | | | | | | | | | |
Activision Blizzard, Inc. | | | 103,400 | | | | | | (6,975,364 | ) |
Acxiom Corp. | | | 2,100 | | | | | | (47,691 | ) |
Allscripts Healthcare Solutions, Inc. | | | 23,200 | | | | | | (286,520 | ) |
Altair Engineering, Inc. | | | 1,200 | | | | | | (37,632 | ) |
ANSYS, Inc. | | | 1,200 | | | | | | (188,028 | ) |
Appian Corp. | | | 2,300 | | | | | | (57,914 | ) |
athenahealth, Inc. | | | 1,100 | | | | | | (157,333 | ) |
Avaya Holdings Corp. | | | 600 | | | | | | (13,440 | ) |
Benefitfocus, Inc. | | | 2,900 | | | | | | (70,760 | ) |
Blackbaud, Inc. | | | 3,600 | | | | | | (366,516 | ) |
Box, Inc. Class A | | | 100 | | | | | | (2,055 | ) |
Callidus Software, Inc. | | | 4,400 | | | | | | (158,180 | ) |
Castlight Health, Inc. Class B | | | 14,800 | | | | | | (54,020 | ) |
Cornerstone OnDemand, Inc. | | | 1,600 | | | | | | (62,576 | ) |
Descartes Systems Group, Inc. (The) | | | 100 | | | | | | (2,855 | ) |
DropCar, Inc. | | | 75 | | | | | | (156 | ) |
Ebix, Inc. | | | 600 | | | | | | (44,700 | ) |
Electronic Arts, Inc. | | | 26,900 | | | | | | (3,261,356 | ) |
Evolent Health, Inc. | | | 48,800 | | | | | | (695,400 | ) |
ForeScout Technologies, Inc. | | | 5,500 | | | | | | (178,420 | ) |
Glu Mobile, Inc. | | | 59,500 | | | | | | (224,315 | ) |
Guidewire Software, Inc. | | | 16,900 | | | | | | (1,366,027 | ) |
Inpixon | | | 1,058 | | | | | | (1,132 | ) |
LogMeIn, Inc. | | | 31,300 | | | | | | (3,616,715 | ) |
Manhattan Associates, Inc. | | | 1,100 | | | | | | (46,068 | ) |
Medical Transcription Billing Corp. | | | 200 | | | | | | (666 | ) |
MongoDB, Inc. | | | 1,000 | | | | | | (43,400 | ) |
NantHealth, Inc. | | | 5,500 | | | | | | (16,775 | ) |
Open Text Corp. | | | 20,100 | | | | | | (699,480 | ) |
Oracle Corp. | | | 140,400 | | | | | | (6,423,300 | ) |
Pareteum Corp. | | | 18,362 | | | | | | (44,803 | ) |
pdvWireless, Inc. | | | 500 | | | | | | (14,925 | ) |
RealPage, Inc. | | | 3,400 | | | | | | (175,100 | ) |
Red Violet, Inc. | | | 918 | | | | | | (5,600 | ) |
SITO Mobile Ltd. | | | 700 | | | | | | (2,814 | ) |
See Notes to Consolidated Financial Statements.
111
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | |
Security Description | | Shares | | | | | Value | |
Sphere 3D Corp. | | | 5,558 | | | | | $ | (5,541 | ) |
SS&C Technologies Holdings, Inc. | | | 11,500 | | | | | | (616,860 | ) |
Symantec Corp. | | | 1,500 | | | | | | (38,775 | ) |
Synopsys, Inc. | | | 5,900 | | | | | | (491,116 | ) |
Tabula Rasa HealthCare, Inc. | | | 600 | | | | | | (23,280 | ) |
Take-Two Interactive Software, Inc. | | | 69,300 | | | | | | (6,776,154 | ) |
Tintri, Inc. | | | 2,185 | | | | | | (3,737 | ) |
Tyler Technologies, Inc. | | | 3,700 | | | | | | (780,552 | ) |
Ultimate Software Group, Inc. | | | 200 | | | | | | (48,740 | ) |
Verint Systems, Inc. | | | 1,500 | | | | | | (63,900 | ) |
Veritone, Inc. | | | 529 | | | | | | (7,364 | ) |
VirnetX Holding Corp. | | | 14,700 | | | | | | (58,065 | ) |
xG Technology, Inc. | | | 9,400 | | | | | | (9,776 | ) |
| | | | | | | | | | |
| | | | | | | | | (34,265,896 | ) |
| | | | | | | | | | |
Specialty Finance — (0.4)% | | | | | | | | | | |
Ally Financial, Inc. | | | 94,600 | | | | | | (2,568,390 | ) |
Altisource Portfolio Solutions SA | | | 4,000 | | | | | | (106,240 | ) |
Apollo Commercial Real Estate Finance, Inc. | | | 98,300 | | | | | | (1,767,434 | ) |
Arlington Asset Investment Corp. Class A | | | 22,500 | | | | | | (248,400 | ) |
ARMOUR Residential REIT, Inc. | | | 20,762 | | | | | | (483,339 | ) |
Chimera Investment Corp. | | | 4,542 | | | | | | (79,076 | ) |
Credit Acceptance Corp. | | | 1,200 | | | | | | (396,492 | ) |
CYS Investments, Inc. | | | 6,400 | | | | | | (43,008 | ) |
Elevate Credit, Inc. | | | 4,500 | | | | | | (31,860 | ) |
Ellie Mae, Inc. | | | 7,700 | | | | | | (707,938 | ) |
Ellington Residential Mortgage REIT | | | 100 | | | | | | (1,096 | ) |
Encore Capital Group, Inc. | | | 7,600 | | | | | | (343,520 | ) |
Federal Agricultural Mortgage Corp. Class C | | | 100 | | | | | | (8,702 | ) |
Five Oaks Investment Corp. | | | 4,100 | | | | | | (11,931 | ) |
FNF Group | | | 1,600 | | | | | | (64,032 | ) |
Granite Point Mortgage Trust, Inc. | | | 7,450 | | | | | | (123,223 | ) |
Invesco Mortgage Capital, Inc. | | | 17,667 | | | | | | (289,386 | ) |
Ladder Capital Corp. | | | 45 | | | | | | (679 | ) |
LendingClub Corp. | | | 334,000 | | | | | | (1,169,000 | ) |
Marathon Patent Group, Inc. | | | 1,470 | | | | | | (1,646 | ) |
MGIC Investment Corp. | | | 2,500 | | | | | | (32,500 | ) |
MoneyGram International, Inc. | | | 1,300 | | | | | | (11,206 | ) |
Nationstar Mortgage Holdings, Inc. | | | 18,700 | | | | | | (335,852 | ) |
Nelnet, Inc. Class A | | | 700 | | | | | | (36,687 | ) |
New York Mortgage Trust, Inc. | | | 200 | | | | | | (1,186 | ) |
Ocwen Financial Corp. | | | 32,600 | | | | | | (134,312 | ) |
On Deck Capital, Inc. | | | 5,800 | | | | | | (32,422 | ) |
OneMain Holdings, Inc. | | | 13,500 | | | | | | (404,190 | ) |
Orchid Island Capital, Inc. | | | 42,400 | | | | | | (312,488 | ) |
PayPal Holdings, Inc. | | | 84,100 | | | | | | (6,380,667 | ) |
See Notes to Consolidated Financial Statements.
112
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | |
Security Description | | Shares | | | | | Value | |
PennyMac Mortgage Investment Trust | | | 5,600 | | | | | $ | (100,968 | ) |
PHH Corp. | | | 13,000 | | | | | | (135,980 | ) |
PRA Group, Inc. | | | 14,100 | | | | | | (535,800 | ) |
RAIT Financial Trust | | | 24,800 | | | | | | (4,005 | ) |
Santander Consumer USA Holdings, Inc. | | | 118,700 | | | | | | (1,934,810 | ) |
SLM Corp. | | | 104,500 | | | | | | (1,171,445 | ) |
Sutherland Asset Management Corp. | | | 45 | | | | | | (682 | ) |
Two Harbors Investment Corp. | | | 70,650 | | | | | | (1,085,891 | ) |
Western Asset Mortgage Capital Corp. | | | 16,200 | | | | | | (156,978 | ) |
| | | | | | | | | | |
| | | | | | | | | (21,253,461 | ) |
| | | | | | | | | | |
Technology Services — (0.1)% | | | | | | | | | | |
CGI Group, Inc. Class A | | | 800 | | | | | | (46,112 | ) |
Cogint, Inc. | | | 6,885 | | | | | | (17,213 | ) |
Cognizant Technology Solutions Corp. Class A | | | 16,700 | | | | | | (1,344,350 | ) |
CSRA, Inc. | | | 11,700 | | | | | | (482,391 | ) |
Cubic Corp. | | | 900 | | | | | | (57,240 | ) |
Endurance International Group Holdings, Inc. | | | 20,100 | | | | | | (148,740 | ) |
Gartner, Inc. | | | 24,000 | | | | | | (2,822,880 | ) |
Helios & Matheson Analytics, Inc. | | | 32,235 | | | | | | (91,225 | ) |
IHS Markit Ltd. | | | 27 | | | | | | (1,303 | ) |
MarketAxess Holdings, Inc. | | | 5,500 | | | | | | (1,195,920 | ) |
MAXIMUS, Inc. | | | 1,100 | | | | | | (73,414 | ) |
Paychex, Inc. | | | 1 | | | | | | (61 | ) |
Presidio, Inc. | | | 2 | | | | | | (31 | ) |
Spherix, Inc. | | | 6,726 | | | | | | (8,071 | ) |
Teradata Corp. | | | 16,600 | | | | | | (658,522 | ) |
Unisys Corp. | | | 800 | | | | | | (8,600 | ) |
| | | | | | | | | | |
| | | | | | | | | (6,956,073 | ) |
| | | | | | | | | | |
Telecommunications — (0.2)% | | | | | | | | | | |
AT&T, Inc. (a),(d) | | | 52,381 | | | | | | (1,867,383 | ) |
BCE, Inc. | | | 42,300 | | | | | | (1,820,592 | ) |
CenturyLink, Inc. | | | 290,172 | | | | | | (4,767,526 | ) |
Cincinnati Bell, Inc. | | | 1,400 | | | | | | (19,390 | ) |
Consolidated Communications Holdings, Inc. | | | 43,476 | | | | | | (476,497 | ) |
Frontier Communications Corp. | | | 62,580 | | | | | | (464,344 | ) |
Globalstar, Inc. | | | 159,400 | | | | | | (109,587 | ) |
Gogo, Inc. | | | 23,000 | | | | | | (198,490 | ) |
GTT Communications, Inc. | | | 400 | | | | | | (22,680 | ) |
HC2 Holdings, Inc. | | | 7,600 | | | | | | (39,976 | ) |
Intelsat SA | | | 10,200 | | | | | | (38,352 | ) |
NII Holdings, Inc. | | | 29,823 | | | | | | (62,927 | ) |
Ooma, Inc. | | | 300 | | | | | | (3,270 | ) |
ORBCOMM, Inc. | | | 2,500 | | | | | | (23,425 | ) |
Rogers Communications, Inc. B Shares | | | 1,500 | | | | | | (67,020 | ) |
See Notes to Consolidated Financial Statements.
113
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | |
Security Description | | Shares | | | | | Value | |
Shenandoah Telecommunications Co. | | | 1,600 | | | | | $ | (57,600 | ) |
Sprint Corp. | | | 154,100 | | | | | | (752,008 | ) |
Switch, Inc. | | | 28,700 | | | | | | (456,617 | ) |
TELUS Corp. | | | 3,600 | | | | | | (126,576 | ) |
Vonage Holdings Corp. | | | 3,200 | | | | | | (34,080 | ) |
Windstream Holdings, Inc. | | | 138,428 | | | | | | (195,183 | ) |
Zayo Group Holdings, Inc. | | | 4,200 | | | | | | (143,472 | ) |
| | | | | | | | | | |
| | | | | | | | | (11,746,995 | ) |
| | | | | | | | | | |
Transportation & Logistics — (0.1)% | | | | | | | | | | |
Canadian National Railway Co. | | | 21,000 | | | | | | (1,535,730 | ) |
Celadon Group, Inc. | | | 2,000 | | | | | | (7,400 | ) |
DHT Holdings, Inc. | | | 49,600 | | | | | | (168,640 | ) |
Dorian LPG Ltd. | | | 4,800 | | | | | | (35,952 | ) |
Echo Global Logistics, Inc. | | | 1,900 | | | | | | (52,440 | ) |
Gener8 Maritime, Inc. | | | 8,900 | | | | | | (50,285 | ) |
Golar LNG Ltd. | | | 12,500 | | | | | | (342,000 | ) |
Hornbeck Offshore Services, Inc. | | | 17,500 | | | | | | (50,925 | ) |
International Seaways, Inc. | | | 1,200 | | | | | | (21,120 | ) |
Landstar System, Inc. | | | 600 | | | | | | (65,790 | ) |
Macquarie Infrastructure Co. LLC | | | 7,900 | | | | | | (291,747 | ) |
Navios Maritime Acquisition Corp. | | | 11,700 | | | | | | (9,828 | ) |
Nordic American Tankers Ltd. | | | 60,900 | | | | | | (118,146 | ) |
Scorpio Bulkers, Inc. | | | 19,200 | | | | | | (135,360 | ) |
Seanergy Maritime Holdings Corp. | | | 3,502 | | | | | | (3,057 | ) |
Sino-Global Shipping America Ltd. | | | 4,921 | | | | | | (5,512 | ) |
Teekay Corp. | | | 78,500 | | | | | | (635,065 | ) |
Teekay Tankers Ltd. Class A | | | 67,200 | | | | | | (79,968 | ) |
TOP Ships, Inc. | | | 1,466 | | | | | | (2,697 | ) |
United Parcel Service, Inc. Class B | | | 35,600 | | | | | | (3,725,896 | ) |
YRC Worldwide, Inc. | | | 4,800 | | | | | | (42,384 | ) |
| | | | | | | | | | |
| | | | | | | | | (7,379,942 | ) |
| | | | | | | | | | |
Transportation Equipment — (0.1)% | | | | | | | | | | |
Navistar International Corp. | | | 11,900 | | | | | | (416,143 | ) |
REV Group, Inc. | | | 4,300 | | | | | | (89,268 | ) |
Wabash National Corp. | | | 2,200 | | | | | | (45,782 | ) |
Wabtec Corp. | | | 27,500 | | | | | | (2,238,500 | ) |
Workhorse Group, Inc. | | | 9,130 | | | | | | (24,103 | ) |
| | | | | | | | | | |
| | | | | | | | | (2,813,796 | ) |
| | | | | | | | | | |
Utilities — (0.2)% | | | | | | | | | | |
Algonquin Power & Utilities Corp. | | | 4,600 | | | | | | (45,632 | ) |
Allete, Inc. | | | 700 | | | | | | (50,575 | ) |
American States Water Co., Inc. | | | 200 | | | | | | (10,612 | ) |
Aqua America, Inc. | | | 200 | | | | | | (6,812 | ) |
See Notes to Consolidated Financial Statements.
114
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | |
Security Description | | Shares | | | | | Value | |
Atlantic Power Corp. | | | 1,600 | | | | | $ | (3,360 | ) |
Avangrid, Inc. | | | 3,200 | | | | | | (163,584 | ) |
Black Hills Corp. | | | 6,500 | | | | | | (352,950 | ) |
California Water Service Group | | | 800 | | | | | | (29,800 | ) |
Dynegy, Inc. | | | 4,200 | | | | | | (56,784 | ) |
Edison International | | | 15,000 | | | | | | (954,900 | ) |
Eversource Energy | | | 8,100 | | | | | | (477,252 | ) |
FirstEnergy Corp. | | | 46,800 | | | | | | (1,591,668 | ) |
Fortis, Inc. | | | 14,500 | | | | | | (489,665 | ) |
Genie Energy Ltd. Class B | | | 1,600 | | | | | | (7,984 | ) |
Great Plains Energy, Inc. | | | 2,500 | | | | | | (79,475 | ) |
Hawaiian Electric Industries, Inc. | | | 400 | | | | | | (13,752 | ) |
IDACORP, Inc. | | | 1,600 | | | | | | (141,232 | ) |
MGE Energy, Inc. | | | 900 | | | | | | (50,490 | ) |
New Jersey Resources Corp. | | | 17,000 | | | | | | (681,700 | ) |
NextEra Energy Partners LP | | | 5,400 | | | | | | (215,946 | ) |
NextEra Energy, Inc. | | | 13,200 | | | | | | (2,155,956 | ) |
NiSource, Inc. | | | 12,400 | | | | | | (296,484 | ) |
NorthWestern Corp. | | | 2,700 | | | | | | (145,260 | ) |
NRG Yield, Inc. Class C | | | 23,300 | | | | | | (396,100 | ) |
ONE Gas, Inc. | | | 900 | | | | | | (59,418 | ) |
Ormat Technologies, Inc. | | | 1,800 | | | | | | (101,484 | ) |
Pattern Energy Group, Inc. | | | 48,200 | | | | | | (833,378 | ) |
PNM Resources, Inc. | | | 100 | | | | | | (3,825 | ) |
Sempra Energy | | | 9,800 | | | | | | (1,089,956 | ) |
South Jersey Industries, Inc. | | | 9,100 | | | | | | (256,256 | ) |
Southern Co. | | | 8,300 | | | | | | (370,678 | ) |
Southwest Gas Corp. | | | 1,400 | | | | | | (94,682 | ) |
Spark Energy, Inc. Class A | | | 4,900 | | | | | | (58,065 | ) |
Spire, Inc. | | | 11,100 | | | | | | (802,530 | ) |
TerraForm Power, Inc. | | | 5,386 | | | | | | (57,792 | ) |
TransAlta Corp. | | | 1,000 | | | | | | (5,450 | ) |
UGI Corp. | | | 600 | | | | | | (26,652 | ) |
Vistra Energy Corp. | | | 700 | | | | | | (14,581 | ) |
Westar Energy, Inc. | | | 1,600 | | | | | | (84,144 | ) |
| | | | | | | | | | |
| | | | | | (12,276,864 | ) |
| | | | | | | | | | |
Waste & Environmental Services & Equipment — (0.0)% | | | | | | | |
Aqua Metals, Inc. | | | 8,600 | | | | | | (22,274 | ) |
AquaVenture Holdings Ltd. | | | 200 | | | | | | (2,484 | ) |
Cantel Medical Corp. | | | 500 | | | | | | (55,705 | ) |
Covanta Holding Corp. | | | 8,300 | | | | | | (120,350 | ) |
Energy Recovery, Inc. | | | 18,400 | | | | | | (151,248 | ) |
Evoqua Water Technologies Corp. | | | 2,100 | | | | | | (44,709 | ) |
Hudson Technologies, Inc. | | | 18,400 | | | | | | (90,896 | ) |
Lightbridge Corp. | | | 1,897 | | | | | | (2,219 | ) |
See Notes to Consolidated Financial Statements.
115
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | | | |
Security Description | | Shares | | | | | | Value | |
MagneGas Corp. | | | 53 | | | | | | | $ | (49 | ) |
Meridian Waste Solutions, Inc. | | | 786 | | | | | | | | (448 | ) |
| | | | | | | | | | | | |
| | | | | | | | (490,382 | ) |
| | | | | | | | | | | | |
Total North America | | | | | | | | | | | (1,167,312,222 | ) |
| | | | | | | | | | | | |
Oceania — (0.0)% | | | | | | | | | | | | |
Banking — (0.0)% | | | | | | | | | | | | |
Westpac Banking Corp. ADR | | | 100 | | | | | | | | (2,218 | ) |
| | | | | | | | | | | | |
Iron & Steel — (0.0)% | | | | | | | | | | | | |
BHP Billiton Ltd. ADR | | | 8,300 | | | | | | | | (368,769 | ) |
BHP Billiton PLC ADR | | | 2,300 | | | | | | | | (91,379 | ) |
| | | | | | | | | | | | |
| | | | | | | | (460,148 | ) |
| | | | | | | | | | | | |
Total Oceania | | | | | | | | | | | (462,366 | ) |
| | | | | | | | | | | | |
South America — (0.1)% | | | | | | | | | | | | |
Aerospace & Defense — (0.0)% | | | | | | | | | | | | |
Embraer SA ADR | | | 7,000 | | | | | | | | (182,000 | ) |
| | | | | | | | | | | | |
Banking — (0.0)% | | | | | | | | | | | | |
Banco Bradesco SA ADR | | | 16,797 | | | | | | | | (199,549 | ) |
Banco Santander Chile ADR | | | 12,600 | | | | | | | | (422,226 | ) |
Bancolombia SA ADR | | | 14,900 | | | | | | | | (626,098 | ) |
Grupo Aval Acciones y Valores SA ADR | | | 2,400 | | | | | | | | (19,944 | ) |
Itau CorpBanca ADR | | | 200 | | | | | | | | (2,930 | ) |
Itau Unibanco Holding SA ADR | | | 40 | | | | | | | | (624 | ) |
| | | | | | | | | | | | |
| | | | | | | | (1,271,371 | ) |
| | | | | | | | | | | | |
Chemicals — (0.0)% | | | | | | | | | | | | |
Braskem SA ADR | | | 700 | | | | | | | | (20,293 | ) |
| | | | | | | | | | | | |
Consumer Products — (0.0)% | | | | | | | | | | | | |
BRF SA ADR | | | 98,000 | | | | | | | | (678,160 | ) |
Cia Cervecerias Unidas SA ADR | | | 900 | | | | | | | | (26,469 | ) |
| | | | | | | | | | | | |
| | | | | | | | (704,629 | ) |
| | | | | | | | | | | | |
Forest & Paper Products — (0.0)% | | | | | | | | | | | | |
Fibria Celulose SA ADR | | | 9,200 | | | | | | | | (179,400 | ) |
| | | | | | | | | | | | |
Iron & Steel — (0.0)% | | | | | | | | | | | | |
Cia Siderurgica Nacional SA ADR | | | 30,000 | | | | | | | | (78,900 | ) |
Vale SA ADR | | | 80,300 | | | | | | | | (1,021,416 | ) |
| | | | | | | | | | | | |
| | | | | | | | (1,100,316 | ) |
| | | | | | | | | | | | |
Media — (0.0)% | |
Despegar.com Corp. | | | 6,464 | | | | | | | | (202,000 | ) |
| | | | | | | | | | | | |
See Notes to Consolidated Financial Statements.
116
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | | | |
Security Description | | Shares | | | | | | Value | |
Metals & Mining — (0.1)% | | | | | | | | | | | | |
Nexa Resources SA | | | 6,900 | | | | | | | $ | (120,819 | ) |
Southern Copper Corp. | | | 37,100 | | | | | | | | (2,010,078 | ) |
| | | | | | | | | | | | |
| | | | | | | | (2,130,897 | ) |
| | | | | | | | | | | | |
Oil, Gas & Coal — (0.0)% | | | | | | | | | | | | |
Cosan Ltd. A Shares | | | 200 | | | | | | | | (2,078 | ) |
Ecopetrol SA ADR | | | 36,500 | | | | | | | | (705,545 | ) |
Petroleo Brasileiro SA ADR | | | 3,900 | | | | | | | | (55,146 | ) |
Ultrapar Participacoes SA ADR | | | 8,300 | | | | | | | | (179,446 | ) |
| | | | | | | | | | | | |
| | | | | | | | (942,215 | ) |
| | | | | | | | | | | | |
Passenger Transportation — (0.0)% | | | | | | | | | | | | |
Latam Airlines Group SA ADR | | | 13,500 | | | | | | | | (207,765 | ) |
| | | | | | | | | | | | |
Real Estate — (0.0)% | | | | | | | | | | | | |
Gafisa SA ADR | | | 859 | | | | | | | | (5,377 | ) |
| | | | | | | | | | | | |
Retail—Consumer Staples — (0.0)% | | | | | | | | | | | | |
Cia Brasileira de Distribuicao Grupo Pao de Acucar ADR | | | 1,400 | | | | | | | | (28,280 | ) |
| | | | | | | | | | | | |
Retail—Discretionary — (0.0)% | | | | | | | | | | | | |
Netshoes Cayman Ltd. | | | 1,900 | | | | | | | | (11,248 | ) |
| | | | | | | | | | | | |
Telecommunications — (0.0)% | | | | | | | | | | | | |
Liberty Latin America Ltd. Class C | | | 6,800 | | | | | | | | (129,812 | ) |
Telefonica Brasil SA ADR | | | 4,100 | | | | | | | | (62,976 | ) |
Tim Participacoes SA ADR | | | 1,900 | | | | | | | | (41,173 | ) |
| | | | | | | | | | | | |
| | | | | | | | (233,961 | ) |
| | | | | | | | | | | | |
Utilities — (0.0)% | | | | | | | | | | | | |
Cia de Saneamento Basico do Estado de Sao Paulo ADR | | | 3,600 | | | | | | | | (38,124 | ) |
Cia Paranaense de Energia ADR | | | 200 | | | | | | | | (1,572 | ) |
Enersis SA ADR | | | 7,600 | | | | | | | | (88,312 | ) |
| | | | | | | | | | | | |
| | | | | | | | (128,008 | ) |
| | | | | | | | | | | | |
Total South America | | | | | | | | | | | (7,347,760 | ) |
| | | | | | | | | | | | |
TOTAL COMMON STOCK
(PROCEEDS $1,342,813,297) | | | | | | | | | | | (1,330,615,220 | ) |
| | | | | | | | | | | | |
| | | |
EXCHANGE-TRADED FUNDS — (1.4)% | | | | | | | | | | | | |
Health Care Select Sector SPDR Fund (d) | | | 268,190 | | | | | | | | (21,830,666 | ) |
iShares Nasdaq Biotechnology ETF (d) | | | 106,580 | | | | | | | | (11,376,349 | ) |
iShares Russell 2000 ETF (d) | | | 125,350 | | | | | | | | (19,031,891 | ) |
Powershares QQQ Trust Series 1 (d) | | | 83,650 | | | | | | | | (13,394,874 | ) |
See Notes to Consolidated Financial Statements.
117
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | | | |
Security Description | | Shares | | | | | | Value | |
SPDR S&P 500 ETF Trust (d) | | | 56,240 | | | | | | | $ | (14,799,556 | ) |
VanEck Vectors Semiconductor ETF (d) | | | 19,836 | | | | | | | | (2,068,498 | ) |
| | | | | | | | | | | | |
TOTAL EXCHANGE-TRADED FUNDS
(PROCEEDS $81,643,353) | | | | | | | | | | | (82,501,834 | ) |
| | | | | | | | | | | | |
| | | |
Security Description | | Principal
Amount | | | | | | Value | |
| | | |
MORTGAGE-BACKED SECURITIES — (0.8)% | | | | | | | | | | | | |
North America — (0.8)% | | | | | | | | | | | | |
Collateralized Mortgage Obligation (Reesidential) — (0.8)% | | | | | | | | | |
Government National Mortgage Association, 3.00%, 04/01/48 (d),(m) | | $ | 47,900,000 | | | | | | | | (47,166,555 | ) |
| | | | | | | | | | | | |
TOTAL MORTGAGE-BACKED SECURITIES
(PROCEEDS $46,833,176) | | | | | | | | | | | (47,166,555 | ) |
| | | | | | | | | | | | |
TOTAL SECURITIES SOLD SHORT— (24.3)%
(PROCEEDS $1,471,289,826) | | | | | | | | | | | (1,460,283,609 | ) |
| | | | | | | | | | | | |
Footnote Legend:
| | (b) | Security (or a portion thereof) has been pledged to cover collateral requirements on open derivative contracts and/or securities sold short. |
| | (c) | All or a portion of this security is temporarily on loan to unaffiliated broker/dealers. In addition “Other Assets” may include pending sales that are also on loan. |
| | (d) | Security is held by a consolidated wholly-owned subsidiary of Blackstone Alternative Multi-Strategy Fund. |
| | (e) | Security considered illiquid. |
| | (f) | Security is exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. Security may only be sold to qualified institutional buyers unless registered under the Securities Act of 1933, as amended, or otherwise exempt from registration. |
| | (g) | Variable/Floating interest rate security. Certain variable/floating interest rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. Rate presented is as of March 31, 2018. |
| | (h) | All or a portion of this security is pledged as collateral in connection with reverse repurchase agreements. |
| | (i) | Security is currently in default due to bankruptcy or failure to make payment of principal or interest. |
| | (j) | Non-interest bearing bond. |
| | (k) | Security is perpetual in nature and has no stated maturity. |
| | (l) | Represents a step-up bond. Coupon rate increases in increments to maturity. Rate presented is as of March 31, 2018. Maturity date presented is the ultimate maturity. |
| | (m) | When issued or delayed delivery security included. |
| | (n) | Security is restricted per Rule 12-12.8 of Regulation S-X. First acquisition dates of GCM Offshore Equity Partners LP, Glenview Capital Partners (Cayman), Ltd. and GCM Equity Partners LP are 11/9/2015, 6/1/2016 and 11/9/2015, respectively. |
| | (o) | Rate disclosed, the 7 day net yield, is as of March 31, 2018. |
| | (p) | Assets, other than investments in securities, less liabilities other than securities sold short. |
| | (q) | Preferential dividend rate and maturity date is disclosed, if applicable. |
| | (r) | Security is valued using significant unobservable inputs. |
| | (s) | All or a portion of the security represents an unsettled loan commitment at March 31, 2018 where the rate will be determined at time of settlement. |
See Notes to Consolidated Financial Statements.
118
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
Options Written Contracts Outstanding at March 31, 2018
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | Strike | | Expiration
Date | | Contracts | | | Notional
Amount | | | Premium
Received | | | Market
Value | | | Unrealized
Appreciation
(Depreciation) | |
| | | | |
Exchange-Traded Call Options Written | | | | | | | | | | | | | | | | | |
Euro Stoxx 50 | | 3,500.00 EUR | | 06/15/18 | | | 180 | | | | 6,050,700 | | | $ | (77,072 | ) | | $ | (33,222 | ) | | $ | 43,850 | |
Euro Stoxx Banks Index | | 150.00 EUR | | 06/15/18 | | | 464 | | | | 2,916,008 | | | | (31,571 | ) | | | (2,855 | ) | | | 28,716 | |
Euro-Bund | | 158.50 EUR | | 05/25/18 | | | 60 | | | | 9,565,800 | | | | (47,090 | ) | | | (107,787 | ) | | | (60,697 | ) |
U.S. 5-Year Future | | 114.75 USD | | 05/25/18 | | | 200 | | | | 22,828,000 | | | | (46,875 | ) | | | (67,188 | ) | | | (20,313 | ) |
Vivendi SA | | 21.50 EUR | | 05/18/18 | | | 644 | | | | 1,352,400 | | | | (39,874 | ) | | | (39,874 | ) | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | $ | (242,482 | ) | | $ | (250,926 | ) | | $ | (8,444 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | |
Exchange-Traded Put Options Written | | | | | | | | | | | | | | | | | |
Euro Stoxx Banks Index | | 115.00 EUR | | 09/21/18 | | | 232 | | | | 1,458,004 | | | $ | (78,892 | ) | | $ | (58,164 | ) | | $ | 20,728 | |
U.S. 5-Year Future | | 114.00 USD | | 05/25/18 | | | 300 | | | | 34,242,000 | | | | (76,250 | ) | | | (75,000 | ) | | | 1,250 | |
Vivendi SA | | 20.00 EUR | | 05/18/18 | | | 644 | | | | 1,352,400 | | | | (51,760 | ) | | | (51,760 | ) | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | $ | (206,902 | ) | | $ | (184,924 | ) | | $ | 21,978 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Counterparty | | Strike | | | Expiration
Date | | | Contracts | | | Notional
Amount | | | Premium
Received | | | Market
Value | | | Unrealized
Appreciation
(Depreciation) | |
|
FX OTC Call Options Written | |
USD/EUR Currency | | Deutsche Bank AG | | | 1.31 USD | | | | 12/20/18 | | | | 3,500,000 | | | | — | | | $ | (65,191 | ) | | $ | (45,642 | ) | | $ | 19,549 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
|
FX OTC Put Options Written | |
USD/EUR Currency | | Deutsche Bank AG | | | 1.16 USD | | | | 12/20/18 | | | | 7,000,000 | | | | — | | | $ | (43,947 | ) | | $ | (32,896 | ) | | $ | 11,051 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Options Written Outstanding | | | $ | (558,522 | ) | | $ | (514,388 | ) | | $ | 44,134 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Reverse Repurchase Agreements Outstanding at March 31, 2018
| | | | | | | | | | | | | | | | |
Counterparty | | Interest
Rate | | Trade
Date | | Maturity
Date | | | Face
Value | | | Face Value
Including
Accrued
Interest | |
BNP Paribas Securities Corp. | | 3.37% | | 03/22/18 | | | 04/10/18 | | | $ | 3,066,000 | | | $ | 3,068,871 | |
Credit Suisse Securities (USA) LLC | | 3.31% | | 03/01/18 | | | 04/02/18 | | | | 2,714,000 | | | | 2,721,745 | |
JPMorgan Chase Bank, N.A. | | 3.01% | | 03/08/18 | | | 04/06/18 | | | | 3,105,000 | | | | 3,111,233 | |
JPMorgan Chase Bank, N.A. | | 3.01% | | 03/08/18 | | | 04/06/18 | | | | 3,114,000 | | | | 3,120,251 | |
JPMorgan Chase Bank, N.A. | | 3.35% | | 03/08/18 | | | 06/06/18 | | | | 3,837,000 | | | | 3,845,562 | |
JPMorgan Chase Bank, N.A. | | 3.57% | | 03/21/18 | | | 06/19/18 | | | | 13,159,000 | | | | 13,173,359 | |
JPMorgan Chase Bank, N.A. | | 3.57% | | 03/21/18 | | | 06/19/18 | | | | 7,559,000 | | | | 7,567,248 | |
JPMorgan Chase Bank, N.A. | | 3.57% | | 03/21/18 | | | 06/19/18 | | | | 6,943,000 | | | | 6,950,576 | |
Merrill Lynch, Pierce, Fenner & Smith, Inc. | | 2.76% | | 03/01/18 | | | 04/02/18 | | | | 12,283,000 | | | | 12,312,237 | |
Merrill Lynch, Pierce, Fenner & Smith, Inc. | | 2.80% | | 03/07/18 | | | 04/09/18 | | | | 1,561,000 | | | | 1,564,037 | |
Merrill Lynch, Pierce, Fenner & Smith, Inc. | | 2.91% | | 03/19/18 | | | 04/17/18 | | | | 1,558,000 | | | | 1,559,636 | |
See Notes to Consolidated Financial Statements.
119
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | | | | | | | |
Counterparty | | Interest
Rate | | Trade
Date | | Maturity
Date | | | Face
Value | | | Face Value
Including
Accrued
Interest | |
Merrill Lynch, Pierce, Fenner & Smith, Inc. | | 2.91% | | 03/19/18 | | | 04/17/18 | | | $ | 14,931,000 | | | $ | 14,946,680 | |
Merrill Lynch, Pierce, Fenner & Smith, Inc. | | 2.92% | | 03/20/18 | | | 04/20/18 | | | | 6,306,000 | | | | 6,312,142 | |
Merrill Lynch, Pierce, Fenner & Smith, Inc. | | 2.92% | | 03/20/18 | | | 04/20/18 | | | | 5,863,000 | | | | 5,868,711 | |
Royal Bank of Canada | | 2.89% | | 02/15/18 | | | 05/15/18 | | | | 13,340,000 | | | | 13,388,170 | |
Royal Bank of Canada | | 2.92% | | 01/31/18 | | | 04/30/18 | | | | 4,549,000 | | | | 4,571,156 | |
Royal Bank of Canada | | 2.92% | | 01/31/18 | | | 04/30/18 | | | | 11,830,000 | | | | 11,887,617 | |
Royal Bank of Canada | | 2.99% | | 02/15/18 | | | 05/15/18 | | | | 2,093,000 | | | | 2,100,819 | |
Royal Bank of Canada | | 3.03% | | 03/12/18 | | | 04/12/18 | | | | 3,881,000 | | | | 3,887,532 | |
Royal Bank of Canada | | 3.10% | | 03/08/18 | | | 04/09/18 | | | | 1,624,000 | | | | 1,627,358 | |
Royal Bank of Canada | | 3.10% | | 03/08/18 | | | 04/09/18 | | | | 672,000 | | | | 673,389 | |
Royal Bank of Canada | | 3.13% | | 03/12/18 | | | 04/12/18 | | | | 874,000 | | | | 875,520 | |
Royal Bank of Canada | | 3.23% | | 03/28/18 | | | 04/27/18 | | | | 1,540,000 | | | | 1,540,552 | |
Royal Bank of Canada | | 3.23% | | 03/28/18 | | | 04/27/18 | | | | 14,054,000 | | | | 14,059,039 | |
Royal Bank of Canada | | 3.26% | | 03/16/18 | | | 04/20/18 | | | | 9,003,000 | | | | 9,013,593 | |
Royal Bank of Canada | | 3.27% | | 03/02/18 | | | 06/04/18 | | | | 2,214,000 | | | | 2,220,028 | |
Royal Bank of Canada | | 3.28% | | 03/06/18 | | | 06/06/18 | | | | 2,956,000 | | | | 2,962,992 | |
Royal Bank of Canada | | 3.28% | | 03/12/18 | | | 04/12/18 | | | | 4,141,000 | | | | 4,148,545 | |
Royal Bank of Canada | | 3.30% | | 03/08/18 | | | 04/09/18 | | | | 771,000 | | | | 772,697 | |
Royal Bank of Canada | | 3.30% | | 03/08/18 | | | 04/09/18 | | | | 1,040,000 | | | | 1,042,289 | |
Royal Bank of Canada | | 3.38% | | 03/19/18 | | | 06/19/18 | | | | 4,079,000 | | | | 4,083,975 | |
Royal Bank of Canada | | 3.38% | | 03/29/18 | | | 06/19/18 | | | | 7,495,000 | | | | 7,497,110 | |
Royal Bank of Canada | | 3.40% | | 03/20/18 | | | 06/19/18 | | | | 7,022,000 | | | | 7,029,962 | |
Royal Bank of Canada | | 3.43% | | 03/19/18 | | | 06/19/18 | | | | 4,753,000 | | | | 4,758,883 | |
Royal Bank of Canada | | 3.62% | | 03/28/18 | | | 04/27/18 | | | | 1,846,000 | | | | 1,846,742 | |
| | | | | | | | | | | | | | | | |
Total Reverse Repurchase Agreements Outstanding | | | $ | 185,776,000 | | | $ | 186,110,256 | |
| | | | | | | | | | | | | | | | |
Futures Contracts Outstanding at March 31, 2018
| | | | | | | | | | | | | | | | | | | | |
Description | | Contracts | | | Exchange | | | Notional
Amount | | | Expiration
Date | | | Value/
Unrealized
Appreciaton
(Depreciation) | |
Long Futures | | | | | | | | | | | | | | | | | | | | |
3 Month Euribor | | | 455 | | | | ICE | | | | 113,977,590 EUR | | | | 03/18/19 | | | $ | 90,866 | |
90 Day Eurodollar | | | 2 | | | | CME | | | | 485,193 USD | | | | 03/14/22 | | | | 482 | |
90 Day Eurodollar | | | 2 | | | | CME | | | | 485,205 USD | | | | 12/13/21 | | | | 495 | |
90 Day Eurodollar | | | 4 | | | | CME | | | | 970,060 USD | | | | 03/13/23 | | | | 1,040 | |
90-Day Bank Bill | | | 173 | | | | SFE | | | | 172,152,421 AUD | | | | 12/13/18 | | | | 11,915 | |
Aluminum | | | 136 | | | | LME | | | | 7,293,351 USD | | | | 06/18/18 | | | | (482,301 | ) |
Aluminum | | | 212 | | | | LME | | | | 11,676,376 USD | | | | 04/16/18 | | | | (1,125,401 | ) |
Aluminum | | | 180 | | | | LME | | | | 9,718,168 USD | | | | 05/14/18 | | | | (735,043 | ) |
Amsterdam Index | | | 95 | | | | Euronext | | | | 10,153,294 EUR | | | | 04/20/18 | | | | (149,247 | ) |
Australian 10-Year Bond | | | 833 | | | | SFE | | | | 106,419,564 AUD | | | | 06/15/18 | | | | 1,191,486 | |
Australian Dollar Currency | | | 1,844 | | | | CME | | | | 144,881,056 USD | | | | 06/18/18 | | | | (3,335,616 | ) |
BIST 30 Index | | | 840 | | | | ISE | | | | 12,234,506 TRY | | | | 04/30/18 | | | | (107,496 | ) |
See Notes to Consolidated Financial Statements.
120
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | | | | | | | | | | | |
Description | | Contracts | | | Exchange | | | Notional
Amount | | | Expiration
Date | | | Value/
Unrealized
Appreciaton
(Depreciation) | |
Brent Crude | | | 8 | | | | ICE | | | | 411,997 USD | | | | 10/31/19 | | | $ | 89,203 | |
Brent Crude | | | 14 | | | | ICE | | | | 710,500 USD | | | | 10/31/18 | | | | 223,020 | |
Brent Crude | | | 360 | | | | ICE | | | | 24,072,900 USD | | | | 04/30/18 | | | | 889,500 | |
Brent Crude | | | 510 | | | | ICE | | | | 32,648,922 USD | | | | 05/31/18 | | | | 2,464,578 | |
British Pound Currency | | | 728 | | | | CME | | | | 64,041,520 USD | | | | 06/18/18 | | | | (77,620 | ) |
CAC40 Index | | | 176 | | | | Euronext | | | | 9,236,997 EUR | | | | 04/20/18 | | | | (203,119 | ) |
Canadian 10-Year Bond | | | 673 | | | | CDE | | | | 87,949,652 CAD | | | | 06/20/18 | | | | 1,351,386 | |
Canadian Dollar Currency | | | 1,507 | | | | CME | | | | 116,656,600 USD | | | | 06/19/18 | | | | 324,275 | |
Cocoa | | | 190 | | | | ICE | | | | 4,416,961 USD | | | | 05/15/18 | | | | 439,439 | |
Cocoa | | | 37 | | | | ICE | | | | 661,381 GBP | | | | 05/15/18 | | | | (17,917 | ) |
Copper | | | 145 | | | | LME | | | | 25,310,863 USD | | | | 05/14/18 | | | | (1,017,020 | ) |
Copper | | | 105 | | | | LME | | | | 18,643,372 USD | | | | 04/16/18 | | | | (1,081,465 | ) |
Copper | | | 138 | | | | COMEX | | | | 11,105,191 USD | | | | 05/29/18 | | | | (667,216 | ) |
Copper | | | 95 | | | | LME | | | | 15,954,476 USD | | | | 06/18/18 | | | | (10,507 | ) |
Corn | | | 808 | | | | CBOT | | | | 15,473,836 USD | | | | 07/13/18 | | | | 534,664 | |
Cotton No. 2 | | | 34 | | | | ICE | | | | 1,379,793 USD | | | | 07/09/18 | | | | 10,807 | |
Cotton No. 2 | | | 148 | | | | ICE | | | | 5,814,257 USD | | | | 05/08/18 | | | | 213,783 | |
Crude Palm Oil | | | 167 | | | | MYX | | | | 10,123,221 MYR | | | | 06/14/18 | | | | 298 | |
DAX Index | | | 169 | | | | Eurex | | | | 52,412,748 EUR | | | | 06/15/18 | | | | (1,486,211 | ) |
E-mini Dow | | | 35 | | | | CBOT | | | | 4,365,078 USD | | | | 06/15/18 | | | | (139,353 | ) |
E-mini Russell 2000 | | | 216 | | | | CME | | | | 17,244,989 USD | | | | 06/15/18 | | | | (708,029 | ) |
Euro BUXL 30-Year Bond | | | 33 | | | | Eurex | | | | 5,431,350 EUR | | | | 06/07/18 | | | | 32,225 | |
Euro FX Currency | | | 194 | | | | CME | | | | 30,175,066 USD | | | | 06/18/18 | | | | (205,703 | ) |
Euro Stoxx 50 | | | 424 | | | | Eurex | | | | 14,048,225 EUR | | | | 06/15/18 | | | | (168,306 | ) |
Euro-BTP | | | 592 | | | | Eurex | | | | 80,121,037 EUR | | | | 06/07/18 | | | | 2,513,369 | |
Euro-Bund | | | 1,410 | | | | Eurex | | | | 221,522,774 EUR | | | | 06/07/18 | | | | 4,027,909 | |
Euro-Oat | | | 493 | | | | Eurex | | | | 75,394,209 EUR | | | | 06/07/18 | | | | 1,007,321 | |
Euro-Schatz | | | 758 | | | | Eurex | | | | 84,847,781 EUR | | | | 06/07/18 | | | | 36,014 | |
FTSE 100 Index | | | 165 | | | | ICE | | | | 11,713,553 GBP | | | | 06/15/18 | | | | (244,512 | ) |
FTSE China A50 Index | | | 141 | | | | SGX | | | | 1,779,881 USD | | | | 04/26/18 | | | | 5,884 | |
FTSE KLCI Index | | | 34 | | | | MYX | | | | 3,156,626 MYR | | | | 04/30/18 | | | | 3,587 | |
FTSE/MIB Index | | | 116 | | | | IDEM | | | | 12,909,000 EUR | | | | 06/15/18 | | | | (216,879 | ) |
Gasoline RBOB | | | 93 | | | | NYMEX | | | | 7,824,454 USD | | | | 05/31/18 | | | | 85,196 | |
Gasoline RBOB | | | 187 | | | | NYMEX | | | | 15,058,981 USD | | | | 04/30/18 | | | | 810,811 | |
Gold 100 Oz | | | 363 | | | | COMEX | | | | 48,924,762 USD | | | | 06/27/18 | | | | (743,772 | ) |
Gold 100 Oz | | | 110 | | | | COMEX | | | | 14,674,277 USD | | | | 08/29/18 | | | | (7,977 | ) |
Hang Seng China Enterprises Index | | | 124 | | | | HKFE | | | | 74,774,088 HKD | | | | 04/27/18 | | | | (11,326 | ) |
Hang Seng Index | | | 10 | | | | HKFE | | | | 15,419,182 HKD | | | | 04/27/18 | | | | (50,226 | ) |
Japan 10-Year Bond | | | 62 | | | | OSE | | | | 9,346,043,760 JPY | | | | 06/13/18 | | | | 15,941 | |
Japanese Yen Currency | | | 812 | | | | CME | | | | 96,034,958 USD | | | | 06/18/18 | | | | (179,639 | ) |
JPX-Nikkei Index 400 | | | 77 | | | | OSE | | | | 114,584,700 JPY | | | | 06/07/18 | | | | 21,628 | |
KC HRW Wheat | | | 59 | | | | CBOT | | | | 1,537,653 USD | | | | 05/14/18 | | | | (159,265 | ) |
KOSPI 200 Index | | | 118 | | | | KRX FM | | | | 9,214,873,000 KRW | | | | 06/14/18 | | | | 92,201 | |
Lead | | | 252 | | | | LME | | | | 16,291,372 USD | | | | 04/16/18 | | | | (1,177,672 | ) |
See Notes to Consolidated Financial Statements.
121
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | | | | | | | | | | | |
Description | | Contracts | | | Exchange | | | Notional
Amount | | | Expiration
Date | | | Value/
Unrealized
Appreciaton
(Depreciation) | |
Lead | | | 365 | | | | LME | | | | 22,683,436 USD | | | | 05/14/18 | | | $ | (815,373 | ) |
Lead | | | 83 | | | | LME | | | | 4,973,707 USD | | | | 06/18/18 | | | | (2,007 | ) |
Long Gilt | | | 275 | | | | ICE | | | | 33,316,013 GBP | | | | 06/27/18 | | | | 644,661 | |
Low Sulphur Gasoil | | | 269 | | | | ICE | | | | 15,379,259 USD | | | | 06/12/18 | | | | 1,137,341 | |
Low Sulphur Gasoil | | | 153 | | | | ICE | | | | 9,307,047 USD | | | | 05/10/18 | | | | 148,353 | |
Mexican Peso Currency | | | 317 | | | | CME | | | | 8,440,268 USD | | | | 06/18/18 | | | | 167,867 | |
MSCI EAFE Index | | | 22 | | | | ICE | | | | 2,235,100 USD | | | | 06/15/18 | | | | (34,440 | ) |
MSCI Emerging Market | | | 531 | | | | ICE | | | | 32,518,511 USD | | | | 06/15/18 | | | | (982,421 | ) |
MSCI Singapore Index | | | 354 | | | | SGX | | | | 13,608,496 SGD | | | | 04/27/18 | | | | 264,031 | |
MSCI Taiwan Index | | | 352 | | | | SGX | | | | 14,257,027 USD | | | | 04/27/18 | | | | 94,013 | |
Nasdaq 100 E-Mini | | | 35 | | | | CME | | | | 4,947,936 USD | | | | 06/15/18 | | | | (332,136 | ) |
Natural Gas | | | 3 | | | | NYMEX | | | | 87,729 USD | | | | 09/26/18 | | | | (2,349 | ) |
Natural Gas | | | 368 | | | | NYMEX | | | | 11,206,292 USD | | | | 01/29/19 | | | | 50,828 | |
Natural Gas | | | 825 | | | | NYMEX | | | | 23,130,084 USD | | | | 06/27/18 | | | | 233,916 | |
Natural Gas | | | 941 | | | | NYMEX | | | | 25,546,189 USD | | | | 04/26/18 | | | | 171,341 | |
New Zealand Dollar Currency | | | 146 | | | | CME | | | | 10,693,626 USD | | | | 06/18/18 | | | | (152,426 | ) |
Nickel | | | 144 | | | | LME | | | | 11,343,006 USD | | | | 06/18/18 | | | | 144,738 | |
Nickel | | | 153 | | | | LME | | | | 11,841,885 USD | | | | 04/16/18 | | | | 328,959 | |
Nickel | | | 154 | | | | LME | | | | 12,525,778 USD | | | | 05/14/18 | | | | (259,678 | ) |
Nikkei 225 | | | 51 | | | | SGX | | | | 542,151,875 JPY | | | | 06/07/18 | | | | 45,328 | |
Nikkei 225 Yen | | | 5 | | | | CME | | | | 53,505,000 JPY | | | | 06/07/18 | | | | 1,715 | |
Norwegian Krone Currency | | | 330 | | | | CME | | | | 85,902,299 USD | | | | 06/18/18 | | | | (1,580,699 | ) |
NY Harbor ULSD | | | 253 | | | | NYMEX | | | | 19,954,862 USD | | | | 05/31/18 | | | | 1,499,032 | |
NY Harbor ULSD | | | 197 | | | | NYMEX | | | | 15,838,278 USD | | | | 04/30/18 | | | | 883,476 | |
OMXS30 Index | | | 5,649 | | | | Nasdaq OMX | | | | 856,888,306 SEK | | | | 04/20/18 | | | | 481,364 | |
Palladium | | | 38 | | | | NYMEX | | | | 3,741,699 USD | | | | 06/27/18 | | | | (155,259 | ) |
Platinum | | | 96 | | | | NYMEX | | | | 4,589,895 USD | | | | 07/27/18 | | | | (113,415 | ) |
Platinum | | | 231 | | | | NYMEX | | | | 11,108,741 USD | | | | 10/29/18 | | | | (258,671 | ) |
S&P 500 E-mini | | | 87 | | | | CME | | | | 12,111,515 USD | | | | 06/15/18 | | | | (614,465 | ) |
S&P Mid 400 E-mini | | | 28 | | | | CME | | | | 5,453,189 USD | | | | 06/15/18 | | | | (180,509 | ) |
S&P/TSX 60 Index | | | 31 | | | | CDE | | | | 5,687,232 CAD | | | | 06/14/18 | | | | (54,358 | ) |
SET50 Index | | | 324 | | | | TFEX | | | | 76,983,427 THB | | | | 06/28/18 | | | | (47,695 | ) |
SGX Nifty 50 | | | 17 | | | | SGX | | | | 341,729 USD | | | | 04/26/18 | | | | 6,516 | |
Short-Term Euro-BTP | | | 345 | | | | Eurex | | | | 38,722,559 EUR | | | | 06/07/18 | | | | 229,529 | |
Silver | | | 85 | | | | COMEX | | | | 7,052,517 USD | | | | 05/29/18 | | | | (138,617 | ) |
Silver | | | 44 | | | | COMEX | | | | 3,675,101 USD | | | | 07/27/18 | | | | (77,221 | ) |
Soybean | | | 225 | | | | CBOT | | | | 11,850,099 USD | | | | 05/14/18 | | | | (96,662 | ) |
Soybean Meal | | | 125 | | | | CBOT | | | | 4,809,177 USD | | | | 05/14/18 | | | | (9,177 | ) |
Soybean Oil | | | 705 | | | | CBOT | | | | 13,633,551 USD | | | | 07/13/18 | | | | (42,561 | ) |
SPI 200 | | | 869 | | | | SFE | | | | 129,253,393 AUD | | | | 06/21/18 | | | | (3,562,824 | ) |
STOXX Europe 600 Banks | | | 1,964 | | | | Eurex | | | | 17,275,365 EUR | | | | 06/15/18 | | | | (739,506 | ) |
Swiss Franc Currency | | | 58 | | | | CME | | | | 7,718,516 USD | | | | 06/18/18 | | | | (95,866 | ) |
Swiss Market Index | | | 870 | | | | Eurex | | | | 74,570,577 CHF | | | | 06/15/18 | | | | 233,602 | |
TOPIX Index | | | 957 | | | | OSE | | | | 16,283,780,060 JPY | | | | 06/07/18 | | | | 1,345,096 | |
See Notes to Consolidated Financial Statements.
122
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | | | | | | | | | | | |
Description | | Contracts | | | Exchange | | | Notional
Amount | | | Expiration
Date | | | Value/
Unrealized
Appreciaton
(Depreciation) | |
U.S. Treasury 10-Year Note | | | 3,083 | | | | CBOT | | | | 370,186,263 USD | | | | 06/20/18 | | | $ | 3,290,284 | |
Ultra U.S. Treasury Bond | | | 34 | | | | CBOT | | | | 5,280,961 USD | | | | 06/20/18 | | | | 174,977 | |
WTI Crude | | | 2 | | | | NYMEX | | | | 99,956 USD | | | | 11/20/20 | | | | 8,764 | |
WTI Crude | | | 2 | | | | NYMEX | | | | 98,276 USD | | | | 11/20/19 | | | | 16,464 | |
WTI Crude | | | 287 | | | | NYMEX | | | | 15,190,517 USD | | | | 11/19/18 | | | | 2,577,653 | |
WTI Crude | | | 134 | | | | NYMEX | | | | 8,259,069 USD | | | | 04/20/18 | | | | 442,891 | |
WTI Crude | | | 263 | | | | NYMEX | | | | 16,358,452 USD | | | | 05/22/18 | | | | 702,358 | |
Zinc | | | 94 | | | | LME | | | | 7,624,046 USD | | | | 06/18/18 | | | | 76,904 | |
Zinc | | | 180 | | | | LME | | | | 15,006,677 USD | | | | 05/14/18 | | | | (255,677 | ) |
Zinc | | | 153 | | | | LME | | | | 13,157,686 USD | | | | 04/16/18 | | | | (607,861 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | $ | 6,170,613 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Short Futures | | | | | | | | | | | | | | | | | | | | |
3 Month Euribor | | | 2 | | | | ICE | | | | 501,186 EUR | | | | 06/18/18 | | | $ | (509 | ) |
3 Month Euribor | | | 1 | | | | ICE | | | | 250,324 EUR | | | | 03/18/19 | | | | (417 | ) |
3 Month Euribor | | | 1 | | | | ICE | | | | 250,462 EUR | | | | 12/17/18 | | | | (355 | ) |
90 Day Eurodollar | | | 6 | | | | CME | | | | 1,470,484 USD | | | | 12/16/19 | | | | 12,259 | |
90 Day Eurodollar | | | 13 | | | | CME | | | | 3,180,160 USD | | | | 09/16/19 | | | | 18,722 | |
90 Day Eurodollar | | | 66 | | | | CME | | | | 16,202,161 USD | | | | 06/18/18 | | | | 81,661 | |
90 Day Eurodollar | | | 67 | | | | CME | | | | 16,416,169 USD | | | | 09/17/18 | | | | 63,981 | |
90 Day Eurodollar | | | 16 | | | | CME | | | | 3,906,639 USD | | | | 03/16/20 | | | | 18,439 | |
90 Day Eurodollar | | | 6 | | | | CME | | | | 1,457,609 USD | | | | 09/13/21 | | | | 209 | |
90 Day Eurodollar | | | 10 | | | | CME | | | | 2,441,499 USD | | | | 06/15/20 | | | | 11,499 | |
90 Day Eurodollar | | | 18 | | | | CME | | | | 4,403,015 USD | | | | 03/18/19 | | | | 19,565 | |
90 Day Eurodollar | | | 36 | | | | CME | | | | 8,806,064 USD | | | | 12/17/18 | | | | 30,614 | |
90 Day Eurodollar | | | 566 | | | | CME | | | | 137,727,374 USD | | | | 06/17/19 | | | | 12,499 | |
90 Day Eurodollar | | | 11 | | | | CME | | | | 2,680,321 USD | | | | 03/15/21 | | | | 8,146 | |
90 Day Eurodollar | | | 16 | | | | CME | | | | 3,908,733 USD | | | | 09/14/20 | | | | 21,133 | |
90 Day Eurodollar | | | 8 | | | | CME | | | | 1,956,754 USD | | | | 12/14/20 | | | | 13,454 | |
90 Day Eurodollar | | | 7 | | | | CME | | | | 1,700,832 USD | | | | 06/14/21 | | | | 444 | |
90 Day Eurodollar | | | 2 | | | | CME | | | | 485,045 USD | | | | 12/19/22 | | | | (530 | ) |
90 Day Eurodollar | | | 1 | | | | CME | | | | 242,609 USD | | | | 06/13/22 | | | | (216 | ) |
90 Day Eurodollar | | | 10 | | | | CME | | | | 2,424,974 USD | | | | 06/19/23 | | | | (2,401 | ) |
90 Day Eurodollar | | | 1 | | | | CME | | | | 242,571 USD | | | | 09/19/22 | | | | (241 | ) |
90 Day Sterling | | | 3 | | | | ICE | | | | 372,248 GBP | | | | 06/20/18 | | | | 926 | |
90 Day Sterling | | | 3 | | | | ICE | | | | 371,998 GBP | | | | 09/19/18 | | | | 997 | |
90 Day Sterling | | | 4 | | | | ICE | | | | 495,635 GBP | | | | 12/19/18 | | | | 1,452 | |
90 Day Sterling | | | 296 | | | | ICE | | | | 36,581,794 GBP | | | | 03/20/19 | | | | 10,234 | |
90 Day Sterling | | | 3 | | | | ICE | | | | 371,348 GBP | | | | 06/19/19 | | | | 1,295 | |
90 Day Sterling | | | 3 | | | | ICE | | | | 371,148 GBP | | | | 09/18/19 | | | | 1,330 | |
90 Day Sterling | | | 3 | | | | ICE | | | | 370,935 GBP | | | | 12/18/19 | | | | 1,347 | |
90 Day Sterling | | | 3 | | | | ICE | | | | 370,798 GBP | | | | 03/18/20 | | | | 1,365 | |
90 Day Sterling | | | 3 | | | | ICE | | | | 370,660 GBP | | | | 06/17/20 | | | | 1,382 | |
90 Day Sterling | | | 3 | | | | ICE | | | | 370,535 GBP | | | | 09/16/20 | | | | 1,365 | |
Aluminum | | | 212 | | | | LME | | | | 11,586,909 USD | | | | 04/16/18 | | | | 1,035,934 | |
See Notes to Consolidated Financial Statements.
123
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | | | | | | | | | | | |
Description | | Contracts | | | Exchange | | | Notional
Amount | | | Expiration
Date | | | Value/
Unrealized
Appreciaton
(Depreciation) | |
Aluminum | | | 180 | | | | LME | | | | 9,477,351 USD | | | | 05/14/18 | | | $ | 494,226 | |
Aluminum | | | 135 | | | | LME | | | | 7,008,022 USD | | | | 06/18/18 | | | | 247,053 | |
Amsterdam Index | | | 9 | | | | Euronext | | | | 965,320 EUR | | | | 04/20/18 | | | | 18,358 | |
Australian 10-Year Bond | | | 592 | | | | SFE | | | | 76,121,435 AUD | | | | 06/15/18 | | | | (469,869 | ) |
Australian 3-Year Bond | | | 218 | | | | SFE | | | | 24,183,655 AUD | | | | 06/15/18 | | | | (40,123 | ) |
Australian Dollar Currency | | | 357 | | | | CME | | | | 27,651,099 USD | | | | 06/18/18 | | | | 247,779 | |
Bank Acceptance | | | 126 | | | | CDE | | | | 30,781,313 CAD | | | | 03/18/19 | | | | (1,600 | ) |
British Pound Currency | | | 354 | | | | CME | | | | 31,058,201 USD | | | | 06/18/18 | | | | (45,124 | ) |
CAC40 Index | | | 28 | | | | Euronext | | | | 1,455,888 EUR | | | | 04/20/18 | | | | 15,538 | |
Canadian 10-Year Bond | | | 2,157 | | | | CDE | | | | 283,465,567 CAD | | | | 06/20/18 | | | | (3,103,056 | ) |
Canadian Dollar Currency | | | 908 | | | | CME | | | | 69,893,815 USD | | | | 06/19/18 | | | | (589,685 | ) |
Canola | | | 29 | | | | ICE | | | | 291,997 CAD | | | | 05/14/18 | | | | (8,669 | ) |
Cattle Feeder | | | 140 | | | | CME | | | | 10,386,063 USD | | | | 08/30/18 | | | | 556,313 | |
Cattle Feeder | | | 26 | | | | CME | | | | 1,788,782 USD | | | | 05/24/18 | | | | 46,456 | |
Cocoa | | | 696 | | | | ICE | | | | 16,683,031 USD | | | | 07/16/18 | | | | (1,301,609 | ) |
Coffee | | | 231 | | | | ICE | | | | 10,609,574 USD | | | | 05/18/18 | | | | 374,831 | |
Coffee | | | 284 | | | | ICE | | | | 13,497,535 USD | | | | 07/19/18 | | | | 696,235 | |
Coffee Robusta | | | 84 | | | | ICE | | | | 1,477,206 USD | | | | 05/31/18 | | | | 28,206 | |
Copper | | | 145 | | | | LME | | | | 25,223,524 USD | | | | 05/14/18 | | | | 929,680 | |
Copper | | | 105 | | | | LME | | | | 18,629,741 USD | | | | 04/16/18 | | | | 1,067,835 | |
Copper | | | 92 | | | | LME | | | | 15,839,122 USD | | | | 06/18/18 | | | | 398,647 | |
Corn | | | 138 | | | | CBOT | | | | 2,583,592 USD | | | | 05/14/18 | | | | (91,883 | ) |
DAX Index | | | 84 | | | | Eurex | | | | 25,696,257 EUR | | | | 06/15/18 | | | | 301,838 | |
Dollar Index | | | 81 | | | | ICE | | | | 7,255,153 USD | | | | 06/18/18 | | | | (19,619 | ) |
E-Mini Russell 2000 | | | 210 | | | | CME | | | | 16,813,573 USD | | | | 06/15/18 | | | | 735,972 | |
Euro BUXL 30-Year Bond | | | 41 | | | | Eurex | | | | 6,538,640 EUR | | | | 06/07/18 | | | | (297,695 | ) |
Euro FX Currency | | | 459 | | | | CME | | | | 71,529,380 USD | | | | 06/18/18 | | | | 622,486 | |
Euro Stoxx 50 | | | 9,585 | | | | Eurex | | | | 317,908,162 EUR | | | | 06/15/18 | | | | 4,213,443 | |
Euro-BOBL | | | 281 | | | | Eurex | | | | 36,679,383 EUR | | | | 06/07/18 | | | | (248,387 | ) |
Euro-Bund | | | 45 | | | | Eurex | | | | 7,091,752 EUR | | | | 06/07/18 | | | | (101,633 | ) |
Euro-Oat | | | 47 | | | | Eurex | | | | 7,159,907 EUR | | | | 06/07/18 | | | | (130,210 | ) |
Euro-Schatz | | | 731 | | | | Eurex | | | | 81,759,410 EUR | | | | 06/07/18 | | | | (116,050 | ) |
FTSE 100 Index | | | 1,190 | | | | ICE | | | | 84,090,683 GBP | | | | 06/15/18 | | | | 1,217,852 | |
FTSE/JSE Top 40 | | | 4 | | | | Safex | | | | 1,974,456 ZAR | | | | 06/21/18 | | | | (80 | ) |
Hang Seng Index | | | 302 | | | | HKFE | | | | 456,558,246 HKD | | | | 04/27/18 | | | | 357,186 | |
Japan 10-Year Bond | | | 97 | | | | OSE | | | | 14,618,283,275 JPY | | | | 06/13/18 | | | | (60,211 | ) |
Japanese Yen Currency | | | 424 | | | | CME | | | | 50,386,790 USD | | | | 06/18/18 | | | | 334,409 | |
KC HRW Wheat | | | 156 | | | | CBOT | | | | 3,939,459 USD | | | | 07/13/18 | | | | 146,709 | |
Lead | | | 365 | | | | LME | | | | 22,926,071 USD | | | | 05/14/18 | | | | 1,058,008 | |
Lead | | | 252 | | | | LME | | | | 16,110,903 USD | | | | 04/16/18 | | | | 997,203 | |
Lead | | | 229 | | | | LME | | | | 13,586,224 USD | | | | 06/18/18 | | | | (130,876 | ) |
Lean Hogs | | | 96 | | | | CME | | | | 2,927,079 USD | | | | 06/14/18 | | | | (12,441 | ) |
Lean Hogs | | | 521 | | | | CME | | | | 16,306,077 USD | | | | 07/16/18 | | | | 144,657 | |
Live Cattle | | | 326 | | | | CME | | | | 14,307,957 USD | | | | 08/31/18 | | | | 1,075,617 | |
Live Cattle | | | 183 | | | | CME | | | | 7,899,432 USD | | | | 06/29/18 | | | | 390,942 | |
See Notes to Consolidated Financial Statements.
124
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | | | | | | | | | | | |
Description | | Contracts | | | Exchange | | | Notional
Amount | | | Expiration
Date | | | Value/
Unrealized
Appreciaton
(Depreciation) | |
Long Gilt | | | 362 | | | | ICE | | | | 44,087,472 GBP | | | | 06/27/18 | | | $ | (523,836 | ) |
Mexican Peso Currency | | | 203 | | | | CME | | | | 5,368,371 USD | | | | 06/18/18 | | | | (144,094 | ) |
MSCI Emerging Market | | | 33 | | | | ICE | | | | 2,023,725 USD | | | | 06/15/18 | | | | 63,855 | |
Nasdaq 100 E-Mini | | | 51 | | | | CME | | | | 7,266,884 USD | | | | 06/15/18 | | | | 541,004 | |
Natural Gas | | | 1,193 | | | | NYMEX | | | | 33,493,229 USD | | | | 08/29/18 | | | | (304,461 | ) |
Natural Gas | | | 405 | | | | NYMEX | | | | 10,887,434 USD | | | | 04/26/18 | | | | (181,216 | ) |
Natural Gas | | | 471 | | | | NYMEX | | | | 12,996,423 USD | | | | 05/29/18 | | | | (87,957 | ) |
New Zealand Dollar Currency | | | 176 | | | | CME | | | | 12,685,770 USD | | | | 06/18/18 | | | | (21,430 | ) |
Nickel | | | 2 | | | | LME | | | | 162,712 USD | | | | 06/18/18 | | | | 3,160 | |
Nickel | | | 153 | | | | LME | | | | 12,395,301 USD | | | | 04/16/18 | | | | 224,457 | |
Nickel | | | 154 | | | | LME | | | | 12,556,379 USD | | | | 05/14/18 | | | | 290,279 | |
OMXS30 Index | | | 141 | | | | Nasdaq OMX | | | | 21,296,574 SEK | | | | 04/20/18 | | | | (22,974 | ) |
Palladium | | | 152 | | | | NYMEX | | | | 14,882,439 USD | | | | 09/26/18 | | | | 614,959 | |
S&P 500 | | | 94 | | | | CME | | | | 65,285,128 USD | | | | 06/14/18 | | | | 3,174,628 | |
S&P 500 E-Mini | | | 487 | | | | CME | | | | 66,375,177 USD | | | | 06/15/18 | | | | 2,018,127 | |
S&P/TSX 60 Index | | | 575 | | | | CDE | | | | 105,438,872 CAD | | | | 06/14/18 | | | | 969,358 | |
Silver | | | 233 | | | | COMEX | | | | 19,211,918 USD | | | | 05/29/18 | | | | 259,698 | |
Soybean | | | 167 | | | | CBOT | | | | 8,703,991 USD | | | | 07/13/18 | | | | (109,434 | ) |
Soybean Oil | | | 248 | | | | CBOT | | | | 4,740,082 USD | | | | 05/14/18 | | | | (2,174 | ) |
SPI 200 | | | 22 | | | | SFE | | | | 3,184,456 AUD | | | | 06/21/18 | | | | 22,778 | |
STOXX Europe 600 Banks | | | 114 | | | | Eurex | | | | 2,076,105 EUR | | | | 06/15/18 | | | | (1,200 | ) |
Sugar 11 | | | 739 | | | | ICE | | | | 11,119,625 USD | | | | 04/30/18 | | | | 897,777 | |
Sugar 11 | | | 422 | | | | ICE | | | | 6,055,902 USD | | | | 06/29/18 | | | | 166,808 | |
Swedish Krona Currency | | | 174 | | | | CME | | | | 42,733,683 USD | | | | 06/18/18 | | | | 862,323 | |
Swiss Franc Currency | | | 3,234 | | | | CME | | | | 431,054,376 USD | | | | 06/18/18 | | | | 5,972,419 | |
U.S. Treasury 10-Year Note | | | 950 | | | | CBOT | | | | 114,078,066 USD | | | | 06/20/18 | | | | (1,005,528 | ) |
U.S. Treasury 2-Year Note | | | 469 | | | | CBOT | | | | 99,687,334 USD | | | | 06/29/18 | | | | (26,463 | ) |
U.S. Treasury 5-Year Note | | | 1,319 | | | | CBOT | | | | 150,467,663 USD | | | | 06/29/18 | | | | (506,314 | ) |
U.S. Treasury Long Bond | | | 165 | | | | CBOT | | | | 23,635,910 USD | | | | 06/20/18 | | | | (557,215 | ) |
Ultra 10-Year U.S. Treasury Note | | | 94 | | | | CBOT | | | | 12,049,125 USD | | | | 06/20/18 | | | | (157,656 | ) |
Ultra U.S. Treasury Bond | | | 50 | | | | CBOT | | | | 7,780,211 USD | | | | 06/20/18 | | | | (243,227 | ) |
Wheat | | | 86 | | | | CBOT | | | | 1,944,172 USD | | | | 05/14/18 | | | | 4,872 | |
Wheat | | | 88 | | | | CBOT | | | | 2,061,906 USD | | | | 07/13/18 | | | | 506 | |
White Sugar | | | 83 | | | | ICE | | | | 1,479,511 USD | | | | 04/13/18 | | | | 22,031 | |
WTI Crude | | | 62 | | | | NYMEX | | | | 3,812,707 USD | | | | 04/20/18 | | | | (213,573 | ) |
Zinc | | | 172 | | | | LME | | | | 13,941,374 USD | | | | 06/18/18 | | | | (149,726 | ) |
Zinc | | | 180 | | | | LME | | | | 15,315,711 USD | | | | 05/14/18 | �� | | | 564,711 | |
Zinc | | | 153 | | | | LME | | | | 13,214,156 USD | | | | 04/16/18 | | | | 664,331 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | $ | 24,393,845 | |
| | | | | | | | | | | | | | | | | | | | |
Total Futures Contracts Outstanding | | | | | | | | | | | | | | | $ | 30,564,458 | |
| | | | | | | | | | | | | | | | | | | | |
See Notes to Consolidated Financial Statements.
125
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
Forward Foreign Currency Exchange Contracts Outstanding at March 31, 2018
| | | | | | | | | | | | | | | | | | | | |
Currency Purchased | | Amount in Currency Purchased | | | Currency Sold | | Amount in Currency Sold | | | Counterparty | | Settlement Date | | | Unrealized Appreciation (Depreciation) | |
AUD | | | 921,000 | | | USD | | | 718,117 | | | Merrill Lynch International | | | 06/20/18 | | | $ | (10,631 | ) |
AUD | | | 259,091 | | | USD | | | 202,314 | | | Morgan Stanley & Co. LLC | | | 06/20/18 | | | | (3,282 | ) |
BRL | | | 40,497,258 | | | USD | | | 12,325,618 | | | Merrill Lynch International | | | 04/03/18 | | | | (59,112 | ) |
BRL | | | 16,922,747 | | | USD | | | 5,053,699 | | | Merrill Lynch International | | | 05/03/18 | | | | 60,225 | |
BRL | | | 47,904,495 | | | USD | | | 14,759,827 | | | Morgan Stanley & Co.
International PLC | | | 04/03/18 | | | | (249,689 | ) |
CAD | | | 1,901,388 | | | USD | | | 1,475,769 | | | Merrill Lynch International | | | 06/20/18 | | | | 2,277 | |
CHF | | | 10,510,074 | | | USD | | | 11,094,266 | | | Morgan Stanley & Co. LLC | | | 06/20/18 | | | | (28,930 | ) |
CHF | | | 4,272,732 | | | USD | | | 4,478,285 | | | State Street Bank and Trust
Company | | | 04/03/18 | | | | (8,900 | ) |
CHF | | | 2,121,412 | | | USD | | | 2,218,191 | | | State Street Bank and Trust
Company | | | 04/04/18 | | | | 859 | |
CLP | | | 4,027,251,580 | | | USD | | | 6,641,319 | | | Merrill Lynch International | | | 06/20/18 | | | | 26,826 | |
COP | | | 1,427,920,000 | | | USD | | | 505,458 | | | Morgan Stanley & Co.
International plc | | | 04/02/18 | | | | 5,597 | |
COP | | | 1,427,920,000 | | | USD | | | 513,633 | | | JPMorgan Chase Bank, N.A. | | | 04/02/18 | | | | (2,577 | ) |
CZK | | | 468,200,630 | | | EUR | | | 18,409,969 | | | Morgan Stanley & Co.
International PLC | | | 06/20/18 | | | | (209 | ) |
CZK | | | 167,120,056 | | | USD | | | 8,174,733 | | | Merrill Lynch International | | | 06/20/18 | | | | (43,355 | ) |
EUR | | | 13,670,618 | | | GBP | | | 12,000,000 | | | State Street Bank and Trust
Company | | | 04/26/18 | | | | (4,158 | ) |
EUR | | | 8,112,500 | | | RON | | | 38,046,001 | | | Morgan Stanley & Co.
International PLC | | | 06/20/18 | | | | (20,976 | ) |
EUR | | | 2,414,000 | | | USD | | | 3,012,459 | | | Merrill Lynch International | | | 06/20/18 | | | | (25,318 | ) |
EUR | | | 1,568,315 | | | USD | | | 1,945,317 | | | Morgan Stanley & Co. LLC | | | 06/20/18 | | | | (4,615 | ) |
EUR | | | 1,455,632 | | | USD | | | 1,823,086 | | | Bank Of America, N.a. | | | 06/20/18 | | | | (21,852 | ) |
EUR | | | 10,831,829 | | | USD | | | 13,360,000 | | | UBS AG | | | 04/24/18 | | | | (13,061 | ) |
GBP | | | 10,000 | | | USD | | | 13,910 | | | Deutsche Bank AG | | | 04/09/18 | | | | 123 | |
GBP | | | 1,142,000 | | | USD | | | 1,597,881 | | | Merrill Lynch International | | | 06/20/18 | | | | 9,447 | |
GBP | | | 4,831,759 | | | USD | | | 6,799,042 | | | Morgan Stanley & Co. LLC | | | 06/20/18 | | | | 1,626 | |
GBP | | | 10,000 | | | USD | | | 14,066 | | | Deutsche Bank AG | | | 04/23/18 | | | | (25 | ) |
HKD | | | 1,487,082 | | | USD | | | 190,000 | | | Merrill Lynch International | | | 06/20/18 | | | | (37 | ) |
HUF | | | 1,478,572,320 | | | USD | | | 5,880,917 | | | Merrill Lynch International | | | 06/20/18 | | | | (25,771 | ) |
ILS | | | 27,386,734 | | | USD | | | 7,971,720 | | | Merrill Lynch International | | | 06/20/18 | | | | (125,861 | ) |
INR | | | 1,811,216,468 | | | USD | | | 27,505,958 | | | Merrill Lynch International | | | 06/20/18 | | | | 15,303 | |
INR | | | 769,260,000 | | | USD | | | 11,706,894 | | | State Street Bank and Trust
Company | | | 06/18/18 | | | | (15,512 | ) |
INR | | | 204,246,600 | | | USD | | | 3,100,000 | | | Morgan Stanley & Co.
International plc | | | 06/06/18 | | | | 7,780 | |
KRW | | | 19,858,803,344 | | | USD | | | 18,560,397 | | | Merrill Lynch International | | | 06/20/18 | | | | 136,916 | |
KRW | | | 3,274,401,790 | | | USD | | | 3,073,932 | | | Morgan Stanley & Co.
International plc | | | 04/04/18 | | | | (1,849 | ) |
MXN | | | 122,668,809 | | | USD | | | 6,496,965 | | | Barclays Bank plc | | | 06/20/18 | | | | 170,090 | |
MXN | | | 439,000,000 | | | USD | | | 23,406,393 | | | Deutsche Bank AG | | | 06/15/18 | | | | 468,914 | |
NOK | | | 148,000,000 | | | EUR | | | 15,402,617 | | | Morgan Stanley & Co.
International plc | | | 04/30/18 | | | | (91,806 | ) |
NOK | | | 57,298,319 | | | USD | | | 7,352,150 | | | Merrill Lynch International | | | 06/20/18 | | | | (24,313 | ) |
See Notes to Consolidated Financial Statements.
126
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | | | | | | | | | | | |
Currency Purchased | | Amount in Currency Purchased | | | Currency Sold | | Amount in Currency Sold | | | Counterparty | | Settlement Date | | | Unrealized Appreciation (Depreciation) | |
NOK | | | 63,000,000 | | | USD | | | 8,133,230 | | | State Street Bank and Trust
Company | | | 06/18/18 | | | $ | (76,807 | ) |
PEN | | | 36,012,842 | | | USD | | | 11,110,809 | | | Barclays Bank plc | | | 04/20/18 | | | | 46,645 | |
PLN | | | 27,830,758 | | | USD | | | 8,189,442 | | | Merrill Lynch International | | | 06/20/18 | | | | (46,733 | ) |
RON | | | 38,046,001 | | | EUR | | | 8,112,327 | | | Morgan Stanley & Co.
International PLC | | | 06/20/18 | | | | 21,190 | |
RUB | | | 446,247,965 | | | USD | | | 7,764,893 | | | Merrill Lynch International | | | 06/20/18 | | | | (41,273 | ) |
SEK | | | 45,991,736 | | | USD | | | 5,604,973 | | | Merrill Lynch International | | | 06/20/18 | | | | (65,125 | ) |
SEK | | | 41,000,000 | | | USD | | | 4,990,601 | | | JPMorgan Chase Bank, N.A. | | | 04/24/18 | | | | (73,280 | ) |
SGD | | | 18,009,829 | | | USD | | | 13,719,629 | | | Merrill Lynch International | | | 06/20/18 | | | | 44,198 | |
THB | | | 115,000,000 | | | USD | | | 3,689,800 | | | State Street Bank and Trust
Company | | | 06/18/18 | | | | (2,487 | ) |
TRY | | | 9,468,212 | | | USD | | | 2,404,386 | | | Merrill Lynch International | | | 06/20/18 | | | | (59,151 | ) |
TRY | | | 7,700,000 | | | USD | | | 1,926,394 | | | UBS AG | | | 04/24/18 | | | | 12,416 | |
TRY | | | 22,342,859 | | | USD | | | 5,484,002 | | | Barclays Bank plc | | | 06/20/18 | | | | 50,227 | |
TWD | | | 373,695,591 | | | USD | | | 12,888,882 | | | Merrill Lynch International | | | 06/20/18 | | | | (222 | ) |
ZAR | | | 79,130,777 | | | USD | | | 6,572,501 | | | Merrill Lynch International | | | 06/20/18 | | | | 42,871 | |
ZAR | | | 193,265,510 | | | USD | | | 16,325,469 | | | Bank Of America, N.a. | | | 06/20/18 | | | | (168,378 | ) |
USD | | | 129,186 | | | AUD | | | 164,000 | | | Merrill Lynch International | | | 06/20/18 | | | | 3,206 | |
USD | | | 317,841 | | | AUD | | | 414,464 | | | Morgan Stanley & Co. LLC | | | 06/20/18 | | | | (547 | ) |
USD | | | 19,293,653 | | | AUD | | | 25,000,000 | | | Morgan Stanley & Co.
International plc | | | 05/23/18 | | | | 91,240 | |
USD | | | 12,173,623 | | | BRL | | | 40,497,258 | | | Merrill Lynch International | | | 04/03/18 | | | | (92,885 | ) |
USD | | | 14,714,251 | | | BRL | | | 48,064,671 | | | Morgan Stanley & Co.
International PLC | | | 04/03/18 | | | | 155,595 | |
USD | | | 2,485,358 | | | BRL | | | 8,190,000 | | | Morgan Stanley & Co.
International plc | | | 04/23/18 | | | | 8,658 | |
USD | | | 128,642 | | | BRL | | | 428,396 | | | Merrill Lynch International | | | 05/03/18 | | | | (816 | ) |
USD | | | 2,507,899 | | | BRL | | | 8,202,336 | | | Deutsche Bank AG | | | 05/07/18 | | | | 30,241 | |
USD | | | 1,550,291 | | | CAD | | | 2,000,000 | | | State Street Bank and Trust
Company | | | 06/08/18 | | | | (3,971 | ) |
USD | | | 427,000 | | | CAD | | | 547,096 | | | Merrill Lynch International | | | 06/20/18 | | | | 1,715 | |
USD | | | 271,343 | | | CAD | | | 350,000 | | | UBS AG | | | 04/24/18 | | | | (440 | ) |
USD | | | 38,293,328 | | | CHF | | | 36,155,195 | | | Morgan Stanley & Co. LLC | | | 06/20/18 | | | | 228,003 | |
USD | | | 7,493,323 | | | CHF | | | 7,100,000 | | | JPMorgan Chase Bank, N.A. | | | 04/25/18 | | | | 53,847 | |
USD | | | 28,597,454 | | | CHF | | | 27,000,000 | | | Deutsche Bank AG | | | 04/25/18 | | | | 306,488 | |
USD | | | 229,493 | | | CLP | | | 139,050,023 | | | Merrill Lynch International | | | 06/20/18 | | | | (740 | ) |
USD | | | 1,000,000 | | | CLP | | | 609,600,000 | | | Deutsche Bank AG | | | 06/21/18 | | | | (9,214 | ) |
USD | | | 1,800,000 | | | CLP | | | 1,094,040,000 | | | Morgan Stanley & Co.
International plc | | | 04/26/18 | | | | (11,851 | ) |
USD | | | 700,000 | | | CLP | | | 420,630,000 | | | Morgan Stanley & Co.
International plc | | | 04/30/18 | | | | 3,374 | |
USD | | | 1,000,000 | | | CLP | | | 603,450,000 | | | Deutsche Bank AG | | | 05/14/18 | | | | 656 | |
USD | | | 8,435,042 | | | CNH | | | 53,655,302 | | | Morgan Stanley & Co.
International PLC | | | 06/20/18 | | | | (90,421 | ) |
USD | | | 1,663,201 | | | COP | | | 4,759,700,000 | | | Deutsche Bank AG | | | 05/11/18 | | | | (39,033 | ) |
USD | | | 513,633 | | | COP | | | 1,427,920,000 | | | Morgan Stanley & Co.
International plc | | | 04/02/18 | | | | 2,577 | |
USD | | | 1,514,709 | | | COP | | | 4,316,048,000 | | | Morgan Stanley & Co.
International plc | | | 04/09/18 | | | | (29,847 | ) |
See Notes to Consolidated Financial Statements.
127
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | | | | | | | | | | | |
Currency Purchased | | Amount in Currency Purchased | | | Currency Sold | | Amount in Currency Sold | | | Counterparty | | Settlement Date | | | Unrealized Appreciation (Depreciation) | |
USD | | | 500,000 | | | COP | | | 1,427,920,000 | | | JPMorgan Chase Bank, N.A. | | | 04/02/18 | | | $ | (11,056 | ) |
USD | | | 333,983 | | | CZK | | | 6,847,910 | | | Merrill Lynch International | | | 06/20/18 | | | | 792 | |
USD | | | 1,272,696 | | | EUR | | | 1,027,000 | | | Merrill Lynch International | | | 06/20/18 | | | | 1,862 | |
USD | | | 53,956,395 | | | EUR | | | 43,565,571 | | | State Street Bank and Trust
Company | | | 06/18/18 | | | | 56,230 | |
USD | | | 21,246,672 | | | EUR | | | 17,131,401 | | | Deutsche Bank AG | | | 06/20/18 | | | | 47,869 | |
USD | | | 1,805,652 | | | EUR | | | 1,455,632 | | | Bank Of America, N.a. | | | 06/20/18 | | | | 4,418 | |
USD | | | 63,574,179 | | | EUR | | | 51,393,000 | | | State Street Bank and Trust
Company | | | 04/30/18 | | | | 302,474 | |
USD | | | 790,049 | | | EUR | | | 636,510 | | | Morgan Stanley & Co. LLC | | | 06/20/18 | | | | 2,404 | |
USD | | | 16,000,000 | | | EUR | | | 12,866,908 | | | Deutsche Bank AG | | | 04/24/18 | | | | 145,444 | |
USD | | | 170,877,060 | | | EUR | | | 138,174,251 | | | Morgan Stanley & Co.
International plc | | | 04/24/18 | | | | 619,264 | |
USD | | | 1,204,012 | | | EUR | | | 967,000 | | | State Street Bank and Trust
Company | | | 06/27/18 | | | | 6,711 | |
USD | | | 32,040,475 | | | GBP | | | 22,965,942 | | | State Street Bank and Trust
Company | | | 06/18/18 | | | | (280,318 | ) |
USD | | | 4,081,648 | | | GBP | | | 2,886,253 | | | Morgan Stanley & Co. LLC | | | 06/20/18 | | | | 19,266 | |
USD | | | 279,080 | | | GBP | | | 197,000 | | | Merrill Lynch International | | | 06/20/18 | | | | 1,809 | |
USD | | | 785,369 | | | HKD | | | 6,141,169 | | | Merrill Lynch International | | | 06/20/18 | | | | 884 | |
USD | | | 4,656,160 | | | HKD | | | 36,400,000 | | | State Street Bank and Trust
Company | | | 06/19/18 | | | | 6,496 | |
USD | | | 13,012,964 | | | HKD | | | 102,000,000 | | | UBS AG | | | 04/24/18 | | | | 6,818 | |
USD | | | 42,585 | | | HUF | | | 10,722,691 | | | Merrill Lynch International | | | 06/20/18 | | | | 123 | |
USD | | | 2,347,311 | | | IDR | | | 32,317,774,000 | | | Deutsche Bank AG | | | 04/16/18 | | | | 2,344 | |
USD | | | 422,209 | | | ILS | | | 1,462,771 | | | Merrill Lynch International | | | 06/20/18 | | | | 3,149 | |
USD | | | 1,499,432 | | | INR | | | 99,000,000 | | | Morgan Stanley & Co.
International plc | | | 06/06/18 | | | | (6,935 | ) |
USD | | | 3,501,827 | | | INR | | | 230,000,000 | | | Deutsche Bank AG | | | 05/14/18 | | | | (7,260 | ) |
USD | | | 5,786,534 | | | INR | | | 378,902,226 | | | Barclays Bank plc | | | 04/13/18 | | | | (34,088 | ) |
USD | | | 690,405 | | | INR | | | 45,411,457 | | | Merrill Lynch International | | | 06/20/18 | | | | 382 | |
USD | | | 793,300 | | | JPY | | | 84,114,293 | | | Merrill Lynch International | | | 06/20/18 | | | | (1,321 | ) |
USD | | | 381,052 | | | JPY | | | 40,318,811 | | | Morgan Stanley & Co.
International PLC | | | 06/20/18 | | | | 163 | |
USD | | | 26,651,031 | | | JPY | | | 3,000,000,000 | | | State Street Bank and Trust
Company | | | 04/05/18 | | | | (1,546,797 | ) |
USD | | | 4,299,528 | | | JPY | | | 450,000,000 | | | Morgan Stanley & Co.
International plc | | | 04/26/18 | | | | 64,915 | |
USD | | | 3,024,460 | | | KRW | | | 3,274,401,790 | | | Morgan Stanley & Co.
International plc | | | 04/04/18 | | | | (47,623 | ) |
USD | | | 4,435,472 | | | KRW | | | 4,752,297,454 | | | Barclays Bank plc | | | 04/12/18 | | | | (39,604 | ) |
USD | | | 1,204,080 | | | KRW | | | 1,290,352,674 | | | Morgan Stanley & Co.
International PLC | | | 04/12/18 | | | | (11,001 | ) |
USD | | | 4,001,481 | | | KRW | | | 4,278,910,282 | | | Merrill Lynch International | | | 06/20/18 | | | | (27,168 | ) |
USD | | | 188,129 | | | KRW | | | 200,000,000 | | | State Street Bank and Trust
Company | | | 06/18/18 | | | | (161 | ) |
USD | | | 2,256,755 | | | KRW | | | 2,399,100,000 | | | Morgan Stanley & Co.
International plc | | | 04/16/18 | | | | 4,907 | |
USD | | | 1,950,054 | | | KRW | | | 2,075,401,790 | | | Morgan Stanley & Co.
International plc | | | 06/04/18 | | | | (1,245 | ) |
See Notes to Consolidated Financial Statements.
128
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | | | | | | | | | | | |
Currency Purchased | | Amount in Currency Purchased | | | Currency Sold | | Amount in Currency Sold | | | Counterparty | | Settlement Date | | | Unrealized Appreciation (Depreciation) | |
USD | | | 3,001,914 | | | KRW | | | 3,253,024,460 | | | Morgan Stanley &
Co. International plc | | | 04/20/18 | | | $ | (51,846 | ) |
USD | | | 16,056,024 | | | MXN | | | 303,908,423 | | | State Street Bank
and Trust Company | | | 06/18/18 | | | | (466,559 | ) |
USD | | | 6,418,586 | | | MXN | | | 122,668,809 | | | Barclays Bank plc | | | 06/20/18 | | | | (248,469 | ) |
USD | | | 127,747 | | | MYR | | | 500,000 | | | State Street Bank and Trust
Company | | | 06/18/18 | | | | (1,237 | ) |
USD | | | 2,913,340 | | | NZD | | | 4,000,000 | | | UBS AG | | | 04/24/18 | | | | 22,658 | |
USD | | | 9,408,347 | | | NZD | | | 13,000,000 | | | Morgan Stanley & Co.
International plc | | | 05/18/18 | | | | 14,653 | |
USD | | | 825,133 | | | PEN | | | 2,700,000 | | | Deutsche Bank AG | | | 06/06/18 | | | | (10,076 | ) |
USD | | | 11,005,529 | | | PEN | | | 36,012,842 | | | Barclays Bank plc | | | 04/20/18 | | | | (151,925 | ) |
USD | | | 3,604,571 | | | PHP | | | 189,614,086 | | | Merrill Lynch International | | | 06/20/18 | | | | (16,103 | ) |
USD | | | 223,983 | | | PLN | | | 763,627 | | | Merrill Lynch International | | | 06/20/18 | | | | 561 | |
USD | | | 281,887 | | | RUB | | | 16,284,487 | | | Merrill Lynch International | | | 06/20/18 | | | | 36 | |
USD | | | 11,109,715 | | | RUB | | | 645,651,568 | | | Barclays Bank plc | | | 06/20/18 | | | | (61,153 | ) |
USD | | | 22,077,026 | | | RUB | | | 1,286,649,088 | | | Morgan Stanley & Co.
International PLC | | | 06/20/18 | | | | (184,189 | ) |
USD | | | 1,000,000 | | | RUB | | | 57,709,300 | | | Deutsche Bank AG | | | 04/23/18 | | | | (5,106 | ) |
USD | | | 291,210 | | | SEK | | | 2,389,322 | | | Merrill Lynch International | | | 06/20/18 | | | | 3,409 | |
USD | | | 35,466,091 | | | SEK | | | 290,733,281 | | | State Street Bank and Trust
Company | | | 06/18/18 | | | | 452,191 | |
USD | | | 1,189,846 | | | SGD | | | 1,561,115 | | | Merrill Lynch International | | | 06/20/18 | | | | (3,220 | ) |
USD | | | 2,294,732 | | | SGD | | | 3,010,000 | | | State Street Bank and Trust
Company | | | 06/18/18 | | | | (5,489 | ) |
USD | | | 4,334,917 | | | SGD | | | 5,700,000 | | | Morgan Stanley & Co.
International plc | | | 04/24/18 | | | | (14,494 | ) |
USD | | | 936,904 | | | TRY | | | 3,804,854 | | | Merrill Lynch International | | | 06/20/18 | | | | (5,540 | ) |
USD | | | 1,072,587 | | | TWD | | | 31,004,842 | | | Merrill Lynch International | | | 06/20/18 | | | | 3,239 | |
USD | | | 6,147,002 | | | TWD | | | 177,700,000 | | | Morgan Stanley & Co.
International plc | | | 05/23/18 | | | | 31,423 | |
USD | | | 1,000,000 | | | TWD | | | 29,122,821 | | | UBS AG | | | 04/23/18 | | | | (193 | ) |
USD | | | 1,000,000 | | | TWD | | | 29,050,000 | | | Morgan Stanley & Co.
International plc | | | 05/02/18 | | | | 1,731 | |
USD | | | 3,500,000 | | | TWD | | | 101,797,500 | | | Deutsche Bank AG | | | 06/04/18 | | | | (6,389 | ) |
USD | | | 31,124 | | | ZAR | | | 372,905 | | | Merrill Lynch International | | | 06/20/18 | | | | (52 | ) |
USD | | | 34,397,732 | | | ZAR | | | 419,125,771 | | | Bank Of America, N.a. | | | 06/20/18 | | | | (641,387 | ) |
USD | | | 2,188,842 | | | ZAR | | | 26,000,000 | | | Morgan Stanley & Co.
International plc | | | 05/14/18 | | | | 4,898 | |
| | | | | | | | | | | | | | | | | | | | |
Total Forward Foreign Currency Exchange Contracts Outstanding | | | $ | (1,640,411 | ) |
| | | | | | | | | | | | | | | | | | | | |
See Notes to Consolidated Financial Statements.
129
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
Centrally Cleared Credit Default Swaps on Single-Name Issuer (Buy Protection) — Outstanding at March 31, 2018
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Reference
Obligation | | Financing
Fee | | | Payment
Frequency | | | Maturity
Date | | Counterparty | | Notional
Amount | | | Market
Value | | | Upfront
Premium
Paid
(Received) | | | Unrealized
Appreciation
(Depreciation) | |
Repubic of Turkey | | | (1.00 | )% | | | 3M | | | 12/20/22 | | Credit Suisse Securities (USA) LLC | | | 2,816,000 | | | | USD | | | $ | 93,387 | | | $ | 87,706 | | | $ | 5,681 | |
Republic of Korea | | | (1.00 | )% | | | 3M | | | 12/20/21 | | Credit Suisse Securities (USA) LLC | | | 8,195,477 | | | | USD | | | | (174,703 | ) | | | (237,533 | ) | | | 62,830 | |
Republic of Korea | | | (1.00 | )% | | | 3M | | | 12/20/22 | | Credit Suisse Securities (USA) LLC | | | 5,584,690 | | | | USD | | | | (127,672 | ) | | | (132,544 | ) | | | 4,872 | |
Republic of South Africa | | | (1.00 | )% | | | 3M | | | 06/20/22 | | Credit Suisse Securities (USA) LLC | | | 6,191,000 | | | | USD | | | | 44,575 | | | | 321,382 | | | | (276,807 | ) |
Republic of South Africa | | | (1.00 | )% | | | 3M | | | 12/20/21 | | Credit Suisse Securities (USA) LLC | | | 11,030,000 | | | | USD | | | | 10,125 | | | | 519,200 | | | | (509,075 | ) |
Republic of South Africa | | | (1.00 | )% | | | 3M | | | 12/20/22 | | Credit Suisse Securities (USA) LLC | | | 5,580,000 | | | | USD | | | | 84,158 | | | | 157,663 | | | | (73,505 | ) |
Republic of Turkey | | | (1.00 | )% | | | 3M | | | 12/20/21 | | Credit Suisse Securities (USA) LLC | | | 1,713,000 | | | | USD | | | | 27,492 | | | | 104,759 | | | | (77,267 | ) |
Republic of Turkey | | | (1.00 | )% | | | 3M | | | 06/20/22 | | Credit Suisse Securities (USA) LLC | | | 1,521,000 | | | | USD | | | | 36,268 | | | | 81,500 | | | | (45,232 | ) |
Republic of Turkey | | | (1.00 | )% | | | 3M | | | 09/20/20 | | Credit Suisse Securities (USA) LLC | | | 4,178,000 | | | | USD | | | | 11,895 | | | | 333,473 | | | | (321,578 | ) |
Republic of Turkey | | | (1.00 | )% | | | 3M | | | 12/20/20 | | Credit Suisse Securities (USA) LLC | | | 7,217,000 | | | | USD | | | | 34,360 | | | | 508,322 | | | | (473,962 | ) |
Republic of Turkey | | | (1.00 | )% | | | 3M | | | 06/20/21 | | Credit Suisse Securities (USA) LLC | | | 4,143,000 | | | | USD | | | | 38,957 | | | | 271,474 | | | | (232,517 | ) |
United Mexican States | | | (1.00 | )% | | | 3M | | | 12/20/21 | | Credit Suisse Securities (USA) LLC | | | 7,595,000 | | | | USD | | | | (73,444 | ) | | | 215,046 | | | | (288,490 | ) |
United Mexican States | | | (1.00 | )% | | | 3M | | | 12/20/22 | | Credit Suisse Securities (USA) LLC | | | 25,000 | | | | USD | | | | (243 | ) | | | 180 | | | | (423 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Centrally Cleared Credit Default Swaps on Single-Name Issuer (Buy Protection) | | | $ | 5,155 | | | $ | 2,230,628 | | | $ | (2,225,473 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
See Notes to Consolidated Financial Statements.
130
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
Centrally Cleared Credit Default Swaps on Single-Name Issuer (Sell Protection) — Outstanding at March 31, 2018
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Reference
Obligation | | Financing
Fee | | | Payment
Frequency | | | Maturity
Date | | Counterparty | | Rating(1) | | | Notional
Amount(2) | | | Market
Value | | | Upfront
Premium
Paid
(Received) | | | Unrealized
Appreciation
(Depreciation) | |
Russian Federation | | | 1.00% | | | | 3M | | | 12/20/21 | | Credit Suisse Securities (USA) LLC | | | BBB- | | | | 1,814,000 | | | | USD | | | $ | 6,893 | | | $ | (67,363 | ) | | $ | 74,256 | |
Russian Federation | | | 1.00% | | | | 3M | | | 09/20/20 | | Credit Suisse Securities (USA) LLC | | | BBB- | | | | 6,551,141 | | | | USD | | | | 54,794 | | | | (750,762 | ) | | | 805,556 | |
Russian Federation | | | 1.00% | | | | 3M | | | 06/20/21 | | Credit Suisse Securities (USA) LLC | | | BBB- | | | | 6,915,000 | | | | USD | | | | 45,107 | | | | (506,582 | ) | | | 551,689 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Centrally Cleared Credit Default Swaps on Single-Name Issuer (Sell Protection) | | | $ | 106,794 | | | $ | (1,324,707 | ) | | $ | 1,431,501 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Centrally Cleared Credit Default Swaps on Index (Sell Protection) — Outstanding at March 31, 2018
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Reference
Obligation | | Financing
Fee | | | Payment
Frequency | | | Maturity
Date | | Counterparty | | Rating(1) | | | Notional
Amount(2) | | | Market
Value | | | Upfront
Premium
Paid
(Received) | | | Unrealized
Appreciation
(Depreciation) | |
CDX.EM.25 | | | 1.00% | | | | 3M | | | 06/20/21 | | Merrill Lynch,
Pierce, Fenner
& Smith
Incorporated | | | NR | | | | 78,850,000 | | | | USD | | | $ | 682,999 | | | $ | (4,922,898 | ) | | $ | 5,605,897 | |
CDX.EM.26 | | | 1.00% | | | | 3M | | | 12/20/21 | | Merrill Lynch,
Pierce, Fenner
& Smith
Incorporated | | | NR | | | | 17,460,000 | | | | USD | | | | 56,396 | | | | (1,052,838 | ) | | | 1,109,234 | |
CDX.EM.27 | | | 1.00% | | | | 3M | | | 06/20/22 | | Merrill Lynch,
Pierce, Fenner
& Smith
Incorporated | | | NR | | | | 99,910,000 | | | | USD | | | | (62,044 | ) | | | (4,405,663 | ) | | | 4,343,619 | |
CDX.EM.29 | | | 1.00% | | | | 3M | | | 06/20/23 | | Merrill Lynch,
Pierce, Fenner
& Smith
Incorporated | | | NR | | | | 160,000,000 | | | | USD | | | | (2,831,520 | ) | | | (3,352,750 | ) | | | 521,230 | |
CDX.NA.HY.25 | | | 5.00% | | | | 3M | | | 12/22/20 | | Merrill Lynch,
Pierce, Fenner
& Smith
Incorporated | | | NR | | | | 27,887,500 | | | | USD | | | | 1,562,899 | | | | 255,018 | | | | 1,307,881 | |
CDX.NA.HY.26 | | | 5.00% | | | | 3M | | | 06/20/21 | | Merrill Lynch,
Pierce, Fenner
& Smith
Incorporated | | | NR | | | | 47,040,000 | | | | USD | | | | 3,267,351 | | | | 1,275,352 | | | | 1,991,999 | |
CDX.NA.HY.27 | | | 5.00% | | | | 3M | | | 12/20/21 | | Merrill Lynch,
Pierce, Fenner
& Smith
Incorporated | | | NR | | | | 51,940,000 | | | | USD | | | | 3,658,705 | | | | 3,464,663 | | | | 194,042 | |
CDX.NA.HY.28 | | | 5.00% | | | | 3M | | | 06/20/22 | | Merrill Lynch,
Pierce, Fenner
& Smith
Incorporated | | | NR | | | | 101,970,000 | | | | USD | | | | 7,335,314 | | | | 7,618,522 | | | | (283,208 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Centrally Cleared Credit Default Swaps on Index (Sell Protection) | | | $ | 13,670,100 | | | $ | (1,120,594 | ) | | $ | 14,790,694 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
See Notes to Consolidated Financial Statements.
131
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
OTC Credit Default Swaps on Single-Name Issuer (Buy Protection) — Outstanding at March 31, 2018
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Reference
Obligation | | Financing
Fee | | | Payment
Frequency | | | Maturity
Date | | Counterparty | | Notional
Amount | | | Market
Value | | | Upfront
Premium
Paid
(Received) | | | Unrealized
Appreciation
(Depreciation) | |
Republic of South Africa | | | (1.00 | )% | | | 3M | | | 06/20/22 | | Morgan Stanley
Capital Services
LLC | | | 300,000 | | | | USD | | | $ | (2,147 | ) | | $ | 17,362 | | | $ | (19,509 | ) |
Republic of South Africa | | | (1.00 | )% | | | 3M | | | 06/20/22 | | Morgan Stanley
Capital Services
LLC | | | 9,000,000 | | | | USD | | | | (64,419 | ) | | | 520,876 | | | | (585,295 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total OTC Credit Default Swaps on Single-Name Issuer (Buy Protection) | | | $ | (66,566 | ) | | $ | 538,238 | | | $ | (604,804 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
OTC Credit Default Swaps on Index (Buy Protection) — Outstanding at March 31, 2018
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Reference Obligation | | Financing
Fee | | | Payment
Frequency | | | Maturity
Date | | Counterparty | | Notional
Amount | | | Market
Value | | | Upfront
Premium
Paid
(Received) | | | Unrealized
Appreciation
(Depreciation) | |
CMBX.NA.AAA.6 | | | (0.50 | )% | | | 1M | | | 05/11/63 | | J.P. Morgan
Securities LLC | | | 73,126,285 | | | | USD | | | $ | (543,604 | ) | | $ | 1,343,876 | | | $ | (1,887,480 | ) |
CMBX.NA.AAA.8 | | | (0.50 | )% | | | 1M | | | 10/17/57 | | Deutsche Bank
AG | | | 948,891 | | | | USD | | | | (3,645 | ) | | | 48,904 | | | | (52,549 | ) |
CMBX.NA.AAA.8 | | | (0.50 | )% | | | 1M | | | 10/17/57 | | J.P. Morgan
Securities LLC | | | 59,801,014 | | | | USD | | | | (229,726 | ) | | | 2,371,495 | | | | (2,601,221 | ) |
CMBX.NA.AAA6 | | | (0.50 | )% | | | 1M | | | 05/11/63 | | Citigroup
Global
Markets Inc. | | | 45,247,221 | | | | USD | | | | (336,358 | ) | | | (340,596 | ) | | | 4,238 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total OTC Credit Default Swaps on Index (Buy Protection) | | | $ | (1,113,333 | ) | | $ | 3,423,679 | | | $ | (4,537,012 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
OTC Credit Default Swaps on Index (Sell Protection) — Outstanding at March 31, 2018
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Reference Obligation | | Financing
Fee | | | Payment
Frequency | | | Maturity
Date | | Counterparty | | Rating(1) | | | Notional
Amount(2) | | | Market
Value | | | Upfront
Premium
Paid
(Received) | | | Unrealized
Appreciation
(Depreciation) | |
CMBX.NA.A.8 | | | 2.00% | | | | 1M | | | 10/17/57 | | Credit Suisse
International | | | A | | | | 6,248,000 | | | | USD | | | $ | (287,799 | ) | | $ | (844,810 | ) | | $ | 557,011 | |
CMBX.NA.A.8 | | | 2.00% | | | | 1M | | | 10/17/57 | | Morgan Stanley
Capital
Services LLC | | | A | | | | 2,800,000 | | | | USD | | | | (128,975 | ) | | | (188,750 | ) | | | 59,775 | |
CMBX.NA.A.9 | | | 2.00% | | | | 1M | | | 09/17/58 | | Credit Suisse
International | | | A | | | | 8,000,000 | | | | USD | | | | (341,968 | ) | | | (428,804 | ) | | | 86,836 | |
CMBX.NA.A.9 | | | 2.00% | | | | 1M | | | 09/17/58 | | Morgan Stanley
Capital
Services LLC | | | A | | | | 5,000,000 | | | | USD | | | | (213,730 | ) | | | (417,706 | ) | | | 203,976 | |
CMBX.NA.A.9 | | | 2.00% | | | | 1M | | | 09/17/58 | | Credit Suisse
International | | | A | | | | 6,000,000 | | | | USD | | | | (256,476 | ) | | | (184,803 | ) | | | (71,673 | ) |
CMBX.NA.A.9 | | | 2.00% | | | | 1M | | | 09/17/58 | | Credit Suisse
International | | | A | | | | 2,375,000 | | | | USD | | | | (101,522 | ) | | | (72,637 | ) | | | (28,885 | ) |
CMBX.NA.A.9 | | | 2.00% | | | | 1M | | | 09/17/58 | | Credit Suisse
International | | | A | | | | 2,375,000 | | | | USD | | | | (101,521 | ) | | | (78,172 | ) | | | (23,349 | ) |
CMBX.NA.AA.7 | | | 1.50% | | | | 1M | | | 01/17/47 | | Morgan Stanley
Capital
Services LLC | | | AA | | | | 13,000,000 | | | | USD | | | | (42,986 | ) | | | (344,782 | ) | | | 301,796 | |
CMBX.NA.AA.9 | | | 1.50% | | | | 1M | | | 09/17/58 | | Morgan Stanley
Capital
Services LLC | | | AA | | | | 2,375,000 | | | | USD | | | | (34,616 | ) | | | 2,275 | | | | (36,891 | ) |
CMBX.NA.AA.9 | | | 1.50% | | | | 1M | | | 09/17/58 | | Morgan Stanley
Capital
Services LLC | | | AA | | | | 2,375,000 | | | | USD | | | | (34,616 | ) | | | (5,099 | ) | | | (29,517 | ) |
See Notes to Consolidated Financial Statements.
132
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Reference Obligation | | Financing
Fee | | | Payment
Frequency | | | Maturity
Date | | Counterparty | | Rating(1) | | | Notional
Amount(2) | | | Market
Value | | | Upfront
Premium
Paid
(Received) | | | Unrealized
Appreciation
(Depreciation) | |
CMBX.NA.AA.9 | | | 1.50% | | | | 1M | | | 09/17/58 | | Credit Suisse
International | | | AA | | | | 5,700,000 | | | | USD | | | $ | (83,077 | ) | | $ | (41,868 | ) | | $ | (41,209 | ) |
CMBX.NA.AAA.10 | | | 0.50% | | | | 1M | | | 11/17/59 | | Credit Suisse
International | | | AAA | | | | 11,000,000 | | | | USD | | | | (46,586 | ) | | | (312,871 | ) | | | 266,285 | |
CMBX.NA.AAA.10 | | | 0.50% | | | | 1M | | | 11/17/59 | | Credit Suisse
International | | | AAA | | | | 6,000,000 | | | | USD | | | | (25,411 | ) | | | (171,018 | ) | | | 145,607 | |
CMBX.NA.AAA.8 | | | 0.50% | | | | 1M | | | 10/17/57 | | Credit Suisse
International | | | AAA | | | | 13,700,000 | | | | USD | | | | 52,629 | | | | (738,194 | ) | | | 790,823 | |
CMBX.NA.AAA.9 | | | 0.50% | | | | 1M | | | 09/17/58 | | Morgan Stanley
Capital
Services LLC | | | AAA | | | | 10,500,000 | | | | USD | | | | (5,108 | ) | | | (699,173 | ) | | | 694,065 | |
CMBX.NA.AJ.4 | | | 0.96% | | | | 1M | | | 02/17/51 | | Morgan Stanley
Capital
Services LLC | | | A | | | | 8,912,706 | | | | USD | | | | (1,536,049 | ) | | | (2,108,587 | ) | | | 572,538 | |
CMBX.NA.AJ.4 | | | 0.96% | | | | 1M | | | 02/17/51 | | Merrill Lynch
Capital
Services, Inc. | | | A | | | | 12,557,910 | | | | USD | | | | (2,164,277 | ) | | | (1,726,331 | ) | | | (437,946 | ) |
CMBX.NA.AJ.4 | | | 0.96% | | | | 1M | | | 02/17/51 | | Goldman Sachs
International | | | A | | | | 8,541,381 | | | | USD | | | | (1,472,054 | ) | | | (1,173,814 | ) | | | (298,240 | ) |
CMBX.NA.AJ.4 | | | 0.96% | | | | 1M | | | 02/17/51 | | Credit Suisse
International | | | A | | | | 554,618 | | | | USD | | | | (95,585 | ) | | | (108,814 | ) | | | 13,229 | |
CMBX.NA.AJ.4 | | | 0.96% | | | | 1M | | | 02/17/51 | | J.P. Morgan
Securities LLC | | | A | | | | 5,377,060 | | | | USD | | | | (926,703 | ) | | | (749,784 | ) | | | (176,919 | ) |
CMBX.NA.BBB-.10 | | | 3.00% | | | | 1M | | | 11/17/59 | | Credit Suisse
International | | | BBB- | | | | 18,347,000 | | | | USD | | | | (2,038,959 | ) | | | (1,871,521 | ) | | | (167,438 | ) |
CMBX.NA.BBB-.10 | | | 3.00% | | | | 1M | | | 11/17/59 | | Morgan Stanley
Capital
Services LLC | | | BBB- | | | | 17,362,000 | | | | USD | | | | (1,929,493 | ) | | | (1,718,964 | ) | | | (210,529 | ) |
CMBX.NA.BBB-.10 | | | 3.00% | | | | 1M | | | 11/17/59 | | J.P. Morgan
Securities LLC | | | BBB- | | | | 17,920,000 | | | | USD | | | | (1,991,506 | ) | | | (1,609,059 | ) | | | (382,447 | ) |
CMBX.NA.BBB-.7 | | | 3.00% | | | | 1M | | | 01/17/47 | | Morgan Stanley
Capital
Services LLC | | | BBB- | | | | 3,500,000 | | | | USD | | | | (408,326 | ) | | | (319,626 | ) | | | (88,700 | ) |
CMBX.NA.BBB-.7 | | | 3.00% | | | | 1M | | | 01/17/47 | | Credit Suisse
International | | | BBB- | | | | 4,500,000 | | | | USD | | | | (524,991 | ) | | | (399,957 | ) | | | (125,034 | ) |
CMBX.NA.BBB-.7 | | | 3.00% | | | | 1M | | | 01/17/47 | | Credit Suisse
International | | | BBB- | | | | 1,400,000 | | | | USD | | | | (163,330 | ) | | | (107,164 | ) | | | (56,166 | ) |
CMBX.NA.BBB-.7 | | | 3.00% | | | | 1M | | | 01/17/47 | | Credit Suisse
International | | | BBB- | | | | 1,400,000 | | | | USD | | | | (163,330 | ) | | | (108,099 | ) | | | (55,231 | ) |
CMBX.NA.BBB-.7 | | | 3.00% | | | | 1M | | | 01/17/47 | | Morgan Stanley
Capital
Services LLC | | | BBB- | | | | 1,400,000 | | | | USD | | | | (163,330 | ) | | | (120,207 | ) | | | (43,123 | ) |
CMBX.NA.BBB-.7 | | | 3.00% | | | | 1M | | | 01/17/47 | | Credit Suisse
International | | | BBB- | | | | 1,400,000 | | | | USD | | | | (163,330 | ) | | | (140,895 | ) | | | (22,435 | ) |
CMBX.NA.BBB-.7 | | | 3.00% | | | | 1M | | | 01/17/47 | | Morgan Stanley
Capital
Services LLC | | | BBB- | | | | 1,400,000 | | | | USD | | | | (163,330 | ) | | | (159,400 | ) | | | (3,930 | ) |
CMBX.NA.BBB-.7 | | | 3.00% | | | | 1M | | | 01/17/47 | | Credit Suisse
International | | | BBB- | | | | 7,500,000 | | | | USD | | | | (874,984 | ) | | | (798,729 | ) | | | (76,255 | ) |
CMBX.NA.BBB-.7 | | | 3.00% | | | | 1M | | | 01/17/47 | | Credit Suisse
International | | | BBB- | | | | 3,750,000 | | | | USD | | | | (437,492 | ) | | | (344,505 | ) | | | (92,987 | ) |
CMBX.NA.BBB-.7 | | | 3.00% | | | | 1M | | | 01/17/47 | | Credit Suisse
International | | | BBB- | | | | 2,250,000 | | | | USD | | | | (262,495 | ) | | | (205,523 | ) | | | (56,972 | ) |
CMBX.NA.BBB-.7 | | | 3.00% | | | | 1M | | | 01/17/47 | | Morgan Stanley
Capital
Services LLC | | | BBB- | | | | 2,875,000 | | | | USD | | | | (335,411 | ) | | | (287,192 | ) | | | (48,219 | ) |
CMBX.NA.BBB-.7 | | | 3.00% | | | | 1M | | | 01/17/47 | | Morgan Stanley
Capital
Services LLC | | | BBB- | | | | 1,900,000 | | | | USD | | | | (221,663 | ) | | | (193,346 | ) | | | (28,317 | ) |
CMBX.NA.BBB-.8 | | | 3.00% | | | | 1M | | | 10/17/57 | | Credit Suisse
International | | | BBB- | | | | 13,006,000 | | | | USD | | | | (1,985,041 | ) | | | (1,532,753 | ) | | | (452,288 | ) |
CMBX.NA.BBB-.8 | | | 3.00% | | | | 1M | | | 10/17/57 | | Morgan Stanley
Capital
Services LLC | | | BBB- | | | | 1,733,000 | | | | USD | | | | (264,499 | ) | | | (264,648 | ) | | | 149 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total OTC Credit Default Swaps on Index (Sell Protection) | | | $ | (19,937,940 | ) | | $ | (20,575,330 | ) | | $ | 637,390 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| (1) | Using the higher of S&P’s or Moody’s ratings. NR represents a security that is not rated. |
| (2) | The maximum potential amount the Fund may pay should a negative credit event take place as defined under the terms of the agreement. |
See Notes to Consolidated Financial Statements.
133
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
OTC Total Return Swaps Outstanding at March 31, 2018
| | | | | | | | | | | | | | | | | | | | | | |
Reference
Instrument | | Termination
Date | | | Payment
Frequency | | | Financing
Rate | | | Counterparty | | Notional
Amount | | | Unrealized
Appreciation
(Depreciation) | |
| | | | | | |
Buys | | | | | | | | | | | | | | | | | | | | | | |
1-800-Flowers.com, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 66,242 USD | | | $ | (5,649 | ) |
8X8, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 206,329 USD | | | | (7,464 | ) |
A10 Networks, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 153,920 USD | | | | (16,102 | ) |
AAC Holdings, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 447,332 USD | | | | (42,972 | ) |
AAK AB | | | 04/19/18 | | | | M | | | | 0.09 | % | | Credit Suisse Securities (Europe) Limited | | | 716,325 SEK | | | | (878 | ) |
Aalberts Industries N.V. | | | 04/19/18 | | | | M | | | | 0.05 | % | | Credit Suisse Securities (Europe) Limited | | | 108,775 EUR | | | | (6,868 | ) |
AAR Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 50,335 USD | | | | 612 | |
Aaron's, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 221,057 USD | | | | (3,621 | ) |
Abaxis, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 376,885 USD | | | | (17,358 | ) |
Abbott Laboratories | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 359,460 USD | | | | (7,970 | ) |
AbbVie, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 414,161 USD | | | | (61,589 | ) |
Abcam PLC | | | 04/19/18 | | | | M | | | | 0.92 | % | | Credit Suisse Securities (Europe) Limited | | | 191,418 GBP | | | | (6,109 | ) |
Abercrombie & Fitch Co. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 424,771 USD | | | | 41,610 | |
Abertis Infraestructuras SA | | | 04/20/18 | | | | M | | | | 0.04 | % | | Credit Suisse Securities (Europe) Limited | | | 2,791,812 EUR | | | | (66,559 | ) |
Abertis Infraestructuras SA | | | 03/14/19 | | | | M | | | | 0.07 | % | | JPMorgan Chase Bank, N.A. | | | 118,949 EUR | | | | (2,836 | ) |
ABIOMED, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 696,043 USD | | | | (3,487 | ) |
ABLYNX NV | | | 07/30/18 | | | | M | | | | 0.06 | % | | Deutsche Bank AG | | | 6,156,355 EUR | | | | 65,781 | |
Acadia Healthcare Co., Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 495,129 USD | | | | (22,932 | ) |
Accenture PLC | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 562,517 USD | | | | (32,328 | ) |
Aceto Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 438,715 USD | | | | 6,546 | |
ACI Worldwide, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 72,774 USD | | | | (6,737 | ) |
Acorda Therapeutics, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 58,154 USD | | | | 48 | |
Acushnet Holdings Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 369,397 USD | | | | (10,416 | ) |
Acxiom Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 177,458 USD | | | | (52,417 | ) |
Addus Homecare Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 276,474 USD | | | | 31,188 | |
Adidas AG | | | 04/19/18 | | | | M | | | | 0.05 | % | | Credit Suisse Securities (Europe) Limited | | | 749,033 EUR | | | | 17,430 | |
ADP | | | 04/25/19 | | | | M | | | | 0.07 | % | | JPMorgan Chase Bank, N.A. | | | 3,640,000 EUR | | | | (123,045 | ) |
ADP LLC | | | 04/19/18 | | | | M | | | | 0.05 | % | | Credit Suisse Securities (Europe) Limited | | | 2,931,502 EUR | | | | (155,319 | ) |
Adtran, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 463,523 USD | | | | (21,328 | ) |
Advanced Disposal Services, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 126,517 USD | | | | (1,014 | ) |
Advanced Energy Industries | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 106,096 USD | | | | (1,939 | ) |
AECOM | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 196,825 USD | | | | (4,244 | ) |
Aegion Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 199,860 USD | | | | 4,566 | |
AES Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 188,368 USD | | | | 11,982 | |
Aetna, Inc. | | | 08/06/18 | | | | M | | | | 2.03 | % | | Deutsche Bank AG | | | 12,042,131 USD | | | | (615,872 | ) |
Aflac, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 173,227 USD | | | | 719 | |
See Notes to Consolidated Financial Statements.
134
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | | | | | | | | | | | | | |
Reference
Instrument | | Termination
Date | | | Payment
Frequency | | | Financing
Rate | | | Counterparty | | Notional
Amount | | | Unrealized
Appreciation
(Depreciation) | |
AG Mortgage Investment Trust | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 283,009 USD | | | $ | (1,459 | ) |
AGCO Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 137,261 USD | | | | (5,291 | ) |
Agilent Technologies, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 434,288 USD | | | | (17,903 | ) |
Agilysys, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 83,350 USD | | | | 424 | |
AGNC Investment Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 92,313 USD | | | | 887 | |
Agree Realty Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 63,398 USD | | | | 159 | |
Agrofresh Solutions, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 312,365 USD | | | | (674 | ) |
Air Lease Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 369,725 USD | | | | (9,075 | ) |
Aircastle Ltd. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 812,385 USD | | | | (10,498 | ) |
Aixtron SE | | | 04/19/18 | | | | M | | | | 0.05 | % | | Credit Suisse Securities (Europe) Limited | | | 238,953 EUR | | | | (49,843 | ) |
Aker ASA | | | 04/19/18 | | | | M | | | | 1.33 | % | | Credit Suisse Securities (Europe) Limited | | | 654,313 NOK | | | | (359 | ) |
Akorn, Inc. | | | 08/06/18 | | | | M | | | | 2.03 | % | | Deutsche Bank AG | | | 3,403,552 USD | | | | (1,220,338 | ) |
Akzo Nobel | | | 04/19/18 | | | | M | | | | 0.05 | % | | Credit Suisse Securities (Europe) Limited | | | 2,773,546 EUR | | | | (117,381 | ) |
Akzo Nobel | | | 05/09/18 | | | | M | | | | 0.07 | % | | JPMorgan Chase Bank, N.A. | | | 8,315,839 EUR | | | | (494,862 | ) |
Alamo Group, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 442,889 USD | | | | (18,016 | ) |
Albany International Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 383,184 USD | | | | (23,788 | ) |
ALD SA | | | 04/19/18 | | | | M | | | | 0.05 | % | | Credit Suisse Securities (Europe) Limited | | | 257,406 EUR | | | | (20,622 | ) |
Alexander's, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 202,242 USD | | | | 3,622 | |
Alico, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 31,158 USD | | | | 231 | |
Align Technology, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 85,230 USD | | | | 656 | |
Alkermes PLC | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 84,455 USD | | | | (3,717 | ) |
Allegiant Travel Co. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 207,387 USD | | | | (1,708 | ) |
Allergan PLC | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 386,909 USD | | | | 9,583 | |
Alliant Energy Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 193,303 USD | | | | 5,849 | |
Allied Motion Technologies, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 219,742 USD | | | | 12,318 | |
Allscripts Healthcare Solutions, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 472,056 USD | | | | (35,360 | ) |
Almost Family, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 354,269 USD | | | | (11,493 | ) |
Alpha & Omega Semiconductor | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 335,203 USD | | | | (15,913 | ) |
Altice NV | | | 04/19/18 | | | | M | | | | 0.05 | % | | Credit Suisse Securities (Europe) Limited | | | 644,882 EUR | | | | (134,904 | ) |
Altran Technologies SA | | | 04/19/18 | | | | M | | | | 0.00 | % | | Credit Suisse Securities (Europe) Limited | | | 35,123 EUR | | | | (4,500 | ) |
Amadeus IT | | | 04/20/18 | | | | M | | | | 0.04 | % | | Credit Suisse Securities (Europe) Limited | | | 254,267 EUR | | | | (10,864 | ) |
AMAG Pharmaceuticals, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 483,188 USD | | | | 12,179 | |
Amber Road, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 65,788 USD | | | | (3,960 | ) |
Ambu A/S | | | 04/19/18 | | | | M | | | | 0.09 | % | | Credit Suisse Securities (Europe) Limited | | | 2,093,676 DKK | | | | 19,800 | |
Amdocs Ltd. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 733,632 USD | | | | (12,856 | ) |
Amedisys, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 30,024 USD | | | | (216 | ) |
AMERCO | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 80,696 USD | | | | 58 | |
Ameresco, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 95,120 USD | | | | 11,480 | |
America's Car Mart, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 355,911 USD | | | | 5,008 | |
See Notes to Consolidated Financial Statements.
135
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | | | | | | | | | | | | | |
Reference
Instrument | | Termination
Date | | | Payment
Frequency | | | Financing
Rate | | | Counterparty | | Notional
Amount | | | Unrealized
Appreciation
(Depreciation) | |
American Airlines Group, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 53,595 USD | | | $ | (1,583 | ) |
American Assets Trust, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 31,555 USD | | | | 519 | |
American Eagle Outfitters | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 436,563 USD | | | | 7,577 | |
American Equity Investment Life Holding Co. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 9,719 USD | | | | (734 | ) |
American Financial Group, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 47,772 USD | | | | (79 | ) |
American Homes 4 Rent | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 38,553 USD | | | | 904 | |
American National Insurance | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 181,990 USD | | | | 5,614 | |
American Railcar Industries | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 466,634 USD | | | | (5,780 | ) |
American Renal Associates Holdings, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 308,568 USD | | | | (51,850 | ) |
American Software, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 187,144 USD | | | | 3,371 | |
American Vanguard Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 151,516 USD | | | | (18,156 | ) |
AmerisourceBergen Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 384,188 USD | | | | (12,105 | ) |
Ametek, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 61,983 USD | | | | 312 | |
AMG Advanced Metallurgical Grouyp N.V. | | | 04/19/18 | | | | M | | | | 0.05 | % | | Credit Suisse Securities (Europe) Limited | | | 219,617 EUR | | | | (9,502 | ) |
Amgen, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 248,894 USD | | | | (14,484 | ) |
Amkor Technology, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 474,851 USD | | | | (47,274 | ) |
AMN Healthcare Services, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 637,971 USD | | | | (24,106 | ) |
Ampco Pittsburgh Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 105,463 USD | | | | (15,591 | ) |
Amphastar Pharmaceuticals, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 416,382 USD | | | | (21,882 | ) |
Amphenol Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 1,250,146 USD | | | | (41,829 | ) |
Amplifon SpA | | | 10/04/19 | | | | M | | | | 0.05 | % | | Credit Suisse Securities (Europe) Limited | | | 74,028 EUR | | | | 1,866 | |
AMS AG | | | 04/19/18 | | | | M | | | | 0.34 | % | | Credit Suisse Securities (Europe) Limited | | | 176,083 CHF | | | | (27,712 | ) |
Amundi SA | | | 04/19/18 | | | | M | | | | 0.05 | % | | Credit Suisse Securities (Europe) Limited | | | 117,086 EUR | | | | (1,136 | ) |
Analog Devices, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 112,178 USD | | | | (361 | ) |
Analogic Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 686,563 USD | | | | 17,247 | |
Andeavor | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 123,288 USD | | | | 1,910 | |
Andersons, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 413,341 USD | | | | (25,211 | ) |
AngioDynamics, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 667,306 USD | | | | 18,933 | |
ANI Pharmaceuticals, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 9,160 USD | | | | 39 | |
See Notes to Consolidated Financial Statements.
136
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | | | | | | | | | | | | | |
Reference
Instrument | | Termination
Date | | | Payment
Frequency | | | Financing
Rate | | | Counterparty | | Notional
Amount | | | Unrealized
Appreciation
(Depreciation) | |
Anika Therapeutics, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 631,205 USD | | | $ | (25,466 | ) |
Anixter International, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 380,685 USD | | | | (6,632 | ) |
Annaly Capital Managerment, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 62,059 USD | | | | (355 | ) |
Ansys, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 170,276 USD | | | | (8,416 | ) |
Antero Resources Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 417,025 USD | | | | (8,036 | ) |
Anthem, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 162,610 USD | | | | (7,282 | ) |
Anworth Mortgage Asset Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 2,688 USD | | | | (33 | ) |
AON PLC | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 65,903 USD | | | | 52 | |
Apartment Investment & Management Co. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 36,832 USD | | | | 1,066 | |
Apollo Commercial Real Estate Finance, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 335,368 USD | | | | (8,366 | ) |
AppFolio, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 341,002 USD | | | | (1,661 | ) |
Apple Hospitality REIT, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 225,721 USD | | | | 2,074 | |
Applied Industrial Technologies, Inc | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 226,369 USD | | | | (306 | ) |
Approach Resources, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 24,542 USD | | | | (94 | ) |
Apptio, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 31,109 USD | | | | (2,118 | ) |
AptarGroup, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 584,378 USD | | | | (2,639 | ) |
AquaVenture Holdings Ltd. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 54,151 USD | | | | (2,732 | ) |
Aratana Therapeutics, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 117,567 USD | | | | 11,086 | |
ARC Document Solutions, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 87,911 USD | | | | (5,611 | ) |
Arch Capital Group Ltd. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 73,376 USD | | | | 1,173 | |
Archer Daniels Midland Co. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 445,495 USD | | | | 2,431 | |
Archrock, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 744,014 USD | | | | (40,217 | ) |
Ardagh Group SA | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 253,679 USD | | | | (7,384 | ) |
Ardmore Shipping Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 243,105 USD | | | | (7,695 | ) |
Ares Commercial Real Estate Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 101,692 USD | | | | (2,176 | ) |
Argo Group | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 14,535 USD | | | | (13 | ) |
Arhtur J. Gallagher & Co. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 79,658 USD | | | | 206 | |
Armor Residential REIT, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 109,886 USD | | | | 3,860 | |
Armstrong Flooring, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 370,010 USD | | | | (10,079 | ) |
Aroundtown SA | | | 04/19/18 | | | | M | | | | 0.05 | % | | Credit Suisse Securities (Europe) Limited | | | 253,569 EUR | | | | 3,496 | |
See Notes to Consolidated Financial Statements.
137
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | | | | | | | | | | | | | |
Reference
Instrument | | Termination
Date | | | Payment
Frequency | | | Financing
Rate | | | Counterparty | | Notional
Amount | | | Unrealized
Appreciation
(Depreciation) | |
Arris International PLC | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 258,729 USD | | | $ | (4,480 | ) |
Arrow Electronics, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 1,048,986 USD | | | | (28,394 | ) |
Artesian Resources Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 125,652 USD | | | | (344 | ) |
Artisan Partners Asset Management, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 58,088 USD | | | | 87 | |
Ascential PLC | | | 04/19/18 | | | | M | | | | 0.92 | % | | Credit Suisse Securities (Europe) Limited | | | 74,673 GBP | | | | 142 | |
Ashland Global Holdings, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 378,577 USD | | | | (12,738 | ) |
Ashmore Group PLC | | | 04/19/18 | | | | M | | | | 0.92 | % | | Credit Suisse Securities (Europe) Limited | | | 191,159 GBP | | | | (3,858 | ) |
Ashtead Group PLC | | | 04/19/18 | | | | M | | | | 0.92 | % | | Credit Suisse Securities (Europe) Limited | | | 61,052 GBP | | | | (2,722 | ) |
ASML Holding NV | | | 04/19/18 | | | | M | | | | 0.05 | % | | Credit Suisse Securities (Europe) Limited | | | 126,642 EUR | | | | (11,581 | ) |
Asos PLC | | | 04/19/18 | | | | M | | | | 0.92 | % | | Credit Suisse Securities (Europe) Limited | | | 178,882 GBP | | | | (23,938 | ) |
Aspen Technology, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 717,784 USD | | | | (18,266 | ) |
ASR Nederland NV | | | 04/19/18 | | | | M | | | | 0.05 | % | | Credit Suisse Securities (Europe) Limited | | | 208,176 EUR | | | | (1,361 | ) |
ASTM SpA | | | 10/04/19 | | | | M | | | | 0.05 | % | | Credit Suisse Securities (Europe) Limited | | | 97,266 EUR | | | | 596 | |
Astrazeneca PLC | | | 06/25/18 | | | | M | | | | 0.55 | % | | Morgan Stanley Capital Services LLC | | | 6,269,546 GBP | | | | (51,343 | ) |
athenahealth, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 73,878 USD | | | | 211 | |
Atlas Air Worldwide Holdings | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 457,408 USD | | | | (15,821 | ) |
Atmos Energy Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 740,614 USD | | | | 18,051 | |
ATN Internatinal, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 13,711 USD | | | | 299 | |
Atos SE | | | 04/19/18 | | | | M | | | | 0.05 | % | | Credit Suisse Securities (Europe) Limited | | | 2,007,297 EUR | | | | 2,259 | |
Atos SE | | | 03/21/19 | | | | M | | | | 0.07 | % | | JPMorgan Chase Bank, N.A. | | | 16,745,534 EUR | | | | (404,487 | ) |
Atricure, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 533,503 USD | | | | 5,516 | |
Aurubis AG | | | 04/19/18 | | | | M | | | | 0.05 | % | | Credit Suisse Securities (Europe) Limited | | | 146,611 EUR | | | | (186 | ) |
Austria Technologie & Systemtechnik AG | | | 04/19/18 | | | | M | | | | 0.05 | % | | Credit Suisse Securities (Europe) Limited | | | 182,055 EUR | | | | (9,806 | ) |
AV Homes, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 259,038 USD | | | | 14,760 | |
AVANGRID, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 973,540 USD | | | | 23,402 | |
Avery Dennison Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 318,807 USD | | | | (16,101 | ) |
Aveva Group PLC | | | 04/19/18 | | | | M | | | | 0.92 | % | | Credit Suisse Securities (Europe) Limited | | | 252,539 GBP | | | | (10,028 | ) |
Avid Technology, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 253,787 USD | | | | (29,407 | ) |
Avista Corp. | | | 08/06/18 | | | | M | | | | 2.03 | % | | Deutsche Bank AG | | | 8,065,259 USD | | | | (137,652 | ) |
Aviva PLC | | | 04/19/18 | | | | M | | | | 0.92 | % | | Credit Suisse Securities (Europe) Limited | | | 3,943,761 GBP | | | | (240,592 | ) |
Avnet, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 1,303,847 USD | | | | (57,812 | ) |
AVX Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 671,417 USD | | | | (36,757 | ) |
AXA SA | | | 04/19/18 | | | | M | | | | 0.05 | % | | Credit Suisse Securities (Europe) Limited | | | 5,148,081 EUR | | | | (105,038 | ) |
AXA SA | | | 08/08/18 | | | | M | | | | 0.07 | % | | JPMorgan Chase Bank, N.A. | | | 9,155,634 EUR | | | | (480,710 | ) |
Axel Springer SE | | | 04/19/18 | | | | M | | | | 0.05 | % | | Credit Suisse Securities (Europe) Limited | | | 345,514 EUR | | | | 1,917 | |
Axogen, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 239,072 USD | | | | (3,866 | ) |
AXT, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 6,360 USD | | | | (596 | ) |
B&G Foods, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 30,663 USD | | | | (4,285 | ) |
B&M European Value Retail | | | 04/19/18 | | | | M | | | | 0.92 | % | | Credit Suisse Securities (Europe) Limited | | | 171,634 GBP | | | | (17,510 | ) |
See Notes to Consolidated Financial Statements.
138
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | | | | | | | | | | | | | |
Reference
Instrument | | Termination
Date | | | Payment
Frequency | | | Financing
Rate | | | Counterparty | | Notional
Amount | | | Unrealized
Appreciation
(Depreciation) | |
Badger Meter, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 451,438 USD | | | $ | (12,566 | ) |
Baker Hughes | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 204,324 USD | | | | (8,823 | ) |
Bakkafrost | | | 04/19/18 | | | | M | | | | 1.33 | % | | Credit Suisse Securities (Europe) Limited | | | 587,676 NOK | | | | 4,659 | |
Balchem Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 36,341 USD | | | | 120 | |
Ball Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 240,792 USD | | | | (6,265 | ) |
BancFirst Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 135,031 USD | | | | (3,874 | ) |
Banco Bilbao Vizcaya | | | 04/20/18 | | | | M | | | | 0.04 | % | | Credit Suisse Securities (Europe) Limited | | | 1,892,545 EUR | | | | 34,986 | |
Banco Bilbao Vizcaya Argentaria | | | 04/25/19 | | | | M | | | | 0.07 | % | | JPMorgan Chase Bank, N.A. | | | 1,420,367 EUR | | | | (45,835 | ) |
Banco BPM SpA | | | 10/04/19 | | | | M | | | | 0.05 | % | | Credit Suisse Securities (Europe) Limited | | | 1,140,918 EUR | | | | (79,617 | ) |
Bancorp, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 92,987 USD | | | | (1,274 | ) |
Bank of N. T. Butterfield & Son Ltd. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 170,746 USD | | | | (2,849 | ) |
Bank of New York Mellon Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 112,558 USD | | | | (6,922 | ) |
BankFinancial | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 106,794 USD | | | | 1,726 | |
Bankinter SA | | | 04/20/18 | | | | M | | | | 0.04 | % | | Credit Suisse Securities (Europe) Limited | | | 158,750 EUR | | | | (7,252 | ) |
Banque Cantonale Vaudois REG | | | 04/19/18 | | | | M | | | | 0.34 | % | | Credit Suisse Securities (Europe) Limited | | | 81,921 CHF | | | | (1,600 | ) |
Barclays PLC | | | 04/19/18 | | | | M | | | | 0.92 | % | | Credit Suisse Securities (Europe) Limited | | | 758,060 GBP | | | | 1,518 | |
Barclays PLC | | | 08/08/18 | | | | M | | | | 0.81 | % | | JPMorgan Chase Bank, N.A. | | | 8,211,997 GBP | | | | (31,102 | ) |
Barnes & Noble Education, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 58,872 USD | | | | 2,125 | |
Barnes Group, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 266,394 USD | | | | (5,873 | ) |
Barrett Business Services, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 55,262 USD | | | | (1,473 | ) |
Barry Callebaut AG REG | | | 04/19/18 | | | | M | | | | 0.34 | % | | Credit Suisse Securities (Europe) Limited | | | 298,887 CHF | | | | (11,731 | ) |
Basett Furniture Industries, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 163,062 USD | | | | (12,951 | ) |
BASF SE | | | 04/19/18 | | | | M | | | | 0.05 | % | | Credit Suisse Securities (Europe) Limited | | | 10,461,298 EUR | | | | (223,422 | ) |
BASF SE | | | 01/04/19 | | | | M | | | | 0.07 | % | | JPMorgan Chase Bank, N.A. | | | 596,109 EUR | | | | (13,617 | ) |
BAWAG Group AG | | | 04/19/18 | | | | M | | | | 0.05 | % | | Credit Suisse Securities (Europe) Limited | | | 1,763,941 EUR | | | | (15,469 | ) |
Baxter International, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 392,209 USD | | | | (9,579 | ) |
Bayer AG REG | | | 04/25/19 | | | | M | | | | 0.07 | % | | JPMorgan Chase Bank, N.A. | | | 4,685,000 EUR | | | | (117,508 | ) |
Bayer AG REG | | | 04/19/18 | | | | M | | | | 0.05 | % | | Credit Suisse Securities (Europe) Limited | | | 8,310,184 EUR | | | | (301,867 | ) |
BB&T Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 239,665 USD | | | | (1,009 | ) |
BBA Aviation PLC | | | 04/19/18 | | | | M | | | | 0.92 | % | | Credit Suisse Securities (Europe) Limited | | | 71,541 GBP | | | | (3,442 | ) |
BE Semiconductor Industries | | | 04/19/18 | | | | M | | | | 0.05 | % | | Credit Suisse Securities (Europe) Limited | | | 666,069 EUR | | | | (15,849 | ) |
Beachtle AG | | | 04/19/18 | | | | M | | | | 0.05 | % | | Credit Suisse Securities (Europe) Limited | | | 261,225 EUR | | | | (20,078 | ) |
Beazer Homes USA, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 268,326 USD | | | | (1,339 | ) |
Beazley PLC | | | 04/19/18 | | | | M | | | | 0.92 | % | | Credit Suisse Securities (Europe) Limited | | | 76,662 GBP | | | | 3,794 | |
Bed Bath & Beyond, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 334,424 USD | | | | (10,338 | ) |
Bel Fuse, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 107,646 USD | | | | (5,132 | ) |
Belden, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 72,144 USD | | | | (1,963 | ) |
Bemis Company | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 499,512 USD | | | | (18,225 | ) |
See Notes to Consolidated Financial Statements.
139
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | | | | | | | | | | | | | |
Reference
Instrument | | Termination
Date | | | Payment
Frequency | | | Financing
Rate | | | Counterparty | | Notional
Amount | | | Unrealized
Appreciation
(Depreciation) | |
Benchmark Electronics, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 712,980 USD | | | $ | (40,549 | ) |
Benefitfocus, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 193,416 USD | | | | 6,981 | |
Berkeley Group Hodlings | | | 04/19/18 | | | | M | | | | 0.92 | % | | Credit Suisse Securities (Europe) Limited | | | 92,901 GBP | | | | (3,927 | ) |
Berkshire Hathaway, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 223,738 USD | | | | (5,507 | ) |
Berry Global Group, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 139,580 USD | | | | (2,884 | ) |
BGC Partners, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 17,718 USD | | | | (247 | ) |
Biesse SpA | | | 10/04/19 | | | | M | | | | 0.05 | % | | Credit Suisse Securities (Europe) Limited | | | 352,896 EUR | | | | (21,024 | ) |
Big 5 Sporting Goods Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 875,711 USD | | | | 51,136 | |
Big Lots, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 201,851 USD | | | | (6,444 | ) |
Bio Rad Laboratories | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 405,627 USD | | | | (21,504 | ) |
Bio Techne Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 752,996 USD | | | | 22,141 | |
Biogen, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 125,032 USD | | | | (992 | ) |
BioMarin Pharmaceutical, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 15,301 USD | | | | (627 | ) |
bioMerieux | | | 04/19/18 | | | | M | | | | 0.05 | % | | Credit Suisse Securities (Europe) Limited | | | 161,754 EUR | | | | 2,288 | |
BioScrip, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 269,365 USD | | | | (20,253 | ) |
BioSpecifics Technologies Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 228,714 USD | | | | 13,782 | |
Blucora, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 75,774 USD | | | | (154 | ) |
Blue Bird Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 346,574 USD | | | | (2,900 | ) |
BNP Paribas SA | | | 04/19/18 | | | | M | | | | 0.05 | % | | Credit Suisse Securities (Europe) Limited | | | 1,822,135 EUR | | | | 21,165 | |
BNP Paribas SA | | | 04/25/19 | | | | M | | | | 0.07 | % | | JPMorgan Chase Bank, N.A. | | | 12,340,000 EUR | | | | (376,518 | ) |
BofI Holding, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 98,392 USD | | | | (2,579 | ) |
Boise Cascade Co. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 6,202 USD | | | | (334 | ) |
BOK Financial Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 599,691 USD | | | | (2,089 | ) |
Bonanza Creek Energy, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 47,891 USD | | | | 3,095 | |
Booz Allen Hamilton Holdings | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 577,281 USD | | | | (5,464 | ) |
BorgWarner, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 98,199 USD | | | | 2,763 | |
Bossard Holding AG REG | | | 04/19/18 | | | | M | | | | 0.34 | % | | Credit Suisse Securities (Europe) Limited | | | 80,320 CHF | | | | (10,825 | ) |
Boston Scientific Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 194,159 USD | | | | (3,193 | ) |
Bottomline Technologies | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 467,815 USD | | | | (1,924 | ) |
BPER Banca | | | 08/22/18 | | | | M | | | | 0.07 | % | | JPMorgan Chase Bank, N.A. | | | 1,398,649 EUR | | | | (26,925 | ) |
BPER Banca SpA | | | 10/04/19 | | | | M | | | | 0.05 | % | | Credit Suisse Securities (Europe) Limited | | | 29,365 EUR | | | | (565 | ) |
Bpost SA | | | 04/19/18 | | | | M | | | | 0.05 | % | | Credit Suisse Securities (Europe) Limited | | | 83,891 EUR | | | | (13,379 | ) |
Brady Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 701,377 USD | | | | (13,880 | ) |
Bridgepoint Education, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 272,356 USD | | | | (14,443 | ) |
Briggs & Stratton | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 318,948 USD | | | | (12,592 | ) |
Bright Horizons Family Solutions | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 3,051 USD | | | | 40 | |
Brightcove, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 59,033 USD | | | | — | |
See Notes to Consolidated Financial Statements.
140
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | | | | | | | | | | | | | |
Reference
Instrument | | Termination
Date | | | Payment
Frequency | | | Financing
Rate | | | Counterparty | | Notional
Amount | | | Unrealized
Appreciation
(Depreciation) | |
Brinker International, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 37,577 USD | | | $ | 798 | |
Bristol Myers Squibb Co. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 271,083 USD | | | | (8,216 | ) |
Bristow Group, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 477,886 USD | | | | 7,196 | |
Broadridge Financial Solutions, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 640,256 USD | | | | 15,361 | |
Brookdale Senior Living, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 514,754 USD | | | | (37,022 | ) |
Brooks Automation, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 41,770 USD | | | | (3,478 | ) |
Brown & Brown, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 384,467 USD | | | | (4,826 | ) |
Bruker Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 554,426 USD | | | | (3,299 | ) |
Bucher Industries AG REG | | | 04/19/18 | | | | M | | | | 0.34 | % | | Credit Suisse Securities (Europe) Limited | | | 363,185 CHF | | | | (13,589 | ) |
Buckle, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 340,800 USD | | | | 72,829 | |
Build-A-Bear Workshop, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 156,430 USD | | | | 9,907 | |
C.H. Robinson Worldwide, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 89,791 USD | | | | 1,295 | |
CA Immobilien Anlagen AG | | | 04/19/18 | | | | M | | | | 0.05 | % | | Credit Suisse Securities (Europe) Limited | | | 144,401 EUR | | | | 7,193 | |
CA, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 387,915 USD | | | | (19,456 | ) |
Cabot Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 8,049 USD | | | | (304 | ) |
Cabot Microelectionics Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 360,001 USD | | | | (18,106 | ) |
CACI International, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 266,679 USD | | | | (4,844 | ) |
Cadence Design Systems, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 123,203 USD | | | | (7,231 | ) |
CAI International, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 54,580 USD | | | | (1,175 | ) |
CalAmp Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 135,233 USD | | | | (6,899 | ) |
Calavo Growers, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 52,828 USD | | | | 2 | |
Caleres, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 247,213 USD | | | | 17,152 | |
Callaway Golf Company | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 25,043 USD | | | | 806 | |
Cambium Learning Group, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 304,487 USD | | | | 35,758 | |
Cambrex Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 154,019 USD | | | | (4,179 | ) |
Canadian Real Estate Investment Trust | | | 08/07/18 | | | | M | | | | 1.95 | % | | Deutsche Bank AG | | | 127,504 CAD | | | | 1,036 | |
Cancom SE | | | 04/19/18 | | | | M | | | | 0.05 | % | | Credit Suisse Securities (Europe) Limited | | | 398,583 EUR | | | | 16,171 | |
Cantel Medical Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 615,298 USD | | | | (14,909 | ) |
Capital City Bank Group, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 6,108 USD | | | | (291 | ) |
Capital Senior Living Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 167,104 USD | | | | (20,581 | ) |
Capitol Federal Financial, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 295,294 USD | | | | (12,590 | ) |
See Notes to Consolidated Financial Statements.
141
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | | | | | | | | | | | | | |
Reference
Instrument | | Termination
Date | | | Payment
Frequency | | | Financing
Rate | | | Counterparty | | Notional
Amount | | | Unrealized
Appreciation
(Depreciation) | |
Capstead Mortgage Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 79,164 USD | | | $ | (725 | ) |
Carbo Cermaics, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 160,722 USD | | | | (221 | ) |
Cardinal Health, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 512,613 USD | | | | (27,094 | ) |
Cardiovascular Systems, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 451,080 USD | | | | (31,252 | ) |
Care.com, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 245,865 USD | | | | (29,637 | ) |
Career Education Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 398,310 USD | | | | (17,670 | ) |
Carl Zeiss Meditec AG | | | 04/19/18 | | | | M | | | | 0.05 | % | | Credit Suisse Securities (Europe) Limited | | | 187,313 EUR | | | | 7,235 | |
Carlisle Cos., Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 72,387 USD | | | | (240 | ) |
Carolina Financial Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 140,831 USD | | | | (7,790 | ) |
Carpenter Technology | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 88,288 USD | | | | 1,452 | |
Carriage Services, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 273,267 USD | | | | (2,448 | ) |
Cars.com, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 288,135 USD | | | | (13,476 | ) |
Casella Waste Systems, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 200,299 USD | | | | 1,120 | |
Cass Information Systems, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 378,225 USD | | | | (12,357 | ) |
Catalent, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 157,529 USD | | | | (3,184 | ) |
Catalyst Pharmaceuticals, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 256,440 USD | | | | (39,871 | ) |
Cato Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 615,706 USD | | | | 83,486 | |
Cavum, Inc. | | | 08/06/18 | | | | M | | | | 2.03 | % | | Deutsche Bank AG | | | 8,949,825 USD | | | | (354,876 | ) |
CBIZ, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 112,281 USD | | | | (4,715 | ) |
CBOE Holdings, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 2,849 USD | | | | 4 | |
CDK Global, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 234,968 USD | | | | (17,332 | ) |
CDW Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 230,714 USD | | | | (4,527 | ) |
CECO Environmental Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 163,410 USD | | | | (14,687 | ) |
Ceconomy AG | | | 04/19/18 | | | | M | | | | 0.05 | % | | Credit Suisse Securities (Europe) Limited | | | 60,471 EUR | | | | (1,628 | ) |
Cellnex Telecom SAU | | | 04/20/18 | | | | M | | | | 0.04 | %�� | | Credit Suisse Securities (Europe) Limited | | | 229,915 EUR | | | | (9,182 | ) |
Cementir Holding SpA | | | 10/04/19 | | | | M | | | | 0.05 | % | | Credit Suisse Securities (Europe) Limited | | | 69,676 EUR | | | | (1,597 | ) |
Centene Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 353,616 USD | | | | 8,994 | |
Central Valley Community Bancorp | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 38,551 USD | | | | (1,642 | ) |
Century Bancorp, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 68,484 USD | | | | 1,229 | |
Century Casinos, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 105,916 USD | | | | (4,617 | ) |
Cerner Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 577,831 USD | | | | (31,645 | ) |
CEVA, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 150,195 USD | | | | (9,703 | ) |
CF Industries Holdings, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 38,107 USD | | | | 264 | |
CGG SA | | | 04/19/18 | | | | M | | | | 0.05 | % | | Credit Suisse Securities (Europe) Limited | | | 8,037,293 EUR | | | | 75,227 | |
See Notes to Consolidated Financial Statements.
142
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | | | | | | | | | | | | | |
Reference
Instrument | | Termination
Date | | | Payment
Frequency | | | Financing
Rate | | | Counterparty | | Notional
Amount | | | Unrealized
Appreciation
(Depreciation) | |
ChannelAdvisor Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 94,301 USD | | | $ | (3,010 | ) |
Charles River Laboratories | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 494,257 USD | | | | (17,769 | ) |
Cheesecake Factory, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 17,161 USD | | | | 5 | |
Chemed Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 672,874 USD | | | | (16,100 | ) |
Chesapeake Utilities Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 111,595 USD | | | | 261 | |
Chevron Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 409,781 USD | | | | (4,027 | ) |
Chicago Bridge & Iron Co. | | | 08/06/18 | | | | M | | | | 2.03 | % | | Deutsche Bank AG | | | 3,433,331 USD | | | | (333,645 | ) |
Chico's FAS, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 355,852 USD | | | | 8,876 | |
Chimera Investment Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 181,250 USD | | | | (3,372 | ) |
Chimerix, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 209,191 USD | | | | (18,371 | ) |
Choice Hotels International, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 136,592 USD | | | | (3,543 | ) |
Christian Dior SE | | | 04/19/18 | | | | M | | | | 0.05 | % | | Credit Suisse Securities (Europe) Limited | | | 366,821 EUR | | | | 12,201 | |
Chubb Ltd. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 135,044 USD | | | | 222 | |
Chuy's Holdings, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 150,705 USD | | | | 2,932 | |
Ciena Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 120,424 USD | | | | (3,459 | ) |
Cincinnati Financial Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 90,444 USD | | | | 451 | |
Cinemark Holdings, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 115,653 USD | | | | (2,267 | ) |
Cirrus Logic, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 105,260 USD | | | | (1,085 | ) |
Cisco Systems, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 120,426 USD | | | | (2,221 | ) |
CIT Group, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 106,108 USD | | | | (945 | ) |
Citigroup, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 79,510 USD | | | | (265 | ) |
CitiTrends, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 379,108 USD | | | | 122,314 | |
City Office REIT, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 20,206 USD | | | | 70 | |
Civitas Solutions, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 277,870 USD | | | | 11,265 | |
Clariant AG REG | | | 04/19/18 | | | | M | | | | 0.34 | % | | Credit Suisse Securities (Europe) Limited | | | 129,300 CHF | | | | (3,116 | ) |
Clarus Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 55,600 USD | | | | (2,741 | ) |
Clearfield, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 67,749 USD | | | | (4,874 | ) |
Clearwater Paper Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 111,302 USD | | | | 5,059 | |
Clifton Bancorp, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 145,028 USD | | | | (1,377 | ) |
Cloud Peak Energy, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 426,611 USD | | | | (60,405 | ) |
CME Group, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 36,519 USD | | | | (613 | ) |
CNA Financial Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 193,515 USD | | | | (4,850 | ) |
CNH Industrial NV | | | 10/04/19 | | | | M | | | | 0.05 | % | | Credit Suisse Securities (Europe) Limited | | | 75,454 EUR | | | | (8,414 | ) |
CNX Resources Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 118,555 USD | | | | 488 | |
Coca-Cola Company | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 587,464 USD | | | | 4,400 | |
Codexis, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 388,579 USD | | | | (35,325 | ) |
Cogent Communications Holdings, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 63,239 USD | | | | 255 | |
See Notes to Consolidated Financial Statements.
143
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | | | | | | | | | | | | | |
Reference
Instrument | | Termination
Date | | | Payment
Frequency | | | Financing
Rate | | | Counterparty | | Notional
Amount | | | Unrealized
Appreciation
(Depreciation) | |
Cognizant Technology Solutions Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 358,916 USD | | | $ | (18,320 | ) |
Cohen & Steers, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 40,477 USD | | | | (915 | ) |
Cohu, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 90,518 USD | | | | 882 | |
Colfax Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 265,608 USD | | | | (5,304 | ) |
Collectors Universe, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 110,345 USD | | | | (2,134 | ) |
Columbia Property Trust, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 79,448 USD | | | | (1,598 | ) |
Com Hem Holding AB | | | 04/19/18 | | | | M | | | | 0.09 | % | | Credit Suisse Securities (Europe) Limited | | | 3,285,036 SEK | | | | (6,956 | ) |
Com Hem Holding AB | | | 07/30/18 | | | | M | | | | 0.29 | % | | Deutsche Bank AG | | | 17,136,515 SEK | | | | (2,160 | ) |
Comerica, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 178,529 USD | | | | 1,628 | |
Comfort Systems USA, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 106,772 USD | | | | 2,046 | |
Commerce Bancshares, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 462,113 USD | | | | 153 | |
CommerceHub, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 343,957 USD | | | | — | |
Commercial Metals Co. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 146,246 USD | | | | (8,447 | ) |
Commerzbank AG | | | 04/19/18 | | | | M | | | | 0.40 | % | | Credit Suisse Securities (Europe) Limited | | | 115,329 EUR | | | | (933 | ) |
Community Health Systems, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 398,054 USD | | | | (50,853 | ) |
Commvault Systems, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 262,945 USD | | | | 461 | |
Compagnie de Saint Gobain | | | 04/19/18 | | | | M | | | | 0.05 | % | | Credit Suisse Securities (Europe) Limited | | | 4,079,002 EUR | | | | (350,299 | ) |
Compagnie de Saint Gobain | | | 03/21/19 | | | | M | | | | 0.07 | % | | JPMorgan Chase Bank, N.A. | | | 3,475,875 EUR | | | | (321,609 | ) |
Compass Minerals International, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 312,126 USD | | | | (3,993 | ) |
Computer Programs & Systems, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 575,689 USD | | | | (1,938 | ) |
Comtech Telecommunications Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 689,428 USD | | | | (8,205 | ) |
Conagra Brands, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 287,766 USD | | | | 3,955 | |
Conduent, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 736,930 USD | | | | (37,166 | ) |
CONMED Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 906,489 USD | | | | (10,749 | ) |
Connecticut Water Services, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 51,681 USD | | | | 2,554 | |
Connectone Bancorp, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 345 USD | | | | (28 | ) |
CONSOL Energy, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 310,294 USD | | | | (6,601 | ) |
Consolidated Water Co. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 102,238 USD | | | | (1,727 | ) |
Container Store Group, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 163,179 USD | | | | (2,656 | ) |
Continental AG | | | 04/19/18 | | | | M | | | | 0.04 | % | | Credit Suisse Securities (Europe) Limited | | | 1,059,783 EUR | | | | 35,093 | |
See Notes to Consolidated Financial Statements.
144
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | | | | | | | | | | | | | |
Reference
Instrument | | Termination
Date | | | Payment
Frequency | | | Financing
Rate | | | Counterparty | | Notional
Amount | | | Unrealized
Appreciation
(Depreciation) | |
Control4 Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 312,741 USD | | | $ | (41,320 | ) |
Convergys Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 884,587 USD | | | | (33,125 | ) |
Cooper Cos., Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 419,412 USD | | | | (4,351 | ) |
Cooper Tire & Rubber | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 220,905 USD | | | | (1,712 | ) |
Copa Holdings SA | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 479,101 USD | | | | (24,522 | ) |
CoreLogic, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 516,744 USD | | | | (8,539 | ) |
Corning, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 747,204 USD | | | | (32,946 | ) |
Corvel Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 404,606 USD | | | | (11,175 | ) |
Costamare, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 687,982 USD | | | | (21,101 | ) |
Covanta Holding Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 106,965 USD | | | | (3,566 | ) |
Covenant Transportation Group, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 62,273 USD | | | | (4,313 | ) |
Covestro AG | | | 04/19/18 | | | | M | | | | 0.05 | % | | Credit Suisse Securities (Europe) Limited | | | 66,901 EUR | | | | (4,198 | ) |
CRA International, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 374,576 USD | | | | 4,788 | |
Cracker Barrel Old Country Store, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 226,818 USD | | | | (276 | ) |
Crane Co. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 206,715 USD | | | | (3,893 | ) |
Cray, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 321,135 USD | | | | (19,308 | ) |
Credit Acceptance Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 122,203 USD | | | | 1,370 | |
Cree, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 106,909 USD | | | | (5,005 | ) |
Croda International PLC | | | 04/11/19 | | | | M | | | | 0.81 | % | | JPMorgan Chase Bank, N.A. | | | 4,562,400 GBP | | | | 7,857 | |
Croda International PLC | | | 04/19/18 | | | | M | | | | 0.92 | % | | Credit Suisse Securities (Europe) Limited | | | 252,730 GBP | | | | 922 | |
Cross Country Healthcare, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 474,284 USD | | | | (26,018 | ) |
Crown Holdings, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 84,851 USD | | | | (910 | ) |
CryoLife, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 320,360 USD | | | | (12,292 | ) |
CSG Systems International, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 843,487 USD | | | | (28,086 | ) |
CSRA, Inc. | | | 08/06/18 | | | | M | | | | 2.03 | % | | Deutsche Bank AG | | | 8,481,684 USD | | | | 150,641 | |
CSS Industries, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 259,765 USD | | | | (9,585 | ) |
CSW Industrials, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 301,678 USD | | | | (10,970 | ) |
CTS Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 409,321 USD | | | | (10,270 | ) |
CTS Eventim AG & Co. KGaA | | | 04/19/18 | | | | M | | | | 0.05 | % | | Credit Suisse Securities (Europe) Limited | | | 88,340 EUR | | | | (8,808 | ) |
Cubic Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 919 USD | | | | (29 | ) |
Culp, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 91,052 USD | | | | 1,515 | |
Cummins, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 34,747 USD | | | | 750 | |
Curtiss Wright Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 41,080 USD | | | | (829 | ) |
Cutera, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 402,333 USD | | | | (25,960 | ) |
Cypress Semiconductor Corp. | | | 05/08/19 | | | | M | | | | 2.18 | % | | Credit Suisse Securities (Europe) Limited | | | 2,502,779 USD | | | | (179,717 | ) |
See Notes to Consolidated Financial Statements.
145
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | | | | | | | | | | | | | |
Reference
Instrument | | Termination
Date | | | Payment
Frequency | | | Financing
Rate | | | Counterparty | | Notional
Amount | | | Unrealized
Appreciation
(Depreciation) | |
Cypress Semiconductor Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 397,748 USD | | | $ | (31,327 | ) |
CYS Investments, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 15,637 USD | | | | — | |
D. R. Horton, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 13,106 USD | | | | 2 | |
Daetwyler Holding AG | | | 04/19/18 | | | | M | | | | 0.34 | % | | Credit Suisse Securities (Europe) Limited | | | 179,466 CHF | | | | (7,418 | ) |
Daktronics, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 315,567 USD | | | | (13,199 | ) |
Dalata Hotel Group PLC | | | 04/19/18 | | | | M | | | | 0.04 | % | | Credit Suisse Securities (Europe) Limited | | | 72,394 EUR | | | | (2,605 | ) |
Dana, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 93,901 USD | | | | (1,191 | ) |
Danaher Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 476,043 USD | | | | (10,285 | ) |
Danone | | | 05/09/18 | | | | M | | | | 0.07 | % | | JPMorgan Chase Bank, N.A. | | | 8,756,800 EUR | | | | (260,732 | ) |
Danone | | | 04/19/18 | | | | M | | | | 0.05 | % | | Credit Suisse Securities (Europe) Limited | | | 4,674,722 EUR | | | | (74,898 | ) |
Danske Bank A/S | | | 04/19/18 | | | | M | | | | 0.09 | % | | Credit Suisse Securities (Europe) Limited | | | 11,206,283 DKK | | | | (128,326 | ) |
Darling Ingredients, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 26,842 USD | | | | (754 | ) |
Dassault Aviation SA | | | 04/19/18 | | | | M | | | | 0.05 | % | | Credit Suisse Securities (Europe) Limited | | | 5,881,632 EUR | | | | 221,082 | |
Dassault Systemes SA | | | 04/19/18 | | | | M | | | | 0.04 | % | | Credit Suisse Securities (Europe) Limited | | | 116,466 EUR | | | | (1,351 | ) |
Davita, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 289,124 USD | | | | (4,197 | ) |
DCT Industrial Trust, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 86,300 USD | | | | (1,564 | ) |
Dean Foods Co. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 715,165 USD | | | | (17,798 | ) |
Dechra Pharamaceuticals PLC | | | 04/19/18 | | | | M | | | | 0.92 | % | | Credit Suisse Securities (Europe) Limited | | | 92,277 GBP | | | | (2,371 | ) |
Del Frisco's Restaurant Group | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 115,503 USD | | | | 3,111 | |
Del Taco Restaurants, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 311,830 USD | | | | (18,652 | ) |
Delta Air Lines, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 725,580 USD | | | | (13,160 | ) |
Deluxe Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 421,487 USD | | | | 3,849 | |
Denny's Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 464,258 USD | | | | (5,647 | ) |
Dentsply Sirona, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 729,196 USD | | | | (72,550 | ) |
Deutsche Boerse AG | | | 04/19/18 | | | | M | | | | 0.05 | % | | Credit Suisse Securities (Europe) Limited | | | 214,807 EUR | | | | 2,423 | |
Deutsche Lufthansa REG | | | 04/19/18 | | | | M | | | | 0.05 | % | | Credit Suisse Securities (Europe) Limited | | | 231,907 EUR | | | | (8,622 | ) |
Deutsche Post AG REG | | | 04/19/18 | | | | M | | | | 0.05 | % | | Credit Suisse Securities (Europe) Limited | | | 62,562 EUR | | | | (2,287 | ) |
DHT Holdings, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 593,408 USD | | | | (31,167 | ) |
Diamond Hill Investment Group | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 158,854 USD | | | | (1,455 | ) |
Diamond Offshore Drilling, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 582,668 USD | | | | (9,770 | ) |
Digi International, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 234,712 USD | | | | (4,981 | ) |
Digimarc Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 21,075 USD | | | | (3,208 | ) |
DineEquity, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 265,611 USD | | | | (7,095 | ) |
Diodes, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 436,401 USD | | | | (18,521 | ) |
See Notes to Consolidated Financial Statements.
146
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | | | | | | | | | | | | | |
Reference
Instrument | | Termination
Date | | | Payment
Frequency | | | Financing
Rate | | | Counterparty | | Notional
Amount | | | Unrealized
Appreciation
(Depreciation) | |
Diplomat Pharmacy, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 173,615 USD | | | $ | (15,679 | ) |
DMC Global, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 230,738 USD | | | | (3,817 | ) |
DNA Oyj | | | 04/19/18 | | | | M | | | | 0.04 | % | | Credit Suisse Securities (Europe) Limited | | | 81,140 EUR | | | | (2,763 | ) |
Dolby Laboratories, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 301,202 USD | | | | (14,419 | ) |
Domino's Pizza, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 18,413 USD | | | | 38 | |
Domtar Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 851,780 USD | | | | (59,133 | ) |
Donaldson Co., Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 224,356 USD | | | | 83 | |
Dorian LPG Ltd. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 340,682 USD | | | | (10,380 | ) |
Douglas Dynamics, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 341,817 USD | | | | (23,498 | ) |
Douglas Emmett, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 125,470 USD | | | | (1,883 | ) |
Dover Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 154,499 USD | | | | (1,669 | ) |
Dril Quip, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 272,206 USD | | | | (2,286 | ) |
Drillisch AG | | | 04/19/18 | | | | M | | | | 0.05 | % | | Credit Suisse Securities (Europe) Limited | | | 105,960 EUR | | | | (14,103 | ) |
Drive Shack, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 474,270 USD | | | | (721 | ) |
DSP Group, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 138,826 USD | | | | (7,020 | ) |
DSV A/S | | | 04/19/18 | | | | M | | | | 0.09 | % | | Credit Suisse Securities (Europe) Limited | | | 630,003 DKK | | | | 448 | |
DSW, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 219,009 USD | | | | 9,566 | |
Ducommun, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 216,397 USD | | | | 5,104 | |
Duke Eneregy Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 35,991 USD | | | | 342 | |
Duke Realty Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 61,988 USD | | | | 1,511 | |
Dun & Bradstreet Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 349,424 USD | | | | (17,144 | ) |
Dunkin Brands Group, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 33,301 USD | | | | 66 | |
Dynergy, Inc. | | | 08/06/18 | | | | M | | | | 2.03 | % | | Deutsche Bank AG | | | 3,022,321 USD | | | | 204,186 | |
Dynex Capital, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 46,105 USD | | | | 995 | |
E.ON SE | | | 04/19/18 | | | | M | | | | 0.05 | % | | Credit Suisse Securities (Europe) Limited | | | 5,260,473 EUR | | | | 90,232 | |
E.ON SE | | | 10/10/18 | | | | M | | | | 0.07 | % | | JPMorgan Chase Bank, N.A. | | | 2,285,250 EUR | | | | (37,221 | ) |
Eagle Bulk Shipping, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 21,651 USD | | | | (1,558 | ) |
East West Bancorp, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 115,771 USD | | | | 616 | |
Easterly Government Properties, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 195,007 USD | | | | 5,504 | |
EastGroup Properties, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 42,748 USD | | | | 1,144 | |
easyJet PLC | | | 04/19/18 | | | | M | | | | 0.92 | % | | Credit Suisse Securities (Europe) Limited | | | 182,290 GBP | | | | (2,930 | ) |
Eaton Corp. PLC | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 147,500 USD | | | | (865 | ) |
Eaton Vance Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 41,792 USD | | | | (262 | ) |
EchoStar Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 879,519 USD | | | | (62,376 | ) |
Edenred | | | 04/19/18 | | | | M | | | | 0.04 | % | | Credit Suisse Securities (Europe) Limited | | | 117,320 EUR | | | | (2,864 | ) |
Education Realty Trust, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 8,950 USD | | | | 286 | |
Edwards Lifesciences Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 401,023 USD | | | | (740 | ) |
See Notes to Consolidated Financial Statements.
147
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | | | | | | | | | | | | | |
Reference
Instrument | | Termination
Date | | | Payment
Frequency | | | Financing
Rate | | | Counterparty | | Notional
Amount | | | Unrealized
Appreciation
(Depreciation) | |
EFG International AG | | | 04/19/18 | | | | M | | | | 0.34 | % | | Credit Suisse Securities (Europe) Limited | | | 214,609 CHF | | | $ | (3,940 | ) |
Egypt Treasury Bill | | | 08/30/18 | | | | 3M | | | | 0.00 | % | | Citibank N.A. | | | 109,507,295 EGP | | | | 172,553 | |
Egypt Treasury Bill | | | 04/10/18 | | | | 3M | | | | 1.94 | % | | Goldman Sachs International | | | 168,925,000 USD | | | | 495,294 | |
Egypt Treasury Bill | | | 05/15/18 | | | | 3M | | | | 1.94 | % | | Goldman Sachs International | | | 168,925,000 USD | | | | 509,708 | |
Egypt Treasury Bill | | | 06/12/18 | | | | 3M | | | | 2.45 | % | | Goldman Sachs International | | | 168,925,000 USD | | | | 517,465 | |
Egypt Treasury Bill | | | 05/10/18 | | | | 3M | | | | 3.31 | % | | Citibank N.A. | | | 393,515,639 EGP | | | | 2,134,076 | |
Eiffage | | | 04/19/18 | | | | M | | | | 0.05 | % | | Credit Suisse Securities (Europe) Limited | | | 105,650 EUR | | | | (1,526 | ) |
El Paso Electric Co. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 242,283 USD | | | | 11,442 | |
Eli Lilly & Co. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 25,887 USD | | | | 573 | |
Emcor Group, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 70,072 USD | | | | (247 | ) |
EMCORE Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 283,136 USD | | | | (2,462 | ) |
Emergent BioSolutions, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 451,433 USD | | | | 4,200 | |
Empire State Realty Trust | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 28,195 USD | | | | (592 | ) |
Enanta Pharmaceuticals, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 470,149 USD | | | | (17,700 | ) |
ENCE Energia y Celulosa, SA | | | 04/20/18 | | | | M | | | | 0.04 | % | | Credit Suisse Securities (Europe) Limited | | | 276,139 EUR | | | | 6,381 | |
Encompass Health Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 1,140,041 USD | | | | (12,591 | ) |
Encore Wire Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 79,115 USD | | | | 775 | |
Enel SpA | | | 10/04/19 | | | | M | | | | 0.05 | % | | Credit Suisse Securities (Europe) Limited | | | 3,189,346 EUR | | | | 75,234 | |
Energy XXI Gulf Coast, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 590,947 USD | | | | (147,035 | ) |
Engie | | | 04/19/18 | | | | M | | | | 0.05 | % | | Credit Suisse Securities (Europe) Limited | | | 2,541,135 EUR | | | | 24,409 | |
Engie | | | 08/08/18 | | | | M | | | | 0.07 | % | | JPMorgan Chase Bank, N.A. | | | 2,017,500 EUR | | | | 19,380 | |
Engility Holdings, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 36,811 USD | | | | (1,602 | ) |
Ennis, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 269,045 USD | | | | (4,652 | ) |
EnPro Industries, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 41,475 USD | | | | 1 | |
Ensco PLC | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 435,479 USD | | | | (22,573 | ) |
Ensign Group, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 611,758 USD | | | | (36,366 | ) |
Enstar Group Limited | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 136,449 USD | | | | (3,571 | ) |
Entergis, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 330,158 USD | | | | (12,330 | ) |
Entravision Communications Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 377,521 USD | | | | (18,376 | ) |
Envestnet, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 153,215 USD | | | | (2,230 | ) |
Envision Healthcare Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 37,413 USD | | | | 57 | |
Enzo Biochem, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 276,886 USD | | | | (31,360 | ) |
EPAM Systems, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 235,708 USD | | | | (13,997 | ) |
ePlus, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 225,236 USD | | | | (605 | ) |
Equity Commonwealth | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 503,054 USD | | | | 10,208 | |
See Notes to Consolidated Financial Statements.
148
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | | | | | | | | | | | | | |
Reference
Instrument | | Termination
Date | | | Payment
Frequency | | | Financing
Rate | | | Counterparty | | Notional
Amount | | | Unrealized
Appreciation
(Depreciation) | |
Equity LifeStyle Properties, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 127,190 USD | | | $ | 6,132 | |
Era Group, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 190,938 USD | | | | (759 | ) |
ERAMET | | | 04/19/18 | | | | M | | | | 0.05 | % | | Credit Suisse Securities (Europe) Limited | | | 339,375 EUR | | | | (36,118 | ) |
ERG SpA | | | 10/04/19 | | | | M | | | | 0.05 | % | | Credit Suisse Securities (Europe) Limited | | | 399,451 EUR | | | | (4,018 | ) |
ESCO Technologies, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 192,421 USD | | | | (8,632 | ) |
Essendant, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 706,986 USD | | | | (13,339 | ) |
Essent Group Ltd. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 24,613 USD | | | | 1,093 | |
Esterline Technologies Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 163,260 USD | | | | (3,281 | ) |
Ethan Allen Interiors, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 323,689 USD | | | | (14,805 | ) |
Eurazeo SA | | | 04/19/18 | | | | M | | | | 0.05 | % | | Credit Suisse Securities (Europe) Limited | | | 157,998 EUR | | | | (9,077 | ) |
Euronet Worldwide, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 97,994 USD | | | | (9,051 | ) |
Euronext NV | | | 04/19/18 | | | | M | | | | 0.04 | % | | Credit Suisse Securities (Europe) Limited | | | 115,319 EUR | | | | (2,149 | ) |
Everbridge, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 37,390 USD | | | | (534 | ) |
EVERTEC, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 195,584 USD | | | | (6,365 | ) |
Evolent Health, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 154,009 USD | | | | (5,723 | ) |
Evolution Gaming Corp. | | | 04/19/18 | | | | M | | | | 0.09 | % | | Credit Suisse Securities (Europe) Limited | | | 3,197,748 SEK | | | | (72,481 | ) |
Evraz PLC | | | 04/19/18 | | | | M | | | | 0.92 | % | | Credit Suisse Securities (Europe) Limited | | | 208,720 GBP | | | | 386 | |
Exelon Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 285,540 USD | | | | 8,596 | |
Exlservice Holdings, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 755,101 USD | | | | (45,428 | ) |
Exor SpA | | | 10/04/19 | | | | M | | | | 0.05 | % | | Credit Suisse Securities (Europe) Limited | | | 184,832 EUR | | | | (11,592 | ) |
Expeditors International of Washington, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 364,176 USD | | | | 2,584 | |
Exponent, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 133,191 USD | | | | (508 | ) |
Express Scripts Holding Co. | | | 08/06/18 | | | | M | | | | 2.03 | % | | Deutsche Bank AG | | | 11,062,185 USD | | | | (1,035,776 | ) |
Exxon Mobil Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 248,486 USD | | | | (482 | ) |
F5 Networks, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 262,884 USD | | | | (2,731 | ) |
Factset Research Systems, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 11,954 USD | | | | (587 | ) |
Fair Isaac Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 186,315 USD | | | | (1,024 | ) |
Farmer Bros. Co. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 209,244 USD | | | | (17,172 | ) |
Farmers National Bank Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 6,356 USD | | | | (178 | ) |
Faro Technologies, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 312,258 USD | | | | (5,483 | ) |
Faurecia | | | 04/19/18 | | | | M | | | | 0.05 | % | | Credit Suisse Securities (Europe) Limited | | | 452,627 EUR | | | | (16,270 | ) |
Federal Agricultural Mortgage Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 75,182 USD | | | | (345 | ) |
Federal Signal Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 45,822 USD | | | | (351 | ) |
Federated Investors, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 26,084 USD | | | | 469 | |
FEDEX Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 202,682 USD | | | | 3,572 | |
See Notes to Consolidated Financial Statements.
149
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | | | | | | | | | | | | | |
Reference
Instrument | | Termination
Date | | | Payment
Frequency | | | Financing
Rate | | | Counterparty | | Notional
Amount | | | Unrealized
Appreciation
(Depreciation) | |
Ferrari | | | 10/04/19 | | | | M | | | | 0.04 | % | | Credit Suisse Securities (Europe) Limited | | | 94,835 EUR | | | $ | (2,673 | ) |
Ferrexpo PLC | | | 04/19/18 | | | | M | | | | 0.92 | % | | Credit Suisse Securities (Europe) Limited | | | 79,868 GBP | | | | (23,535 | ) |
Fevertree Drinks PLC | | | 04/19/18 | | | | M | | | | 0.92 | % | | Credit Suisse Securities (Europe) Limited | | | 93,810 GBP | | | | (11,713 | ) |
Fidelity National Information Services, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 685,888 USD | | | | (26,040 | ) |
Fiesta Restaurant Group | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 50,937 USD | | | | 1,270 | |
Fifth Third Bancorp | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 253,688 USD | | | | (13,754 | ) |
Fincantieri SpA | | | 10/04/19 | | | | M | | | | 0.05 | % | | Credit Suisse Securities (Europe) Limited | | | 330,910 EUR | | | | (34,998 | ) |
FinecoBank SpA | | | 10/04/19 | | | | M | | | | 0.05 | % | | Credit Suisse Securities (Europe) Limited | | | 446,910 EUR | | | | (24,067 | ) |
Finish Line | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 181,220 USD | | | | 58,167 | |
Finnair Oyj | | | 04/19/18 | | | | M | | | | 0.05 | % | | Credit Suisse Securities (Europe) Limited | | | 116,865 EUR | | | | (9,567 | ) |
First American Financial Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 156,293 USD | | | | 383 | |
First Bancorp | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 277,876 USD | | | | (10,572 | ) |
First Citizens Bancshares | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 157,400 USD | | | | (11,526 | ) |
First Industrial Realty Trust | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 101,451 USD | | | | (929 | ) |
First Internet Bancorp | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 37,189 USD | | | | (1,262 | ) |
First Solar, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 231,872 USD | | | | 7,188 | |
FirstCash, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 65,752 USD | | | | 1,035 | |
FirstEnergy Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 23,071 USD | | | | 226 | |
Fischer (Georg) REG | | | 04/19/18 | | | | M | | | | 0.34 | % | | Credit Suisse Securities (Europe) Limited | | | 405,707 CHF | | | | (23,333 | ) |
Fiserv, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 411,998 USD | | | | (13,232 | ) |
Fitbit, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 214,699 USD | | | | (6,134 | ) |
Five9, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 85,229 USD | | | | (4,081 | ) |
Flagstar Bancorp, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 363,600 USD | | | | (9,989 | ) |
Flexsteel Industries | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 214,340 USD | | | | 10,158 | |
FLIR Systems, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 566,120 USD | | | | (4,008 | ) |
Flowers Foods, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 751,057 USD | | | | 32,623 | |
Fluidigm Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 70,570 USD | | | | (7,650 | ) |
Fnac Darty SA | | | 04/19/18 | | | | M | | | | 0.05 | % | | Credit Suisse Securities (Europe) Limited | | | 103,429 EUR | | | | 2,233 | |
FNF Group | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 39,585 USD | | | | 315 | |
Fogo De Chao, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 69,615 USD | | | | 111 | |
Fonar Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 130,675 USD | | | | 25,715 | |
ForeScout Technologies, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 256,652 USD | | | | (10,108 | ) |
Forest City Realty Trust | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 114,751 USD | | | | (4,881 | ) |
Forestar Group, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 277,502 USD | | | | (21,207 | ) |
Forrester Research, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 467,867 USD | | | | (17,389 | ) |
Fortive Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 42,485 USD | | | | (159 | ) |
Fortress Biotech, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 79,938 USD | | | | (8,057 | ) |
Forward Air Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 567,731 USD | | | | (19,732 | ) |
See Notes to Consolidated Financial Statements.
150
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | | | | | | | | | | | | | |
Reference
Instrument | | Termination
Date | | | Payment
Frequency | | | Financing
Rate | | | Counterparty | | Notional
Amount | | | Unrealized
Appreciation
(Depreciation) | |
Fossil Group, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 82,720 USD | | | $ | 5,164 | |
Foundation Building Material | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 8,801 USD | | | | (302 | ) |
Foundation Medicine, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 317,069 USD | | | | 608 | |
Four Corners Property Trust | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 112,820 USD | | | | 4,154 | |
Frank's International NV | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 527,010 USD | | | | (29,329 | ) |
Franklin Covey Co. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 216,877 USD | | | | 3,972 | |
Franklin Electric Co., Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 125,030 USD | | | | (3,432 | ) |
Fraport AG Frankfurt Airport | | | 04/19/18 | | | | M | | | | 0.05 | % | | Credit Suisse Securities (Europe) Limited | | | 226,184 EUR | | | | (16,436 | ) |
Fred's, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 459,115 USD | | | | 50,722 | |
FreightCar America, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 352,811 USD | | | | (26,146 | ) |
Fresh del Monte Produce, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 262,809 USD | | | | (9,420 | ) |
Frontier Communications Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 41,996 USD | | | | (674 | ) |
FTD Cos., inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 106,343 USD | | | | (13,516 | ) |
FTI Consulting, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 50,384 USD | | | | 495 | |
FutureFuel Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 159,707 USD | | | | (16,055 | ) |
Gaia, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 82,648 USD | | | | (7,070 | ) |
GAM Holding AG | | | 04/19/18 | | | | M | | | | 0.34 | % | | Credit Suisse Securities (Europe) Limited | | | 328,972 CHF | | | | (11,697 | ) |
GAMCO Investors, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 157,151 USD | | | | (10,952 | ) |
Gamestop Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 708,516 USD | | | | (124,488 | ) |
Gaming and Leisure Properties, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 88,048 USD | | | | (1,194 | ) |
Gannett Co., Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 637,012 USD | | | | 19,742 | |
Gap, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 123,278 USD | | | | (2,440 | ) |
Garmin Ltd. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 748,339 USD | | | | (2,285 | ) |
GasLog Ltd. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 500,395 USD | | | | (30,024 | ) |
GATX Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 304,105 USD | | | | (4,256 | ) |
Gaztransport et Techniga SA | | | 04/19/18 | | | | M | | | | 0.05 | % | | Credit Suisse Securities (Europe) Limited | | | 267,465 EUR | | | | (6,058 | ) |
GCI Liberty, Inc. | | | 08/06/18 | | | | M | | | | 2.03 | % | | Deutsche Bank AG | | | 206,988 USD | | | | (99,812 | ) |
Gecina SA | | | 04/19/18 | | | | M | | | | 0.05 | % | | Credit Suisse Securities (Europe) Limited | | | 190,898 EUR | | | | 186 | |
Gemalto | | | 04/19/18 | | | | M | | | | 0.05 | % | | Credit Suisse Securities (Europe) Limited | | | 1,283,139 EUR | | | | 8,633 | |
Gemalto | | | 07/03/19 | | | | M | | | | 0.04 | % | | Credit Suisse Securities (Europe) Limited | | | 1,536,751 EUR | | | | 5,578 | |
Gemalto | | | 07/30/18 | | | | M | | | | 0.06 | % | | Deutsche Bank AG | | | 4,536,970 EUR | | | | 15,148 | |
Gemalto | | | 01/16/19 | | | | M | | | | 0.07 | % | | JPMorgan Chase Bank, N.A. | | | 4,285,288 EUR | | | | 27,251 | |
Gencor Industries, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 60,217 USD | | | | (921 | ) |
Gener8 Maritime, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 409,529 USD | | | | (14,001 | ) |
General Cable Corp. | | | 08/06/18 | | | | M | | | | 2.03 | % | | Deutsche Bank AG | | | 2,546,049 USD | | | | 12,160 | |
General Mills, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 14,535 USD | | | | (26 | ) |
General Motors Co. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 106,949 USD | | | | 2,579 | |
See Notes to Consolidated Financial Statements.
151
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | | | | | | | | | | | | | |
Reference
Instrument | | Termination
Date | | | Payment
Frequency | | | Financing
Rate | | | Counterparty | | Notional
Amount | | | Unrealized
Appreciation
(Depreciation) | |
Genesco, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 255,940 USD | | | $ | 10,842 | |
Genesee & Wyoming, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 216,414 USD | | | | 1,973 | |
Genie Energy Ltd. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 43,868 USD | | | | 618 | |
Genomic Health, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 485,024 USD | | | | (15,893 | ) |
Genpact Ltd. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 704,264 USD | | | | 220 | |
Gentex Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 200,287 USD | | | | 2,012 | |
Gentherm, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 17,038 USD | | | | 72 | |
Genuine Parts Co. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 312,236 USD | | | | 3,103 | |
Geospace Technologies Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 179,338 USD | | | | 1,421 | |
GGP, Inc. | | | 08/06/18 | | | | M | | | | 2.04 | % | | Deutsche Bank AG | | | 175,805 USD | | | | (74 | ) |
Gilead Sciences, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 325,300 USD | | | | (13,562 | ) |
Glacier Bancorp, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 77,458 USD | | | | 108 | |
Glatfelter | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 664,292 USD | | | | (37,244 | ) |
Glaukos Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 20,379 USD | | | | 308 | |
GlaxoSmithKline PLC | | | 06/25/18 | | | | M | | | | 0.55 | % | | Morgan Stanley Capital Services LLC | | | 6,270,577 GBP | | | | 202,106 | |
Global Brass & Copper Holdings, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 3,250 USD | | | | (5 | ) |
Global Payments, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 201,784 USD | | | | (11,420 | ) |
Globus Medical, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 617,158 USD | | | | (17,524 | ) |
Glu Mobile, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 261,787 USD | | | | (1,381 | ) |
Goodyear Tire & Rubber Co. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 201,489 USD | | | | (3,973 | ) |
Gorman Rupp Co. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 281,459 USD | | | | 482 | |
GP Strategies Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 161,556 USD | | | | 5,533 | |
Graco, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 229,341 USD | | | | (3,255 | ) |
Graham Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 141,251 USD | | | | (329 | ) |
Graham Holdings Co. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 899,015 USD | | | | 7,371 | |
Gramercy Property Trust | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 29,105 USD | | | | (769 | ) |
Graphic Packaging Holding Co. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 507,184 USD | | | | 993 | |
Great Ajax Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 81,223 USD | | | | 1,527 | |
Great Plains Energy, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 389,000 USD | | | | 19,534 | |
Green Bancorp, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 42,850 USD | | | | (1,487 | ) |
Green Brick Partners, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 22,990 USD | | | | 2,451 | |
Green Dot Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 16,124 USD | | | | 236 | |
Green Plains, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 580,687 USD | | | | (42,986 | ) |
Greenbrier Companies, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 288,162 USD | | | | 1,731 | |
Greggs PLC | | | 04/19/18 | | | | M | | | | 0.92 | % | | Credit Suisse Securities (Europe) Limited | | | 63,420 GBP | | | | 2,253 | |
See Notes to Consolidated Financial Statements.
152
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | | | | | | | | | | | | | |
Reference
Instrument | | Termination
Date | | | Payment
Frequency | | | Financing
Rate | | | Counterparty | | Notional
Amount | | | Unrealized
Appreciation
(Depreciation) | |
Greif, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 403,245 USD | | | $ | (7,870 | ) |
Grenke AG | | | 04/19/18 | | | | M | | | | 0.05 | % | | Credit Suisse Securities (Europe) Limited | | | 190,952 EUR | | | | (9,301 | ) |
Group 1 Automotive, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 220,847 USD | | | | (1,305 | ) |
GSI Technology, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 58,058 USD | | | | (7,826 | ) |
Guess?, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 76,176 USD | | | | 29,080 | |
Gulf Island Fabrication, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 199,340 USD | | | | (13,824 | ) |
Gulfport Energy Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 141 USD | | | | 4 | |
GVC Holding | | | 04/19/18 | | | | M | | | | 0.92 | % | | Credit Suisse Securities (Europe) Limited | | | 96,509 GBP | | | | (3,991 | ) |
H&E Equipment Services, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 46,192 USD | | | | (2,198 | ) |
H.B. Fuller Co. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 10,837 USD | | | | 4 | |
Habit Restaurants, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 95,274 USD | | | | (2,117 | ) |
Hackett Group, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 437,253 USD | | | | (42,964 | ) |
Haemonetics Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 659,830 USD | | | | (219 | ) |
Hallador Energy Co. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 101,226 USD | | | | 6,228 | |
Halliburton Co. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 134,282 USD | | | | 2,407 | |
Halma PLC | | | 04/19/18 | | | | M | | | | 0.92 | % | | Credit Suisse Securities (Europe) Limited | | | 83,901 GBP | | | | (1,676 | ) |
Halyard Health, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 670,563 USD | | | | (1,158 | ) |
Hanover Insurance Group, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 54,245 USD | | | | 928 | |
Hansa Medical AB | | | 04/19/18 | | | | M | | | | 0.09 | % | | Credit Suisse Securities (Europe) Limited | | | 633,585 SEK | | | | 631 | |
Hardinge, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 574,326 USD | | | | (873 | ) |
Hargreaves Lansdown PLC | | | 04/19/18 | | | | M | | | | 0.92 | % | | Credit Suisse Securities (Europe) Limited | | | 188,180 GBP | | | | (13,851 | ) |
Haverty Furniture Co., Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 576,175 USD | | | | (4,257 | ) |
Hawaiian Electric Industries, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 453,295 USD | | | | 8,188 | |
Hawaiian Telcom Holdco, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 43,674 USD | | | | (1,333 | ) |
Hawkins, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 229,134 USD | | | | 15,299 | |
Haynes International, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 462,919 USD | | | | (51,295 | ) |
Hays PLC | | | 04/19/18 | | | | M | | | | 0.92 | % | | Credit Suisse Securities (Europe) Limited | | | 162,310 GBP | | | | (3,753 | ) |
HCA Healthcare, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 671,713 USD | | | | (31,028 | ) |
HealthCare Realty Trust, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 29,230 USD | | | | 32 | |
Healthcare Trust of America, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 2,844 USD | | | | 39 | |
HealthStream, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 302,822 USD | | | | 1,594 | |
Heartland Express, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 175,001 USD | | | | (13,469 | ) |
Hecla Mining Co. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 14,942 USD | | | | (735 | ) |
See Notes to Consolidated Financial Statements.
153
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | | | | | | | | | | | | | |
Reference
Instrument | | Termination
Date | | | Payment
Frequency | | | Financing
Rate | | | Counterparty | | Notional
Amount | | | Unrealized
Appreciation
(Depreciation) | |
Heidrick & Struggles International | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 548,328 USD | | | $ | 7,110 | |
Heineken Holding NV | | | 04/19/18 | | | | M | | | | 0.05 | % | | Credit Suisse Securities (Europe) Limited | | | 85,332 EUR | | | | (567 | ) |
Helen of Troy Ltd. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 39,407 USD | | | | 4 | |
Helix Energy Solutions Group | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 454,648 USD | | | | (17,370 | ) |
HELLA KGaA Hueck & Co. | | | 04/19/18 | | | | M | | | | 0.05 | % | | Credit Suisse Securities (Europe) Limited | | | 305,877 EUR | | | | (6,507 | ) |
Helmerich & Payne | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 424,150 USD | | | | 20,404 | |
Hemfosa Fastigheter AB | | | 04/19/18 | | | | M | | | | 0.09 | % | | Credit Suisse Securities (Europe) Limited | | | 730,459 SEK | | | | 2,028 | |
Hemisphere Media Group, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 101,179 USD | | | | (4,306 | ) |
Henry Schein, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 379,277 USD | | | | 8,458 | |
Hera SpA | | | 10/04/19 | | | | M | | | | 0.05 | % | | Credit Suisse Securities (Europe) Limited | | | 70,056 EUR | | | | 5,532 | |
Heritage Crystal Clean, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 281,254 USD | | | | 4,243 | |
Heritage Financial Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 160,936 USD | | | | (6,559 | ) |
Herman Miller, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 481,804 USD | | | | (71,854 | ) |
Hershey Co. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 338,411 USD | | | | 3,793 | |
Heska Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 128,392 USD | | | | 1,678 | |
Hewlett Packard Enterprise | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 694,611 USD | | | | (46,543 | ) |
Hexagon AB | | | 04/19/18 | | | | M | | | | 0.09 | % | | Credit Suisse Securities (Europe) Limited | | | 2,009,384 SEK | | | | 1,712 | |
HFF, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 154,069 USD | | | | 2,089 | |
Hill-Rom Holdings, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 522,094 USD | | | | 4,778 | |
Hillenbrand, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 468,422 USD | | | | (2,032 | ) |
Hilltop Holdings, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 9,076 USD | | | | (114 | ) |
Hiscox Ltd. | | | 04/19/18 | | | | M | | | | 0.92 | % | | Credit Suisse Securities (Europe) Limited | | | 80,333 GBP | | | | (3,766 | ) |
Hispania Activos Inmobiliarios | | | 04/20/18 | | | | M | | | | 0.04 | % | | Credit Suisse Securities (Europe) Limited | | | 174,805 EUR | | | | 5,507 | |
HMS Holdings Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 305,193 USD | | | | (9,482 | ) |
HNI Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 495,455 USD | | | | (30,976 | ) |
HollyFrontier Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 440,832 USD | | | | 30,031 | |
Hologic, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 333,047 USD | | | | (4,466 | ) |
Home Bancshares, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 1,172 USD | | | | (77 | ) |
Hooker Furniture Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 233,357 USD | | | | (8,312 | ) |
Hormel Foods Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 208,253 USD | | | | 6,384 | |
Hortonworks, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 244,970 USD | | | | — | |
Houlihan Lokey, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 134,761 USD | | | | (7,072 | ) |
HP, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 600,478 USD | | | | (36,169 | ) |
Hubbell, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 140,676 USD | | | | 2,172 | |
Humana, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 309,567 USD | | | | 3,889 | |
See Notes to Consolidated Financial Statements.
154
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | | | | | | | | | | | | | |
Reference
Instrument | | Termination
Date | | | Payment
Frequency | | | Financing
Rate | | | Counterparty | | Notional
Amount | | | Unrealized
Appreciation
(Depreciation) | |
Hurco Companies, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 224,945 USD | | | $ | (953 | ) |
Huron Consulting Group, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 174,340 USD | | | | 7,892 | |
Huttig Building Products, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 58,126 USD | | | | (7,034 | ) |
HVB Real Estate | | | 04/19/18 | | | | M | | | | 0.05 | % | | Credit Suisse Securities (Europe) Limited | | | 281,259 EUR | | | | (7,109 | ) |
Hyster Yale Materials | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 197,219 USD | | | | (4,842 | ) |
Ibstock PLC | | | 04/19/18 | | | | M | | | | 0.92 | % | | Credit Suisse Securities (Europe) Limited | | | 80,091 GBP | | | | (1,018 | ) |
iCade | | | 04/19/18 | | | | M | | | | 0.05 | % | | Credit Suisse Securities (Europe) Limited | | | 195,531 EUR | | | | (5,748 | ) |
ICF International, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 173,362 USD | | | | (7,247 | ) |
ICU Medical, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 225,524 USD | | | | 1,131 | |
IdaCorp., Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 56,300 USD | | | | 2,841 | |
IDEX Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 483,819 USD | | | | (14,676 | ) |
IDEXX Laboratories, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 692,998 USD | | | | (35,191 | ) |
IES Holdings, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 127,896 USD | | | | (5,348 | ) |
IG Group Holdings PLC | | | 04/19/18 | | | | M | | | | 0.92 | % | | Credit Suisse Securities (Europe) Limited | | | 330,978 GBP | | | | (11,043 | ) |
IHS Markit Ltd. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 177,230 USD | | | | (1,540 | ) |
ILG, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 87,391 USD | | | | (5,821 | ) |
Illumina, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 69,875 USD | | | | (1,313 | ) |
Immersion Corporation | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 12,075 USD | | | | (686 | ) |
Imperial Brands PLC | | | 04/19/18 | | | | M | | | | 0.92 | % | | Credit Suisse Securities (Europe) Limited | | | 4,442,641 GBP | | | | (133,260 | ) |
Independence Contract Drilling, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 113,232 USD | | | | (8,931 | ) |
Independence Holding Co. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 42,830 USD | | | | 5,797 | |
Indtuit, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 13,770 USD | | | | 98 | |
Inel Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 309,188 USD | | | | 6,937 | |
Infinity Property & Casualty | | | 08/06/18 | | | | M | | | | 2.03 | % | | Deutsche Bank AG | | | 2,203,175 USD | | | | 10,786 | |
ING Groep NV | | | 04/25/19 | | | | M | | | | 0.07 | % | | JPMorgan Chase Bank, N.A. | | | 5,640,000 EUR | | | | (196,872 | ) |
ING Groep NV | | | 04/19/18 | | | | M | | | | 0.05 | % | | Credit Suisse Securities (Europe) Limited | | | 9,550,130 EUR | | | | (267,300 | ) |
Ingersoll Rand PLC | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 148,434 USD | | | | (7,514 | ) |
Ingles Markets, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 526,187 USD | | | | 10,302 | |
Ingredion, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 463,042 USD | | | | (2,669 | ) |
Inmobiliaria Colonial SA | | | 04/20/18 | | | | M | | | | 0.04 | % | | Credit Suisse Securities (Europe) Limited | | | 86,076 EUR | | | | 3,817 | |
InnerWorkings, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 81,494 USD | | | | (1,066 | ) |
Innophos Holdings, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 297,941 USD | | | | (9,957 | ) |
Innospec, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 60,604 USD | | | | (785 | ) |
Innoviva, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 173,612 USD | | | | 10,258 | |
Inogen, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 548,112 USD | | | | (19,040 | ) |
Inovalon Holdings, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 353,265 USD | | | | (17,426 | ) |
See Notes to Consolidated Financial Statements.
155
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | | | | | | | | | | | | | |
Reference
Instrument | | Termination
Date | | | Payment
Frequency | | | Financing
Rate | | | Counterparty | | Notional
Amount | | | Unrealized
Appreciation
(Depreciation) | |
Insight Enterprises, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 472,686 USD | | | $ | 1,139 | |
Instructure, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 498,697 USD | | | | (23,667 | ) |
Insulet Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 278,360 USD | | | | 6,123 | |
Integer Holdings Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 483,432 USD | | | | (5,075 | ) |
Integra LifeSciences Holding | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 432,044 USD | | | | (6,258 | ) |
Inter Parfums, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 52,817 USD | | | | (1,470 | ) |
Intercontinental Exchange | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 78,950 USD | | | | (1,934 | ) |
InterContinental Hotels Group | | | 04/10/19 | | | | M | | | | 0.81 | % | | JPMorgan Chase Bank, N.A. | | | 4,529,000 GBP | | | | (366,183 | ) |
Intercontinental Hotels Group | | | 04/19/18 | | | | M | | | | 0.92 | % | | Credit Suisse Securities (Europe) Limited | | | 4,480,404 GBP | | | | (362,254 | ) |
InterDigital, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 62,178 USD | | | | 456 | |
Interface, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 46,302 USD | | | | 747 | |
Intermediate Capital Group | | | 04/19/18 | | | | M | | | | 0.92 | % | | Credit Suisse Securities (Europe) Limited | | | 180,286 GBP | | | | (11,064 | ) |
International Business Machines Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 147,899 USD | | | | 928 | |
International Game Technology PLC | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 81,513 USD | | | | (9,342 | ) |
International Paper Co. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 483,442 USD | | | | (8,449 | ) |
International Speedway Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 188,212 USD | | | | (1,272 | ) |
Interpump Group SpA | | | 10/04/19 | | | | M | | | | 0.05 | % | | Credit Suisse Securities (Europe) Limited | | | 251,128 EUR | | | | (13,252 | ) |
Intersect ENT, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 287,388 USD | | | | 9,052 | |
Intevac, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 95,138 USD | | | | 9,894 | |
Intrepid Potash, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 180,457 USD | | | | (9,399 | ) |
Intu Properties PLC | | | 02/14/19 | | | | M | | | | 0.81 | % | | Credit Suisse Securities (Europe) Limited | | | 804,613 GBP | | | | (118,794 | ) |
Intu Properties PLC | | | 07/30/18 | | | | M | | | | 0.85 | % | | Deutsche Bank AG | | | 1,844,818 GBP | | | | (252,230 | ) |
Intuitive Surgical, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 422,740 USD | | | | (7,846 | ) |
Invacare Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 737,416 USD | | | | (30,472 | ) |
Invesco Mortgage Capital, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 44,739 USD | | | | 27 | |
IPG Photonics Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 65,867 USD | | | | (287 | ) |
IQVIA Holdings, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 166,310 USD | | | | (4,625 | ) |
Iren SpA | | | 10/04/19 | | | | M | | | | 0.05 | % | | Credit Suisse Securities (Europe) Limited | | | 194,171 EUR | | | | 5,442 | |
iRhythm Technologies, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 145,245 USD | | | | 862 | |
Iridium Communications, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 187,579 USD | | | | 2,535 | |
See Notes to Consolidated Financial Statements.
156
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | | | | | | | | | | | | | |
Reference
Instrument | | Termination
Date | | | Payment
Frequency | | | Financing
Rate | | | Counterparty | | Notional
Amount | | | Unrealized
Appreciation
(Depreciation) | |
Ironwood Pharmaceuticals, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 160,514 USD | | | $ | 668 | |
Iteris, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 197,361 USD | | | | (22,243 | ) |
ITT, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 244,101 USD | | | | (10,173 | ) |
J&J Snack Foods Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 355,046 USD | | | | 3,288 | |
J. Alexander's Holdings, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 14,560 USD | | | | 325 | |
J. Jill, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 500,090 USD | | | | (18,819 | ) |
J2 Global, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 251,105 USD | | | | (2,665 | ) |
Jabil, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 74,430 USD | | | | (77 | ) |
Jack Henry & Associates, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 629,050 USD | | | | (20,430 | ) |
Jack in the Box, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 108,639 USD | | | | 1,095 | |
Jean Coutu Group, Inc. | | | 08/07/18 | | | | M | | | | 1.95 | % | | Deutsche Bank AG | | | 5,061,702 CAD | | | | (13,846 | ) |
Jenoptik AG | | | 04/19/18 | | | | M | | | | 0.05 | % | | Credit Suisse Securities (Europe) Limited | | | 107,190 EUR | | | | 2,324 | |
JetBlue Airways Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 228,085 USD | | | | (18,707 | ) |
JM Smucker Co. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 99,719 USD | | | | (139 | ) |
John B. Sanfilippo & Son, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 601,578 USD | | | | (5,460 | ) |
John Wiley & Sons, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 282,502 USD | | | | (5,726 | ) |
Johnson Controls International PLC | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 144,949 USD | | | | (4,201 | ) |
Johnson Outdoors, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 310,794 USD | | | | (20,944 | ) |
JPMorgan Chase & Co. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 363,450 USD | | | | 1,980 | |
Juniper Networks, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 225,001 USD | | | | (6,688 | ) |
K12, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 444,047 USD | | | | (12,478 | ) |
K2M Group Holdings, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 326,047 USD | | | | (20,479 | ) |
Kadant, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 48,042 USD | | | | (3,533 | ) |
Kaiser Aluminum Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 232,867 USD | | | | 111 | |
Kaman Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 234,753 USD | | | | 496 | |
KapStone Paper and Packaging | | | 08/06/18 | | | | M | | | | 2.03 | % | | Deutsche Bank AG | | | 5,635,900 USD | | | | (40,934 | ) |
KAR Auction Services, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 313,345 USD | | | | (5,381 | ) |
Karyopharm Therapeutics, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 36,861 USD | | | | (6,250 | ) |
KAZ Minerals PLC | | | 04/19/18 | | | | M | | | | 0.92 | % | | Credit Suisse Securities (Europe) Limited | | | 149,276 GBP | | | | (16,635 | ) |
KB Home | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 52,387 USD | | | | 502 | |
KBC Ancora | | | 04/19/18 | | | | M | | | | 0.05 | % | | Credit Suisse Securities (Europe) Limited | | | 274,216 EUR | | | | (9,868 | ) |
Kearny Financial Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 125,383 USD | | | | (3,287 | ) |
See Notes to Consolidated Financial Statements.
157
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | | | | | | | | | | | | | |
Reference
Instrument | | Termination
Date | | | Payment
Frequency | | | Financing
Rate | | | Counterparty | | Notional
Amount | | | Unrealized
Appreciation
(Depreciation) | |
Kellogg Co. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 35,705 USD | | | $ | 50 | |
Kelly Services, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 955,732 USD | | | | (33,044 | ) |
Kemper Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 76,987 USD | | | | 476 | |
Kennametal, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 31,777 USD | | | | (2,099 | ) |
Kering | | | 04/19/18 | | | | M | | | | 0.05 | % | | Credit Suisse Securities (Europe) Limited | | | 1,336,269 EUR | | | | 22,052 | |
Keysight Technologies, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 176,532 USD | | | | 2,537 | |
Keywords Studios | | | 04/19/18 | | | | M | | | | 0.92 | % | | Credit Suisse Securities (Europe) Limited | | | 72,141 GBP | | | | (12,166 | ) |
Kforce, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 521,752 USD | | | | (17,702 | ) |
Kimball Electronics, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 239,713 USD | | | | (17,715 | ) |
Kimball International | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 372,234 USD | | | | (5,806 | ) |
Kinder Morgan, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 589,704 USD | | | | (45,195 | ) |
Kindred Biosciences, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 55,128 USD | | | | (4,127 | ) |
Kindred Healthcare, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 546,358 USD | | | | (11,687 | ) |
Kinnevik AB | | | 04/19/18 | | | | M | | | | 0.09 | % | | Credit Suisse Securities (Europe) Limited | | | 875,081 SEK | | | | (1,513 | ) |
Kinsale Capital Group, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 72,774 USD | | | | (2,965 | ) |
Kirby Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 89,273 USD | | | | 2,067 | |
Kirkland's, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 172,189 USD | | | | 5,691 | |
KLA Tencor Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 172,868 USD | | | | (7,718 | ) |
Knoll, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 514,352 USD | | | | (42,532 | ) |
Knowles Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 448,089 USD | | | | (34,671 | ) |
Koenig & Bauer AG | | | 04/19/18 | | | | M | | | | 0.05 | % | | Credit Suisse Securities (Europe) Limited | | | 181,121 EUR | | | | 3,254 | |
Kohl's Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 153,411 USD | | | | 1,978 | |
Komax Holding AG REG | | | 04/19/18 | | | | M | | | | 0.34 | % | | Credit Suisse Securities (Europe) Limited | | | 159,196 CHF | | | | (13,910 | ) |
Koninklijke KPN NV | | | 04/11/19 | | | | M | | | | 0.07 | % | | JPMorgan Chase Bank, N.A. | | | 5,028,915 EUR | | | | (127,950 | ) |
Koninklijke KPN NV | | | 04/19/18 | | | | M | | | | 0.05 | % | | Credit Suisse Securities (Europe) Limited | | | 1,179,006 EUR | | | | 5,000 | |
Koninklijke KPN NV | | | 04/19/18 | | | | M | | | | 0.05 | % | | Credit Suisse Securities (Europe) Limited | | | 10,377,238 EUR | | | | (255,709 | ) |
Koninklijke Philips NV | | | 04/19/18 | | | | M | | | | 0.05 | % | | Credit Suisse Securities (Europe) Limited | | | 1,496,123 EUR | | | | (33,919 | ) |
Korn/Ferry International | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 414,257 USD | | | | 11,206 | |
Kraft Heinz Co. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 783,625 USD | | | | (7,305 | ) |
Kronos Worldwide, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 215,064 USD | | | | (5,110 | ) |
KVH Industries, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 43,131 USD | | | | (1,017 | ) |
L.B. Foster Co. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 222,043 USD | | | | (13,296 | ) |
La-Z-Boy, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 161,813 USD | | | | (3,437 | ) |
Laboratory Corporation of America Holdings | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 683,760 USD | | | | (25,922 | ) |
See Notes to Consolidated Financial Statements.
158
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | | | | | | | | | | | | | |
Reference
Instrument | | Termination
Date | | | Payment
Frequency | | | Financing
Rate | | | Counterparty | | Notional
Amount | | | Unrealized
Appreciation
(Depreciation) | |
Ladbrokes PLC | | | 05/08/19 | | | | M | | | | 0.92 | % | | Credit Suisse Securities (Europe) Limited | | | 70,000 GBP | | | $ | 2,735 | |
Ladder Capital Corp. REIT | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 43,671 USD | | | | 468 | |
Lam Research Corp. | | | 05/08/19 | | | | M | | | | 2.18 | % | | Credit Suisse Securities (Europe) Limited | | | 5,096,699 USD | | | | 53,001 | |
Lamb Weston Holdings, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 306,558 USD | | | | 14,584 | |
Lancaster Colony Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 133,939 USD | | | | 3,608 | |
Landec Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 67,057 USD | | | | (1,507 | ) |
Lannett Co., Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 424,847 USD | | | | (11,110 | ) |
Lantheus Holdings, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 128,822 USD | | | | (2,386 | ) |
Lattice Semiconductor Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 178,873 USD | | | | (19,716 | ) |
Leaf Group Ltd. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 69,327 USD | | | | (942 | ) |
Lear Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 66,347 USD | | | | 459 | |
Leg Immobilien AG | | | 04/19/18 | | | | M | | | | 0.05 | % | | Credit Suisse Securities (Europe) Limited | | | 77,909 EUR | | | | 3,601 | |
Leggett & Platt, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 49,339 USD | | | | (11 | ) |
Legrand SA | | | 04/19/18 | | | | M | | | | 0.05 | % | | Credit Suisse Securities (Europe) Limited | | | 2,847,455 EUR | | | | (38,564 | ) |
Leidos Holdings, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 547,493 USD | | | | (21,088 | ) |
Lemaitre Vascular, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 403,186 USD | | | | (5,055 | ) |
Leoni AG | | | 04/19/18 | | | | M | | | | 0.05 | % | | Credit Suisse Securities (Europe) Limited | | | 77,218 EUR | | | | (5,957 | ) |
LHC Group, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 535,674 USD | | | | (11,182 | ) |
Liberty Expedia Holdings, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 15,129 USD | | | | (517 | ) |
Liberty Property Trust | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 74,388 USD | | | | (650 | ) |
Liberty Tax, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 164,930 USD | | | | 11,123 | |
Lifepoint Health, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 776,529 USD | | | | (31,814 | ) |
Lifetime Brands, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 104,814 USD | | | | (2,080 | ) |
Ligand Pharmaceuticals | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 212,677 USD | | | | (10,686 | ) |
Limelight Networks, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 381,309 USD | | | | (30,709 | ) |
Limoneira Co. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 97,040 USD | | | | 2,388 | |
Lindblad Expeditions Holdings, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 15,957 USD | | | | 680 | |
Lindsay Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 290,835 USD | | | | (2,616 | ) |
Liquidity Services, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 117,515 USD | | | | (12,157 | ) |
Littelfuse, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 142,946 USD | | | | 1,115 | |
Livanova PLC | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 752,607 USD | | | | 5,219 | |
Live Oak Bancshares, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 171,669 USD | | | | (615 | ) |
Liveperson, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 355,982 USD | | | | 14,738 | |
LKQ Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 228,212 USD | | | | 740 | |
See Notes to Consolidated Financial Statements.
159
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | | | | | | | | | | | | | |
Reference
Instrument | | Termination
Date | | | Payment
Frequency | | | Financing
Rate | | | Counterparty | | Notional
Amount | | | Unrealized
Appreciation
(Depreciation) | |
Lloyds Banking Group PLC | | | 04/19/18 | | | | M | | | | 0.92 | % | | Credit Suisse Securities (Europe) Limited | | | 732,308 GBP | | | $ | (28,000 | ) |
Lloyds Banking Group PLC | | | 03/21/19 | | | | M | | | | 0.81 | % | | JPMorgan Chase Bank, N.A. | | | 8,016,000 GBP | | | | (360,291 | ) |
Loews Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 256,326 USD | | | | (6,184 | ) |
LondonMetric Property PLC | | | 04/19/18 | | | | M | | | | 0.92 | % | | Credit Suisse Securities (Europe) Limited | | | 32,357 GBP | | | | (192 | ) |
LPL Financial Holdings, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 66,007 USD | | | | (3,471 | ) |
LSI Industries, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 138,073 USD | | | | 4,833 | |
Luminex Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 909,374 USD | | | | (13,604 | ) |
M&T Bank Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 373,311 USD | | | | 4,996 | |
M/I Homes, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 319,022 USD | | | | 8,396 | |
Macquarie Infrastructure Co. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 223,845 USD | | | | (5,183 | ) |
MacroGenics, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 58,236 USD | | | | (10,910 | ) |
Magellan Health, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 573,533 USD | | | | (4,725 | ) |
MainSource Financial Group | | | 08/06/18 | | | | M | | | | 2.03 | % | | Deutsche Bank AG | | | 1,109,746 USD | | | | 174,794 | |
Man Group PLC | | | 04/19/18 | | | | M | | | | 0.92 | % | | Credit Suisse Securities (Europe) Limited | | | 191,827 GBP | | | | (265 | ) |
ManpowerGroup, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 62,328 USD | | | | 1,207 | |
Mantech International Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 644,752 USD | | | | 18,780 | |
Marathon Oil Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 79,485 USD | | | | 6,165 | |
Marathon Petroleum Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 113,032 USD | | | | 5,480 | |
Marcus & Millichap, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 88,450 USD | | | | 294 | |
Marcus Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 137,588 USD | | | | (1,347 | ) |
Marine Products Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 51,566 USD | | | | (1,466 | ) |
Markel Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 284,057 USD | | | | 3,825 | |
Marlin Business Services, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 62,535 USD | | | | 1,933 | |
Marsh & Mclennan Cos. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 141,573 USD | | | | 1,886 | |
Marten Transport Ltd. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 86,748 USD | | | | (3,118 | ) |
Masimo Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 460,298 USD | | | | 9,355 | |
Mastercard, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 250,820 USD | | | | (5,771 | ) |
Materion Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 289,152 USD | | | | (12,206 | ) |
Matrix Service Co. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 65,529 USD | | | | (7,044 | ) |
Matson, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 159,264 USD | | | | (4,980 | ) |
Matthews International Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 87,913 USD | | | | (2,348 | ) |
Maxim Integrated Products | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 473,584 USD | | | | (15,129 | ) |
Maximus, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 462,397 USD | | | | (7,498 | ) |
See Notes to Consolidated Financial Statements.
160
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | | | | | | | | | | | | | |
Reference
Instrument | | Termination
Date | | | Payment
Frequency | | | Financing
Rate | | | Counterparty | | Notional
Amount | | | Unrealized
Appreciation
(Depreciation) | |
Maxwell Technologies, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 165,396 USD | | | $ | (833 | ) |
McGrath RentCorp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 547,906 USD | | | | — | |
McKesson Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 295,645 USD | | | | (805 | ) |
MDC Holdings, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 442,355 USD | | | | (5,379 | ) |
MediciNova, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 273,034 USD | | | | (70,095 | ) |
Medidata Solutions, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 229,887 USD | | | | (12,878 | ) |
MEDNAX, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 628,198 USD | | | | (9,815 | ) |
Medpace Holdings, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 168,305 USD | | | | (3,216 | ) |
Medtronic PLC | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 815,033 USD | | | | (7,057 | ) |
Merck & Co., Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 123,780 USD | | | | 1,665 | |
Meridian Bioscience, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 947,059 USD | | | | (44,493 | ) |
Merit Medical Systems, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 467,465 USD | | | | (9,974 | ) |
Methode Electronics, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 145,808 USD | | | | (3,484 | ) |
Mettler Toledo International | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 610,713 USD | | | | (27,057 | ) |
MFA Financial, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 33,845 USD | | | | (179 | ) |
MGE Energy, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 235,036 USD | | | | (1,043 | ) |
MGIC Investment Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 104,383 USD | | | | 4,349 | |
Microchip Technology, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 170,637 USD | | | | (9,387 | ) |
Microsemi Corp. | | | 08/06/18 | | | | M | | | | 2.03 | % | | Deutsche Bank AG | | | 11,344,919 USD | | | | (332,293 | ) |
Microsemi Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 213,058 USD | | | | (4,854 | ) |
Middlesex Water Co. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 166,120 USD | | | | 1,415 | |
Midstates Petroleum Co, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 395,991 USD | | | | 27,649 | |
Miller Industries, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 141,124 USD | | | | 451 | |
Millicom International Cellular SA | | | 04/19/18 | | | | M | | | | 0.09 | % | | Credit Suisse Securities (Europe) Limited | | | 839,105 SEK | | | | (1,869 | ) |
Mistras Group, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 184,646 USD | | | | (2,500 | ) |
Mitek Systems, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 334,997 USD | | | | (23,176 | ) |
MKS Instruments, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 264,349 USD | | | | (16,280 | ) |
Mobile Mini, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 422,307 USD | | | | (5,273 | ) |
Model N, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 119,876 USD | | | | 1,005 | |
Modern Times Group | | | 04/19/18 | | | | M | | | | 0.09 | % | | Credit Suisse Securities (Europe) Limited | | | 2,621,563 SEK | | | | (13,584 | ) |
Moelis & Co. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 94,185 USD | | | | (2,960 | ) |
Mohawk Industries, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 114,715 USD | | | | 466 | |
Molina Healthcare, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 73,930 USD | | | | 4,652 | |
See Notes to Consolidated Financial Statements.
161
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | | | | | | | | | | | | | |
Reference
Instrument | | Termination
Date | | | Payment
Frequency | | | Financing
Rate | | | Counterparty | | Notional
Amount | | | Unrealized
Appreciation
(Depreciation) | |
Molson Coors Brewing Co. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 138,819 USD | | | $ | (2,773 | ) |
Monarch Casino & Resort, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 244,769 USD | | | | (10,736 | ) |
Monmouth Real Estate Investment Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 43,690 USD | | | | 859 | |
Monolithic Power Systems, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 176,247 USD | | | | (7,570 | ) |
Monotype Imaging Holdings, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 827,064 USD | | | | (53,415 | ) |
Monsanto Co. | | | 08/06/18 | | | | M | | | | 2.03 | % | | Deutsche Bank AG | | | 17,501,138 USD | | | | (119,345 | ) |
Monsanto Co. | | | 05/08/19 | | | | M | | | | 2.18 | % | | Credit Suisse Securities (Europe) Limited | | | 22,788,816 USD | | | | (123,767 | ) |
Moody's Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 176,232 USD | | | | (2,996 | ) |
Morningstar, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 294,762 USD | | | | (8,679 | ) |
Morphosys AG | | | 04/19/18 | | | | M | | | | 0.05 | % | | Credit Suisse Securities (Europe) Limited | | | 95,999 EUR | | | | (2,207 | ) |
Mosaic Co. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 569,628 USD | | | | (45,544 | ) |
Motorola Solutions, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 635,500 USD | | | | (16,863 | ) |
Movado Group, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 449,185 USD | | | | 90,681 | |
MSC Industrial Direct Co. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 155,107 USD | | | | (300 | ) |
MSCI, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 146,777 USD | | | | (4,780 | ) |
MTGE Investment Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 21,277 USD | | | | 60 | |
MTS Systems Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 721,916 USD | | | | (28,205 | ) |
Mueller Industries, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 51,288 USD | | | | (1,218 | ) |
MuleSoft, Inc. | | | 08/06/18 | | | | M | | | | 2.03 | % | | Deutsche Bank AG | | | 6,836,980 USD | | | | (52,405 | ) |
Murphy Oil Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 638,724 USD | | | | 14,666 | |
Myers Industries, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 292,086 USD | | | | (9,966 | ) |
Mylan NV | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 250,540 USD | | | | 268 | |
Myriad Genetics, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 377,055 USD | | | | 5,174 | |
Nabors Industries Ltd. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 553,090 USD | | | | 7,214 | |
Nacco Industries | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 192,857 USD | | | | (34,421 | ) |
Nanometrics, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 218,293 USD | | | | (20,713 | ) |
Nanostring Technologies, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 4,484 USD | | | | 375 | |
NantKwest, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 219,393 USD | | | | (8,407 | ) |
Nasdaq, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 186,600 USD | | | | 4,895 | |
Natera, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 167,765 USD | | | | (6,606 | ) |
National Fuel Gas Co. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 138,222 USD | | | | 2,083 | |
National Instruments Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 1,034,285 USD | | | | (34,212 | ) |
National Oilwell Varco, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 757,243 USD | | | | 11,939 | |
National Presto Industries, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 479,568 USD | | | | (16,068 | ) |
See Notes to Consolidated Financial Statements.
162
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | | | | | | | | | | | | | |
Reference
Instrument | | Termination
Date | | | Payment
Frequency | | | Financing
Rate | | | Counterparty | | Notional
Amount | | | Unrealized
Appreciation
(Depreciation) | |
National Research Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 139,583 USD | | | $ | (10,181 | ) |
Natural Gas Services Group | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 211,055 USD | | | | (5,062 | ) |
Natural Grocers by Vitamin C | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 121,373 USD | | | | (3,778 | ) |
Natural Health Trends Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 130,432 USD | | | | (80 | ) |
Natus Medical, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 42,529 USD | | | | (265 | ) |
Navigant Consulting, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 270,146 USD | | | | (14,735 | ) |
Neenah Paper, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 504,844 USD | | | | (12,100 | ) |
Nemetschek | | | 04/19/18 | | | | M | | | | 0.04 | % | | Credit Suisse Securities (Europe) Limited | | | 98,078 EUR | | | | 2,712 | |
Neogen Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 548,151 USD | | | | 26,557 | |
Neogenomics, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 464,798 USD | | | | (6,736 | ) |
Neste Oyj | | | 04/19/18 | | | | M | | | | 0.05 | % | | Credit Suisse Securities (Europe) Limited | | | 381,180 EUR | | | | (9,236 | ) |
NetApp, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 71,252 USD | | | | (2,036 | ) |
NetScout Systems, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 325,362 USD | | | | (10,084 | ) |
Nevro Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 21,452 USD | | | | (305 | ) |
New Home Co., Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 299,273 USD | | | | (4,855 | ) |
New Media Investment Group | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 917,052 USD | | | | (16,807 | ) |
New Relic, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 92,135 USD | | | | (2,005 | ) |
New Senior Investment Group | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 7,137 USD | | | | 151 | |
Newmarket Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 105,839 USD | | | | 204 | |
Newpark Resources, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 59,873 USD | | | | (3,481 | ) |
News Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 455,622 USD | | | | (17,204 | ) |
NEX Group PLC | | | 07/30/18 | | | | M | | | | 0.00 | % | | Deutsche Bank AG | | | 546,696 GBP | | | | 2,582 | |
Nexeo Solutions, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 233,725 USD | | | | 9,786 | |
Nielsen Holdings PLC | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 45,908 USD | | | | (416 | ) |
NMC Health PLC | | | 04/19/18 | | | | M | | | | 0.92 | % | | Credit Suisse Securities (Europe) Limited | | | 377,032 GBP | | | | (8 | ) |
NMI Holdings, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 65,616 USD | | | | 2,256 | |
NN, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 143,075 USD | | | | (5,723 | ) |
Noble Corp. PLC | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 451,532 USD | | | | (31,686 | ) |
Nokia Oyj | | | 04/19/18 | | | | M | | | | 0.05 | % | | Credit Suisse Securities (Europe) Limited | | | 3,411,790 EUR | | | | 50,797 | |
Nokia Oyj | | | 02/12/19 | | | | M | | | | 0.07 | % | | JPMorgan Chase Bank, N.A. | | | 2,826,600 EUR | | | | (166,849 | ) |
Nolato AB | | | 04/19/18 | | | | M | | | | 0.09 | % | | Credit Suisse Securities (Europe) Limited | | | 2,253,716 SEK | | | | (2,821 | ) |
Nordea Bank AB | | | 04/19/18 | | | | M | | | | 0.09 | % | | Credit Suisse Securities (Europe) Limited | | | 74,138,154 SEK | | | | (625,145 | ) |
Nordea Bank AB | | | 10/10/18 | | | | M | | | | 0.34 | % | | JPMorgan Chase Bank, N.A. | | | 48,570,000 SEK | | | | (481,449 | ) |
Nordic American Tankers Ltd. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 173,793 USD | | | | (23,562 | ) |
Norma Group SE | | | 04/19/18 | | | | M | | | | 0.04 | % | | Credit Suisse Securities (Europe) Limited | | | 82,744 EUR | | | | 1,128 | |
Northfield Bancorp, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 274,602 USD | | | | (14,181 | ) |
Northwest Bancshares, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 253,696 USD | | | | (8,011 | ) |
See Notes to Consolidated Financial Statements.
163
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | | | | | | | | | | | | | |
Reference
Instrument | | Termination
Date | | | Payment
Frequency | | | Financing
Rate | | | Counterparty | | Notional
Amount | | | Unrealized
Appreciation
(Depreciation) | |
Northwest Natural Gas Co. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 144,117 USD | | | $ | 3,064 | |
Northwest Pipe Co. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 170,772 USD | | | | (17,857 | ) |
Northwestern Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 87,134 USD | | | | 3,304 | |
Novanta, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 37,245 USD | | | | (3,139 | ) |
Novelion Therapeutics, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 32,426 USD | | | | (7,317 | ) |
Novocure Ltd. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 285,603 USD | | | | (4,732 | ) |
NRG Yield, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 562,782 USD | | | | 1,373 | |
NU Skin Enterprises, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 72,994 USD | | | | 863 | |
NuVasive, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 272,636 USD | | | | 7,523 | |
NXP SemiConductors NV | | | 08/06/18 | | | | M | | | | 2.03 | % | | Deutsche Bank AG | | | 22,855,660 USD | | | | 635,834 | |
NXStage Medical, Inc. | | | 08/06/18 | | | | M | | | | 2.03 | % | | Deutsche Bank AG | | | 4,398,336 USD | | | | (642,089 | ) |
NxStage Medical, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 181,565 USD | | | | 5,183 | |
OC Oerlikon Corp. AG REG | | | 04/19/18 | | | | M | | | | 0.34 | % | | Credit Suisse Securities (Europe) Limited | | | 271,990 CHF | | | | (11,472 | ) |
Ocado Group PLC | | | 04/19/18 | | | | M | | | | 0.92 | % | | Credit Suisse Securities (Europe) Limited | | | 229,270 GBP | | | | (28,748 | ) |
Occidental Petroleum Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 62,794 USD | | | | 1,062 | |
Oceaneering International, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 350,372 USD | | | | 5,763 | |
Oclaro, Inc. | | | 08/06/18 | | | | M | | | | 2.03 | % | | Deutsche Bank AG | | | 2,978,424 USD | | | | (118,885 | ) |
Office Depot, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 299,295 USD | | | | (23,122 | ) |
OGE Energy Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 127,618 USD | | | | 4,641 | |
Oil States International, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 74,809 USD | | | | 4,866 | |
Old Dominion Freight Line | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 251,422 USD | | | | 2,983 | |
Olympic Steel, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 333,389 USD | | | | (23,565 | ) |
Omnicell Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 413,560 USD | | | | (7,944 | ) |
OMV AG | | | 04/19/18 | | | | M | | | | 0.05 | % | | Credit Suisse Securities (Europe) Limited | | | 171,213 EUR | | | | 6,501 | |
On Assignment, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 76,795 USD | | | | 664 | |
ON Semiconductor Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 102,525 USD | | | | (5,174 | ) |
ON Semiconductor Corp. | | | 05/08/19 | | | | M | | | | 2.18 | % | | Credit Suisse Securities (Europe) Limited | | | 387,121 USD | | | | (9,532 | ) |
One Gas Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 569,051 USD | | | | 5,653 | |
Oneok, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 47,580 USD | | | | (450 | ) |
OPKO Health, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 266,283 USD | | | | (8,143 | ) |
Oppenheimer Holdings | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 263,620 USD | | | | (11,270 | ) |
OPUS BANK | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 200,629 USD | | | | (10,845 | ) |
Orange | | | 04/19/18 | | | | M | | | | 0.40 | % | | Credit Suisse Securities (Europe) Limited | | | 526,316 EUR | | | | (9,945 | ) |
Orange | | | 03/21/19 | | | | M | | | | 0.07 | % | | JPMorgan Chase Bank, N.A. | | | 1,340,302 EUR | | | | (19,506 | ) |
Orange Belgium | | | 04/03/19 | | | | M | | | | 0.63 | % | | JPMorgan Chase Bank, N.A. | | | 854,114 EUR | | | | 68,574 | |
Orange Belgium | | | 04/19/18 | | | | M | | | | 0.05 | % | | Credit Suisse Securities (Europe) Limited | | | 366,202 EUR | | | | 18,634 | |
Orbital ATK, Inc. | | | 08/06/18 | | | | M | | | | 2.03 | % | | Deutsche Bank AG | | | 10,124,200 USD | | | | 16,089 | |
See Notes to Consolidated Financial Statements.
164
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | | | | | | | | | | | | | |
Reference
Instrument | | Termination
Date | | | Payment
Frequency | | | Financing
Rate | | | Counterparty | | Notional
Amount | | | Unrealized
Appreciation
(Depreciation) | |
Orion Group Holdings, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 152,876 USD | | | $ | (12,107 | ) |
Oritani Financial Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 165,553 USD | | | | (5,223 | ) |
Orsted A/S | | | 04/19/18 | | | | M | | | | 0.09 | % | | Credit Suisse Securities (Europe) Limited | | | 667,474 DKK | | | | 1,829 | |
Orthofix International NV | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 1,034,898 USD | | | | (9,716 | ) |
OSRAM LICHT AG | | | 04/19/18 | | | | M | | | | 0.05 | % | | Credit Suisse Securities (Europe) Limited | | | 76,634 EUR | | | | (6,057 | ) |
Otter Tail Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 383,702 USD | | | | 4,931 | |
Outotec Pyj | | | 04/19/18 | | | | M | | | | 0.04 | % | | Credit Suisse Securities (Europe) Limited | | | 74,585 EUR | | | | (6,265 | ) |
Owens & Minor, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 866,940 USD | | | | (36,835 | ) |
Owens Illinois, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 63,027 USD | | | | (2,488 | ) |
Oxford Immunotec Global PLC | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 235,235 USD | | | | (14,036 | ) |
Oxford Industries, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 188,430 USD | | | | (11,573 | ) |
Packaging Corporation of America | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 258,803 USD | | | | (6,693 | ) |
Pagegroup PLC | | | 04/19/18 | | | | M | | | | 0.92 | % | | Credit Suisse Securities (Europe) Limited | | | 68,437 GBP | | | | 1,602 | |
Pargesa Holding SA | | | 04/19/18 | | | | M | | | | 0.34 | % | | Credit Suisse Securities (Europe) Limited | | | 93,398 CHF | | | | 825 | |
Park City Group, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 65,940 USD | | | | (8,243 | ) |
Park Electrochemical Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 492,755 USD | | | | (20,561 | ) |
Park Ohio Holdings Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 195,761 USD | | | | (16,390 | ) |
Partners Holdings Group AG | | | 04/19/18 | | | | M | | | | 0.34 | % | | Credit Suisse Securities (Europe) Limited | | | 345,776 CHF | | | | 8,906 | |
Pattern Energy Group, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 200,330 USD | | | | (10,953 | ) |
Patterson Cos, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 785,228 USD | | | | (41,479 | ) |
Paychex, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 411,275 USD | | | | (28,370 | ) |
PBF Energy, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 521,573 USD | | | | 44,048 | |
PC Connection, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 231,479 USD | | | | (8,029 | ) |
PCM, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 151,424 USD | | | | (13,312 | ) |
PDF Solutions, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 15,159 USD | | | | (491 | ) |
PDL Biopharma, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 739,621 USD | | | | (4,997 | ) |
Pegasystems, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 66,922 USD | | | | (1,298 | ) |
PennyMac Financial Services | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 36,427 USD | | | | (1,614 | ) |
PennyMac Mortgage Investment Trust | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 53,750 USD | | | | 1,313 | |
Penske Automotive Group, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 198,708 USD | | | | (3,213 | ) |
Pentair PLC | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 583,942 USD | | | | (32,430 | ) |
Penumbra, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 79,018 USD | | | | (3,036 | ) |
See Notes to Consolidated Financial Statements.
165
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | | | | | | | | | | | | | |
Reference
Instrument | | Termination
Date | | | Payment
Frequency | | | Financing
Rate | | | Counterparty | | Notional
Amount | | | Unrealized
Appreciation
(Depreciation) | |
People's United Financial, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 322,053 USD | | | $ | (18,082 | ) |
PepsiCo, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 268,184 USD | | | | (1,203 | ) |
Perficient, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 615,136 USD | | | | (18,230 | ) |
Perkinelmer, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 513,566 USD | | | | (9,801 | ) |
Pernod Ricard SA | | | 04/19/18 | | | | M | | | | 0.05 | % | | Credit Suisse Securities (Europe) Limited | | | 86,945 EUR | | | | 26 | |
Perrigo Co. PLC | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 381,194 USD | | | | (3,247 | ) |
Perry Ellis International, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 390,836 USD | | | | (17,923 | ) |
PHI, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 58,984 USD | | | | 264 | |
Phibro Animal Health Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 416,838 USD | | | | (2,609 | ) |
Philip Morris International | | | 05/08/19 | | | | M | | | | 2.18 | % | | Credit Suisse Securities (Europe) Limited | | | 9,869,795 USD | | | | (525,499 | ) |
Philip Morris International | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 325,353 USD | | | | (2,004 | ) |
Phillips 66 | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 547,765 USD | | | | 7,132 | |
Photronics, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 158,995 USD | | | | (14,851 | ) |
PICO Holdings, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 334,278 USD | | | | 6,863 | |
Piedmont Office Realty Trust | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 215,368 USD | | | | (489 | ) |
Pier 1 Imports, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 718,023 USD | | | | 37,544 | |
Pinnacle Entertainment, Inc. | | | 08/06/18 | | | | M | | | | 2.03 | % | | Deutsche Bank AG | | | 3,458,091 USD | | | | (156,033 | ) |
Piper Jaffray Cos. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 54,995 USD | | | | (1,843 | ) |
PJT Partners, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 117,657 USD | | | | 1,982 | |
Plantronics, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 213,422 USD | | | | 13,026 | |
Platform Specialty Products | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 143,460 USD | | | | (12,386 | ) |
Playtech Ltd. | | | 04/18/18 | | | | M | | | | 0.81 | % | | JPMorgan Chase Bank, N.A. | | | 11,310,000 GBP | | | | (446,154 | ) |
Playtech Ltd. | | | 04/19/18 | | | | M | | | | 0.92 | % | | Credit Suisse Securities (Europe) Limited | | | 1,482,093 GBP | | | | (58,465 | ) |
Plexus Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 511,058 USD | | | | (21,869 | ) |
Plus 500 Ltd. | | | 04/19/18 | | | | M | | | | 0.92 | % | | Credit Suisse Securities (Europe) Limited | | | 67,035 GBP | | | | 7,577 | |
PNC Financial Services Group | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 701,909 USD | | | | (1,668 | ) |
Porsche Automobil Holding SE | | | 04/19/18 | | | | M | | | | 0.05 | % | | Credit Suisse Securities (Europe) Limited | | | 154,018 EUR | | | | 1,433 | |
Portland General Electric Co. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 94,783 USD | | | | 2,522 | |
Potbelly Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 134,290 USD | | | | (6,873 | ) |
Powell Industries, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 265,094 USD | | | | (11,429 | ) |
Power Integrations, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 134,189 USD | | | | (6,374 | ) |
PQ Group Holdings, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 159,283 USD | | | | 3,496 | |
PRA Health Sciences, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 369,008 USD | | | | (24,475 | ) |
Premier, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 441,765 USD | | | | (18,360 | ) |
Presidio, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 14,585 USD | | | | (211 | ) |
Prestige Brands Holdings, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 209,421 USD | | | | 1,498 | |
See Notes to Consolidated Financial Statements.
166
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | | | | | | | | | | | | | |
Reference
Instrument | | Termination
Date | | | Payment
Frequency | | | Financing
Rate | | | Counterparty | | Notional
Amount | | | Unrealized
Appreciation
(Depreciation) | |
PriceSmart, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 123,598 USD | | | $ | 390 | |
Primoris Services Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 154,231 USD | | | | (2,552 | ) |
Progress Software Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 299,622 USD | | | | (21,013 | ) |
Progressive Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 73,866 USD | | | | (201 | ) |
PROS Holdings, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 70,822 USD | | | | (214 | ) |
Providence Service Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 934,974 USD | | | | (3,866 | ) |
Provident Financial Holdings | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 16,763 USD | | | | (192 | ) |
Prudential Financial, Inc. | | | 05/08/19 | | | | M | | | | 2.18 | % | | Credit Suisse Securities (Europe) Limited | | | 1,068,301 USD | | | | (48,644 | ) |
Prudential PLC | | | 04/11/19 | | | | M | | | | 0.81 | % | | JPMorgan Chase Bank, N.A. | | | 11,661,000 GBP | | | | (1,388,971 | ) |
Prudential PLC | | | 04/19/18 | | | | M | | | | 0.92 | % | | Credit Suisse Securities (Europe) Limited | | | 3,425,666 GBP | | | | (371,702 | ) |
Prysmian SpA | | | 10/04/19 | | | | M | | | | 0.05 | % | | Credit Suisse Securities (Europe) Limited | | | 3,651,409 EUR | | | | (180,932 | ) |
PS Business Parks, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 25,686 USD | | | | 87 | |
Publicis Groupe | | | 04/19/18 | | | | M | | | | 0.05 | % | | Credit Suisse Securities (Europe) Limited | | | 4,943,559 EUR | | | | (31,949 | ) |
Publicis Groupe | | | 03/05/19 | | | | M | | | | 0.07 | % | | JPMorgan Chase Bank, N.A. | | | 77,015 EUR | | | | (1,613 | ) |
Pure Storage, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 228,691 USD | | | | (5,809 | ) |
QAD, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 448,575 USD | | | | (32,325 | ) |
QEP Resources, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 81,669 USD | | | | 5,394 | |
Qiagen N.V. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 399,394 USD | | | | (12,902 | ) |
Qorvo, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 71,087 USD | | | | (2,187 | ) |
Quad Graphics, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 195,295 USD | | | | (8,567 | ) |
Quaker Chemical Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 731 USD | | | | 9 | |
Quality Systems, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 732,516 USD | | | | 29,591 | |
Qualys, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 3,654 USD | | | | (17 | ) |
Quanex Building Products | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 162,309 USD | | | | (2,751 | ) |
Quanta Services, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 102,869 USD | | | | (472 | ) |
Quantum Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 82,119 USD | | | | (9,213 | ) |
Quest Diagnostics, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 933,430 USD | | | | (26,116 | ) |
Quidel Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 112,338 USD | | | | 8,172 | |
R1 RCM, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 413,308 USD | | | | (32,039 | ) |
Radnet, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 305,074 USD | | | | 39,474 | |
Rambus, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 434,200 USD | | | | (13,774 | ) |
Range Resources Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 184,383 USD | | | | (2,502 | ) |
Rapid7, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 4,254 USD | | | | (137 | ) |
Rayonier, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 172,367 USD | | | | (196 | ) |
RCI Hospitality Holdings, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 259,596 USD | | | | (2,893 | ) |
Reading International, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 121,106 USD | | | | 73 | |
RealNetworks, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 57,574 USD | | | | (2,861 | ) |
See Notes to Consolidated Financial Statements.
167
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | | | | | | | | | | | | | |
Reference
Instrument | | Termination
Date | | | Payment
Frequency | | | Financing
Rate | | | Counterparty | | Notional
Amount | | | Unrealized
Appreciation
(Depreciation) | |
Reckitt Benckiser Group PLC | | | 04/19/18 | | | | M | | | | 0.92 | % | | Credit Suisse Securities (Europe) Limited | | | 1,750,768 GBP | | | $ | 168,802 | |
Red Lion Hotels Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 10,647 USD | | | | — | |
Redwood Trust, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 162,988 USD | | | | 1,381 | |
Refresco Group NV | | | 04/19/18 | | | | M | | | | 0.05 | % | | Credit Suisse Securities (Europe) Limited | | | 3,021,487 EUR | | | | — | |
Regal Beloit Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 254,982 USD | | | | 10,471 | |
Regeneron Pharmaceuticals | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 65,007 USD | | | | 1,455 | |
Regis Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 238,109 USD | | | | (5,773 | ) |
Reinsurance Group of America | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 163,320 USD | | | | (696 | ) |
Reis, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 85,708 USD | | | | (2,203 | ) |
Reliance Steel & Aluminum | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 429,594 USD | | | | 6,136 | |
Renault SA | | | 04/19/18 | | | | M | | | | 0.05 | % | | Credit Suisse Securities (Europe) Limited | | | 2,258,438 EUR | | | | 93,529 | |
Renault SA | | | 10/10/18 | | | | M | | | | 0.07 | % | | JPMorgan Chase Bank, N.A. | | | 7,634,400 EUR | | | | 302,198 | |
Renewable Energy Group, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 487,425 USD | | | | 43,557 | |
Renishaw PLC | | | 04/19/18 | | | | M | | | | 0.92 | % | | Credit Suisse Securities (Europe) Limited | | | 64,925 GBP | | | | (4,795 | ) |
Reply SpA | | | 10/04/19 | | | | M | | | | 0.05 | % | | Credit Suisse Securities (Europe) Limited | | | 69,679 EUR | | | | (8,438 | ) |
Republic Services, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 532,865 USD | | | | (11,237 | ) |
ResMed, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 734,973 USD | | | | 4,537 | |
Resources Connection, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 429,064 USD | | | | (88 | ) |
Retrophin, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 276,831 USD | | | | (31,296 | ) |
Revolution Lighting Technologies, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 30,815 USD | | | | (1,440 | ) |
REX American Resources Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 369,084 USD | | | | (37,480 | ) |
Rexford Industrial Realty, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 146,443 USD | | | | 3,064 | |
Rheinmetall AG | | | 04/19/18 | | | | M | | | | 0.05 | % | | Credit Suisse Securities (Europe) Limited | | | 401,779 EUR | | | | 19,710 | |
RIB Software SE | | | 04/19/18 | | | | M | | | | 0.05 | % | | Credit Suisse Securities (Europe) Limited | | | 494,760 EUR | | | | (301,680 | ) |
Ribbon Communication, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 311,583 USD | | | | (1,217 | ) |
RingCentral, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 134,341 USD | | | | (5,881 | ) |
RMR Group, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 95,847 USD | | | | (855 | ) |
Roadrunner Transportation Systems | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 217,381 USD | | | | (75,075 | ) |
Robert Half International, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 121,300 USD | | | | 2,758 | |
Roche Holdings AG | | | 04/19/18 | | | | M | | | | 0.34 | % | | Credit Suisse Securities (Europe) Limited | | | 5,356,829 CHF | | | | (43,142 | ) |
Rockwell Collins, Inc. | | | 08/06/18 | | | | M | | | | 2.03 | % | | Deutsche Bank AG | | | 8,394,833 USD | | | | 217,092 | |
Rockwell Medical, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 200,595 USD | | | | (32,573 | ) |
Rockwool International | | | 04/19/18 | | | | M | | | | 0.09 | % | | Credit Suisse Securities (Europe) Limited | | | 556,977 DKK | | | | (976 | ) |
See Notes to Consolidated Financial Statements.
168
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | | | | | | | | | | | | | |
Reference
Instrument | | Termination
Date | | | Payment
Frequency | | | Financing
Rate | | | Counterparty | | Notional
Amount | | | Unrealized
Appreciation
(Depreciation) | |
Rogers Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 241,090 USD | | | $ | (28,907 | ) |
Rollins, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 196,136 USD | | | | 278 | |
Rosetta Stone, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 494,909 USD | | | | (1,127 | ) |
Rowan Companies PLC | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 507,043 USD | | | | (12,011 | ) |
Royal Dutch Shell PLC | | | 04/19/18 | | | | M | | | | 0.05 | % | | Credit Suisse Securities (Europe) Limited | | | 7,016,582 EUR | | | | 255,094 | |
Royal Gold, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 73,812 USD | | | | 1,152 | |
Royal Mail PLC | | | 04/19/18 | | | | M | | | | 0.92 | % | | Credit Suisse Securities (Europe) Limited | | | 175,381 GBP | | | �� | 5,729 | |
Royal Unibrew | | | 04/19/18 | | | | M | | | | 0.09 | % | | Credit Suisse Securities (Europe) Limited | | | 606,248 DKK | | | | 472 | |
RPM International, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 173,594 USD | | | | (9,370 | ) |
RPX Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 593,146 USD | | | | (10,893 | ) |
RR Donnelley & Sons Co. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 198,660 USD | | | | 1,606 | |
RSA Insurance Group PLC | | | 04/19/18 | | | | M | | | | 0.92 | % | | Credit Suisse Securities (Europe) Limited | | | 4,535,783 GBP | | | | (38,154 | ) |
RSA Insurance Group PLC | | | 03/21/19 | | | | M | | | | 0.81 | % | | JPMorgan Chase Bank, N.A. | | | 3,169,000 GBP | | | | (26,657 | ) |
RSP Permian, Inc. | | | 08/06/18 | | | | M | | | | 0.00 | % | | Deutsche Bank AG | | | 5,832,341 USD | | | | 125,966 | |
Rubis | | | 04/19/18 | | | | M | | | | 0.05 | % | | Credit Suisse Securities (Europe) Limited | | | 293,232 EUR | | | | (2,431 | ) |
Rudolph Technologies, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 284,225 USD | | | | (18,693 | ) |
RWE AG | | | 04/19/18 | | | | M | | | | 0.40 | % | | Credit Suisse Securities (Europe) Limited | | | 767,970 EUR | | | | 138,232 | |
Ryder System, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 58,750 USD | | | | 719 | |
S&P Global, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 137,548 USD | | | | 1,544 | |
S&T AG | | | 04/19/18 | | | | M | | | | 0.05 | % | | Credit Suisse Securities (Europe) Limited | | | 315,218 EUR | | | | (56,236 | ) |
S.O.I.T.E.C. | | | 04/19/18 | | | | M | | | | 0.05 | % | | Credit Suisse Securities (Europe) Limited | | | 129,418 EUR | | | | (14,367 | ) |
Sabre Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 124,756 USD | | | | (3,285 | ) |
Saeta Yield SA | | | 07/30/18 | | | | M | | | | 0.06 | % | | Deutsche Bank AG | | | 247,048 EUR | | | | (3,298 | ) |
Safe Bulkers, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 308,617 USD | | | | (44,207 | ) |
Safety Insurance Group, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 95,665 USD | | | | (986 | ) |
Safran SA | | | 04/19/18 | | | | M | | | | 0.05 | % | | Credit Suisse Securities (Europe) Limited | | | 3,261,641 EUR | | | | (113,504 | ) |
Safran SA | | | 10/10/18 | | | | M | | | | 0.07 | % | | JPMorgan Chase Bank, N.A. | | | 8,860,000 EUR | | | | (322,378 | ) |
SAIA, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 257,922 USD | | | | (458 | ) |
Sally Beauty Holdings, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 2,289 USD | | | | (52 | ) |
Salmar ASA | | | 04/19/18 | | | | M | | | | 1.33 | % | | Credit Suisse Securities (Europe) Limited | | | 579,970 NOK | | | | 6,571 | |
Salzgitter AG | | | 04/19/18 | | | | M | | | | 0.05 | % | | Credit Suisse Securities (Europe) Limited | | | 63,908 EUR | | | | (1,097 | ) |
SandRidge Energy, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 701,278 USD | | | | 22,960 | |
Sanmina Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 333,887 USD | | | | (17,263 | ) |
Sanofi | | | 04/19/18 | | | | M | | | | 0.05 | % | | Credit Suisse Securities (Europe) Limited | | | 2,410,176 EUR | | | | (40,300 | ) |
Sanofi | | | 05/09/18 | | | | M | | | | 0.07 | % | | JPMorgan Chase Bank, N.A. | | | 3,311,500 EUR | | | | (55,370 | ) |
Sanofi Aventis | | | 07/06/18 | | | | M | | | | 0.55 | % | | Morgan Stanley Capital Services LLC | | | 5,905,231 EUR | | | | (776,586 | ) |
SAP SE | | | 05/09/18 | | | | M | | | | 0.07 | % | | JPMorgan Chase Bank, N.A. | | | 8,976,084 EUR | | | | (368,154 | ) |
SAP SE | | | 04/19/18 | | | | M | | | | 0.05 | % | | Credit Suisse Securities (Europe) Limited | | | 6,244,550 EUR | | | | (168,247 | ) |
Sartorius AG | | | 04/19/18 | | | | M | | | | 0.05 | % | | Credit Suisse Securities (Europe) Limited | | | 184,062 EUR | | | | (11,269 | ) |
Saul Centers, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 105,664 USD | | | | 1,322 | |
See Notes to Consolidated Financial Statements.
169
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | | | | | | | | | | | | | |
Reference
Instrument | | Termination
Date | | | Payment
Frequency | | | Financing
Rate | | | Counterparty | | Notional
Amount | | | Unrealized
Appreciation
(Depreciation) | |
SBA Communications Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 2,555 USD | | | $ | 8 | |
SCANA Corp. | | | 08/06/18 | | | | M | | | | 2.03 | % | | Deutsche Bank AG | | | 6,972,420 USD | | | | (1,027,542 | ) |
SCANA Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 270,902 USD | | | | (13,572 | ) |
ScanSource, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 699,264 USD | | | | 41,527 | |
Schindler Holding AG | | | 04/19/18 | | | | M | | | | 0.34 | % | | Credit Suisse Securities (Europe) Limited | | | 81,932 CHF | | | | (2,096 | ) |
Schlumberger Ltd. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 571,840 USD | | | | 3,212 | |
Schneider Electric SE | | | 05/09/18 | | | | M | | | | 0.07 | % | | JPMorgan Chase Bank, N.A. | | | 4,585,147 EUR | | | | (14,199 | ) |
Schneider Electric SE | | | 04/19/18 | | | | M | | | | 0.05 | % | | Credit Suisse Securities (Europe) Limited | | | 4,039,287 EUR | | | | (35,308 | ) |
Schneider National, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 434,424 USD | | | | (14,076 | ) |
Schnitzer Steel Industries, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 398,772 USD | | | | (27,006 | ) |
Scholastic Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 939,219 USD | | | | 32,286 | |
Schweitzer Mauduit International, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 643,417 USD | | | | (2,297 | ) |
Scorpio Tankers, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 328,661 USD | | | | (33,168 | ) |
Seacor Holdings, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 611,001 USD | | | | 40,013 | |
SeaCor Marine Holdings, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 510,960 USD | | | | (8,775 | ) |
Sealed Air Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 4,466 USD | | | | (101 | ) |
SEB SA | | | 04/19/18 | | | | M | | | | 0.05 | % | | Credit Suisse Securities (Europe) Limited | | | 83,157 EUR | | | | (2,446 | ) |
Secureworks Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 193,819 USD | | | | (23,104 | ) |
Segro PLC | | | 04/19/18 | | | | M | | | | 0.92 | % | | Credit Suisse Securities (Europe) Limited | | | 172,755 GBP | | | | (2,961 | ) |
SEI Investments Company | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 153,630 USD | | | | (1,637 | ) |
Select Income REIT | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 56,468 USD | | | | 1,154 | |
Select Medical Holdings Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 221,741 USD | | | | (14,983 | ) |
Semgroup Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 264,289 USD | | | | (6,034 | ) |
Semtech Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 72,253 USD | | | | 653 | |
Seneca Foods Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 81,691 USD | | | | (6,514 | ) |
Sensient Technologies Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 85,619 USD | | | | 630 | |
Seres Therapeutics, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 273,192 USD | | | | (49,374 | ) |
Service Corp International | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 7,855 USD | | | | 33 | |
Ship Finance Internatiional Ltd. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 1,288,593 USD | | | | (13,376 | ) |
Shire PLC | | | 06/25/18 | | | | M | | | | 0.55 | % | | Morgan Stanley Capital Services LLC | | | 18,966,165 GBP | | | | (2,480,197 | ) |
Shire PLC | | | 04/19/18 | | | | M | | | | 0.92 | % | | Credit Suisse Securities (Europe) Limited | | | 950,922 GBP | | | | 173,789 | |
Shoe Carnival, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 200,050 USD | | | | 7,771 | |
Shutterstock, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 111,121 USD | | | | (8,369 | ) |
SIAS SpA | | | 10/04/19 | | | | M | | | | 0.05 | % | | Credit Suisse Securities (Europe) Limited | | | 302,506 EUR | | | | 2,033 | |
See Notes to Consolidated Financial Statements.
170
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | | | | | | | | | | | | | |
Reference
Instrument | | Termination
Date | | | Payment
Frequency | | | Financing
Rate | | | Counterparty | | Notional
Amount | | | Unrealized
Appreciation
(Depreciation) | |
Siegfried Holding AG REG | | | 04/19/18 | | | | M | | | | 0.34 | % | | Credit Suisse Securities (Europe) Limited | | | 91,854 CHF | | | $ | (6,824 | ) |
Sientra, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 103,498 USD | | | | (1,479 | ) |
Sigma Designs, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 85,805 USD | | | | 698 | |
Sika AG | | | 04/19/18 | | | | M | | | | 0.34 | % | | Credit Suisse Securities (Europe) Limited | | | 343,724 CHF | | | | (7,217 | ) |
Silgan Holdings, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 254,744 USD | | | | (8,745 | ) |
Silicon Laboratories, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 200,910 USD | | | | (13,379 | ) |
Siltronic AG | | | 04/19/18 | | | | M | | | | 0.05 | % | | Credit Suisse Securities (Europe) Limited | | | 528,123 EUR | | | | (55,706 | ) |
Simpson Manufacturing Co., Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 242,590 USD | | | | (885 | ) |
Simulations Plus, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 27,913 USD | | | | (2,498 | ) |
Sirtex Medical Ltd. | | | 06/06/19 | | | | M | | | | 2.28 | % | | Credit Suisse Securities (Europe) Limited | | | 422,874 AUD | | | | 2,978 | |
Sirtex Medical Ltd. | | | 07/30/18 | | | | M | | | | 2.28 | % | | Deutsche Bank AG | | | 1,424,390 AUD | | | | 7,630 | |
Six Flags Entertainment Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 603,309 USD | | | | 2,979 | |
SIXT SE | | | 04/19/18 | | | | M | | | | 0.05 | % | | Credit Suisse Securities (Europe) Limited | | | 352,463 EUR | | | | 1,735 | |
Sky PLC | | | 07/30/18 | | | | M | | | | 0.85 | % | | Deutsche Bank AG | | | 4,963,010 GBP | | | | 2,113,120 | |
Sky PLC | | | 04/19/18 | | | | M | | | | 0.92 | % | | Credit Suisse Securities (Europe) Limited | | | 1,860,072 GBP | | | | (43,438 | ) |
Sky PLC | | | 03/05/19 | | | | M | | | | 0.81 | % | | JPMorgan Chase Bank, N.A. | | | 7,059,845 GBP | | | | (133,623 | ) |
Skywest, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 417,748 USD | | | | (29,767 | ) |
SMA Solar Technology | | | 04/19/18 | | | | M | | | | 0.05 | % | | Credit Suisse Securities (Europe) Limited | | | 167,929 EUR | | | | (34,015 | ) |
Smith & Nephew PLC | | | 04/11/19 | | | | M | | | | 0.81 | % | | JPMorgan Chase Bank, N.A. | | | 6,632,500 GBP | | | | 31,568 | |
Smith & Nephew PLC | | | 04/19/18 | | | | M | | | | 0.92 | % | | Credit Suisse Securities (Europe) Limited | | | 2,754,172 GBP | | | | 13,109 | |
Smurfit Kappa Group PLC | | | 04/19/18 | | | | M | | | | 0.92 | % | | Credit Suisse Securities (Europe) Limited | | | 57,157 GBP | | | | (6,075 | ) |
Snap On, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 45,479 USD | | | | (480 | ) |
Societe Generale SA | | | 04/25/19 | | | | M | | | | 0.07 | % | | JPMorgan Chase Bank, N.A. | | | 4,560,000 EUR | | | | (177,185 | ) |
Societe Generale SA | | | 04/19/18 | | | | M | | | | 0.05 | % | | Credit Suisse Securities (Europe) Limited | | | 6,659,563 EUR | | | | (69,568 | ) |
Sonae | | | 04/19/18 | | | | M | | | | 0.04 | % | | Credit Suisse Securities (Europe) Limited | | | 232,273 EUR | | | | (21,209 | ) |
Sonic Automotive, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 636,620 USD | | | | (33,423 | ) |
Sonic Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 151,032 USD | | | | 4,057 | |
Sonoco Products Co. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 912,670 USD | | | | 4,028 | |
Sophos Group PLC | | | 04/19/18 | | | | M | | | | 0.92 | % | | Credit Suisse Securities (Europe) Limited | | | 103,151 GBP | | | | (21,018 | ) |
Southern Copper Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 51,622 USD | | | | 607 | |
Southern First Bancshares | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 84,498 USD | | | | (2,129 | ) |
Southwest Airlines Co. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 656,702 USD | | | | (4,626 | ) |
Southwest Gas Holdings, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 284,933 USD | | | | (1,698 | ) |
See Notes to Consolidated Financial Statements.
171
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | | | | | | | | | | | | | |
Reference
Instrument | | Termination
Date | | | Payment
Frequency | | | Financing
Rate | | | Counterparty | | Notional
Amount | | | Unrealized
Appreciation
(Depreciation) | |
SP Plus Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 66,789 USD | | | $ | (2,353 | ) |
Spartan Motors, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 175,858 USD | | | | 4,725 | |
Spartannash Co. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 293,239 USD | | | | (13,026 | ) |
Sparton Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 15,533 USD | | | | 153 | |
Speedway Motorsports, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 136,700 USD | | | | (412 | ) |
Spie SA | | | 04/19/18 | | | | M | | | | 0.05 | % | | Credit Suisse Securities (Europe) Limited | | | 2,433,375 EUR | | | | (119,958 | ) |
Spie SA | | | 04/03/19 | | | | M | | | | 0.07 | % | | JPMorgan Chase Bank, N.A. | | | 1,852,478 EUR | | | | (44,693 | ) |
Spire, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 147,106 USD | | | | 4,073 | |
Spok Holdings, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 410,887 USD | | | | 15,711 | |
SPS Commerce, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 131,074 USD | | | | 3,152 | |
SSAB AB | | | 04/19/18 | | | | M | | | | 0.09 | % | | Credit Suisse Securities (Europe) Limited | | | 950,244 SEK | | | | (3,574 | ) |
SSP Group PLC | | | 04/19/18 | | | | M | | | | 0.92 | % | | Credit Suisse Securities (Europe) Limited | | | 121,269 GBP | | | | (1,274 | ) |
Staar Surgical Co. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 336,880 USD | | | | (25,740 | ) |
Stag Industrial, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 108,570 USD | | | | 1,008 | |
Standard Motor Products, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 530,862 USD | | | | 1,684 | |
Standex International Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 461,718 USD | | | | (30,736 | ) |
Startek, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 164,236 USD | | | | (12,705 | ) |
Starwood Property Trust, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 319,281 USD | | | | (4,508 | ) |
Steelcase, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 670,747 USD | | | | (30,596 | ) |
Stemline Therapeutics, Inc., | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 37,275 USD | | | | 746 | |
Stepan Co. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 74,706 USD | | | | (260 | ) |
Steris PLC | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 796,034 USD | | | | (11,156 | ) |
Stewart Information Services | | | 08/06/18 | | | | M | | | | 2.03 | % | | Deutsche Bank AG | | | 1,330,702 USD | | | | 3,361 | |
Stock Yards BanCorp. Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 192,728 USD | | | | (4,557 | ) |
Stora Enso Oyj | | | 04/19/18 | | | | M | | | | 0.05 | % | | Credit Suisse Securities (Europe) Limited | | | 125,487 EUR | | | | (2,146 | ) |
Stratasys Ltd. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 393,781 USD | | | | (34,698 | ) |
Stryker Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 657,618 USD | | | | (13,294 | ) |
Ströer SE & Co. KGaA | | | 04/19/18 | | | | M | | | | 0.05 | % | | Credit Suisse Securities (Europe) Limited | | | 62,558 EUR | | | | (373 | ) |
Sturm Ruger & Co., Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 159,535 USD | | | | 10,355 | |
Sunrise Communications Group | | | 04/19/18 | | | | M | | | | 0.34 | % | | Credit Suisse Securities (Europe) Limited | | | 222,094 CHF | | | | (30,181 | ) |
Super Micro Computer, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 446,193 USD | | | | (60,174 | ) |
Superior Industires International | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 444,670 USD | | | | (73,879 | ) |
Superior Uniform Group, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 67,857 USD | | | | (4,756 | ) |
Supernus Pharmaceuticals, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 73,567 USD | | | | 3,651 | |
See Notes to Consolidated Financial Statements.
172
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | | | | | | | | | | | | | |
Reference
Instrument | | Termination
Date | | | Payment
Frequency | | | Financing
Rate | | | Counterparty | | Notional
Amount | | | Unrealized
Appreciation
(Depreciation) | |
Surmodics, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 353,796 USD | | | $ | 12,169 | |
Svenska Cellulosa AB | | | 04/19/18 | | | | M | | | | 0.09 | % | | Credit Suisse Securities (Europe) Limited | | | 3,071,238 SEK | | | | 15,694 | |
Swedbank AB | | | 04/19/18 | | | | M | | | | 0.09 | % | | Credit Suisse Securities (Europe) Limited | | | 964,608 SEK | | | | (12,751 | ) |
Swedish Match AB | | | 04/19/18 | | | | M | | | | 0.09 | % | | Credit Suisse Securities (Europe) Limited | | | 899,840 SEK | | | | 2,184 | |
Sykes Enterprises, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 717,073 USD | | | | (53,218 | ) |
Syneos Health, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 63,637 USD | | | | (1,725 | ) |
Synnex Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 215,164 USD | | | | 4,942 | |
Synopsys, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 171,366 USD | | | | (8,132 | ) |
Synovus Financial Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 191,913 USD | | | | 1,205 | |
Syntel, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 707,502 USD | | | | (44,334 | ) |
Systemax, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 383,076 USD | | | | (11,041 | ) |
T. Rowe Price Group, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 21,785 USD | | | | 133 | |
Tactile Systems Technology, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 416,539 USD | | | | (1,199 | ) |
TAG Immobilien AG | | | 04/19/18 | | | | M | | | | 0.05 | % | | Credit Suisse Securities (Europe) Limited | | | 292,701 EUR | | | | 17,847 | |
Tailored Brands, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 352,752 USD | | | | 50,363 | |
Targa Resources Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 17,760 USD | | | | (336 | ) |
TCF Financial Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 135,582 USD | | | | (2,965 | ) |
TDC A/S | | | 04/19/18 | | | | M | | | | 0.09 | % | | Credit Suisse Securities (Europe) Limited | | | 2,663,726 DKK | | | | 3,359 | |
TDC A/S | | | 03/21/19 | | | | M | | | | 0.06 | % | | JPMorgan Chase Bank, N.A. | | | 99,480,000 DKK | | | | 125,442 | |
Tech Data Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 235,419 USD | | | | 6,861 | |
Technogym SpA | | | 10/04/19 | | | | M | | | | 0.05 | % | | Credit Suisse Securities (Europe) Limited | | | 85,186 EUR | | | | 12,822 | |
TechTarget | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 681,095 USD | | | | 31,921 | |
Teekay Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 445,635 USD | | | | (15,935 | ) |
Tegna, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 97,060 USD | | | | (8,901 | ) |
Teleflex, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 461,765 USD | | | | (11,981 | ) |
Telenor ASA | | | 04/19/18 | | | | M | | | | 1.41 | % | | Credit Suisse Securities (Europe) Limited | | | 1,586,844 NOK | | | | (344 | ) |
Telephone and Data Systems, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 489,730 USD | | | | (3,802 | ) |
Temenos Group AG REG | | | 04/19/18 | | | | M | | | | 0.34 | % | | Credit Suisse Securities (Europe) Limited | | | 428,090 CHF | | | | (10,416 | ) |
Teradata Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 18,257 USD | | | | (1,159 | ) |
Teradyne, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 128,378 USD | | | | (8,572 | ) |
Terex Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 28,370 USD | | | | (1,023 | ) |
Terreno Realty Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 190,854 USD | | | | (1,808 | ) |
Territorial BanCorp. Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 123,203 USD | | | | (3,941 | ) |
Tesco PLC | | | 05/08/19 | | | | M | | | | 0.90 | % | | Merrill Lynch International | | | — GBP | | | | (2,826 | ) |
Tetra Tech, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 103,530 USD | | | | (4,162 | ) |
Tetra Technologies, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 96,947 USD | | | | (3,006 | ) |
Tetraphase Pharmaceuticals, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 31,043 USD | | | | 1,373 | |
See Notes to Consolidated Financial Statements.
173
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | | | | | | | | | | | | | |
Reference
Instrument | | Termination
Date | | | Payment
Frequency | | | Financing
Rate | | | Counterparty | | Notional
Amount | | | Unrealized
Appreciation
(Depreciation) | |
Texas Instruements, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 732,100 USD | | | $ | (36,141 | ) |
Textainer Group Holdings Ltd. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 286,740 USD | | | | (34,914 | ) |
TFS Financial Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 586,381 USD | | | | (25,943 | ) |
Thales SA | | | 04/19/18 | | | | M | | | | 0.05 | % | | Credit Suisse Securities (Europe) Limited | | | 3,073,652 EUR | | | | 59,797 | |
Thermo Fisher Scientific, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 407,579 USD | | | | (8,285 | ) |
Thermon Group Holdings, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 54,180 USD | | | | (934 | ) |
Tiffany & Co. | | | 05/08/19 | | | | M | | | | 2.18 | % | | Credit Suisse Securities (Europe) Limited | | | 4,921,399 USD | | | | (229,519 | ) |
Tilly's, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 120,894 USD | | | | (2,719 | ) |
Tim Participacs ADR | | | 05/08/19 | | | | M | | | | 2.18 | % | | Credit Suisse Securities (Europe) Limited | | | 2,263,212 USD | | | | (66,893 | ) |
Time Warner, Inc. | | | 08/06/18 | | | | M | | | | 2.03 | % | | Deutsche Bank AG | | | 8,187,502 USD | | | | (413,026 | ) |
Timken Co. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 180,902 USD | | | | 3,230 | |
Tintri, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 209,768 USD | | | | (93,815 | ) |
Titan Machinery, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 128,398 USD | | | | 20,619 | |
Tivo Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 766,114 USD | | | | (78,641 | ) |
TLG ImmobilienAG | | | 04/19/18 | | | | M | | | | 0.05 | % | | Credit Suisse Securities (Europe) Limited | | | 350,532 EUR | | | | (409 | ) |
Toll Brothers, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 4,496 USD | | | | 2 | |
Tootsie Roll Industries | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 630,846 USD | | | | (27,651 | ) |
Topdanmark A/S | | | 04/19/18 | | | | M | | | | 0.09 | % | | Credit Suisse Securities (Europe) Limited | | | 1,215,845 DKK | | | | (4,515 | ) |
Torchmark Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 185,265 USD | | | | 1,172 | |
Toro Co. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 73,318 USD | | | | 561 | |
Total SA | | | 04/19/18 | | | | M | | | | 0.05 | % | | Credit Suisse Securities (Europe) Limited | | | 1,709,083 EUR | | | | (34,526 | ) |
Total SA | | | 02/19/19 | | | | M | | | | 0.07 | % | | JPMorgan Chase Bank, N.A. | | | 4,760,678 EUR | | | | (96,172 | ) |
Total System Services, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 479,049 USD | | | | (18,680 | ) |
Tower International, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 175,079 USD | | | | (1,253 | ) |
Townsquare Media, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 105,868 USD | | | | 3,836 | |
Travelport Worldwide Ltd. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 391,636 USD | | | | 50,002 | |
Trecora Resources | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 90,573 USD | | | | 2,043 | |
Tredegar Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 282,787 USD | | | | (3,790 | ) |
Tribune Media Co. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 573,927 USD | | | | (10,149 | ) |
TriMas Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 48,256 USD | | | | 464 | |
Trimble, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 517,764 USD | | | | (24,916 | ) |
Trinity Industries, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 386,620 USD | | | | (1,063 | ) |
Triple-S Management Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 872,150 USD | | | | (8,589 | ) |
Triton International Ltd. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 302,963 USD | | | | (3,909 | ) |
Triumph Bancorp, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 250,880 USD | | | | (12,992 | ) |
TrueBlue, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 69,630 USD | | | | (4,051 | ) |
See Notes to Consolidated Financial Statements.
174
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | | | | | | | | | | | | | |
Reference
Instrument | | Termination
Date | | | Payment
Frequency | | | Financing
Rate | | | Counterparty | | Notional
Amount | | | Unrealized
Appreciation
(Depreciation) | |
Tryg A/S | | | 04/19/18 | | | | M | | | | 0.09 | % | | Credit Suisse Securities (Europe) Limited | | | 547,931 DKK | | | $ | (3,638 | ) |
TTEC Holdings, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 409,573 USD | | | | (30,643 | ) |
TTM Technologies | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 171,684 USD | | | | (15,802 | ) |
TUI AG | | | 04/19/18 | | | | M | | | | 0.92 | % | | Credit Suisse Securities (Europe) Limited | | | 334,886 GBP | | | | (3,937 | ) |
Tupperware Brands Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 105,336 USD | | | | 2,891 | |
Tutor Perini Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 145,752 USD | | | | 2,292 | |
Two Harbors Investment Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 124,682 USD | | | | (2,152 | ) |
Tyler Technologies, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 108,585 USD | | | | 270 | |
Tyson Foods, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 71,903 USD | | | | (103 | ) |
U.S. Physical Therapy, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 890,757 USD | | | | (10,278 | ) |
Ubisoft Entertainment | | | 04/19/18 | | | | M | | | | 0.05 | % | | Credit Suisse Securities (Europe) Limited | | | 229,572 EUR | | | | (9,142 | ) |
UBM PLC | | | 04/19/18 | | | | M | | | | 0.92 | % | | Credit Suisse Securities (Europe) Limited | | | 1,570,333 GBP | | | | (16,239 | ) |
UBM PLC | | | 10/10/18 | | | | M | | | | 0.81 | % | | JPMorgan Chase Bank, N.A. | | | 5,660,000 GBP | | | | (44,896 | ) |
UBM PLC | | | 07/30/18 | | | | M | | | | 0.85 | % | | Deutsche Bank AG | | | 1,070,603 GBP | | | | 83,899 | |
UBS Group AG REG | | | 04/19/18 | | | | M | | | | 0.34 | % | | Credit Suisse Securities (Europe) Limited | | | 5,116,570 CHF | | | | (205,377 | ) |
UBS Group AG REG | | | 01/03/19 | | | | M | | | | 0.51 | % | | JPMorgan Chase Bank, N.A. | | | 318,268 CHF | | | | (13,777 | ) |
UDR, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 70,769 USD | | | | (99 | ) |
UFP Technologies, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 78,193 USD | | | | (3,056 | ) |
UGI Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 340,069 USD | | | | 5,252 | |
Umicore NV | | | 04/19/18 | | | | M | | | | 0.05 | % | | Credit Suisse Securities (Europe) Limited | | | 359,913 EUR | | | | (21,749 | ) |
Umpqua Holdings Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 130,189 USD | | | | (5,754 | ) |
Unibet Group PLC | | | 04/19/18 | | | | M | | | | 0.09 | % | | Credit Suisse Securities (Europe) Limited | | | 2,503,065 SEK | | | | (30,635 | ) |
Unicredit SpA | | | 10/04/19 | | | | M | | | | 0.05 | % | | Credit Suisse Securities (Europe) Limited | | | 16,246,672 EUR | | | | 23,084 | |
Unifi, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 696 USD | | | | (7 | ) |
UniFirst Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 281,545 USD | | | | 7,000 | |
Uniper SE | | | 04/19/18 | | | | M | | | | 0.05 | % | | Credit Suisse Securities (Europe) Limited | | | 203,455 EUR | | | | 3,216 | |
Unit Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 174,949 USD | | | | 11,210 | |
Unite Group PLC | | | 04/19/18 | | | | M | | | | 0.92 | % | | Credit Suisse Securities (Europe) Limited | | | 272,190 GBP | | | | 7,184 | |
United Internet AG | | | 04/19/18 | | | | M | | | | 0.05 | % | | Credit Suisse Securities (Europe) Limited | | | 264,634 EUR | | | | (33,748 | ) |
United Natural Foods, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 86,140 USD | | | | 126 | |
United Parcel Service | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 156,821 USD | | | | 1,425 | |
United Therapeutics Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 408,681 USD | | | | 10,197 | |
UnitedHealth Group, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 451,086 USD | | | | (5,324 | ) |
Unitil Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 354,268 USD | | | | 14,460 | |
Universal Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 782,790 USD | | | | (13,483 | ) |
Universal Forest Products | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 234 USD | | | | (7 | ) |
Universal Health Services, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 749,970 USD | | | | (29,326 | ) |
See Notes to Consolidated Financial Statements.
175
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | | | | | | | | | | | | | |
Reference
Instrument | | Termination
Date | | | Payment
Frequency | | | Financing
Rate | | | Counterparty | | Notional
Amount | | | Unrealized
Appreciation
(Depreciation) | |
Universal Logistics Holdings | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 91,038 USD | | | $ | (3,139 | ) |
US Bancorp | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 364,251 USD | | | | (11,458 | ) |
US Cellular Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 131,968 USD | | | | 1,061 | |
US Ecology, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 21,636 USD | | | | 164 | |
USA Technologies, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 53,405 USD | | | | (3,338 | ) |
Utah Medical Products, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 349,247 USD | | | | 16,300 | |
Valeo SA | | | 04/19/18 | | | | M | | | | 0.40 | % | | Credit Suisse Securities (EURope) Limited | | | 811,345 EUR | | | | (28,627 | ) |
Valero Energy Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 387,744 USD | | | | 684 | |
Valhi, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 228,791 USD | | | | (8,056 | ) |
Validus Holdings Ltd. | | | 08/06/18 | | | | M | | | | 2.03 | % | | Deutsche Bank AG | | | 8,223,152 USD | | | | 2,713 | |
Valmont Industries | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 237,419 USD | | | | 758 | |
Valvoline, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 435,056 USD | | | | (21,313 | ) |
Vanda Pharmaceuticals, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 383,044 USD | | | | (14,753 | ) |
Varex Imaging Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 104,933 USD | | | | (634 | ) |
Varian Medical Systems, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 636,271 USD | | | | (11,246 | ) |
Varonis Systems, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 165,463 USD | | | | 4,784 | |
Vasco Data Security International | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 267,327 USD | | | | (15,554 | ) |
VAT Group AG | | | 04/19/18 | | | | M | | | | 0.34 | % | | Credit Suisse Securities (Europe) Limited | | | 403,907 CHF | | | | (23,342 | ) |
Vector Group Ltd. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 602,403 USD | | | | (4,690 | ) |
Veeva Systems, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 14,160 USD | | | | 152 | |
Vera Bradley, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 259,340 USD | | | | 19,162 | |
Veracyte, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 148,095 USD | | | | (16,979 | ) |
Verifone Systems, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 190,301 USD | | | | (22,229 | ) |
Verint Systems, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 87,470 USD | | | | 7,443 | |
Verisign, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 65,409 USD | | | | (438 | ) |
Verisk Analytics, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 79,825 USD | | | | 1,399 | |
Veritiv Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 113,985 USD | | | | 2,831 | |
Verso Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 307,581 USD | | | | (9,041 | ) |
Versum Materials, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 459,193 USD | | | | (18,771 | ) |
Viad Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 471,131 USD | | | | (19,379 | ) |
ViaSat, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 69,594 USD | | | | (4,005 | ) |
Victrex PLC | | | 04/19/18 | | | | M | | | | 0.92 | % | | Credit Suisse Securities (Europe) Limited | | | 273,091 GBP | | | | 6,831 | |
Vienna Insurance Group AG | | | 04/19/18 | | | | M | | | | 0.05 | % | | Credit Suisse Securities (Europe) Limited | | | 148,658 EUR | | | | 6,877 | |
Village Super Market, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 132,134 USD | | | | 5,965 | |
Vinci SA | | | 04/19/18 | | | | M | | | | 0.05 | % | | Credit Suisse Securities (Europe) Limited | | | 3,953,685 EUR | | | | (79,723 | ) |
Virtusa Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 229,218 USD | | | | (5,042 | ) |
See Notes to Consolidated Financial Statements.
176
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | | | | | | | | | | | | | |
Reference
Instrument | | Termination
Date | | | Payment
Frequency | | | Financing
Rate | | | Counterparty | | Notional
Amount | | | Unrealized
Appreciation
(Depreciation) | |
Visa, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 32,305 USD | | | $ | (1,084 | ) |
Vishay Intertechnology, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 436,474 USD | | | | (14,738 | ) |
Vishay Precision Group | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 462,264 USD | | | | 3,740 | |
Vista Outdoor, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 146,707 USD | | | | 2,654 | |
Vivendi | | | 04/19/18 | | | | M | | | | 0.05 | % | | Credit Suisse Securities (Europe) Limited | | | 1,073,063 EUR | | | | 45 | |
Vivendi | | | 10/10/18 | | | | M | | | | 0.07 | % | | JPMorgan Chase Bank, N.A. | | | 13,012,000 EUR | | | | (506,945 | ) |
Vocera Communcations, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 546,796 USD | | | | (24,530 | ) |
Vodafone Group PLC | | | 05/08/19 | | | | M | | | | 2.18 | % | | Credit Suisse Securities (Europe) Limited | | | 53,325 USD | | | | (1,163 | ) |
Vodafone Group PLC | | | 04/19/18 | | | | M | | | | 0.92 | % | | Credit Suisse Securities (Europe) Limited | | | 7,666,129 GBP | | | | (292,829 | ) |
Vodafone Group PLC | | | 03/21/19 | | | | M | | | | 0.81 | % | | JPMorgan Chase Bank, N.A. | | | 5,035,000 GBP | | | | (251,839 | ) |
Voestalpine AG | | | 04/19/18 | | | | M | | | | 0.05 | % | | Credit Suisse Securities (Europe) Limited | | | 145,580 EUR | | | | (5,540 | ) |
Volkswagen AG | | | 04/19/18 | | | | M | | | | 0.05 | % | | Credit Suisse Securities (Europe) Limited | | | 2,883,578 EUR | | | | 28,346 | |
Vonovia SE | | | 04/19/18 | | | | M | | | | 0.05 | % | | Credit Suisse Securities (Europe) Limited | | | 104,892 EUR | | | | 5,496 | |
Voxx International Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 62,161 USD | | | | (6,216 | ) |
VSE Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 229,542 USD | | | | (10,301 | ) |
W&T Offshore, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 165,434 USD | | | | 22,965 | |
Wacker Chemie AG | | | 04/19/18 | | | | M | | | | 0.05 | % | | Credit Suisse Securities (Europe) Limited | | | 184,964 EUR | | | | 6,883 | |
Waddell & Reed Financial, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 31,531 USD | | | | 1,048 | |
Wal-Mart Stores, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 34,874 USD | | | | 2 | |
Washington REIT | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 207,578 USD | | | | 6,509 | |
Waster Managemetn, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 236,056 USD | | | | 237 | |
Waters Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 498,057 USD | | | | (27,852 | ) |
WatsCo, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 429,358 USD | | | | 5,151 | |
Watts Water Technologies | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 443,406 USD | | | | (14,891 | ) |
WD 40 Co. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 166,483 USD | | | | 644 | |
Web.Com Group, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 71,837 USD | | | | (6,333 | ) |
Weis Markets, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 816,296 USD | | | | 64,897 | |
WellCare Health Plans, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 276,418 USD | | | | 86 | |
Werner Enterprises, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 257,989 USD | | | | (11,723 | ) |
Wesco International, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 31,856 USD | | | | 720 | |
West Pharmaceutical Services | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 452,941 USD | | | | (9,813 | ) |
Western Alliance BanCorp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 56,943 USD | | | | 4 | |
See Notes to Consolidated Financial Statements.
177
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | | | | | | | | | | | | | |
Reference
Instrument | | Termination
Date | | | Payment
Frequency | | | Financing
Rate | | | Counterparty | | Notional
Amount | | | Unrealized
Appreciation
(Depreciation) | |
Western Asset Mortgage Capital | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 40,241 USD | | | $ | (124 | ) |
Western Union Co. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 325,105 USD | | | | (12,829 | ) |
WestRock Co. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 684,521 USD | | | | (24,083 | ) |
Weyco Group, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 97,321 USD | | | | 4,790 | |
WGL Holdings, Inc. | | | 08/06/18 | | | | M | | | | 2.03 | % | | Deutsche Bank AG | | | 9,327,754 USD | | | | (50,969 | ) |
WGL Holdings, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 514,817 USD | | | | (1,206 | ) |
WH Smith PLC | | | 04/19/18 | | | | M | | | | 0.92 | % | | Credit Suisse Securities (Europe) Limited | | | 77,122 GBP | | | | (903 | ) |
Whirlpool Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 29,718 USD | | | | (15 | ) |
White Mountains Insureance Group | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 292,842 USD | | | | 3,265 | |
WIG20 Index | | | 06/19/18 | | | | | | | | 0.00 | % | | Merrill Lynch International | | | 94,076 PLN | | | | (1,541 | ) |
Willdan Group, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 169,551 USD | | | | 13,704 | |
William Demant Holding | | | 04/19/18 | | | | M | | | | 0.09 | % | | Credit Suisse Securities (Europe) Limited | | | 878,498 DKK | | | | (5,490 | ) |
William's Sonoma, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 146,535 USD | | | | (4,242 | ) |
Williams Cos., Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 112,003 USD | | | | (7,914 | ) |
Willis Lease Finance Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 97,838 USD | | | | 11,515 | |
Willis Towers Watcon PLC | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 165,821 USD | | | | 219 | |
Wintrust Financial Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 168,555 USD | | | | 3,028 | |
Wirecard AG | | | 04/19/18 | | | | M | | | | 0.05 | % | | Credit Suisse Securities (Europe) Limited | | | 544,963 EUR | | | | (40,533 | ) |
Wizz Air Holdings PLC | | | 04/19/18 | | | | M | | | | 0.92 | % | | Credit Suisse Securities (Europe) Limited | | | 342,741 GBP | | | | (22,549 | ) |
Workiva, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 620,160 USD | | | | (1,306 | ) |
World Fuel Services Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 359,811 USD | | | | 9,322 | |
Worldline SA | | | 04/19/18 | | | | M | | | | 0.05 | % | | Credit Suisse Securities (Europe) Limited | | | 234,487 EUR | | | | (14,223 | ) |
Worthington Industries | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 104,002 USD | | | | 4,543 | |
WP Carey, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 223,667 USD | | | | 117 | |
WR Berkley Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 185,687 USD | | | | 2,969 | |
Wright Medical Group NV | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 251,462 USD | | | | (5,506 | ) |
Xcel Energy, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 100,657 USD | | | | 4,220 | |
Xcerra Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 1,084,096 USD | | | | 27,675 | |
Xerox Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 1,215,514 USD | | | | (88,864 | ) |
Xilinx, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 307,495 USD | | | | (13,406 | ) |
XL Group Ltd. | | | 08/06/18 | | | | M | | | | 2.03 | % | | Deutsche Bank AG | | | 17,431,758 USD | | | | (101,282 | ) |
XO Group, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 633,379 USD | | | | (39,909 | ) |
XPO Logistics, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 2,619 USD | | | | 28 | |
Xylem, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 189,991 USD | | | | (2,152 | ) |
Yext, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 14,290 USD | | | | 359 | |
York Water co. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 29,453 USD | | | | (375 | ) |
Yum! Brands, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 369,270 USD | | | | 10,240 | |
Zagg, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 18,031 USD | | | | (572 | ) |
Zebra Technologies Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 33,564 USD | | | | 398 | |
Zimmer Biomet Holdings, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 533,630 USD | | | | (23,759 | ) |
See Notes to Consolidated Financial Statements.
178
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | | | | | | | | | | | | | |
Reference
Instrument | | Termination
Date | | | Payment
Frequency | | | Financing
Rate | | | Counterparty | | Notional
Amount | | | Unrealized
Appreciation
(Depreciation) | |
Zions Bancorporation | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 25,268 USD | | | $ | 201 | |
Zix Corp. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 156,401 USD | | | | (729 | ) |
Zynga, Inc. | | | 04/22/19 | | | | M | | | | 1.98 | % | | Morgan Stanley Capital Services LLC | | | 18,621 USD | | | | (965 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
Total Buys | | | | | | $ | (23,680,792 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Sells | | | | | | | | | | | | | | | | | | | | | | |
2U, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 345,476 USD | | | $ | 13,305 | |
3M Co. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 290,235 USD | | | | (3,044 | ) |
A2A SpA | | | 10/04/19 | | | | M | | | | 0.91 | % | | Credit Suisse Securities (Europe) Limited | | | 89,631 EUR | | | | (4,412 | ) |
AAON, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 188,762 USD | | | | (973 | ) |
ABM Industries, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 280,295 USD | | | | 9,208 | |
ABN AMRO Group NV | | | 04/19/18 | | | | M | | | | 0.40 | % | | Credit Suisse Securities (Europe) Limited | | | 1,926,475 EUR | | | | 11,954 | |
Abraxas Petroleum Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 271,759 USD | | | | (2,471 | ) |
Acadia Pharmaceuticals, Inc. | | | 04/22/19 | | | | M | | | | 1.10 | % | | Morgan Stanley Capital Services LLC | | | 54,178 USD | | | | 4,901 | |
Acadia Realty Trust | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 96,264 USD | | | | (710 | ) |
Acceleron Pharma, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 175,142 USD | | | | 16,982 | |
Acco Brands Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 38,333 USD | | | | 1,888 | |
Achillion Pharmaceuticals | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 92,120 USD | | | | 6,679 | |
Aclaris Therapeutics, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 664,572 USD | | | | 44,802 | |
Activision Blizzard, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 438,490 USD | | | | 24,690 | |
Actuant Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 84,364 USD | | | | 361 | |
Acuity Brands, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 320,590 USD | | | | 12,841 | |
Adamas Pharmaceuticals, Inc. | | | 04/22/19 | | | | M | | | | 0.05 | % | | Morgan Stanley Capital Services LLC | | | 373,212 USD | | | | 15,572 | |
Adobe Systems, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 429,170 USD | | | | 7,598 | |
Adtalem Global Education, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 114,606 USD | | | | 4,243 | |
Aduro Biotech, Inc. | | | 04/22/19 | | | | M | | | | 0.75 | % | | Morgan Stanley Capital Services LLC | | | 234,444 USD | | | | — | |
Advance Auto Parts, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 622,286 USD | | | | (8,163 | ) |
Advanced Drainage Systems, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 462,066 USD | | | | 890 | |
Advanced Micro Devices | | | 04/22/19 | | | | M | | | | 0.55 | % | | Morgan Stanley Capital Services LLC | | | 683,150 USD | | | | 83,838 | |
Advansix, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 236,523 USD | | | | 10,801 | |
Aegon N.V. | | | 04/19/18 | | | | M | | | | 0.40 | % | | Credit Suisse Securities (Europe) Limited | | | 4,660,153 EUR | | | | 153,753 | |
See Notes to Consolidated Financial Statements.
179
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | | | | | | | | | | | | | |
Reference
Instrument | | Termination
Date | | | Payment
Frequency | | | Financing
Rate | | | Counterparty | | Notional
Amount | | | Unrealized
Appreciation
(Depreciation) | |
Aegon N.V. | | | 03/21/19 | | | | M | | | | 0.67 | % | | JPMorgan Chase Bank, N.A. | | | 5,859,360 EUR | | | $ | 202,187 | |
Aerie Pharmaceuticals, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 578,892 USD | | | | 31,510 | |
Aerohive Networks, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 25,814 USD | | | | 2,741 | |
Aerojet Rocketdyne Holdings | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 782,963 USD | | | | (560 | ) |
Aerovironment, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 179,095 USD | | | | 4,063 | |
Ageas | | | 04/19/18 | | | | M | | | | 0.40 | % | | Credit Suisse Securities (Europe) Limited | | | 1,009,722 EUR | | | | 27,102 | |
Agenus, Inc. | | | 04/22/19 | | | | M | | | | 0.75 | % | | Morgan Stanley Capital Services LLC | | | 118,198 USD | | | | 17,527 | |
Agios Pharmaceuticals, Inc. | | | 04/22/19 | | | | M | | | | 1.15 | % | | Morgan Stanley Capital Services LLC | | | 218,897 USD | | | | 4,142 | |
AIB Group PLC | | | 04/19/18 | | | | M | | | | 0.91 | % | | Credit Suisse Securities (Europe) Limited | | | 663,559 EUR | | | | (8,772 | ) |
Aimmune Therapeutics, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 242,806 USD | | | | (9,097 | ) |
Air Liquide SA | | | 04/11/19 | | | | M | | | | 0.67 | % | | JPMorgan Chase Bank, N.A. | | | 2,796,750 EUR | | | | 75,119 | |
Air Liquide SA | | | 04/19/18 | | | | M | | | | 0.90 | % | | Credit Suisse Securities (Europe) Limited | | | 1,418,410 EUR | | | | 38,098 | |
Air Products & Chemicals, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 220,932 USD | | | | 993 | |
Air Transport Services Group | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 198,641 USD | | | | 11,778 | |
Airbus SE | | | 04/19/18 | | | | M | | | | 0.40 | % | | Credit Suisse Securities (Europe) Limited | | | 1,203,978 EUR | | | | 37,693 | |
AK Steel Holding Corp. | | | 04/22/19 | | | | M | | | | 0.75 | % | | Morgan Stanley Capital Services LLC | | | 980,966 USD | | | | 79,592 | |
Akamai Technologies, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 300,127 USD | | | | 13,012 | |
Akebia Therapeutics, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 211,118 USD | | | | 36,281 | |
Akorn, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 309,740 USD | | | | 333 | |
Alarm.com Holdings, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 119,836 USD | | | | 3,295 | |
Alaska Air Group, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 107,673 USD | | | | 359 | |
Albemarle Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 311,982 USD | | | | 12,431 | |
Alcoa Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 275,743 USD | | | | 11,468 | |
Alder Biopharmaceuticals, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 601,938 USD | | | | 32,343 | |
Alexander & Baldwin, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 127,872 USD | | | | 5,444 | |
Alexandria Real Estate Equities, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 47,394 USD | | | | (439 | ) |
Alexion Pharmaceuticals, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 227,292 USD | | | | 20,534 | |
See Notes to Consolidated Financial Statements.
180
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | | | | | | | | | | | | | |
Reference
Instrument | | Termination
Date | | | Payment
Frequency | | | Financing
Rate | | | Counterparty | | Notional
Amount | | | Unrealized
Appreciation
(Depreciation) | |
Alibaba | | | 05/08/19 | | | | M | | | | 1.58 | % | | Credit Suisse Securities (Europe) Limited | | | 180,153,744 USD | | | $ | 14,042,516 | |
Allegheny Technologies, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 412,798 USD | | | | 43,485 | |
Allegion PLC | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 239,702 USD | | | | (816 | ) |
Allete, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 12,869 USD | | | | (136 | ) |
Alliance Data Systems Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 453,569 USD | | | | 28,275 | |
Allianz SE REG | | | 04/19/18 | | | | M | | | | 0.40 | % | | Credit Suisse Securities (Europe) Limited | | | 328,072 EUR | | | | 1,091 | |
Allison Transmission Holding | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 308,050 USD | | | | (4,156 | ) |
Allstate Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 27,398 USD | | | | 285 | |
Ally Financial, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 232,973 USD | | | | 2,171 | |
Alnylam Pharmaceuticals, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 664,045 USD | | | | 99,749 | |
Alphabet, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 448,395 USD | | | | 28,353 | |
Alteryx, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 517,000 USD | | | | 29,959 | |
Altice USA, Inc. | | | 05/08/19 | | | | M | | | | 1.88 | % | | Credit Suisse Securities (Europe) Limited | | | 27,427 USD | | | | 1,777 | |
Altra Industrial Motion Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 24,137 USD | | | | 564 | |
Altran Technologies SA | | | 04/25/19 | | | | M | | | | 0.37 | % | | JPMorgan Chase Bank, N.A. | | | — EUR | | | | (38,717 | ) |
Altran Technologies SA | | | 04/19/18 | | | | M | | | | 0.40 | % | | Credit Suisse Securities (Europe) Limited | | | 462,249 EUR | | | | 82,212 | |
Altran Technologies SA | | | 01/23/19 | | | | M | | | | 0.37 | % | | JPMorgan Chase Bank, N.A. | | | 325,713 EUR | | | | 58,636 | |
Altria Group, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 176,759 USD | | | | 1,079 | |
Amazon.Com, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 767,007 USD | | | | 59,258 | |
AMBAC Financial Group, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 232,525 USD | | | | (20,143 | ) |
Ambarella, Inc. | | | 04/22/19 | | | | M | | | | 0.75 | % | | Morgan Stanley Capital Services LLC | | | 343,593 USD | | | | 27,019 | |
AMC Networks, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 864,174 USD | | | | (15,657 | ) |
Ameren Corporation | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 247,971 USD | | | | (8,393 | ) |
America Movil | | | 05/08/19 | | | | M | | | | 1.58 | % | | Credit Suisse Securities (Europe) Limited | | | 509,633 USD | | | | 3,710 | |
American Axle & Manufact. Holdings, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 157,898 USD | | | | (4,591 | ) |
American Campus Communities | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 19,822 USD | | | | (28 | ) |
American Electric Power | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 131,745 USD | | | | (2,485 | ) |
American Express Co. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 450,878 USD | | | | 1,641 | |
American Outdoor Brands Corp. | | | 04/22/19 | | | | M | | | | 1.00 | % | | Morgan Stanley Capital Services LLC | | | 346,536 USD | | | | 2,312 | |
See Notes to Consolidated Financial Statements.
181
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | | | | | | | | | | | | | |
Reference
Instrument | | Termination
Date | | | Payment
Frequency | | | Financing
Rate | | | Counterparty | | Notional
Amount | | | Unrealized
Appreciation
(Depreciation) | |
American Public Education | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 242,104 USD | | | $ | (5,963 | ) |
American States Water Co. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 259,918 USD | | | | 561 | |
American Tower Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 10,594 USD | | | | (16 | ) |
American Water Works Co., Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 84,162 USD | | | | (1,335 | ) |
American Woodmark Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 225,584 USD | | | | 19,036 | |
Amicus Therapeutics, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 2,781 USD | | | | (91 | ) |
Amtrust Financial Services | | | 04/22/19 | | | | M | | | | 0.35 | % | | Morgan Stanley Capital Services LLC | | | 378,987 USD | | | | 5,761 | |
Anadarko Petroleum Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 684,332 USD | | | | (25,365 | ) |
Analog Devices, Inc. | | | 05/08/19 | | | | M | | | | 1.58 | % | | Credit Suisse Securities (Europe) Limited | | | 1,177,720 USD | | | | 34,130 | |
Anaptysbio, Inc. | | | 04/22/19 | | | | M | | | | 0.32 | % | | Morgan Stanley Capital Services LLC | | | 1,001,407 USD | | | | 69,995 | |
Anglo American PLC | | | 04/19/18 | | | | M | | | | 0.52 | % | | Credit Suisse Securities (Europe) Limited | | | 10,314,268 GBP | | | | 866,305 | |
Anheuser Busch Inbev SA NV | | | 04/19/18 | | | | M | | | | 0.95 | % | | Credit Suisse Securities (Europe) Limited | | | 251,073 EUR | | | | 8,481 | |
Antares Pharma, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 313,523 USD | | | | 7,914 | |
Apache Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 330,164 USD | | | | (28,123 | ) |
Apartment Investment & Management Co. | | | 03/03/20 | | | | T | | | | 1.28 | % | | Morgan Stanley Capital Services LLC | | | 702,629 USD | | | | (35,231 | ) |
Apogee Enterprises, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 280,403 USD | | | | 9,076 | |
Apple, Inc. | | | 01/23/20 | | | | T | | | | 1.38 | % | | Goldman Sachs International | | | 14,910,059 USD | | | | 58,006 | |
Apple, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 84,743 USD | | | | 350 | |
Applied Materials, Inc. | | | 05/08/19 | | | | M | | | | 1.58 | % | | Credit Suisse Securities (Europe) Limited | | | 357,521 USD | | | | 27,698 | |
Applied Materials, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 138,644 USD | | | | 10,741 | |
Aptiv PLC | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 246,415 USD | | | | (2,802 | ) |
Aqua America, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 95,958 USD | | | | (1,692 | ) |
Aramark | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 315,618 USD | | | | 11,085 | |
ArcBest Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 50,611 USD | | | | 3,818 | |
Arch Coal, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 535,408 USD | | | | 21,339 | |
Arconic, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 181,315 USD | | | | 8,976 | |
Ardelyx, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 314,295 USD | | | | 14,825 | |
Arena Pharmaceuticals, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 531,836 USD | | | | (58,254 | ) |
Argan, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 146,580 USD | | | | (6,322 | ) |
See Notes to Consolidated Financial Statements.
182
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | | | | | | | | | | | | | |
Reference
Instrument | | Termination
Date | | | Payment
Frequency | | | Financing
Rate | | | Counterparty | | Notional
Amount | | | Unrealized
Appreciation
(Depreciation) | |
Arista Networks, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 615,849 USD | | | $ | 72,060 | |
Arkema | | | 04/19/18 | | | | M | | | | 0.90 | % | | Credit Suisse Securities (Europe) Limited | | | 101,882 EUR | | | | 2,888 | |
Armstrong World Industries | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 330,330 USD | | | | 8,294 | |
Array Biopharma, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 657,917 USD | | | | 40,450 | |
Asbury Automotive Group | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 263,959 USD | | | | 4,422 | |
Ashford Hospitality Prime, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 128,274 USD | | | | 3,216 | |
Ashford Hospitality Trust | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 54,439 USD | | | | 911 | |
ASML Holding NV | | | 05/08/19 | | | | M | | | | 1.58 | % | | Credit Suisse Securities (Europe) Limited | | | 1,490,515 USD | | | | 53,933 | |
Aspen Insurance Holdings Ltd. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 245,057 USD | | | | (19,782 | ) |
Assembly Biosciences, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 16,479 USD | | | | 2,278 | |
Assicurazioni Generali | | | 10/04/19 | | | | M | | | | 0.90 | % | | Credit Suisse Securities (Europe) Limited | | | 7,048,517 EUR | | | | 23,322 | |
Assurant, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 7,293 USD | | | | (111 | ) |
Astec Industries, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 24,942 USD | | | | 111 | |
Astronics Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 99,278 USD | | | | 4,051 | |
At Home Group, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 413,832 USD | | | | (44,757 | ) |
AT&T, Inc. | | | 08/06/18 | | | | M | | | | 1.48 | % | | Deutsche Bank AG | | | 3,171,876 USD | | | | 2,912 | |
AT&T, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 52,816 USD | | | | (196 | ) |
Atara Biotherapeutics, Inc. | | | 04/22/19 | | | | M | | | | 1.35 | % | | Morgan Stanley Capital Services LLC | | | 147,218 USD | | | | (1,528 | ) |
Atkore International Group, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 209,506 USD | | | | 7,235 | |
Atlantia SpA | | | 10/04/19 | | | | M | | | | 0.40 | % | | Credit Suisse Securities (Europe) Limited | | | 276,692 EUR | | | | 11,130 | |
Atlas Financial Holdings, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 12,560 USD | | | | 1,816 | |
Atlassian Corp PLC | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 88,180 USD | | | | 614 | |
Audentes Therapeutics, Inc. | | | 04/22/19 | | | | M | | | | 0.42 | % | | Morgan Stanley Capital Services LLC | | | 132,148 USD | | | | (1,724 | ) |
Autodesk, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 651,299 USD | | | | 46,381 | |
Autonation, Inc. | | | 04/22/19 | | | | M | | | | 1.00 | % | | Morgan Stanley Capital Services LLC | | | 306,997 USD | | | | 12,657 | |
Autozone, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 569,861 USD | | | | (2,932 | ) |
AvalonBay Communities, Inc. | | | 03/03/20 | | | | T | | | | 1.28 | % | | Morgan Stanley Capital Services LLC | | | 702,104 USD | | | | (35,828 | ) |
See Notes to Consolidated Financial Statements.
183
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | | | | | | | | | | | | | |
Reference
Instrument | | Termination
Date | | | Payment
Frequency | | | Financing
Rate | | | Counterparty | | Notional
Amount | | | Unrealized
Appreciation
(Depreciation) | |
AvalonBay Communities, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 156,444 USD | | | $ | (615 | ) |
Avery Dennison Corp. | | | 03/25/20 | | | | T | | | | 1.52 | % | | Barclays Bank plc | | | 28,011,187 USD | | | | 709,825 | |
Avexis, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 351,620 USD | | | | 18,943 | |
Avis Budget Group, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 886,600 USD | | | | 34,908 | |
Axalta Coating Systems Ltd. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 611,353 USD | | | | 7,131 | |
Axcelis Technologies, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 30,368 USD | | | | 3,062 | |
Axis Capital Holdings Ltd. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 160,013 USD | | | | (7,112 | ) |
Axon Enterprise, Inc. | | | 04/22/19 | | | | M | | | | 0.75 | % | | Morgan Stanley Capital Services LLC | | | 456,064 USD | | | | (8,148 | ) |
AZZ, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 66,057 USD | | | | 376 | |
B. Riley Financial, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 50,406 USD | | | | (1,600 | ) |
Babcock & Wilcox Enterprises, Inc. | | | 04/22/19 | | | | M | | | | 1.68 | % | | Morgan Stanley Capital Services LLC | | | — USD | | | | — | |
Babcock & Wilcox Enterprises, Inc. | | | 04/22/19 | | | | M | | | | 0.90 | % | | Morgan Stanley Capital Services LLC | | | 284,414 USD | | | | 3,908 | |
Baker Hughes | | | 05/08/19 | | | | M | | | | 1.58 | % | | Credit Suisse Securities (Europe) Limited | | | 212,236 USD | | | | 17,901 | |
Banco Comercial Portugues SA | | | 04/19/18 | | | | M | | | | 0.91 | % | | Credit Suisse Securities (Europe) Limited | | | 281,164 EUR | | | | 16,353 | |
Banco Santander SA | | | 04/25/19 | | | | M | | | | 0.67 | % | | JPMorgan Chase Bank, N.A. | | | 567,438 EUR | | | | 4,084 | |
Banco Santander SA | | | 04/20/18 | | | | M | | | | 0.96 | % | | Credit Suisse Securities (Europe) Limited | | | 645,957 EUR | | | | (9,071 | ) |
BancorpSouth Bank | | | 03/17/20 | | | | T | | | | 1.43 | % | | Goldman Sachs International | | | 2,606,504 USD | | | | 142,417 | |
Bank of America Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 66,640 USD | | | | 4,380 | |
Basic Energy Services, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 50,471 USD | | | | 46 | |
Bayerische Motoren Werke AG | | | 04/19/18 | | | | M | | | | 0.90 | % | | Credit Suisse Securities (Europe) Limited | | | 2,016,495 EUR | | | | (85,283 | ) |
BB&T Corp. | | | 03/03/20 | | | | T | | | | 1.28 | % | | Morgan Stanley Capital Services LLC | | | 12,005,020 USD | | | | 507,770 | |
Beacon Roofing Supply, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 130,213 USD | | | | 2,526 | |
Beasley Broadcast Group | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 35,502 USD | | | | (4,161 | ) |
Beiersdorf AG | | | 04/19/18 | | | | M | | | | 0.90 | % | | Credit Suisse Securities (Europe) Limited | | | 122,094 EUR | | | | (7,833 | ) |
Bellicum Pharmaceuticals, Inc. | | | 04/22/19 | | | | M | | | | 0.15 | % | | Morgan Stanley Capital Services LLC | | | 664,620 USD | | | | 121,485 | |
Best Buy Co., Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 332,287 USD | | | | (5,625 | ) |
Biglari Holdings, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 262,694 USD | | | | 11,522 | |
See Notes to Consolidated Financial Statements.
184
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | | | | | | | | | | | | | |
Reference
Instrument | | Termination
Date | | | Payment
Frequency | | | Financing
Rate | | | Counterparty | | Notional
Amount | | | Unrealized
Appreciation
(Depreciation) | |
Biocryst Pharmaceuticals, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 832,733 USD | | | $ | 94,418 | |
Biohaven Pharmaceutical Holdings | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 528,277 USD | | | | 23,845 | |
BioTelemetry, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 213,928 USD | | | | 16,822 | |
BJ's Restaurants, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 426,776 USD | | | | (20,608 | ) |
Black Hills Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 107,078 USD | | | | (3,314 | ) |
Black Knight, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 46,916 | | | | 569 | |
Blackbaud, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 163,574 USD | | | | 10,045 | |
Blackline, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 87,017 USD | | | | 1,029 | |
Blackrock, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 77,391 USD | | | | (1,159 | ) |
Bloomin Brands, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 374,217 USD | | | | (11,568 | ) |
Blue Buffalo Pet Products, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 192,628 USD | | | | (52 | ) |
Blue Capital Reinsurance Holdings Ltd. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 57,986 USD | | | | (1,599 | ) |
Bluebird Bio, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 647,424 USD | | | | 108,878 | |
Blueprint Medicines Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 649,486 USD | | | | 64,256 | |
Bmc Stock Holdings, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 12,531 USD | | | | 312 | |
Boeing Co. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 612,133 USD | | | | 2,604 | |
Boingo Wireless, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 1,057,865 USD | | | | 99,068 | |
Bojangles, Inc. | | | 04/22/19 | | | | M | | | | 1.00 | % | | Morgan Stanley Capital Services LLC | | | 467,566 USD | | | | 8,314 | |
Booking Holdings, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 394,682 USD | | | | (6,833 | ) |
Boot Barn Holdings, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 303,886 USD | | | | 5,756 | |
Boston Beer Company, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 73,765 USD | | | | (910 | ) |
Boston Properties, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 145,793 USD | | | | (223 | ) |
Bouygues SA | | | 04/19/18 | | | | M | | | | 0.90 | % | | Credit Suisse Securities (Europe) Limited | | | 328,618 EUR | | | | 7,623 | |
Box, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 211,891 USD | | | | 5,425 | |
Boyd Gaming Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 248,821 USD | | | | 8,819 | |
Brandywine Realty Trust | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 11,040 USD | | | | 131 | |
Brink's Co. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 420,598 USD | | | | 8,267 | |
Brixmor Property Group, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 191,672 USD | | | | 376 | |
Broadcom Ltd. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 93,462 USD | | | | 1,322 | |
Brookfield Property Partners | | | 08/06/18 | | | | M | | | | 1.49 | % | | Deutsche Bank AG | | | 59,989 USD | | | | (863 | ) |
Brown Forman Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 51,597 USD | | | | (1,008 | ) |
See Notes to Consolidated Financial Statements.
185
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | | | | | | | | | | | | | |
Reference
Instrument | | Termination
Date | | | Payment
Frequency | | | Financing
Rate | | | Counterparty | | Notional
Amount | | | Unrealized
Appreciation
(Depreciation) | |
Brunswick Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 221,947 USD | | | $ | 4,461 | |
Builders Firstsource, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 154,476 USD | | | | 8,810 | |
Bunge Ltd. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 69,055 USD | | | | (596 | ) |
Burberry Group PLC | | | 04/19/18 | | | | M | | | | 0.01 | % | | Credit Suisse Securities (Europe) Limited | | | 112,413 GBP | | | | (2,305 | ) |
Burlington Stores, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 101,947 USD | | | | (3,109 | ) |
BWX Technologies, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 253,607 USD | | | | (640 | ) |
Cable One, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 477,079 USD | | | | 10,531 | |
Cabot Oil & Gas Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 409,779 USD | | | | 17,490 | |
Caesar's Entertainment Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 605,331 USD | | | | 56,140 | |
Caesarstone Ltd. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 101,149 USD | | | | 2,997 | |
Cal Maine Foods, Inc. | | | 04/22/19 | | | | M | | | | 0.55 | % | | Morgan Stanley Capital Services LLC | | | 429,887 USD | | | | 3,899 | |
California Resources Corp. | | | 04/22/19 | | | | M | | | | 0.45 | % | | Morgan Stanley Capital Services LLC | | | 443,286 USD | | | | (51,766 | ) |
California Water Service Group | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 208,020 USD | | | | (841 | ) |
Calithera Biosciences, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 468,173 USD | | | | 43,786 | |
Callon Petroleum Co. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 449,169 USD | | | | (70,673 | ) |
Camden Property Trust | | | 03/03/20 | | | | T | | | | 1.28 | % | | Morgan Stanley Capital Services LLC | | | 704,924 USD | | | | (34,345 | ) |
Camden Property Trust | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 3,788 USD | | | | — | |
Camping World Holdings, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 685,521 USD | | | | 69,804 | |
Carbonite, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 549,662 USD | | | | 28,930 | |
Cardtronics PLC | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 420,015 USD | | | | 68,967 | |
Carmax, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 555,148 USD | | | | (577 | ) |
Carnival Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 121,837 USD | | | | 2,612 | |
Carrizo Oil & Gas, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 1,410,058 USD | | | | (51,142 | ) |
Carter's, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 207,961 USD | | | | 7,568 | |
Caterpillar, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 141,275 USD | | | | 232 | |
Cathay General Bancorp | | | 03/03/20 | | | | T | | | | 1.28 | % | | Morgan Stanley Capital Services LLC | | | 8,696,573 USD | | | | 285,181 | |
Cavco Industries Inc | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 287,147 USD | | | | 2,197 | |
CBL & Associates Properties | | | 04/22/19 | | | | M | | | | 0.30 | % | | Morgan Stanley Capital Services LLC | | | 444,808 USD | | | | 9,397 | |
CBRE Group, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 24,731 USD | | | | (12 | ) |
CBS Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 861,759 USD | | | | (5,909 | ) |
Celanese Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 226,970 USD | | | | 2,299 | |
Celgene Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 246,754 USD | | | | 1,516 | |
See Notes to Consolidated Financial Statements.
186
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | | | | | | | | | | | | | |
Reference
Instrument | | Termination
Date | | | Payment
Frequency | | | Financing
Rate | | | Counterparty | | Notional
Amount | | | Unrealized
Appreciation
(Depreciation) | |
Celldex Therapeutics, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 42,704 USD | | | $ | 2,744 | |
Centennial Resource Development, Inc. | | | 04/22/19 | | | | M | | | | 1.25 | % | | Morgan Stanley Capital Services LLC | | | 731,303 USD | | | | (12,019 | ) |
Centerpoint Energy, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 544,188 USD | | | | (9,703 | ) |
Central Garden & Pet Co. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 170,070 USD | | | | (6,445 | ) |
Century Aluminum Company | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 572,848 USD | | | | 70,231 | |
Century Communities, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 310,258 USD | | | | 2,881 | |
CenturyLink, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 208,969 USD | | | | 6,650 | |
Cerus Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 323,098 USD | | | | (14,798 | ) |
Chart Industries, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 172,649 USD | | | | 1,640 | |
Charter Communications, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 771,776 USD | | | | 56,281 | |
Chefs' Warehouse, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 163,216 USD | | | | 31 | |
Chegg, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 663,418 USD | | | | 32,957 | |
Chemocentryx, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 152,322 USD | | | | 2,749 | |
Chemours Co. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 765,150 USD | | | | 8,391 | |
Chesapeake Energy Corp. | | | 04/22/19 | | | | M | | | | 1.55 | % | | Morgan Stanley Capital Services LLC | | | 93,221 USD | | | | — | |
Children's Place, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 90,955 USD | | | | (4,396 | ) |
Chipotle Mexican Grill, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 1,002,226 USD | | | | (12,662 | ) |
Choice Properties REIT | | | 08/07/18 | | | | M | | | | 1.30 | % | | Deutsche Bank AG | | | 73,652 CAD | | | | 1,152 | |
Church & Dwight Co, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 316,398 USD | | | | (4,194 | ) |
Churchill Downs, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 198,640 USD | | | | 11,454 | |
Cigna Corp. | | | 08/06/18 | | | | M | | | | 1.47 | % | | Deutsche Bank AG | | | 4,756,980 USD | | | | 21,512 | |
Cimarex Energy Co. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 509,966 USD | | | | (5,219 | ) |
Cimpress NV | | | 04/22/19 | | | | M | | | | 0.55 | % | | Morgan Stanley Capital Services LLC | | | 197,408 USD | | | | 8,829 | |
Cincinnati Bell, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 392,253 USD | | | | 19,909 | |
Cintas Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 357,201 USD | | | | 5,124 | |
Circor International, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 283,008 USD | | | | 8,619 | |
Citizens Financial Group | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 59,307 USD | | | | 703 | |
See Notes to Consolidated Financial Statements.
187
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | | | | | | | | | | | | | |
Reference
Instrument | | Termination
Date | | | Payment
Frequency | | | Financing
Rate | | | Counterparty | | Notional
Amount | | | Unrealized
Appreciation
(Depreciation) | |
Citrix Systems, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 32,103 USD | | | $ | (98 | ) |
Clean Harbors, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 28,289 USD | | | | 662 | |
Cleveland Cliffs, Inc. | | | 04/22/19 | | | | M | | | | 1.00 | % | | Morgan Stanley Capital Services LLC | | | 802,419 USD | | | | 35,320 | |
Clipper Realty, Inc. | | | 04/22/19 | | | | M | | | | 0.05 | % | | Morgan Stanley Capital Services LLC | | | 57,733 USD | | | | 2,068 | |
Clorox Company | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 333,544 USD | | | | (2,559 | ) |
Cloudera, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 336,444 USD | | | | (29,876 | ) |
Clovis Oncology, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 1,192,717 USD | | | | 119,927 | |
CME Group, Inc. | | | 08/06/18 | | | | M | | | | 0.00 | % | | Deutsche Bank AG | | | 380,206 USD | | | | (8,616 | ) |
CMS Energy Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 709,632 USD | | | | (25,651 | ) |
CNP Assurances | | | 04/19/18 | | | | M | | | | 0.40 | % | | Credit Suisse Securities (Europe) Limited | | | 549,805 EUR | | | | 7,183 | |
Coca-Cola Bottling Co. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 183,270 USD | | | | 6,973 | |
Coeur Mining, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 476,261 USD | | | | 15,549 | |
Cognex Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 28,685 USD | | | | 1,703 | |
Coherent, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 818,782 USD | | | | 101,977 | |
Coherus Biosciences, Inc. | | | 04/22/19 | | | | M | | | | 0.90 | % | | Morgan Stanley Capital Services LLC | | | 742,178 USD | | | | 66,946 | |
Colgate Palmolive Co. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 27,557 USD | | | | 31 | |
Collegium Pharmaceutical, Inc. | | | 04/22/19 | | | | M | | | | 0.50 | % | | Morgan Stanley Capital Services LLC | | | 202,879 USD | | | | 8,086 | |
Colony NorthStar, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 117,198 USD | | | | 8,867 | |
Columbia Sportswear Co. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 1,466 USD | | | | 13 | |
Columbus McKinnon Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 213,919 USD | | | | 5,975 | |
Comcast Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 443,669 USD | | | | 24,301 | |
Commerce Bancshares, Inc. | | | 03/03/20 | | | | T | | | | 1.28 | % | | Morgan Stanley Capital Services LLC | | | 10,346,817 USD | | | | (317,762 | ) |
Commercial Vehicle Group, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 138,787 USD | | | | 9,827 | |
Commerzbank AG | | | 04/25/19 | | | | M | | | | 0.67 | % | | JPMorgan Chase Bank, N.A. | | | 415,512 EUR | | | | 58,259 | |
Commscope Holding Co, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 63,255 USD | | | | 781 | |
Compagnie Financiere Richemont SA | | | 04/19/18 | | | | M | | | | 1.34 | % | | Credit Suisse Securities (Europe) Limited | | | 1,233,077 CHF | | | | (14,602 | ) |
Conatus Pharmaceuticals, Inc. | | | 04/22/19 | | | | M | | | | 1.70 | % | | Morgan Stanley Capital Services LLC | | | 37,116 USD | | | | 2,312 | |
Concert Pharmaceuticals, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 59,676 USD | | | | (1,169 | ) |
Concho Resources, Inc. | | | 08/06/18 | | | | M | | | | 0.00 | % | | Deutsche Bank AG | | | 5,839,682 USD | | | | (158,936 | ) |
See Notes to Consolidated Financial Statements.
188
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | | | | | | | | | | | | | |
Reference
Instrument | | Termination
Date | | | Payment
Frequency | | | Financing
Rate | | | Counterparty | | Notional
Amount | | | Unrealized
Appreciation
(Depreciation) | |
Concho Resources, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 476,105 USD | | | $ | (2,545 | ) |
Conn's, Inc. | | | 04/22/19 | | | | M | | | | 0.15 | % | | Morgan Stanley Capital Services LLC | | | 190,435 USD | | | | (10,505 | ) |
ConocoPhillips | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 88,965 USD | | | | 208 | |
Consolidated Communications | | | 04/22/19 | | | | M | | | | 1.10 | % | | Morgan Stanley Capital Services LLC | | | 243,008 USD | | | | 18,141 | |
Consolidated Edison, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 59,536 USD | | | | (867 | ) |
Constellation Brands, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 142,981 USD | | | | (5,851 | ) |
Continental Building Product | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 51,661 USD | | | | (2,070 | ) |
Continental Resources, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 726,708 USD | | | | (88,393 | ) |
Cooper Standard Holding | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 14,990 USD | | | | 7 | |
Copart, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 227,054 USD | | | | (2,844 | ) |
Corcept Therapeutics, Inc. | | | 04/22/19 | | | | M | | | | 1.10 | % | | Morgan Stanley Capital Services LLC | | | 427,403 USD | | | | 33,376 | |
Core Mark Holding Co., Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 285,298 USD | | | | 13,914 | |
Corecivic, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 239,237 USD | | | | 20,301 | |
Cornerstone Ondemand, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 335,262 USD | | | | 36,814 | |
Corporate Office Properties | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 44,254 USD | | | | 317 | |
Corvus Pharmaceuticals, Inc. | | | 04/22/19 | | | | M | | | | 0.75 | % | | Morgan Stanley Capital Services LLC | | | 29,382 USD | | | | (3,144 | ) |
CoStar Group, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 67,072 USD | | | | (24 | ) |
Costco Wholesale Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 446,080 USD | | | | (8,601 | ) |
Coty, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 494,482 USD | | | | 7,190 | |
Coupa Software, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 84,702 USD | | | | 1,993 | |
Cousins Properties, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 32,592 USD | | | | (227 | ) |
Cowen, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 193,600 USD | | | | 7,744 | |
Craft Brew Alliance, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 57,551 USD | | | | 913 | |
Crawford & Co. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 36,137 USD | | | | (88 | ) |
Credit Suisse Group AG REG | | | 10/16/18 | | | | M | | | | 1.11 | % | | JPMorgan Chase Bank, N.A. | | | 2,706,938 CHF | | | | 208,345 | |
Crown Castle International Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 6,948 USD | | | | 43 | |
CSL, Ltd. | | | 03/06/19 | | | | M | | | | 1.01 | % | | Morgan Stanley Capital Services LLC | | | 10,557,285 AUD | | | | 198,203 | |
CSX Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 479,357 USD | | | | 8,385 | |
CVR Energy, Inc. | | | 04/22/19 | | | | M | | | | 0.25 | % | | Morgan Stanley Capital Services LLC | | | 69,778 USD | | | | 635 | |
CVS Health Corp. | | | 08/06/18 | | | | M | | | | 1.48 | % | | Deutsche Bank AG | | | 3,490,997 USD | | | | 417,512 | |
See Notes to Consolidated Financial Statements.
189
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | | | | | | | | | | | | | |
Reference
Instrument | | Termination
Date | | | Payment
Frequency | | | Financing
Rate | | | Counterparty | | Notional
Amount | | | Unrealized
Appreciation
(Depreciation) | |
Cyberoptics Corp. | | | 04/22/19 | | | | M | | | | 0.50 | % | | Morgan Stanley Capital Services LLC | | | 230,328 USD | | | $ | 8,027 | |
Cytokinetics, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 709,309 USD | | | | 95,610 | |
Cytomx Therapeutics, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 390,847 USD | | | | 64,497 | |
Daimler AG | | | 04/19/18 | | | | M | | | | 0.90 | % | | Credit Suisse Securities (Europe) Limited | | | 1,147,785 EUR | | | | (20,893 | ) |
Darden Restaurants, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 260,919 USD | | | | 23,327 | |
DDR Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 295,508 USD | | | | (18,369 | ) |
Deckers Outdoor Corp. | | | 01/10/20 | | | | T | | | | 1.38 | % | | Goldman Sachs International | | | 13,224,013 USD | | | | (1,530,464 | ) |
Deckers Outdoor Corp. | | | 03/23/20 | | | | T | | | | 1.49 | % | | Barclays Bank plc | | | 18,059,318 USD | | | | 653,818 | |
Deckers Outdoor Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 142,109 USD | | | | 1,573 | |
Deere & Co. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 312,915 USD | | | | 3,052 | |
Dell Technologies, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 429,002 USD | | | | 23,711 | |
Delphi Technologies PLC | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 208,827 USD | | | | (118 | ) |
Denbury Resources, Inc. | | | 04/22/19 | | | | M | | | | 0.90 | % | | Morgan Stanley Capital Services LLC | | | 593,495 USD | | | | (82,214 | ) |
Dentsply Sirona, Inc. | | | 03/23/20 | | | | T | | | | 1.38 | % | | Goldman Sachs International | | | 15,682,189 USD | | | | 1,217,611 | |
Depomed, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 262,337 USD | | | | 16,069 | |
Dermira, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 959,497 USD | | | | 132,476 | |
Deutsche Telekom AG | | | 04/19/18 | | | | M | | | | 0.40 | % | | Credit Suisse Securities (Europe) Limited | | | 2,500,167 EUR | | | | (30,930 | ) |
Deutsche Telekom AG | | | 04/25/19 | | | | M | | | | 0.67 | % | | JPMorgan Chase Bank, N.A. | | | 1,995,000 EUR | | | | 9,228 | |
Devon Energy Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 507,011 USD | | | | (1,279 | ) |
Dexcom, Inc. | | | 04/22/19 | | | | M | | | | 1.10 | % | | Morgan Stanley Capital Services LLC | | | 476,402 USD | | | | (64,966 | ) |
Diamondback Energy, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 839,787 USD | | | | (10,681 | ) |
Dick's Sporting Goods, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 337,376 USD | | | | (2,784 | ) |
Diebold Nixdorf, Inc. | | | 04/22/19 | | | | M | | | | 0.50 | % | | Morgan Stanley Capital Services LLC | | | 98,472 USD | | | | 10,815 | |
Digital Realty Trust, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 15,604 USD | | | | 7 | |
Discover Financial Services | | | 03/03/20 | | | | T | | | | 1.28 | % | | Morgan Stanley Capital Services LLC | | | 10,533,091 USD | | | | 952,158 | |
Discover Financial Services | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 5,712 USD | | | | (42 | ) |
Dish Network Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 787,933 USD | | | | 43,053 | |
Distribuidora Internacional | | | 04/20/18 | | | | M | | | | 0.96 | % | | Credit Suisse Securities (Europe) Limited | | | 1,126,628 EUR | | | | 84,233 | |
DNB ASA | | | 04/19/18 | | | | M | | | | 0.46 | % | | Credit Suisse Securities (Europe) Limited | | �� | 3,340,562 NOK | | | | 10,651 | |
Dollar General Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 235,083 USD | | | | (2,160 | ) |
See Notes to Consolidated Financial Statements.
190
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | | | | | | | | | | | | | |
Reference
Instrument | | Termination
Date | | | Payment
Frequency | | | Financing
Rate | | | Counterparty | | Notional
Amount | | | Unrealized
Appreciation
(Depreciation) | |
Dollar Tree, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 541,961 USD | | | $ | (5,232 | ) |
Dominion Energy, Inc. | | | 08/06/18 | | | | M | | | | 1.48 | % | | Deutsche Bank AG | | | 6,392,098 USD | | | | 541,602 | |
Dominion Energy, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 318,229 USD | | | | 11,558 | |
Dorman Products, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 222,369 USD | | | | 5,664 | |
DowDuPont, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 200,421 USD | | | | 1,773 | |
DTE Energy Company | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 120,583 USD | | | | (417 | ) |
DXC Technology Co. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 173,090 USD | | | | 6,512 | |
DXP Enterprises, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 363,547 USD | | | | (73,900 | ) |
Dycom Industries, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 497,041 USD | | | | 17,334 | |
Dynavax Technologies Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 594,383 USD | | | | (120,852 | ) |
E-Trade Financial Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 28,545 USD | | | | (490 | ) |
E. W. Scripps Co. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 134,218 USD | | | | 10,996 | |
Eagle Bancorp, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 54,712 USD | | | | 907 | |
Eagle Materials, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 413,705 USD | | | | (16,425 | ) |
Eagle Pharmaceuticals, Inc. | | | 04/22/19 | | | | M | | | | 0.90 | % | | Morgan Stanley Capital Services LLC | | | 88,921 USD | | | | (73 | ) |
Earthstone Energy, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 184,453 USD | | | | (17,167 | ) |
Eastman Chemical Co. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 32,591 USD | | | | (245 | ) |
Ebay, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 356,733 USD | | | | 17,872 | |
Ebix, Inc. | | | 04/22/19 | | | | M | | | | 0.95 | % | | Morgan Stanley Capital Services LLC | | | 41,359 USD | | | | 2,545 | |
Echo Global Logistics, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 190,265 USD | | | | (37 | ) |
Ecolab, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 90,407 USD | | | | (1,978 | ) |
Edgewell Personal Care Co. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 310,078 USD | | | | 950 | |
Edison International | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 425,100 USD | | | | 1,443 | |
Editas Medicine, Inc. | | | 04/22/19 | | | | M | | | | 0.95 | % | | Morgan Stanley Capital Services LLC | | | 584,138 USD | | | | 85,960 | |
EDP Energias De Portugal SA | | | 04/19/18 | | | | M | | | | 0.41 | % | | Credit Suisse Securities (Europe) Limited | | | 433,563 EUR | | | | (5,914 | ) |
Ehealth, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 154,230 USD | | | | 6,465 | |
Eldorado Resorts, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 559,351 USD | | | | 63,229 | |
Electro Scientific Industries, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 79,174 USD | | | | 1,738 | |
Electronic Arts, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 561,211 USD | | | | 29,573 | |
See Notes to Consolidated Financial Statements.
191
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | | | | | | | | | | | | | |
Reference
Instrument | | Termination
Date | | | Payment
Frequency | | | Financing
Rate | | | Counterparty | | Notional
Amount | | | Unrealized
Appreciation
(Depreciation) | |
Electronics for Imaging | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 144,504 USD | | | $ | 4,656 | |
Elisa Oyj | | | 04/19/18 | | | | M | | | | 0.90 | % | | Credit Suisse Securities (Europe) Limited | | | 787,556 EUR | | | | (18,259 | ) |
Ellie Mae, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 183,526 USD | | | | 6,542 | |
Emerald Expositions Events, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 191,881 USD | | | | (4,848 | ) |
Emerson Electric Co. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 89,972 USD | | | | 21 | |
Enagas SA | | | 04/20/18 | | | | M | | | | 0.41 | % | | Credit Suisse Securities (Europe) Limited | | | 254,762 EUR | | | | (11,399 | ) |
Encore Capital Group, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 13,563 USD | | | | (133 | ) |
Endo International PLC | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 208,039 USD | | | | 27,373 | |
Endologix, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 390,694 USD | | | | (16,359 | ) |
Endurance International Group Holdings, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 136,993 USD | | | | 12,607 | |
Energen Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 290,817 USD | | | | (30,209 | ) |
Energizer Holdings, Inc. | | | 01/21/20 | | | | T | | | | 1.38 | % | | Goldman Sachs International | | | 20,092,127 USD | | | | (2,901,999 | ) |
Energizer Holdings, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 366,368 USD | | | | (53,552 | ) |
Energy Recovery, Inc. | | | 04/22/19 | | | | M | | | | 0.75 | % | | Morgan Stanley Capital Services LLC | | | 598,620 USD | | | | 36,405 | |
Enersys | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 50,323 USD | | | | (663 | ) |
Enova International, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 67,112 USD | | | | 1,778 | |
Entercom Communications | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 346,598 USD | | | | 10,450 | |
Entergy Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 39,042 USD | | | | (585 | ) |
EOG Resources, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 424,412 USD | | | | (5,090 | ) |
Epizyme, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 462,651 USD | | | | 46,538 | |
EPR Properties | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 151,327 USD | | | | 528 | |
EQT Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 627,338 USD | | | | 27,239 | |
Equifax, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 529,395 USD | | | | 17,275 | |
Equity Residential | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 21,591 USD | | | | 24 | |
Ericsson LM | | | 04/11/19 | | | | M | | | | 0.94 | % | | JPMorgan Chase Bank, N.A. | | | 5,626,000 SEK | | | | 40,001 | |
Ericsson LM | | | 04/19/18 | | | | M | | | | 1.09 | % | | Credit Suisse Securities (Europe) Limited | | | 4,701,704 SEK | | | | 33,429 | |
Erste Group Bank AG | | | 04/19/18 | | | | M | | | | 0.40 | % | | Credit Suisse Securities (Europe) Limited | | | 4,006,003 EUR | | | | 95,603 | |
Esperion Therapeutics, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 199,879 USD | | | | 7,987 | |
Essex Property Trust, Inc. | | | 03/03/20 | | | | T | | | | 1.28 | % | | Morgan Stanley Capital Services LLC | | | 704,917 USD | | | | (47,689 | ) |
Essex Property Trust, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 44,286 USD | | | | (240 | ) |
See Notes to Consolidated Financial Statements.
192
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | | | | | | | | | | | | | |
Reference
Instrument | | Termination
Date | | | Payment
Frequency | | | Financing
Rate | | | Counterparty | | Notional
Amount | | | Unrealized
Appreciation
(Depreciation) | |
Essilor International S.A. | | | 04/11/19 | | | | M | | | | 0.67 | % | | JPMorgan Chase Bank, N.A. | | | 2,237,000 EUR | | | $ | 55,370 | |
Essilor International S.A. | | | 04/19/18 | | | | M | | | | 0.90 | % | | Credit Suisse Securities (Europe) Limited | | | 328,951 EUR | | | | 8,142 | |
Essilor International S.A. | | | 07/06/18 | | | | M | | | | 0.35 | % | | Morgan Stanley Capital Services LLC | | | 9,082,335 EUR | | | | (81,182 | ) |
Estee Lauder Companies | | | 06/05/18 | | | | T | | | | 1.45 | % | | Skandinaviska Enskilda Banken AB (publ) | | | 13,745,876 USD | | | | (1,184,801 | ) |
Estee Lauder Companies | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 513,498 USD | | | | (16,062 | ) |
Etsy, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 137,725 USD | | | | 876 | |
Evercore Partners, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 88,431 USD | | | | (513 | ) |
Everi Holdings, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 52,285 USD | | | | 3,779 | |
Eversource Energy | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 137,505 USD | | | | (2,548 | ) |
Evonik Industries AG | | | 04/19/18 | | | | M | | | | 0.90 | % | | Credit Suisse Securities (Europe) Limited | | | 259,232 EUR | | | | (3,263 | ) |
Evoqua Water Technologies LLC | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 290,482 USD | | | | 6,665 | |
Exact Sciences Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 377,887 USD | | | | 67,507 | |
Exelixis, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 154,316 USD | | | | 16,211 | |
Expedia, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 448,921 USD | | | | 1,650 | |
Express, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 26,028 USD | | | | 109 | |
Exterran Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 55,929 USD | | | | 2,983 | |
Extraction Oil & Gas, Inc. | | | 04/22/19 | | | | M | | | | 0.85 | % | | Morgan Stanley Capital Services LLC | | | 543,458 USD | | | | 53,062 | |
Extreme Networks, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 83,498 USD | | | | 10,945 | |
EZCorp, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 98,486 USD | | | | (752 | ) |
Fabrinet | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 166,172 USD | | | | 8,551 | |
Facebook, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 464,618 USD | | | | 49,004 | |
Fairmount Santrol Holdings | | | 04/22/19 | | | | M | | | | 0.05 | % | | Morgan Stanley Capital Services LLC | | | 1,098,506 USD | | | | (31,918 | ) |
Fastenal Co. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 26,443 USD | | | | 1,386 | |
Fate Therapeutics, Inc. | | | 04/22/19 | | | | M | | | | 0.25 | % | | Morgan Stanley Capital Services LLC | | | 410,453 USD | | | | 72,962 | |
FCB Financial Holdings | | | 03/03/20 | | | | T | | | | 1.28 | % | | Morgan Stanley Capital Services LLC | | | 9,862,317 USD | | | | 627,474 | |
Federal Realty Investment Trust | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 89,380 USD | | | | 91 | |
Federated National Holding Co. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 144,919 USD | | | | 10,763 | |
Ferro Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 323,729 USD | | | | 3,827 | |
Fiat Chrysler Automoblies NV | | | 10/04/19 | | | | M | | | | 0.90 | % | | Credit Suisse Securities (Europe) Limited | | | 234,069 EUR | | | | 11,742 | |
Fibrogen, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 650,885 USD | | | | 56,522 | |
See Notes to Consolidated Financial Statements.
193
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | | | | | | | | | | | | | |
Reference
Instrument | | Termination
Date | | | Payment
Frequency | | | Financing
Rate | | | Counterparty | | Notional
Amount | | | Unrealized
Appreciation
(Depreciation) | |
Fifth Third Bancorp | | | 03/03/20 | | | | T | | | | 1.28 | % | | Morgan Stanley Capital Services LLC | | | 10,397,473 USD | | | $ | 486,329 | |
Financial Engines, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 394,525 USD | | | | (3,985 | ) |
Financial Select Sector SPDR Fund | | | 03/31/20 | | | | T | | | | 1.43 | % | | Goldman Sachs International | | | 2,082,463 USD | | | | (34,554 | ) |
Finisar Corporation | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 368,346 USD | | | | 58,091 | |
FireEye, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 163,152 USD | | | | 10,715 | |
First Bancorp Puerto Rico | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 61,140 USD | | | | 3,540 | |
First Commonwealth Financial Corp. | | | 03/16/20 | | | | T | | | | 1.43 | % | | Goldman Sachs International | | | 183,336 USD | | | | 10,823 | |
First Data Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 316,341 USD | | | | 9,957 | |
First Financial Bancorp | | | 04/01/20 | | | | T | | | | 0.25 | % | | Goldman Sachs International | | | 8,538,689 USD | | | | (224,281 | ) |
First Financial BanCorp | | | 08/06/18 | | | | M | | | | 1.48 | % | | Deutsche Bank AG | | | 1,117,604 USD | | | | (159,121 | ) |
First Foundation, Inc. | | | 03/03/20 | | | | T | | | | 1.28 | % | | Morgan Stanley Capital Services LLC | | | 898,375 USD | | | | 25,252 | |
First Foundation, Inc. | | | 03/09/20 | | | | T | | | | 1.43 | % | | Goldman Sachs International | | | 2,608,338 USD | | | | 81,726 | |
Five Below | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 615,704 USD | | | | (38,269 | ) |
Five Prime Therapeutics, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 273,289 USD | | | | (11,315 | ) |
Fleetcor Technologies, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 131,862 USD | | | | 2,465 | |
Flexion Therapeutics, Inc. | | | 04/22/19 | | | | M | | | | 1.15 | % | | Morgan Stanley Capital Services LLC | | | 724,683 USD | | | | 51,554 | |
Floor & DeCor Holdings Inc. A | | | 04/22/19 | | | | M | | | | 1.38 | % | | Morgan Stanley Capital Services LLC | | | 419,533 USD | | | | (49,495 | ) |
Flotek Industries, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 177,865 USD | | | | 3,356 | |
Flowserve Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 131,857 USD | | | | 1,564 | |
Fluor Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 50,546 USD | | | | (94 | ) |
FMC Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 442,085 USD | | | | 21,945 | |
FNF Group | | | 08/06/18 | | | | M | | | | 1.48 | % | | Deutsche Bank AG | | | 712,769 USD | | | | 18,262 | |
Foot Locker, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 305,808 USD | | | | (14,565 | ) |
Ford Motor Co. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 71,302 USD | | | | (64 | ) |
FormFactor, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 51,862 USD | | | | 4,510 | |
Fortum Oyj | | | 04/19/18 | | | | M | | | | 0.40 | % | | Credit Suisse Securities (Europe) Limited | | | 1,802,180 EUR | | | | 61,168 | |
Fortune Brands Home & Security, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 38,203 USD | | | | (134 | ) |
Forum Energy Technologies, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 167,515 USD | | | | 13,317 | |
See Notes to Consolidated Financial Statements.
194
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | | | | | | | | | | | | | |
Reference
Instrument | | Termination
Date | | | Payment
Frequency | | | Financing
Rate | | | Counterparty | | Notional
Amount | | | Unrealized
Appreciation
(Depreciation) | |
Fox Factory Holding Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 298,376 USD | | | $ | 21,794 | |
Francesca's Holdings Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 184,518 USD | | | | 8,661 | |
Franklin Financial Network | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 5,190 USD | | | | 40 | |
Freeport-McMoRan, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 596,392 USD | | | | 27,212 | |
Fresenius SE & Co. KGaA | | | 07/06/18 | | | | M | | | | 0.35 | % | | Morgan Stanley Capital Services LLC | | | 3,853,982 EUR | | | | 199,679 | |
Freshpet, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 2,256 USD | | | | 200 | |
Fulton Financial Corp. | | | 03/03/20 | | | | T | | | | 1.28 | % | | Morgan Stanley Capital Services LLC | | | 10,110,122 USD | | | | 308,963 | |
G-III Apparel Group Ltd. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 291,567 USD | | | | (13,378 | ) |
G1 Therapeutics, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 325,305 USD | | | | (3,550 | ) |
Gain Capital Holdings, Inc. | | | 04/22/19 | | | | M | | | | 0.25 | % | | Morgan Stanley Capital Services LLC | | | 305,747 USD | | | | 15,072 | |
Gardner Denver Holdings, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 160,491 USD | | | | 9,730 | |
Gartner, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 213,362 USD | | | | 7,527 | |
GCI Liberty, Inc. | | | 04/22/19 | | | | M | | | | 1.28 | % | | Morgan Stanley Capital Services LLC | | | 50,069 USD | | | | (1,208 | ) |
GCP Applied Technologies | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 565,876 USD | | | | 22,728 | |
Generac Holdings, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 369,315 USD | | | | 2,953 | |
General Cable Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 209,766 USD | | | | 1,293 | |
General Dynamics Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 548,038 USD | | | | 4,182 | |
General Electric Co. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 221,718 USD | | | | 13,587 | |
Genmark Diagnostics, Inc. | | | 04/22/19 | | | | M | | | | 0.90 | % | | Morgan Stanley Capital Services LLC | | | 387,311 USD | | | | (8,112 | ) |
Genworth Financial, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 107,044 USD | | | | 3,299 | |
GEO Group, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 187,152 USD | | | | 10,414 | |
GGP, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 91,408 USD | | | | 4,944 | |
Gibraltar Industries, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 287,692 USD | | | | 7,854 | |
Givaudan REG | | | 04/19/18 | | | | M | | | | 1.34 | % | | Credit Suisse Securities (Europe) Limited | | | 557,022 CHF | | | | (4,588 | ) |
Global Blood Therapeutics, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 549,208 USD | | | | 51,573 | |
Global Net Lease, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 159,189 USD | | | | (1,846 | ) |
GMS, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 31,706 USD | | | | 2,583 | |
GoDaddy, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 452,720 USD | | | | 11,233 | |
Golden Entertainment, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 19,144 USD | | | | 653 | |
See Notes to Consolidated Financial Statements.
195
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | | | | | | | | | | | | | |
Reference
Instrument | | Termination
Date | | | Payment
Frequency | | | Financing
Rate | | | Counterparty | | Notional
Amount | | | Unrealized
Appreciation
(Depreciation) | |
Government Properties Income | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 57,980 USD | | | $ | 799 | |
Grand Canyon Education, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 197,398 USD | | | | 1,512 | |
Gray Television, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 474,225 USD | | | | 21,394 | |
Green Bancorp, Inc. | | | 03/03/20 | | | | T | | | | 1.28 | % | | Morgan Stanley Capital Services LLC | | | 602,416 USD | | | | 25,229 | |
Greenhill & Co., Inc. | | | 04/22/19 | | | | M | | | | 0.15 | % | | Morgan Stanley Capital Services LLC | | | 281,533 USD | | | | 19,147 | |
Greenlight Capital Re, Ltd. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 23,553 USD | | | | (297 | ) |
Griffon Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 42,072 USD | | | | 2,798 | |
Groupon, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 431,208 USD | | | | 19,902 | |
Grubhub, Inc. | | | 04/22/19 | | | | M | | | | 0.95 | % | | Morgan Stanley Capital Services LLC | | | 424,196 USD | | | | 26,535 | |
GTT Communications, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 384,259 USD | | | | 18,260 | |
Guidewire Software, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 126,844 USD | | | | 2,851 | |
H&R Block, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 6,464 USD | | | | 315 | |
Hain Celestial Group, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 412,523 USD | | | | 26,817 | |
HalCon Resources Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 138,321 USD | | | | 9,252 | |
Halliburton Co. | | | 05/08/19 | | | | M | | | | 1.58 | % | | Credit Suisse Securities (Europe) Limited | | | 264,815 USD | | | | (13,445 | ) |
Halozyme Therapeutics, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 28,500 USD | | | | 1,799 | |
Hamilton Beach Brand | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 220,875 USD | | | | 18,860 | |
Hammerson PLC | | | 02/14/19 | | | | M | | | | 0.16 | % | | Credit Suisse Securities (Europe) Limited | | | 800,866 GBP | | | | (70,330 | ) |
Hammerson PLC | | | 07/30/18 | | | | M | | | | 0.20 | % | | Deutsche Bank AG | | | 1,584,289 GBP | | | | (26,118 | ) |
Hanesbrands, Inc. | | | 04/22/19 | | | | M | | | | 0.65 | % | | Morgan Stanley Capital Services LLC | | | 507,866 USD | | | | 25,410 | |
Harley Davidson, Inc. | | | 04/22/19 | | | | M | | | | 0.30 | % | | Morgan Stanley Capital Services LLC | | | 220,678 USD | | | | 2,805 | |
Harris Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 73,701 USD | | | | 318 | |
Harsco Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 538,457 USD | | | | (9,284 | ) |
Hartford Financial Svervices Group | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 134,112 USD | | | | 5,209 | |
Hasbro, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 201,522 USD | | | | 7,379 | |
Hawaiian Holdings, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 305,344 USD | | | | (16,640 | ) |
HC2 Holdings, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 104,019 USD | | | | 197 | |
HCI Group, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 357,099 USD | | | | 10,110 | |
HCP, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 207,032 USD | | | | (2,526 | ) |
HD Supply Holdings, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 301,941 USD | | | | 2,290 | |
Healthcare Services Group | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 370,375 USD | | | | 10,622 | |
HealthEquity, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 28,549 USD | | | | (631 | ) |
Heico Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 246,312 USD | | | | 6,196 | |
See Notes to Consolidated Financial Statements.
196
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | | | | | | | | | | | | | |
Reference
Instrument | | Termination
Date | | | Payment
Frequency | | | Financing
Rate | | | Counterparty | | Notional
Amount | | | Unrealized
Appreciation
(Depreciation) | |
Hennes & Mauritz AB | | | 04/19/18 | | | | M | | | | 1.09 | % | | Credit Suisse Securities (Europe) Limited | | | 4,571,649 SEK | | | $ | 27,579 | |
Hennes & Mauritz AB | | | 10/10/18 | | | | M | | | | 0.94 | % | | JPMorgan Chase Bank, N.A. | | | 13,182,000 SEK | | | | 79,523 | |
Herbalife Ltd. | | | 04/22/19 | | | | M | | | | 0.25 | % | | Morgan Stanley Capital Services LLC | | | 582,814 USD | | | | 1,113 | |
Herc Holdings, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 518,164 USD | | | | 30,325 | |
Heron Therapeutics, Inc. | | | 04/22/19 | | | | M | | | | 1.10 | % | | Morgan Stanley Capital Services LLC | | | 187,902 USD | | | | (48,906 | ) |
Hertz Global Holdings, Inc. | | | 04/22/19 | | | | M | | | | 0.90 | % | | Morgan Stanley Capital Services LLC | | | 750,578 USD | | | | 14,421 | |
Hess Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 3,743 USD | | | | (3 | ) |
Hexcel Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 45,097 USD | | | | 1,887 | |
Hibbett Sports, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 188,615 USD | | | | (12,014 | ) |
Highwoods Properties, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 56,943 USD | | | | (286 | ) |
Home Depot, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 247,696 USD | | | | (770 | ) |
Honeywell International, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 322,762 USD | | | | (74 | ) |
Horizon Global Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 630,420 USD | | | | 72,424 | |
Horizon Pharma PLC | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 316,545 USD | | | | 18,274 | |
Hospitality Properties Trust | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 11,805 USD | | | | (80 | ) |
Hostess Brands, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 489,969 USD | | | | (12,921 | ) |
Houghton Mifflin Harcourt Co. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 22,484 USD | | | | 1,787 | |
Howard Hughes Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 26,884 USD | | | | (246 | ) |
HSBC Holdings PLC | | | 04/11/19 | | | | M | | | | 0.21 | % | | JPMorgan Chase Bank, N.A. | | | 9,330,363 GBP | | | | 632,808 | |
HSBC Holdings PLC | | | 04/19/18 | | | | M | | | | 0.52 | % | | Credit Suisse Securities (Europe) Limited | | | 49,749 GBP | | | | 4,263 | |
Hub Group, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 110,133 USD | | | | 6,848 | |
HubSpot, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 427,917 USD | | | | 29,590 | |
Hudson Technologies, Inc. | | | 04/22/19 | | | | M | | | | 0.95 | % | | Morgan Stanley Capital Services LLC | | | 341,338 USD | | | | 33,636 | |
Huntington Ingalls Industries | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 554,970 USD | | | | (7,978 | ) |
Huntsman Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 204,205 USD | | | | 8,991 | |
Hyatt Hotels Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 252,104 USD | | | | 11,122 | |
IAC/ InterActiveCorp | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 24,115 USD | | | | (280 | ) |
Iberdrola SA | | | 04/20/18 | | | | M | | | | 0.96 | % | | Credit Suisse Securities (Europe) Limited | | | 684,917 EUR | | | | 8,936 | |
Iberdrola SA | | | 04/10/19 | | | | M | | | | 0.67 | % | | JPMorgan Chase Bank, N.A. | | | 603,600 EUR | | | | 7,875 | |
IBEX 35 Index | | | 04/24/18 | | | | | | | | 0.00 | % | | Merrill Lynch International | | | 3,144,078 EUR | | | | (17,781 | ) |
Ichor Holdings, Ltd. | | | 04/22/19 | | | | M | | | | 0.75 | % | | Morgan Stanley Capital Services LLC | | | 601,174 USD | | | | 53,398 | |
See Notes to Consolidated Financial Statements.
197
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | | | | | | | | | | | | | |
Reference
Instrument | | Termination
Date | | | Payment
Frequency | | | Financing
Rate | | | Counterparty | | Notional
Amount | | | Unrealized
Appreciation
(Depreciation) | |
II VI, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 140,456 USD | | | $ | 13,379 | |
Illinois Tool Works | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 77,677 USD | | | | (26 | ) |
IMAX Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 624,496 USD | | | | 57,578 | |
ImmunoGen, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 178,800 USD | | | | 23,378 | |
Immunomedics, Inc. | | | 04/22/19 | | | | M | | | | 0.75 | % | | Morgan Stanley Capital Services LLC | | | 688,305 USD | | | | 56,510 | |
Impax Laboratories, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 9,176 USD | | | | (24 | ) |
Imperva, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 24,331 USD | | | | 1,771 | |
Incyte Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 392,368 USD | | | | 22,049 | |
Infineon Technologies AG | | | 04/19/18 | | | | M | | | | 0.40 | % | | Credit Suisse Securities (Europe) Limited | | | 633,050 EUR | | | | 44,783 | |
Infinera Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 415,403 USD | | | | 17,232 | |
Infinity Property & Casualty | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 73,458 USD | | | | (187 | ) |
Informa PLC | | | 07/30/18 | | | | M | | | | 0.20 | % | | Deutsche Bank AG | | | 857,633 GBP | | | | (78,380 | ) |
Ingevity Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 495,699 USD | | | | 16,935 | |
Inovio Pharmaceuticals, Inc. | | | 04/22/19 | | | | M | | | | 0.30 | % | | Morgan Stanley Capital Services LLC | | | 548,207 USD | | | | 14,725 | |
Inphi Corp. | | | 04/22/19 | | | | M | | | | 0.05 | % | | Morgan Stanley Capital Services LLC | | | 518,814 USD | | | | 40,796 | |
Insmed, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 1,021,305 USD | | | | 74,902 | |
Insperity, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 113,772 USD | | | | (82 | ) |
Inspired Entertainment, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 24,226 USD | | | | 218 | |
Installed Building Products | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 834,772 USD | | | | 13,408 | |
Insteel Industries, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 86,223 USD | | | | 3,554 | |
Intellia Therapeutics, Inc. | | | 04/22/19 | | | | M | | | | 0.30 | % | | Morgan Stanley Capital Services LLC | | | 67,743 USD | | | | 4,072 | |
Intelsat SA | | | 04/22/19 | | | | M | | | | 0.75 | % | | Morgan Stanley Capital Services LLC | | | 795,358 USD | | | | 166,735 | |
Interactive Brokers Group, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 24,784 USD | | | | 107 | |
Intercept Pharmaceuticals, Inc. | | | 04/22/19 | | | | M | | | | 1.25 | % | | Morgan Stanley Capital Services LLC | | | 442,350 USD | | | | 21,676 | |
Internap Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 747,987 USD | | | | 127,202 | |
International Business Machines Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 110,652 USD | | | | (1,477 | ) |
Interpublic Group of Cos., Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 81,447 USD | | | | 1,832 | |
Intesa San Paolo | | | 10/04/19 | | | | M | | | | 0.90 | % | | Credit Suisse Securities (Europe) Limited | | | 3,262,928 EUR | | | | 96,117 | |
Intra-Cellular Therapies, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 244,630 USD | | | | 22,784 | |
Intrexon Corp. | | | 04/22/19 | | | | M | | | | 1.70 | % | | Morgan Stanley Capital Services LLC | | | 111,616 USD | | | | 10,008 | |
See Notes to Consolidated Financial Statements.
198
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | | | | | | | | | | | | | |
Reference
Instrument | | Termination
Date | | | Payment
Frequency | | | Financing
Rate | | | Counterparty | | Notional
Amount | | | Unrealized
Appreciation
(Depreciation) | |
Investors Bancorp, Inc. | | | 03/03/20 | | | | T | | | | 1.28 | % | | Morgan Stanley Capital Services LLC | | | 217,254 USD | | | $ | (1,450 | ) |
Investors Bancorp, Inc. | | | 03/25/20 | | | | T | | | | 1.43 | % | | Goldman Sachs International | | | 5,716,329 USD | | | | (152,922 | ) |
Invitae Corp. | | | 04/22/19 | | | | M | | | | 0.15 | % | | Morgan Stanley Capital Services LLC | | | 129,898 USD | | | | 42,838 | |
Ionis Pharmaceuticals, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 471,679 USD | | | | 70,903 | |
Iovance Biotherapeutics, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 218,106 USD | | | | (2,642 | ) |
iRobot Corp. | | | 03/10/20 | | | | T | | | | 0.93 | % | | Goldman Sachs International | | | 4,207,416 USD | | | | 263,968 | |
iRobot Corp. | | | 04/22/19 | | | | M | | | | 0.50 | % | | Morgan Stanley Capital Services LLC | | | 438,434 USD | | | | 35,642 | |
Iron Mountain, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 46,050 USD | | | | 79 | |
iShares MSCI Brazil Small Cap Index ETF | | | 05/08/19 | | | | M | | | | 0.62 | % | | Credit Suisse Securities (Europe) Limited | | | 702,323 USD | | | | (3,460 | ) |
J.B. Hunt Transport Services, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 245,324 USD | | | | 4,698 | |
Jacobs Engineering Group, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 53,887 USD | | | | (235 | ) |
Jagged Peak Energy, Inc. | | | 04/22/19 | | | | M | | | | 0.75 | % | | Morgan Stanley Capital Services LLC | | | 960,218 USD | | | | (152,816 | ) |
James River Group Holdings Ltd. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 26,440 USD | | | | (21 | ) |
JCDecaux SA | | | 04/19/18 | | | | M | | | | 0.90 | % | | Credit Suisse Securities (Europe) Limited | | | 20,878 EUR | | | | 827 | |
JELD-WEN Holding, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 70,663 USD | | | | 4,891 | |
John Bean Technologies Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 484,486 USD | | | | 27,257 | |
Johnson & Johnson | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 89,492 USD | | | | 1,197 | |
Johnson Matthey PLC | | | 04/19/18 | | | | M | | | | 0.02 | % | | Credit Suisse Securities (Europe) Limited | | | 321,749 GBP | | | | 20,268 | |
Jones Lang Lasalle, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 31,201 USD | | | | (59 | ) |
Jounce Therapeutics, Inc. | | | 04/22/19 | | | | M | | | | 1.00 | % | | Morgan Stanley Capital Services LLC | | | 212,277 USD | | | | 36,606 | |
Julius Baer Group Ltd. | | | 04/19/18 | | | | M | | | | 0.79 | % | | Credit Suisse Securities (Europe) Limited | | | 1,927,728 CHF | | | | 84,545 | |
Kala Pharmaceuticals, Inc. | | | 04/22/19 | | | | M | | | | 0.90 | % | | Morgan Stanley Capital Services LLC | | | 245,616 USD | | | | 14,181 | |
Kansas City Southern | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 151,341 USD | | | | (3,547 | ) |
KapStone Paper and Packaging | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 14,591 USD | | | | 112 | |
KBC Groep NV | | | 04/19/18 | | | | M | | | | 0.40 | % | | Credit Suisse Securities (Europe) Limited | | | 2,725,321 EUR | | | | 105,359 | |
KBC Groep NV | | | 04/25/19 | | | | M | | | | 0.67 | % | | JPMorgan Chase Bank, N.A. | | | 2,184,000 EUR | | | | 76,780 | |
Keane Group, Inc. | | | 04/22/19 | | | | M | | | | 0.75 | % | | Morgan Stanley Capital Services LLC | | | 779,777 USD | | | | 38,563 | |
Kemet Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 522,376 USD | | | | 37,942 | |
See Notes to Consolidated Financial Statements.
199
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | | | | | | | | | | | | | |
Reference
Instrument | | Termination
Date | | | Payment
Frequency | | | Financing
Rate | | | Counterparty | | Notional
Amount | | | Unrealized
Appreciation
(Depreciation) | |
Kemper Corp. | | | 08/06/18 | | | | M | | | | 1.48 | % | | Deutsche Bank AG | | | 1,230,285 USD | | | $ | (23,031 | ) |
Kennedy Wilson Holdings Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 156,984 USD | | | | (4,645 | ) |
KEYW Holding Corp. | | | 04/22/19 | | | | M | | | | 1.00 | % | | Morgan Stanley Capital Services LLC | | | 481,184 USD | | | | (44,839 | ) |
Kilroy Realty Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 18,506 USD | | | | (14 | ) |
Kimberly Clark Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 264,207 USD | | | | (876 | ) |
Kimco Realty Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 205,395 USD | | | | 569 | |
Kite Realty Group Trust | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 117,474 USD | | | | (391 | ) |
KLA Tencor Corp. | | | 05/08/19 | | | | M | | | | 1.58 | % | | Credit Suisse Securities (Europe) Limited | | | 1,143,420 USD | | | | 89,730 | |
KLX, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 50,187 USD | | | | (905 | ) |
KMG Chemicals, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 404,038 USD | | | | 34,447 | |
Knight Swift Transportation | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 303,573 USD | | | | 20,612 | |
Kopin Corp. | | | 04/22/19 | | | | M | | | | 1.10 | % | | Morgan Stanley Capital Services LLC | | | 250,799 USD | | | | 43,790 | |
Koppers Holdings, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 410,811 USD | | | | 19,745 | |
Kraton Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 210,949 USD | | | | (1,933 | ) |
Kratos Defense & Security Solutions, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 390,681 USD | | | | 2,748 | |
Kroger Co. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 252,508 USD | | | | (2,884 | ) |
L Brands Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 39,043 USD | | | | 604 | |
L' Oreal | | | 04/19/18 | | | | M | | | | 0.90 | % | | Credit Suisse Securities (Europe) Limited | | | 542,845 EUR | | | | (13,377 | ) |
L'Oreal | | | 05/09/18 | | | | M | | | | 0.67 | % | | JPMorgan Chase Bank, N.A. | | | 1,797,500 EUR | | | | (44,296 | ) |
L3 Technologies, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 287,104 USD | | | | (3,888 | ) |
La Jolla Pharmaceutical Co | | | 04/22/19 | | | | M | | | | 1.00 | % | | Morgan Stanley Capital Services LLC | | | 477,305 USD | | | | 1,421 | |
Lam Research Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 99,542 USD | | | | 3,448 | |
Landstar System, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 132,148 USD | | | | 1,994 | |
Laredo Petroleum, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 861,004 USD | | | | (26,492 | ) |
Las Vegas Sands Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 233,786 USD | | | | 8,020 | |
Lasalle Hotel Properties | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 70,613 USD | | | | (346 | ) |
Laureate Education, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 403,054 USD | | | | (7,768 | ) |
Lazard Ltd. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 63,546 USD | | | | 526 | |
LCI Industries | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 132,671 USD | | | | 3,421 | |
LCNB Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 5,909 USD | | | | 152 | |
Legal & General Group PLC | | | 04/19/18 | | | | M | | | | 0.52 | % | | Credit Suisse Securities (Europe) Limited | | | 2,402,027 GBP | | | | 38,786 | |
LendingClub Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 418,102 USD | | | | 30,971 | |
See Notes to Consolidated Financial Statements.
200
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | | | | | | | | | | | | | |
Reference
Instrument | | Termination
Date | | | Payment
Frequency | | | Financing
Rate | | | Counterparty | | Notional
Amount | | | Unrealized
Appreciation
(Depreciation) | |
LendingTree, Inc. | | | 04/22/19 | | | | M | | | | 0.90 | % | | Morgan Stanley Capital Services LLC | | | 69,696 USD | | | $ | 6,691 | |
Lennox International, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 245,322 USD | | | | 486 | |
Leonardo SpA | | | 10/04/19 | | | | M | | | | 0.90 | % | | Credit Suisse Securities (Europe) Limited | | | 205,872 EUR | | | | 4,093 | |
Lexicon Pharmaceuticals, Inc. | | | 04/22/19 | | | | M | | | | 0.50 | % | | Morgan Stanley Capital Services LLC | | | 150,868 USD | | | | (1,781 | ) |
Lexington Realty Trust | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 641 USD | | | | 11 | |
LGI Homes, Inc. | | | 04/22/19 | | | | M | | | | 0.90 | % | | Morgan Stanley Capital Services LLC | | | 187,116 USD | | | | (9,421 | ) |
Liberty Broadband Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 321,392 USD | | | | 8,989 | |
Liberty Global PLC | | | 05/08/19 | | | | M | | | | 1.58 | % | | Credit Suisse Securities (Europe) Limited | | | 492,658 USD | | | | 15,244 | |
Liberty Interactive Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 256,051 USD | | | | 9,234 | |
Liberty Media Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 901,802 USD | | | | 50,019 | |
Liberty TripAdvisor Holdings, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 170,175 USD | | | | 14,483 | |
LInc.oln Electric Holdings | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 72,200 USD | | | | 1,770 | |
Lions Gate Entertainment Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 560,287 USD | | | | 52,133 | |
Lithia Motors, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 10,256 USD | | | | (97 | ) |
Live Nation Entertainment, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 437,029 USD | | | | 30,925 | |
Lockheed Martin Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 551,052 USD | | | | 1,240 | |
Logmein, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 422,500 USD | | | | 32,057 | |
Loral Space & Communications Ltd. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 268,250 USD | | | | 20,516 | |
Louisiana Pacific Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 60,907 USD | | | | 1 | |
Lowe's Cos, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 587,873 USD | | | | (7,423 | ) |
Loxo Oncology, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 795,090 USD | | | | 42,416 | |
LSB Industries, Inc. | | | 04/22/19 | | | | M | | | | 0.75 | % | | Morgan Stanley Capital Services LLC | | | 42,266 USD | | | | 5,094 | |
LSC Communications, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 60,641 USD | | | | 316 | |
LTC Properties, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 104,622 USD | | | | 1,262 | |
Lululemon Athletica, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 487,217 USD | | | | (50,622 | ) |
See Notes to Consolidated Financial Statements.
201
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | | | | | | | | | | | | | |
Reference
Instrument | | Termination
Date | | | Payment
Frequency | | | Financing
Rate | | | Counterparty | | Notional
Amount | | | Unrealized
Appreciation
(Depreciation) | |
Lumber Liquidators Holdings | | | 04/22/19 | | | | M | | | | 0.30 | % | | Morgan Stanley Capital Services LLC | | | 442,946 USD | | | $ | 8,105 | |
Lumentum Holdings, Inc. | | | 08/06/18 | | | | M | | | | 1.48 | % | | Deutsche Bank AG | | | 1,357,887 USD | | | | 162,658 | |
Luxottica Group SpA | | | 10/04/19 | | | | M | | | | 0.90 | % | | Credit Suisse Securities (Europe) Limited | | | 3,375,750 EUR | | | | 79,072 | |
LVMH Moet Hennessy Louis Vuitton | | | 04/19/18 | | | | M | | | | 0.90 | % | | Credit Suisse Securities (Europe) Limited | | | 1,772,811 EUR | | | | (26,299 | ) |
Lydall, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 24,532 USD | | | | (414 | ) |
LyondellBasell Industries NV | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 136,445 USD | | | | 1,703 | |
Macerich Co. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 949 USD | | | | (4 | ) |
Mack Cali Realty Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 89,989 USD | | | | 3,865 | |
Macom Technology Solutions Holdings, Inc. | | | 04/22/19 | | | | M | | | | 0.30 | % | | Morgan Stanley Capital Services LLC | | | 602,412 USD | | | | 133,147 | |
Macy's, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 42,030 USD | | | | (1,777 | ) |
Madison Square Garden Co. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 301,760 USD | | | | 1,147 | |
Madrigal Pharmaceuticals, Inc. | | | 04/22/19 | | | | M | | | | 1.10 | % | | Morgan Stanley Capital Services LLC | | | 538,397 USD | | | | (17,757 | ) |
Maiden Holdings Ltd. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 383,898 USD | | | | (2,976 | ) |
Malibu Boats, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 622,163 USD | | | | 2,896 | |
Manhattan Associates, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 59,806 USD | | | | 2,933 | |
Manitowoc Company, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 297,033 USD | | | | 3,355 | |
Marinemax, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 366,828 USD | | | | 7,392 | |
Marriott International, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 828,067 USD | | | | 29,593 | |
Marriott Vacations World | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 9,572 USD | | | | 115 | |
Martin Marietta Materials | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 564,210 USD | | | | (5,036 | ) |
Marvell Technology Group Ltd. | | | 08/06/18 | | | | M | | | | 1.48 | % | | Deutsche Bank AG | | | 4,785,214 USD | | | | 25,396 | |
Masco Corp. | | | 04/22/19 | | | | M | �� | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 9,799 USD | | | | (108 | ) |
Masimo Corp. | | | 02/05/20 | | | | T | | | | 1.38 | % | | Goldman Sachs International | | | 9,156,226 USD | | | | 88,757 | |
Masonite International Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 211,463 USD | | | | 3,057 | |
Mastec, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 260,870 USD | | | | 10,093 | |
Matador Resources Co. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 858,517 USD | | | | (41,534 | ) |
Mattel, Inc. | | | 04/22/19 | | | | M | | | | 0.55 | % | | Morgan Stanley Capital Services LLC | | | 365,431 USD | | | | 18,219 | |
See Notes to Consolidated Financial Statements.
202
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | | | | | | | | | | | | | |
Reference
Instrument | | Termination
Date | | | Payment
Frequency | | | Financing
Rate | | | Counterparty | | Notional
Amount | | | Unrealized
Appreciation
(Depreciation) | |
Maui Land & Pineapple Co. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 101,455 USD | | | $ | 4,457 | |
Maxlinear, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 311,529 USD | | | | 25,516 | |
MCBC Holdings, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 187,412 USD | | | | 2,444 | |
Mccormick & Co, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 240,270 USD | | | | 3,658 | |
McDermott International, Inc. | | | 08/06/18 | | | | M | | | | 1.48 | % | | Deutsche Bank AG | | | 3,443,083 USD | | | | 287,532 | |
McDonald's Corporation | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 55,392 USD | | | | 816 | |
MDC Partners, Inc. | | | 04/22/19 | | | | M | | | | 0.40 | % | | Morgan Stanley Capital Services LLC | | | 268,903 USD | | | | 14,153 | |
Medical Properties Trust, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 53,169 USD | | | | (495 | ) |
Medicines Company | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 371,823 USD | | | | 5,761 | |
Medifast, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 165,532 USD | | | | (4,827 | ) |
Mediobanca SpA | | | 10/04/19 | | | | M | | | | 0.41 | % | | Credit Suisse Securities (Europe) Limited | | | 714,023 EUR | | | | (3,166 | ) |
Melinta Therapeutics, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 85,828 USD | | | | 26,746 | |
Merck KGaA | | | 07/06/18 | | | | M | | | | 0.35 | % | | Morgan Stanley Capital Services LLC | | | 8,039,578 EUR | | | | (19,762 | ) |
Mercury General Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 150,302 USD | | | | 5,445 | |
Mercury Systems, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 219,051 USD | | | | (4,526 | ) |
Meridian Bancorp, Inc. | | | 03/03/20 | | | | T | | | | 1.28 | % | | Morgan Stanley Capital Services LLC | | | 5,297,739 USD | | | | 28,212 | |
Meritage Homes Corp. | | | 04/22/19 | | | | M | | | �� | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 42,121 USD | | | | (278 | ) |
Meritor, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 354,719 USD | | | | 21,462 | |
Merrimack Pharmaceuticals, Inc. | | | 04/22/19 | | | | M | | | | 0.95 | % | | Morgan Stanley Capital Services LLC | | | 172,933 USD | | | | 35,914 | |
Mersana Therapeutics, Inc. | | | 04/22/19 | | | | M | | | | 0.75 | % | | Morgan Stanley Capital Services LLC | | | 340,612 USD | | | | 28,318 | |
Meta Financial Group, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 169,095 USD | | | | 7,370 | |
Metlife, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 258,797 USD | | | | 5,897 | |
Metro, Inc. | | | 08/07/18 | | | | M | | | | 1.30 | % | | Deutsche Bank AG | | | 1,286,296 CAD | | | | 23,567 | |
MGM Resorts International | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 600,708 USD | | | | 11,112 | |
MGP Ingredients, Inc. | | | 04/22/19 | | | | M | | | | 0.90 | % | | Morgan Stanley Capital Services LLC | | | 320,787 USD | | | | (30,764 | ) |
Michael Kors Holdings Ltd. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 574,396 USD | | | | (6,611 | ) |
Michelin | | | 04/19/18 | | | | M | | | | 0.90 | % | | Credit Suisse Securities (Europe) Limited | | | 1,080,619 EUR | | | | 64,569 | |
Microchip Technology, Inc. | | | 05/08/19 | | | | M | | | | 1.58 | % | | Credit Suisse Securities (Europe) Limited | | | 2,124,019 USD | | | | 133,193 | |
Micron Technology, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 162,757 USD | | | | 18,851 | |
See Notes to Consolidated Financial Statements.
203
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | | | | | | | | | | | | | |
Reference
Instrument | | Termination
Date | | | Payment
Frequency | | | Financing
Rate | | | Counterparty | | Notional
Amount | | | Unrealized
Appreciation
(Depreciation) | |
Microsoft Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 164,579 USD | | | $ | 385 | |
Microstrategy, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 164,045 USD | | | | 5,387 | |
Mid America Apartment Communities, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 56,315 USD | | | | (254 | ) |
Middleby Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 432,548 USD | | | | 14,881 | |
Milacron Holdings Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 120,467 USD | | | | 4,823 | |
Mindbody, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 435,611 USD | | | | 26,305 | |
Minerals Technologies, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 35,225 USD | | | | 2,018 | |
Minerva Neurosciences, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 156,178 USD | | | | 2,459 | |
Modine Manufacturing Co. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 275,999 USD | | | | 23,299 | |
Momenta Pharmaceuticals, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 92,934 USD | | | | (1,827 | ) |
Moncler SpA | | | 10/04/19 | | | | M | | | | 0.40 | % | | Credit Suisse Securities (Europe) Limited | | | 287,719 EUR | | | | (2,385 | ) |
Mondelez International, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 68,083 USD | | | | (312 | ) |
MoneyGram International, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 129,972 USD | | | | 15,688 | |
Monsanto Co. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 236,178 USD | | | | 2,214 | |
Monster Beverage Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 544,690 USD | | | | 2,569 | |
Moog, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 62,729 USD | | | | 2,075 | |
Motorcar Parts of America, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 67,347 USD | | | | 3,764 | |
MRC Global, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 257,722 USD | | | | 17,123 | |
MSA Safety, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 107,792 USD | | | | (836 | ) |
MSG Networks, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 202,394 USD | | | | 19,063 | |
Mueller Water Products, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 80,174 USD | | | | 3,660 | |
Muenchener Rueckver AG REG | | | 04/19/18 | | | | M | | | | 0.00 | % | | Credit Suisse Securities (Europe) Limited | | | 220,784 EUR | | | | 22 | |
Multi-Color Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 41,964 USD | | | | 1,409 | |
Murphy USA, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 255,703 USD | | | | 3,742 | |
MyoKardia, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 732,535 USD | | | | 22,349 | |
MYR Group, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 229,268 USD | | | | 28,414 | |
National Bank Holdings Corp. | | | 03/03/20 | | | | T | | | | 1.28 | % | | Morgan Stanley Capital Services LLC | | | 3,494,257 USD | | | | (8,996 | ) |
National Beverage Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 403,073 USD | | | | 2,305 | |
See Notes to Consolidated Financial Statements.
204
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | | | | | | | | | | | | | |
Reference
Instrument | | Termination
Date | | | Payment
Frequency | | | Financing
Rate | | | Counterparty | | Notional
Amount | | | Unrealized
Appreciation
(Depreciation) | |
National CineMedia, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 91,047 USD | | | $ | 7,264 | |
National Health Investors, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 42,461 USD | | | | 136 | |
National Retail Properties | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 14,588 USD | | | | (17 | ) |
National Vision Holdings, Inc. | | | 04/22/19 | | | | M | | | | 0.55 | % | | Morgan Stanley Capital Services LLC | | | 487,672 USD | | | | (2,827 | ) |
Natixis | | | 04/19/18 | | | | M | | | | 0.40 | % | | Credit Suisse Securities (Europe) Limited | | | 828,976 EUR | | | | 33,541 | |
Natixis | | | 04/10/19 | | | | M | | | | 0.67 | % | | JPMorgan Chase Bank, N.A. | | | 688,400 EUR | | | | 27,808 | |
Nautilus, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 94,048 USD | | | | (1,743 | ) |
Navient Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 220,184 USD | | | | 1,500 | |
Navigators Group, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 63,533 USD | | | | (55 | ) |
Navistar International Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 136,216 USD | | | | (6,392 | ) |
NCI Building Systems, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 131,261 USD | | | | 370 | |
NCS Multistage Holdings, Inc. | | | 04/22/19 | | | | M | | | | 0.75 | % | | Morgan Stanley Capital Services LLC | | | 408,279 USD | | | | 34,914 | |
Nektar Therapeutics | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 256,191 USD | | | | (3,402 | ) |
Neos Therapeutics, Inc. | | | 04/22/19 | | | | M | | | | 0.05 | % | | Morgan Stanley Capital Services LLC | | | 550,269 USD | | | | 42,799 | |
Nestle SA | | | 04/19/18 | | | | M | | | | 0.79 | % | | Credit Suisse Securities (Europe) Limited | | | 2,634,505 CHF | | | | 29,562 | |
Nestle SA REG | | | 04/25/19 | | | | M | | | | 1.20 | % | | JPMorgan Chase Bank, N.A. | | | 2,277,000 CHF | | | | 8,787 | |
Netflix, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 929,107 USD | | | | 71,706 | |
Netgear, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 30,630 USD | | | | 944 | |
Neurocrine Biosciences, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 506,672 USD | | | | 42,098 | |
New Jersey Resources Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 32,033 USD | | | | (528 | ) |
New York Community Bancorp | | | 03/03/20 | | | | T | | | | 1.28 | % | | Morgan Stanley Capital Services LLC | | | 7,656,512 USD | | | | 576,140 | |
New York Times Co. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 111,974 USD | | | | 922 | |
Newfield Exploration Co. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 885,480 USD | | | | (24,214 | ) |
NewLink Genetics Corp. | | | 04/22/19 | | | | M | | | | 0.00 | % | | Morgan Stanley Capital Services LLC | | | 475,228 USD | | | | 4,036 | |
Newmont Mining Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 67,090 USD | | | | (774 | ) |
NewStar Financial, Inc. | | | 04/22/19 | | | | M | | | | 1.68 | % | | Morgan Stanley Capital Services LLC | | | — USD | | | | (4,020 | ) |
Nexstar Media Group, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 482,294 USD | | | | 24,442 | |
Nextera Energy, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 225,329 USD | | | | (1,700 | ) |
NIC, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 13,853 USD | | | | 832 | |
Nike, Inc. | | | 03/09/20 | | | | T | | | | 1.38 | % | | Goldman Sachs International | | | 33,670,049 USD | | | | (362,445 | ) |
Nike, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 729,186 USD | | | | 7 | |
See Notes to Consolidated Financial Statements.
205
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | | | | | | | | | | | | | |
Reference
Instrument | | Termination
Date | | | Payment
Frequency | | | Financing
Rate | | | Counterparty | | Notional
Amount | | | Unrealized
Appreciation
(Depreciation) | |
NiSource, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 222,977 USD | | | $ | (4,957 | ) |
NL Industries, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 122,632 USD | | | | 1,797 | |
NN Group NV | | | 04/19/18 | | | | M | | | | 0.40 | % | | Credit Suisse Securities (Europe) Limited | | | 4,461,827 EUR | | | | (5,229 | ) |
NN Group NV | | | 08/08/18 | | | | M | | | | 0.67 | % | | JPMorgan Chase Bank, N.A. | | | 1,800,000 EUR | | | | (2,461 | ) |
Noble Energy, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 181,492 USD | | | | (3,884 | ) |
Nordson Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 275,263 USD | | | | 5,310 | |
Nordstrom, Inc. | | | 04/22/19 | | | | M | | | | 1.00 | % | | Morgan Stanley Capital Services LLC | | | 114,376 USD | | | | 467 | |
Northern Trust Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 59,347 USD | | | | (365 | ) |
Northrop Grumman Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 492,576 USD | | | | 3,808 | |
Northwest Bancshares, Inc. | | | 03/03/20 | | | | T | | | | 1.28 | % | | Morgan Stanley Capital Services LLC | | | 10,500,338 USD | | | | 264,171 | |
Novartis AG | | | 04/19/18 | | | | M | | | | 1.34 | % | | Credit Suisse Securities (Europe) Limited | | | 583,115 CHF | | | | 6,096 | |
Novavax, Inc. | | | 04/22/19 | | | | M | | | | 0.05 | % | | Morgan Stanley Capital Services LLC | | | 30,418 USD | | | | (1,021 | ) |
Novo Nordisk A/S | | | 04/19/18 | | | | M | | | | 0.91 | % | | Credit Suisse Securities (Europe) Limited | | | 2,141,770 DKK | | | | 9,144 | |
Now, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 69,279 USD | | | | (616 | ) |
NRG Energy, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 1,295,409 USD | | | | 6,280 | |
Nuance Communications, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 151,040 USD | | | | 16,488 | |
Nucor Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 42,457 USD | | | | (62 | ) |
Nutanix, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 399,006 USD | | | | 18,551 | |
Nutrisystem, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 399,790 USD | | | | 53,348 | |
NV5 Global, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 118,450 USD | | | | 3,605 | |
Nvidia Corp. | | | 05/08/19 | | | | M | | | | 1.58 | % | | Credit Suisse Securities (Europe) Limited | | | 179,774 USD | | | | 12,798 | |
Nvidia Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 65,277 USD | | | | 1,358 | |
NVR, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 372,436 USD | | | | 2,888 | |
NXP Semiconductors NV | | | 04/16/19 | | | | M | | | | 1.42 | % | | JPMorgan Chase Bank, N.A. | | | 807,989 USD | | | | 31,226 | |
O'Reilly Automotive, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 1,010,571 USD | | | | 766 | |
Oasis Petroleum, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 365,763 USD | | | | 1,797 | |
Ocwen Financial Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 428,155 USD | | | | 20,765 | |
OFG Bancorp | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 339,264 USD | | | | 43,822 | |
Okta, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 161,166 USD | | | | (4,570 | ) |
Old Mutual PLC | | | 04/10/19 | | | | M | | | | 0.21 | % | | JPMorgan Chase Bank, N.A. | | | 11,016 GBP | | | | 837 | |
Old Mutual PLC | | | 04/19/18 | | | | M | | | | 0.52 | % | | Credit Suisse Securities (Europe) Limited | | | 178,426 GBP | | | | 13,555 | |
Olin Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 22,713 USD | | | | 498 | |
Ollie's Bargain Outlet Holdings, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 345,726 USD | | | | (6,668 | ) |
Omega Healthcare Investors, Inc. | | | 04/22/19 | | | | M | | | | 0.75 | % | | Morgan Stanley Capital Services LLC | | | 136,338 USD | | | | 1,382 | |
Omnicom Group | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 388,227 USD | | | | 5,838 | |
Omnicrom Group | | | 05/08/19 | | | | M | | | | 1.58 | % | | Credit Suisse Securities (Europe) Limited | | | 789,892 USD | | | | 15,157 | |
Omnova Solutions, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 5,243 USD | | | | 192 | |
On Deck Capital, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 350,886 USD | | | | (24,153 | ) |
See Notes to Consolidated Financial Statements.
206
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | | | | | | | | | | | | | |
Reference
Instrument | | Termination
Date | | | Payment
Frequency | | | Financing
Rate | | | Counterparty | | Notional
Amount | | | Unrealized
Appreciation
(Depreciation) | |
OneMain Holdings, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 315,838 USD | | | $ | 9,911 | |
Ooma, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 175,458 USD | | | | 12,852 | |
Oracle Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 53,965 USD | | | | (203 | ) |
Orasure Technologies, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 34,909 USD | | | | 2,311 | |
OrbComm, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 594,567 USD | | | | 31,327 | |
Orbital ATK, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 29,553 USD | | | | (19 | ) |
Ormat Technologies, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 287,014 USD | | | | (3,343 | ) |
Oshkosh Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 91,687 USD | | | | 1,126 | |
OSI Systems, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 65,828 USD | | | | 101 | |
Otonomy, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 687 USD | | | | 116 | |
Outfront Media, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 90,956 USD | | | | 3,947 | |
Ovid Therapeutics, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 221,371 USD | | | | 32,178 | |
Owens Corning | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 74,102 USD | | | | 215 | |
PACCAR, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 149,470 USD | | | | 786 | |
Pacific Biosciences of California | | | 04/22/19 | | | | M | | | | 0.63 | % | | Morgan Stanley Capital Services LLC | | | 443,576 USD | | | | 97,823 | |
Pacira Pharmaceuticals, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 364,832 USD | | | | (11,958 | ) |
Palo Alto Networks, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 484,937 USD | | | | 17,341 | |
Pandora Media, Inc. | | | 04/22/19 | | | | M | | | | 0.55 | % | | Morgan Stanley Capital Services LLC | | | 745,150 USD | | | | 25,744 | |
Panhandle Oil and Gas, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 101,303 USD | | | | (3,381 | ) |
Papa John's International, Inc. | | | 04/22/19 | | | | M | | | | 0.65 | % | | Morgan Stanley Capital Services LLC | | | 260,971 USD | | | | 7,991 | |
Paramount Group, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 16,276 USD | | | | 270 | |
Paratek Pharmaceuticals, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 611,711 USD | | | | 63,280 | |
Parker Hannifin Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 344,107 USD | | | | 7,862 | |
Parsley Energy, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 921,238 USD | | | | (100,050 | ) |
Party City Holdco, Inc. | | | 04/22/19 | | | | M | | | | 0.80 | % | | Morgan Stanley Capital Services LLC | | | 229,873 USD | | | | (3,363 | ) |
Patrick Industries, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 363,834 USD | | | | 22,360 | |
Patterson UTI Energy, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 102,416 USD | | | | 5,760 | |
Paycom Software, Inc. | | | 04/22/19 | | | | M | | | | 1.10 | % | | Morgan Stanley Capital Services LLC | | | 198,947 USD | | | | 5,752 | |
See Notes to Consolidated Financial Statements.
207
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | | | | | | | | | | | | | |
Reference
Instrument | | Termination
Date | | | Payment
Frequency | | | Financing
Rate | | | Counterparty | | Notional
Amount | | | Unrealized
Appreciation
(Depreciation) | |
Paylocity Holding Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 402,679 USD | | | $ | 23,167 | |
Paypal Holdings, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 268,639 USD | | | | 13,412 | |
PDC Energy, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 223,460 USD | | | | 15,622 | |
Peabody Energy Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 201,851 USD | | | | 16,614 | |
Penn National Gaming, Inc. | | | 08/06/18 | | | | M | | | | 1.48 | % | | Deutsche Bank AG | | | 1,308,569 USD | | | | 140,026 | |
Penn Real Estate Investment Trust | | | 04/22/19 | | | | M | | | | 0.75 | % | | Morgan Stanley Capital Services LLC | | | 372,918 USD | | | | (3,905 | ) |
Penn Virginia Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 867,359 USD | | | | (12,811 | ) |
People's United Financial, Inc. | | | 03/03/20 | | | | T | | | | 1.28 | % | | Morgan Stanley Capital Services LLC | | | 10,565,388 USD | | | | 350,064 | |
Petiq, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 63,499 USD | | | | (3,001 | ) |
PetMed Express, Inc. | | | 04/22/19 | | | | M | | | | 0.75 | % | | Morgan Stanley Capital Services LLC | | | 273,369 USD | | | | 13,141 | |
Peugeot SA | | | 04/19/18 | | | | M | | | | 0.40 | % | | Credit Suisse Securities (Europe) Limited | | | 1,160,979 EUR | | | | (42,671 | ) |
Pfizer, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 100,980 USD | | | | 2,992 | |
PG&E Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 236,649 USD | | | | 2,238 | |
PGT Innovations, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 128,126 USD | | | | — | |
PHH Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 51,785 USD | | | | 49 | |
Physicians Realty Trust | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 36,629 USD | | | | (1,190 | ) |
Pieris Pharmaceuticals, Inc. | | | 04/22/19 | | | | M | | | | 0.75 | % | | Morgan Stanley Capital Services LLC | | | 607,211 USD | | | | 5,257 | |
Pilgrim's Pride Corp. | | | 04/22/19 | | | | M | | | | 1.00 | % | | Morgan Stanley Capital Services LLC | | | 425,854 USD | | | | 4,113 | |
Pinnacle Foods, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 21,205 USD | | | | 322 | |
Pinnacle West Capital | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 26,072 USD | | | | (102 | ) |
Pioneer Natural Resources Co. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 773,402 USD | | | | (19,706 | ) |
Pitney Bowes, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 202,399 USD | | | | 25,926 | |
Pixelworks, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 172,517 USD | | | | 20,209 | |
Planet Fitness, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 135,366 USD | | | | 2,756 | |
Ply Gem Holdings, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 446,214 USD | | | | (1,035 | ) |
Polaris Industries, Inc. | | | 04/22/19 | | | | M | | | | 0.75 | % | | Morgan Stanley Capital Services LLC | | | 466,574 USD | | | | 13,304 | |
PolyOne Corporation | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 180,019 USD | | | | 414 | |
Pool Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 107,091 USD | | | | (1,696 | ) |
Popular, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 23,928 USD | | | | 1,495 | |
Portola Pharmaceuticals, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 1,082,371 USD | | | | 94,046 | |
Poste Italiane SpA | | | 10/04/19 | | | | M | | | | 0.40 | % | | Credit Suisse Securities (Europe) Limited | | | 1,137,204 EUR | | | | (26,897 | ) |
See Notes to Consolidated Financial Statements.
208
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | | | | | | | | | | | | | |
Reference
Instrument | | Termination
Date | | | Payment
Frequency | | | Financing
Rate | | | Counterparty | | Notional
Amount | | | Unrealized
Appreciation
(Depreciation) | |
PPG Industries, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 134,860 USD | | | $ | 2,391 | |
PPL Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 59,216 USD | | | | (957 | ) |
PRA Group, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 276,964 USD | | | | (3,970 | ) |
Praxair, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 403,944 USD | | | | 22,271 | |
Preferred Bank | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 2,301 USD | | | | (10 | ) |
Preferred Bank | | | 03/03/20 | | | | T | | | | 1.28 | % | | Morgan Stanley Capital Services LLC | | | 8,636,929 USD | | | | (71,159 | ) |
Primo Water Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 454,344 USD | | | | (2,510 | ) |
Proassurance Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 9,126 USD | | | | 95 | |
Procter & Gamble Co. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 69,568 USD | | | | 198 | |
Progenics Pharmaceuticals, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 529,532 USD | | | | 53,591 | |
Prologis, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 1,133 USD | | | | (1 | ) |
Proofpoint, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 463,116 USD | | | | 23,631 | |
Propetro Holding Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 755,736 USD | | | | 34,632 | |
Protagonist Therapeutics, Inc. | | | 04/22/19 | | | | M | | | | 0.50 | % | | Morgan Stanley Capital Services LLC | | | 265,861 USD | | | | 98,562 | |
Prothena Corp. PLC | | | 04/22/19 | | | | M | | | | 0.75 | % | | Morgan Stanley Capital Services LLC | | | 375,890 USD | | | | (19,219 | ) |
Proto Labs, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 212,363 USD | | | | 9,707 | |
Provident Financial Services | | | 03/03/20 | | | | T | | | | 1.28 | % | | Morgan Stanley Capital Services LLC | | | 447,020 USD | | | | 1,216 | |
Proximus | | | 04/19/18 | | | | M | | | | 0.95 | % | | Credit Suisse Securities (Europe) Limited | | | 558,665 EUR | | | | 8,875 | |
PTC Therapeutics, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 25,576 USD | | | | 4,117 | |
PTC, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 70,788 USD | | | | 1,827 | |
Public Service Enterprise Group, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 117,344 USD | | | | (3,835 | ) |
Public Storage | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 166,482 USD | | | | 1,361 | |
PulteGroup, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 144,424 USD | | | | (1,758 | ) |
Puma Biotechnology, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 805,331 USD | | | | 52,222 | |
PVH Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 147,960 USD | | | | (7,105 | ) |
Pzena Investment Management, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 88,208 USD | | | | 158 | |
Q2 Holdings, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 77,914 USD | | | | 3,667 | |
QTS Realty Trust, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 281,642 USD | | | | 1,625 | |
Quality Care Properties | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 337,415 USD | | | | 5,803 | |
Quantenna Communications, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 721,742 USD | | | | 71,224 | |
QuinStreet, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 34,909 USD | | | | 3,201 | |
See Notes to Consolidated Financial Statements.
209
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | | | | | | | | | | | | | |
Reference
Instrument | | Termination
Date | | | Payment
Frequency | | | Financing
Rate | | | Counterparty | | Notional
Amount | | | Unrealized
Appreciation
(Depreciation) | |
Quotient Technology, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 50,311 USD | | | $ | 4,382 | |
Ra Pharmaceuticals, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 575,814 USD | | | | 123,041 | |
Radius Health, Inc. | | | 04/22/19 | | | | M | | | | 0.65 | % | | Morgan Stanley Capital Services LLC | | | 277,909 USD | | | | (4,939 | ) |
Raiffeisen Bank International AG | | | 04/19/18 | | | | M | | | | 0.90 | % | | Credit Suisse Securities (Europe) Limited | | | 278,122 EUR | | | | (13,522 | ) |
Ralph Lauren Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 29,783 USD | | | | (403 | ) |
Raven Industries, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 28,488 USD | | | | 1,465 | |
Raymond James Financial, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 2,228 USD | | | | (7 | ) |
Rayonier Advanced Materials | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 106,082 USD | | | | (5,498 | ) |
Raytheon Company | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 360,991 USD | | | | (508 | ) |
RBC Bearings, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 31,778 USD | | | | 231 | |
Re/Max Holdings, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 56,215 USD | | | | (185 | ) |
Realogy Holdings Corp. | | | 04/22/19 | | | | M | | | | 1.00 | % | | Morgan Stanley Capital Services LLC | | | 79,683 USD | | | | 407 | |
RealPage, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 289,238 USD | | | | 7,121 | |
Realty Income Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 87,294 USD | | | | (233 | ) |
Red Electrica Corp.oracion SA | | | 04/20/18 | | | | M | | | | 0.96 | % | | Credit Suisse Securities (Europe) Limited | | | 270,822 EUR | | | | (9,843 | ) |
Red Hat, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 190,182 USD | | | | 3,892 | |
Red Robin Gourmet Burgers | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 563,771 USD | | | | 29,301 | |
Red Rock Resorts, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 468,541 USD | | | | 29,897 | |
Regency Centers Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 68,702 USD | | | | (69 | ) |
REGENXBIO, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 303,943 USD | | | | 8,488 | |
Regional Management Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 21,005 USD | | | | (646 | ) |
Regions Financial Corp. | | | 03/04/20 | | | | T | | | | 1.43 | % | | Goldman Sachs International | | | 3,475,726 USD | | | | 168,003 | |
Regions Financial Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 10,344 USD | | | | 422 | |
RELX NV | | | 04/19/18 | | | | M | | | | 0.40 | % | | Credit Suisse Securities (Europe) Limited | | | 2,040,004 EUR | | | | 16,906 | |
RELX PLC | | | 04/19/18 | | | | M | | | | 0.02 | % | | Credit Suisse Securities (Europe) Limited | | | 467,548 GBP | | | | 11,439 | |
RELX PLC | | | 08/08/18 | | | | M | | | | 0.21 | % | | JPMorgan Chase Bank, N.A. | | | 1,118,250 GBP | | | | 27,359 | |
Renaissancere Holdings Ltd. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 91,218 USD | | | | (1,168 | ) |
Repligen Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 279,991 USD | | | | 2,455 | |
See Notes to Consolidated Financial Statements.
210
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | | | | | | | | | | | | | |
Reference
Instrument | | Termination
Date | | | Payment
Frequency | | | Financing
Rate | | | Counterparty | | Notional
Amount | | | Unrealized
Appreciation
(Depreciation) | |
Retail Opportunity Investments Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 69,643 USD | | | $ | (277 | ) |
Retail Properties of America, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 73,508 USD | | | | 376 | |
REV Group Inc | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 162,565 USD | | | | 6,221 | |
Revance Therapeutics, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 111,827 USD | | | | (1,764 | ) |
Rexnord Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 82,751 USD | | | | (1,303 | ) |
Rhythm Pharmaceuticals, Inc. | | | 04/22/19 | | | | M | | | | 0.90 | % | | Morgan Stanley Capital Services LLC | | | 215,998 USD | | | | 33,555 | |
Rigel Pharmaceuticals, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 223,427 USD | | | | 35,110 | |
Rignet, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 76,343 USD | | | | 1,651 | |
Rockwell Automation, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 700,785 USD | | | | 12,173 | |
Rockwell Collins, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 303,445 USD | | | | 2,056 | |
Roper Technologies, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 107,041 USD | | | | 98 | |
Ross Stores, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 522,753 USD | | | | (5,483 | ) |
Royal Bank Of Scotland Group | | | 04/19/18 | | | | M | | | | 0.52 | % | | Credit Suisse Securities (Europe) Limited | | | 32,636 GBP | | | | (231 | ) |
Royal Bank Of Scotland Group | | | 05/10/18 | | | | M | | | | 0.21 | % | | JPMorgan Chase Bank, N.A. | | | 1,151,924 GBP | | | | (8,159 | ) |
Royal Caribbean Cruises Ltd | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 291,721 USD | | | | 13,383 | |
RSP Permian, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 515,962 USD | | | | (107,448 | ) |
Ruth's Hospitality Group, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 123,331 USD | | | | (1,681 | ) |
Ryerson Holding Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 427,341 USD | | | | 42,498 | |
Sabra Health Care REIT, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 222,678 USD | | | | 2,000 | |
Sabre Corp. | | | 03/04/20 | | | | T | | | | 1.38 | % | | Goldman Sachs International | | | 10,967,005 USD | | | | 638,251 | |
Sage Therapeutics, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 612,464 USD | | | | 23,753 | |
Sainsbury PLC | | | 04/19/18 | | | | M | | | | 0.52 | % | | Credit Suisse Securities (Europe) Limited | | | 1,127,010 GBP | | | | 2,644 | |
Saipem SpA | | | 10/04/19 | | | | M | | | | 0.91 | % | | Credit Suisse Securities (Europe) Limited | | | 168,753 EUR | | | | 6,059 | |
Salesforce.com, Inc. | | | 08/06/18 | | | | M | | | | 1.48 | % | | Deutsche Bank AG | | | 1,311,072 USD | | | | 58,405 | |
Salesforce.com, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 502,635 USD | | | | 22,083 | |
Sampo Oyj | | | 04/19/18 | | | | M | | | | 0.40 | % | | Credit Suisse Securities (Europe) Limited | | | 1,254,961 EUR | | | | 714 | |
Sanderson Farms, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 74,393 USD | | | | 3,457 | |
Sandy Spring Bancorp, Inc. | | | 03/03/20 | | | | T | | | | 1.28 | % | | Morgan Stanley Capital Services LLC | | | 1,759,435 USD | | | | 9,421 | |
See Notes to Consolidated Financial Statements.
211
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | | | | | | | | | | | | | |
Reference
Instrument | | Termination
Date | | | Payment
Frequency | | | Financing
Rate | | | Counterparty | | Notional
Amount | | | Unrealized
Appreciation
(Depreciation) | |
Sangamo Therapeutics, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 763,579 USD | | | $ | 142,184 | |
Santander Consumer USA Holdings, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 1,727 USD | | | | 48 | |
Sarepta Therapeutics, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 302,998 USD | | | | 23,753 | |
Schlumberger Ltd. | | | 05/08/19 | | | | M | | | | 1.58 | % | | Credit Suisse Securities (Europe) Limited | | | 265,419 USD | | | | (957 | ) |
Schulman (A.), Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 175,609 USD | | | | 1,029 | |
Schwab (Charles) Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 97,059 USD | | | | (1,115 | ) |
Science Applications International Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 29,023 USD | | | | (370 | ) |
Scientific Games Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 478,331 USD | | | | 42,821 | |
Scorpio Bulkers, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 121,870 USD | | | | 4,974 | |
Scotts Miracle Gro Co. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 426,907 USD | | | | 10,934 | |
Seattle Genetics, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 27,379 USD | | | | (414 | ) |
Select Energy Services, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 701,304 USD | | | | 51,968 | |
Selecta Biosciences, Inc. | | | 04/22/19 | | | | M | | | | 0.30 | % | | Morgan Stanley Capital Services LLC | | | 502,852 USD | | | | (51,779 | ) |
Sempra Energy | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 384,510 USD | | | | 2,135 | |
Senior Housing Prop Trust | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 5,973 USD | | | | 163 | |
Sensata Technologies Holding | | | 09/10/18 | | | | T | | | | 1.45 | % | | Skandinaviska Enskilda Banken AB (publ) | | | 17,287,897 USD | | | | 234,687 | |
Servicemaster Global Holding | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 295,168 USD | | | | (3,524 | ) |
ServiceNow, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 694,938 USD | | | | 25,692 | |
ServiceSource International, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 758 USD | | | | 31 | |
Shake Shack, Inc. | | | 04/22/19 | | | | M | | | | 0.88 | % | | Morgan Stanley Capital Services LLC | | | 836,586 USD | | | | (10,376 | ) |
Shenandoah Telecommunication | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 750,196 USD | | | | (42,452 | ) |
Sherwin Williams Co. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 896,188 USD | | | | 33,132 | |
Shiloh Industries, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 7,483 USD | | | | 54 | |
Shutterfly, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 401,693 USD | | | | 14,537 | |
SI Green Realty Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 76,280 USD | | | | 1,043 | |
See Notes to Consolidated Financial Statements.
212
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | | | | | | | | | | | | | |
Reference
Instrument | | Termination
Date | | | Payment
Frequency | | | Financing
Rate | | | Counterparty | | Notional
Amount | | | Unrealized
Appreciation
(Depreciation) | |
Sienna Biopharmaceuticcals, Inc. | | | 04/22/19 | | | | M | | | | 0.13 | % | | Morgan Stanley Capital Services LLC | | | 177,565 USD | | | $ | (7,606 | ) |
Signet Jewelers Ltd. | | | 04/22/19 | | | | M | | | | 1.00 | % | | Morgan Stanley Capital Services LLC | | | 295,861 USD | | | | (7,022 | ) |
SilverBow Resources, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 221,024 USD | | | | (1,125 | ) |
Simon Property Group, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 769 USD | | | | (3 | ) |
Sinclair Broadcast Group, Inc. | | | 04/22/19 | | | | M | | | | 0.90 | % | | Morgan Stanley Capital Services LLC | | | 262,158 USD | | | | 10,067 | |
Siteone Landscape Supply, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 140,767 USD | | | | (4,839 | ) |
SJW Group | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 28,584 USD | | | | (301 | ) |
Skechers USA, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 499,326 USD | | | | 14,718 | |
Skechers USA, Inc. | | | 03/18/20 | | | | T | | | | 1.47 | % | | Barclays Bank plc | | | 25,509,495 USD | | | | (2,874,216 | ) |
Skyworks Solutions, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 41,031 USD | | | | (176 | ) |
Sleep Number Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 476,102 USD | | | | 839 | |
SLM Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 66,633 USD | | | | (179 | ) |
SM Energy Co. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 167,819 USD | | | | 6,541 | |
Smart & Final Stores, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 30,774 USD | | | | 2,308 | |
Smart Global Holdings, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 134,830 USD | | | | (24,459 | ) |
Smart Sand, Inc. | | | 04/22/19 | | | | M | | | | 0.75 | % | | Morgan Stanley Capital Services LLC | | | 762,524 USD | | | | 41,496 | |
Smith (A.O.) Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 97,340 USD | | | | (1,670 | ) |
Snam SpA | | | 10/04/19 | | | | M | | | | 0.90 | % | | Credit Suisse Securities (Europe) Limited | | | 2,056,421 EUR | | | | (22,749 | ) |
Solaris Oilfield Infrastructure, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 674,928 USD | | | | (19,284 | ) |
Solvay SA | | | 04/19/18 | | | | M | | | | 0.95 | % | | Credit Suisse Securities (Europe) Limited | | | 990,144 EUR | | | | 18,604 | |
Sothebys | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 625,574 USD | | | | 17,654 | |
South Jersey Industries | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 46,086 USD | | | | (181 | ) |
Southern Co. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 15,839 USD | | | | 29 | |
Southwestern Energy Co. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 776,816 USD | | | | (9,075 | ) |
Spark Therapeutics, Inc. | | | 04/22/19 | | | | M | | | | 0.90 | % | | Morgan Stanley Capital Services LLC | | | 659,394 USD | | | | (19,424 | ) |
SPDR S&P 500 ETF Trust | | | 03/03/20 | | | | T | | | | 1.28 | % | | Morgan Stanley Capital Services LLC | | | 14,741,416 USD | | | | (187,084 | ) |
SPDR S&P Regional Banking ETF | | | 03/03/20 | | | | T | | | | 0.92 | % | | Morgan Stanley Capital Services LLC | | | 6,799,778 USD | | | | 308,759 | |
Spectrum Brands Holdings, Inc. | | | 04/22/19 | | | | M | | | | 0.75 | % | | Morgan Stanley Capital Services LLC | | | 208,246 USD | | | | (23,835 | ) |
See Notes to Consolidated Financial Statements.
213
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | | | | | | | | | | | | | |
Reference
Instrument | | Termination
Date | | | Payment
Frequency | | | Financing
Rate | | | Counterparty | | Notional
Amount | | | Unrealized
Appreciation
(Depreciation) | |
Spectrum Pharmaceuticals, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 173,254 USD | | | $ | 13,046 | |
Spirit Aerosystems Hold | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 330,325 USD | | | | 8,666 | |
Spirit Airlines, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 336,173 USD | | | | 48,705 | |
Spirit Realty Capital, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 204,017 USD | | | | 5,873 | |
Splunk, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 384,547 USD | | | | 29,064 | |
Sportsman's Warehouse Holding, Inc. | | | 04/22/19 | | | | M | | | | 0.50 | % | | Morgan Stanley Capital Services LLC | | | 306,142 USD | | | | (5,893 | ) |
Sprint Corp. | | | 04/22/19 | | | | M | | | | 0.95 | % | | Morgan Stanley Capital Services LLC | | | 717,164 USD | | | | 51,810 | |
Sprouts Farmers Market, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 181,964 USD | | | | 1,292 | |
SPX Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 325,119 USD | | | | (14,427 | ) |
SPX Flow, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 52,828 USD | | | | 2,851 | |
Square, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 814,046 USD | | | | 82,835 | |
Stamps.com, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 360,790 USD | | | | (6,126 | ) |
Stanley Black & Decker, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 168,317 USD | | | | (816 | ) |
Starbucks Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 407,338 USD | | | | 10,154 | |
State Bank Financial Corp. | | | 03/03/20 | | | | T | | | | 1.28 | % | | Morgan Stanley Capital Services LLC | | | 2,578,273 USD | | | | 18,450 | |
State Street Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 22,523 USD | | | | 83 | |
Steel Dynamics, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 124,194 USD | | | | 5,861 | |
Stericycle, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 390,053 USD | | | | 29,450 | |
Sterling Construction Co. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 500,986 USD | | | | 44,603 | |
Steven Madden, Ltd. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 259,940 USD | | | | 7,472 | |
Stifel Financial Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 9,139 USD | | | | (338 | ) |
Stone Energy Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 442,458 USD | | | | (13,278 | ) |
Stoneridge, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 109,709 USD | | | | (11,289 | ) |
Storebrand ASA | | | 04/11/19 | | | | M | | | | 0.54 | % | | JPMorgan Chase Bank, N.A. | | | 13,444,000 NOK | | | | 87,769 | |
Storebrand ASA | | | 04/19/18 | | | | M | | | | 0.96 | % | | Credit Suisse Securities (Europe) Limited | | | 7,387,344 NOK | | | | 48,228 | |
Strongbridge Biopharma PLC | | | 04/22/19 | | | | M | | | | 0.50 | % | | Morgan Stanley Capital Services LLC | | | 48,298 USD | | | | (6,502 | ) |
Stryker Corp. | | | 05/08/19 | | | | M | | | | 1.58 | % | | Credit Suisse Securities (Europe) Limited | | | 523,652 USD | | | | 17,397 | |
Sun Communities, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 23,610 USD | | | | 37 | |
Sun Hydraulics Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 364,775 USD | | | | 7,798 | |
Suncoke Energy, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 405,233 USD | | | | 29,020 | |
Sunrun, Inc. | | | 04/22/19 | | | | M | | | | 0.05 | % | | Morgan Stanley Capital Services LLC | | | 89,497 USD | | | | (1,536 | ) |
Superior Energy Services, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 278,635 USD | | | | 34,974 | |
SuperValu, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 570,664 USD | | | | 7,550 | |
See Notes to Consolidated Financial Statements.
214
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | | | | | | | | | | | | | |
Reference
Instrument | | Termination
Date | | | Payment
Frequency | | | Financing
Rate | | | Counterparty | | Notional
Amount | | | Unrealized
Appreciation
(Depreciation) | |
SVB Financial Group | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 71,961 USD | | | $ | 678 | |
Switch, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 290,878 USD | | | | (5,780 | ) |
Symantec Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 309,632 USD | | | | 19,001 | |
Synaptics, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 265,678 USD | | | | 10,779 | |
Synchronoss Technologies, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 475,969 USD | | | | (8,729 | ) |
Synchrony Financial | | | 03/03/20 | | | | T | | | | 1.28 | % | | Morgan Stanley Capital Services LLC | | | 6,038,161 USD | | | | 535,084 | |
Synchrony Financial | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 4,947 USD | | | | 119 | |
Syndax Pharmaceuticals, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 534,843 USD | | | | (74,998 | ) |
Syros Pharmaceuticals, Inc. | | | 04/22/19 | | | | M | | | | 1.25 | % | | Morgan Stanley Capital Services LLC | | | 410,689 USD | | | | (17,833 | ) |
Sysco Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 12,724 USD | | | | (108 | ) |
T-Mobile Us, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 831,134 USD | | | | 30,716 | |
Tableau Software, Inc. | | | 02/12/20 | | | | T | | | | 1.53 | % | | Barclays Bank plc | | | 14,363,815 USD | | | | (1,378,547 | ) |
Tableau Software, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 52,325 USD | | | | 1,327 | |
Tabula Rasa Healthcare, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 183,785 USD | | | | (7,227 | ) |
Take Two Interactive Software | | | 03/25/20 | | | | T | | | | 1.38 | % | | Goldman Sachs International | | | 28,716,633 USD | | | | 1,362,678 | |
Take Two Interactive Software, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 364,329 USD | | | | 26,890 | |
Tanger Factory Outlet Center, Inc. | | | 04/22/19 | | | | M | | | | 0.90 | % | | Morgan Stanley Capital Services LLC | | | 168,060 USD | | | | (2,924 | ) |
Tapestry, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 540,206 USD | | | | (1,729 | ) |
Target Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 66,502 USD | | | | (636 | ) |
Taubman Centers, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 1,762 USD | | | | (2 | ) |
Taylor Morrison Home Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 396,909 USD | | | | 6,946 | |
TD Ameritrade Holding Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 16,171 USD | | | | (414 | ) |
Team, Inc. | | | 04/22/19 | | | | M | | | | 0.15 | % | | Morgan Stanley Capital Services LLC | | | 38,859 USD | | | | 2,999 | |
TechnipFMC PLC | | | 04/19/18 | | | | M | | | | 0.91 | % | | Credit Suisse Securities (Europe) Limited | | | 63,158 EUR | | | | 517 | |
TechnipFMC PLC | | | 04/25/19 | | | | M | | | | 0.77 | % | | JPMorgan Chase Bank, N.A. | | | 77,805 EUR | | | | 163 | |
Teladoc, Inc. | | | 04/22/19 | | | | M | | | | 0.30 | % | | Morgan Stanley Capital Services LLC | | | 366,137 USD | | | | 18,953 | |
Tele2 AB | | | 04/19/18 | | | | M | | | | 0.54 | % | | Credit Suisse Securities (Europe) Limited | | | 10,280,789 SEK | | | | (18,088 | ) |
Tele2 AB | | | 10/10/18 | | | | M | | | | 0.94 | % | | JPMorgan Chase Bank, N.A. | | | 19,740,000 SEK | | | | (34,731 | ) |
Tele2 AB | | | 07/30/18 | | | | M | | | | 0.94 | % | | Deutsche Bank AG | | | 12,575,409 SEK | | | | (47,105 | ) |
Telecom Italia SpA | | | 10/04/19 | | | | M | | | | 0.40 | % | | Credit Suisse Securities (Europe) Limited | | | 746,776 EUR | | | | 3,095 | |
See Notes to Consolidated Financial Statements.
215
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | | | | | | | | | | | | | |
Reference
Instrument | | Termination
Date | | | Payment
Frequency | | | Financing
Rate | | | Counterparty | | Notional
Amount | | | Unrealized
Appreciation
(Depreciation) | |
Teledyne Technologies, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 138,416 USD | | | $ | 1,407 | |
Telefonica Brasil | | | 05/08/19 | | | | M | | | | 1.58 | % | | Credit Suisse Securities (Europe) Limited | | | 886,470 USD | | | | (14,071 | ) |
Telefonica S.A. | | | 04/20/18 | | | | M | | | | 0.71 | % | | Credit Suisse Securities (Europe) Limited | | | 216,113 EUR | | | | 858 | |
Telefonica S.A. | | | 02/13/19 | | | | M | | | | 0.67 | % | | JPMorgan Chase Bank, N.A. | | | 1,073,582 EUR | | | | 4,264 | |
Teligent, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 210,271 USD | | | | (65,310 | ) |
Tellurian, Inc. | | | 04/22/19 | | | | M | | | | 2.40 | % | | Morgan Stanley Capital Services LLC | | | 601,597 USD | | | | 22,490 | |
Tempur Sealy International, Inc. | | | 04/22/19 | | | | M | | | | 0.90 | % | | Morgan Stanley Capital Services LLC | | | 807,474 USD | | | | 15,488 | |
Tenet Healthcare Corp. | | | 04/22/19 | | | | M | | | | 0.15 | % | | Morgan Stanley Capital Services LLC | | | 500,514 USD | | | | 11,100 | |
Tennant Co. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 294,280 USD | | | | 9,669 | |
Tenneco, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 219,472 USD | | | | (1,051 | ) |
Terna SpA | | | 10/04/19 | | | | M | | | | 0.90 | % | | Credit Suisse Securities (Europe) Limited | | | 1,878,724 EUR | | | | (23,378 | ) |
Terraform Power, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 629,554 USD | | | | 26,957 | |
Tesaro, Inc. | | | 04/22/19 | | | | M | | | | 1.15 | % | | Morgan Stanley Capital Services LLC | | | 195,921 USD | | | | 18,330 | |
Tesla, Inc. | | | 04/22/19 | | | | M | | | | 0.55 | % | | Morgan Stanley Capital Services LLC | | | 1,504,272 USD | | | | 274,751 | |
Texas Instruments, Inc. | | | 05/08/19 | | | | M | | | | 1.58 | % | | Credit Suisse Securities (Europe) Limited | | | 1,926,200 USD | | | | 96,177 | |
Texas Roadhouse, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 92,992 USD | | | | 1,064 | |
Textron, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 235,823 USD | | | | 120 | |
TG Therapeutics, Inc. | | | 04/22/19 | | | | M | | | | 0.99 | % | | Morgan Stanley Capital Services LLC | | | 691,329 USD | | | | 92,373 | |
Theravance Biopharma, Inc. | | | 04/22/19 | | | | M | | | | 0.65 | % | | Morgan Stanley Capital Services LLC | | | 513,895 USD | | | | 47,616 | |
Thor Industries, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 330,253 USD | | | | 15,839 | |
Tiffany & Co. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 106,484 USD | | | | (942 | ) |
Tile Shop Holdings, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 140,542 USD | | | | (6,111 | ) |
Time Warner, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 317,945 USD | | | | 4,885 | |
Timkensteel Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 182,491 USD | | | | 15,902 | |
Titan International, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 432,423 USD | | | | 21,817 | |
Tivity Health, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 6,478 USD | | | | 134 | |
TJX Companies, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 251,495 USD | | | | (2,728 | ) |
Tocagen, Inc. | | | 04/22/19 | | | | M | | | | 1.25 | % | | Morgan Stanley Capital Services LLC | | | 332,274 USD | | | | 27,918 | |
Tompkins Financial Corp. | | | 03/03/20 | | | | T | | | | 1.28 | % | | Morgan Stanley Capital Services LLC | | | 1,716,818 USD | | | | 89,948 | |
Topbuild Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 99,461 USD | | | | 1,362 | |
TPI Composites, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 402,452 USD | | | | (5,083 | ) |
Tractor Supply Company | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 256,633 USD | | | | (2,001 | ) |
Trade Desk, Inc. | | | 04/22/19 | | | | M | | | | 0.55 | % | | Morgan Stanley Capital Services LLC | | | 838,696 USD | | | | 118,710 | |
Transdigm Group, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 338,275 USD | | | | (11,330 | ) |
Transunion | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 275,039 USD | | | | 9,365 | |
See Notes to Consolidated Financial Statements.
216
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | | | | | | | | | | | | | |
Reference
Instrument | | Termination
Date | | | Payment
Frequency | | | Financing
Rate | | | Counterparty | | Notional
Amount | | | Unrealized
Appreciation
(Depreciation) | |
Travelers Cos., Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 22,091 USD | | | $ | 12 | |
Treehouse Foods, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 448,775 USD | | | | 31,900 | |
Trex Company, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 349,896 USD | | | | (6,761 | ) |
Tri Pointe Group, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 65,626 USD | | | | (143 | ) |
Trinet Group, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 444,362 USD | | | | 2,191 | |
Trinseo SA | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 235,927 USD | | | | 12,074 | |
TripAdvisor, Inc. | | | 03/02/20 | | | | T | | | | 1.38 | % | | Goldman Sachs International | | | 20,504,688 USD | | | | (335,350 | ) |
TripAdvisor, Inc. | | | 04/22/19 | | | | M | | | | 0.90 | % | | Morgan Stanley Capital Services LLC | | | 533,360 USD | | | | 28,900 | |
Triumph Group, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 237,097 USD | | | | 14,984 | |
Tronox Ltd. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 431,415 USD | | | | 13,934 | |
TrueCar, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 194,768 USD | | | | 23,656 | |
Trupanion, Inc. | | | 04/22/19 | | | | M | | | | 1.00 | % | | Morgan Stanley Capital Services LLC | | | 55,470 USD | | | | (125 | ) |
TrustCo Bank Corp. | | | 03/03/20 | | | | T | | | | 1.28 | % | | Morgan Stanley Capital Services LLC | | | 1,177,378 USD | | | | 56,283 | |
Turning Point Brands, Inc. | | | 04/22/19 | | | | M | | | | 0.75 | % | | Morgan Stanley Capital Services LLC | | | 57,528 USD | | | | 4,263 | |
Twenty First Century Fox, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 823,504 USD | | | | 10,197 | |
Twilio, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 600,398 USD | | | | 35,601 | |
Twitter, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 411,689 USD | | | | 46,888 | |
UBI Banca SpA | | | 04/10/19 | | | | M | | | | 0.67 | % | | JPMorgan Chase Bank, N.A. | | | 364,779 EUR | | | | 12,465 | |
UBI Banca SpA | | | 10/04/19 | | | | M | | | | 0.70 | % | | Credit Suisse Securities (Europe) Limited | | | 739,369 EUR | | | | 23,060 | |
Ulta Beauty, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 848,249 USD | | | | 8,087 | |
Ultimate Software Group, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 279,962 USD | | | | 4,337 | |
Ultra Clean Holdings, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 363,103 USD | | | | 27,133 | |
Ultra Petroleum Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 42,086 USD | | | | 3,430 | |
Ultragenyx Pharmaceutical, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 267,012 USD | | | | 8,289 | |
Unilever PLC | | | 04/19/18 | | | | M | | | | 0.52 | % | | Credit Suisse Securities (Europe) Limited | | | 620,942 GBP | | | | (46,273 | ) |
Union Pacific Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 317,271 USD | | | | 4,453 | |
Unisys Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 344,736 USD | | | | 13,851 | |
United Bankshares, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 16,307 USD | | | | 868 | |
United Continental Holdings, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 159,901 USD | | | | (2,033 | ) |
United Insurance Holdings Co. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 69,702 USD | | | | 2,425 | |
United Rentals, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 721,316 USD | | | | 38,860 | |
United States Steel Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 638,871 USD | | | | 47,397 | |
See Notes to Consolidated Financial Statements.
217
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | | | | | | | | | | | | | |
Reference
Instrument | | Termination
Date | | | Payment
Frequency | | | Financing
Rate | | | Counterparty | | Notional
Amount | | | Unrealized
Appreciation
(Depreciation) | |
United Technologies Corp. | | | 08/06/18 | | | | M | | | | 1.47 | % | | Deutsche Bank AG | | | 2,135,342 USD | | | $ | (39,960 | ) |
United Technologies Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 149,379 USD | | | | 282 | |
Uniti Group, Inc. | | | 04/22/19 | | | | M | | | | 0.75 | % | | Morgan Stanley Capital Services LLC | | | 371,057 USD | | | | 21,308 | |
Univar, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 268,977 USD | | | | 16,896 | |
Universal Display Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 683,610 USD | | | | 80,842 | |
Universal Electronics Inc | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 227,896 USD | | | | 6,371 | |
Universal Health Realty Income | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 23,540 USD | | | | 342 | |
Universal Insurance Holdings | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 163,212 USD | | | | 2,021 | |
Upland Software, Inc. | | | 04/22/19 | | | | M | | | | 0.50 | % | | Morgan Stanley Capital Services LLC | | | 423,462 USD | | | | 5,373 | |
Urban Edge Properties | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 35,646 USD | | | | (457 | ) |
Urban Outfitters, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 179,983 USD | | | | (5,113 | ) |
US Concrete, Inc. | | | 04/22/19 | | | | M | | | | 0.90 | % | | Morgan Stanley Capital Services LLC | | | 509,980 USD | | | | 20,377 | |
US Foods Holding Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 291,492 USD | | | | 5,214 | |
US Silica Holdings, Inc. | | | 04/22/19 | | | | M | | | | 0.95 | % | | Morgan Stanley Capital Services LLC | | | 461,307 USD | | | | 722 | |
Usana Health Sciences, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 123,463 USD | | | | (5,559 | ) |
USG Corp. | | | 04/22/19 | | | �� | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 205,742 USD | | | | (37,101 | ) |
Vail Resorts, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 497,382 USD | | | | 8,533 | |
Validus Holdings Ltd. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 350,754 USD | | | | 216 | |
Vectren Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 12,093 USD | | | | 12 | |
Vectrus, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 385,330 USD | | | | 10,175 | |
VEECO Instruments, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 329,972 USD | | | | 39,323 | |
Ventas, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 180,896 USD | | | | 1,152 | |
Veolia Environment | | | 04/19/18 | | | | M | | | | 0.90 | % | | Credit Suisse Securities (Europe) Limited | | | 96,034 EUR | | | | 428 | |
Vereit, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 63,969 USD | | | | — | |
Verizon Communications, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 668,134 USD | | | | (2,685 | ) |
Vertex Pharmaceuticals, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 96,622 USD | | | | (514 | ) |
VF Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 416,697 USD | | | | (895 | ) |
Viacom, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 268,549 USD | | | | 14,479 | |
Viavi Solutions, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 59,600 USD | | | | 2,242 | |
Vicor Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 259,219 USD | | | | (41,012 | ) |
See Notes to Consolidated Financial Statements.
218
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | | | | | | | | | | | | | |
Reference
Instrument | | Termination
Date | | | Payment
Frequency | | | Financing
Rate | | | Counterparty | | Notional
Amount | | | Unrealized
Appreciation
(Depreciation) | |
Virtu Financial, Inc. | | | 04/22/19 | | | | M | | | | 0.75 | % | | Morgan Stanley Capital Services LLC | | | 35,512 USD | | | $ | 862 | |
Visteon Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 428,803 USD | | | | 15,624 | |
Vistra Energy Corp. | | | 08/06/18 | | | | M | | | | 1.48 | % | | Deutsche Bank AG | | | 2,982,412 USD | | | | (161,481 | ) |
Vistra Energy Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 58,827 USD | | | | 253 | |
VMware, Inc. | | | 04/22/19 | | | | M | | | | 0.55 | % | | Morgan Stanley Capital Services LLC | | | 370,268 USD | | | | 11,187 | |
Vonage Holdings Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 561,681 USD | | | | 4,707 | |
Vornado Realty Trust | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 91,897 USD | | | | 167 | |
Voya Financial, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 32,096 USD | | | | 130 | |
Voyager Therapeutics, Inc. | | | 04/22/19 | | | | M | | | | 0.75 | % | | Morgan Stanley Capital Services LLC | | | 65,308 USD | | | | (1,528 | ) |
Vulcan Materials Co. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 570,808 USD | | | | 10,690 | |
Wabash National Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 202,311 USD | | | | 5,781 | |
Wabco Holdings, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 182,490 USD | | | | 5,915 | |
Wabtec Corp. | | | 04/22/19 | | | | M | | | | 0.75 | % | | Morgan Stanley Capital Services LLC | | | 433,907 USD | | | | 2,405 | |
Wageworks, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 467,312 USD | | | | 4,962 | |
Walgreens Boots Alliance, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 257,411 USD | | | | 3,256 | |
Walker & Dunlop, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 5,553 USD | | | | (627 | ) |
Walt Disney Co. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 756,083 USD | | | | 16,744 | |
Washington Federal, Inc. | | | 03/03/20 | | | | T | | | | 1.28 | % | | Morgan Stanley Capital Services LLC | | | 8,941,123 USD | | | | 202,374 | |
Washington Prime Group, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 137,458 USD | | | | (15,411 | ) |
Wave Life Sciences Ltd. | | | 04/22/19 | | | | M | | | | 1.25 | % | | Morgan Stanley Capital Services LLC | | | 127,632 USD | | | | 194 | |
Wayfair, Inc. | | | 03/31/20 | | | | T | | | | 1.38 | % | | Goldman Sachs International | | | 53,952,029 USD | | | | 2,564,806 | |
Wayfair, Inc. | | | 04/22/19 | | | | M | | | | 0.80 | % | | Morgan Stanley Capital Services LLC | | | 1,382,779 USD | | | | 222,344 | |
Weatherford International PLC | | | 04/22/19 | | | | M | | | | 0.75 | % | | Morgan Stanley Capital Services LLC | | | 1,119,178 USD | | | | 140,965 | |
Wec Energy Group, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 178,526 USD | | | | (1,736 | ) |
Weight Watchers International, Inc. | | | 04/22/19 | | | | M | | | | 0.90 | % | | Morgan Stanley Capital Services LLC | | | 497,781 USD | | | | 8,794 | |
Weingarten Realty Investors | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 63,956 USD | | | | (544 | ) |
Welbilt, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 453,880 USD | | | | 21,137 | |
Welltower, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 176,490 USD | | | | 137 | |
Wendy's Co. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 759,848 USD | | | | (35,816 | ) |
Wesco Aircraft Holdings, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 140,951 USD | | | | (6,741 | ) |
See Notes to Consolidated Financial Statements.
219
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | | | | | | | | | | | | | |
Reference
Instrument | | Termination
Date | | | Payment
Frequency | | | Financing
Rate | | | Counterparty | | Notional
Amount | | | Unrealized
Appreciation
(Depreciation) | |
Westamerica Bancorporation | | | 03/03/20 | | | | T | | | | 0.65 | % | | Morgan Stanley Capital Services LLC | | | 6,824,148 USD | | | $ | 202,215 | |
Western Digital Corp. | | | 05/08/19 | | | | M | | | | 1.58 | % | | Credit Suisse Securities (Europe) Limited | | | 307,502 USD | | | | 15,928 | |
Western Digital Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 22,753 USD | | | | (38 | ) |
Westlake Chemical Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 26,237 USD | | | | 1,006 | |
WestRock Co. | | | 08/06/18 | | | | M | | | | 1.48 | % | | Deutsche Bank AG | | | 334,388 USD | | | | 18,222 | |
WEX, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 939 USD | | | | — | |
Weyerhaeuser Co. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 2,137 USD | | | | 37 | |
Whiting Petroleum Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 134,696 USD | | | | (9,834 | ) |
WildHorse Resource Development Corp. | | | 04/22/19 | | | | M | | | | 0.30 | % | | Morgan Stanley Capital Services LLC | | | 289,268 USD | | | | (44,826 | ) |
William Lyon Homes | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 217,677 USD | | | | (8,896 | ) |
Wingstop, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 19,927 USD | | | | 374 | |
Winnebago Industries | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 78,717 USD | | | | 10,999 | |
WisdomTree Investments, Inc. | | | 04/22/19 | | | | M | | | | 1.10 | % | | Morgan Stanley Capital Services LLC | | | 34,447 USD | | | | 1,197 | |
Wolverine Worldwide, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 114,066 USD | | | | 27 | |
Workday, Inc. | | | 08/06/18 | | | | T | | | | 1.45 | % | | Skandinaviska Enskilda Banken AB (publ) | | | 25,981,148 USD | | | | (3,179,284 | ) |
Workday, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 654,437 USD | | | | 39,860 | |
World Acceptance Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 101,818 USD | | | | (7 | ) |
World Wrestiling Entertainment, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 385,988 USD | | | | 11,340 | |
Worldpay, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 267,214 USD | | | | 4,375 | |
WPP PLC | | | 04/19/18 | | | | M | | | | 0.52 | % | | Credit Suisse Securities (Europe) Limited | | | 178,748 GBP | | | | 7,238 | |
WPX Energy, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 348,468 USD | | | | (20,205 | ) |
WR Grace & Co. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 340,014 USD | | | | 19,781 | |
WW Grainger, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 149,574 USD | | | | (2,288 | ) |
Wyndham Worldwide Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 441,103 USD | | | | 4,438 | |
Wynn Resorts Ltd. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 1,072,266 USD | | | | 18,955 | |
Xencor, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 88,512 USD | | | | 3,488 | |
XL Group Ltd. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 301,813 USD | | | | 867 | |
Xperi Corp. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 241,808 USD | | | | 26,924 | |
Yelp, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 103,877 USD | | | | 6,182 | |
YRC Worldwide, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 469,791 USD | | | | 40,096 | |
Yum China Holdings, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 373,081 USD | | | | (2,494 | ) |
See Notes to Consolidated Financial Statements.
220
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | | | | | | | | | | | | | |
Reference
Instrument | | Termination
Date | | | Payment
Frequency | | | Financing
Rate | | | Counterparty | | Notional
Amount | | | Unrealized
Appreciation
(Depreciation) | |
Zayo Group Holdings, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 1,135,205 USD | | | $ | 65,929 | |
Zendesk, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 58,896 USD | | | | 782 | |
Zillow Group, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 84,678 USD | | | | 4,380 | |
Zoe's Kitchen, Inc. | | | 04/22/19 | | | | M | | | | 0.75 | % | | Morgan Stanley Capital Services LLC | | | 169,347 USD | | | | 12,298 | |
Zoetis, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 89,310 USD | | | | 121 | |
Zogenix, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 592,385 USD | | | | 23,034 | |
Zumiez, Inc. | | | 04/22/19 | | | | M | | | | 1.43 | % | | Morgan Stanley Capital Services LLC | | | 134,246 USD | | | | (16,587 | ) |
Zurich Insurance Group AG | | | 04/19/18 | | | | M | | | | 0.00 | % | | Credit Suisse Securities (Europe) Limited | | | 248,855 CHF | | | | 16 | |
| | | | | | | | | | | | | | | | | | | | | | |
Total Sells | | | | | | | | | | | | | | | | | | | | $ | 27,479,562 | |
| | | | | | | | | | | | | | | | | | | | | | |
Total OTC Total Return Swaps Outstanding | | | | | | $ | 3,798,770 | |
| | | | | | | | | | | | | | | | | | | | | | |
Centrally Cleared Interest Rate Swaps Outstanding at March 31, 2018
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
The
Fund
Pays/
Receives
Floating
Rate | | Floating
Rate
Index | | Fixed
Rate | | | Pay/
Receive
Payment
Freqency | | Maturity
Date | | Counterparty | | Notional
Amount | | | Market
Value | | | Upfront
Premium
Paid
(Received) | | | Unrealized
Appreciation
(Depreciation) | |
Pays | | 3-Month
USD
LIBOR | | | 1.90% | | | 3M/6M | | 09/25/24 | | Morgan Stanley
& Co. LLC | | | 5,029,000 USD | | | $ | (256,267) | | | $ | — | | | $ | (256,267) | |
Pays | | 3-Month
USD
LIBOR | | | 1.93% | | | 3M/6M | | 09/25/24 | | Morgan Stanley
& Co. LLC | | | 1,157,000 USD | | | | (56,950) | | | | 23 | | | | (56,973) | |
Pays | | 3-Month
USD
LIBOR | | | 1.98% | | | 3M/6M | | 07/25/24 | | Morgan Stanley
& Co. LLC | | | 3,506,000 USD | | | | (157,160) | | | | — | | | | (157,160) | |
Pays | | 3-Month
USD
LIBOR | | | 1.98% | | | 3M/6M | | 09/25/24 | | Morgan Stanley
& Co. LLC | | | 5,839,000 USD | | | | (270,286) | | | | — | | | | (270,286) | |
Pays | | 3-Month
USD
LIBOR | | | 1.99% | | | 3M/6M | | 06/26/24 | | Morgan Stanley
& Co. LLC | | | 2,320,000 USD | | | | (101,989) | | | | (11,818) | | | | (90,171) | |
Pays | | 3-Month
USD
LIBOR | | | 1.99% | | | 3M/6M | | 05/28/24 | | Morgan Stanley
& Co. LLC | | | 3,193,000 USD | | | | (136,389) | | | | (1,176) | | | | (135,213) | |
Pays | | 3-Month
USD
LIBOR | | | 1.99% | | | 3M/6M | | 09/25/24 | | Morgan Stanley
& Co. LLC | | | 4,571,000 USD | | | | (208,034) | | | | — | | | | (208,034) | |
Pays | | 3-Month
USD
LIBOR | | | 2.03% | | | 3M/6M | | 05/28/24 | | Morgan Stanley
& Co. LLC | | | 2,130,000 USD | | | | (86,273) | | | | (11,027) | | | | (75,246) | |
Pays | | 3-Month
USD
LIBOR | | | 2.03% | | | 3M/6M | | 06/26/24 | | Morgan Stanley
& Co. LLC | | | 3,564,000 USD | | | | (146,903) | | | | (21,618) | | | | (125,285) | |
Pays | | 3-Month
USD
LIBOR | | | 2.05% | | | 3M/6M | | 04/25/24 | | Morgan Stanley
& Co. LLC | | | 6,953,000 USD | | | | (272,554) | | | | (35,905) | | | | (236,649) | |
See Notes to Consolidated Financial Statements.
221
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
The
Fund
Pays/
Receives
Floating
Rate | | Floating
Rate
Index | | Fixed
Rate | | | Pay/
Receive
Payment
Freqency | | Maturity
Date | | Counterparty | | Notional
Amount | | | Market
Value | | | Upfront
Premium
Paid
(Received) | | | Unrealized
Appreciation
(Depreciation) | |
Pays | | 3-Month
USD
LIBOR | | | 2.07% | | | 3M/6M | | 05/28/24 | | Morgan Stanley
& Co. LLC | | | 3,462,000 USD | | | $ | (132,618) | | | $ | — | | | $ | (132,618) | |
Pays | | 3-Month
USD
LIBOR | | | 2.08% | | | 3M/6M | | 05/28/24 | | Morgan Stanley
& Co. LLC | | | 5,886,000 USD | | | | (220,436) | | | | — | | | | (220,436) | |
Pays | | 3-Month
USD
LIBOR | | | 2.09% | | | 3M/6M | | 08/27/24 | | Morgan Stanley
& Co. LLC | | | 7,052,000 USD | | | | (273,229) | | | | — | | | | (273,229) | |
Pays | | 3-Month
USD
LIBOR | | | 2.13% | | | 3M/6M | | 05/28/24 | | Morgan Stanley
& Co. LLC | | | 10,074,000 USD | | | | (349,399) | | | | (12,299) | | | | (337,100) | |
Pays | | 3-Month
USD
LIBOR | | | 2.13% | | | 3M/6M | | 04/25/24 | | Morgan Stanley
& Co. LLC | | | 6,446,000 USD | | | | (220,937) | | | | (35,440) | | | | (185,497) | |
Pays | | 3-Month
USD
LIBOR | | | 2.17% | | | 3M/6M | | 04/25/24 | | Morgan Stanley
& Co. LLC | | | 2,609,000 USD | | | | (83,367) | | | | — | | | | (83,367) | |
Pays | | 3-Month
USD
LIBOR | | | 2.20% | | | 3M/6M | | 11/27/24 | | Morgan Stanley
& Co. LLC | | | 4,794,000 USD | | | | (162,588) | | | | — | | | | (162,588) | |
Pays | | 3-Month
USD
LIBOR | | | 2.20% | | | 3M/6M | | 11/27/24 | | Morgan Stanley
& Co. LLC | | | 5,689,000 USD | | | | (192,767) | | | | — | | | | (192,767) | |
Pays | | 3-Month
USD
LIBOR | | | 2.20% | | | 3M/6M | | 01/30/24 | | Morgan Stanley
& Co. LLC | | | 31,607,500 USD | | | | (921,697) | | | | 1,173 | | | | (922,870) | |
Pays | | 3-Month
USD
LIBOR | | | 2.22% | | | 3M/6M | | 03/27/24 | | Morgan Stanley
& Co. LLC | | | 10,599,000 USD | | | | (310,465) | | | | — | | | | (310,465) | |
Pays | | 3-Month
USD
LIBOR | | | 2.22% | | | 3M/6M | | 11/27/24 | | Morgan Stanley
& Co. LLC | | | 4,569,000 USD | | | | (149,495) | | | | (1,503) | | | | (147,992) | |
Pays | | 3-Month
USD
LIBOR | | | 2.24% | | | 3M/6M | | 11/27/24 | | Morgan Stanley
& Co. LLC | | | 3,288,000 USD | | | | (103,751) | | | | (181) | | | | (103,570) | |
Pays | | 3-Month
USD
LIBOR | | | 2.24% | | | 3M/6M | | 02/26/24 | | Morgan Stanley
& Co. LLC | | | 2,350,000 USD | | | | (63,906) | | | | — | | | | (63,906) | |
Pays | | 3-Month
USD
LIBOR | | | 2.25% | | | 3M/6M | | 12/27/24 | | Morgan Stanley
& Co. LLC | | | 1,201,000 USD | | | | (37,464) | | | | (582) | | | | (36,882) | |
Pays | | 3-Month
USD
LIBOR | | | 2.26% | | | 3M/6M | | 04/26/24 | | Morgan Stanley
& Co. LLC | | | 3,000,000 USD | | | | (81,334) | | | | — | | | | (81,334) | |
Pays | | 3-Month
USD
LIBOR | | | 2.28% | | | 3M/6M | | 12/27/24 | | Morgan Stanley
& Co. LLC | | | 3,310,000 USD | | | | (97,423) | | | | (1,411) | | | | (96,012) | |
See Notes to Consolidated Financial Statements.
222
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
The
Fund
Pays/
Receives
Floating
Rate | | Floating
Rate
Index | | Fixed
Rate | | | Pay/
Receive
Payment
Freqency | | | Maturity
Date | | Counterparty | | Notional
Amount | | | Market
Value | | | Upfront
Premium
Paid
(Received) | | | Unrealized
Appreciation
(Depreciation) | |
Pays | | 3-Month
USD
LIBOR | | | 2.31% | | | | 3M/6M | | | 12/27/24 | | Morgan Stanley
& Co. LLC | | | 770,000 USD | | | $ | (21,403) | | | $ | (580) | | | $ | (20,823) | |
Pays | | 3-Month
USD
LIBOR | | | 2.33% | | | | 3M/6M | | | 01/27/25 | | Morgan Stanley
& Co. LLC | | | 4,857,000 USD | | | | (128,791) | | | | — | | | | (128,791) | |
Pays | | 3-Month
USD
LIBOR | | | 2.75% | | | | 3M/6M | | | 04/25/25 | | Morgan Stanley
& Co. LLC | | | 5,658,000 USD | | | | 6,846 | | | | — | | | | 6,846 | |
Pays | | 3-Month
USD
LIBOR | | | 2.83% | | | | 3M/6M | | | 02/26/25 | | Morgan Stanley
& Co. LLC | | | 3,384,000 USD | | | | 15,496 | | | | — | | | | 15,496 | |
Pays | | 3-Month
USD
LIBOR | | | 2.84% | | | | 3M/6M | | | 03/26/25 | | Morgan Stanley
& Co. LLC | | | 3,870,000 USD | | | | 18,886 | | | | — | | | | 18,886 | |
Pays | | 3-Month
USD
LIBOR | | | 2.85% | | | | 3M/6M | | | 03/26/25 | | Morgan Stanley
& Co. LLC | | | 5,334,000 USD | | | | 31,501 | | | | (2,437) | | | | 33,938 | |
Pays | | 3-Month
USD
LIBOR | | | 2.87% | | | | 3M/6M | | | 04/25/25 | | Morgan Stanley
& Co. LLC | | | 2,883,000 USD | | | | 18,735 | | | | — | | | | 18,735 | |
Pays | | 28D-MXN-
TIIE-
Banxico | | | 7.97% | | | | 28D/28D | | | 01/26/28 | | Credit Suisse
Securities
(USA) LLC | | | 206,314,271 USD | | | | 248,900 | | | | — | | | | 248,900 | |
Pays | | BRL-CDI | | | 9.27% | | | | 1T/1T | | | 01/02/25 | | Credit Suisse
Securities
(USA) LLC | | | 91,040,285 BRL | | | | 1,912 | | | | — | | | | 1,912 | |
Pays | | BRL-CDI | | | 9.35% | | | | 1T/1T | | | 01/02/25 | | Credit Suisse
Securities
(USA) LLC | | | 88,002,001 BRL | | | | 97,533 | | | | — | | | | 97,533 | |
Receives | | 3-Month
USD
LIBOR | | | 1.18% | | | | 6M/3M | | | 02/24/20 | | Merrill Lynch,
Pierce, Fenner
& Smith
Incorporated | | | 23,000,000 USD | | | | 576,199 | | | | — | | | | 576,199 | |
Receives | | 6-Month
GBP
LIBOR | | | 1.33% | | | | 6M/6M | | | 01/09/68 | | Credit Suisse
Securities
(USA) LLC | | | 2,324,000 USD | | | | 13,833 | | | | 65 | | | | 13,768 | |
Receives | | 6-Month
GBP
LIBOR | | | 1.34% | | | | 6M/6M | | | 12/14/67 | | Credit Suisse
Securities
(USA) LLC | | | 236,000 USD | | | | 453 | | | | 7 | | | | 446 | |
Receives | | 6-Month
GBP
LIBOR | | | 1.37% | | | | 6M/6M | | | 01/05/67 | | Credit Suisse
Securities
(USA) LLC | | | 2,693,653 GBP | | | | (31,167) | | | | 95 | | | | (31,262) | |
Receives | | 6-Month
GBP
LIBOR | | | 1.38% | | | | 6M/6M | | | 01/16/68 | | Credit Suisse
Securities
(USA) LLC | | | 1,427,000 USD | | | | (31,435) | | | | 43 | | | | (31,478) | |
See Notes to Consolidated Financial Statements.
223
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
The
Fund
Pays/
Receives
Floating
Rate | | Floating
Rate
Index | | Fixed
Rate | | | Pay/
Receive
Payment
Freqency | | Maturity
Date | | Counterparty | | Notional
Amount | | | Market
Value | | | Upfront
Premium
Paid
(Received) | | | Unrealized
Appreciation
(Depreciation) | |
Receives | | 6-Month
GBP
LIBOR | | | 1.41% | | | 6M/6M | | 08/04/67 | | Credit Suisse
Securities
(USA) LLC | | | 3,461,000 USD | | | $ | (122,343) | | | $ | 123 | | | $ | (122,466) | |
Receives | | 6-Month
GBP
LIBOR | | | 1.44% | | | 6M/6M | | 01/07/47 | | Credit Suisse
Securities
(USA) LLC | | | 3,507,681 GBP | | | | 85,099 | | | | — | | | | 85,099 | |
Receives | | 3-Month
USD
LIBOR | | | 1.52% | | | 6M/3M | | 05/28/19 | | Merrill Lynch,
Pierce, Fenner
& Smith
Incorporated | | | 18,200,000 USD | | | | 180,479 | | | | — | | | | 180,479 | |
Receives | | 3-Month
USD
LIBOR | | | 1.52% | | | 6M/3M | | 08/25/28 | | Morgan Stanley
& Co. LLC | | | 1,500,000 USD | | | | 178,055 | | | | — | | | | 178,055 | |
Receives | | 6-Month
GBP
LIBOR | | | 1.56% | | | 6M/6M | | 11/29/46 | | Credit Suisse
Securities
(USA) LLC | | | 2,761,160 GBP | | | | (44,318) | | | | — | | | | (44,318) | |
Receives | | 3-Month
USD
LIBOR | | | 1.56% | | | 6M/3M | | 09/28/26 | | Morgan Stanley
& Co. LLC | | | 3,600,000 USD | | | | 338,918 | | | | — | | | | 338,918 | |
Receives | | 6-Month
GBP
LIBOR | | | 1.60% | | | 6M/6M | | 12/03/46 | | Credit Suisse
Securities
(USA) LLC | | | 1,791,270 GBP | | | | (53,304) | | | | — | | | | (53,304) | |
Receives | | 3-Month
USD
LIBOR | | | 1.62% | | | 6M/3M | | 07/27/26 | | Morgan Stanley
& Co. LLC | | | 1,900,000 USD | | | | 165,937 | | | | 4,658 | | | | 161,279 | |
Receives | | 6-Month
CZK
PRIBOR | | | 1.64% | | | 1Y/6M | | 03/21/23 | | Credit Suisse
Securities
(USA) LLC | | | 194,934,869 USD | | | | (4,801) | | | | — | | | | (4,801) | |
Receives | | 6-Month
CZK
PRIBOR | | | 1.66% | | | 1Y/6M | | 03/21/23 | | Credit Suisse
Securities
(USA) LLC | | | 316,224,749 USD | | | | (26,289) | | | | — | | | | (26,289) | |
Receives | | 6-Month
CZK
PRIBOR | | | 1.67% | | | 1Y/6M | | 03/21/23 | | Credit Suisse
Securities
(USA) LLC | | | 315,376,994 USD | | | | (33,599) | | | | — | | | | (33,599) | |
Receives | | 6-Month
CZK
PRIBOR | | | 1.74% | | | 1Y/6M | | 03/21/23 | | Credit Suisse
Securities
(USA) LLC | | | 63,416,839 USD | | | | (17,145) | | | | — | | | | (17,145) | |
Receives | | 3-Month
USD
LIBOR | | | 1.77% | | | 6M/3M | | 10/25/21 | | Merrill Lynch,
Pierce, Fenner
& Smith
Incorporated | | | 18,500,000 USD | | | | 560,721 | | | | — | | | | 560,721 | |
Receives | | 6-Month
CZK
PRIBOR | | | 1.80% | | | 1Y/6M | | 03/21/23 | | Credit Suisse
Securities
(USA) LLC | | | 149,066,331 USD | | | | (60,359) | | | | — | | | | (60,359) | |
Receives | | 6-Month
CZK
PRIBOR | | | 1.86% | | | 1Y/6M | | 03/21/23 | | Credit Suisse
Securities
(USA) LLC | | | 233,213,709 USD | | | | (127,177) | | | | — | | | | (127,177) | |
See Notes to Consolidated Financial Statements.
224
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
The
Fund
Pays/
Receives
Floating
Rate | | Floating
Rate
Index | | Fixed
Rate | | | Pay/
Receive
Payment
Freqency | | Maturity
Date | | Counterparty | | Notional
Amount | | | Market
Value | | | Upfront
Premium
Paid
(Received) | | | Unrealized
Appreciation
(Depreciation) | |
Receives | | 3-Month
USD
LIBOR | | | 1.86% | | | 6M/3M | | 12/11/20 | | Merrill Lynch,
Pierce, Fenner
& Smith
Incorporated | | | 15,000,000 USD | | | $ | 293,673 | | | $ | — | | | $ | 293,673 | |
Receives | | 3-Month
USD
LIBOR | | | 1.86% | | | 6M/3M | | 05/25/22 | | Merrill Lynch,
Pierce, Fenner
& Smith
Incorporated | | | 8,200,000 USD | | | | 262,228 | | | | — | | | | 262,228 | |
Receives | | 3-Month
USD
LIBOR | | | 1.96% | | | 6M/3M | | 11/25/26 | | Morgan Stanley
& Co. LLC | | | 1,100,000 USD | | | | 70,843 | | | | — | | | | 70,843 | |
Receives | | 3-Month
USD
LIBOR | | | 2.04% | | | 6M/3M | | 10/27/25 | | Morgan Stanley
& Co. LLC | | | 3,900,000 USD | | | | 195,441 | | | | — | | | | 195,441 | |
Receives | | 3-Month
USD
LIBOR | | | 2.18% | | | 6M/3M | | 06/28/27 | | Morgan Stanley
& Co. LLC | | | 5,600,000 USD | | | | 287,832 | | | | — | | | | 287,832 | |
Receives | | 3-Month
USD
LIBOR | | | 2.19% | | | 6M/3M | | 05/25/27 | | Morgan Stanley
& Co. LLC | | | 1,500,000 USD | | | | 73,977 | | | | — | | | | 73,977 | |
Receives | | 3-Month
USD
LIBOR | | | 2.27% | | | 6M/3M | | 01/26/26 | | Morgan Stanley
& Co. LLC | | | 2,000,000 USD | | | | 71,924 | | | | — | | | | 71,924 | |
Receives | | 3-Month
USD
LIBOR | | | 2.30% | | | 6M/3M | | 01/27/25 | | Morgan Stanley
& Co. LLC | | | 2,430,000 USD | | | | 68,927 | | | | — | | | | 68,927 | |
Receives | | 3-Month
USD
LIBOR | | | 2.33% | | | 6M/3M | | 08/26/25 | | Morgan Stanley
& Co. LLC | | | 35,250,000 USD | | | | 1,029,880 | | | | 229,547 | | | | 800,333 | |
Receives | | 3-Month
USD
LIBOR | | | 2.34% | | | 6M/3M | | 01/25/27 | | Morgan Stanley
& Co. LLC | | | 1,000,000 USD | | | | 36,064 | | | | — | | | | 36,064 | |
Receives | | 3-Month
USD
LIBOR | | | 2.40% | | | 6M/3M | | 01/25/27 | | Morgan Stanley
& Co. LLC | | | 2,900,000 USD | | | | 91,046 | | | | 24,111 | | | | 66,935 | |
Receives | | 3-Month
USD
LIBOR | | | 2.41% | | | 6M/3M | | 02/26/27 | | Morgan Stanley
& Co. LLC | | | 2,300,000 USD | | | | 70,385 | | | | — | | | | 70,385 | |
Receives | | 3-Month
USD
LIBOR | | | 2.41% | | | 6M/3M | | 12/22/22 | | Merrill Lynch,
Pierce, Fenner
& Smith
Incorporated | | | 50,000,000��USD | | | | 640,051 | | | | — | | | | 640,051 | |
Receives | | 3-Month
USD
LIBOR | | | 2.41% | | | 6M/3M | | 11/29/27 | | Morgan Stanley
& Co. LLC | | | 1,700,000 USD | | | | 57,539 | | | | — | | | | 57,539 | |
Receives | | 3-Month
USD
LIBOR | | | 2.53% | | | 6M/3M | | 09/25/24 | | Morgan Stanley
& Co. LLC | | | 2,130,000 USD | | | | 27,976 | | | | — | | | | 27,976 | |
See Notes to Consolidated Financial Statements.
225
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
The
Fund
Pays/
Receives
Floating
Rate | | Floating
Rate
Index | | Fixed
Rate | | | Pay/
Receive
Payment
Freqency | | Maturity
Date | | Counterparty | | Notional
Amount | | | Market
Value | | | Upfront
Premium
Paid
(Received) | | | Unrealized
Appreciation
(Depreciation) | |
Receives | | 3-Month
USD
LIBOR | | | 2.58% | | | 6M/3M | | 03/30/27 | | Morgan
Stanley &
Co. LLC | | | 300,000 USD | | | $ | 5,321 | | | $ | — | | | $ | 5,321 | |
Receives | | 3-Month
USD
LIBOR | | | 2.90% | | | 6M/3M | | 03/27/26 | | Merrill
Lynch,
Pierce,
Fenner &
Smith
Incorporated | | | 20,000,000 USD | | | | (131,264) | | | | — | | | | (131,264) | |
Receives | | 3-Month
USD
LIBOR | | | 2.95% | | | 6M/3M | | 02/28/28 | | Morgan
Stanley &
Co. LLC | | | 800,000 USD | | | | (9,718) | | | | — | | | | (9,718) | |
Receives | | 3-Month
USD
LIBOR | | | 2.96% | | | 6M/3M | | 03/27/28 | | Morgan
Stanley &
Co. LLC | | | 1,700,000 USD | | | | (21,581) | | | | — | | | | (21,581) | |
| | | | | | | | | | | | | | | | | | | | |
Total Centrally Cleared Interest Rate Swaps Outstanding | | | $ | (135,765) | | | $ | 123,868 | | | $ | (259,633) | |
| | | | | | | | | | | | | | | | | | | | |
OTC Interest Rate Swaps Outstanding at March 31, 2018
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
The
Fund
Pays/
Receives
Floating
Rate | | Floating
Rate
Index | | | Fixed
Rate | | | Pay/
Receive
Payment
Freqency | | | Maturity
Date | | Counterparty | | Notional
Amount | | | Market
Value | | | Upfront
Premium
Paid
(Received) | | | Unrealized
Appreciation
(Depreciation) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Receives | |
| 3-Month
KRW |
| | | 2.33% | | | | 6M/6M | | | 03/21/23 | | Bank of
America,
N.A. | | | 11,586,686,960 KRW | | | $ | (62,076) | | | $ | — | | | $ | (62,076) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | |
Abbreviation Legend: |
| | M | | Monthly |
| | T | | At Maturity |
| | 1Y | | Yearly |
| | 3M | | Quarterly |
| | 6M | | Semi-Annually |
| | 28D | | 28 Days |
| | ADR | | American Depository Receipt |
| | BADLARPP | | BADLAR Private Banks |
| | CBOT | | Chicago Board of Trade |
| | CDE | | Montreal Exchange |
| | CME | | Chicago Mercantile Exchange |
| | COMEX | | Commodities Exchange Center |
| | Eurex | | Eurex Exchange |
| | EURIBOR | | Euro Interbank Offered Rate |
| | Euronext | | Euronext Paris |
See Notes to Consolidated Financial Statements.
226
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | |
| | HKFE | | Hong Kong Futures Exchange Ltd. |
| | ICE | | Ice Futures Europe |
| | IDEM | | Italian Derivatives Exchange Market |
| | ISE | | Istanbul Stock Exchange |
| | KRX FM | | Korea Exchange (Futures Market) |
| | LIBOR | | London Interbank Offered Rate |
| | LME | | London Metal Exchange |
| | MTN | | Medium Term Note |
| | MYX | | Bursa Malaysia |
| | Nasdaq OMX | | Nasdaq OMX Nordic |
| | 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 |
| | Safex | | South African Futures Exchange |
| | SFE | | ASX Trade24 |
| | SGX | | Singapore Exchange |
| | TFEX | | Thailand Futures Exchange |
|
Currency Legend: |
| | ARS | | Argentine Peso |
| | AUD | | Australian Dollar |
| | BRL | | Brazilian Real |
| | CAD | | Canadian Dollar |
| | CHF | | Swiss Franc |
| | CLP | | Chilean Peso |
| | CNH | | Chinese Renminbi |
| | COP | | Colombian Peso |
| | CZK | | Czech Koruna |
| | DKK | | Danish Krone |
| | EGP | | Egyptian Pound |
| | EUR | | Euro |
| | GBP | | British Pound |
| | HKD | | Hong Kong Dollar |
| | HUF | | Hungarian Forint |
| | IDR | | Indonesian Rupiah |
| | ILS | | Israeli Shekel |
| | INR | | Indian Rupee |
| | JPY | | Japanese Yen |
| | KRW | | South Korean Won |
| | MXN | | Mexican Peso |
| | MYR | | Malaysian Ringgit |
| | NOK | | Norwegian Krone |
| | NZD | | New Zealand Dollar |
| | PEN | | Peruvian Sol |
| | PHP | | Philippine Peso |
See Notes to Consolidated Financial Statements.
227
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2018
| | | | |
| | PLN | | Polish Zloty |
| | RUB | | Russian Ruble |
| | SEK | | Swedish Krona |
| | SGD | | Singapore Dollar |
| | THB | | Thai Baht |
| | TRY | | Turkish Lira |
| | TWD | | Taiwanese Dollar |
| | USD | | United States Dollar |
| | ZAR | | South African Rand |
See Notes to Consolidated Financial Statements.
228
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Statement of Assets and Liabilities
As of March 31, 2018
| | | | |
Assets: | | | | |
Investments in securities, at fair value (cost of $5,228,124,034)1 | | $ | 5,449,230,647 | |
Cash | | | 173,747,247 | |
Cash denominated in foreign currencies (cost of $241,949,865) | | | 240,327,745 | |
Segregated cash balance with broker for securities sold short | | | 1,279,573,588 | |
Segregated cash balance with custodian for derivative financial instruments | | | 427,272,999 | |
Segregated cash balance with counterparties for futures contracts | | | 159,046,806 | |
Segregated cash balance with counterparties for centrally cleared derivatives | | | 90,388,769 | |
Segregated cash balance with counterparties for OTC derivatives | | | 3,447,422 | |
Segregated cash balance with broker for TBAs | | | 2,700,000 | |
Segregated cash balance with counterparties for reverse repurchase agreements | | | 1,627,492 | |
Unrealized appreciation on forward foreign currency exchange contracts | | | 3,842,653 | |
Income receivable | | | 17,438,444 | |
Receivable for investments sold | | | 193,783,464 | |
Receivable for Fund shares sold | | | 8,109,134 | |
Receivable for periodic payments from swap contracts | | | 7,262,364 | |
Variation margin receivable on futures | | | 32,564,951 | |
Variation margin receivable on centrally cleared swaps | | | 238,854 | |
Swap contracts, at fair value (net premiums paid $4,304,788) | | | 60,588,001 | |
Prepaid expenses and other assets | | | 1,056,166 | |
| | | | |
Total assets | | | 8,152,246,746 | |
| | | | |
Liabilities: | | | | |
Securities sold short, at fair value (proceeds of $1,471,289,826) | | | 1,460,283,609 | |
Securities lending collateral payable | | | 36,187 | |
Cash received as collateral from custodian for derivative financial instruments | | | 590,000 | |
Cash received as collateral from counterparty for OTC derivatives | | | 485,249 | |
Cash received as collateral from counterparty for centrally cleared derivatives | | | 247,706 | |
Cash received as collateral from counterparty for futures contracts | | | 148,071 | |
Options written, at fair value (premiums received $558,522) | | | 514,388 | |
Unrealized depreciation on forward foreign currency exchange contracts | | | 5,483,064 | |
Payable for reverse repurchase agreements | | | 186,110,256 | |
Payable for investments purchased | | | 335,698,029 | |
Payable for Fund shares redeemed | | | 4,534,518 | |
Payable for periodic payments from swap contracts | | | 6,747,394 | |
Variation margin payable on futures | | | 7,281,217 | |
Variation margin payable on centrally cleared swaps | | | 28,173,559 | |
Swap contracts, at fair value (net premiums received $20,918,201) | | | 77,969,146 | |
Dividend and interest income payable on securities sold short | | | 897,535 | |
Management fee payable | | | 27,133,605 | |
Trustees’ fees payable | | | 16,570 | |
Accrued expenses and other liabilities | | | 5,882,495 | |
| | | | |
Total liabilities | | | 2,148,232,598 | |
| | | | |
Net assets | | $ | 6,004,014,148 | |
| | | | |
Net Assets Consist of: | | | | |
Paid-in capital | | $ | 5,957,984,662 | |
Distributions in excess of net investment income | | | (51,359,222 | ) |
Accumulated net realized loss | | | (176,496,674 | ) |
Net unrealized appreciation | | | 273,885,382 | |
| | | | |
Net assets | | $ | 6,004,014,148 | |
| | | | |
See Notes to Consolidated Financial Statements.
229
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Statement of Assets and Liabilities (Continued)
As of March 31, 2018
| | | | |
Net Asset Value: | | | | |
Class I Shares | | | | |
Net Assets | | $ | 5,088,031,126 | |
Class I Shares outstanding, no par value, unlimited shares authorized | | | 477,029,167 | |
| | | | |
Net asset value per share | | $ | 10.67 | |
| | | | |
Class D Shares | | | | |
Net Assets | | $ | 229,593,421 | |
Class D Shares outstanding, no par value, unlimited shares authorized | | | 21,571,025 | |
| | | | |
Net asset value per share | | $ | 10.64 | |
| | | | |
Class Y Shares | | | | |
Net Assets | | $ | 686,389,601 | |
Class Y Shares outstanding, no par value, unlimited shares authorized | | | 64,824,921 | |
| | | | |
Net asset value per share | | $ | 10.59 | |
| | | | |
| 1 | Includes $35,432, of investments in securities, at fair value, on loan. |
See Notes to Consolidated Financial Statements.
230
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Statement of Operations
For the Year Ended March 31, 2018
| | | | |
Investment Income: | | | | |
Interest (including net foreign taxes withheld of $8,794) | | $ | 118,414,118 | |
Dividends (including net foreign taxes withheld of $1,324,803) | | | 26,850,921 | |
Stock borrow rebates | | | 734,876 | |
| | | | |
Total income | | | 145,999,915 | |
| | | | |
Expenses: | | | | |
Management fees | | $ | 94,680,864 | |
Administration fees | | | 5,543,221 | |
Custodian fees | | | 2,880,765 | |
Trustees’ fees | | | 428,179 | |
Distribution fees — Class D | | | 549,612 | |
Shareholder service fees | | | 5,242,790 | |
Registration fees | | | 353,963 | |
Printing and postage fees | | | 558,306 | |
Professional fees | | | 1,908,895 | |
Dividends and interest on securities sold short | | | 21,128,642 | |
Line of credit fee | | | 222,640 | |
Interest fees | | | 5,968,115 | |
Other | | | 381,131 | |
| | | | |
Total expenses | | | 139,847,123 | |
| | | | |
Net investment income | | | 6,152,792 | |
| | | | |
Net Realized and Unrealized Gain (Loss): | | | | |
Net realized gain on investments in securities | | | 323,266,188 | |
Net realized loss on securities sold short | | | (159,355,573 | ) |
Net realized loss on forward foreign currency exchange contracts | | | (16,185,467 | ) |
Net realized loss on foreign currency transactions | | | (8,023,072 | ) |
Net realized loss on futures contracts | | | (49,186,254 | ) |
Net realized gain on options written | | | 1,611,994 | |
Net realized loss on swap contracts | | | (34,683,749 | ) |
Net change in unrealized depreciation on investments in securities | | | (12,133,286 | ) |
Net change in unrealized appreciation on securities sold short | | | 44,923,499 | |
Net change in unrealized appreciation on forward foreign currency exchange contracts | | | 1,256,076 | |
Net change in unrealized depreciation on foreign currency translations | | | (764,213 | ) |
Net change in unrealized appreciation on futures contracts | | | 35,412,770 | |
Net change in unrealized depreciation on options written | | | (742,404 | ) |
Net change in unrealized depreciation on swap contracts | | | (6,223,494 | ) |
| | | | |
Net realized and unrealized gain | | | 119,173,015 | |
| | | | |
Net increase in net assets resulting from operations | | $ | 125,325,807 | |
| | | | |
See Notes to Consolidated Financial Statements.
231
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Statement of Changes in Net Assets
| | | | | | | | |
| | | Year
Ended
3/31/2018 | | | Year
Ended
3/31/2017 | |
Increase (Decrease) in Net Assets | | | | | | | | |
Operations: | | | | | | | | |
Net investment income | | $ | 6,152,792 | | | $ | 31,254,328 | |
Net realized gain | | | 57,444,067 | | | | 73,472,613 | |
Net change in unrealized appreciation | | | 61,728,948 | | | | 240,552,440 | |
| | | | | | | | |
Net increase in net assets resulting from operations | | | 125,325,807 | | | | 345,279,381 | |
| | | | | | | | |
Distributions: | | | | | | | | |
Distributions from net investment income: | | | | | | | | |
Class I Shares | | | (34,554,353 | ) | | | (16,162,497 | ) |
Class D Shares | | | (670,230 | ) | | | (1,677,393 | ) |
Class Y Shares | | | (4,060,493 | ) | | | (2,232,284 | ) |
Distributions from net realized capital gains: | | | | | | | | |
Class I Shares | | | (55,631,249 | ) | | | — | |
Class D Shares | | | (2,682,946 | ) | | | — | |
Class Y Shares | | | (5,860,733 | ) | | | — | |
| | | | | | | | |
Total distributions to shareholders | | | (103,460,004 | ) | | | (20,072,174 | ) |
| | | | | | | | |
Capital Transactions: | | | | | | | | |
Shareholder subscriptions: | | | | | | | | |
Proceeds from sale of Class I Shares | | | 2,562,554,600 | | | | 1,349,759,049 | |
Proceeds from sale of Class D Shares | | | 67,394,565 | | | | 612,319,359 | |
Proceeds from sale of Class Y Shares | | | 317,584,068 | | | | 224,058,828 | |
Shareholder reinvestments: | | | | | | | | |
Net asset value of Class I Shares issued to shareholders in payment of distributions declared | | | 68,415,839 | | | | 11,716,838 | |
Net asset value of Class D Shares issued to shareholders in payment of distributions declared | | | 3,330,435 | | | | 1,671,266 | |
Net asset value of Class Y Shares issued to shareholders in payment of distributions declared | | | 8,795,033 | | | | 2,190,011 | |
Cost of Class I Shares redeemed | | | | | | | | |
Cost of Class I Shares redeemed | | | (1,157,385,421 | ) | | | (1,952,529,789 | ) |
Cost of Class D Shares redeemed | | | (160,036,741 | ) | | | (348,796,647 | ) |
Cost of Class Y Shares redeemed | | | (74,777,350 | ) | | | (162,772,964 | ) |
| | | | | | | | |
Net increase (decrease) in net assets resulting from capital transactions | | | 1,635,875,028 | | | | (262,384,049 | ) |
| | | | | | | | |
Net increase in net assets | | | 1,657,740,831 | | | | 62,823,158 | |
| | | | | | | | |
Net Assets: | | | | | | | | |
Beginning of period | | | 4,346,273,317 | | | | 4,283,450,159 | |
| | | | | | | | |
End of period | | $ | 6,004,014,148 | | | $ | 4,346,273,317 | |
| | | | | | | | |
| | |
| Distributions in excess of net investment income | | $ | (51,359,222 | ) | | $ | (7,605,587 | ) |
| | | | | | | | |
See Notes to Consolidated Financial Statements.
232
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Statement of Changes in Net Assets (Continued)
| | | | | | | | |
| | | Year
Ended
3/31/2018 | | | Year
Ended
3/31/2017 | |
Share Transactions: | | | | | | | | |
Class I Shares | | | | | | | | |
Beginning of period | | | 340,734,104 | | | | 399,185,175 | |
Shares issued | | | 236,875,140 | | | | 132,971,298 | |
Reinvestment in Shares | | | 6,364,256 | | | | 1,152,094 | |
Shares redeemed | | | (106,944,333 | ) | | | (192,574,463 | ) |
| | | | | | | | |
Net change in shares resulting from share transactions | | | 136,295,063 | | | | (58,451,071 | ) |
| | | | | | | | |
End of period | | | 477,029,167 | | | | 340,734,104 | |
| | | | | | | | |
Class D Shares | | | | | | | | |
Beginning of period | | | 30,032,248 | | | | 2,325,127 | |
Shares issued | | | 6,256,759 | | | | 61,462,720 | |
Reinvestment in Shares | | | 310,074 | | | | 164,648 | |
Shares redeemed | | | (15,028,056 | ) | | | (33,920,247 | ) |
| | | | | | | | |
Net change in shares resulting from share transactions | | | (8,461,223 | ) | | | 27,707,121 | |
| | | | | | | | |
End of period | | | 21,571,025 | | | | 30,032,248 | |
| | | | | | | | |
Class Y Shares | | | | | | | | |
Beginning of period | | | 41,247,352 | | | | 34,829,511 | |
Shares issued | | | 29,719,548 | | | | 22,324,054 | |
Reinvestment in Shares | | | 824,277 | | | | 217,048 | |
Shares redeemed | | | (6,966,256 | ) | | | (16,123,261 | ) |
| | | | | | | | |
Net change in shares resulting from share transactions | | | 23,577,569 | | | | 6,417,841 | |
| | | | | | | | |
End of period | | | 64,824,921 | | | | 41,247,352 | |
| | | | | | | | |
See Notes to Consolidated Financial Statements.
233
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Statement of Cash Flows
For the Year Ended March 31, 2018
| | | | |
Cash Flows from Operating Activities: | | | | |
Net increase in net assets resulting from operations | | $ | 125,325,807 | |
Adjustments to reconcile net increase (decrease) in net assets resulting from operations to net cash used for operating activities: | | | | |
Purchases of investments in securities | | | (9,825,074,835 | ) |
Proceeds from disposition of investments in securities | | | 9,363,912,154 | |
Proceeds from securities sold short | | | 4,908,537,148 | |
Payments to cover securities sold short | | | (4,766,422,017 | ) |
Net purchases/proceeds of short-term investments | | | (96,142,060 | ) |
Premiums paid on closing options written | | | (26,106,042 | ) |
Proceeds from premiums received from options written | | | 13,850,596 | |
Net realized gain on investments in securities | | | (323,266,188 | ) |
Net realized loss on securities sold short | | | 159,355,573 | |
Net realized gain on options written | | | (1,611,994 | ) |
Accretion of bond discount and amortization of bond and swap premium | | | (9,120,551 | ) |
Net change in unrealized depreciation on investments in securities | | | 12,133,286 | |
Net change in unrealized appreciation on securities sold short | | | (44,923,499 | ) |
Net change in unrealized depreciation on options written | | | 742,404 | |
Changes in assets and liabilities: | | | | |
(Increase) decrease in assets: | | | | |
Segregated cash balance with broker for securities sold short | | | (223,359,755 | ) |
Segregated cash balance with custodian for derivative financial instruments | | | (311,464,519 | ) |
Segregated cash balance with counterparties for futures contracts | | | (8,932,609 | ) |
Segregated cash balance with counterparties for centrally cleared derivatives | | | (49,300,523 | ) |
Segregated cash balance with counterparties for OTC derivatives | | | 9,629,327 | |
Segregated cash balance with broker for TBAs | | | (2,700,000 | ) |
Segregated cash balance with counterparties for reverse repurchase agreements | | | 6,728,734 | |
Unrealized appreciation on forward foreign currency exchange contracts | | | (266,064 | ) |
Income receivable | | | (2,696,071 | ) |
Receivable for periodic payments from swap contracts | | | 6,199,657 | |
Variation margin receivable on futures | | | (28,769,849 | ) |
Variation margin receivable on centrally cleared swaps | | | 98,146 | |
Swap contracts, at fair value | | | (34,896,991 | ) |
Prepaid expenses and other assets | | | (952,201 | ) |
Increase (decrease) in liabilities: | | | | |
Securities lending collateral payable | | | (36,428,016 | ) |
Cash received as collateral from custodian for derivative financial instruments | | | 590,000 | |
Cash received as collateral from counterparty for OTC derivatives | | | 325,249 | |
Cash received as collateral from counterparty for centrally cleared derivatives | | | 247,706 | |
Cash received as collateral from counterparty for futures contracts | | | 148,071 | |
Unrealized depreciation on forward foreign currency exchange contracts | | | (990,012 | ) |
Swap contracts, at fair value | | | 48,263,444 | |
Variation margin payable on futures | | | 6,616,892 | |
Variation margin payable on centrally cleared swaps | | | 18,881,456 | |
Payable for periodic payments from swap contracts | | | 5,429,846 | |
Dividend and interest income payable on securities sold short | | | (742,793 | ) |
Interest payable on reverse repurchase agreements | | | (565,088 | ) |
Management fee payable | | | 6,716,663 | |
Accrued expenses and other liabilities | | | 229,531 | |
Trustees’ fees payable | | | 16,570 | |
| | | | |
Net cash used in operating activities | | $ | (1,100,753,417 | ) |
| | | | |
See Notes to Consolidated Financial Statements.
234
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Statement of Cash Flows (Continued)
For the Year Ended March 31, 2018
| | | | |
Cash Flows from Financing Activities | | | | |
Proceeds from shares sold | | | 2,946,869,052 | |
Cost of shares repurchased | | | (1,394,849,909 | ) |
Proceeds from reverse repurchase agreements | | | 1,709,327,000 | |
Repayment of reverse repurchase agreements | | | (1,814,769,008 | ) |
Distributions paid (net of reinvestment) | | | (22,918,697 | ) |
| | | | |
Net cash provided by financing activities | | | 1,423,658,438 | |
| | | | |
Net increase (decrease) in cash and foreign currency | | | 322,905,021 | |
Cash and foreign currency, beginning of period | | | 91,169,971 | |
| | | | |
Cash and foreign currency, end of period | | $ | 414,074,992 | |
| | | | |
Supplemental disclosure of cash flow information: | | | | |
Cash paid during the period for interest | | $ | 4,809,639 | |
| | | | |
Non-Cash Financing Activities | | | | |
Capital shares issued in reinvestment of distribution | | $ | 80,541,307 | |
| | | | |
See Notes to Consolidated Financial Statements.
235
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Financial Highlights
(For Shares Outstanding Throughout the Period)
| | | | | | | | | | | | | | | | |
| | | Class I | |
| | | Year Ended
3/31/2018 | | | Year Ended
3/31/2017 | | | Year Ended
3/31/2016 | | | Period
Ended
3/31/20151 | |
Net Asset Value, Beginning of Period | | $ | 10.56 | | | $ | 9.82 | | | $ | 10.38 | | | $ | 10.00 | |
Income From Investment Operations: | | | | | | | | | | | | | | | | |
Net investment income (loss)2 | | | 0.01 | | | | 0.07 | | | | (0.05 | ) | | | (0.09 | ) |
Net realized and unrealized gain (loss) | | | 0.31 | | | | 0.72 | | | | (0.26 | ) | | | 0.53 | |
| | | | | | | | | | | | | | | | |
Total From Investment Operations | | | 0.32 | | | | 0.79 | | | | (0.31 | ) | | | 0.44 | |
| | | | | | | | | | | | | | | | |
Less Distributions to Shareholders: | | | | | | | | | | | | | | | | |
From net investment income | | | (0.08 | ) | | | (0.05 | ) | | | (0.01 | ) | | | (0.02 | ) |
From net realized capital gains | | | (0.13 | ) | | | — | | | | (0.24 | ) | | | (0.04 | ) |
| | | | | | | | | | | | | | | | |
Total Distributions | | | (0.21 | ) | | | (0.05 | ) | | | (0.25 | ) | | | (0.06 | ) |
| | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | $ | 10.67 | | | $ | 10.56 | | | $ | 9.82 | | | $ | 10.38 | |
| | | | | | | | | | | | | | | | |
Total Return | | | 3.06 | % | | | 8.03 | % | | | (3.01 | )% | | | 4.43 | %3 |
| | | | | | | | | | | | | | | | |
| | | | |
Ratios to Average Net Assets:4 | | | | | | | | | | | | | | | | |
Total expenses before recoupment (reimbursement) from Investment Adviser | | | 0.89 | % | | | 1.15 | % | | | 1.30 | % | | | 1.46 | %5 |
Management Fees | | | 1.88 | % | | | 1.88 | % | | | 1.92 | % | | | 1.95 | %5 |
Recoupment (reimbursement) from Investment Adviser | | | — | | | | — | | | | 0.05 | % | | | (0.24 | )%5 |
| | | | | | | | | | | | | | | | |
Net expenses after recoupment (reimbursement) from Investment Adviser | | | 2.77 | % | | | 3.03 | % | | | 3.27 | % | | | 3.17 | %5 |
Excluded expenses6 | | | (0.57 | )% | | | (0.81 | )% | | | (0.93 | )% | | | (0.77 | )%5 |
| | | | | | | | | | | | | | | | |
Expenses, net of impact of excluded expenses | | | 2.20 | % | | | 2.22 | % | | | 2.34 | % | | | 2.40 | %5 |
| | | | | | | | | | | | | | | | |
Net investment income (loss) | | | 0.13 | % | | | 0.71 | % | | | (0.45 | )% | | | (1.11 | )%5 |
| | | | | | | | | | | | | | | | |
Supplemental Data: | | | | | | | | | | | | | | | | |
Net assets, end of period (in thousands) | | $ | 5,088,031 | | | $ | 3,597,704 | | | $ | 3,921,027 | | | $ | 1,097,917 | |
Portfolio turnover | | | 300 | % | | | 237 | % | | | 172 | % | | | 194 | %3 |
| 1 | For the period June 16, 2014 (commencement of operations) to March 31, 2015. |
| 2 | Calculated using average shares outstanding during the period. |
| 3 | Percentage represents the results for the period and is not annualized. |
| 4 | The ratios do not reflect the Fund’s share of the income and expenses of the underlying Investee Funds. |
| 5 | Financial ratios have been annualized except for non-recurring costs. |
| 6 | Represents expenses excluded from reimbursement by the Investment Adviser, as defined in the Expense Limitation and Reimbursement Agreement. See Note 7. |
See Notes to Consolidated Financial Statements.
236
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Consolidated Financial Highlights (Continued)
(For Shares Outstanding Throughout the Period)
| | | | | | | | | | | | | | | | |
| | | Class D | |
| | | Year
Ended
3/31/2018 | | | Year
Ended
3/31/2017 | | | Year
Ended
3/31/2016 | | | Period
Ended
3/31/20151 | |
Net Asset Value, Beginning of Period | | $ | 10.53 | | | $ | 9.81 | | | $ | 10.38 | | | $ | 10.00 | |
Income From Investment Operations: | | | | | | | | | | | | | | | | |
Net investment income (loss)2 | | | (0.03 | ) | | | 0.05 | | | | (0.07 | ) | | | (0.05 | ) |
Net realized and unrealized gain (loss) | | | 0.30 | | | | 0.70 | | | | (0.26 | ) | | | 0.48 | |
| | | | | | | | | | | | | | | | |
Total From Investment Operations | | | 0.27 | | | | 0.75 | | | | (0.33 | ) | | | 0.43 | |
| | | | | | | | | | | | | | | | |
Less Distributions to Shareholders: | | | | | | | | | | | | | | | | |
From net investment income | | | (0.03 | ) | | | (0.03 | ) | | | — | | | | (0.01 | ) |
From net realized capital gains | | | (0.13 | ) | | | — | | | | (0.24 | ) | | | (0.04 | ) |
| | | | | | | | | | | | | | | | |
Total Distributions | | | (0.16 | ) | | | (0.03 | ) | | | (0.24 | ) | | | (0.05 | ) |
| | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | $ | 10.64 | | | $ | 10.53 | | | $ | 9.81 | | | $ | 10.38 | |
| | | | | | | | | | | | | | | | |
Total Return | | | 2.60 | % | | | 7.70 | % | | | (3.22 | )% | | | 4.32 | %3 |
| | | | | | | | | | | | | | | | |
| | | | |
Ratios to Average Net Assets:4 | | | | | | | | | | | | | | | | |
Total expenses before recoupment (reimbursement) from Investment Adviser | | | 1.27 | % | | | 1.40 | % | | | 1.55 | % | | | 1.59 | %5 |
Management Fees | | | 1.88 | % | | | 1.88 | % | | | 1.92 | % | | | 1.95 | %5 |
Recoupment (reimbursement) from Investment Adviser | | | — | | | | — | | | | 0.02 | % | | | (0.14 | )%5 |
| | | | | | | | | | | | | | | | |
Net expenses after recoupment (reimbursement) from Investment Adviser | | | 3.15 | % | | | 3.28 | % | | | 3.49 | % | | | 3.40 | %5 |
Excluded expenses6 | | | (0.81 | )% | | | (1.06 | )% | | | (1.18 | )% | | | (1.00 | )%5 |
| | | | | | | | | | | | | | | | |
Expenses, net of impact of excluded expenses | | | 2.34 | % | | | 2.22 | % | | | 2.31 | % | | | 2.40 | %5 |
| | | | | | | | | | | | | | | | |
Net investment income (loss) | | | (0.26 | )% | | | 0.48 | % | | | (0.66 | )% | | | (1.29 | )%5 |
| | | | | | | | | | | | | | | | |
Supplemental Data: | | | | | | | | | | | | | | | | |
Net assets, end of period (in thousands) | | $ | 229,593 | | | $ | 316,243 | | | $ | 22,811 | | | $ | 6,012 | |
Portfolio turnover | | | 300 | % | | | 237 | % | | | 172 | % | | | 194 | %3 |
| 1 | For the period November 17, 2014 (commencement of operations) to March 31, 2015. |
| 2 | Calculated using average shares outstanding during the period. |
| 3 | Percentage represents the results for the period and is not annualized. |
| 4 | The ratios do not reflect the Fund’s share of the income and expenses of the underlying Investee Funds. |
| 5 | Financial ratios have been annualized except for non-recurring costs. |
| 6 | Represents expenses excluded from reimbursement by the Investment Adviser, as defined in the Expense Limitation and Reimbursement Agreement. See Note 7. |
See Notes to Consolidated Financial Statements.
237
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Financial Highlights (Continued)
(For Shares Outstanding Throughout the Period)
| | | | | | | | | | | | | | | | | | | | |
| | | Class Y |
| | | Year
Ended
3/31/2018 | | Year
Ended
3/31/2017 | | Year
Ended
3/31/2016 | | Period
Ended
3/31/20151 |
Net Asset Value, Beginning of Period | | | $ | 10.48 | | | | $ | 9.75 | | | | $ | 10.29 | | | | $ | 10.00 | |
Income From Investment Operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income (loss)2 | | | | 0.02 | | | | | 0.08 | | | | | (0.03 | ) | | | | (0.02 | ) |
Net realized and unrealized gain (loss) | | | | 0.31 | | | | | 0.71 | | | | | (0.25 | ) | | | | 0.31 | |
| | | | | | | | | | | | | | | | | | | | |
Total From Investment Operations | | | | 0.33 | | | | | 0.79 | | | | | (0.28 | ) | | | | 0.29 | |
| | | | | | | | | | | | | | | | | | | | |
Less Distributions to Shareholders: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | | (0.09 | ) | | | | (0.06 | ) | | | | (0.02 | ) | | | | — | |
From net realized capital gains | | | | (0.13 | ) | | | | — | | | | | (0.24 | ) | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | | (0.22 | ) | | | | (0.06 | ) | | | | (0.26 | ) | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | | $ | 10.59 | | | | $ | 10.48 | | | | $ | 9.75 | | | | $ | 10.29 | |
| | | | | | | | | | | | | | | | | | | | |
Total Return | | | | 3.17 | % | | | | 8.10 | % | | | | (2.90 | )% | | | | 2.90 | %3 |
| | | | | | | | | | | | | | | | | | | | |
| | | | |
Ratios to Average Net Assets:4 | | | | | | | | | | | | | | | | | | | | |
Total expenses before recoupment (reimbursement) from Investment Adviser | | | | 0.79 | % | | | | 1.05 | % | | | | 1.20 | % | | | | 1.31 | %5 |
Management Fees | | | | 1.88 | % | | | | 1.88 | % | | | | 1.92 | % | | | | 1.95 | %5 |
Recoupment (reimbursement) from Investment Adviser | | | | — | | | | | — | | | | | 0.00 | %6 | | | | (0.07 | )%5 |
| | | | | | | | | | | | | | | | | | | | |
Net expenses after recoupment (reimbursement) from Investment Adviser | | | | 2.67 | % | | | | 2.93 | % | | | | 3.12 | % | | | | 3.19 | %5 |
Excluded expenses7 | | | | (0.57 | )% | | | | (0.81 | )% | | | | (0.92 | )% | | | | (0.79 | )%5 |
| | | | | | | | | | | | | | | | | | | | |
Expenses, net of impact of excluded expenses | | | | 2.10 | % | | | | 2.12 | % | | | | 2.20 | % | | | | 2.40 | %5 |
| | | | | | | | | | | | | | | | | | | | |
Net investment income (loss) | | | | 0.23 | % | | | | 0.78 | % | | | | (0.34 | )% | | | | (1.03 | )%5 |
| | | | | | | | | | | | | | | | | | | | |
Supplemental Data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (in thousands) | | | $ | 686,390 | | | | $ | 432,327 | | | | $ | 339,613 | | | | $ | 105,624 | |
Portfolio turnover | | | | 300 | % | | | | 237 | % | | | | 172 | % | | | | 194 | %3 |
| 1 | For the period January 28, 2015 (commencement of operations) to March 31, 2015. |
| 2 | Calculated using average shares outstanding during the period. |
| 3 | Percentage represents the results for the period and is not annualized. |
| 4 | The ratios do not reflect the Fund’s share of the income and expenses of the underlying Investee Funds. |
| 5 | Financial ratios have been annualized except for non-recurring costs. |
| 6 | Represents less than 0.01%. |
| 7 | Represents expenses excluded from reimbursement by the Investment Adviser, as defined in the Expense Limitation and Reimbursement Agreement. See Note 7. |
See Notes to Consolidated Financial Statements.
238
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Notes to Consolidated Financial Statements
For the Year Ended March 31, 2018
1. Organization
Blackstone Alternative Investment Funds (the “Trust”) is a Massachusetts business trust authorized to issue an unlimited number of shares of beneficial interest, which may be divided into different series and classes. The Trust is registered as an open-end management investment company under the Investment Company Act of 1940, as amended (the “1940 Act”) that consists of a single series, Blackstone Alternative Multi-Strategy Fund (the “Fund”). The Fund commenced operations offering Class I Shares on June 16, 2014. The Fund also offers Class D Shares, Class Y Shares and Class R Shares, of which, Class D Shares and Class Y Shares commenced operations on November 17, 2014 and January 28, 2015, respectively. As of March 31, 2018, the Fund had not issued any Class R Shares. The Fund operates as a diversified open-end investment company as defined in the 1940 Act.
The investment adviser of the Fund is Blackstone Alternative Investment Advisors LLC (“BAIA” or the “Investment Adviser”), a registered investment adviser under the Investment Advisers Act of 1940, as amended. The Board of Trustees (the “Board” and each member a “Trustee”) of the Trust supervises the conduct of the Fund’s affairs and, pursuant to an investment management agreement, has engaged BAIA to manage the Fund’s day-to-day investment activities. The Fund’s investment objective is to seek capital appreciation. In pursuing the Fund’s investment objective, the Investment Adviser focuses on the preservation of capital and seeks to maintain an investment portfolio with, on average, lower volatility relative to the broker equity markets. The Investment Adviser seeks to achieve the Fund’s objectives by allocating the Fund’s assets among a variety of non-traditional, or “alternative,” investment strategies. The Investment Adviser determines the allocations of the Fund’s assets and allocates a majority of the Fund’s assets among the sub-advisers (the “Sub-Advisers”) with experience managing alternative investment strategies and among investment funds, and may also manage 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 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 responsibility to oversee each Sub-Adviser (subject to the oversight of the Board).
The Fund’s assets may be invested in three wholly-owned and controlled subsidiaries of the Fund (collectively, the “Subsidiaries”), each of which has the same investment objective as the Fund. One of the Fund’s Subsidiaries, Blackstone Alternative Multi-Strategy Sub Fund II Ltd. (the “Cayman Subsidiary”), is a Cayman Islands exempted company. Both of the other Subsidiaries, Blackstone Alternative Multi-Strategy Sub Fund III L.L.C. (the “Domestic Subsidiary III”) and Blackstone Alternative Multi-Strategy Sub Fund IV L.L.C. (the “Domestic Subsidiary IV”), are Delaware limited liability companies. The Cayman Subsidiary invests, directly or indirectly through the use of derivatives, in securities and commodity interests. The Domestic Subsidiary III and the Domestic Subsidiary IV invest, directly or indirectly through the use of derivatives, almost entirely in securities (with only de minimis exposure to commodity interests). The consolidated financial statements include the financial statements of the Fund and the three Subsidiaries. Except where context otherwise requires, the term “Fund” refers to the Fund together with the applicable Subsidiaries.
The Fund and the Cayman Subsidiary are each a commodity pool subject to regulation by the Commodity Futures Trading Commission (“CFTC”). BAIA, the commodity pool operator of the Fund and the Cayman Subsidiary, is registered as such with the CFTC, but has claimed relief under Rules 4.12(c)(3) and 4.7 of the Commodity Exchange Act (“CEA”), respectively, from certain disclosure, reporting, and recordkeeping requirements otherwise applicable to commodity pools. Neither the Domestic Subsidiary III nor the Domestic
239
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Notes to Consolidated Financial Statements (Continued)
For the Year Ended March 31, 2018
Subsidiary IV intends to invest more than a de minimis level of its net assets in “commodity interests” (as defined under the CEA). Accordingly, BAIA has claimed an exemption under Rule 4.13(a)(3) from registration as a commodity pool operator with respect to the Domestic Subsidiary III and the Domestic Subsidiary IV, and such pools are not subject to regulation by the CFTC.
Capitalized terms used, but not defined herein, shall have the meaning assigned to them in the Prospectus of the Fund.
2. Basis of Presentation
The Fund’s consolidated financial statements are prepared in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”) and are stated in U.S. dollars, except as otherwise noted. The preparation of consolidated financial statements in accordance with U.S. GAAP requires management to make certain estimates and assumptions that affect the reported amount of assets and liabilities, the disclosure of contingent assets and liabilities, and the reported amounts of income and expenses during the period. Actual results could differ from these estimates and these differences could be material.
The Fund is an investment company in accordance with Accounting Standards Codification 946, Financial Services—Investment Companies (“ASC 946”), which defines investment companies and prescribes specialized accounting and reporting requirements for investment companies.
Consolidation
The Fund consolidates its investment in the Subsidiaries. Accordingly, the consolidated financial statements include the assets and liabilities and the results of operations of the Subsidiaries. All material intercompany balances and transactions have been eliminated.
3. Significant Accounting Policies
Valuation Policy
The net asset value (“NAV”) of the Fund’s shares is calculated as of the close of regular trading on the New York Stock Exchange (“NYSE”) (generally 4:00 pm Eastern Time) on each day that the NYSE is open for business (a “Business Day”).
For purposes of calculating the NAV for each class of shares, the Fund values its investments in securities, securities sold short, derivative financial instruments and other investments at fair value. The Board has established procedures for determining the fair value of securities, including securities sold short, derivative financial instruments and other investments (together, the “investments”) (the “Valuation Procedures”). The Board has delegated to the Investment Adviser day-to-day responsibility for implementing the Valuation Procedures. The Investment Adviser’s management has formed the Fair Value Committee (the “FVC”), to which the Board has delegated responsibility for providing oversight of the valuation and pricing function of the Fund for all investments. Pursuant to the Valuation Procedures, if market quotations are not readily available (or are otherwise not reliable for a particular investment), the fair value will be determined by the FVC in good faith, and such determinations shall be reported to the Board. Due to the inherent uncertainty, estimates of fair value may differ from the values that would have been used had a ready market for these investments existed and the differences could be material.
Market quotes are considered not readily available in circumstances where there is an absence of current or reliable market-based data (e.g., trade information, bid/ask information, or broker-dealer quotations),
240
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Notes to Consolidated Financial Statements (Continued)
For the Year Ended March 31, 2018
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 year ended March 31, 2018.
Fair Value Measurements
Fair value guidance defines fair value, establishes a framework for measuring fair value, and expands disclosures about fair value measurements. U.S. GAAP defines fair value as the price that the Fund would receive to sell an asset or pay to transfer a liability (i.e., the exit price) in an orderly transaction between market participants at the measurement date.
The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for investments categorized in Level 3. The inputs or methodology used for valuing an investment are not necessarily an indication of the risk associated with investing in those securities.
Investments measured and reported at fair value are classified and disclosed in one of the following levels within the fair value hierarchy based on the lowest level of input that is significant to the fair value measurement:
Level 1 – quoted prices are available in active markets for identical investments as of the measurement date. The Fund does not adjust the quoted price for these investments.
The types of investments categorized within Level 1 generally include actively traded domestic and certain foreign equity securities, short-term investments and derivative financial instruments actively traded on recognized exchanges.
Level 2 – quoted prices are available in markets that are not active or model inputs are based on inputs that are either directly or indirectly observable as of the measurement date.
The types of investments categorized within Level 2 generally include certain foreign equities; fixed income securities including corporate and convertible bonds, loans, trade claims, sovereign debt obligations, U.S. Treasury obligations, and asset-backed and mortgage-backed securities; over-the-counter (“OTC”) derivative financial instruments such as total return swaps, interest rate swaps, credit default swaps, OTC options; and forward foreign currency exchange contracts (“Forwards”).
Level 3 – pricing inputs are unobservable and include instances where there is little, if any, market activity for the investment. Inputs reflect the best estimate of what market participants would use in determining fair value of investments as of the measurement date.
Changes in valuation techniques may result in transfers in or out of an investment’s assigned level within the fair value hierarchy.
241
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Notes to Consolidated Financial Statements (Continued)
For the Year Ended March 31, 2018
A description of the valuation techniques applied to the Fund’s major categories of investments measured at fair value on a recurring basis are as follows:
Exchange-Traded Securities
Equity securities, including common stock, listed preferred stock, exchange-traded funds, and derivative financial instruments, such as futures contracts and option contracts, that are traded on a recognized securities exchange or on the NASDAQ Global Market System (“NASDAQ”) are valued at the last reported sales price (or the official closing price of certain foreign exchanges) or the NASDAQ official closing price, as applicable. For securities traded on more than one exchange, the last reported sales price on the exchange where the security is primarily traded is used. To the extent these securities and derivative financial instruments are actively traded and adjustments are not applied, they are categorized as Level 1 within the fair value hierarchy.
The Fund may use a third-party fair valuation service provider to value foreign equity securities that are primarily traded outside of North America and South America. The third-party fair valuation service provider calculates a factor (“Fair Value Factor”) that is applied to adjust the last price of each such security in the event that there is movement in excess of a specified trigger (“Fair Value Trigger”), as measured by the movement between the prior close and the current close of the U.S. market. Foreign equities for which the last price has been adjusted by such factor will generally be categorized as Level 2 within the fair value hierarchy. As of March 31, 2018, certain foreign equity securities were classified in Level 2 as a Fair Value Factor was applied to the prices of these securities.
Short-Term Investments
The Fund considers short-term, highly liquid investments with original maturities of 90 days or less when acquired to be short-term investments. At March 31, 2018, the Fund had $349,537,541 invested in State Street Institutional U.S. Government Money Market Fund (GVMXX—Premier Class) and $22,164 invested in Morgan Stanley Institutional Liquidity Funds Treasury Securities Portfolio (MSUXX). Investments in money market funds are categorized as Level 1 within the fair value hierarchy and are valued at net asset value.
Effective October 14, 2016, money market funds are required to comply with certain rules adopted by the Securities and Exchange Commission (“SEC”) in July 2014. The rules establish new definitions for money market fund classifications and certain money market funds are required to move from a stable $1.00 price per share to a floating net asset value. Money market funds that meet certain criteria can maintain a fixed $1.00 share price. The State Street Institutional U.S. Government Money Market Fund invests only in obligations issued or guaranteed as to principal and/or interest, as applicable, by the U.S. government or its agencies and instrumentalities, as well as repurchase agreements secured by such instruments and maintains a fixed $1.00 share price. Additionally, the State Street Institutional U.S. Government Money Market Fund is not subject to liquidity fees or redemption gates.
Derivative Financial Instruments
OTC derivative financial instruments, such as Forwards, OTC options contracts, or swap agreements, derive their value from underlying referenced instruments or obligations, indices, reference rates, and other inputs or a combination thereof. These contracts are normally valued by pricing service providers or based on broker-dealer quotations. Depending on the nature of the instruments and the terms of the transaction, the value of OTC derivative financial instruments can be estimated by a pricing service provider using a series of techniques, including industry standard pricing models. The pricing models use inputs that are observed from
242
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Notes to Consolidated Financial Statements (Continued)
For the Year Ended March 31, 2018
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. Treasury obligations, foreign debt obligations, and bank debt are normally valued by pricing service providers on the basis of last available bid price or ask price for securities sold short. In determining the value of a particular investment, pricing service providers may use broker-dealer quotations, reported trades or valuation estimates from their internal pricing models to determine the reported price that consider observable inputs. The pricing service providers’ internal models use observable inputs such as issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar assets. Securities that use similar valuation techniques and inputs as described above are categorized as Level 2 within the fair value hierarchy.
Mortgage-related securities (“MBS”) and asset-backed securities (“ABS”) are usually issued as separate tranches, or classes, of securities within each deal. These securities are also generally valued by pricing service providers that use broker-dealer quotations or valuation estimates from their internal pricing models. The pricing models for these securities usually consider tranche-level attributes, current market data, estimated cash flows and market-based yield spreads for each tranche, and incorporate deal collateral performance, as available. MBS and ABS that use similar valuation techniques and inputs as described above are categorized as Level 2 within the fair value hierarchy.
Level 3 investments are valued by broker quotes, fair value models, or pricing services that may employ valuation techniques with unobservable inputs. At March 31, 2018, the total fair value of Level 3 investments was $34,606,193. The appropriateness of fair values for these securities are monitored on an ongoing basis which may include results of backtesting, results of pricing due diligence, unchanged price review, use of specialists, and consideration of macro security specific events.
Investments in Investee Funds
The fair value of investments in unaffiliated hedge funds (collectively, the “Investee Funds”) is generally determined using the reported net asset value per share of the Investee Fund, or its equivalent, as a practical expedient for fair value, unless the investment in the Investee Fund is traded on a recognized securities exchange and a quoted price is available as of the measurement date. If the Investee Fund is not traded on an exchange, the Fund may, as a practical expedient, estimate the fair value of an Investee Fund based on the reported net asset value per share or its equivalent if the reported net asset value per share or its equivalent of the Investee Fund is calculated in a manner consistent with the measurement principles applied to investment companies, in accordance with ASC 946.
243
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Notes to Consolidated Financial Statements (Continued)
For the Year Ended March 31, 2018
Securities and Other Investments
Bank Debt
The Fund may invest in bank debt including, for example, corporate loans, trade claims, loan participations, direct debt, revolvers, bank loans, and bridge loans. The Fund invests in loans through novations, assignments, and participation interests. In a novation, the Fund typically assumes all of the rights of a lending institution, including the right to receive payments of principal and interest and other amounts directly from the borrower and to enforce its rights as a lender directly against the borrower. When the Fund takes an assignment of a loan, the Fund acquires some or all of the interest of another lender (or assignee) in the loan. In such cases, the Fund may be required generally to rely upon the assignor to demand payment and enforce rights under the loan. If the Fund acquires a participation in the loan, the Fund purchases an indirect interest in a loan held by a third-party and the Fund typically will have a contractual relationship only with the third-party loan investor, not with the borrower. As a result, the Fund may have the right to receive payments of principal, interest, and any fees to which it is entitled only from the loan investor selling the participation and only upon receipt by such loan investor of such payments from the borrower. In such cases, the Fund assumes the credit risk of both the borrower and the loan investor selling the participation, and the Fund may be unable to realize some or all of the value of its interest in the loan in the event of the insolvency of the third-party. Changes in the financial condition of the borrower or economic conditions or other circumstances may reduce the capacity of the borrower to make principal and interest payments on such instruments and may lead to defaults. Certain types of bank debt may have an associated partially funded or unfunded commitment. The unfunded commitments may or may not be funded by the Fund. At March 31, 2018, the Fund had an outstanding commitment of $12,548 related to held bank debt.
Mortgage-Related and Other Asset-Backed Securities
The Fund may invest in MBS (residential and commercial) and other ABS. These securities include mortgage pass-through securities, collateralized mortgage obligations, commercial mortgage-backed securities, residential mortgage-backed securities, collateralized debt obligations and other securities that directly or indirectly represent a participation in, or are secured by and payable from, mortgage loans on real property. MBS and other ABS represent interests in pools of mortgages, loans or other assets. MBS are created from pools of residential or commercial mortgage loans, including loans made by savings and loans institutions, mortgage bankers, commercial banks and others. These securities typically provide a monthly payment which consists of principal and/or interest payments. Interest payments may be determined by fixed or adjustable rates. MBS and ABS are subject to credit, interest rate, prepayment and extension risks.
Securities Sold Short
The Fund may sell securities short (a “Short Sale”). A Short Sale is a transaction whereby the Fund sells securities it does not own in anticipation of a decline in the market price of those securities, whereby the Fund’s broker will execute a borrow transaction to deliver the securities resulting from the Fund’s Short Sale. The Fund is obligated to repurchase the securities at the market price at the time of replacement. The Fund’s obligations to replace the securities in connection with a Short Sale are secured by collateral.
Upon entering into a Short Sale, the Fund establishes a liability which is recorded as securities sold short in the Consolidated Statement of Assets and Liabilities to represent securities due under the Short Sale agreement. The Fund is liable to pay any dividends declared and/or interest income earned during the period the Short Sale is open. These dividends and interest are recorded as dividend and interest expense on securities sold short in the Consolidated Statement of Operations.
244
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Notes to Consolidated Financial Statements (Continued)
For the Year Ended March 31, 2018
Investment Transactions and Related Investment Income
Investment transactions are recorded as of the trade date. Dividend income is recorded on the ex-dividend date or, for certain foreign securities, as of the date notified. Interest income, which includes amortization of premiums and accretion of discounts on non-defaulted fixed income securities, is recorded on an accrual basis and is accrued daily. Realized gains and losses on investments are determined on the identified cost basis, which is the same basis used for federal income tax purposes. Foreign income and foreign capital gains on some foreign securities may be subject to foreign taxes, which are accrued as applicable.
Allocation of Income and Expenses
The Fund uses each class of share’s adjusted prior day net assets, adjusted for capital activity, to allocate Fund-level income and expenses and unrealized capital gains and losses pro-rata to each class of shares. Class-specific income and expenses are allocated directly to the applicable class.
Cash
At March 31, 2018, the Fund had $173,747,247 in domestic cash and $240,327,745 in foreign cash held at State Street Bank and Trust.
Foreign Currency
The functional currency of the Fund is the U.S. dollar. Assets and liabilities denominated in foreign currencies are translated into U.S. dollars at the closing prices of such currencies on each Business Day. Purchases and sales of investments and income and expenses are translated on the respective dates of such transactions or when accrued. The Fund does not isolate the portion of realized or unrealized gains or losses resulting from changes in the foreign exchange rate on investments from fluctuations arising from changes in the fair value of the investments. Such gains and losses are included with net realized and unrealized gain or loss on investments. Net realized gains and losses on foreign currency transactions represent net realized exchange gains or losses on disposition of foreign currencies and currency gains and losses realized between trade and settlement dates on investment transactions. Net unrealized appreciation and deprecation of assets and liabilities, other than investments, attributable to foreign currency fluctuations are recorded as net unrealized appreciation or depreciation on foreign currency translations in the Consolidated Statement of Operations.
Contingencies
Under the Trust’s Amended and Restated Agreement and Declaration of Trust (the “Declaration of Trust”), the Fund’s officers and Trustees are indemnified against certain liabilities that may arise out of the performance of their duties to the Fund. Additionally, in the normal course of business, the Fund may enter into contracts that contain a variety of representations and indemnifications. To date, the Fund has not had claims or losses pursuant to these contracts, although there is no assurance that it will not incur losses in connection with these indemnifications in the future.
Income Taxes
The Fund’s policy is to comply with the provisions of the Internal Revenue Code, as amended, applicable to regulated investment companies and to distribute all of its investment company taxable income and net long-term capital gains to its shareholders. Therefore, no federal income tax provision is expected to be required. The Fund plans to file U.S. federal and various state and local tax returns.
245
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Notes to Consolidated Financial Statements (Continued)
For the Year Ended March 31, 2018
For the current open tax years ending in October 31, 2015, October 31, 2016 and October 31, 2017, and all major jurisdictions, management of the Fund has concluded that there are no significant uncertain tax positions that would require recognition in the consolidated financial statements. As a result, no income tax liability or expense, including interest and penalties, has been recorded within these consolidated financial statements.
Dividends and Distributions to Shareholders
Dividends from net investment income and distributions of net realized capital gains of the Fund, if any, are generally declared and paid in December; however, the Fund may make additional distributions at other times. Dividends and capital gain distributions paid by the Fund will be reinvested in additional Shares (see Note 6) of the Fund or, if elected by the Shareholder, paid in cash.
Segregation and Collateralization
In cases in which the 1940 Act and the interpretive positions of the SEC and its staff require that the Fund either delivers collateral or segregates assets in connection with certain investments (e.g., futures contracts, forward foreign currency exchange contracts, swaps and options written), or transactions considered to reflect borrowings (e.g., reverse repurchase agreements), the Fund will, consistent with SEC rules and/or certain interpretive guidance issued by the SEC, segregate collateral or designate on its books and records cash or liquid securities having a market value at least equal to the amount that would otherwise be required to be physically segregated. Furthermore, based on requirements and agreements with certain exchanges and third party broker-dealers, the Fund engaging in such transactions may have requirements to deliver/deposit securities to/with an exchange or broker-dealer as collateral for certain investments to the extent consistent with the 1940 Act and interpretive positions of the SEC and its staff. The Fund may mitigate counterparty risk by procuring collateral and through netting provisions included within an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) implemented between the Fund and each of its respective counterparties. An ISDA Master Agreement may contain certain provisions regarding, among other things, the parties’ general obligations, representations, agreements, collateral requirements, events of default and early termination. Certain ISDA Master Agreements, or similar agreements, may allow the Fund to offset certain derivative financial instruments’ with collateral. At March 31, 2018, the Fund used the gross method of presentation in its consolidated financial statements and did not elect to offset amounts eligible for offset under enforceable master netting arrangements or similar agreements (“MNA”). The segregated cash balance with counterparties for OTC derivatives disclosed on the Consolidated Statement of Assets and Liabilities includes amounts for various derivative types which are comingled per our ISDA Master Agreements. These amounts are shown gross. The amount of collateral moved to/from applicable counterparties is generally based upon minimum transfer amounts of up to $250,000. Collateral pledged by the Fund is segregated by the Fund’s custodian and identified as such in the Fund’s portfolio. Collateral can be in the form of cash or securities as agreed to by the Fund and the applicable counterparty. Typically, the Fund and counterparties are not permitted to sell, repledge or use the collateral they receive unless explicitly permitted by each respective governing agreement.
The Fund manages counterparty risk by entering into agreements only with counterparties that the Investment Adviser believes to have the financial resources to honor its obligations and by monitoring the financial stability of those counterparties. The agreements entered into by the Fund may contain credit risk related contingent features that may be triggered in certain circumstances to protect either party from a deterioration in creditworthiness of the other. Such circumstances may include a decrease in credit rating or, in the case of the Fund, a decrease in net asset value. If triggered, the Fund or counterparty may be entitled to additional cash margin and/or to terminate the contract. See Note 9 for a further discussion of the risks of the Fund, including credit and counterparty risk.
246
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Notes to Consolidated Financial Statements (Continued)
For the Year Ended March 31, 2018
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 March 31, 2018, the face value of open reverse repurchase agreements for the Fund was $185,776,000. The weighted average daily balances of reverse repurchase agreements outstanding during the year ended March 31, 2018 for the Fund was approximately $196,655,140, at a weighted average weekly interest rate of 2.79%.
An MRA contains provisions for, among other things, initiation, income payments, events of default and maintenance of securities for repurchase agreements. An MRA also permits offsetting with collateral to create one single net payment in the event of default or similar events, including the bankruptcy or insolvency of a counterparty. The Fund may not use reverse repurchase agreements and related collateral governed by an MRA to offset derivatives contracts and related collateral governed by an ISDA (see Note 4) or securities lending agreements and related collateral governed by a securities lending agreement (“SLA”) (see below).
The following tables present the reverse repurchase agreements, which are subject to enforceable MRAs, as well as the collateral delivered related to those reverse repurchase agreements by class of collateral and summarized by the remaining contractual maturity of the transactions.
| | | | | | | | | | | | | | | | | | | | |
Counterparty | | Reverse
Repurchase
Agreements | | Fair Value of
Non-Cash
Collateral(1) | | Cash
Collateral
Pledged(1) | | Net
Amount |
BNP Paribas Securities Corp. | | | $ | (3,068,871 | ) | | | $ | 3,068,871 | | | | $ | — | | | | $ | — | |
Credit Suisse Securities (USA) LLC | | | | (2,721,745 | ) | | | | 2,721,745 | | | | | — | | | | | — | |
JPMorgan Chase Bank, N.A. | | | | (37,768,229 | ) | | | | 37,768,229 | | | | | — | | | | | — | |
Merrill Lynch, Pierce, Fenner & Smith, Inc. | | | | (42,563,443 | ) | | | | 42,563,443 | | | | | — | | | | | — | |
Royal Bank of Canada | | | | (99,987,968 | ) | | | | 99,987,968 | | | | | — | | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total | | | $ | (186,110,256 | ) | | | $ | 186,110,256 | | | | $ | — | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
| (1) | Additional required collateral pledged is not shown for financial reporting purposes. The total fair value of non-cash and cash collateral pledged at March 31, 2018 was $234,198,315 and $1,627,491, respectively. |
247
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Notes to Consolidated Financial Statements (Continued)
For the Year Ended March 31, 2018
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Remaining Contractual Maturity of the Agreements
As of March 31, 2018 |
| | | Overnight and Continuous | | <30 days | | Between 30 & 90 days | | >90 days | | Total |
Reverse Repurchase Agreements | | | | | | | | | | | | | | | | | | | | | |
Mortgage-Backed Securities | | | $ | — | | | | $ | (106,669,591 | ) | | | $ | (73,792,521 | ) | | | $ | — | | | | $ | (180,462,112 | ) |
Asset-Backed Securities | | | | — | | | | | (4,363,752 | ) | | | | — | | | | | — | | | | | (4,363,752 | ) |
Cash | | | | (1,284,392 | ) | | | | — | | | | | — | | | | | — | | | | | (1,284,392 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | | $ | (1,284,392 | ) | | | $ | (111,033,343 | ) | | | $ | (73,792,521 | ) | | | $ | — | | | | $ | (186,110,256 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Gross amount of recognized liabilities for reverse repurchase agreements | | | | | | | | | | | | | | | | | | | | | | | $ | (186,110,256 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
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. Income from securities lending is included in investment income in the Consolidated Statement of Operations. As of March 31, 2018, the market value of security loaned for the Fund amounted to $35,432 and the Fund had received cash collateral of $36,187. The market value of security loaned is classified as common stock in the Fund’s Consolidated Schedule of Investments and as a component of investments in securities, at fair value in the Consolidated Statement of Assets and Liabilities. In addition, the value of the related collateral is shown separately as securities lending collateral payable in the Consolidated Statement of Assets and Liabilities. All of the security lending agreements are continuous.
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.
The following table presents the SLA by borrower/counterparty, which are subject to offset under the SLA, as well as the collateral delivered related to those SLA by class of collateral and summarized by the remaining contractual maturity of the transactions. The Fund may not use collateral governed by an SLA to offset reverse repurchase agreements and related collateral governed by an MRA (see above) or derivatives contracts and related collateral governed by an ISDA (see Note 4).
| | | | | | | | | | | | | | | |
Borrower/Counterparty | | Securities Loaned
at Value | | Cash Collateral
Received(1) | | Net Amount |
Natixis Securities Americas LLC. | | | $ | 35,432 | | | | $ | (35,432 | ) | | | $ | — | |
| | | | | | | | | | | | | | | |
Total | | | $ | 35,432 | | | | $ | (35,432 | ) | | | $ | — | |
| | | | | | | | | | | | | | | |
| (1) | Additional required collateral received from the individual counterparty is not shown for financial reporting purposes. |
248
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Notes to Consolidated Financial Statements (Continued)
For the Year Ended March 31, 2018
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Remaining Contractual Maturity of the Agreements
As of March 31, 2018 |
| | | Overnight
and
Continuous | | <30 days | | Between
30 & 90
days | | >90 days | | Total |
Securities Lending Agreements | | | | | | | | | | | | | | | | | | | | | |
Common Stock | | | $ | (35,432 | ) | | | $ | — | | | | $ | — | | | | $ | — | | | | $ | (35,432 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | | $ | (35,432 | ) | | | $ | — | | | | $ | — | | | | $ | — | | | | $ | (35,432 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Gross amount of recognized liabilities for securities lending agreements | | | | | | | | | | | | | | | | | | | | | | | $ | (35,432 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
When-Issued and Delayed-Delivery Transactions
The Fund may engage in when-issued or delayed-delivery transactions. The Fund records when-issued or delayed-delivery securities on the trade date and maintains security positions such that sufficient liquid assets will be available to make payment for the securities purchased. Securities purchased on a when-issued or delayed-delivery basis are marked-to-market daily and begin earning interest on the settlement date. Losses may occur on these transactions due to changes in market conditions or the failure of counterparties to perform under the contract.
The Fund may transact in To Be Announced Securities (“TBAs”). As with other delayed-delivery transactions, a seller agrees to issue TBAs at a future date. However, the seller does not specify the particular securities to be delivered. Instead, the Fund agrees to accept any security that meets specified terms such as issuer, interest rate and terms of underlying mortgages. The Fund records TBAs on the trade date utilizing information associated with the specified terms of the transaction as opposed to the specific mortgages. TBAs are marked-to-market daily and begin earning interest on the settlement date. Losses may occur due to the fact that the actual underlying mortgages received may be less favorable than those anticipated by the Fund.
Restricted Securities
The Fund may purchase securities which are considered restricted. Restricted securities are securities that cannot be offered for public sale without first being registered under the Securities Act of 1933, as amended, or are subject to contractual restrictions on public sales. Many such restricted securities may be resold in the secondary market in transactions exempt from registration. The Fund will not incur any registration costs upon such resales. The Fund cannot demand registration of restricted securities. The Fund’s restricted securities, like other securities, are priced in accordance with the Valuation Procedures. Restricted securities are identified in the Consolidated Schedule of Investments.
Recent Accounting Pronouncements and Regulatory Updates
In March 2017, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update (“ASU”) No. 2017-08, Receivables—Nonrefundable Fees and Other Costs (Subtopic 310-20): Premium Amortization on Purchased Callable Debt Securities, which shortens the amortization period for the premium on certain callable debt securities to the earliest call date. The amendments are applicable to any purchased individual debt security with an explicit and noncontingent call feature that is callable at a fixed price on a preset date. The amendments do not impact the accounting for callable debt securities held at a discount, which will continue to be accreted to maturity. ASU 2017-08 will become effective on January 1, 2019, with early adoption permitted including adoption in an interim period. The amendments will be applied on a modified retrospective basis through a cumulative-effect adjustment to retained earnings as of the beginning of the period of adoption. The Fund is currently evaluating the impact of adopting ASU 2017-08 on its consolidated financial statements.
249
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Notes to Consolidated Financial Statements (Continued)
For the Year Ended March 31, 2018
In November 2016, the FASB issued ASU No. 2016-18, Statement of Cash Flows (Topic 230)—Restricted Cash. The new guidance is intended to change the presentation of restricted cash on the statement of cash flows. The new standard affects all entities that have restricted cash or restricted cash equivalents and are required to present a statement of cash flows under Topic 230. The new guidance is effective for fiscal years beginning after December 15, 2018, including interim periods within those years. Early adoption is permitted. The adoption of ASU No. 2016-18 is not expected to have a material impact in the consolidated financial statements.
In October 2016, the SEC issued a new rule, Investment Company Reporting Modernization, which, among other provisions, amends Regulation S-X to require standardized, enhanced disclosures, particularly relating to derivatives, in investment company financial statements. In addition, the rule introduces two new regulatory reporting forms for investment companies, which will be used after June 1, 2018: Form N-PORT and Form N-CEN. Compliance with the amendments to Regulation S-X became effective for financial statements with period-ends filed with the SEC on or after August 1, 2017. The Fund is still evaluating the potential impacts of adopting Form N-PORT and Form N-CEN.
In August 2016, the FASB issued ASU No. 2016-15, Statement of Cash Flows (Topic 230), Classification of Certain Cash Receipts and Cash Payments a consensus of the FASB’s Emerging Issues Task Force (ASU 2016-15). ASU 2016-15 is intended to reduce diversity in practice in how certain transactions are classified in the statement of cash flows. ASU 2016-15 is effective for interim and annual reporting periods beginning after December 15, 2017. The Fund does not expect the adoption of the new standard to have a material effect in the consolidated financial statements.
4. Derivative Financial Instruments
In the normal course of business, the Fund enters into derivative financial instrument contracts for trading and/or economic hedging purposes to increase the returns of the Fund or to protect against exposure to certain risks such as credit risk, equity risk, interest rate risk, foreign currency exchange risk or other risk (e.g., inflation risk). These contracts may be transacted on a recognized exchange or OTC. The following disclosures contain information on how the Fund uses derivative financial instruments. The derivative financial instruments outstanding as of period end are disclosed in the Consolidated Schedule of Investments.
Forward Foreign Currency Exchange Contracts
The Fund may enter into Forwards to obtain investment exposure, seek to enhance return or hedge or protect its portfolio holdings against the risk of future movements in certain foreign currency exchange rates. Forwards are agreements between two parties to receive or deliver a fixed quantity of foreign currency for an agreed-upon price on an agreed upon future date. The market value of a Forward fluctuates with the changes in foreign currency exchange rates. These contracts are valued daily and the change in market value is recorded as an unrealized gain or loss on forward foreign currency exchange contracts. When a contract is closed, the Fund recognizes a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
The use of forward foreign currency exchange contracts does not eliminate fluctuations in the underlying prices of the securities of the Fund, but it does establish a rate of exchange that can be achieved in the future. Although forward foreign currency exchange contracts may limit the risk of loss due to a decline in the value of the currency holdings, they also limit any potential gain that might result should the value of the currency increase. In addition, the Fund could be exposed to losses if the counterparties to the contracts are unable to meet the terms of the contracts. The Fund’s maximum potential loss from such contracts is the aggregate face value in U.S. dollars at the time the contract was opened. These contracts involve market and/or credit risk in excess of the amount recognized in the Consolidated Statement of Assets and Liabilities.
250
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Notes to Consolidated Financial Statements (Continued)
For the Year Ended March 31, 2018
Futures Contracts
The Fund may enter into futures contracts to maintain investment exposure to a target asset class or to seek to enhance return. The Fund may be subject to fluctuations in equity prices, interest rates, commodity prices and foreign currency exchange rates in the normal course of pursuing its investment objective. Futures contracts are standardized agreements to buy or sell a security, or deliver a final cash settlement price in connection with an index, interest rate, currency, or other asset. The Fund must deposit an amount (“initial margin”) equal to a certain percentage of the face value of the futures contract. The initial margin may be in the form of cash or securities which is returned when the Fund’s obligations under the contract have been satisfied. If cash is deposited as the initial margin, it is shown as segregated cash balance with broker for futures contracts in the Consolidated Statement of Assets and Liabilities. Futures contracts are marked-to-market daily and subsequent payments (“variation margin”) are made or received by the Fund depending on whether unrealized gains or losses are incurred. When the contract is closed or expires, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. The potential risk to the Fund is that the change in value of futures contracts may not correspond to the change in the value of the hedge investments. In addition, losses may arise from changes in the value of the underlying instrument, if interest or exchange rates move unexpectedly or if the counterparty is unable to perform. With futures, there is minimal counterparty credit risk to the Fund since futures are exchange traded and the exchanges’ clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default.
Options Contracts
The Fund may purchase and write call and put options. An option contract purchased by the Fund gives the Fund the right, but not the obligation, to buy (call) or sell (put) an underlying instrument at a fixed exercise price during a specified period. Call options written by the Fund give the holder the right to buy the underlying instrument from the Fund at a fixed exercise price; put options written by the Fund give the holder the right to sell the underlying instrument to the Fund at a fixed exercise price. The Fund may use options to hedge against changes in values of securities or currencies it owns or expects to own, to gain or to maintain exposure to interest rates, currencies or broad equity markets, to generate additional income or to enhance returns.
Options trading involve certain additional risks. Specific market movements of the option and the instruments underlying the option cannot be predicted. No assurance can be given that a liquid secondary market will exist for any particular option or at any particular time. The Fund might not be able to enter into a closing transaction for the option as a result of an illiquid market for the option. To realize any profit in the case of an option, therefore, the option holder would need to exercise the option and comply with margin requirements for the underlying instrument. A writer could not terminate the obligation until the option expired or the writer was assigned an exercise notice. The purchaser of an option is subject to the risk of losing the entire purchase price of the option. The writer of an option is subject to the risk of loss resulting from the difference between the premium received for the option and the price of the futures contract underlying the option that the writer must purchase or deliver upon exercise of the option. The writer of a naked option may have to purchase the underlying contract in the market for substantially more than the exercise price of the option in order to satisfy his delivery obligations. This could result in a large net loss.
Equity, foreign currency or index options that may be purchased or sold by the Fund may include options not traded on a securities exchange. The risk of nonperformance by the counterparty on such option may be 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.
251
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Notes to Consolidated Financial Statements (Continued)
For the Year Ended March 31, 2018
The Fund may purchase or write interest rate swaption agreements which are options to enter into a predefined swap agreement by some specific date in the future. The writer of the swaption becomes the counterparty to the swap if the buyer exercises. The interest rate swaption agreement will specify whether the buyer of the swaption will be a fixed-rate receiver or a fixed-rate payer upon exercise.
Purchases of put and call options are recorded as investments, the value of which are marked-to-market daily. When a purchased option expires without being exercised, the Fund will realize a loss equal to the premium paid. When the Fund enters into a closing sale transaction, the Fund will realize a gain or loss depending on whether the sales proceeds from the closing sale transaction are greater or less than the premium initially paid for the option. When the Fund exercises a put option, it will realize a gain or loss from the sale of the underlying instrument and the proceeds from such sale will be decreased by the premium originally paid for the put option. When the Fund exercises a call option, the cost of the security which the Fund purchases upon exercise will be increased by the premium originally paid for the call option. Realized gains and losses on purchased options are included in realized gains and losses on investments.
The premium received for a written option is recorded as an asset and an equivalent liability. The liability is marked-to-market daily in accordance with the option’s valuation policy. When a written option expires without being exercised or the Fund enters into a closing purchase transaction, the Fund realizes a gain (or loss if the cost of the closing purchase transaction exceeds the premium received when the option was sold) without regard to any unrealized gain or loss on the underlying instrument and the liability related to such option is eliminated. When a written call option is exercised, the Fund realizes a gain or loss, as adjusted for the premium received, from the sale of the underlying instrument. When a written put option is exercised, the premium received is offset against the amount paid for the purchase of the underlying instrument.
Swap Agreements
The Fund may enter into total return, interest rate, and credit default swap agreements (“Swaps”). Swaps are bilaterally negotiated agreements between the Fund and a counterparty in which the Fund and counterparty agree to make either periodic net payments on a specified notional amount or a net payment upon termination. Swap agreements are privately negotiated in the OTC market or may be executed in a multilateral or other trade facility platform, such as a registered exchange (“centrally cleared swaps” or swap execution facility). The Fund may enter into swap agreements for the purposes of managing exposure to interest rate, credit or market risk, or for other purposes. In connection with these agreements, securities or cash (“segregated cash” or “collateral”) may be paid or received, as applicable, by the Fund as collateral or margin in accordance with the terms of the respective swap agreements to provide assets of value and recourse in the event of default or bankruptcy/insolvency. Securities posted by the Fund as collateral for swaps are identified in the Consolidated Schedule of Investments and segregated cash, if any, is reflected in the Consolidated Statement of Assets and Liabilities.
Swap transactions involve, to varying degrees, elements of interest rate, credit and market risk in excess of the amounts recognized in the Consolidated Statement of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform, or that there may be unfavorable changes in market conditions or interest rates. In addition, entering into swap agreements involves documentation risk resulting from the possibility that the parties to a swap agreement may disagree as to the meaning of contractual terms in the agreement. The Fund’s maximum risk of loss from counterparty credit risk is the discounted value of the net cash flows to be received from the counterparty over the contract’s remaining life, to the extent that amount is positive, or the fair value 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.
252
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Notes to Consolidated Financial Statements (Continued)
For the Year Ended March 31, 2018
Interest Rate Swaps: The Fund may enter into OTC and/or centrally cleared interest rate swap contracts to hedge interest rate risk, to gain exposure on interest rates and to hedge prepayment risk. The Fund is subject to interest rate risk exposure in the normal course of pursuing their investment objectives. The Fund may hold fixed rate bonds, and the value of these bonds may decrease if interest rates rise. Interest rate swaps are agreements in which one party pays a stream of interest payments, either fixed or floating rate, for another party’s stream of interest payments, either fixed or floating, on the same notional amount for a specified period of time. The Fund’s maximum risk of loss from counterparty credit risk, as opposed to investment and other types of risk, in respect of interest rate swaps is typically the discounted net value of the cash flows to be received from the counterparty over the contracts remaining life, to the extent that amount is positive.
Interest rate swaps can be purchased or sold with an upfront premium. An upfront payment received by the Fund is recorded as a liability on the Fund’s Consolidated Statement of Assets and Liabilities and an upfront payment made by the Fund is recorded as an asset in the Consolidated Statement of Assets and Liabilities. Interest rate swaps are marked-to-market daily and any change is recorded as an unrealized gain or loss on swaps. Daily fluctuations in the value of centrally cleared interest rate swaps are recorded as a receivable or payable for variation margin on the Fund’s Consolidated Statement of Assets and Liabilities. Payments, including upfront premiums, received or made are recorded as realized gains or losses at the closing of the contract.
Total Return Swaps: The Fund may enter into total return swap agreements to obtain exposure to a security, index or market without owning such security or investing directly in that security, index or market or to transfer the risk/return of one market (e.g., fixed income) to another market (e.g., equity) (equity risk and/or interest rate risk). Total return swaps are agreements in which one party agrees to make periodic payments to another party based on the change in market value of the underlying instrument, which may include a specified security, index, basket of securities or securities indices during the specific period, in return for periodic payments based on a fixed or floating rate or the total return from other underlying assets. To the extent the total return of the instrument underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the Fund will receive a payment from or make a payment to the counterparty. Total return swaps can also be structured without an interest payment, so that one party pays the other party if the value of the underlying instrument increases and receives payment from the other party if the value of the underlying asset decreases.
Credit Default Swaps: The Fund may enter into OTC and/or centrally cleared credit default swap contracts to hedge credit risk, to hedge market risk, or to gain exposure on single-name issues and/or baskets of securities.
In a credit default swap contract, the protection buyer typically makes an upfront payment and a periodic stream of payments to a counterparty, the protection seller, in exchange for the right to receive a contingent payment upon the occurrence of a credit event on the reference obligation or all other equally ranked obligations of the reference entity. Credit events are contract specific but may include bankruptcy, failure to pay, restructurings and obligation acceleration. An upfront payment received by the Fund or made by the Fund is recorded as a liability or asset, respectively, in the Consolidated Statement of Assets and Liabilities. Periodic payments received or paid by the Fund are recorded as realized gains or losses. Credit default swap contracts are marked-to-market daily and the change is recorded as an unrealized gain or loss on swaps. Upon the occurrence of a credit event, the difference between the par value and the market value of the reference obligation, net of any proportional amount of upfront payment, is recorded as a realized gain or loss on swaps.
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.
253
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Notes to Consolidated Financial Statements (Continued)
For the Year Ended March 31, 2018
At March 31, 2018, the Fund had the following derivative financial instruments, presented on a gross basis and categorized by risk exposure:
| | | | | | | | | | | | | | | | | | | | |
| | | Asset Derivatives | | Liability Derivatives |
Risk Exposure | | Consolidated Statement
of Assets &
Liabilities Location | | Fair
Value | | Consolidated Statement
of Assets &
Liabilities Location | | Fair
Value |
Interest Rate | | |
| Centrally cleared swaps,
at fair value (c) |
| | | $ | 5,822,610 | | | |
| Centrally cleared swaps,
at fair value (c) |
| | | $ | (5,958,375) | |
| | |
| Swap contracts, at fair
value (b) |
| | | | 3,829,096 | | | |
| Swap contracts, at fair
value (b) |
| | | | (62,076 | ) |
| | |
| Unrealized appreciation
on futures contracts (c) |
| | | | 14,954,218 | | | |
| Unrealized depreciation
on futures contracts (c) |
| | | | (7,593,742 | ) |
| | |
| Purchased options, at
fair value (d) |
| | | | 1,250 | | | |
| Options written, at fair
value |
| | | | (249,975 | ) |
Equity | | |
| Swap contracts, at fair
value (b) |
| | | | 56,706,276 | | | |
| Swap contracts, at fair
value (b) |
| | | | (56,736,602 | ) |
| | |
| Unrealized appreciation
on futures contracts (c) |
| | | | 16,244,902 | | | |
| Unrealized depreciation
on futures contracts (c) |
| | | | (10,057,312 | ) |
| | |
| Purchased options, at
fair value (d) |
| | | | 4,198,868 | | | |
| Options written, at fair
value |
| | | | (185,875 | ) |
Commodity | | |
| Unrealized appreciation
on futures contracts (c) |
| | | | 27,586,458 | | | |
| Unrealized depreciation
on futures contracts (c) |
| | | | (12,654,103 | ) |
Credit | | |
| Swap contracts, at fair
value (b) |
| | | | 52,629 | | | |
| Swap contracts, at fair
value (b) |
| | | | (21,170,468 | ) |
| | |
| Centrally cleared swaps,
at fair value (c) |
| | | | 17,051,675 | | | |
| Centrally cleared swaps,
at fair value (c) |
| | | | (3,269,626 | ) |
Foreign Exchange | | |
| Unrealized appreciation
on forward foreign
currency exchange
contracts |
| | | | 3,842,653 | | | |
| Unrealized depreciation
on forward foreign
currency exchange
contracts |
| | | | (5,483,064 | ) |
| | |
| Unrealized appreciation
on futures contracts (c) |
| | | | 8,531,558 | | | |
| Unrealized depreciation
on futures contracts (c) |
| | | | (6,447,521 | ) |
| | |
| Purchased options, at
fair value (d) |
| | | | 95,690 | | | |
| Options written, at fair
value |
| | | | (78,538 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total | | | | | | | | $ | 158,917,883 | | | | | | | | | $ | (129,947,277 | ) |
| | | | | | | | | | | | | | | | | | | | |
Amounts not subject to MNA(1) | | | | | (94,642,835 | ) | | | | | | | | | 46,453,903 | |
| | | | | | | | | | | | | | | | | | | | |
Total gross amounts subject to MNA | | | | $ | 64,275,048 | | | | | | | | | $ | (83,493,374 | ) |
| | | | | | | | | | | | | | | | | | | | |
| (1) | See below for disclosure of financial instruments assets and liabilities subject to offset under enforceable MNA. |
254
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Notes to Consolidated Financial Statements (Continued)
For the Year Ended March 31, 2018
The following tables present information about the amount of net realized gain (loss) and net unrealized appreciation (depreciation) on derivative financial instruments for the year ended March 31, 2018:
| | | | | | | | | | | | | | | | | | | | |
Primary Underlying Risk | | Average Number of Contracts(a) | | Average
Notional
USD(a) | | Net
Realized
Gain (Loss) | | Net Change in Unrealized Appreciation (Depreciation) |
| | | | |
Interest Rate | | | | | | | | | | | | | | | | | | | | |
Swap contracts | | | | — | | | | $ | 507,690,024 | | | | $ | (2,809,453 | ) | | | $ | 3,366,034 | |
Future contracts | | | | — | | | | | 2,903,988,327 | | | | | (18,210,661 | ) | | | | 8,197,352 | |
Purchased options (d) | | | | 347 | | | | | 110,100,000 | | | | | (857,568 | ) | | | | 655,446 | |
Options written | | | | 465 | | | | | — | | | | | 102,802 | | | | | (79,760 | ) |
| | | | |
Equity | | | | | | | | | | | | | | | | | | | | |
Swap contracts | | | | — | | | | | 2,281,757,640 | | | | | (51,412,935 | ) | | | | (7,304,037 | ) |
Future contracts | | | | — | | | | | 1,658,067,710 | | | | | (25,543,677 | ) | | | | 12,267,613 | |
Purchased options (d) | | | | 64,113 | | | | | 629,025 | | | | | (30,307,211 | ) | | | | (1,280,741 | ) |
Options written | | | | 12,760 | | | | | 379,839 | | | | | 1,479,903 | | | | | (693,243 | ) |
| | | | |
Commodity | | | | | | | | | | | | | | | | | | | | |
Future contracts | | | | — | | | | | 738,157,717 | | | | | 12,228,232 | | | | | 15,350,074 | |
| | | | |
Credit | | | | | | | | | | | | | | | | | | | | |
Swap contracts | | | | — | | | | | 946,866,070 | | | | | 18,923,778 | | | | | (2,285,491 | ) |
| | | | |
Foreign Exchange | | | | | | | | | | | | | | | | | | | | |
Swap contracts | | | | — | | | | | 15,965,166 | | | | | 614,861 | | | | | — | |
Forward foreign currency exchange contracts | | | | — | | | | | 2,191,442,549 | | | | | (16,185,467 | ) | | | | 1,256,076 | |
Future contracts | | | | — | | | | | 1,238,602,712 | | | | | (17,660,148 | ) | | | | (402,269 | ) |
Purchased options | | | | — | | | | | 5,188,889 | | | | | (44,983 | ) | | | | (18,517 | ) |
Options written | | | | — | | | | | 7,183,333 | | | | | 29,289 | | | | | 30,599 | |
| | | | | | | | | | | | | | | | | | | | |
Total | | | | | | | | | | | | | $ | (129,653,238 | ) | | | $ | 29,059,136 | |
| | | | | | | | | | | | | | | | | | | | |
| (a) | Averages are based on monthly activity levels during the year ended March 31, 2018. |
| (b) | Includes swap contract premiums paid/received and unrealized appreciation/depreciation on swap contracts. |
| (c) | Includes unrealized appreciation/depreciation of futures contracts and centrally cleared swaps as reported in the Notes to Consolidated Schedule of Investments. Only the current day’s variation margin is reported in the Consolidated Statement of Assets and Liabilities. |
| (d) | Includes purchased options that are part of investments in securities as shown in the Consolidated Statement of Assets and Liabilities and net realized gain on investments in securities and net unrealized appreciation on investments in securities as shown in the Consolidated Statement of Operations. |
Netting Arrangements
The Fund enters into ISDA Master Agreements which contain MNA’s that provide for payment netting and, in the case of default or similar event with respect to the counterparty to the MNA, can provide for netting across transactions. Generally, upon counterparty default, the Fund can terminate all transactions under the MNA and set-off amounts it owes across all transactions under a particular MNA and against collateral under
255
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Notes to Consolidated Financial Statements (Continued)
For the Year Ended March 31, 2018
such MNA. The Fund may not use derivatives contracts and related collateral governed by an ISDA to offset reverse repurchase agreements and related collateral governed by an MRA or securities lending agreements and related collateral governed by an SLA (see Note 3).
The following table represents the Fund’s derivative financial instrument assets and liabilities by counterparty net of amounts available for offset under an MNA and net of related collateral received/pledged by the Fund as of March 31, 2018:
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Gross Amounts Not Offset in the
Consolidated Statement of Assets
and Liabilities | | |
| | | Gross Amount of
Assets in
Consolidated
Statement of
Assets
and Liabilities | | Derivative
Financial
Instruments
Available to
Offset | | Cash
Collateral
Received(4) | | Non-Cash
Collateral | | Net
Amount(2) |
| | | | | |
By Counterparty (1) | | | | | | | | | | | | | | | | | | | | | | | | | |
Bank of America, N.A. | | | $ | 4,418 | | | | $ | (4,418 | ) | | | $ | — | | | | $ | — | | | | $ | — | |
Barclays Bank plc | | | | 1,630,605 | | | | | (1,630,605 | ) | | | | — | | | | | — | | | | | — | |
Citibank N.A. | | | | 2,306,629 | | | | | — | | | | | — | | | | | — | | | | | 2,306,629 | |
Credit Suisse Securities (Europe) Limited | | | | 18,998,179 | | | | | (9,251,799 | ) | | | | — | | | | | — | | | | | 9,746,380 | |
Deutsche Bank AG | | | | 1,097,542 | | | | | (159,263 | ) | | | | (590,000 | ) | | | | — | | | | | 348,279 | |
Goldman Sachs International | | | | 7,716,544 | | | | | (6,602,311 | ) | | | | — | | | | | — | | | | | 1,114,233 | |
JPMorgan Chase Bank, N.A. | | | | 2,345,010 | | | | | (2,345,010 | ) | | | | — | | | | | — | | | | | — | |
Morgan Stanley & Co. International plc | | | | 1,038,070 | | | | | (813,981 | ) | | | | — | | | | | — | | | | | 224,089 | |
Skandinaviska Enskilda Banken AB (publ) | | | | 234,687 | | | | | (234,687 | ) | | | | — | | | | | — | | | | | — | |
State Street Bank and Trust Company | | | | 302,476 | | | | | (4,158 | ) | | | | — | | | | | — | | | | | 298,318 | |
UBS AG | | | | 41,892 | | | | | (13,694 | ) | | | | — | | | | | — | | | | | 28,198 | |
| | | | | |
Cayman Subsidiary | | | | | | | | | | | | | | | | | | | | | | | | | |
Credit Suisse International | | | | 52,629 | | | | | (52,629 | ) | | | | — | | | | | — | | | | | — | |
Merrill Lynch International | | | | 359,230 | | | | | (359,230 | ) | | | | — | | | | | — | | | | | — | |
Morgan Stanley Capital Services LLC | | | | 15,190,747 | | | | | (14,479,622 | ) | | | | — | | | | | — | | | | | 711,125 | |
State Street Bank and Trust Company | | | | 514,916 | | | | | (514,916 | ) | | | | — | | | | | — | | | | | — | |
| | | | | |
Domestic Subsidiary IV | | | | | | | | | | | | | | | | | | | | | | | | | |
Credit Suisse Securities (Europe) Limited | | | | 8,557 | | | | | (8,557 | ) | | | | — | | | | | — | | | | | — | |
Deutsche Bank AG | | | | 5,561,698 | | | | | (5,561,698 | ) | | | | — | | | | | — | | | | | — | |
Goldman Sachs International | | | | 402,969 | | | | | (402,969 | ) | | | | — | | | | | — | | | | | — | |
Morgan Stanley Capital Services LLC | | | | 6,460,681 | | | | | (4,148,613 | ) | | | | — | | | | | — | | | | | 2,312,068 | |
State Street Bank and Trust Company | | | | 7,569 | | | | | (7,569 | ) | | | | — | | | | | — | | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | | $ | 64,275,048 | | | | $ | (46,595,729 | ) | | | $ | (590,000 | ) | | | $ | — | | | | $ | 17,089,319 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
256
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Notes to Consolidated Financial Statements (Continued)
For the Year Ended March 31, 2018
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Gross Amounts Not Offset in the
Consolidated Statement of Assets
and Liabilities | | |
| | | Gross Amount of
Liabilities in
Consolidated
Statement of
Assets
and Liabilities | | Derivative
Financial
Instruments
Available to
Offset | | Cash
Collateral
Pledged(5) | | Non-Cash
Collateral | | Net
Amount(3) |
| | | | | |
By Counterparty (1) | | | | | | | | | | | | | | | | | | | | | | | | | |
Bank of America, N.A. | | | $ | (893,693 | ) | | | $ | 4,418 | | | | $ | 827,199 | | | | $ | — | | | | $ | (62,076 | ) |
Barclays Bank plc | | | | (4,788,002 | ) | | | | 1,630,605 | | | | | 3,157,397 | | | | | — | | | | | — | |
Citigroup Global Markets Inc. | | | | (336,358 | ) | | | | — | | | | | — | | | | | — | | | | | (336,358 | ) |
Credit Suisse International | | | | (95,585 | ) | | | | — | | | | | 95,585 | | | | | — | | | | | — | |
Credit Suisse Securities (Europe) Limited | | | | (9,251,799 | ) | | | | 9,251,799 | | | | | — | | | | | — | | | | | — | |
Deutsche Bank AG | | | | (159,263 | ) | | | | 159,263 | | | | | — | | | | | — | | | | | — | |
Goldman Sachs International | | | | (6,602,311 | ) | | | | 6,602,311 | | | | | — | | | | | — | | | | | — | |
J.P. Morgan Securities LLC | | | | (1,700,033 | ) | | | | — | | | | | 1,700,033 | | | | | — | | | | | — | |
JPMorgan Chase Bank, N.A. | | | | (8,564,010 | ) | | | | 2,345,010 | | | | | 6,219,000 | | | | | — | | | | | — | |
Merrill Lynch Capital Services, Inc. | | | | (2,164,277 | ) | | | | — | | | | | 2,164,277 | | | | | — | | | | | — | |
Morgan Stanley & Co. International plc | | | | (813,981 | ) | | | | 813,981 | | | | | — | | | | | — | | | | | — | |
Morgan Stanley Capital Services LLC | | | | (1,536,049 | ) | | | | — | | | | | 1,536,049 | | | | | — | | | | | — | |
Skandinaviska Enskilda Banken AB (publ) | | | | (4,364,085 | ) | | | | 234,687 | | | | | 4,129,398 | | | | | — | | | | | — | |
State Street Bank and Trust Company | | | | (4,158 | ) | | | | 4,158 | | | | | — | | | | | — | | | | | — | |
UBS AG | | | | (13,694 | ) | | | | 13,694 | | | | | — | | | | | — | | | | | — | |
| | | | | |
Cayman Subsidiary | | | | | | | | | | | | | | | | | | | | | | | | | |
Credit Suisse International | | | | (3,546,514 | ) | | | | 52,629 | | | | | 3,493,885 | | | | | — | | | | | — | |
Merrill Lynch International | | | | (694,069 | ) | | | | 359,230 | | | | | 334,839 | | | | | — | | | | | — | |
Morgan Stanley Capital Services LLC | | | | (14,479,622 | ) | | | | 14,479,622 | | | | | — | | | | | — | | | | | — | |
State Street Bank and Trust Company | | | | (2,395,366 | ) | | | | 514,916 | | | | | 1,720,000 | | | | | — | | | | | (160,450 | ) |
| | | | | |
Domestic Subsidiary III | | | | | | | | | | | | | | | | | | | | | | | | | |
Credit Suisse International | | | | (4,311,798 | ) | | | | — | | | | | 4,311,798 | | | | | — | | | | | — | |
J.P. Morgan Securities LLC | | | | (1,991,506 | ) | | | | — | | | | | 1,991,506 | | | | | — | | | | | — | |
Morgan Stanley Capital Services LLC | | | | (2,193,992 | ) | | | | — | | | | | 2,193,992 | | | | | — | | | | | — | |
| | | | | |
Domestic Subsidiary IV | | | | | | | | | | | | | | | | | | | | | | | | | |
Credit Suisse Securities (Europe) Limited | | | | (189,124 | ) | | | | 8,557 | | | | | 180,567 | | | | | — | | | | | — | |
Deutsche Bank AG | | | | (7,828,016 | ) | | | | 5,561,698 | | | | | 2,266,318 | | | | | — | | | | | — | |
Goldman Sachs International | | | | (411,758 | ) | | | | 402,969 | | | | | 8,789 | | | | | — | | | | | — | |
Merrill Lynch International | | | | (2,826 | ) | | | | — | | | | | — | | | | | — | | | | | (2,826 | ) |
Morgan Stanley Capital Services LLC | | | | (4,148,613 | ) | | | | 4,148,613 | | | | | — | | | | | — | | | | | — | |
State Street Bank and Trust Company | | | | (12,872 | ) | | | | 7,569 | | | | | — | | | | | — | | | | | (5,303 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | | $ | (83,493,374 | ) | | | $ | 46,595,729 | | | | $ | 36,330,632 | | | | $ | — | | | | $ | (567,013 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| (1) | The Fund and each Subsidiary are subject to separate MNA’s with each individual counterparty. |
257
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Notes to Consolidated Financial Statements (Continued)
For the Year Ended March 31, 2018
| (2) | Net amount represents the net amount receivable from the counterparty in the event of default. |
| (3) | Net amount represents the net amount payable to the individual counterparty in the event of default. |
| (4) | Additional required collateral received from the individual counterparty is not shown for financial reporting purposes. |
| (5) | Additional required collateral pledged to the individual counterparty is not shown for financial reporting purposes. |
5. Fair Value Measurements
The following table presents information about the classification of the Fund’s investments measured at fair value within the fair value hierarchy as of March 31, 2018:
| | | | | | | | | | | | | | | | | | | | |
Assets: | | Level 1 | | Level 2 | | Level 3 | | Total |
Investments in Securities: | | | | | | | | | | | | | | | | | | | | |
Common Stock | | | $ | 1,666,970,670 | | | | $ | 53,903,235 | | | | $ | — | | | | $ | 1,720,873,905 | |
Preferred Stock | | | | 209,658,152 | | | | | — | | | | | — | | | | | 209,658,152 | |
Asset-Backed Securities | | | | — | | | | | 304,745,799 | | | | | — | | | | | 304,745,799 | |
Convertible Bonds | | | | — | | | | | 51,594,613 | | | | | — | | | | | 51,594,613 | |
Bank Debt | | | | — | | | | | 18,796,752 | | | | | 12,831,298 | | | | | 31,628,050 | |
Corporate Bonds & Notes | | | | — | | | | | 159,657,115 | | | | | 21,774,895 | | | | | 181,432,010 | |
Sovereign Debt | | | | — | | | | | 505,625,830 | | | | | — | | | | | 505,625,830 | |
Mortgage-Backed Securities | | | | — | | | | | 1,485,791,611 | | | | | — | | | | | 1,485,791,611 | |
U.S. Government Sponsored Agency Securities | | | | — | | | | | 29,359,770 | | | | | — | | | | | 29,359,770 | |
U.S. Treasury Obligations | | | | — | | | | | 119,551,834 | | | | | — | | | | | 119,551,834 | |
Exchange-Traded Funds | | | | 133,541,204 | | | | | — | | | | | — | | | | | 133,541,204 | |
Purchased Options | | | | 4,200,118 | | | | | 95,690 | | | | | — | | | | | 4,295,808 | |
Short-Term Investment - Money Market Funds | | | | 349,559,705 | | | | | — | | | | | — | | | | | 349,559,705 | |
Subtotal | | | $ | 2,363,929,849 | | | | $ | 2,729,122,249 | | | | $ | 34,606,193 | | | | $ | 5,127,658,291 | |
Investments Valued at NAV | | | | | | | | | | | | | | | | | | | 321,572,356 | |
Total Investments in Securities | | | | 2,363,929,849 | | | | | 2,729,122,249 | | | | | 34,606,193 | | | | $ | 5,449,230,647 | |
Forward Foreign Currency Exchange Contracts | | | | — | | | | | 3,842,653 | | | | | — | | | | | 3,842,653 | |
Futures Contracts | | | | 67,317,136 | | | | | — | | | | | — | | | | | 67,317,136 | |
Centrally Cleared Credit Default Swaps | | | | — | | | | | 17,051,675 | | | | | — | | | | | 17,051,675 | |
OTC Credit Default Swaps | | | | — | | | | | 52,629 | | | | | — | | | | | 52,629 | |
OTC Total Return Swaps | | | | — | | | | | 60,535,372 | | | | | — | | | | | 60,535,372 | |
Centrally Cleared Interest Rate Swaps | | | | — | | | | | 5,822,610 | | | | | — | | | | | 5,822,610 | |
Total Assets | | | $ | 2,431,246,985 | | | | $ | 2,816,427,188 | | | | $ | 34,606,193 | | | | $ | 5,603,852,722 | |
258
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Notes to Consolidated Financial Statements (Continued)
For the Year Ended March 31, 2018
| | | | | | | | | | | | | | | | | | | | |
Liabilities: | | Level 1 | | Level 2 | | Level 3 | | Total |
Securities Sold Short: | | | | | | | | | | | | | | | | | | | | |
Common Stock | | | $ | 1,299,345,464 | | | | $ | 31,269,756 | | | | $ | — | | | | $ | 1,330,615,220 | |
Exchange-Traded Funds | | | | 82,501,834 | | | | | — | | | | | — | | | | | 82,501,834 | |
Mortgage-Backed Securities | | | | — | | | | | 47,166,555 | | | | | — | | | | | 47,166,555 | |
Total Securities Sold Short | | | | 1,381,847,298 | | | | | 78,436,311 | | | | | — | | | | $ | 1,460,283,609 | |
Options Written | | | | 435,850 | | | | | 78,538 | | | | | — | | | | | 514,388 | |
Reverse Repurchase Agreements | | | | — | | | | | 186,110,256 | | | | | — | | | | | 186,110,256 | |
Securities Lending Collateral Payable | | | | — | | | | | 36,187 | | | | | — | | | | | 36,187 | |
Forward Foreign Currency Exchange Contracts | | | | — | | | | | 5,483,064 | | | | | — | | | | | 5,483,064 | |
Futures Contracts | | | | 36,752,678 | | | | | — | | | | | — | | | | | 36,752,678 | |
Centrally Cleared Credit Default Swaps | | | | — | | | | | 3,269,626 | | | | | — | | | | | 3,269,626 | |
OTC Credit Default Swaps | | | | — | | | | | 21,170,468 | | | | | — | | | | | 21,170,468 | |
OTC Total Return Swaps | | | | — | | | | | 56,736,602 | | | | | — | | | | | 56,736,602 | |
Centrally Cleared Interest Rate Swaps | | | | — | | | | | 5,958,375 | | | | | — | | | | | 5,958,375 | |
OTC Interest Rate Swaps | | | | — | | | | | 62,076 | | | | | — | | | | | 62,076 | |
Total Liabilities | | | $ | 1,419,035,826 | | | | $ | 357,341,503 | | | | $ | — | | | | $ | 1,776,377,329 | |
Investments that are measured at fair value using NAV as a practical expedient have not been classified in the fair value hierarchy. The fair value amounts presented in this table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Consolidated Statement of Assets and Liabilities.
Investments in Investee Funds that are non-redeemable or subject to other restrictions such as a lockup at the measurement date or have the ability to limit the individual amount of investor redemptions shall be classified as having a redemption restriction.
The following table summarizes investments in Investee Funds, by investment strategy, the unfunded commitment of each strategy (if applicable), and the amount of the investment in Investee Fund that cannot be redeemed because of redemption restrictions put in place by the Investee Fund.
| | | | | | | | | | | | | | |
| | | | | | |
Investments in
Investee Funds
by Strategy | | Unfunded
Commitment $ | | Non-Redeemable Investments
(A) | | Other Restricted Investments
(B) | | Investments
Subject to No
Restrictions | | Total $ |
| | | Amount $ | | Redemption
Restriction Commencement
Date | | Amount $ | | Redemption
Restriction
Term | | Amount $ | |
| | | | | | | | |
| Equity (1)(2) | | N/A | | — | | N/A | | — | | N/A | | 321,572,356 | | 321,572,356 |
(1) The Equity strategy generally includes equity-focused Investee Funds with a bottom-up analysis that do not actively trade exposures, with trading strategies focusing on shorter-term dynamics and appreciation for market technicals, top-down thematic/macro views, and technically driven statistical arbitrage with fundamental quantitative long/short strategies.
(2) Investments are redeemable quarterly upon 30 - 45 days written notice.
259
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Notes to Consolidated Financial Statements (Continued)
For the Year Ended March 31, 2018
(A) Investments in Investee Funds cannot currently be redeemed and the remaining redemption restriction period is not known. The date the redemption restriction commenced is disclosed.
(B) Investments subject to other restrictions include investments in Investee Funds that are subject to a lockup at the measurement date and/or have the ability to limit the individual amount of investor redemptions. The redemption restriction term is based on the restriction period (or range of restriction periods) for Investee Funds as defined in each respective Investee Fund’s governing legal agreement without consideration of the length of time elapsed from the date of investments in Investee Funds. The Fund’s investment in a particular Investee Fund classified within the strategies above may be comprised of investments with differing liquidity terms or investments which were made at differing points in time.
During the year ended March 31, 2018, the amount of transfers from Level 1 to Level 2 was $19,225,599 and $(19,860,633) for common stock and securities sold short, respectively, as a result of the Fair Value Trigger. For more detail on the fair value of foreign equity securities, please refer to the discussion of fair value measurements for exchange-traded securities in Note 3.
The Fund recognizes transfers within the fair value hierarchy as of the beginning of the period. Transfers into and out of Level 3 were primarily related to the availability of broker quotations in accordance with valuation methodology.
The changes in investments measured at fair value for which the Fund used Level 3 inputs to determine fair value are as follows:
| | | | | | | | | | | | | | | |
Assets: Investments in Securities | | Bank Debt | | Corporate
Bonds &
Notes | | Total |
Balance as of March 31, 2017 | | | $ | 2,879,336 | | | | $ | — | | | | $ | 2,879,336 | |
Transfers In | | | | 4,939,560 | | | | | — | | | | | 4,939,560 | |
Transfers Out | | | | (1,600,501 | ) | | | | — | | | | | (1,600,501 | ) |
Purchases | | | | 8,233,901 | | | | | 21,197,190 | | | | | 29,431,091 | |
Sales | | | | (890,815 | ) | | | | — | | | | | (890,815 | ) |
Amortization | | | | 485,452 | | | | | 614,806 | | | | | 1,100,258 | |
Net realized gain (loss) | | | | 7,082 | | | | | — | | | | | 7,082 | |
Net change in unrealized appreciation (depreciation) | | | | (1,222,717 | ) | | | | (37,101 | ) | | | | (1,259,818 | ) |
| | | | | | | | | | | | | | | |
Balance as of March 31, 2018 | | | $ | 12,831,298 | | | | $ | 21,774,895 | | | | $ | 34,606,193 | |
| | | | | | | | | | | | | | | |
Net change in unrealized appreciation (depreciation) related to investments still held as of March 31, 2018 | | | $ | (1,217,632 | ) | | | $ | (37,101 | ) | | | $ | (1,254,733 | ) |
| | | | | | | | | | | | | | | |
260
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Notes to Consolidated Financial Statements (Continued)
For the Year Ended March 31, 2018
The following table summarizes the quantitative inputs and assumptions used for investments in securities classified within Level 3 of the fair value hierarchy as of March 31, 2018.
| | | | | | | | | | | | | | | | | | | | |
Assets | | Fair Value at
March 31,
2018 | | Valuation Technique | | Unobservable Inputs | | Range of inputs (Weighted
Average) |
Investments in Securities: | | | | | | | | | | | | | | | | | | | | |
Bank Debt | | | $ | 12,831,298 | | | |
| Broker-dealer
Quotations |
| | | | Indicative Bid | | | | | N/A | |
Corporate Bonds & Notes | | | | 21,774,895 | | | |
| Broker-dealer
Quotations |
| | | | Indicative Bid | | | | | N/A | |
| | | | | | | | | | | | | | | | | | | | |
Total Investments in Securities | | | $ | 34,606,193 | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
6. Purchase and Sale of Fund Shares
The Fund currently offers Class D Shares, Class I Shares, Class R Shares and Class Y Shares. For the year ended March 31, 2018, only Class D Shares, Class I Shares and Class Y Shares were outstanding.
The Fund’s Class D Shares are offered primarily through broker-dealers and other financial intermediaries that have entered into an agreement with the Distributor for the use of the Fund in investment products, programs, or accounts such as mutual fund supermarkets or other no transaction fee platforms. The Fund’s Class I Shares are offered to institutional investors and individual investors who are clients of investment advisors, broker-dealers, financial institutions or registered investment advisors that: (a) may charge such clients fees for advisory, investment, consulting or similar services and (b) have entered into an arrangement approved by the Distributor to provide certain administrative services to investors. The Fund’s Class Y Shares are offered for institutional investors and individuals (including through individual retirement accounts) who purchase directly from the Fund. Class Y Shares of the Fund may also be offered to employees, officers and directors/trustees of the Investment Adviser, the Fund or their respective affiliates and to institutional investors and individual investors who are clients of investment advisors, broker-dealers, financial institutions or registered investment advisors that: (a) do not charge a fee to the Fund and (b) have entered into an arrangement approved by the Distributor. The minimum investment in Class D Shares of the Fund by an investor is $25,000, and the minimum subsequent investment in Class D Shares of the Fund by an investor is $5,000. The minimum investment in Class I Shares of the Fund by an investor is $1,000,000, and the minimum subsequent investment in Class I Shares of the Fund by an investor is $200,000. Class Y Shares have no investment minimum requirements. The Fund’s Class R Shares have no minimum investment requirement and are generally available only to special benefit plans.
Shares of the Fund may be purchased or redeemed at NAV each Business Day.
7. Investment Adviser Fees and Other Transactions with Affiliates
Pursuant to the investment management agreement between the Investment Adviser and the Trust, on behalf of the Fund, the Fund pays the Investment Adviser a management fee (the “Fund Management Fee”) at an annual rate based on the Fund’s average daily net assets, excluding the net assets of the applicable Subsidiaries. The Fund’s Management Fee accrues daily in arrears and is paid quarterly. The Investment Adviser receives additional compensation at an annual rate based on each Subsidiary’s average daily net assets for providing management services to the Subsidiaries. For collective net assets of the Fund and the respective Subsidiaries up to $2.5 billion, the Fund Management Fee is calculated at a rate of 1.95% (annualized) and for collective net assets greater than or equal to $2.5 billion, the Fund Management Fee is
261
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Notes to Consolidated Financial Statements (Continued)
For the Year Ended March 31, 2018
calculated at a rate of 1.80% (annualized). During the year ended March 31, 2018, the Fund paid the Investment Adviser $94,680,864 in management fees. From this amount, the Investment Adviser paid $47,890,745 in sub-advisory fees to non-affiliated Sub-Advisers with respect to the Fund, which amounted to 0.95% (annualized) of the Fund’s average daily net assets.
Sub-Advisory Fees
Pursuant to the sub-advisory agreements between the Investment Adviser and the Sub-Advisers, the Sub-Advisers are compensated for the services they provide to the Fund by the Investment Adviser from the Management Fee received by the Investment Adviser.
Distribution and Service Fees
Pursuant to the amended and restated Distribution and Service Plan, the Fund’s Class D Shares bear distribution and service fees at an annual rate of 0.25% of the average daily net assets of the Fund attributable to Class D Shares. Payments of the distribution and service fee may be made without regard to expenses actually incurred. The Fund’s Class I Shares, Class Y Shares and Class R Shares are not subject to distribution and service fees.
Expense Limitation and Reimbursement
The Investment Adviser has entered into an Expense Limitation and Reimbursement Agreement with the Fund to limit the amount of Specified Expenses (as defined below) of the Fund to 2.40% per annum of the Fund’s net assets for Class D Shares, Class I Shares and Class Y Shares and 2.55% per annum of the Fund’s net assets for Class R Shares (collectively, the “Total Expense Cap”). Specified Expenses include all expenses incurred by the Fund with the exception of (i) the distribution or servicing fees, (ii) acquired fund fees and expenses, (iii) brokerage and trading costs, (iv) interest payments (including any interest expenses, commitment fees, or other expenses related to any line of credit of the Fund), (v) taxes, (vi) dividends and interest on short positions, and (vii) extraordinary expenses (as determined in the sole discretion of BAIA) (together, the “Excluded Expenses”).
To the extent the estimated annualized specified expenses for any month exceeds the Total Expense Cap, the Investment Adviser will waive its fees and/or make payments to the Fund for expenses to the extent necessary to eliminate such excess. The Investment Adviser may discontinue its obligations under the agreements at any time in its sole discretion after August 31, 2020 upon written notice to the Fund. The Fund has agreed to repay the amounts borne by the Investment Adviser under their respective agreements within the thirty-six month period after the Investment Adviser bears the expense, to the extent the estimated annualized Specified Expenses for a given month are less than the lower of the Total Expense Cap or any expense limitation agreement then in effect. The repayment may not raise the level of estimated annualized specified expenses in the month of repayment to exceed the total expense cap. During the year ended March 31, 2018, there were no repayments or potential repayments to the Investment Adviser.
Interfund Trades
The Fund may purchase from or sell securities to other affiliated funds under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with
262
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Notes to Consolidated Financial Statements (Continued)
For the Year Ended March 31, 2018
Rule 17a-7 of the 1940 Act. For the year ended March 31, 2018, the purchase and sale transactions and any net realized gains (losses) with an affiliated fund were as follows:
| | | | |
Purchases | | Sales | | Net Realized Gain |
| $— | | $11,542,954 | | $186,985 |
Related Party Transactions
Blackstone Holdings Finance Co. L.L.C. (“FINCO”), an affiliate of the Fund, pays expenses on behalf of the Fund. The Fund reimburses FINCO for such expenses paid on behalf of the Fund. FINCO does not charge any fees for providing such administrative services. At year-end March 31, 2018, the Fund does not have an amount payable to FINCO.
8. Other Agreements
State Street Bank and Trust Company serves as the administrator, custodian and transfer agent to the Fund. Blackstone Advisory Partners L.P., an affiliate of the Investment Adviser, serves as the Fund’s distributor.
9. Financial Instruments and Off-Balance Sheet Risk
Market Risk: In the normal course of business, the Fund invests in securities and enters into transactions where risks exist due to fluctuations in the market (market risk) or failure of the other party to a transaction to perform (credit and counterparty risk). The value of securities held by the Fund may decline in response to certain events, including those directly involving the companies whose securities are owned by the Fund; conditions affecting the general economy; overall market changes; local, regional or global political, social or economic instability; and currency and interest rate and price fluctuations.
Credit and Counterparty Risk: The Fund may be exposed to counterparty risk, or the risk that an entity with which the Fund has unsettled or open transactions may default. The potential loss could exceed the value of the financial assets and liabilities recorded in the consolidated financial statements. Financial assets that potentially expose the Fund to credit and counterparty risk consist principally of cash due from counterparties and investments. The Fund manages counterparty risk by entering into agreements only with counterparties that it believes has the financial resources to honor its obligations and by monitoring the financial stability of those counterparties. The Fund’s Investment Adviser attempts to mitigate counterparty risk by (i) periodically assessing the creditworthiness of its trading partners, (ii) monitoring and/or limiting the amount of its net exposure to each individual counterparty based on its assessment and (iii) requiring collateral from the counterparty for certain transactions. In order to preserve certain safeguards for non-standard settlement trades, the Fund restricts exposure to credit and counterparty losses by entering into MNA’s with counterparties (approved brokers) with whom it undertakes a significant volume of transactions. Collateral requirements may differ by type of derivative or investment, as applicable. Collateral or margin requirements are set by the broker or exchange clearing house for exchange traded derivatives (e.g., futures contracts and exchange traded options) while collateral terms are contract specific for OTC traded derivatives (e.g., forward foreign currency exchange contracts, swap agreements and OTC options). For derivatives traded under an ISDA Master Agreement or similar master agreement, the collateral requirements may be netted across all transactions traded under such agreement and certain counterparties may allow one amount to be posted from one party to the other to collateralized such obligations. The ISDA Master Agreement gives each party to the agreement the right to terminate all transactions traded under such agreement if there is a certain deterioration in the credit quality of the other party. The ISDA Master Agreement gives the Fund the right,
263
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Notes to Consolidated Financial Statements (Continued)
For the Year Ended March 31, 2018
upon an event of default by the applicable counterparty or a termination of the agreement, to close out all transactions traded under such agreement and may permit net amounts owed under each transaction to be netted to derive one net amount payable by one party to the other. This right to close out and net payments across all transactions traded under the ISDA Master Agreement could result in a reduction of the Fund’s credit risk to such counterparty equal to any amounts payable by the Fund under the applicable transactions, if any. The enforceability of the right to offset may vary by jurisdiction. Cash collateral that has been pledged to cover obligations of the Fund under derivative financial instrument contracts, if any, will be reported separately in the Consolidated Statement of Assets and Liabilities. Securities pledged as collateral, if any, for the same purpose are noted in the Consolidated Schedule of Investments.
At March 31, 2018, the Fund had counterparty concentration of credit risk primarily with State Street Bank and Trust Company, Morgan Stanley & Co. LLC, Morgan Stanley Capital Services LLC, Morgan Stanley & Co. International plc, Credit Suisse Securities (USA) LLC, Credit Suisse Securities (Europe) Limited and Credit Suisse International.
Foreign Investment Risk: The investments by the Fund in foreign securities may involve risks not present in domestic investments. Since securities may be denominated in, require settlement in and pay interest or dividends in foreign currencies, changes in the relationship of these foreign currencies to the U.S. dollar can significantly affect the value of the investments and earnings of the Fund. Foreign investments may also subject the Fund to foreign government exchange restrictions, expropriation, taxation or other political, social or economic developments, all of which could affect the market and/or credit risk of the investments. In addition to the risks described above, risks may arise from forward foreign currency exchange contracts with respect to the potential inability of counterparties to meet the terms of their contracts.
Liquidity Risk: Some securities held by the Fund, including, but not limited to, restricted, distressed, nonexchange traded, and/or privately placed securities, may be difficult to sell, or illiquid, particularly during times of market turmoil. Investments in Investment Funds are generally illiquid and some Investment Funds may not permit withdrawals or may make in-kind distributions of illiquid securities when the Fund desires to divest. Illiquid securities may be difficult to value. If the Fund is forced to sell an illiquid asset to meet redemption requests or other cash needs, the Fund may be forced to sell at a loss.
Money Market Funds Risk: The investments in money market funds are not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. In addition, money market funds are exposed to market risk, credit risk and liquidity risk.
Additional risks associated with each type of investment are described within the respective security type notes. The Fund’s Prospectus includes a discussion of the principal risks of investing in the Fund.
10. Investment Transactions
The aggregate cost of purchases and proceeds of sales of investments in securities (excluding U.S. Treasury Obligations, U.S. Government Sponsored Agency Securities and other short-term debt securities with maturities at the time of acquisition of one year or less (if applicable)), for the year ended March 31, 2018 were as follows:
| | | | | | |
| Purchases | | Sales |
Long-Term | | U.S Government | | Long-Term | | U.S Government |
| $9,773,604,345 | | $48,782,886 | | $9,254,642,921 | | $1,698,918 |
264
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Notes to Consolidated Financial Statements (Continued)
For the Year Ended March 31, 2018
11. Income Tax Information
The Fund intends to qualify each tax year as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended (the “Code”). The Fund has adopted a tax year-end of October 31; therefore, the consolidated financial statements, unless otherwise indicated, reflect tax adjusted balances as of October 31, 2017. The Fund intends to distribute substantially all of its net investment income and all of its net realized short-term and long-term capital gain, if any, after giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, the Fund makes no provision for U.S. federal income or excise taxes.
The Fund’s policy is to declare and pay distributions from net investment income and from net realized short-term and long-term capital gain, if any, at least annually. All distributions are reinvested in additional shares of the Fund, at net asset value, unless the shareholder elects to receive cash distributions. Distributions to shareholders are recorded by the Fund on the ex-dividend date.
The Fund is subject to authoritative guidance related to the accounting and disclosure of uncertain tax positions under U.S. GAAP. This guidance sets forth a minimum threshold for the financial statement recognition of tax positions taken based on the technical merits of such positions. United States and non-U.S. tax rules (including the interpretation and application of tax laws) are subject to change. The Fund files tax returns and/or adopts certain tax positions in various jurisdictions. Non-U.S. taxes are provided for based on the Fund’s understanding of the prevailing tax rules of the non-U.S. markets in which they invest. Recently enacted tax rules, including interpretations of tax laws (e.g., regulations pertaining to the U.S. Foreign Account Tax Compliance Act) and proposed legislation currently under consideration in various jurisdictions, including the U.S., might affect the way the Fund and its investors are taxed prospectively and/or retroactively. Prior to the expiration of the relevant statutes of limitations, if any, the Fund is subject to examination by U.S. federal, state, local and non-U.S. jurisdictions with respect to the tax returns they have filed and the tax positions they have adopted. The Fund’s U.S. federal income tax returns are generally subject to examination by the Internal Revenue Service for a period of three years after they were filed. State, local and/or non-U.S. tax returns and/or other filings may be subject to examination for different periods, depending upon the tax rules of each applicable jurisdiction.
The Fund made the following reclassification at March 31, 2018 due to permanent book and tax differences primarily attributable to gain or loss from passive foreign investment companies, certain derivative financial instrument transactions, and income from the wholly-owned Cayman Subsidiary from the tax year-ended October 31, 2017:
| | | | |
Paid-in Capital | | Accumulated Investment
Income/(Loss) | | Accumulated Net Realized
Gain/(Loss) |
| $73,318,157 | | $(10,621,351) | | $(62,696,806) |
The tax basis components of distributable earnings of the Fund at the tax year-ended October 31, 2017 was:
| | | | |
Undistributed
Ordinary Income | | Undistributed Long-Term
Capital Gains | | Capital Loss Carryforward |
| $96,195,195 | | $— | | $— |
265
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Notes to Consolidated Financial Statements (Continued)
For the Year Ended March 31, 2018
In addition, the tax character of distributions paid to shareholders for the tax year-ended October 31, 2016 by the Fund is as follows:
| | |
Ordinary Income | | Long-Term Capital Gains |
| $86,061,970 | | $— |
In addition, the tax character of distributions paid to shareholders for the tax year-ended October 31, 2017 by the Fund is as follows:
| | |
Ordinary Income | | Long-Term Capital Gains |
| $20,072,174 | | $— |
The Fund made an ordinary income distribution in the amount of $103,460,004 to shareholders in December 2017. The final tax character of that distribution will be determined after the Fund’s October 31, 2018 tax year end.
As of March 31, 2018, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments, securities sold short, and derivatives were as follows:
| | | | | | |
Aggregate Cost | | Gross Unrealized
Appreciation | | Gross Unrealized
(Depreciation) | | Net Unrealized
Appreciation
(Depreciation) |
| $3,807,823,671 | | $500,015,393 | | $(271,102,688) | | $228,912,705 |
12. Borrowings Under Credit Facility
The Fund has a secured revolving borrowing facility (the “Facility”) with State Street Bank and Trust Company (the “Bank”) in an aggregate principal amount of up to $60,000,000, subject to a maximum loan value of not more than 25% of the Fund’s NAV (the “Aggregate Commitment Amount”). Borrowings under the Facility are used primarily for bridge financing purposes and are secured by the assets of the Fund. Under the terms of the agreement, the Aggregate Commitment Amount may be terminated or reduced from time to time upon written notice from the Fund to the Bank. Outstanding borrowings bear interest at a rate equal to 1.25% plus the One-Month USD LIBOR Rate per annum (3.13% at March 31, 2018). A commitment fee is charged in the amount of 0.25% per annum as well as an upfront underwriting fee equal to 0.10% of the Commitment Amount per annum. Commitment fees accrued through the end of each calendar quarter are due no later than the 15th day of the immediately succeeding calendar month during the term of the Facility. Accrued interest is due no later than January 28, 2019, the termination date of the Facility at which time the Fund and the Bank can agree to extend the existing agreement. For the year ended March 31, 2018, the Fund made no borrowings under the Facility.
13. Subsequent Events
The Investment Adviser has evaluated the impact of subsequent events through the date of financial statement issuance, and determined there were no subsequent events outside the normal course of business requiring adjustment to or disclosure in the consolidated financial statements.
266
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees of Blackstone Alternative Investment Funds and the Shareholders of Blackstone Alternative Multi-Strategy Fund and Subsidiaries:
Opinion on the Financial Statements and Financial Highlights
We have audited the accompanying consolidated statement of assets and liabilities, including the consolidated schedule of investments, of Blackstone Alternative Multi-Strategy Fund and subsidiaries, one of the portfolios constituting the Blackstone Alternative Investment Funds (the “Fund”), as of March 31, 2018, the related consolidated statements of operations and cash flows for the year then ended, the consolidated statements of changes in net assets for each of the two years in the period then ended, the consolidated financial highlights for each of the three years in the period then ended and the period from the June 16, 2014 (commencement of operations) to March 31, 2015, and the related notes. In our opinion, the consolidated financial statements and consolidated financial highlights present fairly, in all material respects, the consolidated financial position of Blackstone Alternative Multi-Strategy Fund and Subsidiaries of the Fund as of March 31, 2018, the consolidated results of its operations and its cash flows for the year then ended, the consolidated changes in its net assets for each of the two years in the period then ended, the consolidated financial highlights for each of the three years in the period then ended and the period from the June 16, 2014 (commencement of operations) to March 31, 2015, in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. The Fund is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of March 31, 2018, by correspondence with the custodian, brokers and agent banks; when replies were not received from custodian, brokers and agent banks, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
Deloitte & Touche LLP
New York, New York
May 23, 2018
We have served as the auditors of one or more investment companies within the group of investment companies since 2010.
267
Blackstone Alternative Multi-Strategy Fund and Subsidiaries Shareholder Fee Example (Unaudited)
As a shareholder of the Multi-Strategy Fund, you incur ongoing costs, including management fees and to the extent applicable, distribution (12b-1) fees and/or shareholder services fees and other Fund expenses. This Example is intended to help you to understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
Actual Expenses
The actual expense example is based on an investment of $1,000 invested at the beginning of a six month period and held through the year ended March 31, 2018. The first line in the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The hypothetical expense example is based on an investment of $1,000 invested at the beginning of a six month period. The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the actual return of the Fund. The hypothetical amount account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads) or redemption/exchange fees. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
| | | | | | | | | | | | | | | | | | | | |
| | | Beginning
Account Value
10/1/2017 | | Ending
Account Value
3/31/2018 | | Expenses Paid
During Period1 | | Annualized
Expense
Ratio |
Class I | | | | | | | | | | | | | | | | | | | | |
Actual | | | | $1,000.00 | | | | | $995.70 | | | | | $13.43 | | | | | 2.70% | |
Hypothetical (assuming a 5% return before expenses) | | | | $1,000.00 | | | | | $1,011.47 | | | | | $13.54 | | | | | 2.70% | |
| | | | |
Class D | | | | | | | | | | | | | | | | | | | | |
Actual | | | | $1,000.00 | | | | | $994.80 | | | | | $15.12 | | | | | 3.04% | |
Hypothetical (assuming a 5% return before expenses) | | | | $1,000.00 | | | | | $1,009.77 | | | | | $15.23 | | | | | 3.04% | |
| | | | |
Class Y | | | | | | | | | | | | | | | | | | | | |
Actual | | | | $1,000.00 | | | | | $997.50 | | | | | $13.00 | | | | | 2.61% | |
Hypothetical (assuming a 5% return before expenses) | | | | $1,000.00 | | | | | $1,011.92 | | | | | $13.09 | | | | | 2.61% | |
| 1 | Expenses are calculated using the annualized expense ratio, multiplied by the average account value over the period, multiplied by 182/365 (to reflect the one-half-year period). |
268
Blackstone Alternative Investment Funds and Subsidiaries
Supplemental Information
March 31, 2018
Management of the Fund
The Fund’s operations are managed by the Investment Adviser and the Sub-Advisers (defined below), under the direction and oversight of the Board. A majority of the Trustees are not “interested persons” (as defined in the 1940 Act) of the Fund (the “Independent Trustees”). The Trustees and the Fund’s officers are subject to removal or replacement in accordance with Massachusetts law and the Trust’s Amended and Restated Declaration of Trust. Five of the six Trustees were elected by the initial shareholder of the Trust.
Sub-Advisers
During the period covered by this report, the Investment Adviser engaged the following entities as sub-advisers (each, a “Sub-Adviser”, and together, the “Sub-Advisers”) to provide investment management services to the Fund or to one or more Subsidiaries.
Discretionary Sub-Advisers:
| | • | | Bayview Asset Management, LLC |
| | • | | Boussard & Gavaudan Investment Management, LLP |
| | • | | Cerberus Sub-Advisory I, LLC |
| | • | | Cerebellum GP, LLC (effective December 6, 2017) |
| | • | | Chatham Asset Management, LLC (until February 14, 2018) |
| | • | | D. E. Shaw Investment Management, L.L.C. |
| | • | | Emso Asset Management Limited |
| | • | | Endeavour Capital Advisors Inc. (effective February 22, 2018) |
| | • | | FT AlphaParity, LLC (until June 23, 2017) |
| | • | | GSA Capital Partners LLP (effective April 26, 2017) |
| | • | | GS Investment Strategies, LLC (until January 12, 2018) |
| | • | | H2O AM LLP (effective June 1, 2017) |
| | • | | HealthCor Management, L.P. |
| | • | | IPM Informed Portfolio Management AB |
| | • | | Magnetar Asset Management LLC (effective June 15, 2017) |
| | • | | NWI Management, L.P. (effective February 22, 2018) |
| | • | | Sorin Capital Management, LLC |
| | • | | Waterfall Asset Management, LLC |
Non-Discretionary Sub-Advisers:
| | • | | Gracian Capital LLC (effective May 24, 2017) |
Trustees and Officers
The following tables set forth information concerning the Trustees and officers (“Officers”) of the Fund. Unless otherwise noted, the business address of each Officer and Trustee is c/o Blackstone Alternative Investment Advisors LLC, 345 Park Avenue, 28th Floor, New York, NY 10154.
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Blackstone Alternative Investment Funds and Subsidiaries
Supplemental Information (Continued)
March 31, 2018
Independent Trustees:
| | | | | | | | | | |
Name and
Year of
Birth of
Trustee | | Position
Held with
the Fund | | Term of
Office1
and
Length of
Time
Served | | Principal
Occupation(s)
During Past 5 Years | | Number of
Portfolios in
Fund
Complex2
Overseen by
Trustee | | Other Trusteeships
Held by Trustee |
John M. Brown
(1959) | | Trustee | | March
2013 to
present | | Retired (2004 – Present) | | 4 | | None |
| | | | | |
Peter M. Gilbert (1947) | | Trustee | | February
2016 to
present | | Retired
(2015-Present) Chief Investment Officer, Lehigh University Endowment Fund (2007 – 2015) | | 4 | | None |
| | | | | |
Paul J. Lawler
(1948) | | Trustee | | March
2013 to
present | | Retired
(2011 – Present) | | 4 | | Trustee, First Eagle Funds (8 portfolios) |
| | | | | |
Kristen Leopold
(1967) | | Trustee | | March
2013 to
present | | CFO, WFL Real Estate Services, LLC (2006 – Present); CFO, KL Associates LLC (Hedge Fund Consulting)
(2007 – 2014) | | 4 | | Trustee, CPG Carlyle Commitments Fund, LLC; Trustee, CPG Carlyle Commitments Master Fund, LLC; Trustee, CPG Vintage Access Fund, LLC |
Interested Trustee:
| | | | | | | | | | |
Name and
Year of
Birth of
Trustee | | Position
Held with
Fund | | Term of
Office1
and
Length of
Time
Served | | Principal
Occupation(s)
During Past
5 Years | | Number of
Portfolios in
Fund
Complex2
Overseen by
Trustee | | Other Trusteeships
Held by Trustee |
Frank J. Coates3
(1964) | | Trustee | | March 2013
to Present | | Executive Managing Director4, Envestnet, Inc. (Wealth Management Solutions) (2016-Present); CEO, Wheelhouse Analytics, LLC (Technology Solutions) (2010 – 2016) | | 4 | | None |
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Blackstone Alternative Investment Funds and Subsidiaries
Supplemental Information (Continued)
March 31, 2018
| | | | | | | | | | |
Name and
Year of
Birth of
Trustee | | Position
Held with
Fund | | Term of
Office1
and
Length of
Time
Served | | Principal
Occupation(s)
During Past
5 Years | | Number of
Portfolios in
Fund
Complex2
Overseen by
Trustee | | Other Trusteeships
Held by Trustee |
Peter Koffler5
(1956) | | Trustee | | August
2012 to
present | | Senior Managing Director,4 The Blackstone Group L.P. (“Blackstone”) (2012 – Present); General Counsel, Blackstone Alternative Asset Management L.P. (“BAAM”) (2010 – Present) and Blackstone Alternative Investment Advisors LLC (“BAIA”) (2012 – Present); Chief Compliance Officer, BAAM (2008 – 2012, 2018 – Present) and BAIA (2018 – Present) Chief Compliance Officer, Blackstone (2013 – 2016). | | 4 | | None |
| 1 | Term of office of each Trustee is indefinite until his or her resignation, removal, or death. Any Trustee of the Fund may be removed from office in accordance with the provisions of the Trust’s Amended and Restated Agreement and Declaration of Trust (“Declaration of Trust”) and Bylaws. |
| 2 | The “Fund Complex” consists of the Fund, Blackstone Alternative Alpha Fund, Blackstone Alternative Alpha Fund II, and Blackstone Alternative Alpha Master Fund. |
| 3 | Mr. Coates is being treated as an “interested person” of the Fund, as defined in the 1940 Act, due to his employment by Envestnet, Inc., which conducts business with certain Sub-Advisers and may conduct business with the Investment Adviser and/or its affiliates in the future. |
| 4 | Executive title, not a board directorship. |
| 5 | Mr. Koffler is an “interested person” of the Fund, as defined in the 1940 Act, due to his position with the Investment Adviser and its affiliates. |
271
Blackstone Alternative Investment Funds and Subsidiaries
Supplemental Information (Continued)
March 31, 2018
Officers:
| | | | | | |
Name and Year of
Birth of Officer | | Position(s) Held
with the Fund | | Term of
Office1 and Length
of Time Served | | Principal Occupation(s)
During Past 5 Years |
Natasha Kulkarni (1985) | | Secretary | | May 2018 to present | | Vice President, Blackstone (2016 – Present); Associate, Blackstone (2013 – 2015) |
Brian F. Gavin
(1969) | | President (Principal Executive Officer) | | August 2012 to present | | Chief Operating Officer & Senior Managing Director,2 Blackstone (2007 – Present) |
James Hannigan
(1983) | | Chief Compliance Officer, Anti-Money Laundering Officer, and Chief Legal Officer | | Chief Compliance Officer and Anti-Money Laundering Officer (August 2016 to Present); Chief Legal Officer (March 2015 to Present) | | Managing Director,2 Blackstone (2018 – Present); Vice President, Blackstone (2014 – 2017) Associate, Blackstone (2012 – 2013) |
Arthur Liao
(1972) | | Treasurer
(Principal Financial and Accounting Officer) | | August 2012 to present | | Senior Managing Director,2 Blackstone (2016 – Present Chief Financial Officer, BAAM (2007 – Present) and BAIA (2012 – Present) Managing Director,2 Blackstone (2007 – 2015) |
| 1 | Term of office of each officer is indefinite until his or her death, resignation, removal, replacement, or disqualification. |
| 2 | Executive title, not a board directorship. |
Compensation for Trustees
Each of the Independent Trustees is paid by the Fund Complex (as defined below) $110,000 per fiscal year in the aggregate for their services to the Fund Complex (including the Subsidiaries). Mr. Coates (a Trustee being treated as an “interested person” (as defined in the 1940 Act) of the Fund due to his employment by Envestnet, Inc., which conducts business with certain Investee Funds and may conduct business with the Investment Adviser and its affiliates in the future) is paid by the Fund Complex $95,000 per fiscal year in the aggregate for his services to the Fund Complex (excluding the Subsidiaries). The Chairpersons of the Board of Trustees and the Audit Committee are paid by the Fund Complex an additional $25,000 and $15,000, respectively, per fiscal year. These payments are allocated to the Fund and the other funds in the Fund Complex on the basis of assets under management. The Fund Complex pays for the Trustees’ travel expenses related to Board of Trustees meetings. The Trustees do not receive any pension or retirement benefits from
272
Blackstone Alternative Investment Funds and Subsidiaries
Supplemental Information (Continued)
March 31, 2018
the Fund Complex. The following table sets forth information covering the total compensation payable by the Fund during its fiscal year ended March 31, 2018 to the persons who serve, and who are expected to continue serving, as Trustees of the Fund during such period:
Independent Trustees:
| | | | | | | | | | |
| Name of Independent Trustee | | Aggregate
Compensation
From the Fund | | Total Compensation
From the Fund
Complex1 |
John M. Brown | | | $ | 86,304 | | | | $ | 120,000 | |
Peter M. Gilbert | | | $ | 78,574 | | | | $ | 110,000 | |
Paul J. Lawler | | | $ | 78,574 | | | | $ | 110,000 | |
Kristen M. Leopold | | | $ | 84,112 | | | | $ | 117,500 | |
Interested Trustees:
| | | | | | | | | | |
| Name of Interested Trustee | | Aggregate
Compensation
From the Fund | | Total Compensation
From Fund
Complex1 |
Frank J. Coates | | | $ | 64,824 | | | | $ | 96,250 | |
Peter Koffler | | | | None | | | | | None | |
| 1 | These amounts represent aggregate compensation for the services of each Trustee to each fund in the Fund Complex, for which each Trustee serves as trustee. The “Fund Complex” consists of the Fund, the Blackstone Alternative Alpha Fund, the Blackstone Alternative Alpha Fund II, and Blackstone Alternative Alpha Master Fund. |
Form N-Q Filings
The Fund files a complete schedule of the Fund’s portfolio holdings with the Securities and Exchange Commission (“SEC”) for the first and third quarters of each fiscal year on Form N-Q. The Fund’s Form N-Q is available on the SEC’s website at http://www.sec.gov within 60 days after the Fund’s first and third fiscal quarters. The Fund’s Form N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C., and information regarding the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. Holdings and allocations shown on any Form N-Q are as of the date indicated in the filing and may not be representative of future investments. Holdings and allocations should not be considered research or investment advice and should not be relied upon in making investment decisions.
Proxy Voting Policies
A description of the policies and procedures used to vote proxies related to the Fund’s portfolio securities and information regarding how the Fund voted proxies relating to its portfolio securities during the most recent 12-month period ended June 30 will be available by August 31 of that year (1) without charge, upon request, by calling toll free, 1-855-890-7725 and (2) on the SEC’s website at http://www.sec.gov.
Board Approval of the Sub-Advisory Agreements
At meetings of the Board held in person on November 14-15, 2017 and February 20-21, 2018, the Board, including all of the Independent Trustees, considered and unanimously approved the continuation of, amended and new investment sub-advisory agreements for the Fund (“New Sub-Advisory Agreements”,
273
Blackstone Alternative Investment Funds and Subsidiaries
Supplemental Information (Continued)
March 31, 2018
“Amended and Restated Sub-Advisory Agreements” and “Continued Sub-Advisory Agreements,” together the “Sub-Advisory Agreements”) between BAIA and each of the following sub-advisers (the “Sub-Advisers”):
Continued Sub-Advisory Agreements (approved at November meeting)
| | • | | Boussard & Gavaudan Investment Management, LLP |
| | • | | Cerberus Sub-Advisory I, LLC |
| | • | | Sorin Capital Management, LLC |
| | • | | Waterfall Asset Management, LLC |
New Sub-Advisory Agreement (approved at November meeting)
| | • | | Cerebellum GP, LLC, d/b/a Cerebellum Capital |
Continued Sub-Advisory Agreements (approved at February meeting)
| | • | | HealthCor Management L.P. |
Amended and Restated Sub-Advisory Agreement (approved at February meeting)
| | • | | Boussard & Gavaudan Investment Management, LLP |
New Sub-Advisory Agreements (approved at February meeting)
| | • | | Endeavour Capital Advisors Inc. |
The Board noted that BAIA and the Fund relied on an exemptive order from the SEC that permitted the Fund to hire and make material amendments to sub-advisory agreements with discretionary or non-discretionary sub-advisers without a shareholder vote, provided that the Board, including a majority of Independent Trustees, approve the new sub-advisers and material amendments, and certain other conditions are met. The Independent Trustees were assisted in their review of the applicable sub-advisory arrangements by their independent legal counsel, and before the meetings, the Board received materials prepared by their independent legal counsel regarding the relevant factors to consider in connection with the approval of the Sub-Advisory Agreements between BAIA and each of the Sub-Advisers. The Board requested and evaluated all the information it deemed reasonably necessary under the circumstances in connection with the approval of the Sub-Advisory Agreements. Prior to the meetings, the Board had requested and received materials prepared by BAIA relating to each Sub-Adviser.
The information the Board received in connection with the consideration of the Continued Sub-Advisory Agreements for each of the existing Sub-Advisers generally included:
| (1) | summary information regarding the investment thesis, strengths, performance and positioning; a firm-wide risk evaluation and a strategy risk evaluation; an assessment of business infrastructure, valuation, liquidity, trade execution, and allocation, and compliance; and a summary of the key terms of the Sub-Advisory Agreement; |
| (2) | a Sub-Adviser Tear Sheet which covered in greater detail the Sub-Adviser’s performance, returns and investment exposures; |
| (3) | a Back Office Review, which covered, among other things, information regarding the Sub-Adviser’s product offerings and personnel, business viability, related entities, product and operational complexity, valuation, internal controls, counterparties, service providers, and regulatory and compliance infrastructure. |
274
Blackstone Alternative Investment Funds and Subsidiaries
Supplemental Information (Continued)
March 31, 2018
The information the Board received for each newly proposed Sub-Adviser generally included:
| (1) | summary information regarding the investment thesis; strengths; portfolio expectations; a firm-wide risk evaluation and a strategy risk evaluation; an assessment of business infrastructure, valuation, liquidity, trade execution and allocation, and compliance; and a summary of the key terms of the Sub-Advisory Agreement; |
| (2) | a Back Office Review, which covered, among other things, information regarding the Sub-Adviser’s product offerings and personnel, business viability, related entities, product and operational complexity, valuation, internal controls, counterparties, service providers, and regulatory and compliance infrastructure; and |
| (3) | a Manager Investment Review, which covered, in greater detail, each Sub-Adviser’s investment thesis, organizational history and ownership, personnel, and business and financial evaluation. |
Prior to the meetings, the Board also received each Sub-Adviser’s responses to information requests under Section 15(c) of the 1940 Act by which the Board requested information about, among other things: (i) general financial information; (ii) any material business dealings with Blackstone and the Fund’s service providers; (iii) the Sub-Adviser’s business plan for the Fund for the coming year; (iv) costs, fees, other benefits, and profitability; and (v) risk management and regulatory compliance matters. Additionally, for each newly proposed discretionary Sub-Adviser, the Board received a copy of the Sub-Adviser’s compliance program under Rule 38a-1 of the 1940 Act, including its code of ethics.
With respect to the Amended and Restated Sub-Advisory Agreement with Boussard & Gavaudan Investment Management, LLP (“BGIM”) approved in February 2018, the Board reviewed the proposed changes to the sub-advisory agreement that the Board had most recently approved at the November 14-15, 2017 meeting.
At the meetings, there was discussion regarding the materials that had been provided to the Board, the terms of the Sub-Advisory Agreements, and other relevant considerations. Additionally, the Board (and separately, the Independent Trustees) conferred with their independent legal counsel to consider the information provided. In evaluating the Sub-Advisory Agreements, the Board took into account the fact that the compensation paid to the Sub-Advisers would be paid by BAIA from the investment management fee it receives from the Fund and would not increase the fees or expenses otherwise incurred by the Fund or its shareholders. In the case of the Amended and Restated Sub-Advisory Agreement, the Board also took into account its most recent consideration and approval of the agreement with the Sub-Adviser, and the fact that the proposed changes to the agreement was not expected to result in any changes in the nature, extent or quality of the services provided to the Fund.
Following this discussion, the Board, including all of the Independent Trustees, determined to approve the Continued Sub-Advisory Agreements, the New Sub-Advisory Agreements, and the Amended and Restated Sub-Advisory Agreement on the basis of the following factors, among others, for each Sub-Adviser:
Nature, Extent, and Quality of the Services
| The | Board discussed and considered with respect to each Sub-Adviser: |
| (1) | personnel, operations, and financial condition; |
| (2) | investment expertise and strengths; |
| (3) | percentage of assets that are or potentially would be allocated to the Sub-Adviser; |
| (4) | investment return on other assets that are managed by the Sub-Adviser and related investment risks or the potential investment return and related investment risks and the extent to which these matters might be relevant to the Sub-Adviser’s management of assets of the Fund; |
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Blackstone Alternative Investment Funds and Subsidiaries
Supplemental Information (Continued)
March 31, 2018
| (5) | the Sub-Adviser’s experience and performance as a hedge fund manager and the extent to which the Sub-Adviser’s strategy for the Fund would overlap with its hedge fund strategy; |
| (6) | where applicable, the Sub-Adviser’s experience and performance as a Sub-Adviser to the Fund since its inception; and |
| (7) | the experience and depth of the Sub-Adviser’s portfolio management team managing hedge fund and other products and its ability to manage risk. |
Where applicable, the Board also considered information about the experience of BAIA’s affiliates (if any) in investing in hedge funds managed by the Sub-Adviser. The Board concluded that the nature, extent, and quality of the sub-advisory services to be provided by each Sub-Adviser were appropriate and thus supported a decision to approve or continue the Sub-Advisory Agreements.
Investment Performance of the Sub-Advisers
The Board considered the investment performance of the Sub-Advisers. Where applicable, the Board considered information about the recent performance record of the Fund’s assets that are managed by each Sub-Adviser (net of trading expenses but gross of investment management fees and Fund operating expenses over various periods, including in many cases the year-to-date period, the fiscal year-ended March 31, 2017, and inception-to-date period), all as compared to the investment returns of (i) a custom index defined by BAIA and (ii) in the case of certain Sub-Advisers, the Sub-Adviser’s hedge fund strategy. In addition, the Board considered information about performance risk measurements of the assets that are managed by the Sub-Adviser, the custom index and the Sub-Adviser’s hedge fund strategy, such as annualized return, standard deviation (which is a common measure of volatility), Sharpe ratio, and alpha and beta statistics (where available). On the basis of the Board’s assessment, while recognizing that there can be no assurance of any particular investment outcome, the Board concluded that the investment performance generated by the Sub-Advisers was generally satisfactory and that the Sub-Advisers were capable of providing reasonable investment performance to the Fund.
Costs of Services and Profitability
In analyzing the cost of services and profitability of each Sub-Adviser, the Board discussed (i) each Sub-Adviser’s sub-advisory fee (and proposed sub-advisory fee in the case of Endeavour Capital Advisors Inc. (“Endeavour”), NWI Management, L.P (“NWI”) and Cerebellum Capital (“Cerebellum”)) for managing the allocated Fund assets, including any breakpoints, (iii) each Sub-Adviser’s resources devoted or expected to be devoted to the Fund; and (iv) any information provided in response to inquiries regarding the profitability to each Sub-Adviser from providing sub-advisory services to the Fund. The Board considered the specific resources that each Sub-Adviser devoted or expected to devote to the Fund for investment analysis, risk management, compliance, and order execution, and the extent to which each Sub-Adviser’s investment process is or would be scalable. The Board noted that the compensation paid to each Sub-Adviser was paid by BAIA, not the Fund, and, accordingly, that the retention of each Sub-Adviser did not increase the fees or expenses otherwise incurred by shareholders of the Fund. It also noted that the terms of each Sub-Adviser’s Sub-Advisory Agreement were the result of separate arm’s-length negotiations between BAIA and the Sub-Adviser. The Board considered information comparing the sub-advisory fees to the fees that each Sub-Adviser charges for providing investment advisory services to certain other clients. The Board also considered information regarding the impact that retaining the Sub-Advisers as sub-advisers to the Fund has or would have on BAIA’s profitability, as well as information about the blended average of all sub-advisory fees that BAIA pays the Sub-Advisers based on allocations of Fund assets among the Sub-Advisers.
The Board concluded that the level of investment sub-advisory fees was appropriate in light of the services to be provided.
276
Blackstone Alternative Investment Funds and Subsidiaries
Supplemental Information (Continued)
March 31, 2018
Economies of Scale
The Board discussed various financial and economic considerations relating to the arrangement with each Sub-Adviser, including economies of scale and the current and proposed breakpoints in the sub-advisory fees for certain Sub-Advisers. The Board concluded that the sub-advisory fees, with the current breakpoints in place, if any, reflected the complexity of the operations of each Sub-Adviser’s portfolio within the Fund and were reasonable in light of the current and anticipated sizes of the portfolios. The Board further noted that it would have the opportunity to periodically re-examine whether the Fund had achieved economies of scale, as well as the appropriateness of sub-advisory fees payable to each Sub-Adviser, with respect to different asset sizes of the portfolio, in the future. The Board also noted that although not directly related to the sub-advisory fees payable to the Sub-Advisers, certain Fund expenses were subject to an expense cap, an undertaking by BAIA intended to limit the Fund’s overall expenses at smaller asset levels.
Other Benefits
The Board discussed other potential benefits that each Sub-Adviser might receive from the Fund, including soft dollar arrangements, receipt of brokerage and research services, and the opportunity to offer additional products and services to the Fund’s shareholders or BAIA. The Board noted that each Sub-Adviser benefited from its relationship with BAIA. The Board concluded that other ancillary or “fall out” benefits derived by each Sub-Adviser from its relationship with BAIA or the Fund, to the extent such benefits were identifiable or determinable, were reasonable and fair, resulted from the provision of appropriate services to the Fund and its shareholders, and were consistent with industry practice and the best interests of the Fund and its shareholders.
Other Considerations
The Board reviewed and considered certain terms and conditions of each Sub-Adviser’s Sub-Advisory Agreement. After discussion, the Board concluded that the terms of each Sub-Adviser’s Sub-Advisory Agreement were reasonable and fair. It was noted that the Board would have the opportunity to periodically re-examine the terms of each Sub-Adviser’s Sub-Advisory Agreement in the future.
Conclusion
The Board, including all of the Independent Trustees, concluded that the fees payable under each of the Sub-Advisory Agreements were fair and reasonable with respect to the services that each Sub-Adviser would provide (and proposed to provide in the case of Cerebellum, Endeavour and NWI) to the Fund and in light of the other factors described above that the Board deemed relevant. The Board noted that both BAIA and the Board had previously determined, or determined at the meetings, that each Sub-Adviser’s compliance program was reasonably designed to prevent the violation of federal securities laws within the meaning of Rule 38a-1 under the 1940 Act and that each Sub-Adviser’s code of ethics was reasonably designed to prevent “access persons” (as defined in Rule 17j-1 under the 1940 Act) from engaging in any act, practice, or course of business prohibited by Rule 17j-1 under the 1940 Act. The Board based its approval or continuation of each Sub-Adviser’s Sub-Advisory Agreement on a comprehensive consideration of all relevant information presented to the Board at its meetings throughout the year, as applicable, and not as a result of any single controlling factor. The Board was assisted by the advice of independent legal counsel in approving each Sub-Adviser’s Sub-Advisory Agreement.
Board Approval of the Investment Management Agreement for Blackstone Multi-Strategy Fund, and each of its Wholly Owned Subsidiaries
At a meeting of the Board held in person on February 20-21, 2018, the Independent Trustees and the Board, considered and unanimously approved (a) the investment management agreement by and between BAIA and
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Blackstone Alternative Investment Funds and Subsidiaries
Supplemental Information (Continued)
March 31, 2018
the Trust, on behalf of the Blackstone Alternative Multi-Strategy Fund (the “BAMSF Investment Management Agreement”); and (b) the investment management agreements between BAIA and each of Blackstone Alternative Multi-Strategy Sub Fund II Ltd., Blackstone Alternative Multi-Strategy Sub Fund III L.L.C., and Blackstone Alternative Multi-Strategy Sub Fund IV L.L.C. (the “Sub Funds”) (collectively, the “Sub Fund Agreements” and together with the BAMSF Investment Management Agreement, the “BAIA Investment Management Agreements”). Because the Sub Funds are wholly owned subsidiaries of the Fund, and because BAIA provides investment management services to the Fund and its Sub Funds on a collective basis, the Trustees evaluated the arrangements between BAIA and the Fund collectively with BAIA’s arrangements with the Sub Funds.
The Independent Trustees were assisted in their review of the BAIA Investment Management Agreements by independent legal counsel. The Board requested and evaluated all the information it deemed reasonably necessary under the circumstances in connection with the approval of the BAIA Investment Management Agreements. Before the meeting, the Board received, among other things, (1) materials prepared by independent legal counsel regarding the relevant factors to consider in connection with the approval of the continuation of the BAIA Investment Management Agreements; (2) a presentation by BAIA relating to, among other things, BAIA’s experience and qualifications to serve as advisor to the Fund and the Sub Funds; (3) analysis of the fees and expenses of the Fund (on a combined basis with the fees and expenses of the Sub Funds) as compared with a peer group of funds; (4) analysis of BAIA’s profitability for providing services to the Fund; (5) information regarding BAIA’s Code of Ethics and compliance program; and (6) materials prepared by an outside firm, unaffiliated with the Fund or BAIA, that is in the business of regularly preparing reports for use by fund boards in considering investment advisory agreement approvals (the “Service Provider”) comparing the management fee rate and total operating expenses of the Fund (on a combined basis with the fees and expenses of the Sub Funds) to those of a peer group of funds determined by the Service Provider.
Prior to the meeting, the Board received BAIA’s responses to an information request under Section 15(c) of the 1940 Act that addressed, among other things: (i) general financial information; (ii) any material business dealings with the Fund’s service providers; (iii) its business plan for the Fund for the coming year; (iv) costs, fees, other benefits, and profitability; and (v) risk management and regulatory compliance matters.
At the meeting, there was a discussion regarding the materials that had been provided to the Board, the terms of the BAIA Investment Management Agreements, the services being provided by BAIA, and other relevant considerations. Following this discussion, the Board, including all of the Independent Trustees, considered the following factors, among others:
Nature, Extent, and Quality of the Services
The Board discussed BAIA’s personnel, operations, and financial condition and considered:
| (1) | the background and experience of key investment personnel and BAIA’s ability to attract and retain talent; |
| (2) | BAIA’s focus on analysis of complex asset categories, including alternative investments; |
| (3) | BAIA’s disciplined investment approach and commitment to investment principles; |
| (4) | BAIA’s manager selection and due diligence process; |
| (5) | BAIA’s significant risk management, compliance, portfolio allocation, and operational efforts; |
| (6) | BAIA and Blackstone Advisory Partner L.P.’s strategic planning for the Fund in the marketplace; and |
| (7) | BAIA’s oversight of and interaction with sub-advisers and other service providers. |
The Board concluded that the nature, extent, and quality of the management services provided were appropriate and thus supported a decision to renew the BAIA Investment Management Agreements. The
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Supplemental Information (Continued)
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Board also concluded that BAIA likely would be able to provide during the coming year the same quality of investment management and related services as provided in the past and that these services are appropriate in scope and extent in light of the Fund’s operations, the competitive landscape, and shareholders’ expectations.
Investment Performance of the Investment Adviser
The Board, including the Independent Trustees, received and considered information about (i) the one year, inception-to-date, quarter-to-date, year-to-date, and trailing three months performance information of the Fund (net of fees and expenses), all as compared to the S&P 500 Total Return Index, MSCI World Total Return Index, Bloomberg Barclay’s Global Aggregate Bond Index, JPMorgan Domestic High Yield Index, and HFRX Global Hedge Fund Index (the “Comparative Indices”); (ii) the historical monthly performance of the Fund since inception (net of fees and expenses); (iii) the inception-to-date standard deviation (a measurement of volatility) and Sharpe ratio (a measurement of risk-adjusted return) of the Fund as compared to the Comparative Indices; (iv) information about inception-to-date, one year, year-to-date and quarter-to-date performance and risk measurements of the Fund as compared to a peer group selected by BAIA’s Oversight Committee (the “Committee”) (which included four funds in the Service Provider-prepared peer group) such as (a) annualized return, (b) standard deviation, (c) Sharpe ratio, and (d) beta and alpha against the S&P 500. The Board further considered information about the Fund’s inception-to-date, one-year, and three-year performance, volatility, Sharpe ratio, and beta ratio versus that of several indices.
The Board noted that, as of December 31, 2017 (i) the inception-to-date performance return was less than the corresponding returns of the S&P 500 Total Return Index, MSCI World Total Return Index, and the JPMorgan Domestic High Yield Index but greater than the corresponding returns of the Bloomberg Barclays Global Aggregate Bond Index and the HFRX Global Hedge Fund Index; (ii) the one-year performance return was less than the corresponding returns of the S&P 500 Total Return Index, MSCI World Total Return Index, and Bloomberg Barclays Global Aggregate Bond Index, but greater than the HFRX Global Hedge Fund Index; (iii) the inception-to-date performance return was greater than the corresponding return for ten of the eleven funds in the Committee-prepared peer group (which included six funds in the Service Provider-prepared peer group) for which this information was shown; and (iv) the one-year performance return was greater than twelve of the thirteen funds in the Committee-prepared peer group (which included six other funds in the Service Provider-prepared peer group for which this information was shown. The Board noted that, none of the indices presented are benchmarks or targets for the Fund but rather are presented to allow for comparison of the Fund’s performance to that of well-known and widely recognized indices.
Taking into account such factors, the Board concluded that the investment performance generated by BAIA was generally satisfactory and that BAIA was capable of generating a level of long term investment performance that is appropriate in light of the Fund’s and the Sub Funds’ investment objectives, policies, and strategies, although recognizing that there can be no assurance of any particular investment outcome.
Fees and Expenses
The Board, including the Independent Trustees, compared the fee and expense ratio of the Fund’s Class I, Class Y, Class D, and Class R shares (before and after any fee waivers and expense reimbursements) for the calendar year ended December 31, 2017 against the fee and expense ratios of the Service Provider-prepared peer group. The Board also considered BAIA’s views as to the appropriateness of the Service Provider-prepared peer group. Specifically, the Board considered data based on information provided by the Service Provider indicating that, for the Fund’s Class I, Class Y, Class D, and Class R shares: (i) the contractual (before waivers) management (including both investment management and administration fees) fee rate was higher than the fee rate of five of the seven funds in the Broadridge-prepared peer group; (ii) total net expenses (management fee and expenses after waiver) were higher than all seven other funds in the
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Blackstone Alternative Investment Funds and Subsidiaries
Supplemental Information (Continued)
March 31, 2018
Broadridge-prepared peer group; and (iii) total fees were higher than all seven funds in the Broadridge-prepared peer group.
The Board also took into consideration the peer group analysis prepared by BAIA, under the guidance of the Committee, which showed fees and expenses of the Fund’s Class I, Class Y, Class D, and Class R shares and a group of fourteen competitor funds selected by BAIA (including the seven funds in the Service Provider-prepared peer group). The Board noted that, for the Fund’s Class I, Class Y, Class D, and Class R shares: (i) the contractual (before waivers) management fee rate was higher than the fee rate of twelve of the fourteen funds in the broader Committee-prepared peer group; (ii) total net expenses (management fee and expenses after waiver) were higher than all fourteen funds in the broader Committee-prepared peer group; and (iii) total fees were higher than all fourteen funds in the broader Committee-prepared peer group. The Board considered the Fund’s fees and expenses in light of the scope, quality, and complexity of services provided by BAIA and determined that, given the scope, quality, and complexity of services provided by BAIA, the fees, while higher than those charged by peers, were appropriate. On the basis of the factors considered and information presented, the Board determined that the Fund’s fee rates were reasonable.
Costs of Services and Profitability
In analyzing the cost of services and profitability of BAIA, the Board considered BAIA’s resources devoted to the Fund as well as the revenues earned and expenses incurred by BAIA. The Board also considered profitability data provided by BAIA showing fees, revenues, and overhead expenses of the Fund. The Board took into account the significant investment by, and cost to, BAIA regarding service infrastructure to support the Fund and its investors. On the basis of the Board’s review of the fees to be charged by BAIA for investment advisory and related services, the relatively unique, and highly specialized, nature of the Fund’s investment program, BAIA’s financial information, and the estimated overhead costs associated with managing the Fund, the Board concluded that the level of investment management fees is appropriate in light of the services provided and the costs of providing those services, the management fees and overall expense ratios of comparable investment companies, and the cap on expenses established by the expense limitation agreement.
Economies of Scale
The Board discussed various financial and economic considerations relating to the arrangement with BAIA, including economies of scale. The Board considered the management fee breakpoint for the Fund, noting that, for collective net assets of the Fund and its Sub Funds up to $2.5 billion, the management fee is calculated at a rate of 1.95%, and for collective net assets greater than or equal to $2.5 billion, the management fee is calculated at a rate of 1.80%. The Board concluded that the management fees, with the current breakpoint in place, reflected the complexity of the Fund’s and the Sub Funds’ operations and were reasonable in light of the Fund’s and Sub Funds’ current and anticipated size. The Board noted that it will have the opportunity to periodically re-examine whether the Fund and the Sub Funds’ has achieved economies of scale, as well as the appropriateness of management fees payable to BAIA, in the future. The Board further noted that certain Fund expenses were subject to an expense cap, an undertaking by BAIA intended to limit the Fund’s overall expenses at smaller asset levels.
Other Benefits
The Board discussed other benefits that BAIA may receive from the Fund. The Board noted that BAIA indicated that it does not expect to receive significant ancillary, soft dollar, or other “fall out” benefits as a result of its relationship with the Fund. The Board concluded that other benefits derived by BAIA from its relationship with the Fund, to the extent such benefits are identifiable or determinable, are reasonable and
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Supplemental Information (Continued)
March 31, 2018
fair, result from the provision of appropriate services to the Fund and its shareholders, and are consistent with industry practice and the best interests of the Fund and its shareholders.
Conclusion
The Board, including all of the Independent Trustees, concluded that the fees payable under the BAIA Investment Management Agreement were fair and reasonable with respect to the services that BAIA provides to the Fund it manages and in light of the other factors described above that the Board deemed relevant. The Board, including all of the Independent Trustees, determined to approve the continuation of the BAIA Investment Management Agreements based on comprehensive consideration of all information presented to the Board at its meetings throughout the year and not as a result of any single controlling factor. The Board was assisted by the advice of independent legal counsel in this determination.
Additional Information
The Fund’s Statement of Additional Information includes additional information about the Trustees. The Statement of Additional Information is available upon request, without charge, by calling toll free 1-855-890-7725.
Copies of this annual shareholder report are available upon request to prior shareholders of the Multi-Strategy Fund, without charge, by calling toll free 1-855-890-7725.
281
Blackstone Registered Funds
Privacy Notice
Rev May, 2016
| | |
FACTS | | WHAT DO BLACKSTONE REGISTERED FUNDS DO WITH YOUR PERSONAL INFORMATION? |
| | |
Why? | | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. |
| | |
What? | | The types of personal information we collect and share depend on the product or service you have with us. This information can include: ∎ Social Security number and income ∎ Assets and investment experience ∎ Risk tolerance and transaction history |
| | |
How? | | All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons Blackstone Registered Funds (as defined below) choose to share; and whether you can limit this sharing. |
| | | | |
Reasons we can share your personal
information | | Do Blackstone
Registered Funds
share? | | Can you limit
this sharing? |
| | | |
For our everyday business purposes— such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus | | Yes | | No |
| | | |
For our marketing purposes— to offer our products and services to you | | Yes | | No |
| | | |
| For joint marketing with other financial companies | | No | | We don’t share |
| | | |
For our affiliates’ everyday business purposes— information about your transactions and experiences | | No | | We don’t share |
| | | |
For our affiliates’ everyday business purposes— information about your creditworthiness | | No | | We don’t share |
| | | |
| For our affiliates to market to you | | No | | We don’t share |
| | | |
| For nonaffiliates to market to you | | No | | We don’t share |
| | |
| | |
| Questions? | | Email us at GLB.privacy@blackstone.com |
282
| | |
| Who we are |
| Who is providing this notice? | | Blackstone Registered Funds include Blackstone Alternative Alpha Fund, Blackstone Alternative Alpha Fund II, Blackstone Real Estate Income Fund, Blackstone Real Estate Income Fund II, Blackstone Alternative Investment Funds, on behalf of its series Blackstone Alternative Multi-Strategy Fund, Blackstone Diversified Multi-Strategy Fund, a sub-fund of Blackstone Alternative Investment Funds plc, and the GSO Funds, consisting of Blackstone / GSO Senior Floating Rate Term Fund, Blackstone / GSO Long-Short Credit Income Fund and Blackstone / GSO Strategic Income Fund |
| What we do |
| How do Blackstone Registered Funds protect my personal information? | | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. |
| How do Blackstone Registered Funds collect my personal information? | | We collect your personal information, for example, when you: ∎ open an account or give us your income information ∎ provide employment information or give us your contact information ∎ tell us about your investment or retirement portfolio We also collect your personal information from others, such as credit bureaus, affiliates, or other companies. |
| Why can’t I limit all sharing? | | Federal law gives you the right to limit only: ∎ sharing for affiliates’ everyday business purposes—information about your creditworthiness ∎ affiliates from using your information to market to you ∎ sharing for nonaffiliates to market to you State laws and individual companies may give you additional rights to limit sharing. See below for more on your rights under state law. |
| What happens when I limit sharing for an account I hold jointly with someone else? | | Your choices will apply to everyone on your account—unless you tell us otherwise. |
| Definitions |
| Affiliates | | Companies related by common ownership or control. They can be financial and nonfinancial companies. ∎ Our affiliates include companies with a Blackstone name and financial companies such as GSO Capital Partners LP and Strategic Partners Fund Solutions. |
| Nonaffiliates | | Companies not related by common ownership or control. They can be financial and nonfinancial companies. ∎ Blackstone Registered Funds do not share with nonaffiliates so they can market to you. |
| Joint marketing | | A formal agreement between nonaffiliated financial companies that together market financial products or services to you. ∎ Our joint marketing partners include financial services companies. |
| Other important information |
California Residents—In accordance with California law, we will not share information we collect about California residents with nonaffiliates except as permitted by law, such as with the consent of the customer or to service the customer’s accounts. We will also limit the sharing of information about you with our affiliates to the extent required by applicable California law. Vermont Residents—In accordance with Vermont law, we will not share information we collect about Vermont residents with nonaffiliates except as permitted by law, such as with the consent of the customer or to service the customer’s accounts. We will not share creditworthiness information about Vermont residents among Blackstone Registered Funds’ affiliates except with the authorization or consent of the Vermont resident. |
283
Blackstone Alternative Multi-Strategy Fund
a series of Blackstone Alternative Investment Funds
Trustees
John M. Brown, Chairman
Frank J. Coates
Paul J. Lawler
Kristen M. Leopold
Peter Koffler
Peter M. Gilbert
Investment Adviser
Blackstone Alternative Investment Advisors LLC
345 Park Avenue
New York, New York 10154
Administrator and Custodian
State Street Bank and Trust Company
One Lincoln Street
Boston, MA 02111
Transfer Agent
State Street Bank and Trust Company
One Lincoln Street
Boston, MA 02111
Officers
Brian F. Gavin, President and Principal Executive Officer
Arthur Liao, Treasurer and Principal Financial and Accounting Officer
James Hannigan, Chief Legal Officer, Chief Compliance Officer and Anti- Money Laundering Officer
Natasha Kulkarni, Secretary
Independent Registered Public
Accounting Firm
Deloitte & Touche LLP
30 Rockefeller Plaza
New York, New York 10112
Legal Counsel
Ropes & Gray LLP
Prudential Tower
800 Boylston Street
Boston, Massachusetts 02199-3600
This report, including the financial information herein, is transmitted to the shareholders of Blackstone Alternative Multi-Strategy Fund for their information. It is not a prospectus or representation intended for use in the purchase of shares of the Fund or any securities mentioned in this report.
You can find the Fund’s prospectus and other information about the Fund, including the Fund’s statement of additional information, on the Fund’s website at www.bxmix.com. You can also get this information at no cost by calling the Fund at 1-855-890-7725.
(a) The registrant, as of the end of the period covered by the report, has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions.
(b) No disclosures are required by this Item 2(b).
(c) The registrant has not made any amendments to its code of ethics during the reporting period for this Form N-CSR.
(d) There have been no waivers granted by the registrant to individual’s covered by the registrant’s code of ethics during the reporting period for this form N-CSR.
(e) Not applicable.
(f) A copy of the registrant’s code of ethics is attached as Exhibit 13(a)(1) to this Form N-CSR.
| Item 3. | Audit Committee Financial Expert. |
(a) (1) The registrant’s Board of Trustees has determined that the registrant has at least one audit committee financial expert serving on its Audit Committee (the “Committee”).
(2) The audit committee financial expert is Kristen M. Leopold, who is “independent” for purposes of this Item 3 of Form N-CSR.
(3) Not applicable.
| Item 4. | Principal Accountant Fees and Services. |
| | | | | | | | | | | | |
| | | | | Current Fiscal Year | | Previous Fiscal Year |
(a) | | Audit Fees | | | $ | 200,000 | | | | $ | 200,000 | |
(b) | | Audit-Related Fees | | | $ | 0 | | | | $ | 0 | |
(c) | | Tax Fees(1) | | | $ | 37,500 | | | | $ | 37,500 | |
(d) | | All Other Fees | | | $ | 0 | | | | $ | 0 | |
| (1) | The nature of the services includes tax compliance, tax advice and tax planning. |
(e) (1) Disclose the Committee’s pre-approval policies and procedures described in paragraph (c)(7) of Rule 2-01 of Regulation S-X.
The charter for the Committee requires that the Committee pre-approve (i) all audit and non-audit services that the registrant’s independent auditors provide to the registrant, and (ii) all non-audit services that the registrant’s independent auditors provide to Blackstone Alternative Investment Advisors LLC, the investment adviser of the registrant (“BAIA”), and any entity controlling, controlled by, or under common control with BAIA that provides ongoing services to the registrant, if the engagement relates directly to the operations and financial reporting of the registrant; provided that the Committee may implement policies and procedures by which such services are approved other than by the full Committee prior to their ratification by the Committee.
(2) Disclose the percentage of services described in each of paragraphs (b) through (d) of this item that were approved by the Committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
| | |
Current Fiscal Year | | Previous Fiscal Year |
| 0% | | 0% |
(f) Not applicable.
(g) Disclose the aggregate non-audit fees billed by the registrant’s accountant for services rendered to the registrant, and rendered to the registrant’s investment adviser, and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for each of the last two fiscal years of the registrant.
| | |
Current Fiscal Year | | Previous Fiscal Year |
| $0 | | $0 |
(h) Not applicable.
| Item 5. | Audit Committee of Listed Registrants. |
Not applicable.
(a) The registrant’s Consolidated Schedule of Investments as of the close of the reporting period is included in the Report to Shareholders filed under Item 1 of this form.
(b) Not applicable.
| Item 7. | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies. |
Not applicable.
| Item 8. | Portfolio Managers of Closed-End Investment Management Companies. |
Not applicable.
| Item 9. | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers. |
Not applicable.
| Item 10. | Submission of Matters to a Vote of Security Holders. |
There have been no material changes to procedures by which the shareholders may recommend nominees to the registrant’s Board of Trustees.
| Item 11. | Controls and Procedures. |
(a) The registrant’s principal executive officer and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”), are effective as of the date within 90 days of the filing date of this report based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended.
(b) There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the period covered by this report that have materially affected or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.
| Item 12. | Disclosure of Securities Lending Activities for Closed-End Management Investment Companies. |
| (a) (1) | Code of ethics, or any amendment thereto, that is the subject of disclosure required by Item 2 is attached hereto. |
| (2) | Certifications pursuant to Rule 30a-2(a) are attached hereto. |
| (b) | Certifications pursuant to Rule 30a-2(b) are attached hereto. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
| | |
| (Registrant) | | Blackstone Alternative Investment Funds |
| | |
| By (Signature and Title) | | /s/ Brian F. Gavin |
| | Brian F. Gavin, President (Principal Executive Officer) |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
| | |
| By (Signature and Title) | | /s/ Brian F. Gavin |
| | Brian F. Gavin, President (Principal Executive Officer) |
| | |
| By (Signature and Title) | | /s/ Arthur Liao |
| | Arthur Liao, Treasurer (Principal Financial and Accounting Officer) |
