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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORMN-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number811-22743
Blackstone Alternative Investment Funds
(Exact Name of Registrant as Specified in Charter)
345 Park Avenue
28th Floor
New York, NY 10154
(Address of Principal Executive Offices)
Registrant’s telephone number, including area code:(212)583-5000
Peter Koffler, Esq.
c/o Blackstone Alternative Investment Advisors LLC
345 Park Avenue
28th Floor
New York, NY 10154
(Name and Address of Agent for Service)
With a copy to:
James E. Thomas, Esq.
Ropes & Gray LLP
Prudential Tower
800 Boylston Street
Boston, MA 02199-3600
Date of fiscal year end:March 31
Date of reporting period:March 31, 2020
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Item 1. | Reports to Stockholders. |
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Blackstone
|
Blackstone Alternative Multi-Strategy Fund
a series of Blackstone Alternative Investment Funds
Annual Report For the Year Ended March 31, 2020
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Beginning on January 25, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Fund’s shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports from the Fund or from your financial intermediary, such as a broker-dealer or bank. Instead, the reports will be made available on the Fund’s website. You will be notified by mail each time a report is available, and you will be provided with a website link to access the report.
If you already have elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. Shareholders who hold accounts directly with the Distributor or the Fund may elect to receive shareholder reports and other communications from the Fund electronically by calling1-855-890-7725 to make such arrangements. Shareholders who hold accounts through an investment advisor, bank, or broker-dealer should contact that financial intermediary directly for information on how to receive shareholder reports and other communications electronically.
You may elect to receive all future reports in paper free of charge. If you hold accounts directly with the Distributor, you can inform the Fund that you wish to continue receiving paper copies of your shareholder reports by calling1-855-890-7725 to make such arrangements. For shareholders who hold accounts through an investment advisor, bank, or broker-dealer, please contact your financial intermediary directly to inform them that you wish to continue receiving paper copies of your shareholder reports. If your Fund shares are held through a financial intermediary, your election to receive reports in paper will apply to all funds held with that financial intermediary.
Capitalized terms not defined herein have the meanings assigned to them in the Prospectus.
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All investors should consider the investment objectives, risks, charges and expenses of the Blackstone Alternative Multi-Strategy Fund (the “Fund”) carefully before investing. The prospectus and the summary prospectus contain this and other information about the Fund. You can obtain a prospectus and a summary prospectus from the Fund’s website (www.bxmix.com). All investors are urged to carefully read the prospectus and the summary prospectus in its entirety before investing. Interests in the Fund are offered through Blackstone Advisory Partners L.P., a member of FINRA and an affiliate of Blackstone Alternative Investment Advisors LLC, the Fund’s investment adviser (“BAIA” or the “Investment Adviser”).
Important Risks:An investment in the Fund should be considered a speculative investment that entails substantial risks; you may lose part or all of your investment or your investment may not perform as well as other investments. The Fund’s investments involve special risks including, but not limited to, loss of all or a significant portion of the investment due to leveraging, short-selling, or other speculative practices, lack of liquidity and volatility of returns. The following is a summary description of certain additional principal risks of investing in the Fund:
Allocation Risk- BAIA’s judgment about the attractiveness, value or market trends affecting a particular asset class, investment style,sub-adviser or security may be incorrect and this may have a negative impact upon performance.Debt Securities Risk- investments in debt securities, such as bonds and certain asset- backed securities involve certain risks which may cause the securities to lose value, including credit risk, liquidity risk, extension risk, interest rate risk, prepayment risk, and variable and floating rate instrument risk.Derivatives Risk- the use of derivatives involves the risk that their value may not move as expected relative to the value of the relevant underlying assets, rates, or indices. Derivatives can be volatile and illiquid, can subject to counterparty credit risk, and may entail investment exposure greater than their notional amount.Distressed Securities Risk- investments in securities of business enterprises involved in workouts, liquidations, reorganizations, bankruptcies and similar situations involve a high degree of risk of loss since there is typically substantial uncertainty concerning the outcome of such situations.Equity Securities Risk- there is a risk of loss associated with price fluctuations of equity and preferred securities which change based on a company’s financial condition and overall market and economic environment.Event-Driven Trading Risk- involves the risk that the specific event identified may not occur as anticipated and that this may have a negative impact upon the market price of the securities involved.Foreign Investments/Emerging Markets Risk- involves special risks caused by foreign political, social and economic factors, including exposure to currency fluctuations, less liquidity, less developed and less efficient trading markets, political instability and less developed legal and auditing standards.High Portfolio Turnover Risk- active trading of securities can increase transaction costs (thus lowering performance) and taxable distributions.Large Redemption Risk- large redemption activity could result in the Fund incurring additional costs and being forced to sell portfolio securities at a loss to meet redemptions.Leverage Risk- use of leverage can produce volatility and may exaggerate changes in the net asset value of Fund shares and in the return on the Fund’s portfolio, which may increase the risk that the Fund will lose more than it has invested.Liquidity Risk- some securities held by the Fund, including,
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but not limited to, restricted, distressed,non-exchange traded, and/or privately placed securities, may be difficult to sell, or illiquid, particularly during times of market turmoil. Illiquid securities may be difficult to value and if the Fund is forced to sell an illiquid asset to meet redemption requests or other cash needs, the Fund may be forced to sell at a loss.Market Risk and Selection Risk- one or more markets in which the Fund invests may go down in value, possibly sharply and unpredictably, affecting the values of individual securities held by the Fund. Significant shocks to or disruptions of the financial markets or the real economy could adversely affect the liquidity and volatility of securities held by the Fund.Mortgage- and Asset-Based Securities Risk- these securities are subject to credit, interest rate, valuation, liquidity, prepayment and extension risks. These securities also are subject to risk of default on the underlying mortgage or asset, particularly during periods of economic downturn. Small movements in interest rates may quickly and significantly reduce the value of certain mortgage-backed securities.Model and Technology Risk- involves the risk that model-based strategies, data gathering systems, order execution and trade allocation systems and risk management systems may not be successful on an ongoing basis or could contains errors, omissions, imperfections or malfunctions.Multi-Manager Risk- managers may make investment decisions which conflict with each other and as a result, the Fund could incur transaction costs without accomplishing any net investment result.
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BLACKSTONE ALTERNATIVE INVESTMENT FUNDS
Dear Blackstone Investor,
We are pleased to present this annual shareholder report for Blackstone Alternative Investment Funds (“BAIF”) and its series, Blackstone Alternative Multi-Strategy Fund (the “Fund”). This report includes portfolio commentary, a listing of the Fund’s investments and the Fund’s audited financial statements. Audited financial statements for the Fund cover the period from April 1, 2019 to March 31, 2020 (the “Reporting Period”).
The Fund’s investment objective is to seek capital appreciation. The Fund seeks this objective by allocating its assets among a variety of nontraditional, or “alternative,” investment strategies. Blackstone Alternative Investment Advisors LLC (the “Investment Adviser” or “BAIA”) determines the allocations of the Fund’s assets and allocates a majority of the Fund’s assets among a number of affiliated and unaffiliated investment advisory organizations (each, a“Sub-Adviser” and together, the“Sub-Advisers”) with experience managing alternative investment strategies and among investment funds. BAIA also manages a portion of the Fund’s assets directly and, from time to time, may instructSub-Advisers with respect to particular investments1. EachSub-Adviser is responsible for theday-to-day management of the Fund’s assets that the Investment Adviser allocates to it. The Investment Adviser has the ultimate responsibility to oversee eachSub-Adviser, subject to the oversight of the Fund’s Board of Trustees. The Investment Adviser is also responsible for recommending the hiring, termination, and replacement ofSub-Advisers. In pursuing the Fund’s investment objective, BAIA focuses on the mitigation of market risk and seeks to maintain an investment portfolio with, on average, lower volatility relative to the broader equity markets.
Fund Performance2
The Reporting Period was comprised of three consecutive quarters of global equity market appreciation and one in which the preceding gains were entirely wiped out, as government-ordered shutdowns throughout the world in response toCOVID-19 plunged financial markets into a broad-based drawdown. While the Fund largely weathered market turbulence through Februarymonth-end, it was not immune to the March drawdown, as equity markets around the world sold off aggressively and almost all asset classes suffered, with safe-haven Government bonds being among the only protective assets.
During the Reporting Period, the Fund generated a cumulative return, net of fees and expenses, of-12.32%. Over the same period, the HFRX Global Hedge Fund Index, a measure of hedge fund performance, returned -1.39%; the MSCI World Total Return Index, a measure of global equity market performance, returned-9.87%; the S&P 500 Total Return Index, a measure of US equity market performance, returned -6.98%; and
1 | BAIA manages a portion of the Fund’s assets directly, including direct investments into underlying investment funds. During the Reporting Period, such direct investments included allocations to funds managed by Glenview Capital Management LLC, EJF Capital LLC, Aeolus Capital Management Ltd., Renaissance Technologies LLC and PIMCO Investment Management. For the avoidance of doubt, direct investments into these investment funds are not considered “Blackstone Strategies” as defined in the Fund’s prospectus. BAIA allocations are subject to change and BAIA’s fees on directly managed assets are not reduced by a payment to asub-adviser. |
2 | Performance is shown net of the Expense Ratio less waived expenses for Class I shares. Performance data quoted represents past performance and does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost and current performance may be lower or higher than the performance data above. There can be no assurance that the Fund will achieve its goals or avoid losses. Because of the broadly diversified and low beta nature of the portfolio, the Fund is not expected to participate in the full upside of broader equity and fixed income markets. The indices referenced herein are not benchmarks or targets for the Fund. |
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the Bloomberg Barclays Global Aggregate Bond Index, a measure of investment grade bond performance, returned 4.20%3.
Market and Portfolio Commentary
The Reporting Period was characterized by the maturation of the global business cycle and its transition from late cycle into recession. The slowdown and ultimate contraction in economic growth was affected by geopolitical events throughout the period that imposed heightened levels of uncertainty on financial markets.
During the calendar year ended December 31, 2019, global asset prices were disproportionately impacted by foreign policy and international relations. By the end of the second quarter of 2020, uncertainty tied to theUS-China trade war and Brexit, combined with a Chinese pivot to slower but higher-quality growth, had led directly to a slowdown in global manufacturing levels. A noticeable deterioration in business conditions was evident in the EU, UK, Japan and China, and despite remaining close to stagnant, US manufacturing output in May and June registered its worst performance in the past decade4. In response, the Federal Reserve (“Fed”) eased monetary policy on three occasions between August 1 and October 31, 2019, lowering its target Fed Funds rate in an attempt to address concerns centered on a downturn in business investment and persistently weak inflation. Consistent with the market environment of the last 10 years in which declining global interest rates have driven abnormally high risk-adjusted returns, the first three quarters of 2019 proved to be no exception: repricing of discount ratesre-priced future cash flows, driving a 10% rally in10-year maturity bonds and an expansion inprice-to-earnings multiples that resulted in a 20% rally in US equities.
Positive economic surprises in the fourth quarter of 2019, includingde-escalation in the trade war, a positive US jobs report and a Brexit decision in the UK helped propel global financial markets further upward. On October 11th, President Trump announced a tentative agreement for the “first phase” of a trade deal with China and mutual tariffs scheduled to be imposed on December 15th were not implemented. Then, NovemberNon-Farm Payrolls in the US jumped by a robust 266,000, offering respite to fears of slowing growth and bringing unemployment to a50-year low. Finally, on December 12th, a landslide Conservative victory in the UK’s general election secured a clear mandate for Brexit, reducing uncertainty if not bringing closure. In an environment of declining geopolitical and economic uncertainty, investors felt more comfortable chasing therisk-on rally, bringing the S&P 500 to newall-time highs and a more than 30% return for the year.
The reduction in uncertainty would prove to be temporary, however, as Chinese authorities alerted the World Health Organization (“WHO”) on December 31, 2019 of a cluster of pneumonia cases in Wuhan City, Hubei province, China with an unknown cause. A novel coronavirus was eventually identified and, by January 13, 2020, WHO officials had confirmed a case in Thailand, the first to be recorded outside China. On February 11, 2020, official names for the virus (severe acute respiratory syndrome coronavirus 2 orSARS-CoV-2) and the disease it causes (coronavirus disease orCOVID-19) were announced by the International Committee on Taxonomy of Viruses (“ICTV”) and WHO, respectively. In its statement, the ICTV’s11-member committee group noted that the virus name put forth formally recognized this virus as a sister to the severe acute respiratory syndrome coronavirus (“SARS”) identified in 2003. That year, an epidemic of SARS lasted approximately six months as the disease spread to 26 countries and infected more than 8,000 people, resulting in 774 deaths5. On March 11, 2020, just over two months after WHO was first alerted of an outbreak, Director-General Tedros Adhanom noted more than 118,000 cases ofCOVID-19 in 114 countries and 4,291 lives lost. Citing deep concern for the alarming levels of spread and severity, as well as inaction worldwide, Adhanom announced WHO’s assessment thatCOVID-19 could be characterized as a pandemic.
3 | The volatility of the indices presented may be materially different from that of the performance of the Fund. In addition, the indices employ different investment guidelines and criteria than the Fund; as a result, the holdings in the Fund may differ significantly from the securities that comprise the indices. The indices have not been selected to represent benchmarks for the Fund, but rather are disclosed to allow for comparison of the Fund’s performance to that of well-known and widely recognized indices. In the case of equity indices, performance of the indices reflects the reinvestment of dividends. |
4 | IHS Markit Purchasing Managers’ Index® (PMI®) |
5 | Centers for Disease Control and Prevention (CDC) |
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This pandemic led to one of the fastest contractions in global economic activity in history in the first quarter of 2020. Unlike previousend-of-cycle events that have typically been driven by a buildup of untenable macroeconomic imbalances, this slowdown differed materially in that it has been caused by a global, government-mandated cessation of certain economic activity in an attempt to combat a major health crisis. Going into this downturn, consumer balance sheets were generally strong, homeloan-to-value ratios had fallen largely as a result of price appreciation, and banks were much less levered as a result of regulatory restrictions imposed after the Global Financial Crisis (“GFC”). While the reaction to the pandemic has impacted both the supply and demand sides of the economic equation, it is the pace of the drawdown, exacerbated by the flooding of global oil markets with Saudi and Russian supply following a disagreement on production cuts between OPEC and its allies, which we believe led to several record-breaking losses:
• | US equal-weighted equities experienced their largest quarterly drawdown since 1990 and a22-day drop into bear market territory—the fastest such drop in history, whilemid- andsmall-cap indices witnessed their biggest quarterly drawdowns ever6 |
• | 10-year US treasury yields fell to as low as 54bps—a 134bps drop in response to the expected economic fallout7 |
• | Investment grade and high-yield credit experiencedpeak-to-trough declines of 14.7% and 21.4%, respectively—their largest drawdowns since September 20088 |
• | Structured credit markets suffered losses between30-50% at a significantly faster rate than during the GFC9 |
• | Oil fell 66.5% to levels not seen in over 19 years10 |
• | Emerging markets high-yield sovereign debt fell 28.7% in less than a month—its fastest drawdown on record11 |
• | Mortgage REITs lost 63.6% of their value—their greatest fall since, and at a much faster rate than during, the GFC12 |
The extent of the impact of a global slowdown in consumption and production as a result of protective actions taken in response toCOVID-19 is difficult to predict with accuracy, and the economic consequences of such a feedback loop are just beginning to come into focus. While February saw the lowest US unemployment rate in recent history13, the number of Americans filing for unemployment benefits jumped to 3.28 million for the week ending March 21st, more than 11x those of the prior week, more than 3x consensus expectations, and the highest absolute figure since the series began in 196714. A record 6.65 million initial jobless claims followed in the week ending March 28th, again exceeding analyst expectations15. Unfortunately, initial economic impact
6 | Bloomberg. Performance is measured by the following indices: Equities: S&P 500 Equal Weight Index Total Return-26.7%,Mid-Cap: S&P 400 Index Total Return-29.70%,Small-Cap: S&P 600 Index Total Return:-32.65%. |
7 | Federal Reserve Bank of St. Louis. Treasury yields reference US10-year Notes during the first quarter of 2020. During this period, the highest closing yield was 188bps on January 2nd, while the lowest rate was 54bps on March 9th. As of March 31, 2020, the end of the quarter, the closing yield was 70bps. |
8 | Bloomberg. Investment Grade Credit is measured by the J.P. Morgan Investment Grade Credit Index during itspeak-to-trough period (March 6, 2020 – March, 20, 2020). The index returned-3.43% in Q1 2020. High-Yield Credit is measured by the J.P. Morgan US High-Yield Credit Index during itspeak-to-trough period (2/20/2020 – 3/23/2020). The index returned-14.30% in Q1 2020. |
9 | Bloomberg. Structured Credit Markets are represented by CMBXBBB- CDSI S12 PRC Corp, which returned-46.57% during itspeak-to-trough period (2/12/2020 – 3/24/2020) and-32.53% in Q1 2020. |
10 | Bloomberg. Oil is measured by the Active WTI Crude Oil Futures Contract (“CL1 COMB Comdty”), which returned-66.46% in Q1 2020. |
11 | Bloomberg. Emerging Markets High-Yield Sovereign Debt is measured by the JP Morgan EMBI Global Diversified High-Yield Index (“JPGCHY”) during itspeak-to-trough period (2/21/2020 – 3/23/2020). JPGCHY returned-22.44% in Q1 2020. |
12 | Federal Reserve Bank of St. Louis Economic Research: Weekly Initial Claims (as of March 28th, 2020) |
13 | US Bureau of Labor Statistics. |
14 | Trading Economics: United States Initial Jobless Claims. |
15 | Federal Reserve Bank of St. Louis Economic Research: Weekly Initial Claims (as of March 28th, 2020). |
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has not been limited to the US—a recent report projected the year-over-year change in real GDP for the UK to be-6.5% in 2020, which would make it the third largest annual contraction since 1900 and significantly larger than the-4.2% faced in the aftermath of the GFC in 200916.
The government response to this threat has been broad. Central banks have largely revisited the monetary policy playbook adopted in response to the GFC to support the efficient functioning of capital markets and they have generally exceeded expectations in the speed of their action. On March 15, 2020, the Fed cut its benchmark interest rate to the zero lower-bound from 1.50% at the start of the month. The Fed has also supported liquidity in international funding markets, treasuries, mortgages, asset-backed securities, money markets (commercial paper) and repurchase agreements, in part by pledging to purchase hundreds of billions of treasuries, mortgage-backed-securities, and investment grade bonds as the buyer of last resort. In terms of fiscal policy, lawmakers have reached across the aisle to bring together a $2 trillion relief package known as the Coronavirus Aid, Relief, and Economic Security Act (“CARES”), which aims to provide financial support for individuals, corporations, and the broader public health system. US lawmakers are already constructing the next phase of this response, signaling a similar open-ended posture to that demonstrated by the Fed. Many government institutions around the globe are rolling out similar measures to support the healthy functioning of financial markets. These include a €750 billion Pandemic Purchasing program by the European Central Bank (“ECB”), interest rate cuts and emergency spending provisions in the UK, and wide-scale lending through zero interest rate facilities forlow-income countries by the International Monetary Fund (“IMF”), among many other country-specific efforts. These fiscal and monetary policy responses are large and have historically been helpful in mitigating the impact of any potential economic slowdown.
The Fund entered Q1 2020 conservatively positioned, with (i) low beta to equities, (ii) an over-allocation to securities backed by agency mortgages and commercial real estate, predicated on our view of stronger fundamentals relative to those of corporate credit, (iii) balanced, diversifying exposures, and (iv) ample sources of liquidity. While the deliberate defensive positioning and diversification mitigated volatility in January and February, allocations to certain Credit and Multi-Asset exposures ultimately detracted from performance in March largely due to the broad-based market drawdown described in the commentary above.
Over the Reporting Period, the Fund’s Equity strategies were the largest contributor to performance (+0.42%18). Against a materially negative global equity market backdrop, Equity Market Neutralsub-strategies posted gains, benefitting from the performance of uncorrelated quantitative strategies, even in the recent drawdown. These strategies generated profits as volatility increased and exploited mispricing in technical factors resulting from the market dislocation. Equity Long/Shortsub-strategies, meanwhile, suffered losses in the first quarter of 2020 that more than offset their profits through the first three quarters of the Reporting Period. Thesesub-strategies were negatively impacted in the first quarter by broad-basedde-risking in the market and their exposure to the Health Care sector, which broadly suffered (S&P 500 Health Care Index TR returned-13%17) in light of the pandemic. The Fund also benefited from portfolio hedges implemented by BAIA. Sincemid-2017, BAIA has hedged out residual equity beta in this portion of the portfolio via a short S&P futures position, which helped mitigate losses in the recent market drawdown.
Credit strategies were a large detractor to the Fund’s performance(-6.28%18). Over the past few years, BAIA has reduced corporate credit risk in favor of structured credit. Prior to theCOVID-19 outbreak, BAIA observed the fundamental strength of the US consumer relative to global corporations, and the Fund increased allocations to Fixed Income—Asset Backedsub-strategies accordingly. Thesesub-strategies included exposures to collateralized securities such as Residential Mortgage-Backed Securities (“RMBS”) and Commercial Mortgage-Backed Securities (“CMBS”). In the second half of March, BAIA began to see forced unwinding from a variety of market participants, particularly in mortgages and other Fixed Income-Asset Backed exposures. Against this backdrop, the Fund’s exposure to Fixed Income—Asset Backedsub-strategies resulted in negative performance attribution. The performance of Distressed/Restructuringsub-strategies with
16 | Deutsche Bank: 800 Years of Large Economic Contractions (March 30, 2020). |
17 | Indices are provided for illustrative purposes only. They have not been selected to represent benchmarks or targets for the Fund, but rather are disclosed to allow for comparison of the Fund’s performance to that of well-known and widely recognized indices. |
18 | Sub-strategy contribution is shown gross of all fees and expenses. Estimated and unaudited. |
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exposure to debt securities tied to financial institutions suffered as well. BAIA believes that the underlying collateral and fundamental value of the Fund’s Credit exposures are sound, and that there is the potential for price recovery for certain high-quality credits once market conditions eventually normalize.
Multi-Asset strategies also detracted from performance during the Reporting Period(-4.02%18). Discretionary Thematicsub-strategies were adversely affected by exposure to emerging market debt, particularly sovereign and quasi-sovereign bonds, which drew down in light of a selloff in oil prices and a subsequent wave of retail outflows from the sector. Exposure to Multi-Strategysub-strategies also experienced losses during the Reporting Period. Within this portion of the book, exposure to risk parity strategies, which typically allocate capital across multiple asset classes by equalizing the risk contributions of each, came under pressure. These strategies can provide a meaningful source of diversification when negative correlations hold between the asset classes, however, when cross-asset correlations increase, as was the case during March 2020, these strategies can unwind. While the Fund’s exposure to risk parity strategies was one of its strongest performers in 2019, it was ultimately a large detractor for the Reporting Period.
We are grateful for your choosing to invest with us and for giving us the opportunity to serve you for years to come.
Sincerely,
• | Gideon Berger |
• | Raymond Chan |
• | Min Htoo |
• | Robert Jordan |
• | Ian Morris |
• | Alberto Santulin |
• | Stephen Sullens |
Note: We want to make you aware of a change in our Portfolio Managerline-up—effective as of September 11, 2019, Raymond (“Ray”) Chan has joined the Fund as a Portfolio Manager. Ray demonstrates high-quality, experienced investment talent that will be additive to our investment process. He serves alongside the Fund’s six other existing Portfolio Managers. For more information on Ray’s experience, please refer to the “Portfolio Managers” section on www.bxmix.com.
18 | Sub-strategy contribution is shown gross of all fees and expenses.Sub-strategy contribution is estimated and unaudited. |
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Performance quoted represents past performance, which may be higher or lower than current performance. Past performance is not indicative of future results. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The returns shown do not reflect taxes that an investor would pay on fund distributions or on the sale of fund shares. To obtain the most recentmonth-end performance, visit www.bxmix.com.
Value of a $10,000 Investment Since Inception at Net Asset Value*
None of the indices presented are benchmarks or targets for the Fund.
* | The line graph represents historical performance of a hypothetical investment of $10,000 from Inception (June 16, 2014) to March 31, 2020, assuming the reinvestment of distributions. |
Cumulative Total Return
For the Year Ended March 31, 2020 | Since Inception (June 16, 2014) | |||||||||
Class I Shares (“BXMIX”) | (12.32 | )% | 1.6 | % | ||||||
HFRX Global Hedge Fund Index | (1.39 | )% | (2.58 | )% | ||||||
MSCI World Total Return Index | (9.87 | )% | 24.71 | % | ||||||
Bloomberg Barclays Global Aggregate Bond Index | 4.20 | % | 7.86 | % |
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
March 31, 2020
Geographic Breakdown | Percentage of Total Net Assets | ||||
North America | 58.4 | % | |||
Europe | 1.8 | ||||
South America | 1.7 | ||||
Middle East | 0.7 | ||||
Asia | 0.6 | ||||
Africa | 0.1 | ||||
Oceania | 0.0 | 2 | |||
Other 1 | 20.6 | ||||
Securities Sold Short | (5.5 | ) | |||
Other Assets and Liabilities 3 | 21.6 | ||||
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| ||||
Total | 100.0 | % | |||
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1 | Includes Sovereign Debt, Exchange-Traded Funds, Warrants, Short-Term Investment—Money Market Fund, Repurchase Agreements and Purchased Options. |
2 | Represents less than 0.1%. |
3 | Assets, other than investments in securities, net of other liabilities. See Consolidated Statement of Assets and Liabilities. A significant portion of the balance represents cash collateral for derivatives. |
Portfolio Composition | Percentage of Total Net Assets | ||||
Mortgage-Backed Securities | 21.3 | % | |||
Sovereign Debt | 15.0 | ||||
Common Stock | 10.8 | ||||
Investments in Investee Funds | 8.9 | ||||
Corporate Bonds & Notes | 6.0 | ||||
Repurchase Agreements | 5.0 | ||||
Asset-Backed Securities | 4.7 | ||||
Bank Debt | 4.4 | ||||
U.S. Treasury Obligations | 3.7 | ||||
U.S. Government Sponsored Agency Securities | 3.2 | ||||
Exchange-Traded Funds | 0.4 | ||||
Municipals | 0.4 | ||||
Warrants | 0.1 | ||||
Convertible Bonds | 0.0 | 2 | |||
Preferred Stock | 0.0 | 2 | |||
Short-Term Investment-Money Market Funds | 0.0 | 2 | |||
Other 1 | 0.0 | 2 | |||
Securities Sold Short | (5.5 | ) | |||
Other Assets and Liabilities 3 | 21.6 | ||||
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Total | 100.0 | % | |||
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1 | Includes Purchased Options. |
2 | Represents less than 0.1%. |
3 | Assets, other than investments in securities, net of other liabilities. See Consolidated Statement of Assets and Liabilities. A significant portion of the balance represents cash collateral for derivatives. |
Credit Quality Allocation1 | Percentage of Total Investments in Securities | ||||
AAA/Aaa2 | 9.9 | % | |||
AA/Aa | 0.8 | ||||
A | 1.7 | ||||
BBB/Baa | 6.8 | ||||
BB/Ba | 8.7 | ||||
B | 15.7 | ||||
CCC/Caa | 2.7 | ||||
CC/Ca | 0.5 | ||||
D | 0.1 | ||||
Not Rated | 27.6 | ||||
Other3 | 25.5 | ||||
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Total Investments in Securities | 100.0 | % | |||
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1 | Using the higher of Standard & Poor’s (“S&P’s”) or Moody’s Investor Service (“Moody’s”) ratings. |
2 | Includes U.S. Government Sponsored Agency Securities which are deemed AAA/Aaa by the Investment Adviser. |
3 | Includes Common Stock, Exchange-Traded Funds, Short-Term Investment—Money Market Fund and Purchased Options. |
See Notes to Consolidated Financial Statements.
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Portfolio Information (Continued)
March 31, 2020
Industry | Percentage of Total Net Assets | ||||
Asset Management | 3.0 | % | |||
Integrated Oils | 2.2 | ||||
Health Care Facilities & Services | 1.8 | ||||
Biotechnology & Pharmaceuticals | 1.5 | ||||
Retail-Discretionary | 1.1 | ||||
Banking | 1.0 | ||||
Exploration & Production | 0.8 | ||||
Medical Equipment & Devices | 0.7 | ||||
Real Estate | 0.6 | ||||
Industrial Other | 0.5 | ||||
Retail-Consumer Discretionary | 0.5 | ||||
Utilities | 0.5 | ||||
Gaming, Lodging & Restaurants | 0.4 | ||||
Oil, Gas & Coal | 0.4 | ||||
Pipeline | 0.4 | ||||
Software & Services | 0.4 | ||||
Advertising & Marketing | 0.3 | ||||
Consumer Services | 0.3 | ||||
Home Improvement | 0.3 | ||||
Machinery Manufacturing | 0.3 | ||||
Media | 0.3 | ||||
Software | 0.3 | ||||
Consumer Finance | 0.2 | ||||
Consumer Products | 0.2 | ||||
Financial Services | 0.2 | ||||
Food & Beverage | 0.2 | ||||
Managed Care | 0.2 | ||||
Manufactured Goods | 0.2 | ||||
Property & Casualty Insurance | 0.2 | ||||
Refining & Marketing | 0.2 | ||||
Banks | 0.1 | ||||
Cable & Satellite | 0.1 | ||||
Chemicals | 0.1 | ||||
Commercial Services | 0.1 | ||||
Containers & Packaging | 0.1 | ||||
Entertainment Resources | 0.1 | ||||
Hardware | 0.1 | ||||
Internet Media | 0.1 | ||||
Iron & Steel | 0.1 | ||||
Metals & Mining | 0.1 | ||||
Oil & Gas Services & Equipment | 0.1 | ||||
Publishing & Broadcasting | 0.1 | ||||
Recreation Facilities & Services | 0.1 | ||||
Restaurants | 0.1 | ||||
Retail-Consumer Staples | 0.1 | ||||
Semiconductors | 0.1 |
See Notes to Consolidated Financial Statements.
8
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Portfolio Information (Continued)
March 31, 2020
Industry | Percentage of Total Net Assets | ||||
Specialty Finance | 0.1 | % | |||
Telecommunications | 0.1 | ||||
Travel & Lodging | 0.1 | ||||
Wireless Telecommunications Services | 0.1 | ||||
Aerospace & Defense | 0.0 | 1 | |||
Airlines | 0.0 | 1 | |||
Apparel & Textile Products | 0.0 | 1 | |||
Auto Parts Manufacturing | 0.0 | 1 | |||
Automobiles Manufacturing | 0.0 | 1 | |||
Automotive | 0.0 | 1 | |||
Casinos & Gaming | 0.0 | 1 | |||
Coal Operations | 0.0 | 1 | |||
Communications Equipment | 0.0 | 1 | |||
Construction Materials | 0.0 | 1 | |||
Construction Materials Manufacturing | 0.0 | 1 | |||
Defence Equipment | 0.0 | 1 | |||
Design, Manufacturing & Distribution | 0.0 | 1 | |||
Distributors-Consumer Staples | 0.0 | 1 | |||
Distributors-Discretionary | 0.0 | 1 | |||
Educational Services | 0.0 | 1 | |||
Electric Utilities | 0.0 | 1 | |||
Electrical Equipment | 0.0 | 1 | |||
Electrical Equipment Manufacturing | 0.0 | 1 | |||
Engineering & Construction Services | 0.0 | 1 | |||
Entertainment Contents | 0.0 | 1 | |||
Forest & Paper Products | 0.0 | 1 | |||
Home & Office Products | 0.0 | 1 | |||
Homebuilders | 0.0 | 1 | |||
Industrial Services | 0.0 | 1 | |||
Institutional Financial Services | 0.0 | 1 | |||
Insurance | 0.0 | 1 | |||
Leisure Products | 0.0 | 1 | |||
Machinery | 0.0 | 1 | |||
Medical Equipment & Devices Manufacturing | 0.0 | 1 | |||
Passenger Transportation | 0.0 | 1 | |||
Pharmaceuticals | 0.0 | 1 | |||
Power Generation | 0.0 | 1 | |||
Renewable Energy | 0.0 | 1 | |||
Technology Services | 0.0 | 1 | |||
Transportation & Logistics | 0.0 | 1 | |||
Transportation Equipment | 0.0 | 1 | |||
Waste & Environmental Services & Equipment | 0.0 | 1 | |||
Other2 | 62.7 | ||||
Securities Sold Short | (5.5 | ) |
See Notes to Consolidated Financial Statements.
9
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Portfolio Information (Continued)
March 31, 2020
Industry | Percentage of Total Net Assets | ||||
Other Assets and Liabilities3 | 21.6 | % | |||
|
| ||||
Total Investments | 100.0 | % | |||
|
|
1 | Represents less than 0.1%. |
2 | Includes Asset-Backed Securities, Sovereign Debt, Municipals, Mortgage-Backed Securities, U.S. Government Sponsored Agency Securities, U.S. Treasury Obligations, Exchange-Traded Funds, Warrants, Investments in Investee Funds, Short-Term Investment—Money Market Fund, Repurchase Agreements and Purchased Options. |
3 | Assets, other than investments in securities, net of other liabilities. See Consolidated Statement of Assets and Liabilities. A significant portion of the balance represents cash collateral for derivatives. |
See Notes to Consolidated Financial Statements.
10
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments
March 31, 2020
Security Description | Shares | Value | ||||||||||
INVESTMENTS IN SECURITIES — 83.9% | ||||||||||||
COMMON STOCK — 10.8% | ||||||||||||
Africa — 0.0% | ||||||||||||
Chemicals — 0.0% | ||||||||||||
Sasol Ltd., ADR (a) | 500 | $ | 1,005 | |||||||||
|
| |||||||||||
Metals & Mining — 0.0% |
| |||||||||||
AngloGold Ashanti Ltd., ADR | 300 | 4,989 | ||||||||||
Gold Fields Ltd., ADR | 400 | 1,900 | ||||||||||
Harmony Gold Mining Co. Ltd., ADR (a) | 500 | 1,090 | ||||||||||
|
| |||||||||||
7,979 | ||||||||||||
|
| |||||||||||
Specialty Finance — 0.0% |
| |||||||||||
Net 1 UEPS Technologies, Inc. (a) | 2,900 | 8,439 | ||||||||||
|
| |||||||||||
Total Africa |
| 17,423 | ||||||||||
|
| |||||||||||
Asia — 0.6% |
| |||||||||||
Asset Management — 0.1% |
| |||||||||||
CITIC Capital Acquisition Corp. (a),(c),(b) | 702,800 | 6,922,580 | ||||||||||
|
| |||||||||||
Biotechnology & Pharmaceuticals — 0.0% |
| |||||||||||
Sinovac Biotech Ltd. (a),(b) | 200 | 1,294 | ||||||||||
|
| |||||||||||
Consumer Products — 0.0% |
| |||||||||||
Viomi Technology Co. Ltd. (b) | 400 | 1,740 | ||||||||||
|
| |||||||||||
Consumer Services — 0.0% |
| |||||||||||
New Oriental Education & Technology Group, Inc., ADR (a) | 100 | 10,824 | ||||||||||
Tarena International, Inc., ADR (b),(a) | 900 | 3,447 | ||||||||||
|
| |||||||||||
14,271 | ||||||||||||
|
| |||||||||||
Gaming, Lodging & Restaurants — 0.0% |
| |||||||||||
Melco Resorts & Entertainment Ltd., ADR | 27,200 | 337,280 | ||||||||||
|
| |||||||||||
Health Care Facilities & Services — 0.0% |
| |||||||||||
Global Cord Blood Corp. (b),(a) | 1,829 | 5,816 | ||||||||||
|
| |||||||||||
Machinery — 0.0% |
| |||||||||||
China Yuchai International Ltd. (b) | 1,245 | 13,396 | ||||||||||
Hollysys Automation Technologies Ltd. | 6,700 | 86,430 | ||||||||||
|
| |||||||||||
99,826 | ||||||||||||
|
| |||||||||||
Media — 0.0% |
| |||||||||||
Phoenix New Media Ltd., ADR (b) | 1,100 | 1,362 | ||||||||||
Sohu.com Ltd., ADR (a),(b) | 3,200 | 19,936 | ||||||||||
Tencent Music Entertainment Group, ADR (a) | 100 | 1,006 |
See Notes to Consolidated Financial Statements.
11
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2020
Security Description | Shares | Value | ||||||||||
Trip.com Group Ltd., ADR (a) | 200 | $ | 4,690 | |||||||||
Weibo Corp., ADR (a) | 10 | 331 | ||||||||||
|
| |||||||||||
27,325 | ||||||||||||
|
| |||||||||||
Real Estate — 0.0% |
| |||||||||||
Xinyuan Real Estate Co. Ltd., ADR (b) | 3,400 | 7,412 | ||||||||||
|
| |||||||||||
Retail—Discretionary — 0.5% |
| |||||||||||
Alibaba Group Holding Ltd., ADR (a),(c),(b) | 143,683 | 27,943,470 | ||||||||||
Pinduoduo, Inc., ADR(a) | 600 | 21,618 | ||||||||||
|
| |||||||||||
27,965,088 | ||||||||||||
|
| |||||||||||
Semiconductors — 0.0% |
| |||||||||||
Kulicke & Soffa Industries, Inc. | 8,300 | 173,221 | ||||||||||
Magnachip Semiconductor Corp. (a),(b) | 9,700 | 107,185 | ||||||||||
Silicon Motion Technology Corp., ADR | 1,000 | 36,660 | ||||||||||
United Microelectronics Corp., ADR | 1,500 | 3,255 | ||||||||||
|
| |||||||||||
320,321 | ||||||||||||
|
| |||||||||||
Specialty Finance — 0.0% |
| |||||||||||
Hexindai, Inc., ADR (a) | 1,900 | 798 | ||||||||||
|
| |||||||||||
Technology Services — 0.0% |
| |||||||||||
Wipro Ltd., ADR | 34 | 105 | ||||||||||
WNS Holdings Ltd., ADR (a) | 5,300 | 227,794 | ||||||||||
|
| |||||||||||
227,899 | ||||||||||||
|
| |||||||||||
Telecommunications — 0.0% |
| |||||||||||
Aspire Holdings LLC, Class A (c),(d),(a) | 1,502,082 | 2 | ||||||||||
China Telecom Corp. Ltd., ADR (b) | 4,700 | 143,444 | ||||||||||
China Unicom Hong Kong Ltd., ADR | 100 | 588 | ||||||||||
VEON Ltd., ADR | 38,300 | 57,833 | ||||||||||
|
| |||||||||||
201,867 | ||||||||||||
|
| |||||||||||
Total Asia |
| 36,133,517 | ||||||||||
|
| |||||||||||
Europe — 0.3% |
| |||||||||||
Asset Management — 0.1% |
| |||||||||||
Bespoke Capital Acquisition Corp., A Shares (a),(c) | 750,000 | 7,267,500 | ||||||||||
|
| |||||||||||
Automotive — 0.0% |
| |||||||||||
Fiat Chrysler Automobiles NV | 20,100 | 144,519 | ||||||||||
|
| |||||||||||
Biotechnology & Pharmaceuticals — 0.2% |
| |||||||||||
CRISPR Therapeutics AG (a) | 6,200 | 262,942 | ||||||||||
GlaxoSmithKline PLC, ADR | 200 | 7,578 | ||||||||||
InflaRx NV (a) | 2,300 | 8,786 | ||||||||||
Novartis AG (c) | 160,310 | 13,299,484 |
See Notes to Consolidated Financial Statements.
12
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2020
Security Description | Shares | Value | ||||||||||
Prothena Corp. PLC (a),(b) | 6,000 | $ | 64,200 | |||||||||
|
| |||||||||||
13,642,990 | ||||||||||||
|
| |||||||||||
Chemicals — 0.0% |
| |||||||||||
Orion Engineered Carbons SA (a) | 16,800 | 125,328 | ||||||||||
|
| |||||||||||
Iron & Steel — 0.0% |
| |||||||||||
ArcelorMittal (b) | 503 | 4,693 | ||||||||||
|
| |||||||||||
Media — 0.0% |
| |||||||||||
Trivago NV, ADR (a) | 4,600 | 6,716 | ||||||||||
|
| |||||||||||
Medical Equipment & Devices — 0.0% |
| |||||||||||
Trinity Biotech PLC, ADR (a),(b) | 1,400 | 1,540 | ||||||||||
|
| |||||||||||
Oil, Gas & Coal — 0.0% |
| |||||||||||
TechnipFMC PLC | 24,600 | 165,804 | ||||||||||
|
| |||||||||||
Recreation Facilities & Services — 0.0% |
| |||||||||||
Manchester United PLC, Class A | 300 | 4,515 | ||||||||||
|
| |||||||||||
Retail—Discretionary — 0.0% |
| |||||||||||
Hudson Ltd., Class A (a) | 8,800 | 44,176 | ||||||||||
|
| |||||||||||
Semiconductors — 0.0% |
| |||||||||||
NXP Semiconductors NV (c),(b) | 8,150 | 675,880 | ||||||||||
|
| |||||||||||
Software — 0.0% |
| |||||||||||
Micro Focus International plc, ADR (a),(b) | 6,400 | 32,448 | ||||||||||
|
| |||||||||||
Specialty Finance — 0.0% |
| |||||||||||
Fly Leasing Ltd., ADR (a) | 100 | 704 | ||||||||||
|
| |||||||||||
Technology Services — 0.0% |
| |||||||||||
Atento SA (a),(b) | 4,500 | 4,950 | ||||||||||
|
| |||||||||||
Transportation & Logistics — 0.0% |
| |||||||||||
Costamare, Inc. | 600 | 2,712 | ||||||||||
Diana Shipping, Inc. (a) | 147 | 217 | ||||||||||
GasLog Partners LP | 300 | 669 | ||||||||||
Golden Ocean Group Ltd. (a),(b) | 320 | 1,002 | ||||||||||
Safe Bulkers, Inc. (a),(b) | 12,300 | 14,637 | ||||||||||
SFL Corp. Ltd. | 100 | 947 | ||||||||||
Tsakos Energy Navigation Ltd. (a),(b) | 6,700 | 21,842 | ||||||||||
|
| |||||||||||
42,026 | ||||||||||||
|
| |||||||||||
Utilities — 0.0% |
| |||||||||||
Atlantica Yield PLC | 7,700 | 171,710 | ||||||||||
|
| |||||||||||
Total Europe |
| 22,335,499 | ||||||||||
|
|
See Notes to Consolidated Financial Statements.
13
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2020
Security Description | Shares | Value | ||||||||||
Middle East — 0.0% |
| |||||||||||
Aerospace & Defense — 0.0% |
| |||||||||||
Ituran Location and Control Ltd. (b) | 300 | $ | 4,263 | |||||||||
|
| |||||||||||
Biotechnology & Pharmaceuticals — 0.0% |
| |||||||||||
Intec Pharma Ltd. (a),(b) | 500 | 95 | ||||||||||
|
| |||||||||||
Electrical Equipment — 0.0% |
| |||||||||||
Camtek Ltd. (b) | 4,100 | 34,522 | ||||||||||
|
| |||||||||||
Hardware — 0.0% |
| |||||||||||
Ceragon Networks Ltd. (a),(b) | 2,400 | 3,024 | ||||||||||
Radware Ltd. (a) | 900 | 18,963 | ||||||||||
|
| |||||||||||
21,987 | ||||||||||||
|
| |||||||||||
Semiconductors — 0.0% |
| |||||||||||
Mellanox Technologies Ltd. (a) | 300 | 36,396 | ||||||||||
Nova Measuring Instruments Ltd. (a),(b) | 800 | 26,120 | ||||||||||
Tower Semiconductor Ltd. (a) | 5,700 | 90,744 | ||||||||||
|
| |||||||||||
153,260 | ||||||||||||
|
| |||||||||||
Software — 0.0% |
| |||||||||||
Allot Ltd. (a),(b) | 800 | 7,560 | ||||||||||
|
| |||||||||||
Total Middle East |
| 221,687 | ||||||||||
|
| |||||||||||
North America — 9.9% |
| |||||||||||
Aerospace & Defense — 0.0% |
| |||||||||||
AAR Corp. (b) | 2,500 | 44,400 | ||||||||||
American Outdoor Brands Corp. (a) | 8,500 | 70,550 | ||||||||||
Astronics Corp. (a),(b) | 2,800 | 25,704 | ||||||||||
Ducommun, Inc. (a),(b) | 800 | 19,880 | ||||||||||
HEICO Corp. | 1,188 | 88,636 | ||||||||||
Hexcel Corp. | 23,299 | 866,490 | ||||||||||
Raytheon Co. (b) | 2,900 | 380,335 | ||||||||||
Spirit AeroSystems Holdings, Inc., Class A (a) | 300 | 7,179 | ||||||||||
Woodward, Inc. (a) | 100 | 5,944 | ||||||||||
|
| |||||||||||
1,509,118 | ||||||||||||
|
| |||||||||||
Apparel & Textile Products — 0.0% |
| |||||||||||
Culp, Inc. (b) | 1,800 | 13,248 | ||||||||||
Levi Strauss & Co., Class A | 4,800 | 59,664 | ||||||||||
Tapestry, Inc. (a),(b) | 77,200 | 999,740 | ||||||||||
Under Armour, Inc., Class A (a) | 1,000 | 9,210 | ||||||||||
Unifi, Inc. (a),(b) | 1,100 | 12,705 | ||||||||||
VF Corp. (b) | 1 | 54 | ||||||||||
Vince Holding Corp. (a),(b) | 306 | 1,187 | ||||||||||
|
| |||||||||||
1,095,808 | ||||||||||||
|
|
See Notes to Consolidated Financial Statements.
14
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2020
Security Description | Shares | Value | ||||||||
Asset Management — 2.8% |
| |||||||||
Amplitude Healthcare Acquisition Corp., Class A (a),(c),(b) | 300,000 | $ | 2,865,000 | |||||||
Apex Technology Acquisition Corp., Class A (a),(c),(b) | 1,050,000 | 10,258,500 | ||||||||
Apollo Investment Corp. | 4,000 | 27,000 | ||||||||
Ares Capital Corp. | 27,200 | 293,216 | ||||||||
Ares Management Corp., Class A (b) | 1,400 | 43,302 | ||||||||
ARYA Sciences Acquisition Corp., Class A (a),(c),(b) | 419,940 | 4,270,790 | ||||||||
Bain Capital Specialty Finance, Inc. | 14,400 | 133,488 | ||||||||
BlackRock Capital Investment Corp. (b) | 19,000 | 41,800 | ||||||||
BlackRock TCP Capital Corp. (b) | 16,400 | 102,500 | ||||||||
BrightSphere Investment Group PLC (a) | 14,900 | 95,211 | ||||||||
Calamos Asset Management, Inc. (a) | 7,100 | 0 | ||||||||
Capital Southwest Corp. (b) | 2,300 | 26,266 | ||||||||
Capitala Finance Corp. (b) | 4,500 | 14,085 | ||||||||
CHP Merger Corp. (a),(c),(b) | 825,000 | 8,167,500 | ||||||||
Churchill Capital Corp. II (a),(c),(b) | 38,000 | 383,800 | ||||||||
Churchill Capital Corp. II, Class A (a),(c),(b) | 750,000 | 7,462,500 | ||||||||
Churchill Capital Corp. III (a),(c),(b) | 1,294,000 | 12,940,000 | ||||||||
Collier Creek Holdings, Class A (a),(c),(b) | 224,400 | 2,295,612 | ||||||||
Conyers Park II Acquisition Corp., Class A (a),(c),(b) | 500,000 | 5,335,000 | ||||||||
Crescent Acquisition Corp., Class A (a),(c),(b) | 500,000 | 4,925,000 | ||||||||
DFP Healthcare Acquisitions Corp. (a),(c),(b) | 700,000 | 6,944,000 | ||||||||
Far Point Acquisition Corp., Class A (a),(c),(b) | 266,667 | 2,698,670 | ||||||||
Fidus Investment Corp. (b) | 5,600 | 37,072 | ||||||||
FinServ Acquisition Corp., Class A (a),(c),(b) | 333,334 | 3,200,006 | ||||||||
Flying Eagle Acquisition Corp. (a),(c),(b) | 1,266,400 | 12,626,008 | ||||||||
Forum Merger II Corp., Class A (a),(c),(b) | 31,000 | 318,990 | ||||||||
Franklin Resources, Inc. | 200 | 3,338 | ||||||||
Garrison Capital, Inc. (b) | 1,300 | 2,210 | ||||||||
GigCapital2, Inc. (a),(c),(b),(d) | 500,000 | 55,050 | ||||||||
Gladstone Capital Corp. | 300 | 1,686 | ||||||||
Gladstone Investment Corp. (b) | 9,200 | 72,220 | ||||||||
Gores Holdings IV, Inc. (a),(c),(b) | 91,837 | 924,798 | ||||||||
Gores Metropoulos, Inc., Class A (a),(c),(b) | 750,000 | 7,612,500 | ||||||||
Great Elm Capital Corp. (b) | 200 | 560 | ||||||||
GX Acquisition Corp., Class A (a),(c),(b) | 500,000 | 4,900,000 | ||||||||
Haymaker Acquisition Corp. II, Class A (a),(c),(b) | 600,000 | 5,874,000 | ||||||||
Healthcare Merger Corp., Class A (a),(c),(b) | 562,500 | 5,540,625 | ||||||||
Hennessy Capital Acquisition Corp., Class A (a),(c),(b) | 380,000 | 3,841,800 | ||||||||
Horizon Technology Finance Corp. (b) | 4,600 | 37,352 | ||||||||
InterPrivate Acquisition Corp. (a),(c),(b) | 250,000 | 2,472,500 | ||||||||
Juniper Industrial Holdings, Inc. (a),(c),(b) | 398,243 | 3,831,098 |
See Notes to Consolidated Financial Statements.
15
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2020
Security Description | Shares | Value | ||||||||
Landcadia Holdings II, Inc., Class A (a),(c),(b) | 750,000 | $ | 7,410,000 | |||||||
LifeSci Acquisition Corp. (a),(c),(b) | 134,000 | 1,319,900 | ||||||||
Manning & Napier, Inc. (b) | 1,600 | 2,000 | ||||||||
Medallion Financial Corp. (a),(b) | 1,600 | 2,976 | ||||||||
Monocle Acquisition Corp. (a),(c),(b) | 200,000 | 2,010,000 | ||||||||
Monroe Capital Corp. (b) | 3,500 | 24,850 | ||||||||
New Mountain Finance Corp. | 1,600 | 10,880 | ||||||||
New Providence Acquisition Corp., Class A (a),(c),(b) | 600,000 | 5,880,000 | ||||||||
Newtek Business Services Corp. | 3,200 | 42,272 | ||||||||
Oaktree Specialty Lending Corp. | 39,400 | 127,656 | ||||||||
Oppenheimer Holdings, Inc., Class A (b) | 700 | 13,832 | ||||||||
Osprey Technology Acquisition Corp., Class A (a),(c),(b) | 711,562 | 6,916,383 | ||||||||
Oxford Square Capital Corp. (b) | 6,800 | 17,340 | ||||||||
PennantPark Floating Rate Capital Ltd. (b) | 10,800 | 52,488 | ||||||||
PennantPark Investment Corp. (b) | 18,700 | 48,433 | ||||||||
Portman Ridge Finance Corp. (b) | 4,800 | 4,492 | ||||||||
PropTech Acquisition Corp., Class A (a),(c),(b) | 195,000 | 1,920,750 | ||||||||
Saratoga Investment Corp. (b) | 100 | 1,151 | ||||||||
SCVX Corp. (a),(c),(b) | 428,572 | 4,272,863 | ||||||||
Silver Spike Acquisition Corp., Class A (a),(c),(b) | 375,000 | 3,690,000 | ||||||||
Software Acquisition Group, Inc., Class A (a),(c),(b) | 448,500 | 4,319,055 | ||||||||
Solar Capital Ltd. (b) | 11,800 | 137,352 | ||||||||
Solar Senior Capital Ltd. (b) | 1,800 | 17,478 | ||||||||
South Mountain Merger Corp., Class A (a),(c),(b) | 400,000 | 3,880,000 | ||||||||
Subversive Capital Acquisition Corp., Class A (a),(c) | 1,000,000 | 9,690,000 | ||||||||
TCG BDC, Inc. (b) | 14,000 | 73,080 | ||||||||
THL Credit, Inc. (b) | 5,300 | 14,045 | ||||||||
Thunder Bridge Acquisition II Ltd., Class A (a),(c),(b) | 375,000 | 3,656,250 | ||||||||
TriplePoint Venture Growth BDC Corp. (b) | 1,500 | 8,610 | ||||||||
Tuscan Holdings Corp. (a),(c),(b) | 400,000 | 3,988,000 | ||||||||
Tuscan Holdings Corp. II (a),(c),(b) | 316,300 | 3,077,599 | ||||||||
WhiteHorse Finance, Inc. (b) | 5,700 | 40,356 | ||||||||
WisdomTree Investments, Inc. | 200 | 466 | ||||||||
|
| |||||||||
183,345,610 | ||||||||||
|
| |||||||||
Automotive — 0.0% |
| |||||||||
Adient PLC (b) | 1,100 | 9,977 | ||||||||
Cooper-Standard Holding, Inc. (a),(b) | 4,700 | 48,269 | ||||||||
Dana, Inc. | 1,700 | 13,277 | ||||||||
Delphi Technologies plc | 15,300 | 123,165 | ||||||||
Goodyear Tire & Rubber Co. | 600 | 3,492 | ||||||||
Modine Manufacturing Co. (a),(b) | 5,900 | 19,175 | ||||||||
Superior Industries International, Inc. (b) | 2,600 | 3,120 |
See Notes to Consolidated Financial Statements.
16
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2020
Security Description | Shares | Value | ||||||||
Telenav, Inc. (a) | 10,400 | $ | 44,928 | |||||||
Tenneco, Inc., Class A (b) | 1,200 | 4,320 | ||||||||
Tesla Motors, Inc. (a),(b) | 4,045 | 2,119,580 | ||||||||
|
| |||||||||
2,389,303 | ||||||||||
|
| |||||||||
Banking — 1.0% |
| |||||||||
Arrow Financial Corp. (b) | 380 | 10,591 | ||||||||
Atlantic Capital Bancshares, Inc. (a) | 2,700 | 32,049 | ||||||||
BancFirst Corp. (b) | 300 | 10,011 | ||||||||
Bancorp, Inc. (a),(b) | 12,200 | 74,054 | ||||||||
Bank of Marin Bancorp (b) | 600 | 18,000 | ||||||||
Bank of NT Butterfield & Son Ltd. (b) | 5,300 | 90,259 | ||||||||
BankFinancial Corp. (b) | 855 | 7,533 | ||||||||
Bridgewater Bancshares, Inc. (a),(b) | 1,200 | 11,700 | ||||||||
Byline Bancorp, Inc. (c),(b) | 755,785 | 7,837,490 | ||||||||
Cadence BanCorp (b) | 23,840 | 156,152 | ||||||||
Central Pacific Financial Corp. (b) | 700 | 11,130 | ||||||||
Citizens Financial Group, Inc. | 11,800 | 221,958 | ||||||||
Comerica, Inc. (b) | 21,500 | 630,810 | ||||||||
Commerce Bancshares, Inc. | 20 | 1,007 | ||||||||
ConnectOne Bancorp, Inc. (c),(b) | 423,950 | 5,697,888 | ||||||||
East West Bancorp, Inc. | 24,400 | 628,056 | ||||||||
Farmers National Banc Corp. | 4,100 | 47,683 | ||||||||
Fifth Third Bancorp | 300 | 4,455 | ||||||||
Financial Institutions, Inc. (b) | 1,100 | 19,954 | ||||||||
First BanCorp | 60,800 | 323,456 | ||||||||
First Community Bankshares, Inc. (b) | 1,000 | 23,300 | ||||||||
First Defiance Financial Corp. (b) | 2,048 | 30,187 | ||||||||
First Financial Corp. (b) | 300 | 10,116 | ||||||||
First Financial Northwest, Inc. (b) | 400 | 4,016 | ||||||||
First Horizon National Corp. (a) | 100 | 806 | ||||||||
First of Long Island Corp. (The) (b) | 100 | 1,735 | ||||||||
Flushing Financial Corp. (b) | 700 | 9,352 | ||||||||
FS Bancorp, Inc. (b) | 100 | 3,600 | ||||||||
Great Southern Bancorp, Inc. (b) | 100 | 4,040 | ||||||||
Harborone Bancorp, Inc. (a) | 28 | 211 | ||||||||
HBT Financial, Inc. (b) | 400 | 4,212 | ||||||||
Heritage Commerce Corp. | 9,900 | 75,933 | ||||||||
Home BancShares, Inc. | 15 | 180 | ||||||||
HomeTrust Bancshares, Inc. (b) | 1,200 | 19,104 | ||||||||
Horizon Bancorp, Inc. (b) | 1,000 | 9,860 | ||||||||
IBERIABANK Corp. | 4,400 | 159,104 | ||||||||
Independent Bank Corp. (b) | 4,700 | 60,489 | ||||||||
Independent Bank Group, Inc. (c),(b) | 389,332 | 9,219,382 | ||||||||
KeyCorp | 2,800 | 29,036 | ||||||||
Lakeland Bancorp, Inc. (b) | 200 | 2,162 |
See Notes to Consolidated Financial Statements.
17
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2020
Security Description | Shares | Value | ||||||||
Live Oak Bancshares, Inc. | 2,200 | $ | 27,434 | |||||||
Macatawa Bank Corp. (b) | 1,700 | 12,104 | ||||||||
Mercantile Bank Corp. (b) | 900 | 19,053 | ||||||||
Midland States Bancorp, Inc. (c),(b) | 149,910 | 2,621,926 | ||||||||
MidWestOne Financial Group, Inc. (b) | 400 | 8,376 | ||||||||
National Bankshares, Inc. (b) | 100 | 3,190 | ||||||||
Northrim BanCorp, Inc. (b) | 400 | 10,800 | ||||||||
OceanFirst Financial Corp. (c),(b) | 1,029,452 | 16,378,581 | ||||||||
Opus Bank | 8,000 | 138,640 | ||||||||
Origin Bancorp, Inc. (c),(b) | 8,995 | 182,149 | ||||||||
PB Bancorp, Inc. (b) | 100 | 1,490 | ||||||||
PCB Bancorp (b) | 300 | 2,934 | ||||||||
PCSB Financial Corp. (b) | 2,500 | 34,975 | ||||||||
Peapack Gladstone Financial Corp. (b) | 1,000 | 17,950 | ||||||||
Peoples Bancorp, Inc. (b) | 200 | 4,430 | ||||||||
Popular, Inc. | 9,990 | 349,650 | ||||||||
Prosperity Bancshares, Inc. | 27 | 1,303 | ||||||||
Provident Bancorp, Inc. (a),(b) | 2,900 | 24,998 | ||||||||
Provident Financial Services, Inc. | 500 | 6,430 | ||||||||
QCR Holdings, Inc. (c),(b) | 281,844 | 7,629,517 | ||||||||
Regions Financial Corp. (b) | 258,300 | 2,316,951 | ||||||||
Republic First Bancorp, Inc. (a) | 1,100 | 2,409 | ||||||||
Sierra Bancorp (b) | 800 | 14,064 | ||||||||
Southern National Bancorp of Virginia, Inc. (b) | 1,400 | 13,776 | ||||||||
Spirit of Texas Bancshares, Inc. (a),(b) | 1,000 | 10,340 | ||||||||
Stock Yards Bancorp, Inc. (b) | 900 | 26,037 | ||||||||
Synovus Financial Corp. | 16,563 | 290,846 | ||||||||
Territorial Bancorp, Inc. (b) | 300 | 7,365 | ||||||||
TFS Financial Corp. | 48 | 733 | ||||||||
TriState Capital Holdings, Inc. (a),(b) | 800 | 7,736 | ||||||||
TrustCo Bank Corp. | 300 | 1,623 | ||||||||
Umpqua Holdings Corp. | 21,100 | 229,990 | ||||||||
Univest Financial Corp. (c),(b) | 542,861 | 8,859,491 | ||||||||
Washington Trust Bancorp, Inc. (b) | 800 | 29,248 | ||||||||
Waterstone Financial, Inc. | 600 | 8,724 | ||||||||
|
| |||||||||
64,796,324 | ||||||||||
|
| |||||||||
Banks — 0.0% |
| |||||||||
CIT Group, Inc. (a) | 100 | 1,726 | ||||||||
|
| |||||||||
Biotechnology & Pharmaceuticals — 1.3% |
| |||||||||
AbbVie, Inc. (c) | 145,390 | 11,077,264 | ||||||||
Acorda Therapeutics, Inc. (a) | 13,400 | 12,497 | ||||||||
Aduro Biotech, Inc. (a),(b) | 5,100 | 13,974 | ||||||||
Agenus, Inc. (a) | 24,300 | 59,535 | ||||||||
Aimmune Therapeutics, Inc. (a) | 100 | 1,442 | ||||||||
Akorn, Inc. (a) | 35,300 | 19,810 |
See Notes to Consolidated Financial Statements.
18
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2020
Security Description | Shares | Value | ||||||||
Aldeyra Therapeutics, Inc. (a),(b) | 1,100 | $ | 2,717 | |||||||
Alexion Pharmaceuticals, Inc. (a) | 1,700 | 152,643 | ||||||||
Alkermes PLC (a) | 44,100 | 635,922 | ||||||||
Allergan PLC (c),(b) | 152,897 | 27,078,059 | ||||||||
AMAG Pharmaceuticals, Inc. (a) | 7,800 | 48,204 | ||||||||
Amneal Pharmaceuticals, Inc. (a) | 10,800 | 37,584 | ||||||||
AnaptysBio, Inc. (a) | 7,600 | 107,388 | ||||||||
Anika Therapeutics, Inc. (a),(b) | 3,900 | 112,749 | ||||||||
Antares Pharma, Inc. (a),(b) | 46,300 | 109,268 | ||||||||
Apellis Pharmaceuticals, Inc. (a),(b) | 21,000 | 562,590 | ||||||||
Applied Genetic Technologies Corp. (a),(b) | 700 | 2,296 | ||||||||
Aptinyx, Inc. (a),(b) | 3,400 | 7,344 | ||||||||
Aravive, Inc. (a),(b) | 4,298 | 24,756 | ||||||||
Arbutus Biopharma Corp. (a),(b) | 1,300 | 1,313 | ||||||||
Arcturus Therapeutics Holdings Co. (a),(b) | 700 | 9,513 | ||||||||
Arcus Biosciences, Inc. (a),(b) | 2,000 | 27,760 | ||||||||
Ardelyx, Inc. (a) | 3,900 | 22,172 | ||||||||
Arrowhead Pharmaceuticals, Inc. (a) | 27,400 | 788,298 | ||||||||
Arvinas Holding Co. LLC (a),(b) | 4,800 | 193,440 | ||||||||
Assembly Biosciences, Inc. (a),(b) | 400 | 5,932 | ||||||||
Assertio Therapeutics, Inc. (a),(b) | 5,700 | 3,705 | ||||||||
Atara Biotherapeutics, Inc. (a) | 14,500 | 123,395 | ||||||||
Athenex, Inc. (a),(b) | 11,500 | 89,010 | ||||||||
aTyr Pharma, Inc. (a),(b) | 700 | 1,960 | ||||||||
Avid Bioservices, Inc. (a) | 2,243 | 11,462 | ||||||||
BioCryst Pharmaceuticals, Inc. (a) | 43,100 | 86,200 | ||||||||
BioDelivery Sciences International, Inc. (a) | 26,900 | 101,951 | ||||||||
Biohaven Pharmaceutical Holding Co. Ltd. (a) | 6,100 | 207,583 | ||||||||
BioSpecifics Technologies Corp. (a),(b) | 100 | 5,657 | ||||||||
Bluebird Bio, Inc. (a),(b) | 2,200 | 101,112 | ||||||||
Calithera Biosciences, Inc. (a),(b) | 3,500 | 15,540 | ||||||||
Cassava Sciences, Inc. (a),(b) | 25 | 103 | ||||||||
Catalyst Biosciences, Inc. (a),(b) | 4,800 | 20,976 | ||||||||
Catalyst Pharmaceuticals, Inc. (a) | 13,200 | 50,820 | ||||||||
Celldex Therapeutics, Inc. (a),(b) | 534 | 886 | ||||||||
ChemoCentryx, Inc. (a) | 6,500 | 261,170 | ||||||||
Chimerix, Inc. (a) | 17,200 | 24,768 | ||||||||
Cidara Therapeutics, Inc. (a),(b) | 100 | 248 | ||||||||
Coherus Biosciences, Inc. (a) | 9,400 | 152,468 | ||||||||
Concert Pharmaceuticals, Inc. (a),(b) | 2,200 | 19,448 | ||||||||
Contra OncoMed Pharmaceuticals, Inc. (a) | 700 | 0 | ||||||||
CTI BioPharma Corp. (a),(b) | 4,200 | 3,864 | ||||||||
Curis, Inc. (a),(b) | 3,560 | 2,506 | ||||||||
Cymabay Therapeutics, Inc. (a),(b) | 7,900 | 11,692 | ||||||||
Cytokinetics, Inc. (a) | 16,600 | 195,714 | ||||||||
CytomX Therapeutics, Inc. (a),(b) | 12,700 | 97,409 | ||||||||
Deciphera Pharmaceuticals, Inc. (a) | 600 | 24,702 |
See Notes to Consolidated Financial Statements.
19
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2020
Security Description | Shares | Value | ||||||||
Dicerna Pharmaceuticals, Inc. (a),(b) | 18,900 | $ | 347,193 | |||||||
Durect Corp. (a),(b) | 38,800 | 60,140 | ||||||||
Editas Medicine, Inc. (a) | 15,300 | 303,399 | ||||||||
Eiger BioPharmaceuticals, Inc. (a),(b) | 6,800 | 46,240 | ||||||||
Eli Lilly & Co. | 1,900 | 263,568 | ||||||||
Enanta Pharmaceuticals, Inc. (a),(b) | 2,300 | 118,289 | ||||||||
Exicure, Inc. (a),(b) | 300 | 444 | ||||||||
Fate Therapeutics, Inc. (a) | 400 | 8,884 | ||||||||
Five Prime Therapeutics, Inc. (a),(b) | 10,100 | 22,927 | ||||||||
G1 Therapeutics, Inc. (a),(b) | 4,500 | 49,590 | ||||||||
Geron Corp. (a),(b) | 7,600 | 9,044 | ||||||||
GlycoMimetics, Inc. (a),(b) | 9,600 | 21,888 | ||||||||
Halozyme Therapeutics, Inc. (a) | 38,600 | 694,414 | ||||||||
Harpoon Therapeutics, Inc. (a),(b) | 200 | 2,316 | ||||||||
Idera Pharmaceuticals, Inc. (a),(b) | 100 | 132 | ||||||||
ImmunoGen, Inc. (a),(b) | 33,200 | 113,212 | ||||||||
Incyte Corp. (a) | 700 | 51,261 | ||||||||
Intellia Therapeutics, Inc. (a),(b) | 6,900 | 84,387 | ||||||||
Intercept Pharmaceuticals, Inc. (a) | 9,100 | 572,936 | ||||||||
Intersect ENT, Inc. (a),(b) | 9,000 | 106,650 | ||||||||
Ionis Pharmaceuticals, Inc. (a) | 32,200 | 1,522,416 | ||||||||
Ironwood Pharmaceuticals, Inc. (a) | 44,200 | 445,978 | ||||||||
Jounce Therapeutics, Inc. (a) | 2,200 | 10,450 | ||||||||
Kadmon Holdings, Inc. (a) | 44,700 | 187,293 | ||||||||
Karyopharm Therapeutics, Inc. (a) | 20,300 | 389,963 | ||||||||
Kezar Life Sciences, Inc. (a),(b) | 2,100 | 9,156 | ||||||||
Kura Oncology, Inc. (a),(b) | 11,000 | 109,450 | ||||||||
Lexicon Pharmaceuticals, Inc. (a),(b) | 22,400 | 43,680 | ||||||||
Ligand Pharmaceuticals, Inc. (a) | 4,600 | 334,512 | ||||||||
Lineage Cell Therapeutics, Inc. (a),(b) | 5,200 | 4,306 | ||||||||
MacroGenics, Inc. (a),(b) | 11,500 | 66,930 | ||||||||
Madrigal Pharmaceuticals, Inc. (a),(c),(b) | 54,992 | 3,671,266 | ||||||||
Mallinckrodt PLC (a) | 23,500 | 46,530 | ||||||||
Matinas BioPharma Holdings, Inc. (a) | 1,300 | 780 | ||||||||
MEI Pharma, Inc. (a),(b) | 1,200 | 1,932 | ||||||||
MeiraGTx Holdings plc (a),(b) | 400 | 5,376 | ||||||||
Merck & Co., Inc. (b) | 66,300 | 5,101,122 | ||||||||
Mersana Therapeutics, Inc. (a),(b) | 100 | 583 | ||||||||
Millendo Therapeutics, Inc. (a),(b) | 213 | 1,125 | ||||||||
Molecular Templates, Inc. (a),(b) | 1,428 | 18,978 | ||||||||
Momenta Pharmaceuticals, Inc. (a) | 9,500 | 258,400 | ||||||||
MyoKardia, Inc. (a) | 6,100 | 285,968 | ||||||||
Myovant Sciences Ltd. (a) | 200 | 1,510 | ||||||||
Natural Health Trends Corp. (b) | 1,200 | 3,948 | ||||||||
Neurocrine Biosciences, Inc. (a),(c),(b) | 135,750 | 11,749,163 | ||||||||
Odonate Therapeutics, Inc. (a),(b) | 500 | 13,805 | ||||||||
Omthera Pharmaceutical, Inc. (d),(a) | 700 | 0 |
See Notes to Consolidated Financial Statements.
20
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2020
Security Description | Shares | Value | ||||||||
Organogenesis Holdings, Inc . (a),(b) | 1,600 | $ | 5,168 | |||||||
Otonomy, Inc. (a),(b) | 2,200 | 4,334 | ||||||||
Palatin Technologies, Inc. (a) | 300 | 127 | ||||||||
Pfizer, Inc. | 35,900 | 1,171,776 | ||||||||
Pieris Pharmaceuticals, Inc. (a),(b) | 200 | 456 | ||||||||
Portola Pharmaceuticals, Inc. (a),(b) | 21,800 | 155,434 | ||||||||
Precigen, Inc. (a),(b) | 3,900 | 13,260 | ||||||||
Principia Biopharma, Inc. (a),(b) | 200 | 11,876 | ||||||||
Protagonist Therapeutics, Inc. (a),(b) | 4,500 | 31,770 | ||||||||
Proteostasis Therapeutics, Inc. (a),(b) | 2,000 | 2,280 | ||||||||
PTC Therapeutics, Inc. (a) | 16,200 | 722,682 | ||||||||
Puma Biotechnology, Inc. (a) | 4,800 | 40,512 | ||||||||
Radius Health, Inc. (a),(b) | 12,900 | 167,700 | ||||||||
Recro Pharma, Inc. (a),(b) | 6,500 | 53,105 | ||||||||
Regeneron Pharmaceuticals, Inc. (a) | 1 | 488 | ||||||||
resTORbio, Inc. (a),(b) | 9,300 | 9,579 | ||||||||
Retrophin, Inc. (a) | 12,000 | 175,080 | ||||||||
Rigel Pharmaceuticals, Inc. (a) | 12,300 | 19,188 | ||||||||
Rubius Therapeutics, Inc. (a) | 200 | 890 | ||||||||
Sage Therapeutics, Inc. (a),(b) | 14,500 | 416,440 | ||||||||
Sangamo BioSciences, Inc. (a) | 14,300 | 91,091 | ||||||||
Savara, Inc. (a),(b) | 51 | 108 | ||||||||
Selecta Biosciences, Inc. (a),(b) | 3,100 | 7,471 | ||||||||
Seres Therapeutics, Inc. (a),(b) | 700 | 2,499 | ||||||||
Sesen Bio, Inc. (a),(b) | 332 | 186 | ||||||||
Sierra Oncology, Inc. (a),(b) | 67 | 657 | ||||||||
Solid Biosciences, Inc. (a),(b) | 3,200 | 7,648 | ||||||||
Spectrum Pharmaceuticals, Inc. (a),(b) | 19,600 | 45,668 | ||||||||
Sunesis Pharmaceuticals, Inc. (a),(b) | 1,900 | 788 | ||||||||
Supernus Pharmaceuticals, Inc. (a),(b) | 14,700 | 264,453 | ||||||||
Syndax Pharmaceuticals, Inc. (a),(b) | 400 | 4,388 | ||||||||
Synlogic, Inc. (a),(b) | 9,000 | 15,480 | ||||||||
Syros Pharmaceuticals, Inc. (a),(b) | 5,000 | 29,650 | ||||||||
TherapeuticsMD, Inc. (a) | 500 | 530 | ||||||||
United Therapeutics Corp. (a) | 6,701 | 635,422 | ||||||||
USANA Health Sciences, Inc. (a),(b) | 2,200 | 127,072 | ||||||||
Vanda Pharmaceuticals, Inc. (a),(b) | 15,000 | 155,400 | ||||||||
Vertex Pharmaceuticals, Inc. (a),(b) | 36,800 | 8,756,560 | ||||||||
Voyager Therapeutics, Inc. (a),(b) | 200 | 1,830 | ||||||||
vTv Therapeutics, Inc., Class A (a),(b) | 900 | 1,719 | ||||||||
Xenon Pharmaceuticals, Inc. (a),(b) | 300 | 3,402 | ||||||||
Xeris Pharmaceuticals, Inc. (a),(b) | 1,100 | 2,145 | ||||||||
Zafgen, Inc. (a) | 5,800 | 4,466 | ||||||||
Zymeworks, Inc. (a),(b) | 12,700 | 450,469 | ||||||||
|
| |||||||||
83,501,600 | ||||||||||
|
|
See Notes to Consolidated Financial Statements.
21
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2020
Security Description | Shares | Value | ||||||||
Chemicals — 0.1% |
| |||||||||
3M Co. | 100 | $ | 13,651 | |||||||
AdvanSix, Inc. (a),(b) | 2,500 | 23,850 | ||||||||
Axalta Coating Systems Ltd. (a) | 65,800 | 1,136,366 | ||||||||
Cabot Corp. | 5,900 | 154,108 | ||||||||
CF Industries Holdings, Inc. | 100 | 2,720 | ||||||||
Chemours Co. | 28,100 | 249,247 | ||||||||
DuPont de Nemours, Inc. | 153 | 5,217 | ||||||||
Haynes International, Inc. (b) | 200 | �� | 4,122 | |||||||
Huntsman Corp. (b) | 24,100 | 347,763 | ||||||||
Ingevity Corp. (a),(b) | 11,700 | 411,840 | ||||||||
Lydall, Inc. (a),(b) | 2,100 | 13,566 | ||||||||
Methanex Corp. (b) | 800 | 9,736 | ||||||||
Mosaic Co. | 6,300 | 68,166 | ||||||||
PolyOne Corp. | 20,600 | 390,782 | ||||||||
PPG Industries, Inc. | 300 | 25,080 | ||||||||
Rayonier Advanced Materials, Inc. (b) | 17,600 | 18,656 | ||||||||
Sherwin-Williams Co. (b) | 1,000 | 459,520 | ||||||||
Stepan Co. (b) | 1,200 | 106,152 | ||||||||
Univar, Inc. (a) | 300 | 3,216 | ||||||||
Valvoline, Inc. | 7,500 | 98,175 | ||||||||
Venator Materials plc (a),(b) | 15,900 | 27,348 | ||||||||
|
| |||||||||
3,569,281 | ||||||||||
|
| |||||||||
Commercial Services — 0.1% |
| |||||||||
Acacia Research Corp. (a) | 1,600 | 3,552 | ||||||||
ARC Document Solutions, Inc. (b) | 5,400 | 4,374 | ||||||||
Avalara, Inc. (a),(b) | 19,500 | 1,454,700 | ||||||||
Barrett Business Services, Inc. (b) | 600 | 23,784 | ||||||||
Civeo Corp. (a),(b) | 14,000 | 5,767 | ||||||||
Collectors Universe, Inc. | 2,000 | 31,340 | ||||||||
CorVel Corp. (a),(b) | 700 | 38,157 | ||||||||
CRA International, Inc. (b) | 1,100 | 36,751 | ||||||||
Emerald Holding, Inc. (a),(b) | 700 | 1,813 | ||||||||
GP Strategies Corp. (a),(b) | 100 | 651 | ||||||||
Hackett Group, Inc. (b) | 4,300 | 54,696 | ||||||||
Healthcare Services Group, Inc. | 20,800 | 497,328 | ||||||||
Huron Consulting Group, Inc. (a),(b) | 2,100 | 95,256 | ||||||||
Insperity, Inc. (b) | 1,500 | 55,950 | ||||||||
Kelly Services, Inc., Class A (b) | 900 | 11,421 | ||||||||
Korn/Ferry International | 3,500 | 85,120 | ||||||||
Quad/Graphics, Inc. (b) | 3,800 | 9,576 | ||||||||
R1 RCM, Inc. (a) | 30,100 | 273,609 | ||||||||
ServiceMaster Global Holdings, Inc. (a) | 2,100 | 56,700 | ||||||||
ShotSpotter, Inc. (a),(b) | 500 | 13,740 | ||||||||
SP Plus Corp. (a),(b) | 2,900 | 60,175 | ||||||||
TriNet Group, Inc. (a),(b) | 9,100 | 342,706 |
See Notes to Consolidated Financial Statements.
22
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2020
Security Description | Shares | Value | ||||||||
Viad Corp. (b) | 5,500 | $ | 116,765 | |||||||
|
| |||||||||
3,273,931 | ||||||||||
|
| |||||||||
Construction Materials — 0.0% |
| |||||||||
Advanced Drainage Systems, Inc. | 10,000 | 294,400 | ||||||||
Forterra, Inc. (a),(b) | 4,700 | 28,106 | ||||||||
MDU Resources Group, Inc. | 56,100 | 1,206,150 | ||||||||
Summit Materials, Inc., Class A (a) | 11,081 | 166,215 | ||||||||
US Concrete, Inc. (a) | 100 | 1,814 | ||||||||
|
| |||||||||
1,696,685 | ||||||||||
|
| |||||||||
Consumer Products — 0.1% |
| |||||||||
Altria Group, Inc. (b) | 26,800 | 1,036,356 | ||||||||
Central Garden and Pet Co., Class A (a),(b) | 2,600 | 66,482 | ||||||||
Church & Dwight Co., Inc. | 99 | 6,354 | ||||||||
Coca-Cola Co. | 53,200 | 2,354,100 | ||||||||
Colgate-Palmolive Co. | 1,700 | 112,812 | ||||||||
elf Beauty, Inc. (a) | 3,800 | 37,392 | ||||||||
Farmer Brothers Co. (a),(b) | 1,800 | 12,528 | ||||||||
General Mills, Inc. | 3,100 | 163,587 | ||||||||
McCormick & Co., Inc. | 300 | 42,363 | ||||||||
MGP Ingredients, Inc. (b) | 300 | 8,067 | ||||||||
Mondelez International, Inc., Class A | 14,000 | 701,120 | ||||||||
Monster Beverage Corp. (a),(b) | 200 | 11,252 | ||||||||
Nu Skin Enterprises, Inc., Class A | 15,500 | 338,675 | ||||||||
PepsiCo, Inc. | 300 | 36,030 | ||||||||
Phibro Animal Health Corp., Class A (b) | 300 | 7,251 | ||||||||
Primo Water Corp. (a) | 35,055 | 323,810 | ||||||||
SunOpta, Inc. (a),(b) | 400 | 688 | ||||||||
Turning Point Brands, Inc. (b) | 400 | 8,444 | ||||||||
Veru, Inc. (a),(b) | 700 | 2,289 | ||||||||
|
| |||||||||
5,269,600 | ||||||||||
|
| |||||||||
Consumer Services — 0.0% |
| |||||||||
2U, Inc. (a) | 17,800 | 377,716 | ||||||||
Aaron’s, Inc. (b) | 3,600 | 82,008 | ||||||||
American Public Education, Inc. (a),(b) | 400 | 9,572 | ||||||||
Carriage Services, Inc. (b) | 2,500 | 40,375 | ||||||||
Perdoceo Education Corp (a) | 9,800 | 105,742 | ||||||||
Rosetta Stone, Inc. (a),(b) | 6,400 | 89,728 | ||||||||
WW International, Inc. (a),(b) | 16,100 | 272,251 | ||||||||
|
| |||||||||
977,392 | ||||||||||
|
| |||||||||
Containers & Packaging — 0.0% |
| |||||||||
Myers Industries, Inc. (b) | 1,800 | 19,350 | ||||||||
Sealed Air Corp. | 200 | 4,942 | ||||||||
|
| |||||||||
24,292 | ||||||||||
|
|
See Notes to Consolidated Financial Statements.
23
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2020
Security Description | Shares | Value | ||||||||
Design, Manufacturing & Distribution — 0.0% |
| |||||||||
Avnet, Inc. (b) | 18,900 | $ | 474,390 | |||||||
Celestica, Inc. (a),(b) | 300 | 1,050 | ||||||||
Flex Ltd. (a) | 102,900 | 861,787 | ||||||||
SYNNEX Corp. (a) | 36 | 2,632 | ||||||||
|
| |||||||||
1,339,859 | ||||||||||
|
| |||||||||
Distributors—Consumer Staples — 0.0% |
| |||||||||
Chefs’ Warehouse, Inc. (a),(b) | 2,400 | 24,168 | ||||||||
Performance Food Group Co. (a),(b) | 11,800 | 291,696 | ||||||||
United Natural Foods, Inc. (a) | 15,000 | 137,700 | ||||||||
US Foods Holding Corp. (a),(b) | 61,500 | 1,089,165 | ||||||||
|
| |||||||||
1,542,729 | ||||||||||
|
| |||||||||
Distributors—Discretionary — 0.0% |
| |||||||||
ScanSource, Inc. (a),(b) | 100 | 2,139 | ||||||||
Veritiv Corp. (a),(b) | 1,000 | 7,860 | ||||||||
|
| |||||||||
9,999 | ||||||||||
|
| |||||||||
Electric Utilities — 0.0% |
| |||||||||
PGE BACKSTOP PRIVATE EQUITY OFFERING (c),(a) | 93,104 | 837,005 | ||||||||
|
| |||||||||
Electrical Equipment — 0.0% |
| |||||||||
AO Smith Corp. | 3,600 | 136,116 | ||||||||
Bel Fuse, Inc., Class B (b) | 100 | 974 | ||||||||
Emerson Electric Co. | 100 | 4,765 | ||||||||
FARO Technologies, Inc. (a),(b) | 800 | 35,600 | ||||||||
LSI Industries, Inc. (b) | 3,300 | 12,474 | ||||||||
Powell Industries, Inc. (b) | 500 | 12,835 | ||||||||
SMART Global Holdings, Inc. (a),(b) | 6,500 | 157,950 | ||||||||
|
| |||||||||
360,714 | ||||||||||
|
| |||||||||
Engineering & Construction Services — 0.0% |
| |||||||||
Aegion Corp. (a),(b) | 400 | 7,172 | ||||||||
Dycom Industries, Inc. (a) | 8,800 | 225,720 | ||||||||
Exponent, Inc. | 700 | 50,337 | ||||||||
Fluor Corp. (b) | 39,200 | 270,872 | ||||||||
frontdoor, Inc. (a) | 7,350 | 255,633 | ||||||||
Iteris, Inc. (a),(b) | 2,600 | 8,320 | ||||||||
Mistras Group, Inc. (a),(b) | 2,800 | 11,928 | ||||||||
MYR Group, Inc. (a),(b) | 1,400 | 36,666 | ||||||||
Orion Group Holdings, Inc. (a),(b) | 5,500 | 14,300 | ||||||||
Sterling Construction Co., Inc. (a),(b) | 6,100 | 57,950 | ||||||||
Tutor Perini Corp. (a),(b) | 14,000 | 94,080 |
See Notes to Consolidated Financial Statements.
24
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2020
Security Description | Shares | Value | ||||||||
WillScot Corp. (a) | 10,500 | $ | 106,365 | |||||||
|
| |||||||||
1,139,343 | ||||||||||
|
| |||||||||
Forest & Paper Products — 0.0% |
| |||||||||
Resolute Forest Products, Inc. (b),(a) | 20,000 | 25,200 | ||||||||
Verso Corp., Class A (a) | 1,600 | 18,048 | ||||||||
|
| |||||||||
43,248 | ||||||||||
|
| |||||||||
Gaming, Lodging & Restaurants — 0.4% |
| |||||||||
BBX Capital Corp. (b) | 2,000 | 4,620 | ||||||||
Brinker International, Inc. | 600 | 7,206 | ||||||||
Carnival Corp. (b) | 30,000 | 395,100 | ||||||||
Carnival PLC, ADR | 11,000 | 131,230 | ||||||||
Cheesecake Factory, Inc. (The) | 6,800 | 116,144 | ||||||||
Cracker Barrel Old Country Store, Inc. | 6,700 | 557,574 | ||||||||
Del Taco Restaurants, Inc. (a),(b) | 10,300 | 35,329 | ||||||||
Denny’s Corp. (a),(b) | 15,600 | 119,808 | ||||||||
Dunkin’ Brands Group, Inc. (b) | 23,100 | 1,226,610 | ||||||||
Eldorado Resorts, Inc. (a) | 21,765 | 313,416 | ||||||||
Everi Holdings, Inc. (a) | 23,600 | 77,880 | ||||||||
Golden Entertainment, Inc. (a),(b) | 100 | 661 | ||||||||
Hyatt Hotels Corp., Class A | 8,400 | 402,360 | ||||||||
J Alexander’s Holdings, Inc. (a),(b) | 1,100 | 4,213 | ||||||||
Jack in the Box, Inc. | 2,500 | 87,625 | ||||||||
Lindblad Expeditions Holdings, Inc. (a),(b) | 9,200 | 38,364 | ||||||||
McDonald’s Corp. | 300 | 49,605 | ||||||||
MGM Resorts International (b) | 137,900 | 1,627,220 | ||||||||
Monarch Casino & Resort, Inc. (a),(b) | 2,600 | 72,982 | ||||||||
Noodles & Co. (a) | 10,000 | 47,100 | ||||||||
Papa John’s International, Inc. | 9,000 | 480,330 | ||||||||
Red Rock Resorts, Inc., Class A (b) | 900 | 7,695 | ||||||||
Restaurant Brands International, Inc. | 83,621 | 3,347,349 | ||||||||
Royal Caribbean Cruises Ltd. | 11,700 | 376,389 | ||||||||
Shake Shack, Inc., Class A (a) | 1,300 | 49,062 | ||||||||
Starbucks Corp. (b) | 162,000 | 10,649,880 | ||||||||
Texas Roadhouse, Inc. | 11,100 | 458,430 | ||||||||
Wendy’s Co. | 62,400 | 928,512 | ||||||||
Wingstop, Inc. | 8,200 | 653,540 | ||||||||
Yum! Brands, Inc. (b) | 3,600 | 246,708 | ||||||||
|
| |||||||||
22,512,942 | ||||||||||
|
| |||||||||
Hardware — 0.0% |
| |||||||||
A10 Networks, Inc. (a) | 8,500 | 52,785 | ||||||||
ADTRAN, Inc. | 400 | 3,072 | ||||||||
Airgain, Inc. (a),(b) | 100 | 739 | ||||||||
Anterix, Inc. (a),(b) | 2,400 | 109,608 |
See Notes to Consolidated Financial Statements.
25
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2020
Security Description | Shares | Value | ||||||||
AstroNova, Inc. (b) | 100 | $ | 776 | |||||||
CalAmp Corp. (a) | 3,200 | 14,400 | ||||||||
Casa Systems, Inc. (a) | 15,900 | 55,650 | ||||||||
Cisco Systems, Inc. | 4,600 | 180,826 | ||||||||
Clearfield, Inc. (a),(b) | 600 | 7,110 | ||||||||
Daktronics, Inc. (b) | 6,700 | 33,031 | ||||||||
Digi International, Inc. (a) | 2,100 | 20,034 | ||||||||
Dolby Laboratories, Inc., Class A | 7,300 | 395,733 | ||||||||
EMCORE Corp. (a),(b) | 2,800 | 6,272 | ||||||||
Extreme Networks, Inc. (a),(b) | 7,900 | 24,411 | ||||||||
InterDigital, Inc. | 800 | 35,704 | ||||||||
Juniper Networks, Inc. | 200 | 3,828 | ||||||||
LightPath Technologies, Inc., Class A (a),(b) | 600 | 642 | ||||||||
Motorola Solutions, Inc. | 500 | 66,460 | ||||||||
NetApp, Inc. | 200 | 8,338 | ||||||||
NETGEAR, Inc. (a) | 5,200 | 118,768 | ||||||||
Nutanix, Inc., Class A (a) | 400 | 6,320 | ||||||||
PC-Tel, Inc. (b) | 100 | 665 | ||||||||
PlayAGS, Inc. (a),(b) | 9,900 | 26,235 | ||||||||
Pure Storage, Inc., Class A (a),(b) | 53,200 | 654,360 | ||||||||
Ribbon Communications, Inc. (a),(b) | 11,100 | 33,633 | ||||||||
Sierra Wireless, Inc. (a) | 8,200 | 46,576 | ||||||||
Sonos, Inc. (a) | 21,100 | 178,928 | ||||||||
Vishay Precision Group, Inc. (a),(b) | 1,100 | 22,088 | ||||||||
Vocera Communications, Inc. (a) | 2,200 | 46,728 | ||||||||
VOXX International Corp. (a),(b) | 2,100 | 5,985 | ||||||||
Xerox Holdings Corp. (a) | 25 | 474 | ||||||||
|
| |||||||||
2,160,179 | ||||||||||
|
| |||||||||
Health Care Facilities & Services — 1.0% |
| |||||||||
Alphatec Holdings, Inc. (a),(b) | 4,400 | 15,180 | ||||||||
Amedisys, Inc. (a),(b) | 3,000 | 550,620 | ||||||||
Capricor Therapeutics, Inc. (a),(b) | 69 | 82 | ||||||||
Charles River Laboratories International, Inc. (a),(c),(b) | 104,548 | 13,195,003 | ||||||||
Community Health Systems, Inc. (a),(b) | 32,900 | 109,886 | ||||||||
Contura Energy, Inc. (a),(b) | 5,100 | 11,985 | ||||||||
CVS Health Corp. (c) | 208,070 | 12,344,793 | ||||||||
Encompass Health Corp. | 25,100 | 1,607,153 | ||||||||
Enzo Biochem, Inc. (a) | 3,700 | 9,361 | ||||||||
Fulgent Genetics, Inc. (a) | 600 | 6,456 | ||||||||
Humana, Inc. (c) | 21,670 | 6,804,813 | ||||||||
Iqvia Holdings, Inc. (a),(c) | 47,680 | 5,142,765 | ||||||||
Joint Corp. (The) (a),(b) | 500 | 5,425 | ||||||||
Laboratory Corp. of America Holdings (a),(c) | 8,010 | 1,012,384 | ||||||||
Magellan Health, Inc. (a) | 3,600 | 173,196 |
See Notes to Consolidated Financial Statements.
26
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2020
Security Description | Shares | Value | ||||||||
MEDNAX, Inc. (a),(b) | 4,000 | $ | 46,560 | |||||||
Natera, Inc. (a),(b) | 21,900 | 653,934 | ||||||||
Neuronetics, Inc. (a),(b) | 4,100 | 7,749 | ||||||||
Nevro Corp. (a),(c) | 107,180 | 10,715,857 | ||||||||
NextGen Healthcare, Inc. (a),(b) | 1,600 | 16,704 | ||||||||
Option Care Health, Inc. (a) | 25 | 237 | ||||||||
Owens & Minor, Inc. | 15,900 | 145,485 | ||||||||
Providence Service Corp. (a),(b) | 100 | 5,488 | ||||||||
Quorum Health Corp. (a) | 3,700 | 1,671 | ||||||||
RadNet, Inc. (a),(b) | 8,000 | 84,080 | ||||||||
SSR Mining, Inc. (a) | 700 | 7,966 | ||||||||
Tenet Healthcare Corp. (a) | 8,100 | 116,640 | ||||||||
Tivity Health, Inc. (a),(b) | 13,500 | 84,915 | ||||||||
Triple-S Management Corp., B Shares (a),(b) | 6,250 | 88,125 | ||||||||
UnitedHealth Group, Inc. (c) | 43,340 | 10,808,129 | ||||||||
Y-mAbs Therapeutics, Inc. (a),(b) | 600 | 15,660 | ||||||||
|
| |||||||||
63,788,302 | ||||||||||
|
| |||||||||
Home & Office Products — 0.0% |
| |||||||||
ACCO Brands Corp. | 13,900 | 70,195 | ||||||||
Armstrong Flooring, Inc. (a),(b) | 6,000 | 8,580 | ||||||||
Caesarstone Ltd. | 1,400 | 14,798 | ||||||||
DR Horton, Inc. (b) | 8,100 | 275,400 | ||||||||
Flexsteel Industries, Inc. (b) | 100 | 1,096 | ||||||||
Interface, Inc. (b) | 600 | 4,536 | ||||||||
iRobot Corp. (a) | 2,100 | 85,890 | ||||||||
JELD-WEN Holding, Inc. (a) | 500 | 4,865 | ||||||||
KB Home | 12,500 | 226,250 | ||||||||
Kimball International, Inc., Class B (b) | 2,600 | 30,966 | ||||||||
Libbey, Inc. (a),(b) | 300 | 153 | ||||||||
M/I Homes, Inc. (a) | 500 | 8,265 | ||||||||
New Home Co., Inc. (a),(b) | 200 | 274 | ||||||||
PulteGroup, Inc. | 200 | 4,464 | ||||||||
Select Interior Concepts, Inc., Class A (a),(b) | 300 | 621 | ||||||||
Stanley Black & Decker, Inc. | 4,000 | 400,000 | ||||||||
Steelcase, Inc., Class A | 6,700 | 66,129 | ||||||||
Taylor Morrison Home Corp., Class A (a) | 580 | 6,380 | ||||||||
Tempur Sealy International, Inc. (a) | 11,200 | 489,552 | ||||||||
Tupperware Brands Corp. (b) | 13,700 | 22,194 | ||||||||
|
| |||||||||
1,720,608 | ||||||||||
|
| |||||||||
Industrial Services — 0.0% |
| |||||||||
DXP Enterprises, Inc. (a),(b) | 300 | 3,678 | ||||||||
H&E Equipment Services, Inc. (b) | 4,100 | 60,188 | ||||||||
Harsco Corp. (a),(b) | 6,300 | 43,911 | ||||||||
Herc Holdings, Inc. (a),(b) | 1,054 | 21,565 | ||||||||
Resideo Technologies, Inc. (a) | 34,400 | 166,496 |
See Notes to Consolidated Financial Statements.
27
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2020
Security Description | Shares | Value | ||||||||
Ritchie Bros Auctioneers, Inc. | 1,000 | $ | 34,180 | |||||||
Titan Machinery, Inc. (a),(b) | 4,700 | 40,843 | ||||||||
WESCO International, Inc. (a) | 3,500 | 79,975 | ||||||||
|
| |||||||||
450,836 | ||||||||||
|
| |||||||||
Institutional Financial Services — 0.0% |
| |||||||||
Intercontinental Exchange, Inc. | 300 | 24,225 | ||||||||
|
| |||||||||
Insurance — 0.0% |
| |||||||||
Allstate Corp. (b) | 1 | 92 | ||||||||
AMERISAFE, Inc. (b) | 700 | 45,129 | ||||||||
Assured Guaranty Ltd. (b) | 3,000 | 77,370 | ||||||||
Atlas Financial Holdings, Inc. (a),(b) | 2,400 | 768 | ||||||||
Crawford & Co., Class B (b) | 100 | 639 | ||||||||
Hallmark Financial Services, Inc. (a),(b) | 200 | 808 | ||||||||
Hanover Insurance Group, Inc. | 2,500 | 226,450 | ||||||||
Kingstone Cos., Inc. (b) | 1,500 | 7,665 | ||||||||
Maiden Holdings Ltd. (b) | 8,300 | 7,553 | ||||||||
NMI Holdings, Inc., Class A (a) | 900 | 10,449 | ||||||||
Old Republic International Corp. | 100 | 1,525 | ||||||||
Protective Insurance Corp., Class B (b) | 600 | 8,250 | ||||||||
Selective Insurance Group, Inc. (b) | 500 | 24,850 | ||||||||
Third Point Reinsurance Ltd. (a) | 500 | 3,705 | ||||||||
Universal Insurance Holdings, Inc. | 700 | 12,544 | ||||||||
Unum Group | 56,800 | 852,568 | ||||||||
|
| |||||||||
1,280,365 | ||||||||||
|
| |||||||||
Iron & Steel — 0.0% |
| |||||||||
Allegheny Technologies, Inc. (a),(b) | 19,300 | 164,050 | ||||||||
Carpenter Technology Corp. (a) | 100 | 1,950 | ||||||||
Northwest Pipe Co. (a),(b) | 1,200 | 26,700 | ||||||||
Ryerson Holding Corp. (a),(b) | 600 | 3,192 | ||||||||
Shiloh Industries, Inc. (a),(b) | 600 | 750 | ||||||||
SunCoke Energy, Inc. (b) | 1,600 | 6,160 | ||||||||
United States Steel Corp. | 600 | 3,786 | ||||||||
|
| |||||||||
206,588 | ||||||||||
|
| |||||||||
Leisure Products — 0.0% |
| |||||||||
Clarus Corp. (b) | 2,500 | 24,500 | ||||||||
Funko, Inc., Class A (a),(b) | 5,600 | 22,344 | ||||||||
Hasbro, Inc. | 100 | 7,155 | ||||||||
JAKKS Pacific, Inc. (a),(b) | 1,900 | 663 | ||||||||
Malibu Boats, Inc., Class A (a) | 1,700 | 48,943 | ||||||||
MasterCraft Boat Holdings, Inc. (a),(b) | 3,600 | 26,280 | ||||||||
Nautilus, Inc. (a),(b) | 8,300 | 21,663 | ||||||||
Polaris Industries, Inc. | 300 | 14,445 |
See Notes to Consolidated Financial Statements.
28
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2020
Security Description | Shares | Value | ||||||||
Vista Outdoor, Inc. (a) | 10,700 | $ | 94,160 | |||||||
|
| |||||||||
260,153 | ||||||||||
|
| |||||||||
Machinery — 0.0% |
| |||||||||
Albany International Corp., Class A | 300 | 14,199 | ||||||||
Briggs & Stratton Corp. | 11,800 | 21,358 | ||||||||
Cactus, Inc. (b) | 1,400 | 16,240 | ||||||||
Columbus McKinnon Corp. (b) | 1,000 | 25,000 | ||||||||
Crane Co. | 100 | 4,918 | ||||||||
Graham Corp. (b) | 500 | 6,450 | ||||||||
Hillenbrand, Inc. | 15,616 | 298,422 | ||||||||
Hyster-Yale Materials Handling, Inc. (b) | 200 | 8,018 | ||||||||
Manitowoc Co., Inc. (The) (a),(b) | 250 | 2,125 | ||||||||
Rexnord Corp. | 3,200 | 72,544 | ||||||||
Titan International, Inc. (b) | 300 | 465 | ||||||||
Welbilt, Inc. (a),(b) | 11,900 | 61,047 | ||||||||
|
| |||||||||
530,786 | ||||||||||
|
| |||||||||
Manufactured Goods — 0.0% |
| |||||||||
Core Molding Technologies, Inc. (b),(a) | 300 | 462 | ||||||||
Gibraltar Industries, Inc. (a) | 6,500 | 278,980 | ||||||||
Insteel Industries, Inc. (b) | 2,500 | 33,125 | ||||||||
LB Foster Co., Class A (a),(b) | 1,000 | 12,360 | ||||||||
Raven Industries, Inc. (b) | 500 | 10,615 | ||||||||
|
| |||||||||
335,542 | ||||||||||
|
| |||||||||
Media — 0.2% |
| |||||||||
Altice USA, Inc., Class A (a),(b) | 300 | 6,687 | ||||||||
ANGI Homeservices, Inc., Class A (a) | 22,200 | 116,550 | ||||||||
AutoWeb, Inc. (a),(b) | 900 | 918 | ||||||||
Boingo Wireless, Inc. (a) | 12,300 | 130,503 | ||||||||
Booking Holdings, Inc. (a),(b) | 1 | 1,345 | ||||||||
Cargurus, Inc. (a) | 25,700 | 486,758 | ||||||||
Cars.com, Inc. (a),(b) | 18,700 | 80,410 | ||||||||
Central European Media Enterprises Ltd., A Shares (a) | 4,600 | 14,398 | ||||||||
Charter Communications, Inc., Class A (a),(b) | 10,140 | 4,424,183 | ||||||||
Comcast Corp., Class A | 900 | 30,942 | ||||||||
Entravision Communications Corp., Class A (b) | 1,200 | 2,436 | ||||||||
Eventbrite, Inc., Class A (a),(b) | 16,500 | 120,450 | ||||||||
EverQuote, Inc., Class A (a),(b) | 4,500 | 118,125 | ||||||||
Expedia, Inc. | 584 | 32,862 | ||||||||
Fluent, Inc. (a),(b) | 3,115 | 3,645 | ||||||||
GoDaddy, Inc., Class A (a) | 27,100 | 1,547,681 | ||||||||
GrubHub, Inc. (a) | 25,700 | 1,046,761 | ||||||||
IMAX Corp. (a),(b) | 4,400 | 39,820 |
See Notes to Consolidated Financial Statements.
29
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2020
Security Description | Shares | Value | ||||||||
iMedia Brands, Inc. (a),(b) | 170 | $ | 318 | |||||||
Liberty TripAdvisor Holdings, Inc., Class A (a) | 19,600 | 35,280 | ||||||||
Lions Gate Entertainment Corp., Class A (a) | 8,400 | 51,072 | ||||||||
Marchex, Inc., Class B (b) | 4,500 | 6,525 | ||||||||
Marin Software, Inc. (a),(b) | 442 | 530 | ||||||||
MDC Partners, Inc., Class A (a),(b) | 500 | 725 | ||||||||
National CineMedia, Inc. (b) | 4,800 | 15,648 | ||||||||
Points International Ltd. (a),(b) | 2,000 | 16,460 | ||||||||
Rubicon Project, Inc. (a) | 15,400 | 85,470 | ||||||||
Shutterstock, Inc. | 100 | 3,216 | ||||||||
Sirius XM Holdings, Inc. | 1,500 | 7,410 | ||||||||
Stamps.com, Inc. (a) | 4,700 | 611,376 | ||||||||
TechTarget, Inc. (a) | 1,200 | 24,732 | ||||||||
Townsquare Media, Inc., Class A (b) | 100 | 461 | ||||||||
Travelzoo, Inc. (a),(b) | 100 | 393 | ||||||||
TripAdvisor, Inc. | 34,500 | 599,955 | ||||||||
TrueCar, Inc. (a),(b) | 29,900 | 72,358 | ||||||||
Upwork, Inc. (a),(b) | 31,900 | 205,755 | ||||||||
Yelp, Inc. (a) | 16,500 | 297,495 | ||||||||
Zillow Group, Inc. (a),(b) | 18 | 612 | ||||||||
|
| |||||||||
10,240,265 | ||||||||||
|
| |||||||||
Medical Equipment & Devices — 0.7% |
| |||||||||
Accelerate Diagnostics, Inc. (a),(b) | 600 | 4,998 | ||||||||
Accuray, Inc. (a) | 4,300 | 8,170 | ||||||||
AngioDynamics, Inc. (a) | 3,000 | 31,290 | ||||||||
AxoGen, Inc. (a),(b) | 1,100 | 11,440 | ||||||||
Baxter International, Inc. (b) | 200 | 16,238 | ||||||||
Boston Scientific Corp. (a) | 2,400 | 78,312 | ||||||||
CareDx, Inc. (a) | 8,900 | 194,287 | ||||||||
Cutera, Inc. (a),(b) | 4,000 | 52,240 | ||||||||
CytoSorbents Corp. (a) | 4,600 | 35,558 | ||||||||
Edwards Lifesciences Corp. (a) | 99 | 18,673 | ||||||||
Fluidigm Corp. (a) | 20,000 | 50,800 | ||||||||
FONAR Corp. (a),(b) | 300 | 4,386 | ||||||||
GenMark Diagnostics, Inc. (a) | 5,700 | 23,484 | ||||||||
Glaukos Corp. (a) | 36 | 1,111 | ||||||||
Haemonetics Corp. (a),(c) | 111,117 | 11,073,920 | ||||||||
Harvard Bioscience, Inc. (a),(b) | 4,300 | 9,503 | ||||||||
Hologic, Inc. (a) | 52,500 | 1,842,750 | ||||||||
Inogen, Inc. (a) | 6,100 | 315,126 | ||||||||
Invacare Corp. | 1,200 | 8,916 | ||||||||
Lantheus Holdings, Inc. (a) | 11,100 | 141,636 | ||||||||
Medtronic PLC (c) | 65,020 | 5,863,504 | ||||||||
Meridian Bioscience, Inc. (b) | 1,100 | 9,240 | ||||||||
Myriad Genetics, Inc. (a) | 1,100 | 15,741 |
See Notes to Consolidated Financial Statements.
30
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2020
Security Description | Shares | Value | ||||||||
NanoString Technologies, Inc. (a) | 2,900 | $ | 69,745 | |||||||
Neogen Corp. (a) | 7 | 469 | ||||||||
Novocure Ltd. (a) | 19,400 | 1,306,396 | ||||||||
OPKO Health, Inc. (a) | 12,863 | 17,236 | ||||||||
OraSure Technologies, Inc. (a) | 17,300 | 186,148 | ||||||||
Orthofix Medical, Inc. (a),(b) | 3,500 | 98,035 | ||||||||
Oxford Immunotec Global PLC (a),(b) | 4,500 | 41,670 | ||||||||
Quotient Ltd. (a),(b) | 9,300 | 36,735 | ||||||||
RTI Surgical Holdings, Inc. (a),(b) | 5,700 | 9,747 | ||||||||
SeaSpine Holdings Corp. (a),(b) | 2,000 | 16,340 | ||||||||
Sientra, Inc. (a) | 3,700 | 7,363 | ||||||||
Surmodics, Inc. (a),(b) | 2,000 | 66,640 | ||||||||
Teleflex, Inc. (c),(b) | 49,120 | 14,385,283 | ||||||||
Thermo Fisher Scientific, Inc. (c) | 8,670 | 2,458,812 | ||||||||
TransEnterix, Inc. (a),(b) | 1,070 | 377 | ||||||||
Veracyte, Inc. (a) | 2,800 | 68,068 | ||||||||
Vericel Corp. (a) | 3,200 | 29,344 | ||||||||
Zimmer Biomet Holdings, Inc. (c) | 82,360 | 8,324,949 | ||||||||
|
| |||||||||
46,934,680 | ||||||||||
|
| |||||||||
Metals & Mining — 0.1% |
| |||||||||
Agnico Eagle Mines Ltd. | 900 | 35,811 | ||||||||
Alamos Gold, Inc., Class A | 30,854 | 154,270 | ||||||||
Alcoa Corp. (a),(b) | 52,001 | 320,326 | ||||||||
B2Gold Corp. (b) | 17,900 | 54,774 | ||||||||
Coeur Mining, Inc. (a) | 1,436 | 4,610 | ||||||||
Constellium SE (a) | 28,100 | 146,401 | ||||||||
Eldorado Gold Corp. (a) | 42,240 | 260,621 | ||||||||
Ferroglobe PLC (a),(b) | 7,900 | 3,595 | ||||||||
Freeport-McMoRan, Inc. | 200 | 1,350 | ||||||||
Gold Resource Corp. | 200 | 550 | ||||||||
Hecla Mining Co. | 1,381 | 2,513 | ||||||||
HudBay Minerals, Inc. | 1,100 | 2,090 | ||||||||
IAMGOLD Corp. (a),(b) | 65,900 | 150,252 | ||||||||
Kinross Gold Corp. (a),(b) | 45,600 | 181,488 | ||||||||
New Gold, Inc. (a),(b) | 83,400 | 42,584 | ||||||||
Newmont Mining Corp. | 32 | 1,449 | ||||||||
Pretium Resources, Inc. (a) | 1,100 | 6,237 | ||||||||
Royal Gold, Inc. (b) | 12,800 | 1,122,688 | ||||||||
Sandstorm Gold Ltd. (a) | 25,600 | 128,256 | ||||||||
Silvercorp Metals, Inc. | 400 | 1,308 | ||||||||
Taseko Mines Ltd. (a),(b) | 4,000 | 1,068 | ||||||||
Teck Resources Ltd., B Shares(b) | 27,200 | 205,632 | ||||||||
|
| |||||||||
2,827,873 | ||||||||||
|
|
See Notes to Consolidated Financial Statements.
31
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2020
Security Description | Shares | Value | ||||||||
Oil, Gas & Coal — 0.2% |
| |||||||||
Abraxas Petroleum Corp. (a),(b) | 46,800 | $ | 5,663 | |||||||
Amplify Energy Corp. (b) | 966 | 547 | ||||||||
Antero Resources Corp. (a) | 13,300 | 9,481 | ||||||||
Apache Corp. | 2,400 | 10,032 | ||||||||
Apergy Corp. (a),(b) | 7,300 | 41,975 | ||||||||
Archrock, Inc. (b) | 4,200 | 15,792 | ||||||||
Baker Hughes a GE Co. | 100 | 1,050 | ||||||||
Blackhawk Mining LLC (c),(d),(a) | 2,769 | 175,369 | ||||||||
Cabot Oil & Gas Corp. | 100 | 1,719 | ||||||||
California Resources Corp. (a) | 5,290 | 5,290 | ||||||||
Callon Petroleum Co. (a) | 925 | 507 | ||||||||
Cenovus Energy, Inc. (b) | 15,900 | 32,118 | ||||||||
Centennial Resource Development, Inc., Class A (a),(b) | 77,200 | 20,304 | ||||||||
Chevron Corp. (b) | 300 | 21,738 | ||||||||
Cimarex Energy Co. | 19 | 320 | ||||||||
Clean Energy Fuels Corp. (a) | 2,900 | 5,162 | ||||||||
Concho Resources, Inc. | 12,700 | 544,195 | ||||||||
CONSOL Energy, Inc. (a),(b) | 5,300 | 19,557 | ||||||||
Continental Resources, Inc. (b) | 102,200 | 780,808 | ||||||||
Core Laboratories NV (b) | 8,400 | 86,856 | ||||||||
Crescent Point Energy Corp. (b) | 6,400 | 4,921 | ||||||||
CVR Energy, Inc. (b) | 2,600 | 42,978 | ||||||||
Dawson Geophysical Co. (a),(b) | 882 | 858 | ||||||||
Denbury Resources, Inc. (a),(b) | 6,900 | 1,274 | ||||||||
Devon Energy Corp. | 100 | 691 | ||||||||
Diamond Offshore Drilling, Inc. (a),(b) | 38,500 | 70,455 | ||||||||
Enerplus Corp. (b) | 12,300 | 18,204 | ||||||||
EnLink Midstream LLC (b) | 11,500 | 12,650 | ||||||||
EOG Resources, Inc. (b) | 162,900 | 5,851,368 | ||||||||
EQT Corp. (a) | 49,800 | 352,086 | ||||||||
Evolution Petroleum Corp. (b) | 3,900 | 10,179 | ||||||||
Falcon Minerals Corp. (b) | 1,400 | 3,010 | ||||||||
Forum Energy Technologies, Inc. (a),(b) | 29,500 | 5,230 | ||||||||
Gran Tierra Energy, Inc. (a),(b) | 8,000 | 2,006 | ||||||||
Gulf Island Fabrication, Inc. (a),(b) | 1,300 | 3,900 | ||||||||
Hallador Energy Co. (b) | 1,400 | 1,328 | ||||||||
Halliburton Co. | 100 | 685 | ||||||||
Helix Energy Solutions Group, Inc. (a),(b) | 7,400 | 12,136 | ||||||||
Helmerich & Payne, Inc. | 21,900 | 342,735 | ||||||||
HollyFrontier Corp. | 4,100 | 100,491 | ||||||||
Independence Contract Drilling, Inc. (a) | 240 | 336 | ||||||||
ION Geophysical Corp. (a) | 200 | 254 | ||||||||
Kinder Morgan, Inc. (a) | 100 | 1,392 | ||||||||
KLX Energy Services Holdings, Inc. (a),(b) | 1,000 | 700 |
See Notes to Consolidated Financial Statements.
32
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2020
Security Description | Shares | Value | ||||||||
Kosmos Energy Ltd. (b) | 113,400 | $ | 101,561 | |||||||
Magnolia Oil & Gas Corp., Class A (a),(b) | 17,300 | 69,200 | ||||||||
Mammoth Energy Services, Inc. | 10,100 | 7,563 | ||||||||
Marathon Oil Corp. | 87,100 | 286,559 | ||||||||
Marathon Petroleum Corp. (c),(b) | 27,700 | 654,274 | ||||||||
Matador Resources Co. (a),(b) | 32,600 | 80,848 | ||||||||
Matrix Service Co. (a),(b) | 3,800 | 35,986 | ||||||||
MRC Global, Inc. (a),(b) | 4,100 | 17,466 | ||||||||
NACCO Industries, Inc., Class A (b) | 100 | 2,798 | ||||||||
Natural Gas Services Group, Inc. (a),(b) | 1,200 | 5,352 | ||||||||
Newpark Resources, Inc. (a),(b) | 5,900 | 5,292 | ||||||||
NexTier Oilfield Solutions, Inc. (a),(b) | 7,046 | 8,244 | ||||||||
Nine Energy Service, Inc. (a),(b) | 900 | 727 | ||||||||
NOW, Inc. (a) | 14,700 | 75,852 | ||||||||
Oasis Petroleum, Inc. (a),(b) | 90,600 | 31,710 | ||||||||
Occidental Petroleum Corp. (a) | 38 | 440 | ||||||||
Oceaneering International, Inc. (a),(b) | 8,700 | 25,578 | ||||||||
Oil States International, Inc. (a),(b) | 5,500 | 11,165 | ||||||||
ONEOK, Inc. | 500 | 10,905 | ||||||||
Ovintiv, Inc. (b) | 72,718 | 196,338 | ||||||||
Panhandle Oil and Gas, Inc., Class A (b) | 1,300 | 4,797 | ||||||||
Parsley Energy, Inc., Class A | 105,634 | 605,283 | ||||||||
Patterson-UTI Energy, Inc. | 53,800 | 126,430 | ||||||||
PBF Energy, Inc., Class A (b) | 3,800 | 26,904 | ||||||||
PDC Energy, Inc. (a),(b) | 4,884 | 30,330 | ||||||||
Peabody Energy Corp. (b) | 27,100 | 78,590 | ||||||||
Pioneer Natural Resources Co. | 11,000 | 771,650 | ||||||||
Precision Drilling Corp. (a),(b) | 1,200 | 376 | ||||||||
QEP Resources, Inc. (a),(b) | 67,800 | 22,679 | ||||||||
Range Resources Corp. (a) | 13 | 30 | ||||||||
RPC, Inc. (a),(b) | 14,200 | 29,252 | ||||||||
SandRidge Energy, Inc. (a),(b) | 10,000 | 8,991 | ||||||||
Schlumberger Ltd. (a) | 600 | 8,094 | ||||||||
SM Energy Co. (b) | 19,600 | 23,912 | ||||||||
TransGlobe Energy Corp. (b) | 1,500 | 540 | ||||||||
Transocean Ltd. (a),(b) | 171,433 | 198,862 | ||||||||
TravelCenters of America, Inc. (a),(b) | 740 | 7,233 | ||||||||
Unit Corp. (a),(b) | 15,500 | 4,030 | ||||||||
Valaris plc | 1,300 | 585 | ||||||||
Vermilion Energy, Inc. (a),(b) | 9,200 | 28,612 | ||||||||
Whiting Petroleum Corp. (a),(b) | 25,614 | 17,172 | ||||||||
WPX Energy, Inc. (a),(b) | 55,900 | 170,495 | ||||||||
|
| |||||||||
12,411,055 | ||||||||||
|
| |||||||||
Passenger Transportation — 0.0% |
| |||||||||
American Airlines Group, Inc. (a) | 4,800 | 58,512 |
See Notes to Consolidated Financial Statements.
33
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2020
Security Description | Shares | Value | ||||||||
JetBlue Airways Corp. (a) | 300 | $ | 2,685 | |||||||
Southwest Airlines Co. (a) | 400 | 14,244 | ||||||||
|
| |||||||||
75,441 | ||||||||||
|
| |||||||||
Real Estate — 0.4% |
| |||||||||
Acadia Realty Trust | 200 | 2,478 | ||||||||
Agree Realty Corp. | 2,100 | 129,990 | ||||||||
Armada Hoffler Properties, Inc. (b) | 3,100 | 33,170 | ||||||||
Ashford Hospitality Trust, Inc. (b) | 9,300 | 6,875 | ||||||||
AvalonBay Communities, Inc. (c),(b) | 1,339 | 197,061 | ||||||||
Bluerock Residential Growth REIT, Inc. (b) | 3,700 | 20,609 | ||||||||
Boston Properties, Inc. (c),(b) | 1,434 | 132,258 | ||||||||
CareTrust REIT, Inc. (b) | 6,200 | 91,698 | ||||||||
CBL & Associates Properties, Inc. (b) | 4,200 | 840 | ||||||||
Cedar Realty Trust, Inc. (b) | 2,400 | 2,239 | ||||||||
City Office REIT, Inc. (b) | 12,500 | 90,375 | ||||||||
Colliers International Group, Inc. | 1,100 | 52,811 | ||||||||
Columbia Property Trust, Inc. | 300 | 3,750 | ||||||||
CorEnergy Infrastructure Trust, Inc. (b) | 1,800 | 33,084 | ||||||||
CorePoint Lodging, Inc. (b) | 400 | 1,568 | ||||||||
Digital Realty Trust, Inc. (c),(b) | 2,690 | 373,668 | ||||||||
Diversified Healthcare Trust (b) | 3,000 | 10,890 | ||||||||
EPR Properties (b) | 22,000 | 532,840 | ||||||||
Equinix, Inc. (c),(b) | 675 | 421,585 | ||||||||
Equity Residential (c),(b) | 3,890 | 240,052 | ||||||||
Essex Property Trust, Inc. (c),(b) | 8,480 | 1,867,635 | ||||||||
Gaming and Leisure Properties, Inc. | 60,145 | 1,666,618 | ||||||||
Getty Realty Corp. (b) | 300 | 7,122 | ||||||||
Gladstone Commercial Corp. (b) | 9,600 | 137,856 | ||||||||
Gladstone Land Corp. (b) | 3,500 | 41,475 | ||||||||
Global Medical REIT, Inc. | 12,300 | 124,476 | ||||||||
Healthpeak Properties, Inc. (c),(b) | 12,029 | 286,892 | ||||||||
Host Hotels & Resorts, Inc. (c),(b) | 14,101 | 155,675 | ||||||||
Innovative Industrial Properties, Inc. (b) | 8 | 607 | ||||||||
JBG SMITH Properties (c),(b) | 538 | 17,125 | ||||||||
Lexington Realty Trust | 15,500 | 153,915 | ||||||||
LTC Properties, Inc. (b) | 900 | 27,810 | ||||||||
Macerich Co. | 2,500 | 14,075 | ||||||||
McGrath RentCorp (b) | 2,300 | 120,474 | ||||||||
Monmouth Real Estate Investment Corp., Class A | 19,900 | 239,795 | ||||||||
National Health Investors, Inc. | 11,900 | 589,288 | ||||||||
National Retail Properties, Inc. | 16,500 | 531,135 | ||||||||
Newmark Group, Inc., Class A | 23,200 | 98,600 | ||||||||
Omega Healthcare Investors, Inc. (b) | 35,647 | 946,071 | ||||||||
Paramount Group, Inc. | 16,300 | 143,440 | ||||||||
Prologis, Inc. (c),(b) | 5,522 | 443,803 |
See Notes to Consolidated Financial Statements.
34
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2020
Security Description | Shares | Value | ||||||||
Public Storage (c),(b) | 1,544 | $ | 306,654 | |||||||
Realogy Holdings Corp. | 32,200 | 96,922 | ||||||||
Realty Income Corp. (c),(b) | 28,081 | 1,400,119 | ||||||||
Redfin Corp. (a) | 1 | 15 | ||||||||
Retail Opportunity Investments Corp. | 32,700 | 271,083 | ||||||||
Retail Properties of America, Inc., Class A (b) | 10,900 | 56,353 | ||||||||
RMR Group, Inc. (The), Class A | 1,700 | 45,849 | ||||||||
Ryman Hospitality Properties, Inc. (b) | 3,500 | 125,475 | ||||||||
Sabra Health Care REIT, Inc. | 510 | 5,569 | ||||||||
SBA Communications Corp. (b) | 14,200 | 3,833,574 | ||||||||
Simon Property Group, Inc. (c),(b) | 89,079 | 4,886,874 | ||||||||
SITE Centers Corp. | 250 | 1,303 | ||||||||
Spirit Realty Capital, Inc. | 24,400 | 638,060 | ||||||||
STORE Capital Corp. (b) | 68,300 | 1,237,596 | ||||||||
Sunstone Hotel Investors, Inc. (b) | 33 | 287 | ||||||||
Tanger Factory Outlet Centers, Inc. (a) | 400 | 2,000 | ||||||||
Uniti Group, Inc. | 54,100 | 326,223 | ||||||||
Ventas, Inc. (c),(b) | 3,611 | 96,775 | ||||||||
Vornado Realty Trust (c),(b) | 1,650 | 59,746 | ||||||||
Welltower, Inc. (c),(b) | 3,676 | 168,287 | ||||||||
WP Carey, Inc. (b) | 3,600 | 209,088 | ||||||||
|
| |||||||||
23,759,580 | ||||||||||
|
| |||||||||
Recreation Facilities & Services — 0.0% |
| |||||||||
Cinemark Holdings, Inc. (b) | 32,800 | 334,232 | ||||||||
Live Nation Entertainment, Inc. (a) | 17,200 | 781,912 | ||||||||
Marcus Corp. (b) | 5,900 | 72,688 | ||||||||
OneSpaWorld Holdings Ltd. (b) | 8,000 | 32,480 | ||||||||
Planet Fitness, Inc., Class A (a) | 16,000 | 779,200 | ||||||||
Six Flags Entertainment Corp. | 23,700 | 297,198 | ||||||||
Town Sports International Holdings, Inc. (a),(b) | 500 | 250 | ||||||||
|
| |||||||||
2,297,960 | ||||||||||
|
| |||||||||
Renewable Energy — 0.0% |
| |||||||||
Ameresco, Inc., Class A (a) | 100 | 1,703 | ||||||||
Canadian Solar, Inc. (a) | 500 | 7,955 | ||||||||
FutureFuel Corp. (b) | 600 | 6,762 | ||||||||
SolarEdge Technologies, Inc. (a) | 200 | 16,376 | ||||||||
SunPower Corp. (a) | 46,000 | 233,220 | ||||||||
Sunrun, Inc. (a) | 33,400 | 337,340 | ||||||||
Sunworks, Inc. (a),(b) | 43 | 16 | ||||||||
Vivint Solar, Inc. (a),(b) | 5,600 | 24,472 | ||||||||
|
| |||||||||
627,844 | ||||||||||
|
| |||||||||
Retail—Consumer Staples — 0.1% |
| |||||||||
Costco Wholesale Corp. | 2,800 | 798,364 |
See Notes to Consolidated Financial Statements.
35
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2020
Security Description | Shares | Value | ||||||||
Dollar General Corp. (b) | 30,201 | $ | 4,560,653 | |||||||
Dollar Tree, Inc. (a) | 20,100 | 1,476,747 | ||||||||
Ingles Markets, Inc., Class A (b) | 300 | 10,848 | ||||||||
Natural Grocers by Vitamin Cottage, Inc. (b) | 400 | 3,404 | ||||||||
SpartanNash Co. | 6,800 | 97,376 | ||||||||
Target Corp. | 20,100 | 1,868,697 | ||||||||
Walgreens Boots Alliance, Inc. | 300 | 13,725 | ||||||||
|
| |||||||||
8,829,814 | ||||||||||
|
| |||||||||
Retail—Discretionary — 0.6% |
| |||||||||
1-800-Flowers.com, Inc., Class A (a) | 4,500 | 59,535 | ||||||||
Abercrombie & Fitch Co., Class A | 17,400 | 158,166 | ||||||||
Amazon.com, Inc. (a),(c),(b) | 10,317 | 20,115,261 | ||||||||
At Home Group, Inc. (a),(b) | 17,900 | 36,158 | ||||||||
Avis Budget Group, Inc. (a) | 1,000 | 13,900 | ||||||||
Bassett Furniture Industries, Inc. (b) | 1,100 | 5,995 | ||||||||
Build-A-Bear Workshop, Inc. (a),(b) | 4,200 | 6,006 | ||||||||
Builders FirstSource, Inc. (a) | 31,300 | 382,799 | ||||||||
Citi Trends, Inc. (b) | 3,200 | 28,480 | ||||||||
Conn’s, Inc. (a),(b) | 4,700 | 19,646 | ||||||||
Container Store Group, Inc. (a) | 500 | 1,180 | ||||||||
Dick’s Sporting Goods, Inc. | 16,800 | 357,168 | ||||||||
Duluth Holdings, Inc., Class B (a),(b) | 8,200 | 32,882 | ||||||||
Etsy, Inc. (a),(b) | 30,600 | 1,176,264 | ||||||||
Ezcorp, Inc., Class A (a) | 2,700 | 11,259 | ||||||||
Foundation Building Materials, Inc. (a) | 8,350 | 85,922 | ||||||||
Francesca’s Holdings Corp. (a),(b) | 374 | 849 | ||||||||
Freshpet, Inc. (a) | 1,600 | 102,192 | ||||||||
Gap, Inc. (a) | 100 | 704 | ||||||||
Home Depot, Inc. (b) | 57,000 | 10,642,470 | ||||||||
J. Jill, Inc. (b) | 1,600 | 884 | ||||||||
Kirkland’s, Inc. (a) | 3,800 | 2,943 | ||||||||
Kohl’s Corp. | 43,400 | 633,206 | ||||||||
Liquidity Services, Inc. (a),(b) | 1,900 | 7,372 | ||||||||
Lowe’s Cos., Inc. (b) | 11,800 | 1,015,390 | ||||||||
Macy’s, Inc. (a) | 86,500 | 424,715 | ||||||||
National Vision Holdings, Inc. (a) | 3,300 | 64,086 | ||||||||
Nordstrom, Inc. (a),(b) | 1 | 15 | ||||||||
Party City Holdco, Inc. (a),(b) | 26,400 | 12,099 | ||||||||
Qurate Retail, Inc., Class A (a) | 73,534 | 448,925 | ||||||||
Signet Jewelers Ltd. (a) | 700 | 4,515 | ||||||||
Tailored Brands, Inc. | 13,500 | 23,490 | ||||||||
Tractor Supply Co. | 600 | 50,730 | ||||||||
Tuesday Morning Corp. (a),(b) | 1,200 | 691 | ||||||||
|
| |||||||||
35,925,897 | ||||||||||
|
|
See Notes to Consolidated Financial Statements.
36
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2020
Security Description | Shares | Value | ||||||||
Semiconductors — 0.1% |
| |||||||||
Advanced Micro Devices, Inc. (a) | 600 | $ | 27,288 | |||||||
Alpha & Omega Semiconductor Ltd. (a),(b) | 400 | 2,564 | ||||||||
Amkor Technology, Inc. (a) | 23,100 | 179,949 | ||||||||
Amtech Systems, Inc. (a),(b) | 100 | 435 | ||||||||
Axcelis Technologies, Inc. (a) | 2,950 | 54,014 | ||||||||
AXT, Inc. (a),(b) | 1,000 | 3,210 | ||||||||
CEVA, Inc. (a),(b) | 3,900 | 97,227 | ||||||||
Data I/O Corp. (a),(b) | 100 | 281 | ||||||||
DSP Group, Inc. (a),(b) | 1,900 | 25,460 | ||||||||
Impinj, Inc. (a),(b) | 6,200 | 103,602 | ||||||||
Intel Corp. | 1,900 | 102,828 | ||||||||
KLA Corp. | 25 | 3,594 | ||||||||
MACOM Technology Solutions Holdings, Inc. (a) | 1,432 | 27,108 | ||||||||
MaxLinear, Inc., Class A (a),(b) | 500 | 5,835 | ||||||||
Onto Innovation, Inc. (a),(b) | 21 | 623 | ||||||||
Photronics, Inc. (a) | 100 | 1,026 | ||||||||
Pixelworks, Inc. (a) | 8,300 | 23,655 | ||||||||
Rambus, Inc. (a) | 14,000 | 155,400 | ||||||||
Teradyne, Inc. (b) | 30,700 | 1,663,019 | ||||||||
Texas Instruments, Inc. | 6,700 | 669,531 | ||||||||
Veeco Instruments, Inc. (a),(b) | 6,030 | 57,707 | ||||||||
Xilinx, Inc. | 1,500 | 116,910 | ||||||||
|
| |||||||||
3,321,266 | ||||||||||
|
| |||||||||
Software — 0.3% |
| |||||||||
Agilysys, Inc. (a),(b) | 3,100 | 51,770 | ||||||||
Autodesk, Inc. (a),(b) | 8,300 | 1,295,630 | ||||||||
Avid Technology, Inc. (a) | 9,900 | 66,627 | ||||||||
Benefitfocus, Inc. (a),(b) | 9,100 | 81,081 | ||||||||
Blackline, Inc. (a) | 5,200 | 273,572 | ||||||||
Box, Inc., Class A (a) | 42,100 | 591,084 | ||||||||
Brightcove, Inc. (a),(b) | 6,500 | 45,305 | ||||||||
Calix, Inc. (a) | 6,700 | 47,436 | ||||||||
Castlight Health, Inc., Class B (a) | 200 | 145 | ||||||||
Ceridian HCM Holding, Inc. (a) | 17,500 | 876,225 | ||||||||
ChannelAdvisor Corp. (a),(b) | 4,800 | 34,848 | ||||||||
CommVault Systems, Inc. (a) | 500 | 20,240 | ||||||||
Cornerstone OnDemand, Inc. (a) | 17,100 | 542,925 | ||||||||
Covetrus, Inc. (a) | 31,200 | 253,968 | ||||||||
Digital Turbine, Inc. (a),(b) | 24,200 | 104,302 | ||||||||
DocuSign, Inc. (a),(b) | 15,000 | 1,386,000 | ||||||||
Domo, Inc., Class B (a),(b) | 3,000 | 29,820 | ||||||||
Donnelley Financial Solutions, Inc. (a),(b) | 2,600 | 13,702 | ||||||||
Dropbox, Inc., Class A (a) | 72,200 | 1,306,820 | ||||||||
Ebix, Inc. (b) | 1,300 | 19,734 |
See Notes to Consolidated Financial Statements.
37
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2020
Security Description | Shares | Value | ||||||||
eGain Corp. (a),(b) | 2,500 | $ | 18,325 | |||||||
Electronic Arts, Inc. (a),(b) | 3,300 | 330,561 | ||||||||
Evolent Health, Inc., Class A (a) | 23,700 | 128,691 | ||||||||
Finjan Holdings, Inc. (a),(b) | 800 | 800 | ||||||||
Glu Mobile, Inc. (a) | 3,000 | 18,870 | ||||||||
HubSpot, Inc. (a) | 12,100 | 1,611,599 | ||||||||
Immersion Corp. (a),(b) | 8,700 | 46,632 | ||||||||
InnerWorkings, Inc. (a),(b) | 5,400 | 6,318 | ||||||||
Limelight Networks, Inc. (a) | 30,500 | 173,850 | ||||||||
LivePerson, Inc. (a) | 5,800 | 131,950 | ||||||||
MicroStrategy, Inc., Class A (a),(b) | 700 | 82,670 | ||||||||
Mimecast Ltd. (a) | 9,000 | 317,700 | ||||||||
Mitek Systems, Inc. (a) | 4,000 | 31,520 | ||||||||
MobileIron, Inc. (a) | 20,600 | 78,280 | ||||||||
Model N, Inc. (a) | 9,300 | 206,553 | ||||||||
New Relic, Inc. (a) | 16,500 | 762,960 | ||||||||
OneSpan, Inc. (a),(b) | 100 | 1,815 | ||||||||
Oracle Corp. (a) | 500 | 24,165 | ||||||||
Paylocity Holding Corp. (a) | 9,000 | 794,880 | ||||||||
PDF Solutions, Inc. (a) | 1,600 | 18,752 | ||||||||
Pluralsight, Inc., Class A (a) | 29,500 | 323,910 | ||||||||
Proofpoint, Inc. (a) | 300 | 30,777 | ||||||||
PROS Holdings, Inc. (a),(b) | 12,100 | 375,463 | ||||||||
QAD, Inc., Class A (b) | 900 | 35,937 | ||||||||
Rapid7, Inc. (a) | 3,300 | 142,989 | ||||||||
Sciplay Corp., Class A (a),(b) | 1,800 | 17,145 | ||||||||
Seachange International, Inc. (a) | 2,700 | 10,044 | ||||||||
SecureWorks Corp., Class A (a),(b) | 2,800 | 32,228 | ||||||||
ServiceNow, Inc. (a) | 600 | 171,948 | ||||||||
SPS Commerce, Inc. (a) | 4,700 | 218,597 | ||||||||
SVMK, Inc. (a) | 33,800 | 456,638 | ||||||||
Synchronoss Technologies, Inc. (a),(b) | 1,800 | 5,490 | ||||||||
Teradata Corp. (a) | 13,400 | 274,566 | ||||||||
TiVo Corp. (b) | 6,300 | 44,604 | ||||||||
Varonis Systems, Inc. (a) | 1,500 | 95,505 | ||||||||
Verra Mobility Corp. (a) | 45,200 | 322,728 | ||||||||
Workday, Inc., Class A (a) | 1,000 | 130,220 | ||||||||
Workiva, Inc. (a) | 8,500 | 274,805 | ||||||||
Zendesk, Inc. (a) | 4,000 | 256,040 | ||||||||
Zovio, Inc. (a),(b) | 6,100 | 10,065 | ||||||||
Zuora, Inc., Class A (a) | 100 | 805 | ||||||||
Zynga, Inc., Class A (a),(b) | 266,400 | 1,824,840 | ||||||||
|
| |||||||||
16,883,469 | ||||||||||
|
| |||||||||
Specialty Finance — 0.1% |
| |||||||||
AG Mortgage Investment Trust, Inc. (b) | 9,100 | 24,934 |
See Notes to Consolidated Financial Statements.
38
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2020
Security Description | Shares | Value | ||||||||
AGNC Investment Corp. | 8,500 | $ | 89,930 | |||||||
Ally Financial, Inc. (a) | 300 | 4,329 | ||||||||
Altisource Portfolio Solutions SA (a),(b) | 1,000 | 7,670 | ||||||||
Anworth Mortgage Asset Corp. (b) | 1,800 | 2,034 | ||||||||
Ares Commercial Real Estate Corp. (b) | 9,300 | 65,007 | ||||||||
Blackstone Mortgage Trust, Inc., Class A | 5,100 | 94,962 | ||||||||
Chimera Investment Corp. | 400 | 3,640 | ||||||||
Curo Group Holdings Corp. (b) | 11,200 | 59,360 | ||||||||
Discover Financial Services | 300 | 10,701 | ||||||||
Ellington Residential Mortgage REIT (b) | 800 | 4,240 | ||||||||
Enova International, Inc. (a),(b) | 2,700 | 39,123 | ||||||||
Evo Payments, Inc., Class A (a),(b) | 900 | 13,770 | ||||||||
Exantas Capital Corp. (b) | 8,900 | 24,564 | ||||||||
Fidelity National Financial, Inc. | 44,300 | 1,102,184 | ||||||||
First American Financial Corp. | 27,600 | 1,170,516 | ||||||||
General Finance Corp. (a),(b) | 700 | 4,368 | ||||||||
Great Ajax Corp. (b) | 100 | 636 | ||||||||
Green Dot Corp., Class A (a) | 14,700 | 373,233 | ||||||||
GreenSky, Inc., Class A (a),(b) | 8,200 | 31,324 | ||||||||
Invesco Mortgage Capital, Inc. (b) | 46,100 | 157,201 | ||||||||
Ladder Capital Corp. (b) | 6,000 | 28,440 | ||||||||
MFA Financial, Inc. (b) | 126,800 | 196,540 | ||||||||
MGIC Investment Corp. | 19,600 | 124,460 | ||||||||
New Residential Investment Corp. | 27,800 | 139,278 | ||||||||
New York Mortgage Trust, Inc. (b) | 29,000 | 44,950 | ||||||||
NewStar Financial, Inc. (d),(a) | 100 | 0 | ||||||||
On Deck Capital, Inc. (a),(b) | 800 | 1,232 | ||||||||
PennyMac Mortgage Investment Trust (b) | 4,200 | 44,604 | ||||||||
Starwood Property Trust, Inc. (b) | 40,000 | 410,000 | ||||||||
Stewart Information Services Corp. (b) | 1,800 | 48,006 | ||||||||
Synchrony Financial | 2,500 | 40,225 | ||||||||
TPG RE Finance Trust, Inc. (b) | 21,300 | 116,937 | ||||||||
Two Harbors Investment Corp. | 1,300 | 4,953 | ||||||||
Visa, Inc., A Shares | 6,800 | 1,095,616 | ||||||||
Western Asset Mortgage Capital Corp. (b) | 14,900 | 34,121 | ||||||||
WEX, Inc. (a) | 100 | 10,455 | ||||||||
|
| |||||||||
5,623,543 | ||||||||||
|
| |||||||||
Technology Services — 0.0% |
| |||||||||
comScore, Inc. (a),(b) | 19,600 | 55,272 | ||||||||
Conduent, Inc. (a),(b) | 59,300 | 145,285 | ||||||||
DXC Technology Co. | 1 | 13 | ||||||||
Endurance International Group Holdings, Inc. (a) | 100 | 193 | ||||||||
Genpact Ltd. | 19,400 | 566,480 | ||||||||
Perficient, Inc. (a),(b) | 1,500 | 40,635 | ||||||||
PFSweb, Inc. (a),(b) | 900 | 2,700 |
See Notes to Consolidated Financial Statements.
39
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2020
Security Description | Shares | Value | ||||||||
Sabre Corp. (a),(b) | 53,100 | $ | 314,883 | |||||||
ServiceSource International, Inc. (a),(b) | 11,200 | 9,821 | ||||||||
|
| |||||||||
1,135,282 | ||||||||||
|
| |||||||||
Telecommunications — 0.1% |
| |||||||||
8x8, Inc. (a) | 5,700 | 79,002 | ||||||||
CenturyLink, Inc. | 28 | 265 | ||||||||
ESC NII Holdings, Inc. (a) | 50,677 | 109,969 | ||||||||
GCI Liberty, Inc., Class A (a),(b) | 31 | 1,766 | ||||||||
Gogo, Inc. (a) | 23,300 | 49,396 | ||||||||
IDT Corp., Class B (a),(b) | 1,100 | 5,962 | ||||||||
Intelsat SA (a) | 300 | 459 | ||||||||
Ooma, Inc. (a),(b) | 2,200 | 26,246 | ||||||||
ORBCOMM, Inc. (a),(b) | 21,900 | 53,436 | ||||||||
RigNet, Inc. (a),(b) | 500 | 900 | ||||||||
RingCentral, Inc., Class A (a) | 13,600 | 2,881,976 | ||||||||
Spok Holdings, Inc. (b) | 1,800 | 19,242 | ||||||||
Switch, Inc., Class A | 25,800 | 372,294 | ||||||||
Telephone & Data Systems, Inc. | 200 | 3,352 | ||||||||
Verizon Communications, Inc. | 36,500 | 1,961,145 | ||||||||
Zix Corp. (a),(b) | 4,000 | 17,240 | ||||||||
|
| |||||||||
5,582,650 | ||||||||||
|
| |||||||||
Transportation & Logistics — 0.0% |
| |||||||||
CH Robinson Worldwide, Inc. (b) | 1,001 | 66,266 | ||||||||
Covenant Transportation Group, Inc., Class A (a),(b) | 3,900 | 33,813 | ||||||||
CSX Corp. (b) | 300 | 17,190 | ||||||||
Eagle Bulk Shipping, Inc. (a),(b) | 3,185 | 5,893 | ||||||||
Genco Shipping & Trading Ltd. (b) | 400 | 2,568 | ||||||||
Marten Transport Ltd. (b) | 3,333 | 68,393 | ||||||||
Mobile Mini, Inc. | 7,600 | 199,348 | ||||||||
Overseas Shipholding Group, Inc., Class A (a),(b) | 1,300 | 2,951 | ||||||||
Radiant Logistics, Inc. (a),(b) | 5,500 | 21,285 | ||||||||
Roadrunner Transportation Systems, Inc. (a),(b) | 84 | 214 | ||||||||
Schneider National, Inc., Class B | 200 | 3,868 | ||||||||
United Parcel Service, Inc., Class B | 8,800 | 822,096 | ||||||||
USA Truck, Inc. (a),(b) | 2,000 | 6,340 | ||||||||
YRC Worldwide, Inc. (a) | 5,200 | 8,736 | ||||||||
|
| |||||||||
1,258,961 | ||||||||||
|
| |||||||||
Transportation Equipment — 0.0% |
| |||||||||
Blue Bird Corp. (a),(b) | 2,600 | 28,418 | ||||||||
Commercial Vehicle Group, Inc. (a),(b) | 2,100 | 3,171 | ||||||||
FreightCar America, Inc. (a),(b) | 900 | 837 | ||||||||
REV Group, Inc. (a) | 100 | 417 | ||||||||
Spartan Motors, Inc. (b) | 4,200 | 54,222 |
See Notes to Consolidated Financial Statements.
40
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2020
Security Description | Shares | Value | ||||||||||
Wabash National Corp. | 100 | $ | 722 | |||||||||
|
| |||||||||||
87,787 | ||||||||||||
|
| |||||||||||
Utilities — 0.2% |
| |||||||||||
Atlantic Power Corp. (a),(b) | 7,200 | 15,408 | ||||||||||
Chesapeake Utilities Corp. (b) | 100 | 8,571 | ||||||||||
CMS Energy Corp. (b) | 16,300 | 957,625 | ||||||||||
Consolidated Water Co. Ltd. (b) | 1,300 | 21,320 | ||||||||||
DTE Energy Co. (b) | 11,900 | 1,130,143 | ||||||||||
Exelon Corp. | 175,400 | 6,456,474 | ||||||||||
IDACORP, Inc. | 3,100 | 272,149 | ||||||||||
Just Energy Group, Inc. (b) | 5,900 | 3,070 | ||||||||||
NRG Energy, Inc. | 31,300 | 853,238 | ||||||||||
PG&E Corp. (a),(b) | 148,100 | 1,331,419 | ||||||||||
Public Service Enterprise Group, Inc. | 55,900 | 2,510,469 | ||||||||||
Unitil Corp. (b) | 300 | 15,696 | ||||||||||
WEC Energy Group, Inc. | 29 | 2,556 | ||||||||||
|
| |||||||||||
13,578,138 | ||||||||||||
|
| |||||||||||
Waste & Environmental Services & Equipment — 0.0% |
| |||||||||||
Casella Waste Systems, Inc., Class A (a) | 3,500 | 136,710 | ||||||||||
Ceco Environmental Corp. (a),(b) | 2,200 | 10,274 | ||||||||||
Heritage-Crystal Clean, Inc. (a),(b) | 1,000 | 16,240 | ||||||||||
Republic Services, Inc. | 800 | 60,048 | ||||||||||
US Ecology, Inc. (b) | 800 | 24,320 | ||||||||||
Waste Management, Inc. (b) | 11,100 | 1,027,416 | ||||||||||
|
| |||||||||||
1,275,008 | ||||||||||||
|
| |||||||||||
Total North America |
| 642,670,606 | ||||||||||
|
| |||||||||||
Oceania — 0.0% |
| |||||||||||
Iron & Steel — 0.0% |
| |||||||||||
BHP Group PLC, ADR | 800 | 24,272 | ||||||||||
|
| |||||||||||
Total Oceania |
| 24,272 | ||||||||||
|
| |||||||||||
South America — 0.0% |
| |||||||||||
Banking — 0.0% |
| |||||||||||
Banco BBVA Argentina SA, ADR (a) | 6,900 | 18,078 | ||||||||||
|
| |||||||||||
Consumer Products — 0.0% |
| |||||||||||
BRF SA, ADR (a) | 25,000 | 72,500 | ||||||||||
Cia Cervecerias Unidas SA, ADR (b) | 1,800 | 24,084 | ||||||||||
|
| |||||||||||
96,584 | ||||||||||||
|
| |||||||||||
Gaming, Lodging & Restaurants — 0.0% |
| |||||||||||
Arcos Dorados Holdings, Inc., A Shares | 14,400 | 48,096 | ||||||||||
|
|
See Notes to Consolidated Financial Statements.
41
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2020
Security Description | Shares | Value | ||||||||||
Metals & Mining — 0.0% |
| |||||||||||
Yamana Gold, Inc. (b) | 45,600 | $ | 125,400 | |||||||||
|
| |||||||||||
Oil, Gas & Coal — 0.0% |
| |||||||||||
Cosan Ltd., A Shares (a) | 22,100 | 271,830 | ||||||||||
Geopark Ltd. (a) | 2,800 | 19,796 | ||||||||||
Transportadora de Gas del Sur SA, ADR | 20 | 92 | ||||||||||
|
| |||||||||||
291,718 | ||||||||||||
|
| |||||||||||
Passenger Transportation — 0.0% |
| |||||||||||
Gol Linhas Aereas Inteligentes SA, ADR | 6,900 | 29,463 | ||||||||||
|
| |||||||||||
Total South America |
| 609,339 | ||||||||||
|
| |||||||||||
TOTAL COMMON STOCK |
| 702,012,343 | ||||||||||
|
| |||||||||||
PREFERRED STOCK — 0.0% |
| |||||||||||
North America — 0.0% |
| |||||||||||
Utilities — 0.0% |
| |||||||||||
Pacific Gas & Electric Co. (a),(c),(b) | 9,305 | 174,880 | ||||||||||
|
| |||||||||||
Total North America |
| 174,880 | ||||||||||
|
| |||||||||||
TOTAL PREFERRED STOCK |
| 174,880 | ||||||||||
|
| |||||||||||
Security Description | Principal Amount | Value | ||||||||||
ASSET-BACKED SECURITIES — 4.7% |
| |||||||||||
Europe — 0.1% |
| |||||||||||
Banco Santander SA, Series 1, Class G, 10.00%, 09/25/25 (c),(e) | $ | 7,995,000 | 7,038,878 | |||||||||
|
| |||||||||||
North America — 4.6% |
| |||||||||||
ACIS CLO Ltd., Series2015-6A, Class D, 3 mo. USD LIBOR + 3.77%, 5.53%, 05/01/27 (f),(g),(c),(b) | 2,000,000 | 1,644,356 | ||||||||||
Adams Mill CLO Ltd., Series2014-1A, Class D1, 3 mo. USD LIBOR + 3.50%, 5.33%, 07/15/26 (f),(g),(c),(b) | 4,750,000 | 3,903,013 | ||||||||||
AIG CLO Ltd., |
| |||||||||||
Series2019-2A, Class A, 3 mo. USD LIBOR + 1.36%, 3.23%, 10/25/32 (f),(g),(c),(b) | 250,000 | 233,393 | ||||||||||
Series2019-2A, Class E, 3 mo. USD LIBOR + 7.25%, 9.12%, 10/25/32 (f),(g),(c),(b),(d) | 250,000 | 173,849 | ||||||||||
Allegro CLO Ltd., |
| |||||||||||
Series2013-1A, Class C, 3 mo. USD LIBOR + 3.45%, 5.22%, 01/30/26 (f),(g),(c),(b) | 5,000,000 | 4,336,275 |
See Notes to Consolidated Financial Statements.
42
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2020
Security Description | Principal Amount | Value | ||||||||
Series2014-1RA, Class C, 3 mo. USD LIBOR + 3.00%, 4.82%, 10/21/28 (f),(g),(c),(b) | $ | 3,000,000 | $ | 2,244,240 | ||||||
Series2016-1A, Class DR, 3 mo. USD LIBOR + 3.80%, 5.63%, 01/15/30 (f),(g),(c),(b) | 8,000,000 | 6,118,784 | ||||||||
Arbor Realty Collateralized Loan Obligation Ltd., Series2020-FL1, Class C, 1 mo. USD LIBOR + 2.05%, 3.71%, 02/15/35 (f),(g),(c),(b) | 1,792,000 | 1,385,811 | ||||||||
Ares LIV CLO Ltd., Series2019-54A, Class E, 3 mo. USD LIBOR + 7.34%, 9.19%, 10/15/32 (f),(g),(c),(b) | 250,000 | 171,520 | ||||||||
Ares XXVII CLO Ltd., Series2013-2A, Class CR, 3 mo. USD LIBOR + 2.40%, 4.20%, 07/28/29 (f),(g),(c),(b) | 250,000 | 224,511 | ||||||||
Atlas Senior Loan Fund Ltd., Series2014-1A, Class DR2, 3 mo. USD LIBOR + 4.00%, 5.84%, 07/16/29 (f),(g),(c),(b) | 2,000,000 | 1,459,640 | ||||||||
Avant Loans Funding Trust, |
| |||||||||
Series2018-A, Class C, 4.79%, 05/15/24 (f),(c),(b) | 3,411,000 | 3,190,990 | ||||||||
Series2018-B, Class C, 5.00%, 11/17/25 (f),(c),(b),(d) | 545,000 | 482,434 | ||||||||
Series2019-A, Class C, 4.65%, 04/15/26 (f),(c),(b) | 3,403,000 | 2,848,651 | ||||||||
Series2019-B, Class C, 4.54%, 10/15/26 (f),(c),(b),(d) | 637,000 | 500,300 | ||||||||
Avery Point CLO Ltd., Series2014-5A, Class DR, 3 mo. USD LIBOR + 3.10%, 4.94%, 07/17/26 (f),(g),(c),(b) | 2,500,000 | 2,095,698 | ||||||||
Bear Stearns Asset-Backed Securities Trust,Series 2007-2, Class A2, 1 mo. USD LIBOR + .32%, 1.27%, 01/25/47 (g),(c),(b) | 191,845 | 190,549 | ||||||||
Benefit Street Partners CLO Ltd., Series2016-10A, Class CR, 3 mo. USD LIBOR + 3.50%, 5.33%, 01/15/29 (f),(g),(c),(b) | 3,500,000 | 2,688,416 | ||||||||
Birch Grove CLO Ltd., Series 19A, Class D, 3 mo. USD LIBOR + 3.90%, 4.64%, 06/15/31 (f),(g),(c),(b) | 1,500,000 | 1,170,797 | ||||||||
Black Diamond CLO Ltd., Series2017-1A, Class C, 3 mo. USD LIBOR + 3.95%, 5.75%, 04/24/29 (f),(g),(c),(b) | 4,250,000 | 3,235,049 | ||||||||
BlueMountain CLO Ltd., Series2016-2A, Class C1R, 3 mo. USD LIBOR + 4.00%, 5.69%, 08/20/32 (f),(g),(c),(b) | 1,000,000 | 732,304 |
See Notes to Consolidated Financial Statements.
43
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2020
Security Description | Principal Amount | Value | ||||||||
Brookside Mill CLO Ltd., Series2013-1A, Class DR, 3 mo. USD LIBOR + 2.65%, 4.49%, 01/17/28 (f),(g),(c),(b) | $ | 4,000,000 | $ | 3,054,732 | ||||||
California Street CLO LP, Series2012-9A, Class D1R2, 3 mo. USD LIBOR + 3.70%, 5.54%, 07/16/32 (f),(g),(c),(b) | 3,000,000 | 2,315,829 | ||||||||
Carlyle Global Market Strategies CLO Ltd., |
| |||||||||
Series2014-1A, 3 mo. USD LIBOR + 2.60%, 4.44%, 04/17/31 (f),(g),(c),(b) | 3,000,000 | 2,014,728 | ||||||||
Series2015-1A, Class DR2, 3 mo. USD LIBOR + 3.65%, 5.47%, 07/20/31 (f),(g),(c),(b) | 2,000,000 | 1,494,212 | ||||||||
CarVal CLO Ltd., 5.97%, 04/20/32 (g),(e),(c),(b) | 500,000 | 384,684 | ||||||||
Series2019-2A, Class D, 3 mo. USD LIBOR + 3.70%, 5.52%, 07/20/32 (f),(g),(c),(b) | 6,000,000 | 4,257,252 | ||||||||
Carvana Auto Receivables Trust, |
| |||||||||
Series2019-1A, Class E, 5.64%, 01/15/26 (f),(b) | 1,116,000 | 825,748 | ||||||||
Series2019-2A, Class E, 5.01%, 04/15/26 (f),(h),(c),(d) | 1,125,000 | 950,430 | ||||||||
Series2019-3A, Class E, 4.60%, 07/15/26 (f),(h),(c),(d) | 1,592,000 | 1,213,075 | ||||||||
Series2019-4A, Class E, 4.70%, 10/15/26 (f),(h),(c),(d) | 1,181,000 | 903,327 | ||||||||
Series2020-N1A, Class D, 3.43%, 01/15/26 (f),(c) | 9,983,000 | 9,022,725 | ||||||||
Series2020-N1A, Class E, 5.20%, 07/15/27 (f),(c) | 5,312,000 | 3,452,757 | ||||||||
Catamaran CLO Ltd., |
| |||||||||
Series2013-1A, Class DR, 3 mo. USD LIBOR + 2.80%, 4.59%, 01/27/28 (f),(g),(c),(b) | 5,235,000 | 4,026,689 | ||||||||
Series2014-1A, Class CR, 3 mo. USD LIBOR + 3.43%, 5.23%, 04/22/30 (f),(g),(c),(b) | 3,100,000 | 2,223,677 | ||||||||
Series2015-1A, Class DR, 3 mo. USD LIBOR + 2.80%, 4.60%, 04/22/27 (f),(g),(c),(b) | 1,000,000 | 788,522 | ||||||||
Series2015-1A, Class E, 3 mo. USD LIBOR + 5.15%, 6.95%, 04/22/27 (f),(g),(c),(b) | 2,500,000 | 1,349,580 | ||||||||
Series2016-1A, Class C, 3 mo. USD LIBOR + 3.85%, 5.67%, 01/18/29 (f),(g),(c),(b) | 3,500,000 | 2,674,802 | ||||||||
Cedar Funding XI Clo Ltd., Series2019-11A, Class E, 3 mo. USD LIBOR + 6.85%, 8.43%, 05/29/32 (f),(g),(c),(b) | 500,000 | 339,576 |
See Notes to Consolidated Financial Statements.
44
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2020
Security Description | Principal Amount | Value | ||||||||
Cent CLO Ltd., Series2014-21A, Class CR2, 3 mo. USD LIBOR + 3.20%, 4.99%, 07/27/30 (f),(g),(c),(b) | $ | 4,200,000 | $ | 3,091,771 | ||||||
CIFC Funding Ltd., |
| |||||||||
Series2013-1A, Class DR, 3 mo. USD LIBOR + 6.65%, 8.49%, 07/16/30 (f),(g),(c),(b) | 3,000,000 | 1,794,567 | ||||||||
Series2015-5A, Class CR, 3 mo. USD LIBOR + 2.95%, 4.74%, 10/25/27 (f),(g),(c),(b) | 4,000,000 | 3,120,888 | ||||||||
Series2016-1A, Class D1R, 3 mo. USD LIBOR + 4.00%, 5.82%, 10/21/31 (f),(g),(c) | 1,000,000 | 711,989 | ||||||||
Series2016-1A, Class D2R, 3 mo. USD LIBOR + 4.43%, 6.25%, 10/21/31 (f),(g),(c) | 500,000 | 310,190 | ||||||||
Series2019-4A, Class C, 3 mo. USD LIBOR + 3.50%, 5.33%, 07/15/32 (f),(g),(c),(b) | 1,000,000 | 719,277 | ||||||||
Colony American Finance Ltd., Series2018-1D, Class D, 4.92%, 06/15/51 (f),(c),(b) | 708,000 | 594,559 | ||||||||
Consumer Loan Underlying Bond Credit Trust, Series2018-P1, Class C, 5.21%, 07/15/25 (f),(b),(d) | 611,000 | 569,797 | ||||||||
Corevest American Finance Trust, |
| |||||||||
Series2017-2 SEQ, Class M, 5.62%, 12/25/27 (f),(c),(b) | 459,000 | 378,182 | ||||||||
Series2019-1, Class D, 4.82%, 03/15/52 (f),(c),(b) | 152,000 | 124,355 | ||||||||
Series2019-1, Class E, 5.49%, 03/15/52 (f),(c),(b) | 196,000 | 154,838 | ||||||||
CoreVest American Finance Trust, |
| |||||||||
Series2019-2, Class XA, 2.38%, 06/15/52 (v),(f),(c),(g),(b) | 17,487,495 | 1,829,332 | ||||||||
Series2019-2, Class D, 4.22%, 06/15/52 (f),(c),(b) | 476,000 | 384,838 | ||||||||
Series2019-2, Class E, 5.22%, 06/15/52 (f),(c),(g),(b) | 699,000 | 532,678 | ||||||||
Corevest American Finance Trust, |
| |||||||||
Series2019-3, Class XA, 2.04%, 10/15/52 (v),(f),(c),(g),(b) | 15,715,282 | 1,568,542 | ||||||||
Series2019-3, Class D, 3.76%, 10/15/52 (f),(c),(b) | 100,000 | 82,930 | ||||||||
Series2019-3, Class E, 4.74%, 10/15/52 (f),(c),(g),(b) | 124,000 | 104,204 | ||||||||
Series2020-1, Class E, 4.83%, 03/15/50 (f),(c),(g),(b) | 100,000 | 106,774 | ||||||||
Covenant Credit Partners CLO Ltd.,Series 2017-1A, Class D, 3 mo. USD LIBOR + 3.75%, 5.58%, 10/15/29 (f),(g),(c),(b) | 4,500,000 | 3,415,333 |
See Notes to Consolidated Financial Statements.
45
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Consolidated Schedule of Investments (Continued)
March 31, 2020
Security Description | Principal Amount | Value | ||||||||
Cutwater Ltd., |
| |||||||||
Series2014-2A, Class CR, 3 mo. USD LIBOR + 3.75%, 5.58%, 01/15/27 (f),(g),(c),(b) | $ | 5,000,000 | $ | 4,156,055 | ||||||
Series2015-1A, Class DR, 3 mo. USD LIBOR + 3.45%, 5.28%, 01/15/29 (f),(g),(c),(b) | 4,000,000 | 2,946,548 | ||||||||
Denali Capital CLO Ltd., Series2013-1A, Class B2LR, 3 mo. USD LIBOR + 4.75%, 6.54%, 10/26/27 (f),(g),(c),(b) | 1,000,000 | 486,774 | ||||||||
Dryden 80 CLO Ltd., Series2019-80A, Class D1, 3 mo. USD LIBOR + 4.10%, 5.98%, 01/17/33 (f),(g),(c),(b) | 250,000 | 189,614 | ||||||||
Dryden CLO Ltd., Series2019-75A, Class DR, 3 mo. USD LIBOR + 3.55%, 5.38%, 07/15/30 (f),(g),(c),(b) | 4,750,000 | 3,743,651 | ||||||||
Dryden Senior Loan Fund, |
| |||||||||
Series2014-33A, Class DR2, 3 mo. USD LIBOR + 3.85%, 5.68%, 04/15/29 (f),(g),(c),(b) | 1,000,000 | 798,762 | ||||||||
Series2014-36A, Class DR2, 3 mo. USD LIBOR + 3.70%, 5.53%, 04/15/29 (f),(g),(c),(b) | 6,000,000 | 4,866,210 | ||||||||
Series2016-43A, Class DRR, 3 mo. USD LIBOR + 3.55%, 5.37%, 07/20/29 (f),(g),(c),(b) | 3,000,000 | 2,408,661 | ||||||||
DT Auto Owner Trust, |
| |||||||||
Series2019-2A, Class E, 4.46%, 05/15/26 (f),(h),(c),(d) | 1,775,000 | 1,484,214 | ||||||||
Series2019-4A, Class E, 3.93%, 10/15/26 (f),(h),(c),(d) | 925,000 | 721,465 | ||||||||
Series2020-1A, Class E, 3.48%, 02/16/27 (f),(h),(c),(d) | 1,595,000 | 1,228,088 | ||||||||
Evans Grove CLO Ltd., Series2018-1A, Class D, 3 mo. USD LIBOR + 3.20%, 4.81%, 05/28/28 (f),(g),(c),(b) | 5,000,000 | 3,879,905 | ||||||||
Fort Washington CLO, Series2019-1A, Class D1, 3 mo. USD LIBOR + 3.90%, 5.81%, 10/20/32 (f),(g),(c),(b) | 1,000,000 | 730,704 | ||||||||
Gallatin Loan Management, |
| |||||||||
Series2017-1A, 3 mo. USD LIBOR + 3.25%, 5.08%, 07/15/27 (f),(g),(c),(b) | 7,500,000 | 5,880,000 | ||||||||
Series2018-1A, Class D1, 3 mo. USD LIBOR + 3.10%, 4.92%, 01/21/28 (f),(g),(c),(b) | 7,500,000 | 5,794,822 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
March 31, 2020
Security Description | Principal Amount | Value | ||||||||
Garrison Funding Ltd., Series2015-1A, Class CR, 3 mo. USD LIBOR + 3.90%, 5.58%, 09/21/29 (f),(g),(c),(b) | $ | 4,000,000 | $ | 3,139,524 | ||||||
GLS Auto Receivables Issuer Trust, |
| |||||||||
Series2019-2A, Class D, 4.52%, 02/17/26 (f),(c),(b),(d) | 1,510,000 | 1,239,902 | ||||||||
Series2019-3A, Class D, 3.84%, 05/15/26 (f),(c),(b),(d) | 1,457,000 | 1,152,222 | ||||||||
Series2019-4A, Class D, 4.09%, 08/17/26 (f),(c),(b),(d) | 900,000 | 680,174 | ||||||||
Series2020-1A, Class D, 3.68%, 11/16/26 (f),(c),(b),(d) | 1,790,000 | 1,273,608 | ||||||||
Greywolf CLO III Ltd., Series2020-3RA, Class CR, 3 mo. USD LIBOR + 3.35%, 5.15%, 04/15/33 (f),(g),(c),(b) | 5,000,000 | 3,238,985 | ||||||||
Greywolf CLO Ltd., Series2019-1A, Class D, 3 mo. LIBOR + 6.94%, 8.78%, 04/17/30 (f),(g),(c),(b),(d) | 250,000 | 181,601 | ||||||||
Harbourview CLO Ltd., Series 7RA, Class D, 3 mo. USD LIBOR + 3.36%, 5.18%, 07/18/31 (f),(g),(c),(b) | 4,000,000 | 2,738,176 | ||||||||
Highbridge Loan Management Ltd.,Series 7A-2015, Class DR, 3 mo. USD LIBOR + 2.40%, 4.09%, 03/15/27 (f),(g),(c),(b) | 1,000,000 | 736,307 | ||||||||
Home Partners of America Trust, Series2019-1, Class F, 4.10%, 09/17/39 (f),(c),(b) | 97,870 | 59,032 | ||||||||
ICG US CLO Ltd., Series2016-1A, Class CR, 3 mo. USD LIBOR + 3.05%, 4.82%, 07/29/28 (f),(g),(c),(b) | 1,000,000 | 755,343 | ||||||||
Jamestown CLO Ltd., |
| |||||||||
Series2014-4A, Class CR, 3 mo. USD LIBOR + 2.65%, 4.48%, 07/15/26 (f),(g),(c),(b) | 1,000,000 | 816,295 | ||||||||
Series2015-7A, Class CR, 3 mo. USD LIBOR + 2.60%, 4.39%, 07/25/27 (f),(g),(c),(b) | 5,500,000 | 4,159,908 | ||||||||
Series2016-9A, Class C1R, 3 mo. USD LIBOR + 4.10%, 5.92%, 10/20/28 (f),(g),(c),(b) | 3,000,000 | 2,342,829 | ||||||||
Series2018-11A, Class C, 3 mo. USD LIBOR + 3.25%, 5.09%, 07/14/31 (f),(g),(c),(b) | 2,000,000 | 1,377,134 | ||||||||
Jamestown CLO XV Ltd., Series2020-15A, Class D, 3 mo. USD LIBOR + 3.65%, 5.35%, 04/15/33 (f),(g),(c),(b) | 5,000,000 | 3,349,075 | ||||||||
JMP Credit Advisors CLO Ltd.,Series 2014-1RA, Class D, 3 mo. USD LIBOR + 2.60%, 4.44%, 01/17/28 (f),(g),(c),(b) | 5,310,000 | 4,038,621 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
March 31, 2020
Security Description | Principal Amount | Value | ||||||||
KKR CLO Ltd., Series 18, Class C, 3 mo. USD LIBOR + 2.35%, 4.18%, 07/18/30 (f),(g),(c),(b) | $ | 500,000 | $ | 436,580 | ||||||
KVK CLO Ltd., 4.79%, 01/14/28 (f),(c),(g),(b) | 4,690,000 | 3,670,075 | ||||||||
Series2016-1A, Class D, 3 mo. USD LIBOR + 4.40%, 6.23%, 01/15/29 (f),(g),(c),(b) | 5,000,000 | 3,881,480 | ||||||||
Madison Park Funding Ltd., |
| |||||||||
Series2012-10A, Class DR2, 3 mo. USD LIBOR + 3.25%, 5.07%, 01/20/29 (f),(g),(c),(b) | 1,000,000 | 801,535 | ||||||||
Series2013-11A, Class DR, 3 mo. USD LIBOR + 3.25%, 5.06%, 07/23/29 (f),(g),(c),(b) | 3,400,000 | 2,679,197 | ||||||||
Series2016-20A, Class DR, 3 mo. USD LIBOR + 3.00%, 4.79%, 07/27/30 (f),(g),(c),(b) | 2,000,000 | 1,471,980 | ||||||||
MagnetiteXIV-R Ltd., Series 2015-14RA, Class E, 7.42%, 10/18/31 (f),(g),(c),(b) | 500,000 | 331,619 | ||||||||
Mariner CLO LLC, Series2015-1A, Class DR2, 3 mo. USD LIBOR + 2.85%, 4.10%, 04/20/29 (f),(g),(c),(b) | 6,000,000 | 4,498,962 | ||||||||
MidOcean Credit CLO, Series2016-6A, Class DR, 3 mo. USD LIBOR + 3.75%, 5.57%, 01/20/29 (f),(g),(c),(b) | 4,000,000 | 2,957,852 | ||||||||
Midocean Credit CLO, Series2017-7A, Class D, 3 mo. USD LIBOR + 3.88%, 5.71%, 07/15/29 (f),(g),(c),(b) | 5,500,000 | 4,057,267 | ||||||||
Mountain View CLO LLC, Series2017-1A, Class D, 3 mo. USD LIBOR + 3.60%, 5.44%, 10/16/29 (f),(g),(c),(b) | 3,000,000 | 2,154,759 | ||||||||
Mountain View CLO Ltd., |
| |||||||||
Series2015-10A, Class DR, 3 mo. USD LIBOR + 2.60%, 4.45%, 10/13/27 (f),(g),(c),(b) | 2,500,000 | 1,939,013 | ||||||||
Series2015-9A, Class CR, 3 mo. USD LIBOR + 3.12%, 4.95%, 07/15/31 (f),(g),(c),(b) | 5,000,000 | 3,228,515 | ||||||||
Series2019-1A, Class D, 3 mo. USD LIBOR + 4.05%, 5.88%, 04/15/29 (f),(g),(c),(b) | 5,000,000 | 3,826,735 | ||||||||
Neuberger Berman CLO XXIII Ltd.,Series 2016-23A, Class CR, 3 mo. USD LIBOR + 2.15%, 3.99%, 10/17/27 (f),(g),(c),(b) | 250,000 | 220,131 | ||||||||
Neuberger Berman Loan Advisers CLO Ltd.,Series 2018-28A, Class D, 3 mo. USD LIBOR + 2.85%, 4.67%, 04/20/30 (f),(g),(c),(b) | 750,000 | 534,704 | ||||||||
New Residential Mortgage LLC, |
| |||||||||
Series 2018-FNT1, Class D, 4.69%, 05/25/23 (f),(c),(b) | 625,047 | 582,881 |
See Notes to Consolidated Financial Statements.
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March 31, 2020
Security Description | Principal Amount | Value | ||||||||
Series 2018-FNT1, Class E, 4.89%, 05/25/23 (f),(c),(b) | $ | 2,625,197 | $ | 2,456,000 | ||||||
Series 2018-FNT2, Class E, 5.12%, 07/25/54 (f),(c),(b) | 2,593,692 | 2,419,419 | ||||||||
Nomura CRE CDO Ltd., Series2007-2A, Class D, 3 mo. USD LIBOR + .45%, 2.60%, 05/21/42 (f),(g),(c),(b) | 379,814 | 186,907 | ||||||||
Northwoods Capital Ltd., Series 2018-12BA, Class D, 3 mo. USD LIBOR + 3.15%, 3.89%, 06/15/31 (f),(g),(c),(b) | 3,000,000 | 1,912,887 | ||||||||
Oaktree CLO Ltd., Series2015-1A, Class DR, 3 mo. USD LIBOR + 5.20%, 7.02%, 10/20/27 (f),(g),(c),(b) | 2,500,000 | 1,375,283 | ||||||||
Ocean Trails CLO, Series2016-6A, Class DR, 3 mo. USD LIBOR + 3.65%, 5.48%, 07/15/28 (f),(g),(c),(b) | 5,000,000 | 3,916,445 | ||||||||
Octagon Investment Partners Ltd., |
| |||||||||
Series2012-1A, Class CR, 3 mo. USD LIBOR + 4.00%, 5.83%, 07/15/29 (f),(g),(c),(b) | 3,500,000 | 2,822,806 | ||||||||
Series2014-1A, Class CRR, 3 mo. USD LIBOR + 3.95%, 5.65%, 02/14/31 (f),(g),(c),(b) | 2,000,000 | 1,458,752 | ||||||||
Series2014-1A, Class E, 3 mo. USD LIBOR + 4.85%, 6.68%, 04/15/26 (f),(g),(c),(b) | 1,000,000 | 630,633 | ||||||||
OFSI Fund Ltd., Series2014-7A, Class DR, 3 mo. USD LIBOR + 3.20%, 5.02%, 10/18/26 (f),(g),(c),(b) | 2,000,000 | 1,653,996 | ||||||||
OHA Credit Partners XIII Ltd.,Series 2016-13A, Class E, 3 mo. USD LIBOR + 7.15%, 8.97%, 01/21/30 (f),(g),(c),(b),(d) | 250,000 | 190,930 | ||||||||
OneMain Financial Issuance Trust, |
| |||||||||
Series2017-1A, Class D, 4.52%, 09/14/32 (f),(c),(b) | 4,500,000 | 3,602,754 | ||||||||
Series2017-1A SEQ, Class A1, 2.37%, 09/14/32 (f),(c) | 3,060,649 | 3,007,106 | ||||||||
Series2019-1A, Class E, 5.69%, 02/14/31 (f),(c),(b) | 5,000,000 | 4,024,635 | ||||||||
OZLM Funding Ltd., Series2013-4A, Class BR, 3 mo. USD LIBOR + 2.20%, 4.00%, 10/22/30 (f),(g),(c),(b) | 3,000,000 | 2,572,524 | ||||||||
OZLM Ltd., |
| |||||||||
Series2014-6A, Class CS, 3 mo. USD LIBOR + 3.13%, 4.97%, 04/17/31 (f),(g),(c),(b) | 2,000,000 | 1,410,752 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
March 31, 2020
Security Description | Principal Amount | Value | ||||||||
Series2015-12A, Class D, 3 mo. USD LIBOR + 5.40%, 7.17%, 04/30/27 (f),(g),(c),(b) | $ | 8,833,000 | $ | 4,726,680 | ||||||
Series2015-13A, Class D, 3 mo. USD LIBOR + 5.45%, 7.22%, 07/30/27 (f),(g),(c),(b) | 1,100,000 | 602,181 | ||||||||
Parallel Ltd., |
| |||||||||
Series2017-1A, Class DR, 3 mo. USD LIBOR + 3.10%, 4.81%, 07/20/29 (f),(g),(c),(b) | 3,000,000 | 2,247,723 | ||||||||
Series2019-1A, Class D, 3 mo. USD LIBOR + 4.20%, 6.02%, 07/20/32 (f),(g),(c),(b) | 1,000,000 | 723,033 | ||||||||
Series2019-1A, Class E, 3 mo. USD LIBOR + 6.72%, 8.54%, 07/20/32 (f),(g),(c),(b) | 1,333,000 | 899,846 | ||||||||
Perimeter Master Note Business Trust, |
| |||||||||
Series2019-1A, Class C, 8.06%, 12/15/22 (f),(c),(b),(d) | 251,000 | 235,455 | ||||||||
Series2019-2A, Class B, 5.21%, 05/15/24 (f),(h),(c),(d) | 921,000 | 891,968 | ||||||||
Series2019-2A, Class C, 7.06%, 05/15/24 (f),(c),(b),(d) | 251,000 | 220,657 | ||||||||
Regatta Funding LP, Series2013-2A, 3 mo. USD LIBOR + 3.70%, 5.53%, 01/15/29 (f),(g),(c),(b) | 1,500,000 | 1,159,511 | ||||||||
Regatta XI Funding Ltd., Series2018-1A, Class D, 3 mo. USD LIBOR + 2.85%, 4.69%, 07/17/31 (f),(g),(c),(b) | 490,000 | 348,921 | ||||||||
Rockford Tower CLO Ltd., |
| |||||||||
Series2017-1A, Class BR, 3 mo. USD LIBOR + 1.45%, 1.00%, 04/15/29 (f),(g),(c) | 2,500,000 | 2,270,560 | ||||||||
Series2017-2A, Class DR, 3 mo. USD LIBOR + 2.85%, 4.10%, 10/15/29 (f),(g),(c),(b) | 3,750,000 | 2,834,340 | ||||||||
Series2019-1A, Class C, 3 mo. USD LIBOR + 2.75%, 4.57%, 04/20/32 (f),(g),(c),(b) | 750,000 | 653,411 | ||||||||
Series2019-2A, Class D, 3 mo. USD LIBOR + 3.50%, 5.19%, 08/20/32 (f),(g),(c),(b) | 750,000 | 515,347 | ||||||||
Romark CLO III Ltd., Series2019-3A, Class C, 3 mo. USD LIBOR + 3.90%, 5.73%, 07/15/32 (f),(g),(c),(b) | 750,000 | 550,958 | ||||||||
Romark CLO Ltd., Series2017-1A, Class B, 3 mo. LIBOR + 2.15%, 3.96%, 10/23/30 (f),(g),(c),(b) | 250,000 | 216,286 | ||||||||
RR Ltd., Series2017-2A, Class C, 3 mo. USD LIBOR + 3.00%, 4.83%, 10/15/29 (f),(g),(c),(b) | 750,000 | 583,811 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
March 31, 2020
Security Description | Principal Amount | Value | ||||||||
Shackleton CLO Ltd., Series2017-11A, Class D, 3 mo. USD LIBOR + 3.65%, 5.34%, 08/15/30 (f),(g),(c),(b) | $ | 2,000,000 | $ | 1,424,420 | ||||||
Skopos Auto Receivables Trust, Series2019-1A, Class C, 3.63%, 09/16/24 (f),(c),(b) | 1,627,000 | 1,305,615 | ||||||||
Thacher Park CLO Ltd., Series2014-1A, Class E2, 3 mo. USD LIBOR + 6.00%, 7.82%, 10/20/26 (f),(g),(c),(b) | 1,000,000 | 663,204 | ||||||||
TICP CLO Ltd., Series2018-IA, Class C, 3 mo. USD LIBOR + 3.04%, 4.83%, 04/26/28 (f),(g),(c),(b) | 4,650,000 | 3,576,385 | ||||||||
TICP CLO X Ltd., Series2018-10A, Class C, 3 mo. LIBOR + 1.90%, 3.72%, 04/20/31 (f),(g),(c),(b) | 250,000 | 212,799 | ||||||||
Tralee CLO Ltd., Series2018-5A, Class D, 3 mo. USD LIBOR + 3.20%, 5.02%, 10/20/28 (f),(g),(c),(b) | 4,500,000 | 3,339,706 | ||||||||
Trimaran CAVU Ltd., Series2019-2A, Class C, 3 mo. USD LIBOR + 4.72%, 6.63%, 11/26/32 (f),(g),(c),(b) | 2,000,000 | 1,518,888 | ||||||||
Venture CLO Ltd., |
| |||||||||
Series2013-14A, Class DR, 3 mo. USD LIBOR + 4.00%, 5.61%, 08/28/29 (f),(g),(c),(b) | 4,000,000 | 2,981,720 | ||||||||
Series2014-16A, Class DRR, 3 mo. USD LIBOR + 2.51%, 4.34%, 01/15/28 (f),(g),(c),(b) | 4,000,000 | 2,912,868 | ||||||||
Series2014-18A, Class DR, 3 mo. USD LIBOR + 3.10%, 4.93%, 10/15/29 (f),(g),(c),(b) | 1,000,000 | 707,831 | ||||||||
Series2019-37A, Class D, 3 mo. USD LIBOR + 3.90%, 5.73%, 07/15/32 (f),(g),(c),(b) | 3,000,000 | 2,084,790 | ||||||||
Vericrest Opportunity Loan Trust,Series 2017-NP11 SEQ, Class A1, 3.38%, 10/25/47 (k),(f),(c) | 805,551 | 741,936 | ||||||||
Vibrant CLO Ltd., Series2018-8A, Class C, 3 mo. USD LIBOR + 2.85%, 4.67%, 01/20/31 (f),(g),(c),(b) | 6,300,000 | 4,262,674 | ||||||||
VOLT LXXXV LLC, Series 2020-NPL1 SEQ, Class A1A, 3.23%, 01/25/50 (k),(f),(c),(g) | 1,882,363 | 1,738,519 | ||||||||
VOYA CLO, Series2017-2A, Class C, 3 mo. USD LIBOR + 3.70%, 5.53%, 06/07/30 (f),(g),(c),(b) | 4,000,000 | 3,175,352 | ||||||||
Voya CLO Ltd., Series2016-2A, Class CR, 3 mo. USD LIBOR + 4.00%, 5.82%, 07/19/28 (f),(g),(c),(b) | 250,000 | 205,745 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
March 31, 2020
Security Description | Principal Amount | Value | ||||||||||
WhiteHorse Ltd., Series2015-10A, Class DR, 3 mo. USD LIBOR + 3.00%, 4.84%, 04/17/27 (f),(g),(c),(b) | $ | 1,250,000 | $ | 997,316 | ||||||||
Zais CLO Ltd., Series2018-11A, Class D, 3 mo. USD LIBOR + 4.00%, 5.82%, 01/20/32 (f),(g),(c),(b) | 5,500,000 | 3,454,291 | ||||||||||
|
| |||||||||||
Total North America |
| 296,412,039 | ||||||||||
|
| |||||||||||
TOTAL ASSET-BACKED SECURITIES |
| 303,450,917 | ||||||||||
|
| |||||||||||
CONVERTIBLE BONDS — 0.0% |
| |||||||||||
North America — 0.0% |
| |||||||||||
Financial Services — 0.0% |
| |||||||||||
RWT Holdings, Inc., 5.75%, 10/01/25 (f),(c),(b) | 3,418,000 | 2,091,239 | ||||||||||
|
| |||||||||||
Total North America |
| 2,091,239 | ||||||||||
|
| |||||||||||
TOTAL CONVERTIBLE BONDS |
| 2,091,239 | ||||||||||
|
| |||||||||||
BANK DEBT — 4.4% |
| |||||||||||
Europe — 0.1% |
| |||||||||||
Biotechnology & Pharmaceuticals — 0.0% |
| |||||||||||
Grifols Worldwide Operations USA, Inc., USD 2019 Term Loan B, 1 mo. USD LIBOR, 0.00%, 11/15/27 (c),(p),(g) | 1,485,555 | 1,400,135 | ||||||||||
|
| |||||||||||
Cable & Satellite — 0.0% |
| |||||||||||
Altice Financing SA, 2017 USD Term Loan B, 2 mo. LIBOR + 2.75%, 4.41%, 07/31/24 (c),(g) | 833,604 | 754,412 | ||||||||||
Ziggo Financing Partnership, USD Term Loan I, 1 mo. LIBOR + 2.50%, 3.20%, 04/30/28 (c),(o),(g) | 520,858 | 489,607 | ||||||||||
|
| |||||||||||
1,244,019 | ||||||||||||
|
| |||||||||||
Chemicals — 0.0% |
| |||||||||||
Churchill AOC., 2018 Term Loan B, 1 mo. LIBOR + 4.25%, 5.26%, 08/01/25 (c),(o),(d),(g) | 890,932 | 768,429 | ||||||||||
Starfruit Finco B.V, 2018 USD Term Loan B, 1 mo. LIBOR + 3.00%, 3.86%, 10/01/25 (c),(o),(g) | 930,247 | 827,920 | ||||||||||
|
| |||||||||||
1,596,349 | ||||||||||||
|
| |||||||||||
Entertainment Contents — 0.0% |
| |||||||||||
Delta 2 (LUX) S.a.r.l. 2018 USD Term Loan, 3.500%, 02/01/24 (c) | 1,997,579 | 1,773,571 | ||||||||||
|
|
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
March 31, 2020
Security Description | Principal Amount | Value | ||||||||
Exploration & Production — 0.0% | ||||||||||
Endeavour International Holding BV, Term Loan A1, 0.00%, 01/02/21 (c),(o),(d),(g) | $ | 1,127,625 | $ | 20,297 | ||||||
|
| |||||||||
Food & Beverage — 0.0% | ||||||||||
Froneri International Ltd., 2020 USD Term Loan, 1 mo. LIBOR + 2.25%, 3.24%, 01/29/27 (c),(o),(g) | 230,582 | 218,476 | ||||||||
|
| |||||||||
Health Care Facilities & Services — 0.0% | ||||||||||
LGC Limited, Term Loan, 0.00%, 01/22/27 (c),(p) | 150,000 | 129,000 | ||||||||
|
| |||||||||
Machinery Manufacturing — 0.0% | ||||||||||
Zodiac Pool Solutions LLC., USD Term Loan B, 1 mo. LIBOR + 2.00%, 2.98%, 07/02/25 (c),(o),(g) | 57,530 | 51,777 | ||||||||
|
| |||||||||
Media — 0.0% | ||||||||||
Cineworld Limited, Incremental Term Loan, 0.00%, 02/05/27 (c),(p),(o) | 638,752 | 421,576 | ||||||||
|
| |||||||||
Medical Equipment & Devices — 0.0% | ||||||||||
Ortho-Clinical Diagnostics SA, 2018 Term Loan B, 1 mo. LIBOR + 3.25%, 4.77%, 06/30/25 (c),(g) | 354,247 | 299,781 | ||||||||
|
| |||||||||
Recreation Facilities & Services — 0.1% | ||||||||||
Richmond UK Bidco Ltd., 2017 GBP Term Loan B, 3 mo. LIBOR - GBP + 4.25%, 4.98%, 03/03/24 (c),(o) | 2,203,715 | GBP | 2,203,474 | |||||||
|
| |||||||||
Retail—Consumer Discretionary — 0.0% | ||||||||||
Belron Finance US LLC, 2019 USD Term Loan B, 3 mo. LIBOR + 2.50%, 4.27%, 10/30/26 (c),(o) | $ | 451,043 | 423,981 | |||||||
|
| |||||||||
Software & Services — 0.0% | ||||||||||
Capri Finance LLC, USD 2017 1st Lien Term Loan, 3 mo. LIBOR + 3.00%, 4.78%, 11/01/24 (c),(o),(g) | 396,962 | 340,395 | ||||||||
ION Trading Technologies S.a.r.l., USD Incremental Term Loan B, 3 mo. USD LIBOR, 0.00%, 11/21/24 (c),(p),(g) | 498,704 | 407,276 | ||||||||
|
| |||||||||
747,671 | ||||||||||
|
| |||||||||
Wireless Telecommunications Services — 0.0% | ||||||||||
Altice France S.A., USD Term Loan B12, 1 mo. LIBOR + 3.69%, 4.39%, 03/31/26 (c),(o),(g) | 544,296 | 506,195 | ||||||||
|
| |||||||||
Total Europe | 11,036,302 | |||||||||
|
|
See Notes to Consolidated Financial Statements.
53
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2020
Security Description | Principal Amount | Value | ||||||||
North America — 4.2% | ||||||||||
Advertising & Marketing — 0.3% | ||||||||||
Advantage Sales & Marketing, Inc., | ||||||||||
2014 1st Lien Term Loan, 3 mo. LIBOR + 3.25%, 4.70%, 07/23/21 (c),(o) | $ | 15,945,024 | $ | 12,716,157 | ||||||
Term Loan B2, 3 mo. LIBOR + 3.25%, 4.70%, 07/25/21 (c) | 6,706,957 | 5,365,565 | ||||||||
AppLovin Corporation, 2018 Term Loan B, 1 mo. LIBOR + 3.50%, 4.49%, 08/15/25 (c),(o),(g) | 395,990 | 352,431 | ||||||||
Red Ventures, LLC, 2020 Term Loan B, 1 mo. LIBOR + 2.50%, 3.49%, 11/08/24 (c),(g) | 854,065 | 706,030 | ||||||||
Terrier Media Buyer, Inc., Term Loan B, 3 mo. LIBOR + 4.25%, 5.70%, 12/17/26 (c),(o),(g) | 739,254 | 652,392 | ||||||||
|
| |||||||||
19,792,575 | ||||||||||
|
| |||||||||
Aerospace & Defense — 0.0% | ||||||||||
Dynasty Acquisition Co., Inc., |
| |||||||||
2020 CAD Term Loan B2, 1 mo. LIBOR + 3.50%, 4.95%, 04/08/26 (c),(g) | 304,163 | 240,669 | ||||||||
2020 Term Loan B1, 1 mo. LIBOR + 3.50%, 4.95%, 04/08/26 (c),(g) | 565,743 | 447,644 | ||||||||
TransDigm, Inc., |
| |||||||||
2020 Term Loan F, 1 mo. LIBOR + 2.25%, 3.24%, 12/09/25 (c),(g) | 329,335 | 298,872 | ||||||||
2020 Term Loan G, 1 mo. LIBOR + 2.25%, 3.24%, 08/22/24 (c),(g) | 395,970 | 366,668 | ||||||||
|
| |||||||||
1,353,853 | ||||||||||
|
| |||||||||
Airlines — 0.0% | ||||||||||
American Airlines, Inc., |
| |||||||||
2017 1st Lien Term Loan, 1 mo. LIBOR + 1.75%, 2.69%, 01/29/27 (c),(g) | 759,924 | 615,538 | ||||||||
Repriced TL B due 2023, 3 mo. USD LIBOR, 0.00%, 04/28/23 (c),(p),(g) | 440,532 | 355,730 | ||||||||
|
| |||||||||
971,268 | ||||||||||
|
| |||||||||
Auto Parts Manufacturing — 0.0% | ||||||||||
Panther BF Aggregator 2 LP, USD Term Loan B, 1 mo. LIBOR + 3.50%, 4.44%, 04/30/26 (c),(o),(g) | 1,196,992 | 1,089,263 | ||||||||
|
| |||||||||
Biotechnology & Pharmaceuticals — 0.0% | ||||||||||
Alphabet Holding Company, Inc., 2017 1st Lien Term Loan, 3 mo. LIBOR + 3.50%, 4.49%, 09/26/24 (c),(g) | 435,168 | 344,026 |
See Notes to Consolidated Financial Statements.
54
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2020
Security Description | Principal Amount | Value | ||||||||
Amneal Pharmaceuticals LLC, 2018 Term Loan B, 1 mo. LIBOR + 3.50%, 4.50%, 05/04/25 (c),(g) | $ | 491,428 | $ | 417,714 | ||||||
|
| |||||||||
761,740 | ||||||||||
|
| |||||||||
Cable & Satellite — 0.1% | ||||||||||
Cogeco Communications (USA) II L.P., 2017 1st Lien Term Loan, 1 mo. LIBOR + 2.00%, 2.99%, 01/03/25 (c),(g) | 626,507 | 580,565 | ||||||||
CSC Holdings, LLC, 2019 Term Loan B5, 1 mo. LIBOR + 2.50%, 3.11%, 04/15/27 (c),(g) | 1,515,705 | 1,444,967 | ||||||||
Radiate Holdco, LLC, 1st Lien Term Loan, 0.00%, 02/01/24 (c),(p),(g) | 556,445 | 510,076 | ||||||||
UPC Broadband Holding B.V., 2020 USD Term Loan B, 1 mo. LIBOR + 2.25%, 2.95%, 04/30/28 (c),(o),(g) | 149,123 | 135,329 | ||||||||
WideOpenWest Finance LLC, 2017 Term Loan B, 1 mo. LIBOR + 3.25%, 4.25%, 08/18/23 (c),(o),(g) | 509,667 | 467,620 | ||||||||
|
| |||||||||
3,138,557 | ||||||||||
|
| |||||||||
Casinos & Gaming — 0.0% | ||||||||||
Caesars Entertainment Operating Company, Exit Term Loan, 3 mo. LIBOR + 2.00%, 2.99%, 10/07/24 (c),(g) | 87,922 | 71,070 | ||||||||
Caesars Resort Collection, LLC, 2017 1st Lien Term Loan B, 3 mo. LIBOR + 2.75%, 3.74%, 12/23/24 (c),(g) | 979,975 | 787,900 | ||||||||
Golden Nugget, Inc., |
| |||||||||
2017 Incremental Term Loan B, 1 mo. LIBOR + 2.50%, 3.49%, 10/04/23 (c),(o) | 641,134 | 496,879 | ||||||||
2017 Incremental Term Loan B, 3 mo. LIBOR + 2.50%, 3.70%, 10/04/23 (c),(o),(g) | 532,818 | 412,934 | ||||||||
|
| |||||||||
1,768,783 | ||||||||||
|
| |||||||||
Chemicals — 0.0% | ||||||||||
Ascend Performance Materials Operations LLC, 2019 Term Loan B, 3 mo. LIBOR + 5.25%, 6.70%, 08/27/26 (c),(o),(g) | 597,000 | 501,480 | ||||||||
GrafTech Finance, Inc., 2018 Term Loan B, 1 mo. LIBOR + 3.50%, 4.50%, 02/12/25 (c),(o),(g) | 681,797 | 586,346 | ||||||||
H.B. Fuller Company, 2017 Term Loan B, 1 mo. LIBOR + 2.00%, 2.77%, 10/20/24 (c),(g) | 1,300,000 | 1,120,444 | ||||||||
LyondellBasell Industries NV, |
| |||||||||
0.00%, 08/15/15 (d),(c) | 980,469 | EUR | 0 | |||||||
0.00%, 08/15/49 (d),(c) | $ | 16,732,095 | 0 |
See Notes to Consolidated Financial Statements.
55
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2020
Security Description | Principal Amount | Value | ||||||||
Trinseo Materials Operating S.C.A., 2018 Term Loan, 1 mo. LIBOR + 2.00%, 2.99%, 09/06/24 (c),(g) | $ | 249,386 | $ | 204,809 | ||||||
Univar Inc., 2019 USD Term Loan B5, 3 mo. LIBOR + 2.00%, 3.45%, 11/22/26 (c),(g) | 329,993 | 286,269 | ||||||||
|
| |||||||||
2,699,348 | ||||||||||
|
| |||||||||
Coal Operations — 0.0% | ||||||||||
Blackhawk Mining LLC, |
| |||||||||
2019 Exit Term Loan B1, 3 mo. LIBOR + 9.50%, 11.28%, 06/05/20 (c),(o),(g) | 64,001 | 57,601 | ||||||||
2019 Exit Term Loan B2, 3 mo. LIBOR + 9.50%, 11.50%, 10/31/23 (c),(o),(g) | 91,430 | 77,715 | ||||||||
|
| |||||||||
135,316 | ||||||||||
|
| |||||||||
Commercial Services — 0.0% |
| |||||||||
Prime Security Services Borrower, LLC, 2019 Term Loan B1, 1 mo. LIBOR + 3.25%, 4.61%, 09/23/26 (c),(g) | 1,194,000 | 1,066,242 | ||||||||
Sunshine Luxembourg VII SARL, USD Term Loan B1, 6 mo. LIBOR + 4.25%, 5.32%, 10/01/26 (c),(g) | 496,041 | 443,460 | ||||||||
|
| |||||||||
1,509,702 | ||||||||||
|
| |||||||||
Communications Equipment — 0.0% |
| |||||||||
Avaya, Inc., 2018 Term Loan B, 1 mo. LIBOR + 4.25%, 4.95%, 12/15/24 (c),(g) | 631,538 | 535,229 | ||||||||
CommScope, Inc., 2019 Term Loan B, 1 mo. LIBOR + 3.25%, 4.24%, 04/06/26 (c),(o),(g) | 641,707 | 603,205 | ||||||||
MLN US HoldCo LLC, 2018 1st Lien Term Loan, 1 mo. LIBOR + 4.50%, 6.02%, 11/30/25 (c),(g) | 578,251 | 396,512 | ||||||||
|
| |||||||||
1,534,946 | ||||||||||
|
| |||||||||
Construction Materials Manufacturing — 0.0% |
| |||||||||
Quikrete Holdings, Inc., 2016 1st Lien Term Loan, 1 mo. LIBOR + 2.50%, 3.49%, 02/01/27 (c),(o),(g) | 386,496 | 355,577 | ||||||||
|
| |||||||||
Consumer Finance — 0.1% |
| |||||||||
Apollo Commercial Real Estate Finance, Inc, Term Loan B, 1 mo. LIBOR + 2.75%, 3.45%, 05/15/26 (c),(o),(g) | 6,796,845 | 5,233,571 | ||||||||
Ocwen Loan Servicing, LLC, 2016 Term Loan B, 1 mo. LIBOR + 6.00%, 7.00%, 12/07/20 (c),(o) | 4,455,863 | 3,965,718 | ||||||||
|
| |||||||||
9,199,289 | ||||||||||
|
|
See Notes to Consolidated Financial Statements.
56
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2020
Security Description | Principal Amount | Value | ||||||||
Consumer Products — 0.0% |
| |||||||||
Reynolds Consumer Products LLC, Term Loan, 1 mo. USD LIBOR, 0.00%, 02/04/27 (c),(p),(g) | $ | 800,000 | $ | 749,600 | ||||||
|
| |||||||||
Consumer Services — 0.3% |
| |||||||||
Aegis Sciences Corp., 2018 Term Loan, 3 mo. LIBOR + 5.50%, 7.23%, 05/09/25 (c),(g) | 36,363 | 29,554 | ||||||||
Agro Merchants NAI Holdings LLC, 2017 1st Lien Term Loan B, 3 mo. LIBOR + 3.75%, 5.20%, 12/06/24 (c),(o),(g) | 5,641,303 | 4,682,282 | ||||||||
AlixPartners, LLP, 2017 Term Loan B, 1 mo. LIBOR + 2.50%, 3.50%, 04/04/24 (c),(o),(g) | 868,531 | 827,275 | ||||||||
Allied Universal Holdco LLC, 2019 Term Loan B, 1 mo. LIBOR + 4.25%, 5.24%, 07/10/26 (c),(o),(g) | 821,275 | 755,573 | ||||||||
Aramark Services, Inc., 2019 Term Loan B4, 1 mo. LIBOR + 1.75%, 2.74%, 01/15/27 (c),(o),(g) | 641,854 | 593,715 | ||||||||
Cambium Learning Group, Inc., Term Loan B, 3 mo. LIBOR + 4.50%, 5.95%, 12/18/25 (c),(o),(g) | 507,805 | 408,783 | ||||||||
Cast and Crew Payroll, LLC, | ||||||||||
2019 1st Lien Term Loan, 1 mo. LIBOR + 3.75%, 4.74%, 02/09/26 (c),(o),(g) | 624,037 | 486,749 | ||||||||
2020 Incremental Term Loan, 0.00%, 02/09/26 (c),(p),(o),(g) | 130,876 | 100,774 | ||||||||
CHG Healthcare Services Inc., | ||||||||||
2017 1st Lien Term Loan B, 3 mo. LIBOR + 3.00%, 4.07%, 06/07/23 (c),(g) | 492,944 | 435,432 | ||||||||
2017 1st Lien Term Loan B, 3 mo. LIBOR + 3.00%, 4.45%, 06/07/23 (c) | 1,270 | 1,122 | ||||||||
Fort Dearborn Company, | ||||||||||
2016 1st Lien Term Loan, 1 mo. LIBOR + 4.00%, 5.52%, 10/19/23 (c) | 186,898 | 156,995 | ||||||||
2016 1st Lien Term Loan, 3 mo. LIBOR + 4.00%, 5.91%, 10/19/23 (c) | 8,755,050 | 7,354,242 | ||||||||
2016 2nd Lien Term Loan, 3 mo. LIBOR, 8.50%, 10.41%, 10/21/24 (c),(d),(o) | 2,457,491 | 2,125,730 | ||||||||
Guidehouse LLP, 2018 Term Loan, 1 mo. LIBOR + 4.50%, 5.49%, 05/01/25 (c),(o),(g) | 261,851 | 209,481 | ||||||||
National Intergovernmental Purchasing Alliance Company, 1st Lien Term Loan, 3 mo. LIBOR + 3.75%, 5.20%, 05/23/25 (c),(o),(g) | 25,628 | 21,784 | ||||||||
USS Ultimate Holdings, Inc., 1st Lien Term Loan, 3 mo. USD LIBOR, 0.00%, 08/25/24 (c),(p),(o),(g) | 299,233 | 257,340 | ||||||||
|
| |||||||||
18,446,831 | ||||||||||
|
|
See Notes to Consolidated Financial Statements.
57
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2020
Security Description | Principal Amount | Value | ||||||||
Containers & Packaging — 0.1% |
| |||||||||
Berlin Packaging LLC, 2018 1st Lien Term Loan, 3 mo. USD LIBOR, 0.00%, 11/07/25 (c),(p),(o),(g) | $ | 299,239 | $ | 259,589 | ||||||
Berry Global, Inc., | ||||||||||
2019 Term Loan Y, 1 mo. LIBOR + 2.00%, 2.86%, 07/01/26 (c),(g) | 1,171,093 | 1,106,683 | ||||||||
Term Loan W, 1 mo. LIBOR + 2.00%, 2.86%, 10/01/22 (c),(g) | 113,582 | 108,139 | ||||||||
Charter NEX US, Inc., Incremental Term Loan, 1 mo. LIBOR + 3.50%, 4.49%, 05/16/24 (c),(g) | 971,065 | 839,972 | ||||||||
Flex Acquisition Company, Inc., | ||||||||||
1st Lien Term Loan, 1 mo. LIBOR + 3.00%, 4.58%, 12/29/23 (c),(o),(g) | 8,194 | 7,416 | ||||||||
1st Lien Term Loan, 3 mo. LIBOR + 3.00%, 4.91%, 12/29/23 (c),(o) | 218,308 | 197,569 | ||||||||
2018 Incremental Term Loan, 3 mo. USD LIBOR, 0.00%, 06/29/25 (c),(p),(o),(g) | 359,789 | 325,609 | ||||||||
Reynolds Group Holdings Inc., USD 2017 Term Loan, 1 mo. LIBOR + 2.75%, 3.74%, 02/05/23 (c),(o),(g) | 494,880 | 466,424 | ||||||||
|
| |||||||||
3,311,401 | ||||||||||
|
| |||||||||
Defence Equipment — 0.0% |
| |||||||||
Amentum Government Services Holdings LLC, Term Loan B, 1 mo. LIBOR + 4.00%, 4.99%, 02/03/27 (c),(o) | 179,358 | 165,009 | ||||||||
|
| |||||||||
Distributors—Discretionary — 0.0% |
| |||||||||
KAR Auction Services, Inc., 2019 Term Loan B6, 1 mo. LIBOR + 2.25%, 3.19%, 09/19/26 (c),(o),(g) | 393,200 | 361,744 | ||||||||
|
| |||||||||
Educational Services — 0.0% |
| |||||||||
Learning Care Group, Inc., 2018 1st Lien Term Loan, 3 mo. USD LIBOR, 0.00%, 03/13/25 (c),(p),(g) | 199,491 | 156,289 | ||||||||
|
| |||||||||
Electrical Equipment — 0.0% |
| |||||||||
Brookfield WEC Holdings Inc., 2020 Term Loan, 1 mo. LIBOR + 3.00%, 3.99%, 08/01/25 (c),(o),(g) | 999,253 | 939,298 | ||||||||
Vertiv Group Corporation, Term Loan B, 1 mo. LIBOR + 3.00%, 4.58%, 03/02/27 (c),(o),(g) | 204,503 | 175,872 | ||||||||
|
| |||||||||
1,115,170 | ||||||||||
|
|
See Notes to Consolidated Financial Statements.
58
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2020
Security Description | Principal Amount | Value | ||||||||
Electrical Equipment Manufacturing — 0.0% |
| |||||||||
Ingersoll-Rand Services Company, 2020 USD Spinco Term Loan, 1 mo. LIBOR + 1.75%, 2.74%, 03/01/27 (c),(g) | $ | 391,354 | $ | 365,916 | ||||||
|
| |||||||||
Entertainment Contents — 0.0% |
| |||||||||
Mediacom Illinois, LLC, Term Loan N, 1 Week LIBOR + 1.75%, 2.37%, 02/15/24 (c),(o),(g) | 174,544 | 167,562 | ||||||||
Univision Communications Inc., Term Loan C5, 1 mo. LIBOR + 2.75%, 3.75%, 03/15/24 (c),(g) | 711,411 | 599,364 | ||||||||
|
| |||||||||
766,926 | ||||||||||
|
| |||||||||
Entertainment Resources — 0.1% |
| |||||||||
Alterra Mountain Company, Term Loan B1, 1 mo. LIBOR + 2.75%, 3.74%, 07/31/24 (c),(o),(g) | 548,597 | 493,737 | ||||||||
AMC Entertainment Holdings, Inc., 2019 Term Loan B, 1 mo. LIBOR + 3.00%, 4.08%, 04/22/26 (c),(g) | 348,400 | 254,004 | ||||||||
Bulldog Purchaser, Inc., 2018 Term Loan, 3 mo. LIBOR + 3.75%, 4.82%, 09/05/25 (c),(g) | 4,383,195 | 3,550,388 | ||||||||
Crown Finance US, Inc., 2018 USD Term Loan, 6 mo. LIBOR + 2.25%, 3.32%, 02/28/25 (c),(o),(g) | 150,305 | 101,456 | ||||||||
NASCAR Holdings, Inc, Term Loan B, 1 mo. LIBOR + 2.75%, 3.67%, 10/19/26 (c),(g) | 115,470 | 100,690 | ||||||||
SMG US Midco 2, Inc., 2020 Term Loan, 3 mo. LIBOR + 2.50%, 3.43%, 01/23/25 (c),(o),(g) | 469,960 | 395,942 | ||||||||
UFC Holdings, LLC, 2019 Term Loan, 1 mo. LIBOR + 3.25%, 4.25%, 04/29/26 (c),(g) | 277,936 | 241,804 | ||||||||
|
| |||||||||
5,138,021 | ||||||||||
|
| |||||||||
Entertainment Resources — 0.0% |
| |||||||||
William Morris Endeavor Entertainment, LLC, | ||||||||||
2018 1st Lien Term Loan, 1 mo. LIBOR + 2.75%, 3.74%, 05/18/25 (c),(g) | 145,869 | 114,325 | ||||||||
2018 1st Lien Term Loan, 3 mo. LIBOR + 2.75%, 4.37%, 05/18/25 (c) | 130,191 | 102,037 | ||||||||
|
| |||||||||
216,362 | ||||||||||
|
| |||||||||
Exploration & Production — 0.0% |
| |||||||||
Par Pacific Holdings, Inc. Term Loan B, 8.600%, 01/12/26 (c),(o) | 1,888,659 | 1,284,288 | ||||||||
|
| |||||||||
Financial Services — 0.2% |
| |||||||||
Deerfield Dakota Holding, LLC, 2018 Term Loan B, 1 mo. LIBOR + 3.25%, 4.25%, 01/27/27 (c),(o),(g) | 445,455 | 436,546 |
See Notes to Consolidated Financial Statements.
59
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2020
Security Description | Principal Amount | Value | ||||||||
Focus Financial Partners, LLC, 2020 Term Loan, 1 mo. USD LIBOR, 0.00%, 07/03/24 (c),(p),(g) | $ | 1,196,954 | $ | 1,069,275 | ||||||
Getty Images, Inc. 2019 USD Term Loan B, 5.500%, 02/19/26 (c) | 6,159,687 | 4,866,153 | ||||||||
GI Revelation Acquisition LLC, 2018 1st Lien Term Loan, 1 mo. LIBOR + 5.00%, 5.99%, 04/16/25 (c),(g) | 96,006 | 73,925 | ||||||||
IG Investment Holdings, LLC, 2018 1st Lien Term Loan, 3 mo. LIBOR + 4.00%, 5.45%, 05/23/25 (c),(g) | 980,025 | 773,612 | ||||||||
LDiscovery, LLC, Term Loan, 3 mo. LIBOR + 5.88%, 7.78%, 12/09/23 (c),(o),(d),(g) | 200,538 | 170,457 | ||||||||
LPL Holdings, Inc., 2019 Term Loan B1, 1 mo. USD LIBOR, 0.00%, 11/12/26 (c),(p),(o),(g) | 315,662 | 295,933 | ||||||||
Minotaur Acquisition, Inc., Term Loan B, 1 mo. LIBOR + 5.00%, 5.99%, 03/27/26 (c),(g) | 877,358 | 722,355 | ||||||||
NFP Corp., 2020 Term Loan, 1 mo. LIBOR + 3.25%, 4.24%, 02/15/27 (c),(g) | 833,585 | 711,323 | ||||||||
Quidditch Acquisition, Inc., 2018 Term Loan B, 3 mo. LIBOR + 7.00%, 8.45%, 03/21/25 (c),(o),(d),(g) | 199,516 | 159,613 | ||||||||
Trans Union, LLC, 2019 Term Loan B5, 1 mo. LIBOR + 1.75%, 2.74%, 11/16/26 (c),(g) | 522,469 | 498,696 | ||||||||
|
| |||||||||
9,777,888 | ||||||||||
|
| |||||||||
Food & Beverage — 0.0% |
| |||||||||
CHG PPC Parent LLC, 2018 Term Loan B, 1 mo. LIBOR + 2.75%, 3.74%, 03/31/25 (c),(o),(g) | 785,196 | 698,824 | ||||||||
Chobani, LLC, 2017 Term Loan B, 1 mo. LIBOR + 3.50%, 4.50%, 10/10/23 (c),(g) | 240,929 | 213,825 | ||||||||
Dole Food Company Inc., 2017 Term Loan B, 1 mo. LIBOR + 2.75%, 3.75%, 04/06/24 (c),(g) | 298,000 | 267,083 | ||||||||
Hostess Brands, LLC, | ||||||||||
2019 Term Loan, 1 mo. LIBOR + 2.25%, 3.24%, 08/03/25 (c),(o) | 191,532 | 177,167 | ||||||||
2019 Term Loan, 3 mo. LIBOR + 2.25%, 4.01%, 08/03/25 (c),(o),(g) | 91,164 | 84,326 | ||||||||
2019 Term Loan, 3 mo. LIBOR + 2.25%, 4.03%, 08/03/25 (c),(o) | 428,481 | 396,345 | ||||||||
|
| |||||||||
1,837,570 | ||||||||||
|
| |||||||||
Gaming, Lodging & Restaurants — 0.0% |
| |||||||||
K-Mac Holdings Corp, |
| |||||||||
2018 1st Lien Term Loan, 1 mo. LIBOR + 3.00%, 3.99%, 03/14/25 (c) | 625,182 | 488,161 |
See Notes to Consolidated Financial Statements.
60
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2020
Security Description | Principal Amount | Value | ||||||||
2018 2nd Lien Term Loan, 1 mo. LIBOR + 6.75%, 7.74%, 03/16/26 (c),(d) | $ | 163,740 | $ | 114,618 | ||||||
Tacala, LLC, 1st Lien Term Loan, 1 mo. LIBOR + 3.50%, 4.49%, 02/01/25 (c) | 121,068 | 95,846 | ||||||||
|
| |||||||||
698,625 | ||||||||||
|
| |||||||||
Hardware — 0.1% |
| |||||||||
Dell International LLC, 2019 Term Loan B, 1 mo. LIBOR + 2.00%, 2.99%, 09/19/25 (c),(g) | 1,699,486 | 1,615,582 | ||||||||
Western Digital Corporation, 2018 Term Loan B4, 3 mo. LIBOR + 1.75%, 3.35%, 04/29/23 (c),(o),(g) | 1,151,127 | 1,105,082 | ||||||||
|
| |||||||||
2,720,664 | ||||||||||
|
| |||||||||
Health Care Facilities & Services — 0.7% |
| |||||||||
American Renal Holdings Inc., 2017 Term Loan B, 1 mo. LIBOR + 5.00%, 5.99%, 06/21/24 (c),(d),(g) | 23,334 | 19,775 | ||||||||
Catalent Pharma Solutions Inc., Term Loan B2, 1 mo. LIBOR + 2.25%, 3.24%, 05/18/26 (c),(o),(g) | 396,000 | 382,140 | ||||||||
Change Healthcare Holdings LLC, 2017 Term Loan B, 1 mo. LIBOR + 2.50%, 3.50%, 03/01/24 (c),(o),(g) | 734,165 | 690,115 | ||||||||
DaVita, Inc., 2020 Term Loan B, 1 mo. LIBOR + 1.75%, 2.74%, 08/12/26 (c),(g) | 509,852 | 482,769 | ||||||||
Envision Healthcare Corporation, 2018 1st Lien Term Loan, 3 mo. LIBOR + 3.75%, 4.74%, 10/10/25 (c),(g) | 307,164 | 155,118 | ||||||||
ExamWorks Group, Inc. 2017 Term Loan, 4.70%, 07/27/23 (c),(o) | 979,873 | 876,986 | ||||||||
GHX Ultimate Parent Corporation, 2017 1st Lien Term Loan, 3 mo. LIBOR + 3.25%, 4.62%, 06/28/24 (c),(o),(g) | 757,214 | 700,423 | ||||||||
HCA Inc., Term Loan B12, 1 mo. LIBOR + 1.75%, 2.74%, 03/13/25 (c),(g) | 395,696 | 373,604 | ||||||||
Heartland Dental, LLC, 2018 1st Lien Term Loan, 3 mo. USD LIBOR, 0.00%, 04/30/25 (c),(p),(g) | 110,383 | 84,259 | ||||||||
Jaguar Holding Company II, 2018 Term Loan, 1 mo. LIBOR + 2.50%, 3.50%, 08/18/22 (c),(g) | 979,714 | 932,482 | ||||||||
New Millennium HoldCo, Inc. Exit Term Loan, 7.500%, 12/21/20 (c) | 7,305,574 | 2,532,623 | ||||||||
Owens & Minor, Inc. Term Loan B, 6.081%, 04/30/25 (c),(o) | 5,529,372 | 4,451,145 | ||||||||
Packaging Coordinators Midco, Inc., 1st Lien Term Loan, 6 mo. LIBOR + 4.00%, 5.08%, 06/30/23 (c),(o),(g) | 47,877 | 41,174 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
March 31, 2020
Security Description | Principal Amount | Value | ||||||||
Parexel International Corporation, Term Loan B, 1 mo. LIBOR + 2.75%, 3.74%, 09/27/24 (c),(g) | $ | 147,183 | $ | 124,922 | ||||||
Patterson Medical Holdings, Inc., 1st Lien Term Loan, 3 mo. LIBOR + 4.75%, 6.53%, 08/29/22 (c),(g) | 10 | 7 | ||||||||
Pearl Intermediate Parent LLC, 2018 1st Lien Term Loan, 1 mo. LIBOR + 2.75%, 3.74%, 02/14/25 (c),(g) | 758,962 | 627,411 | ||||||||
Phoenix Guarantor Inc, 2020 Term Loan B, 1 mo. LIBOR + 3.25%, 4.11%, 03/05/26 (c),(o) | 985,050 | 889,008 | ||||||||
Quorum Health Corporation Term Loan B, 8.527%, 04/29/22 (c) | 14,775,868 | 11,983,228 | ||||||||
RegionalCare Hospital Partners Holdings, Inc., 2018 Term Loan B, 1 mo. LIBOR + 3.75%, 4.74%, 11/17/25 (c),(g) | 467,880 | 431,914 | ||||||||
Surgery Center Holdings, Inc., 2017 Term Loan B, 1 mo. LIBOR + 3.25%, 4.25%, 09/02/24 (c),(g) | 692,894 | 527,985 | ||||||||
Team Health Holdings, Inc. 1st Lien Term Loan, 3.750%, 02/06/24 (c),(o) | 13,675,505 | 8,547,191 | ||||||||
U.S. Anesthesia Partners, Inc., 2017 Term Loan, 1 mo. LIBOR + 3.00%, 4.00%, 06/23/24 (c),(g) | 301,656 | 223,729 | ||||||||
U.S. Renal Care, Inc. 2019 Term Loan B, 6.000%, 06/26/26 (c) | 4,026,684 | 3,480,223 | ||||||||
Wink Holdco, Inc 2nd Lien Term Loan B, 8.210%, 12/01/25 (c),(d),(o) | 7,981,327 | 6,544,689 | ||||||||
|
| |||||||||
45,102,920 | ||||||||||
|
| |||||||||
Home Improvement — 0.2% |
| |||||||||
AI Aqua Merger Sub, Inc., | ||||||||||
2017 1st Lien Term Loan B, 4.32%, 12/13/23 (c),(o) | 1,613,891 | 1,371,808 | ||||||||
2017 Incremental Term Loan, 4.32%, 12/13/23 (c),(o) | 8,418,193 | 7,155,464 | ||||||||
Apex Tool Group, LLC, 2019 Term Loan B, 1 mo. LIBOR + 5.25%, 6.50%, 08/21/24 (c),(g) | 527,287 | 403,153 | ||||||||
MI Windows and Doors, LLC, Term Loan B, 1 mo. USD LIBOR, 0.00%, 11/06/26 (c),(p),(o),(g) | 333,245 | 279,926 | ||||||||
Tamko Building Products, Inc, Term Loan B, 1 mo. LIBOR + 3.25%, 4.24%, 06/01/26 (c),(o),(g) | 646,999 | 601,709 | ||||||||
|
| |||||||||
9,812,060 | ||||||||||
|
| |||||||||
Industrial Other — 0.2% |
| |||||||||
Core & Main LP, |
| |||||||||
2017 Term Loan B, 3 mo. LIBOR + 2.75%, 4.33%, 08/01/24 (c),(o) | 186,934 | 164,035 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
March 31, 2020
Security Description | Principal Amount | Value | ||||||||
2017 Term Loan B, 1 mo. LIBOR + 2.75%, 4.33%, 08/01/24 (c),(o),(g) | $ | 289,411 | $ | 253,958 | ||||||
Pike Corporation, 2019 Term Loan B, 1 mo. LIBOR + 3.25%, 4.24%, 07/24/26 (c),(g) | 568,850 | 526,186 | ||||||||
QualTek USA, LLC 2018 1st Lien Term Loan, 8.027%, 07/18/25 (c),(o) | 12,128,183 | 10,733,442 | ||||||||
|
| |||||||||
11,677,621 | ||||||||||
|
| |||||||||
Insurance — 0.0% |
| |||||||||
USI, Inc., 2019 Incremental Term Loan B, 1 mo. LIBOR + 4.00%, 4.99%, 12/02/26 (c),(g) | 403,705 | 360,642 | ||||||||
|
| |||||||||
Internet Media — 0.0% |
| |||||||||
Ancestry.com Operations Inc., 2019 Extended Term Loan B, 1 mo. LIBOR + 4.25%, 5.24%, 08/27/26 (c),(g) | 280,188 | 221,349 | ||||||||
Go Daddy Operating Company, LLC, 2017 Repriced Term Loan, 1 mo. USD LIBOR, 0.00%, 02/15/24 (c),(p),(o),(g) | 524,313 | 498,753 | ||||||||
Micro Holding Corp., 2017 1st Lien Term Loan, 6 mo. LIBOR + 3.75%, 4.82%, 09/13/24 (c),(g) | 395,939 | 332,985 | ||||||||
Web.com Group, Inc., | ||||||||||
2018 2nd Lien Term Loan, 3 mo. LIBOR + 7.75%, 8.95%, 10/09/26 (c),(d),(g) | 101,708 | 76,619 | ||||||||
2018 Term Loan B, 3 mo. LIBOR + 3.75%, 4.95%, 10/10/25 (c),(g) | 282,672 | 230,378 | ||||||||
|
| |||||||||
1,360,084 | ||||||||||
|
| |||||||||
Machinery Manufacturing — 0.2% |
| |||||||||
Wash Multifamily Acquisition Inc., Canadian 1st Lien Term Loan, 1 mo. LIBOR + 3.25%, 4.25%, 05/14/22 (c),(o),(g) | 3,712 | 3,081 | ||||||||
Engineered Machinery Holdings, Inc., |
| |||||||||
USD 1st Lien Term Loan, 3 mo. LIBOR + 3.00%, 4.45%, 07/19/24 (c),(g) | 268,274 | 218,643 | ||||||||
USD 2nd Lien Term Loan, 8.70%, 07/18/25 (c),(o) | 8,435,663 | 6,326,747 | ||||||||
Titan Acquisition Limited 2018 Term Loan B, 4.450%, 03/28/25 (c) | 5,528,948 | 4,506,093 | ||||||||
WASH Multifamily Laundry Systems, LLC, 2015 1st Lien Term Loan, 1 mo. LIBOR + 3.25%, 4.25%, 05/14/22 (c),(o),(g) | 23,959 | 19,886 | ||||||||
|
| |||||||||
11,074,450 | ||||||||||
|
| |||||||||
Managed Care — 0.0% |
| |||||||||
MPH Acquisition Holdings LLC, 2016 Term Loan B, 3 mo. LIBOR + 2.75%, 4.20%, 06/07/23 (c),(g) | 222,603 | 196,076 | ||||||||
|
|
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
March 31, 2020
Security Description | Principal Amount | Value | ||||||||
Manufactured Goods — 0.1% |
| |||||||||
Hillman Group Inc. (The), 2018 Term Loan B, 6 mo. LIBOR + 4.00%, 5.07%, 05/31/25 (c),(g) | $ | 270,121 | $ | 209,682 | ||||||
Tecomet Inc., 2017 Repriced Term Loan, 3 mo. USD LIBOR, 0.00%, 05/01/24 (c),(p),(o),(g) | 384,766 | 323,203 | ||||||||
WireCo WorldGroup, Inc. 1st Lien Term Loan, 3 mo. LIBOR + 5.00%, 6.072%, 09/30/23 (c),(o) | 4,839,491 | 3,811,099 | ||||||||
|
| |||||||||
4,343,984 | ||||||||||
|
| |||||||||
Media — 0.1% |
| |||||||||
Charter Communications Operating, LLC, 2019 Term Loan B2, 1 mo. LIBOR + 1.75%, 2.74%, 02/01/27 (c),(g) | 1,122,109 | 1,072,546 | ||||||||
Clear Channel Outdoor Holdings, Inc., Term Loan B, 1 mo. LIBOR + 3.50%, 4.49%, 08/21/26 (c),(o),(g) | 747,908 | 628,243 | ||||||||
Entercom Media Corp., 2019 Term Loan, 1 mo. LIBOR + 2.50%, 3.49%, 11/18/24 (c),(o),(g) | 2,372,371 | 2,135,134 | ||||||||
Virgin Media Bristol LLC, USD Term Loan N, 1 mo. LIBOR + 2.50%, 3.20%, 01/31/28 (c),(g) | 168,919 | 155,405 | ||||||||
|
| |||||||||
3,991,328 | ||||||||||
|
| |||||||||
Medical Equipment & Devices — 0.0% |
| |||||||||
Albany Molecular Research, Inc., |
| |||||||||
2017 1st Lien Term Loan, 3 mo. USD LIBOR, 0.00%, 08/30/24 (c),(p),(g) | 99,744 | 85,999 | ||||||||
2017 2nd Lien Term Loan, 1 mo. LIBOR + 7.00%, 8.00%, 07/28/25 (c),(o),(d),(g) | 14,031 | 9,821 | ||||||||
|
| |||||||||
95,820 | ||||||||||
|
| |||||||||
Medical Equipment & Devices Manufacturing — 0.0% |
| |||||||||
Athenahealth, Inc., 2019 Term Loan B, 3 mo. LIBOR + 4.50%, 5.28%, 02/11/26 (c),(o),(g) | 998,656 | 928,750 | ||||||||
CPI Holdco, LLC, 2019 Term Loan, 3 mo. LIBOR + 4.25%, 5.70%, 11/04/26 (c),(o),(g) | 60,606 | 52,121 | ||||||||
Femur Buyer, Inc., 1st Lien Term Loan, 3 mo. LIBOR + 4.50%, 5.95%, 03/05/26 (c),(o),(g) | 496,250 | 392,038 | ||||||||
|
| |||||||||
1,372,909 | ||||||||||
|
| |||||||||
Oil, Gas & Coal — 0.2% |
| |||||||||
IBI Media Inc. 2019 Term Loan B, 3 mo. LIBOR, 7.00%, 8.00%, 08/01/23 (c) | 6,063,117 | 4,890,934 | ||||||||
PG&E Corp Term Loan, 3 mo. LIBOR + 0.20%, 3.450%, 04/16/21 (c),(o) | 4,670,589 | 4,343,648 | ||||||||
|
| |||||||||
9,234,582 | ||||||||||
|
|
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
March 31, 2020
Security Description | Principal Amount | Value | ||||||||
Pharmaceuticals — 0.0% |
| |||||||||
Arbor Pharmaceuticals, Inc., Term Loan B, 1 mo. LIBOR + 5.00%, 6.00%, 07/05/23 (c),(g) | $ | 102,542 | $ | 73,190 | ||||||
Bausch Health Companies Inc., | ||||||||||
2018 Term Loan B, 1 mo. LIBOR + 3.00%, 3.61%, 06/02/25 (c),(g) | 235,871 | 223,193 | ||||||||
Term Loan B, 1 mo. LIBOR + 2.75%, 3.36%, 11/27/25 (c),(g) | 608,874 | 575,386 | ||||||||
Endo Luxembourg Finance Company I S.a r.l., 2017 Term Loan B, 1 mo. LIBOR + 4.25%, 5.25%, 04/29/24 (c),(o),(g) | 449,717 | 401,372 | ||||||||
|
| |||||||||
1,273,141 | ||||||||||
|
| |||||||||
Power Generation — 0.0% |
| |||||||||
Calpine Corporation, |
| |||||||||
2019 Term Loan B10, 1 mo. LIBOR + 2.00%, 2.99%, 08/12/26 (c),(o),(g) | 675,825 | 635,275 | ||||||||
Term Loan B5, 1 mo. LIBOR + 2.25%, 3.24%, 01/15/24 (c),(g) | 897,644 | 859,943 | ||||||||
Vistra Operations Company LLC, | ||||||||||
1st Lien Term Loan B3, 1 mo. LIBOR + 1.75%, 2.55%, 12/31/25 (c) | 97,654 | 92,405 | ||||||||
1st Lien Term Loan B3, 1 mo. LIBOR + 1.75%, 2.74%, 12/31/25 (c),(g) | 408,006 | 386,076 | ||||||||
|
| |||||||||
1,973,699 | ||||||||||
|
| |||||||||
Property & Casualty Insurance — 0.2% |
| |||||||||
Alliant Holdings Intermediate, LLC, 2018 Term Loan B, 1 mo. LIBOR + 3.00%, 3.99%, 05/09/25 (c),(g) | 386,482 | 350,152 | ||||||||
AmWINS Group, Inc., | ||||||||||
2017 Term Loan B, 1 mo. LIBOR + 2.75%, 3.75%, 01/25/24 (c),(o) | 354,203 | 326,310 | ||||||||
2017 Term Loan B, 1 mo. LIBOR + 2.75%, 3.77%, 01/25/24 (c),(o),(g) | 70,959 | 65,371 | ||||||||
AssuredPartners, Inc., 2020 Term Loan B, 1 mo. LIBOR + 3.50%, 4.49%, 02/12/27 (c),(g) | 849,148 | 736,636 | ||||||||
Asurion LLC, | ||||||||||
2017 2nd Lien Term Loan, 1 mo. LIBOR + 6.50%, 7.49%, 08/04/25 (c),(g) | 241,559 | 220,121 | ||||||||
2017 Term Loan B4, 1 mo. LIBOR + 3.00%, 3.99%, 08/04/22 (c),(g) | 423,019 | 399,046 | ||||||||
2018 Term Loan B6, 1 mo. LIBOR + 3.00%, 3.99%, 11/03/23 (c),(o),(g) | 395,826 | 376,035 | ||||||||
2018 Term Loan B7, 1 mo. USD LIBOR, 0.00%, 11/03/24 (c),(p),(o),(g) | 1,196,954 | 1,131,122 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
March 31, 2020
Security Description | Principal Amount | Value | ||||||||
Broadstreet Partners, Inc., 2020 Term Loan B, 1 mo. LIBOR + 3.25%, 4.24%, 01/27/27 (c),(g) | $ | 388,854 | $ | 339,194 | ||||||
Hub International Limited, | ||||||||||
2018 Term Loan B, 3 mo. LIBOR + 2.75%, 4.39%, 04/25/25 (c),(g) | 53,559 | 49,756 | ||||||||
2018 Term Loan B, 2 mo. LIBOR + 2.75%, 4.55%, 04/25/25 (c) | 1,126,095 | 1,046,142 | ||||||||
NMI Holdings, Inc., 2018 Term Loan B, 1 mo. LIBOR + 4.75%, 5.75%, 05/24/23 (c),(o),(g) | 6,687,912 | 5,885,363 | ||||||||
Sedgwick Claims Management Services, Inc., | ||||||||||
2018 Term Loan B, 1 mo. LIBOR + 3.25%, 4.24%, 12/31/25 (c),(g) | 395,990 | 348,142 | ||||||||
2019 Term Loan B, 3 mo. USD LIBOR, 0.00%, 09/03/26 (c),(p),(g) | 248,459 | 222,681 | ||||||||
|
| |||||||||
11,496,071 | ||||||||||
|
| |||||||||
Publishing & Broadcasting — 0.1% |
| |||||||||
A-L Parent LLC, | ||||||||||
2016 1st Lien Term Loan, 4.25%, 12/01/23 (c) | 5,554,333 | 3,628,813 | ||||||||
2016 2nd Lien Term Loan, 0.00%, 12/02/24 (c),(p),(o),(d),(g) | 857,047 | 599,933 | ||||||||
iHeartCommunications, Inc., 2020 Term Loan, 1 mo. LIBOR + 3.00%, 3.99%, 05/01/26 (c),(g) | 349,687 | 292,863 | ||||||||
LBI Media, Inc., Exit Term Loan, 3 mo. LIBOR + 7.50%, 9.33%, 10/16/24 (c),(d),(o) | 200,452 | 184,415 | ||||||||
Nexstar Broadcasting, Inc., 2019 Term Loan B4, 1 mo. LIBOR + 2.75%, 3.73%, 09/18/26 (c),(g) | 1,530,972 | 1,419,211 | ||||||||
|
| |||||||||
6,125,235 | ||||||||||
|
| |||||||||
Real Estate — 0.1% |
| |||||||||
Colorado Buyer Inc 2nd Lien Term Loan, 8.250%, 05/01/25 (c),(d) | 1,835,279 | 650,496 | ||||||||
Invitation Homes Operating Partnership LP, Term Loan A, 1 mo. LIBOR + 1.70%, 2.66%, 02/06/22 (c),(o),(g) | 6,872,000 | 5,841,200 | ||||||||
VICI Properties 1 LLC, Replacement Term Loan B, 1 mo. LIBOR + 1.75%, 2.67%, 12/20/24 (c),(g) | 98,760 | 90,489 | ||||||||
|
| |||||||||
6,582,185 | ||||||||||
|
| |||||||||
Refining & Marketing — 0.1% |
| |||||||||
Citgo Petroleum Corporation 2019 Term Loan B, 6.000%, 03/28/24 (c),(o) | 7,494,133 | 6,519,896 | ||||||||
Gulf Finance, LLC, |
| |||||||||
Term Loan B, 3 mo. LIBOR + 5.25%, 6.71%, 08/25/23 (c) | 50,948 | 25,423 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
March 31, 2020
Security Description | Principal Amount | Value | ||||||||
Term Loan B, 1 mo. LIBOR + 5.25%, 6.84%, 08/25/23 (c) | $ | 85,564 | $ | 42,696 | ||||||
|
| |||||||||
6,588,015 | ||||||||||
|
| |||||||||
Restaurants — 0.1% |
| |||||||||
1011778 B.C. Unlimited Liability Company, Term Loan B4, 1 mo. LIBOR + 1.75%, 2.74%, 11/19/26 (c),(o),(g) | 1,618,530 | 1,489,048 | ||||||||
Fogo De Chao, Inc., 2018 Add On Term Loan, 3 mo. LIBOR + 4.25%, 5.70%, 04/07/25 (c),(o),(d),(g) | 757,392 | 492,305 | ||||||||
IRB Holding Corp, | ||||||||||
2020 Term Loan B, 6 mo. LIBOR + 2.75%, 3.75%, 02/05/25 (c),(g) | 399,006 | 306,488 | ||||||||
2020 Term Loan B, 3 mo. LIBOR + 2.75%, 3.95%, 02/05/25 (c) | 1,021 | 784 | ||||||||
KFC Holding Co., 2018 Term Loan B, 3 mo. USD LIBOR, 0.00%, 04/03/25 (c),(p),(o),(g) | 341,338 | 321,711 | ||||||||
Whatabrands LLC, 2020 Term Loan B, 1 mo. LIBOR + 2.75%, 3.77%, 08/03/26 (c),(g) | 549,210 | 450,583 | ||||||||
|
| |||||||||
3,060,919 | ||||||||||
|
| |||||||||
Retail—Consumer Discretionary — 0.1% |
| |||||||||
American Builders & Contractors Supply Co., Inc., 2019 Term Loan, 1 mo. LIBOR + 2.00%, 2.99%, 01/15/27 (c),(o),(g) | 485,560 | 456,427 | ||||||||
Avis Budget Car Rental, LLC, 2020 Term Loan B, 1 mo. LIBOR + 1.75%, 2.74%, 08/06/27 (c),(g) | 708,927 | 568,326 | ||||||||
Bass Pro Group, LLC Term Loan B, 6.072%, 09/25/24 (c),(o) | 3,310,067 | 2,763,906 | ||||||||
CNT Holdings III Corp, 2017 Term Loan, 6 mo. LIBOR + 3.00%, 4.08%, 01/22/23 (c),(g) | 442,396 | 393,458 | ||||||||
Harbor Freight Tools USA, Inc., 2018 Term Loan B, 3 mo. LIBOR + 2.50%, 3.49%, 08/18/23 (c),(g) | 183,866 | 166,215 | ||||||||
Petco Animal Supplies, Inc., 2017 Term Loan B, 3 mo. LIBOR + 3.25%, 5.03%, 01/26/23 (c),(g) | 480,997 | 331,407 | ||||||||
PetSmart, Inc., Consenting Term Loan, 6 mo. LIBOR + 4.00%, 5.00%, 03/11/22 (c) | 265,540 | 253,957 | ||||||||
SRS Distribution Inc., | ||||||||||
2018 1st Lien Term Loan, 1 mo. LIBOR + 3.25%, 4.32%, 05/23/25 (c) | 776 | 654 | ||||||||
2018 1st Lien Term Loan, 6 mo. LIBOR + 3.25%, 4.32%, 05/23/25 (c),(g) | 403,137 | 339,642 | ||||||||
Wand NewCo 3, Inc., 2020 Term Loan, 1 mo. USD LIBOR, 0.00%, 02/05/26 (c),(p),(o),(g) | 535,327 | 476,441 | ||||||||
|
| |||||||||
5,750,433 | ||||||||||
|
|
See Notes to Consolidated Financial Statements.
67
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Consolidated Schedule of Investments (Continued)
March 31, 2020
Security Description | Principal Amount | Value | ||||||||
Retail—Consumer Staples — 0.0% |
| |||||||||
US Foods, Inc., |
| |||||||||
2016 Term Loan B, 1 mo. LIBOR + 1.75%, 2.74%, 06/27/23 (c),(g) | $ | 478,476 | $ | 440,997 | ||||||
2019 Term Loan B, 6 mo. LIBOR + 2.00%, 3.07%, 09/13/26 (c),(g) | 982,684 | 892,277 | ||||||||
|
| |||||||||
1,333,274 | ||||||||||
|
| |||||||||
Retail—Discretionary — 0.0% |
| |||||||||
Priso Acquisition Corporation, 2017 Term Loan B, 3 mo. LIBOR + 3.00%, 4.91%, 05/08/22 (c),(o),(d),(g) | 180,054 | 147,644 | ||||||||
|
| |||||||||
Semiconductors — 0.0% |
| |||||||||
ON Semiconductor Corporation, 2019 Term Loan B, 1 mo. LIBOR + 2.00%, 2.99%, 09/19/26 (c),(o),(g) | 419,015 | 391,779 | ||||||||
|
| |||||||||
Software — 0.0% |
| |||||||||
DCert Buyer, Inc., 2019 Term Loan B, 3 mo. LIBOR + 4.00%, 4.99%, 10/16/26 (c),(g) | 731,708 | 648,783 | ||||||||
Mitchell International, Inc., 2017 1st Lien Term Loan, 1 mo. LIBOR + 3.25%, 4.24%, 11/29/24 (c),(g) | 615,647 | 508,937 | ||||||||
|
| |||||||||
1,157,720 | ||||||||||
|
| |||||||||
Software & Services — 0.2% |
| |||||||||
Applied Systems, Inc., 2017 1st Lien Term Loan, 3 mo. LIBOR + 3.25%, 4.70%, 09/19/24 (c),(g) | 757,446 | 695,586 | ||||||||
Banff Merger Sub Inc, 2018 USD Term Loan B, 3 mo. USD LIBOR, 0.00%, 10/02/25 (c),(p),(g) | 997,475 | 823,166 | ||||||||
Blackboard, Inc. 2019 Term Loan B5, 7.737%, 06/30/24 (c),(o) | 4,723,574 | 4,133,127 | ||||||||
Castle US Holding Corporation, USD Term Loan B, 1 mo. LIBOR + 3.75%, 5.20%, 01/29/27 (c),(g) | 277,116 | 219,789 | ||||||||
CCC Information Services, Inc., 2017 1st Lien Term Loan, 1 mo. LIBOR + 2.75%, 3.75%, 04/29/24 (c),(g) | 657,995 | 596,894 | ||||||||
Compuware Corporation, 2018 Term Loan B, 1 mo. LIBOR + 4.00%, 4.99%, 08/22/25 (c),(g) | 160,409 | 151,319 | ||||||||
ConvergeOne Holdings, Inc., 2019 Term Loan, 1 mo. LIBOR + 5.00%, 5.99%, 01/04/26 (c),(o),(g) | 283,951 | 215,802 | ||||||||
Dun & Bradstreet Corporation (The), Term Loan, 1 mo. USD LIBOR, 0.00%, 02/06/26 (c),(p),(d),(g) | 387,465 | 347,266 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
March 31, 2020
Security Description | Principal Amount | Value | ||||||||
Epicor Software Corporation, 1st Lien Term Loan, 1 mo. LIBOR + 3.25%, 4.25%, 06/01/22 (c),(g) | $ | 322,042 | $ | 293,058 | ||||||
Flexera Software LLC, 2018 1st Lien Term Loan, 1 mo. LIBOR + 3.50%, 4.50%, 02/26/25 (c),(g) | 395,960 | 355,374 | ||||||||
Genuine Financial Holdings, LLC, 2018 1st Lien Term Loan, 3 mo. USD LIBOR, 0.00%, 07/12/25 (c),(p),(g) | 99,747 | 81,294 | ||||||||
Help/Systems Holdings, Inc, 2019 Term Loan B, 1 mo. LIBOR + 4.75%, 5.75%, 11/19/26 (c),(o),(g) | 577,656 | 486,675 | ||||||||
Hyland Software, Inc., 2018 1st Lien Term Loan, 3 mo. LIBOR + 3.50%, 4.24%, 07/01/24 (c),(o),(g) | 377,282 | 348,986 | ||||||||
Informatica LLC, | ||||||||||
2020 USD 2nd Lien Term Loan, 7.13%, 02/14/25 (c),(o),(d) | 77,519 | 68,217 | ||||||||
2020 USD Term Loan B, 1 mo. LIBOR + 3.25%, 4.24%, 02/14/27 (c),(g) | 295,964 | 255,023 | ||||||||
Kronos Incorporated, 2017 Term Loan B, 3 mo. LIBOR + 3.00%, 4.76%, 11/01/23 (c),(g) | 757,826 | 687,886 | ||||||||
McAfee, LLC, 2018 USD Term Loan B, 1 mo. LIBOR + 3.75%, 4.69%, 09/30/24 (c),(g) | 692,965 | 646,765 | ||||||||
Perforce Software, Inc., 2020 Term Loan B, 1 mo. LIBOR + 3.75%, 4.74%, 07/01/26 (c),(g) | 674,548 | 562,121 | ||||||||
Presidio, Inc., 2020 Term Loan B, 3 mo. LIBOR + 3.50%, 5.28%, 12/19/26 (c),(o),(g) | 173,881 | 161,709 | ||||||||
Project Alpha Intermediate Holding, Inc., 2017 Term Loan B, 6 mo. LIBOR + 3.50%, 5.38%, 04/26/24 (c),(o),(g) | 294,139 | 264,725 | ||||||||
Project Boost Purchaser, LLC, 2019 Term Loan B, 3 mo. USD LIBOR, 0.00%, 06/01/26 (c),(p),(g) | 397,188 | 327,017 | ||||||||
Rackspace Hosting, Inc., 2017 Incremental 1st Lien Term Loan, 3 mo. LIBOR + 3.00%, 4.76%, 11/03/23 (c),(g) | 488,903 | 422,901 | ||||||||
Sabre GLBL Inc., 2018 Term Loan B, 1 mo. LIBOR + 2.00%, 2.99%, 02/22/24 (c),(g) | 147,262 | 122,595 | ||||||||
SolarWinds Holdings, Inc., 2018 Term Loan B, 3 mo. USD LIBOR, 0.00%, 02/05/24 (c),(p),(g) | 535,392 | 496,132 | ||||||||
SS&C Technologies Holdings Europe S.A.R.L., 2018 Term Loan B4, 1 mo. LIBOR + 1.75%, 2.74%, 04/16/25 (c),(g) | 256,364 | 239,060 | ||||||||
SS&C Technologies Inc., | ||||||||||
2018 Term Loan B3, 1 mo. LIBOR + 1.75%, 2.74%, 04/16/25 (c),(g) | 359,282 | 335,031 | ||||||||
2018 Term Loan B5, 1 mo. USD LIBOR, 0.00%, 04/16/25 (c),(p),(g) | 423,283 | 394,978 |
See Notes to Consolidated Financial Statements.
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March 31, 2020
Security Description | Principal Amount | Value | ||||||||
Surf Holdings, LLC, USD Term Loan, 3 mo. LIBOR + 3.50%, 4.81%, 03/05/27 (c),(o),(g) | $ | 85,131 | $ | 75,341 | ||||||
Tempo Acquisition LLC, Term Loan, 3 mo. USD LIBOR, 0.00%, 05/01/24 (c),(p),(g) | 414,077 | 368,528 | ||||||||
Veritas Bermuda Ltd., USD Repriced Term Loan B, 3 mo. USD LIBOR, 0.00%, 01/27/23 (c),(p),(g) | 329,293 | 279,899 | ||||||||
Verscend Holding Corp., 2018 Term Loan B, 1 mo. LIBOR + 4.50%, 5.49%, 08/27/25 (c),(o),(g) | 441,696 | 415,194 | ||||||||
VS Buyer, LLC, Term Loan B, 3 mo. LIBOR + 3.25%, 4.86%, 03/02/27 (c),(o),(g) | 70,961 | 67,768 | ||||||||
|
| |||||||||
14,939,226 | ||||||||||
|
| |||||||||
Technology Services — 0.0% |
| |||||||||
Access CIG, LLC, 2018 1st Lien Term Loan, 3 mo. LIBOR + 3.75%, 5.53%, 02/27/25 (c),(g) | 223,350 | 180,635 | ||||||||
IMS Health Inc., 2017 USD Term Loan B2, 1 mo. USD LIBOR, 0.00%, 01/17/25 (c),(p),(g) | 444,559 | 400,845 | ||||||||
|
| |||||||||
581,480 | ||||||||||
|
| |||||||||
Transportation & Logistics — 0.0% |
| |||||||||
Lineage Logistics Holdings, LLC, 2018 Term Loan, 1 mo. LIBOR + 3.00%, 4.00%, 02/27/25 (c),(o),(g) | 450,030 | 417,965 | ||||||||
|
| |||||||||
Travel & Lodging — 0.0% |
| |||||||||
Casablanca US Holdings, Inc., 2018 1st Lien Term Loan, 3 mo. LIBOR + 4.00%, 5.62%, 03/29/24 (c),(g) | 1,979,320 | 1,583,456 | ||||||||
Diamond Resorts International, Inc., 2018 Term Loan B, Citibank, N.A., 1 mo. LIBOR + 3.75%, 4.75%, 09/02/23 (c),(o),(g) | 99,241 | 66,987 | ||||||||
Marriott Ownership Resorts, Inc., 2019 Term Loan B, 0.00%, 08/29/25 (c),(p),(o),(g) | 340,000 | 295,800 | ||||||||
|
| |||||||||
1,946,243 | ||||||||||
|
| |||||||||
Utilities — 0.2% |
| |||||||||
Pacific Gas & Electric Company, Revolver, 3 mo. USD LIBOR, 0.00%, 04/27/22 (c),(p),(g),(i) | 6,297,991 | 5,995,688 | ||||||||
PG&E Opco Revolver, 3 mo. LIBOR + 0.48, 3.75%, 04/27/22 (c),(o) | 5,336,104 | 4,962,576 | ||||||||
|
| |||||||||
10,958,264 | ||||||||||
|
| |||||||||
Waste & Environmental Services & Equipment — 0.0% |
| |||||||||
EnergySolutions, LLC, 2018 Term Loan B, 3 mo. LIBOR + 3.75%, 5.20%, 05/09/25 (c),(o),(g) | 875,163 | 752,640 | ||||||||
ERM Emerald US Inc., USD Term Loan B1, 3 mo. LIBOR + 3.75%, 5.20%, 02/05/23 (c),(o) | 310,028 | 273,600 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
March 31, 2020
Security Description | Principal Amount | Value | ||||||||||
GFL Environmental Inc., | ||||||||||||
2018 USD Term Loan B, 1 mo. LIBOR + 3.00%, 3.99%, 05/30/25 (c),(g) | $ | 185,828 | $ | 179,325 | ||||||||
2018 USD Term Loan B, 1 mo. LIBOR + 3.00%, 4.00%, 05/30/25 (c) | 33,252 | 32,088 | ||||||||||
US Ecology Holdings, Inc., Term Loan B, 1 mo. LIBOR + 2.50%, 3.49%, 11/1/26 (c),(o),(g) | 226,705 | 215,369 | ||||||||||
|
| |||||||||||
1,453,022 | ||||||||||||
|
| |||||||||||
Wireless Telecommunications Services — 0.1% |
| |||||||||||
CenturyLink, Inc., 2020 Term Loan B, 1 mo. LIBOR + 2.25%, 3.24%, 03/15/27 (c),(g) | 2,428,406 | 2,253,877 | ||||||||||
Level 3 Financing Inc., 2019 Term Loan B, 1 mo. LIBOR + 1.75%, 2.74%, 03/01/27 (c),(g) | 550,153 | 511,642 | ||||||||||
SBA Senior Finance II LLC, 2018 Term Loan B, 1 mo. LIBOR + 1.75%, 2.74%, 04/11/25 (c),(g) | 584,711 | 551,382 | ||||||||||
Securus Technologies Holdings, Inc., 2017 1st Lien Term Loan, 3 mo. USD LIBOR, 0.00%, 11/01/24 (c),(p),(o),(g) | 53,322 | 41,058 | ||||||||||
Sprint Communications, Inc., 1st Lien Term Loan B, 1 mo. LIBOR + 2.50%, 3.50%, 02/02/24 (c),(o),(g) | 1,007,214 | 999,660 | ||||||||||
Switch, Ltd., 2017 Term Loan B, 3 mo. LIBOR + 2.25%, 3.24%, 06/27/24 (c),(o),(g) | 665,500 | 608,932 | ||||||||||
Telesat Canada, Term Loan B5, 1 mo. LIBOR + 2.75%, 3.74%, 12/07/26 (c),(o),(g) | 750,256 | 712,744 | ||||||||||
|
| |||||||||||
5,679,295 | ||||||||||||
|
| |||||||||||
Total North America |
| 271,900,607 | ||||||||||
|
| |||||||||||
South America — 0.1% |
| |||||||||||
Cable & Satellite — 0.0% |
| |||||||||||
Coral-USCo-Borrower, LLC, 2020 Term Loan B5, 1 mo. LIBOR + 2.25%, 3.24%, 01/31/28 (c),(o),(g) | 389,482 | 362,704 | ||||||||||
|
| |||||||||||
Iron & Steel — 0.1% |
| |||||||||||
Samarco Mineracao S.A., Fixed Rate Term Loan, 0.00%, 03/25/21 (c),(p),(o) | 8,773,832 | 3,246,318 | ||||||||||
|
| |||||||||||
Total South America |
| 3,609,022 | ||||||||||
|
| |||||||||||
TOTAL BANK DEBT |
| 286,545,931 | ||||||||||
|
|
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
March 31, 2020
Security Description | Principal Amount | Value | ||||||||
CORPORATE BONDS & NOTES — 6.0% |
| |||||||||
Africa — 0.1% | ||||||||||
Utilities — 0.1% | ||||||||||
Eskom Holdings SOC Ltd., |
| |||||||||
5.75%, 01/26/21 (e),(k) | $ | 4,371,000 | $ | 3,693,495 | ||||||
8.45%, 08/10/28 (e) | 3,005,000 | 2,085,470 | ||||||||
|
| |||||||||
5,778,965 | ||||||||||
|
| |||||||||
Total Africa | 5,778,965 | |||||||||
|
| |||||||||
Asia — 0.0% | ||||||||||
Financial Services — 0.0% | ||||||||||
VTB Bank OJSC Via VTB Capital SA, 6.95%, 10/17/22 (e) | 3,032,000 | 3,016,846 | ||||||||
|
| |||||||||
Total Asia | 3,016,846 | |||||||||
|
| |||||||||
Europe — 0.1% | ||||||||||
Automobiles Manufacturing — 0.0% | ||||||||||
Mclaren Finance plc, 5.00%, 08/01/22 (c),(e) | 2,470,000 | GBP | 2,030,836 | |||||||
|
| |||||||||
Banks — 0.1% | ||||||||||
ICBC Standard Bank plc, MTN, 15.36%, 10/01/21 (f),(b) | 130,330,000 | UAH | 4,392,299 | |||||||
|
| |||||||||
Entertainment Resources — 0.0% | ||||||||||
CPUK Finance Ltd., 4.25%, 02/28/47 (f),(c) | 160,000 | GBP | 159,481 | |||||||
|
| |||||||||
Wireless Telecommunications Services — 0.0% | ||||||||||
VF Ukraine PAT via VFU Funding plc, 6.20%, 02/11/25 (f) | $ | 517,000 | 429,213 | |||||||
|
| |||||||||
Total Europe | 7,011,829 | |||||||||
|
| |||||||||
Middle East — 0.7% | ||||||||||
Exploration & Production — 0.7% | ||||||||||
Oil and Gas Holding Co. BSCC, 7.50%, 10/25/27 (e),(h) | 50,000,000 | 42,962,000 | ||||||||
|
| |||||||||
Financial Services — 0.0% | ||||||||||
MDC-GMTN BV, MTN, 4.50%, 11/07/28 (e) | 1,379,000 | 1,450,543 | ||||||||
|
| |||||||||
Total Middle East | 44,412,543 | |||||||||
|
| |||||||||
North America — 3.5% | ||||||||||
Airlines — 0.0% | ||||||||||
American Airlines Group, Inc., 3.75%, 03/01/25 (f),(c),(b) | 742,000 | 519,400 | ||||||||
|
| |||||||||
Banks — 0.0% | ||||||||||
Promerica Financial Corp., 9.70%, 05/14/24 (f),(b) | 3,400,000 | 2,863,480 | ||||||||
|
|
See Notes to Consolidated Financial Statements.
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March 31, 2020
Security Description | Principal Amount | Value | ||||||||
Consumer Finance — 0.1% | ||||||||||
Curo Group Holdings Corp., 8.25%, 09/01/25 (f),(c),(b) | $ | 14,944,000 | $ | 10,535,520 | ||||||
|
| |||||||||
Consumer Products — 0.1% | ||||||||||
Kronos Acquisition Holdings, Inc., 9.00%, 08/15/23 (f),(c),(b) | 4,570,000 | 3,747,400 | ||||||||
|
| |||||||||
Exploration & Production — 0.1% | ||||||||||
Par Petroleum LLC / Petroleum Finance Corp., 7.75%, 12/15/25 (f),(c),(b) | 12,479,000 | 7,830,573 | ||||||||
|
| |||||||||
Financial Services — 0.0% | ||||||||||
MF Global Holdings Ltd., 6.75%, 08/08/16 (i),(c),(o),(d) | 436,000 | 135,160 | ||||||||
|
| |||||||||
Food & Beverage — 0.2% | ||||||||||
Cooke Omega Investments, Inc. / Alpha VesselCo Holdings, Inc., 8.50%, 12/15/22 (f),(c),(b) | 12,947,000 | 12,752,795 | ||||||||
|
| |||||||||
Health Care Facilities & Services — 0.1% | ||||||||||
AHP Health Partners, Inc., 9.75%, 07/15/26 (f),(c),(b) | 7,443,000 | 6,440,814 | ||||||||
BCPE Cycle Merger Sub II, Inc., 10.63%, 07/15/27 (f),(c),(b) | 2,792,000 | 2,345,280 | ||||||||
|
| |||||||||
8,786,094 | ||||||||||
|
| |||||||||
Home Improvement — 0.1% | ||||||||||
Werner FinCo LP / Werner FinCo, Inc., 8.75%, 07/15/25 (f),(c),(b) | 4,383,000 | 3,857,040 | ||||||||
|
| |||||||||
Homebuilders — 0.0% |
| |||||||||
Adams Homes, Inc., 7.50%, 02/15/25 (f),(c),(b) | 414,000 | 395,370 | ||||||||
|
| |||||||||
Industrial Other — 0.3% |
| |||||||||
Michael Baker International LLC, 8.75%, 03/01/23 (f),(c),(b) | 20,381,000 | 19,922,427 | ||||||||
|
| |||||||||
Integrated Oils — 0.6% |
| |||||||||
Petroleos Mexicanos, | ||||||||||
5.95%, 01/28/31 (f) | 1,712,000 | 1,177,171 | ||||||||
6.35%, 02/12/48 (h) | 13,839,000 | 8,649,375 | ||||||||
6.63%, 06/15/35 (h) | 550,000 | 369,848 | ||||||||
6.75%, 09/21/47 (h) | 4,650,000 | 2,973,163 | ||||||||
6.84%, 01/23/30 (f),(h) | 13,600,000 | 9,839,872 | ||||||||
6.95%, 01/28/60 (e),(f),(h) | 5,840,000 | 3,896,448 | ||||||||
7.69%, 01/23/50 (e),(f),(h) | 16,446,000 | 11,429,970 | ||||||||
|
| |||||||||
38,335,847 | ||||||||||
|
|
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
March 31, 2020
Security Description | Principal Amount | Value | ||||||||
Internet Media — 0.1% |
| |||||||||
Getty Images, Inc., 9.75%, 03/01/27 (f),(c),(b) | $ | 4,918,000 | $ | 3,604,476 | ||||||
Uber Technologies, Inc., 7.50%, 11/01/23 (f),(c),(b) | 2,361,000 | 2,293,263 | ||||||||
|
| |||||||||
5,897,739 | ||||||||||
|
| |||||||||
Machinery Manufacturing — 0.1% |
| |||||||||
Husky III Holding Ltd., PIK, 13.00%, 02/15/25 (f),(c) | 4,110,000 | 3,018,713 | ||||||||
Titan Acquisition Ltd./TitanCo-Borrower LLC, 7.75%, 04/15/26 (f),(c),(b) | 4,545,000 | 3,795,075 | ||||||||
|
| |||||||||
6,813,788 | ||||||||||
|
| |||||||||
Managed Care — 0.2% |
| |||||||||
MPH Acquisition Holdings LLC, 7.13%, 06/01/24 (f),(c),(b) | 12,186,000 | 10,602,551 | ||||||||
|
| |||||||||
Manufactured Goods — 0.1% |
| |||||||||
Foxtrot Escrow Issuer LLC / Foxtrot Escrow Corp., 12.25%, 11/15/26 (f),(c),(b) | 4,813,000 | 3,754,140 | ||||||||
|
| |||||||||
Oil & Gas Services & Equipment — 0.1% |
| |||||||||
CSI Compressco LP / CSI Compressco Finance, Inc., |
| |||||||||
7.25%, 08/15/22 (c),(b) | 8,544,000 | 4,699,200 | ||||||||
7.50%, 04/01/25 (f),(c),(b) | 6,866,000 | 4,600,288 | ||||||||
Waldorf Production Ltd., 1.00%, 01/02/49 (d),(c) | 9,926 | 4,070 | ||||||||
|
| |||||||||
9,303,558 | ||||||||||
|
| |||||||||
Pipeline — 0.4% |
| |||||||||
American Midstream Partners LP / American Midstream Finance Corp., 9.50%, 12/15/21 (f),(c),(b) | 21,665,000 | 20,365,100 | ||||||||
Martin Midstream Partners LP / Martin Midstream Finance Corp., 7.25%, 02/15/21 (c),(b) | 16,593,000 | 8,899,656 | ||||||||
|
| |||||||||
29,264,756 | ||||||||||
|
| |||||||||
Real Estate — 0.1% |
| |||||||||
ESH Hospitality, Inc., 4.63%, 10/01/27 (f),(c),(b) | 1,144,000 | 892,320 | ||||||||
Senior Housing Properties Trust, 4.75%, 02/15/28 (c),(b) | 3,444,000 | 3,077,527 | ||||||||
|
| |||||||||
3,969,847 | ||||||||||
|
| |||||||||
Refining & Marketing — 0.1% |
| |||||||||
Citgo Holding, Inc., 9.25%, 08/01/24 (f),(c),(b) | 9,263,000 | 7,549,345 | ||||||||
CITGO Petroleum Corp., 6.25%, 08/15/22 (f),(c),(b) | 382,000 | 353,366 | ||||||||
|
| |||||||||
7,902,711 | ||||||||||
|
|
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
March 31, 2020
Security Description | Principal Amount | Value | ||||||||
Retail—Consumer Discretionary — 0.4% |
| |||||||||
DriveTime Automotive Group, Inc. / Bridgecrest Acceptance Corp., 8.00%, 06/01/21 (f),(c),(b) | $ | 14,510,000 | $ | 12,841,350 | ||||||
Guitar Center, Inc., 9.50%, 10/15/21 (f),(c),(b) | 15,458,000 | 11,482,202 | ||||||||
Staples, Inc., 7.50%, 04/15/26 (f),(c),(b) | 1,014,000 | 887,256 | ||||||||
|
| |||||||||
25,210,808 | ||||||||||
|
| |||||||||
Software & Services — 0.2% | ||||||||||
Banff Merger Sub, Inc., 9.75%, 09/01/26 (f),(c),(b) | 12,181,000 | 10,719,280 | ||||||||
|
| |||||||||
Travel & Lodging — 0.1% | ||||||||||
Diamond Resorts International, Inc., 7.75%, 09/01/23 (f),(c),(b) | 2,567,000 | 1,848,240 | ||||||||
Marriott Ownership Resorts, Inc., 4.75%, 01/15/28 (f),(c),(b) | 148,000 | 111,000 | ||||||||
Viking Cruises Ltd., 5.88%, 09/15/27 (f),(c),(b) | 3,332,000 | 1,949,586 | ||||||||
VOC Escrow Ltd., 5.00%, 02/15/28 (f),(c),(b) | 4,091,000 | 2,991,135 | ||||||||
|
| |||||||||
6,899,961 | ||||||||||
|
| |||||||||
Utilities — 0.0% | ||||||||||
Rockpoint Gas Storage Canada Ltd., 7.00%, 03/31/23 (f),(c),(b) | 2,398,000 | 1,744,569 | ||||||||
|
| |||||||||
Total North America | 231,764,814 | |||||||||
|
| |||||||||
South America — 1.6% | ||||||||||
Financial Services — 0.0% | ||||||||||
CSN Islands XI Corp., 6.75%, 01/28/28 (f) | 1,972,000 | 1,263,046 | ||||||||
|
| |||||||||
Integrated Oils — 1.6% | ||||||||||
Petrobras Global Finance BV, |
| |||||||||
5.09%, 01/15/30 (f),(h) | 88,379,000 | 80,645,837 | ||||||||
6.90%, 03/19/49 (h),(b) | 13,952,000 | 13,601,805 | ||||||||
8.75%, 05/23/26 | 5,025,000 | 5,424,488 | ||||||||
|
| |||||||||
99,672,130 | ||||||||||
|
| |||||||||
Power Generation — 0.0% | ||||||||||
Centrais Eletricas Brasileiras SA, 4.63%, 02/04/30 (f) | 929,000 | 822,165 | ||||||||
|
| |||||||||
Total South America | 101,757,341 | |||||||||
|
| |||||||||
TOTAL CORPORATE BONDS & NOTES | 393,742,338 | |||||||||
|
| |||||||||
SOVEREIGN DEBT — 15.0% |
| |||||||||
Bahrain Government International Bond, 7.00%, 01/26/26 (e) | 2,600,000 | 2,455,700 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
March 31, 2020
Security Description | Principal Amount | Value | ||||||||
Citigroup Global Markets Holdings, Inc., |
| |||||||||
MTN, 14.30%, 04/14/20 (f) | 129,146,213 | UAH | $ | 4,670,320 | ||||||
MTN, 14.64%, 06/12/20 (f) | 137,194,680 | UAH | 4,916,275 | |||||||
Colombia Government International Bond, 5.20%, 05/15/49 | $ | 1,136,000 | 1,192,766 | |||||||
Costa Rica Government International Bond, |
| |||||||||
5.63%, 04/30/43 (e) | 4,400,000 | 3,168,000 | ||||||||
7.16%, 03/12/45 (e) | 30,000,000 | 24,000,000 | ||||||||
Deutsche Bundesrepublik Inflation Linked Bond, |
| |||||||||
0.10%, 04/15/26 (c),(h),(e) | 25,178,666 | EUR | 29,353,844 | |||||||
0.50%, 04/15/30 (c),(h),(e) | 43,050 | EUR | 54,610 | |||||||
Egypt Government International Bond, |
| |||||||||
6.88%, 04/30/40 (e) | $ | 2,300,000 | 1,778,434 | |||||||
7.90%, 02/21/48 (e),(f),(h) | 74,400,000 | 59,878,013 | ||||||||
8.15%, 11/20/59 (f) | 1,279,000 | 1,036,092 | ||||||||
8.50%, 01/31/47 (e),(h) | 12,500,000 | 10,209,800 | ||||||||
8.70%, 03/01/49 (f),(b) | 1,500,000 | 1,240,110 | ||||||||
Export Credit Bank of Turkey, |
| |||||||||
4.25%, 09/18/22 (e) | 200,000 | 176,000 | ||||||||
5.38%, 10/24/23 (e) | 400,000 | 352,000 | ||||||||
6.13%, 05/03/24 (e) | 4,300,000 | 3,663,600 | ||||||||
French Republic Government Bond OAT, 0.100%, 03/01/28 - 03/01/29 (c),(e),(h) | 39,620,132 | 45,744,089 | ||||||||
Gabon Government International Bond, 6.63%, 02/06/31 (f),(h),(b) | $ | 27,800,000 | 17,064,634 | |||||||
Goldman Sachs International, MTN, 0.00%, 01/21/21 (f),(u),(o) | 182,400,000 | EGP | 10,327,502 | |||||||
HSBC Holdings PLC, 5.94%, 05/23/23 (h),(o),(d) | $ | 50,000,000 | 49,351,500 | |||||||
Iraq International Bond, |
| |||||||||
5.80%, 01/15/28 (e),(h) | 142,850,000 | 108,594,570 | ||||||||
6.75%, 03/09/23 (e),(h) | 11,000,000 | 8,834,320 | ||||||||
Ivory Coast Government International Bond, |
| |||||||||
6.13%, 06/15/33 (e) | 68,500,000 | 59,627,195 | ||||||||
6.38%, 03/03/28 (e),(h) | 3,200,000 | 2,930,848 | ||||||||
Japan Treasury Discount Bill,0.00%, 04/13/20 - 05/07/20 (c),(u) | 15,400,000,000 | 143,237,993 | ||||||||
Jordan Government International Bond, 7.38%, 10/10/47 (e) | $ | 8,300,000 | 6,951,549 | |||||||
Kenya Government International Bond, 8.00%, 05/22/32 (h),(e) | 20,200,000 | 18,522,875 | ||||||||
Kingdom of Jordan, 7.38%, 10/10/47 (e),(h) | 12,200,000 | 10,217,939 | ||||||||
Merit Holdings Ltd., 2.75%, 06/03/20 (c),(h),(o),(d) | 29,400,000 | EUR | 32,068,565 | |||||||
Mexican Bonos, |
| |||||||||
7.75%, 05/29/31 (h) | 340,000,000 | MXN | 14,695,424 | |||||||
8.50%, 05/31/29 - 11/18/38 (h) | 729,600,000 | 32,852,086 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
March 31, 2020
Security Description | Principal Amount | Value | ||||||||
Nigeria Government International Bond, |
| |||||||||
7.14%, 02/23/30 (e),(f),(h) | $ | 32,900,000 | $ | 22,703,632 | ||||||
7.63%, 11/21/25 (b),(e),(f) | 25,104,000 | 19,348,607 | ||||||||
8.75%, 01/21/31 (f),(b) | 1,950,000 | 1,399,897 | ||||||||
Paraguay Government International Bond, 4.63%, 01/25/23 (e) | 8,792,000 | 8,792,088 | ||||||||
Russian Federal Bond - OFZ, |
| |||||||||
7.25%, 05/10/34 | 504,047,000 | RUB | 6,706,315 | |||||||
7.40%, 07/17/24 | 736,069,000 | RUB | 9,681,172 | |||||||
Saudi Government International Bond, |
| |||||||||
2.75%, 02/03/32 (f) | $ | 4,336,000 | 3,989,120 | |||||||
3.75%, 01/21/55 (f) | 1,685,000 | 1,551,144 | ||||||||
Senegal Government International Bond, |
| |||||||||
6.25%, 05/23/33 (e) | 15,900,000 | 14,242,107 | ||||||||
6.75%, 03/13/48 (e) | 7,100,000 | 5,811,208 | ||||||||
Ukraine Government International Bond, |
| |||||||||
0.00%, 05/31/40 (e),(g) | 47,357,000 | 34,456,953 | ||||||||
4.38%, 01/27/30 (f) | 2,161,000 | EUR | 1,906,693 | |||||||
7.38%, 09/25/32 (e) | $ | 103,752,000 | 93,895,560 | |||||||
7.75%, 09/01/21 - 09/01/27 (e),(h) | 47,300,000 | 44,152,814 | ||||||||
United Kingdom Gilt Inflation Linked, 0.13%, 08/10/28 (c),(h),(e) | 4,440 | GBP | 6,941 | |||||||
ZAR Sovereign Capital Fund Propriety Ltd., 3.90%, 06/24/20 (e) | $ | 2,962,000 | 2,951,597 | |||||||
|
| |||||||||
TOTAL SOVEREIGN DEBT | 980,762,501 | |||||||||
|
| |||||||||
MORTGAGE-BACKED SECURITIES — 21.3% |
| |||||||||
Europe — 0.3% | ||||||||||
Collateralized Mortgage Obligation (Residential) — 0.1% | ||||||||||
JEPSON, |
| |||||||||
Series2019-1, Class E, 1.05%, 11/24/57 (c),(g) | 1,929,000 | EUR | 1,576,323 | |||||||
Series2019-1, Class D, 1.05%, 11/24/57 (c),(g) | 1,267,000 | EUR | 1,118,258 | |||||||
Mulcair Securities DAC, |
| |||||||||
Series 1 SEQ, Class E, 3 mo. EURIBOR + 1.50%, 1.11%, 04/24/71 (g),(e),(c) | 2,461,000 | EUR | 2,472,658 | |||||||
Series 1 SEQ, Class D, 3 mo. EURIBOR + 1.50%, 1.11%, 04/24/71 (g),(e),(c) | 4,636,000 | EUR | 4,466,988 | |||||||
|
| |||||||||
9,634,227 | ||||||||||
|
| |||||||||
Commercial Mortgage-Backed Securities — 0.2% | ||||||||||
Cold Finance PLC, |
| |||||||||
Series 1, Class C, 3 mo. GBP LIBOR + 1.95%, 2.70%, 08/20/29 (g),(e),(c) | 1,116,000 | GBP | 1,322,745 |
See Notes to Consolidated Financial Statements.
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March 31, 2020
Security Description | Principal Amount | Value | ||||||||
Series 1, Class D, 3 mo. GBP LIBOR + 2.50%, 3.25%, 08/20/29 (g),(e),(c) | 3,675,000 | GBP | $ | 4,360,197 | ||||||
Series 1, Class E, 3 mo. GBP LIBOR + 3.55%, 4.30%, 08/20/29 (g),(e),(c) | 3,763,000 | GBP | 4,471,278 | |||||||
|
| |||||||||
10,154,220 | ||||||||||
|
| |||||||||
Total Europe | 19,788,447 | |||||||||
|
| |||||||||
North America — 21.0% | ||||||||||
Collateralized Debt Obligation (Commercial) — 0.0% | ||||||||||
STACR Trust, Series 2018-DNA2, Class M2AI, 1.50%, 12/25/30 (v),(f),(c) | $ | 7,780,200 | 77,646 | |||||||
|
| |||||||||
Collateralized Mortgage Obligation (Residential) — 8.5% | ||||||||||
Bellemeade Re Ltd., |
| |||||||||
Series2017-1, Class M2, 1 mo. USD LIBOR + 3.35%, 4.30%, 10/25/27 (f),(g),(h),(c),(b) | 16,890,000 | 14,272,658 | ||||||||
Series2018-2A, Class B1, 1 mo. USD LIBOR + 2.65%, 3.60%, 08/25/28 (f),(g),(c),(b),(d) | 250,000 | 193,081 | ||||||||
Series2019-1A, Class M2, 1 mo. USD LIBOR + 2.70%, 3.65%, 03/25/29 (f),(g),(h),(c) | 1,460,000 | 1,090,392 | ||||||||
Series2019-1A, Class B1, 1 mo. USD LIBOR + 4.00%, 4.95%, 03/25/29 (f),(g),(c),(b) | 331,000 | 243,635 | ||||||||
Series2019-2A, Class M2, 1 mo. USD LIBOR + 3.10%, 4.05%, 04/25/29 (f),(g),(h),(c) | 12,346,000 | 9,174,671 | ||||||||
Series2019-4A, Class M2, 1 mo. USD LIBOR + 2.85%, 3.80%, 10/25/29 (f),(g),(h),(c),(d) | 8,940,000 | 5,928,329 | ||||||||
Cascade Funding Mortgage TrustSeries 2019-RM3, 4.000%, 06/25/69 (c),(b),(d),(f),(g) | 730,314 | 583,293 | ||||||||
ChaseFlex Trust, Series2007-2, Class A2, 1 mo. USD LIBOR + .34%, 1.29%, 05/25/37 (g),(c),(b) | 607,370 | 548,834 | ||||||||
Citigroup Commercial Mortgage Trust,Series 2019-C7, Class E, 2.75%, 12/15/72 (f),(c),(g),(b) | 697,000 | 299,081 | ||||||||
Colony Mortgate Capital Trust, Series 2019-IKPR, Class E, 1 mo. USD LIBOR + 2.72%, 3.43%, 11/15/38 (f),(g),(h) | 5,500,000 | 4,056,717 | ||||||||
COMM Mortgage Trust, |
| |||||||||
Series 2014-CR14, Class D, 4.63%, 02/10/47 (f),(c),(g),(b) | 591,000 | 417,556 | ||||||||
Series 2019-GC44, Class 180C, 3.40%, 08/15/57 (f),(c),(g),(b) | 334,000 | 249,233 |
See Notes to Consolidated Financial Statements.
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Security Description | Principal Amount | Value | ||||||||
Series 2019-GC44, Class 180D, 3.40%, 08/15/57 (f),(c),(g),(b) | $ | 227,000 | $ | 165,375 | ||||||
Connecticut Avenue Securities, |
| |||||||||
Series2014-C04, Class 2M2, 1 mo. USD LIBOR + 5.00%, 5.95%, 11/25/24 (g),(c),(b) | 3,804,810 | 3,624,082 | ||||||||
Series2015-C04, Class 1M2, 1 mo. USD LIBOR + 5.70%, 6.65%, 04/25/28 (g),(h),(c),(b) | 7,375,684 | 7,274,269 | ||||||||
Series2016-C05, Class 2M2, 1 mo. USD LIBOR + 4.45%, 5.40%, 01/25/29 (g),(c),(b) | 4,951,466 | 4,725,555 | ||||||||
Connecticut Avenue Securities Trust, |
| |||||||||
Series2018-R07, Class 1X2, 1.30%, 04/25/31 (v),(f),(c),(b) | 4,223,166 | 14,578 | ||||||||
Series2018-R07, Class 1M2, 1 mo. USD LIBOR + 2.40%, 3.35%, 04/25/31 (f),(g),(c),(b) | 4,377,058 | 3,457,876 | ||||||||
Series2019-R01, Class 2M2C, 3.40%, 07/25/31 (f),(g),(c),(b) | 5,408,451 | 3,834,121 | ||||||||
Series2019-R02, Class 1M2, 1 mo. USD LIBOR + 2.30%, 3.25%, 08/25/31 (f),(g),(c),(b) | 5,010,590 | 3,970,892 | ||||||||
Series2019-R06, Class 2M2C, 1 mo. USD LIBOR + 2.10%, 3.05%, 09/25/39 (f),(g),(c),(b) | 5,004,333 | 3,448,336 | ||||||||
Series2019-R06, Class 2B1, 1 mo. USD LIBOR + 3.75%, 4.70%, 09/25/39 (f),(g),(c),(b),(d) | 12,965,941 | 5,486,305 | ||||||||
Series2019-R07, Class 1M2, 1 mo. USD LIBOR + 2.10%, 3.05%, 10/25/39 (f),(g),(h),(c) | 8,603,000 | 6,882,400 | ||||||||
Series2019-R07, Class 1B1, 1 mo. USD LIBOR + 3.40%, 4.35%, 10/25/39 (f),(g),(c),(b),(d) | 12,499,295 | 5,311,888 | ||||||||
Series2020-R01, Class 1M2, 1 mo. USD LIBOR + 2.05%, 3.00%, 01/25/40 (f),(g),(h),(c) | 21,206,000 | 12,935,660 | ||||||||
Series2020-R01, Class 1B1, 1 mo. USD LIBOR + 3.25%, 4.20%, 01/25/40 (f),(g),(c),(b),(d) | 3,061,000 | 1,279,305 | ||||||||
Series2020-R02, Class 2M2, 1 mo. USD LIBOR + 2.00%, 2.95%, 01/25/40 (f),(g),(c),(b) | 29,628,000 | 18,369,360 | ||||||||
Countrywide Alternative Loan Trust, |
| |||||||||
Series 2004-28CB SEQ, Class 3A1, 6.00%, 01/25/35 (c),(b) | 630,410 | 597,752 | ||||||||
Series 2005-21CB, Class A17, 6.00%, 06/25/35 (c),(b) | 692,467 | 630,351 |
See Notes to Consolidated Financial Statements.
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March 31, 2020
Security Description | Principal Amount | Value | ||||||||
Countrywide Asset-Backed Certificates,Series 2005-15, Class 1AF6, 3.77%, 04/25/36 (c),(g),(b) | $ | 691 | $ | 679 | ||||||
Credit Suisse Mortgage Capital Certificates, Series 2019-ICE4, Class E, 1 mo. USD LIBOR + 2.15%, 2.85%, 05/15/36 (f),(g),(h),(b) | 13,113,000 | 11,014,920 | ||||||||
Eagle RE Ltd., |
| |||||||||
Series2019-1, Class M2, 1 mo. USD LIBOR + 3.30%, 4.25%, 04/25/29 (f),(g),(h),(c) | 8,674,000 | 6,065,589 | ||||||||
Series2020-1, Class M2, 1 mo. USD LIBOR + 2.00%, 2.95%, 01/25/30 (f),(g),(h),(c) | 10,192,000 | 6,517,967 | ||||||||
Federal Home Loan Mortgage Corp., |
| |||||||||
Series 2015-DNA2, Class M3, 1 mo. USD LIBOR + 3.90%, 4.85%, 12/25/27 (g),(c),(b) | 2,500,000 | 2,450,000 | ||||||||
Series 2015-SC02, Class M3, 3.67%, 09/25/45 (c),(g),(b) | 866,000 | 641,102 | ||||||||
Series 2016-DNA4, Class M3, 1 mo. USD LIBOR + 3.80%, 4.75%, 03/25/29 (g),(c),(b) | 1,500,000 | 1,391,250 | ||||||||
Series 2016-HQA3, Class M3, 1 mo. USD LIBOR + 3.85%, 4.80%, 03/25/29 (g),(c),(b) | 2,616,000 | 1,831,200 | ||||||||
Series 2016-HQA4, Class M3, 1 mo. USD LIBOR + 3.90%, 4.85%, 04/25/29 (g),(c),(b) | 7,199,000 | 5,327,260 | ||||||||
Series 2017-SPI1, Class M2, 3.98%, 09/25/47 (f),(c),(g),(b) | 284,000 | 236,729 | ||||||||
Series 2018-DNA1, Class M2, 1 mo. USD LIBOR + 1.80%, 2.75%, 07/25/30 (g),(c),(b) | 3,000,000 | 2,490,000 | ||||||||
Series 2018-DNA1, Class M2B, 1 mo. USD LIBOR + 1.80%, 2.75%, 07/25/30 (g),(h),(c),(d) | 16,672,500 | 13,390,685 | ||||||||
Series 2019-DNA2, Class M2, 1 mo. USD LIBOR + 2.45%, 3.40%, 03/25/49 (f),(g),(c),(b) | 3,120,701 | 2,388,688 | ||||||||
Series 2020-DNA1, Class B1, 1 mo. USD LIBOR + 2.30%, 3.25%, 01/25/50 (f),(g),(b) | 4,145,895 | 1,731,914 | ||||||||
Series 2020-DNA2, Class B1, 1 mo. USD LIBOR + 2.50%, 3.45%, 02/25/50 (f),(g),(c),(b),(d) | 4,569,294 | 1,931,774 | ||||||||
Series 2020-HQA1, Class B1, 1 mo. USD LIBOR + 2.35%, 3.30%, 01/25/50 (f),(g),(b) | 1,018,647 | 539,883 | ||||||||
Series 2020-HQA2, Class M2, 1 mo. USD LIBOR + 3.10%, 3.91%, 03/25/50 (f),(g),(b) | 3,412,470 | 2,196,778 | ||||||||
Series 2020-HQA2, Class B1, 1 mo. USD LIBOR + 4.10%, 4.91%, 03/25/50 (f),(g),(b) | 3,870,860 | 1,670,253 | ||||||||
Federal National Mortgage Association, | ||||||||||
2.50%, 04/01/50 (t),(c) | 112,000,000 | 116,054,400 | ||||||||
3.50%, 04/01/50 (t),(c) | 17,000,000 | 17,965,600 | ||||||||
4.00%, 04/01/50 (t),(c) | 67,400,000 | 71,814,700 |
See Notes to Consolidated Financial Statements.
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March 31, 2020
Security Description | Principal Amount | Value | ||||||||
Series2016-C06, Class 1M2, 1 mo. USD LIBOR + 4.25%, 5.20%, 04/25/29 (g),(c),(b) | $ | 6,550,000 | $ | 6,279,812 | ||||||
Series2017-C03, Class 1M2C, 1 mo. USD LIBOR + 3.00%, 3.95%, 10/25/29 (g),(h),(c),(d) | 7,224,976 | 5,859,239 | ||||||||
Series2017-C05, Class 1M2C, 1 mo. USD LIBOR + 2.20%, 3.15%, 01/25/30 (g),(c),(b),(d) | 9,889,512 | 7,958,090 | ||||||||
Series2017-C06, Class 1M2, 1 mo. USD LIBOR + 2.65%, 3.60%, 02/25/30 (g),(c),(b) | 4,783,782 | 4,287,465 | ||||||||
Series2017-C06, Class 2M2C, 1 mo. LIBOR + 2.80%, 3.75%, 02/25/30 (g),(c),(b),(d) | 7,714,707 | 6,211,882 | ||||||||
Series2018-C01, Class 1M2C, 1 mo. LIBOR + 2.80%, 3.20%, 07/25/30 (g),(h),(c),(d) | 25,366,752 | 20,347,433 | ||||||||
Series2018-C02, Class 2M2C, 1 mo. LIBOR + 2.20%, 3.15%, 08/25/30 (g),(h),(c),(d) | 2,785,667 | 2,240,428 | ||||||||
Series2018-C03, Class 1M2C, 1 mo. USD LIBOR + 2.15%, 3.10%, 10/25/30 (g),(c),(b),(d) | 9,716,368 | 7,790,584 | ||||||||
Series2018-C04, Class 2M2, 1 mo. USD LIBOR + 2.55%, 3.50%, 12/25/30 (g),(h),(c) | 17,674,772 | 14,493,313 | ||||||||
Series2018-C05, Class 1M2, 1 mo. USD LIBOR + 2.35%, 3.30%, 01/25/31 (g),(h),(c) | 7,567,000 | 6,356,280 | ||||||||
Series2019-R04, Class 2B1, 1 mo. USD LIBOR + 5.25%, 6.20%, 06/25/39 (f),(g),(h),(c),(d) | 12,842,000 | 5,851,984 | ||||||||
Freddie Mac Stacr Trust, Series 2018-HQA2, Class M2, 1 mo. USD LIBOR + 2.30%, 3.25%, 10/25/48 (f),(g),(h),(c),(d) | 15,513,000 | 13,066,972 | ||||||||
GS Mortgage Securities Trust, Series 2014-GC20, Class C, 4.97%, 04/10/47 (c),(g),(b) | 1,358,000 | 1,052,662 | ||||||||
Home RE Ltd., |
| |||||||||
Series2018-1, Class M2, 1 mo. USD LIBOR + 3.00%, 3.95%, 10/25/28 (f),(g),(c),(b) | 21,988,000 | 16,917,171 | ||||||||
Series2019-1, Class M2, 1 mo. USD LIBOR + 3.25%, 4.20%, 05/25/29 (f),(g),(h),(c) | 13,175,000 | 9,877,087 | ||||||||
Homeward Opportunities Fund, Series2019-HOF, Class B1, 4.80%, 01/25/59 (f),(c),(g),(b) | 1,136,000 | 1,056,887 | ||||||||
LHOME Mortgage Trust, Series 2019-RTL1, Class M, 6.90%, 10/25/23 (f),(c),(b) | 571,000 | 564,902 | ||||||||
Mortgage Insurance-Linked Notes, |
| |||||||||
Series2020-1, Class M2A, 1 mo. USD LIBOR + 2.00%, 2.95%, 02/25/30 (f),(g),(c),(b),(d) | 5,062,000 | 3,427,227 | ||||||||
Series2020-1, Class M2B, 1 mo. USD LIBOR + 2.25%, 3.20%, 02/25/30 (f),(g),(c),(b),(d) | 1,425,000 | 969,815 |
See Notes to Consolidated Financial Statements.
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March 31, 2020
Security Description | Principal Amount | Value | ||||||||
New Residential Mortgage Loan,Series 2019-NQM2, Class B1, 5.21%, 04/25/49 (f),(c),(g),(b) | $ | 831,000 | $ | 703,482 | ||||||
Oaktown RE Ltd., Series2017-1A, Class M2, 1 mo. USD LIBOR + 4.00%, 4.95%, 04/25/27 (f),(g),(h),(c),(b) | 3,550,734 | 3,064,106 | ||||||||
Radnor RE Ltd., |
| |||||||||
Series2018-1, Class M2, 1 mo. USD LIBOR + 2.70%, 3.65%, 03/25/28 (f),(g),(h),(c) | 401,000 | 321,211 | ||||||||
Series2019-1, Class M2, 1 mo. USD LIBOR + 3.20%, 4.15%, 02/25/29 (f),(g),(h),(c),(d) | 12,445,000 | 8,763,421 | ||||||||
Residential Funding Mortgage Securities,Series 2006-S12, Class 3A4, 5.75%, 12/25/36 (c),(b) | 992,595 | 920,933 | ||||||||
Sequoia Mortgage Trust, |
| |||||||||
Series2017-7, Class B4, 3.76%, 10/25/47 (f),(c),(g),(b),(d) | 773,000 | 497,164 | ||||||||
Series2018-2, Class B4, 3.75%, 02/25/48 (f),(c),(g),(b),(d) | 819,986 | 545,936 | ||||||||
Series2018-3, Class B4, 3.77%, 03/25/48 (f),(c),(g),(b),(d) | 642,000 | 422,157 | ||||||||
Series2018-5, Class B4, 3.94%, 05/25/48 (f),(c),(g),(b),(d) | 649,000 | 431,329 | ||||||||
Series2018-8, Class B4, 4.30%, 11/25/48 (f),(c),(g),(b),(d) | 693,000 | 488,226 | ||||||||
Series2019-1, Class B4, 4.40%, 02/25/49 (f),(c),(g),(b),(d) | 319,000 | 230,268 | ||||||||
Series2019-2, 4.25%, 06/25/49 (f),(c),(g),(b),(d) | 306,000 | 216,147 | ||||||||
STACR Trust, |
| |||||||||
Series 2018-DNA3, Class M2B, 1 mo. LIBOR + 2.10%, 3.05%, 09/25/48 (f),(g),(c),(b),(d) | 9,189,500 | 7,491,188 | ||||||||
Series 2018-HRP1, Class M2, 1 mo. USD LIBOR + 1.65%, 2.60%, 04/25/43 (f),(g),(c),(b) | 530,477 | 457,951 | ||||||||
Series 2018-HRP1, Class B1, 1 mo. USD LIBOR + 3.75%, 4.70%, 04/25/43 (f),(g),(c),(b) | 623,000 | 344,401 | ||||||||
Series 2018-HRP2, Class M3, 1 mo. USD LIBOR + 2.40%, 3.35%, 02/25/47 (f),(g),(h),(c),(d) | 1,795,000 | 1,495,881 | ||||||||
Series 2018-HRP2, Class B1, 1 mo. USD LIBOR + 4.20%, 5.15%, 02/25/47 (f),(g),(h),(c),(b) | 5,461,000 | 2,650,715 |
See Notes to Consolidated Financial Statements.
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Security Description | Principal Amount | Value | ||||||||
Series 2018-HRP2, Class B2, 1 mo. USD LIBOR + 10.50%, 11.45%, 02/25/47 (f),(g),(c),(b) | $ | 4,121,000 | $ | 1,574,795 | ||||||
Starwood Mortgage Residential, Series 2019-IMC1, Class B1, 5.05%, 02/25/49 (f),(c),(g),(b) | 930,000 | 799,126 | ||||||||
Structured Agency Credit Risk, Series2015-DN1, Class M3, 1 mo. USD LIBOR + 4.15%, 5.10%, 01/25/25 (g),(c),(b) | 2,441,910 | 2,165,791 | ||||||||
TVC Mortgage Trust, Series 2020-RTL1 SEQ, Class A1, 3.47%, 09/25/24 (f),(c),(b) | 1,200,000 | 1,149,396 | ||||||||
Verus Securitization Trust, |
| |||||||||
Series2019-1, Class B1, 5.31%, 02/25/59 (f),(c),(g),(b) | 1,037,000 | 902,702 | ||||||||
Series 2019-INV1 SEQ, Class B1, 4.99%, 12/25/59 (f),(c),(b) | 271,000 | 226,420 | ||||||||
|
| |||||||||
557,188,935 | ||||||||||
|
| |||||||||
Commercial Mortgage-Backed Securities — 10.9% |
| |||||||||
280 Park Avenue Mortgage Trust,Series 2017-280P, Class F, 1 mo. USD LIBOR + 2.83%, 3.53%, 09/15/34 (f),(g),(c),(b) | 8,000,000 | 5,854,016 | ||||||||
Ashford Hospitality Trust, |
| |||||||||
Series 2018-ASHF, Class E, 1 mo. USD LIBOR + 3.10%, 3.80%, 04/15/35 (f),(g),(h),(b) | 5,900,000 | 3,659,965 | ||||||||
Series 2018-KEYS, Class D, 1 mo. USD LIBOR + 2.75%, 3.45%, 05/15/35 (f),(g),(c),(b) | 102,000 | 89,572 | ||||||||
Austin Fairmont Hotel Trust, Series 2019-FAIR, 1 mo. USD LIBOR + 2.25%, 2.95%, 09/15/32 (f),(g),(c),(b) | 8,395,000 | 6,676,174 | ||||||||
BAMLL Commercial Mortgage Securities Trust, |
| |||||||||
Series2019-BPR, Class ENM, 3.84%, 11/05/32 (f),(c),(g),(b),(d) | 3,000,000 | 2,267,415 | ||||||||
Series2019-BPR, Class EMP, 4.02%, 11/05/32 (f),(c),(g),(b),(d) | 8,817,000 | 6,564,618 | ||||||||
Series2019-BPR, Class FMP, 4.02%, 11/05/32 (f),(c),(g),(b),(d) | 4,408,000 | 3,019,899 | ||||||||
Banc of America Commercial Mortgage Trust, |
| |||||||||
Series2007-4, Class G, 5.86%, 02/10/51 (f),(g),(b),(d) | 1,720,778 | 1,783,493 | ||||||||
Series 2016-UB10, Class D, 3.00%, 07/15/49 (f),(h) | 9,208,723 | 5,122,021 | ||||||||
Banc of America Merrill Lynch Mortgage Trust, |
| |||||||||
Series2019-AHT, 1 mo. USD LIBOR + 2.50%, 3.20%, 03/15/34 (f),(g),(h),(b) | 9,757,897 | 7,373,945 |
See Notes to Consolidated Financial Statements.
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Security Description | Principal Amount | Value | ||||||||
Series2019-AHT, 1 mo. USD LIBOR + 3.20%, 3.90%, 03/15/34 (f),(g),(b) | $ | 8,000,000 | $ | 5,821,832 | ||||||
Bancorp Commercial Mortgage Trust,Series 2018-CRE4, Class D, 1 mo. USD LIBOR + 2.10%, 2.80%, 09/15/35 (f),(g),(c),(b) | 2,132,000 | 1,987,116 | ||||||||
Bank, Series 2017-BNK8, Class A4, 3.49%, 11/15/50 (c),(b) | 4,200,000 | 4,512,203 | ||||||||
BBCMS Trust, Series2018-CBM, Class D, 1 mo. USD LIBOR + 2.39%, 3.10%, 07/15/37 (f),(g),(c),(b) | 2,000,000 | 1,220,338 | ||||||||
Bear Stearns Commercial Mortgage Securities Trust, |
| |||||||||
Series 2005-PWR9, Class F, 5.23%, 09/11/42 (f),(g),(b),(d) | 10,420,708 | 9,843,140 | ||||||||
Series 2006-PW13, Class D, 5.75%, 09/11/41 (f),(g),(b),(d) | 2,022,991 | 1,960,125 | ||||||||
Series 2006-PW14, Class C, 5.37%, 12/11/38 (f),(h) | 2,266,280 | 2,278,180 | ||||||||
Series 2007-PW16, Class C, 5.63%, 06/11/40 (f),(g),(b),(d) | 5,304,162 | 5,315,916 | ||||||||
Series 2007-PW18, Class B, 6.48%, 06/11/50 (f),(g),(b),(d) | 6,394,786 | 6,451,156 | ||||||||
BHMS, Series 2018-ATLS, Class C, 1 mo. USD LIBOR + 1.90%, 2.60%, 07/15/35 (f),(g),(c),(b) | 4,500,000 | 3,693,870 | ||||||||
BX Trust, |
| |||||||||
Series 2017-SLCT, Class E, 1 mo. USD LIBOR + 3.15%, 3.85%, 07/15/34 (f),(g),(c),(b) | 6,800,000 | 5,420,096 | ||||||||
Series 2017-SLCT, Class F, 1 mo. USD LIBOR + 4.25%, 4.95%, 07/15/34 (f),(g),(c),(b) | 3,400,000 | 2,498,612 | ||||||||
Series 2018-EXCL, Class C, 1 mo. USD LIBOR + 1.98%, 2.68%, 09/15/37 (f),(g),(h) | 12,268,100 | 9,817,105 | ||||||||
Series2018-GW, Class F, 1 mo. USD LIBOR + 2.42%, 3.12%, 05/15/35 (f),(g),(c),(b) | 2,500,000 | 1,911,135 | ||||||||
BXP Trust, Series 2017-CQHP, Class E, 1 mo. USD LIBOR + 3.00%, 3.70%, 11/15/34 (f),(g),(c),(b) | 5,000,000 | 4,144,430 | ||||||||
CAMB Commercial Mortgage Trust,Series 2019-LIFE, Class F, 1 mo. USD LIBOR + 2.55%, 3.25%, 12/15/37 (f),(g),(c),(b) | 5,000,000 | 4,109,515 | ||||||||
CCRESG Commercial Mortgage Trust,Series 2016-HEAT, Class E, 5.49%, 04/10/29 (f),(g),(b) | 626,142 | 599,670 | ||||||||
CD Mortgage Trust, Series2017-CD6, Class A5, 3.46%, 11/13/50 (c),(b) | 3,800,000 | 4,045,879 | ||||||||
CFCRE Commercial Mortgage Trust, |
| |||||||||
Series2016-C6, Class D, 4.21%, 11/10/49 (f),(c),(g),(b) | 3,266,000 | 1,876,373 |
See Notes to Consolidated Financial Statements.
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Security Description | Principal Amount | Value | ||||||||
Series2017-C8, Class E, 3.22%, 06/15/50 (f),(c),(b) | $ | 3,110,000 | $ | 1,276,829 | ||||||
CGDB Commercial Mortgage Trust,Series 2019-MOB, Class F, 1 mo. USD LIBOR + 2.55%, 3.25%, 11/15/36 (f),(g),(c),(b) | 7,000,000 | 5,611,879 | ||||||||
CGDBB Commercial Mortgage Trust,Series 2017-BIOC, Class E, 1 mo. USD LIBOR + 2.15%, 2.85%, 07/15/32 (f),(g),(c),(b) | 4,360,343 | 3,773,815 | ||||||||
Chase Mortgage Finance Corp., Series2007-A2, Class 3A2, 4.35%, 06/25/35 (c),(g),(b) | 86,862 | 82,356 | ||||||||
CHC Commercial Mortgage Trust, Series2019-CHC, Class E, 1 mo. USD LIBOR + 2.35%, 3.05%, 06/15/34 (f),(g),(c),(b) | 7,000,000 | 5,714,100 | ||||||||
CHT Mortgage Trust, |
| |||||||||
Series 2017-CSMO, Class E, 1 mo. USD LIBOR + 3.00%, 3.70%, 11/15/36 (f),(g),(c),(b) | 4,679,000 | 3,836,831 | ||||||||
Series 2017-CSMO, Class F, 1 mo. USD LIBOR + 3.74%, 4.45%, 11/15/36 (f),(g),(c),(b) | 8,000,000 | 6,412,344 | ||||||||
Citicorp Mortgage Securities Trust, Series2006-3, Class 1A10, 6.25%, 06/25/36 (c),(b) | 259,843 | 241,060 | ||||||||
Citigroup Commercial Mortgage Trust, |
| |||||||||
Series2006-C4, Class C, 6.19%, 03/15/49 (g),(b),(d) | 1,924,613 | 1,954,658 | ||||||||
Series2012-GC8, Class D, 4.88%, 09/10/45 (f),(c),(g),(b) | 926,000 | 760,591 | ||||||||
Series 2014-GC25, Class D, 3.55%, 10/10/47 (f),(c),(b) | 9,000,000 | 5,989,122 | ||||||||
Series 2015-GC27, Class D, 4.42%, 02/10/48 (f),(h),(g) | 8,766,828 | 5,772,684 | ||||||||
Series 2015-GC29, Class D, 3.11%, 04/10/48 (f),(c),(b) | 4,286,000 | 2,644,839 | ||||||||
Series 2015-GC31, Class D, 4.06%, 06/10/48 (c),(g),(h) | 1,850,000 | 1,227,993 | ||||||||
Series 2015-GC35, Class D, 3.24%, 11/10/48 (h) | 11,749,031 | 6,555,995 | ||||||||
Series2016-C3, Class D, 3.00%, 11/15/49 (f),(c),(b) | 1,826,000 | 938,266 | ||||||||
Series2016-P4, Class D, 3.97%, 07/10/49 (f),(g),(b) | 3,346,039 | 1,940,836 | ||||||||
Series2018-B2 SEQ, Class A4, 4.01%, 03/10/51 (c),(b) | 2,060,000 | 2,268,414 | ||||||||
Series2019-PRM, Class E, 4.89%, 05/10/36 (f),(b) | 3,250,000 | 2,708,144 |
See Notes to Consolidated Financial Statements.
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March 31, 2020
Security Description | Principal Amount | Value | ||||||||
COBALT CMBS Commercial Mortgage Trust, |
| |||||||||
Series2007-C2, Class C, 5.65%, 04/15/47 (g),(b),(d) | $ | 343,928 | $ | 346,909 | ||||||
Series2007-C3, Class B, 5.61%, 05/15/46 (g),(b),(d) | 8,253,298 | 7,993,979 | ||||||||
Colony Mortgate Capital Trust, Series 2019-IKPR, Class F, 1 mo. USD LIBOR + 3.42%, 4.12%, 11/15/38 (f),(g) | 1,020,000 | 724,636 | ||||||||
COMM Mortgage Trust, |
| |||||||||
Series 2013-CR12, Class C, 5.07%, 10/10/46 (g),(b) | 4,349,996 | 3,377,724 | ||||||||
Series 2015-LC19, Class D, 2.87%, 02/10/48 (f),(h) | 5,000,000 | 3,340,495 | ||||||||
Series2015-PC1, Class C, 4.43%, 07/10/50 (g),(h) | 5,022,634 | 3,548,059 | ||||||||
Commercial Mortgage Trust, |
| |||||||||
Series 2014-CR17, Class D, 4.85%, 05/10/47 (f),(h),(g) | 6,737,301 | 4,901,616 | ||||||||
Series 2015-CR22, Class E, 3.00%, 03/10/48 (f),(c),(b) | 239,000 | 133,252 | ||||||||
Series 2015-CR23, Class E, 3.23%, 05/10/48 (f),(c),(b) | 4,668,000 | 2,582,636 | ||||||||
Series 2015-CR23, Class D, 4.30%, 05/10/48 (c),(g),(b) | 2,247,000 | 1,494,109 | ||||||||
Series 2015-CR25, Class D, 3.79%, 08/10/48 (c),(g),(b) | 432,000 | 255,794 | ||||||||
Series 2015-CR27, Class D, 3.47%, 10/10/48 (f),(c),(g),(b) | 2,955,000 | 1,866,942 | ||||||||
Series2015-DC1, Class D, 4.31%, 02/10/48 (f),(h),(g),(b) | 18,908,641 | 11,919,175 | ||||||||
Series 2015-LC21, Class D, 4.36%, 07/10/48 (c),(g),(b) | 1,010,000 | 668,633 | ||||||||
Series2016-CD1, Class D, 2.77%, 08/10/49 (f),(c),(g),(b) | 2,075,000 | 1,137,488 | ||||||||
Commerical Mortgage Trust, Series 2014-UBS3, Class D, 4.77%, 06/10/47 (f),(g),(b) | 4,691,174 | 3,243,759 | ||||||||
Connecticut Avenue Securities, Series2016-C02, Class 1M2, 1 mo. USD LIBOR + 6.00%, 6.95%, 09/25/28 (g),(c),(b) | 2,272,726 | 1,909,090 | ||||||||
Connecticut Avenue Securities Trust, |
| |||||||||
Series2018-R07, Class 1M2C, 3.35%, 04/25/31 (f),(g),(c),(b),(d) | 2,903,667 | 2,336,465 | ||||||||
Series2019-R05, Class 1B1, 1 mo. USD LIBOR + 4.10%, 5.05%, 07/25/39 (f),(g),(b) | 1,018,647 | 499,795 | ||||||||
CORE Mortgage Trust, Series 2019-CORE, Class F, 1 mo. USD LIBOR + 2.35%, 3.05%, 12/15/31 (f),(g),(c),(b) | 6,358,000 | 5,001,877 |
See Notes to Consolidated Financial Statements.
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March 31, 2020
Security Description | Principal Amount | Value | ||||||||
Credit Suisse Commercial Mortgage Trust, |
| |||||||||
Series2007-C2, Class AJ, 5.60%, 01/15/49 (g),(b),(d) | $ | 105,255 | $ | 105,255 | ||||||
Series2018-TOP, Class E, 1 mo. USD LIBOR + 2.25%, 2.95%, 08/15/35 (f),(g),(h) | 5,600,557 | 4,337,340 | ||||||||
CSAIL Commercial Mortgage Trust, |
| |||||||||
Series2015-C2, Class D, 4.19%, 06/15/57 (c),(g),(h),(d) | 1,282,000 | 795,667 | ||||||||
Series2015-C3, Class D, 3.35%, 08/15/48 (c),(g),(h),(d) | 3,139,000 | 1,711,609 | ||||||||
Series2015-C3, Class C, 4.35%, 08/15/48 (g),(h) | 2,074,266 | 1,433,517 | ||||||||
Series2015-C4, Class F, 3.50%, 11/15/48 (f),(c),(g),(b) | 5,568,000 | 2,890,070 | ||||||||
Series 2018-CX11, Class D, 2.75%, 04/15/51 (f),(c),(g),(b) | 604,000 | 287,286 | ||||||||
Series2019-C17, Class D, 2.50%, 09/15/52 (f),(c),(b) | 1,409,000 | 585,913 | ||||||||
CSMC Trust, Series 2017-CHOP, Class E, 1 mo. USD LIBOR + 3.30%, 4.00%, 07/15/32 (f),(g),(b) | 938,000 | 836,767 | ||||||||
Federal Home Loan Mortgage Corp., |
| |||||||||
Series 2017-DNA2, Class M2B, 1 mo. USD LIBOR + 3.45%, 4.40%, 10/25/29 (g),(h),(c) | 1,381,500 | 961,947 | ||||||||
Series 2017-DNA3, Class M2B, 3.45%, 03/25/30 (g),(h),(c) | 2,419,000 | 1,587,258 | ||||||||
Series 2017-HQA1, Class M2B, 1 mo. USD LIBOR + 3.55%, 4.50%, 08/25/29 (g),(h),(c) | 5,602,000 | 3,949,416 | ||||||||
Series 2017-HQA2, Class M2B, 1 mo. USD LIBOR + 2.65%, 3.60%, 12/25/29 (g),(h),(c) | 10,850,607 | 7,253,403 | ||||||||
Series 2018-HQA1, Class M2B, 3.25%, 09/25/30 (g),(c),(b),(d) | 4,649,500 | 3,726,202 | ||||||||
Series 2019-FTR2, Class M2, 1 mo. USD LIBOR + 2.15%, 3.10%, 11/25/48 (f),(g),(h),(c),(d) | 10,006,000 | 8,080,045 | ||||||||
Federal National Mortgage Association, |
| |||||||||
Series2017-C01, Class 1M2C, 1 mo. USD LIBOR + 3.55%, 4.50%, 07/25/29 (g),(h),(c) | 4,025,893 | 3,099,938 | ||||||||
Series2017-C02, Class 2M2C, 1 mo. USD LIBOR + 3.65%, 4.60%, 09/25/29 (g),(h),(c) | 8,490,294 | 5,842,766 | ||||||||
Series2017-C07, Class 1M2C, 1 mo. USD LIBOR + 2.40%, 3.35%, 05/25/30 (g),(h),(c),(d) | 2,397,838 | 1,935,127 | ||||||||
Fontainebleau Miami Beach Trust,Series 2019-FBLU, Class F, 4.10%, 12/10/36 (f),(b) | 7,000,000 | 4,825,121 | ||||||||
FREMF Mortgage Trust, Series 2018-K154, Class B, 4.02%, 11/25/32 (f),(c),(g),(b) | 2,477,000 | 1,845,358 |
See Notes to Consolidated Financial Statements.
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Security Description | Principal Amount | Value | ||||||||
GE Commercial Mortgage Corp., Series2007-C1, Class AM, 5.61%, 12/10/49 (g),(b),(d) | $ | 9,859,660 | $ | 8,873,694 | ||||||
GS Mortgage Securities Corp. II, |
| |||||||||
Series 2012-TMSQ, Class D, 3.46%, 12/10/30 (f),(c),(g),(b) | 1,000,000 | 878,207 | ||||||||
Series2017-GS8, Class A4, 3.47%, 11/10/50 (c),(b) | 1,100,000 | 1,171,667 | ||||||||
Series2017-SLP, Class E, 4.59%, 10/10/32 (f),(c),(g),(b) | 5,000,000 | 3,877,890 | ||||||||
GS Mortgage Securities Corp. Trust,Series 2019-70P, Class E, 1 mo. USD LIBOR + 2.20%, 2.90%, 10/15/36 (f),(g),(h),(b) | 10,400,000 | 8,098,262 | ||||||||
GS Mortgage Securities Trust, |
| |||||||||
Series 2013-GC12, Class D, 4.45%, 06/10/46 (f),(h),(g),(b) | 11,719,727 | 8,979,081 | ||||||||
Series 2014-GC20, Class D, 4.97%, 04/10/47 (f),(c),(g),(b) | 1,199,911 | 811,803 | ||||||||
Series 2014-GC24, Class C, 4.53%, 09/10/47 (c),(g),(b) | 303,000 | 208,113 | ||||||||
Series2016-GS2, Class D, 2.75%, 05/10/49 (f),(c),(b) | 1,415,000 | 771,117 | ||||||||
Series2017-GS8, Class D, 2.70%, 11/10/50 (f),(c),(b) | 1,593,000 | 789,220 | ||||||||
Series 2018-HART, Class D, 1 mo. USD LIBOR + 2.20%, 2.90%, 10/15/31 (f),(g),(h),(b) | 4,201,215 | 3,456,592 | ||||||||
Harvest Commercial Capital Loan Trust, |
| |||||||||
Series2019-1, Class M4, 4.64%, 09/25/46 (f),(c),(g),(b) | 1,290,000 | 810,722 | ||||||||
Series2019-1, Class M5, 5.73%, 09/25/46 (f),(c),(g),(b) | 1,944,000 | 1,220,249 | ||||||||
Hawaii Hotel Trust, Series 2019-MAUI, Class F, 1 mo. USD LIBOR + 2.75%, 3.45%, 05/15/38 (f),(g),(b) | 17,654,000 | 11,965,087 | ||||||||
Hilton Orlando Trust, Series2018-ORL, Class E, 1 mo. USD LIBOR + 2.65%, 3.35%, 12/15/34 (f),(g),(c),(b) | 5,202,000 | 4,202,342 | ||||||||
Hilton USA Trust, Series2016-HHV, Class F, 4.19%, 11/05/38 (f),(c),(g),(b) | 20,134,000 | 12,859,727 | ||||||||
IMT Trust, Series 2017-APTS, Class FFX, 3.50%, 06/15/34 (f),(c),(g),(b) | 625,000 | 488,206 | ||||||||
J.P. Morgan Chase Commercial Mortgage SecuritiesTrust, Series2018-MINN, Class E, 1 mo. USD LIBOR + 2.50%, 4.16%, 11/15/35 (f),(g),(c),(b) | 6,000,000 | 5,033,010 |
See Notes to Consolidated Financial Statements.
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Security Description | Principal Amount | Value | ||||||||
Jackson Park Trust, Series2019-LIC, Class F, 3.24%, 10/14/39 (f),(g),(b) | $ | 4,993,000 | $ | 3,074,395 | ||||||
JP Morgan Chase Commercial Mortgage Securities Corp., |
| |||||||||
Series2018-LAQ, Class E, 1 mo. USD LIBOR + 3.00%, 3.70%, 06/15/35 (f),(g),(c),(b) | 2,127,367 | 1,707,171 | ||||||||
Series 2019-BKWD, Class E, 1 mo. USD LIBOR + 2.60%, 3.30%, 09/15/29 (f),(g),(b) | 6,000,000 | 4,983,924 | ||||||||
Series 2019-MARG, Class E, 1 mo. USD LIBOR + 2.50%, 3.20%, 05/15/34 (f),(g),(c),(b) | 3,258,000 | 2,900,796 | ||||||||
Series 2020-NNNZ SEQ, Class M, 8.54%, 01/16/37 (f),(b) | 4,880,405 | 4,880,405 | ||||||||
JP Morgan Chase Commercial Mortgage Securities Trust, |
| |||||||||
Series2003-CB7, Class H, 5.61%, 01/12/38 (f),(g),(b),(d) | 4,065,178 | 4,021,611 | ||||||||
Series 2006-CB15, Class AM, 5.86%, 06/12/43 (g),(b),(d) | 7,229,856 | 7,309,305 | ||||||||
Series 2007-CB20, Class D, 6.06%, 02/12/51 (f),(g),(b),(d) | 1,273,097 | 1,285,837 | ||||||||
Series 2017-FL11, Class D, 1 mo. USD LIBOR + 2.14%, 2.84%, 10/15/32 (f),(g),(h) | 4,486,458 | 4,190,424 | ||||||||
Series 2018-ASH8, Class E, 1 mo. USD LIBOR + 3.00%, 3.70%, 02/15/35 (f),(g),(b) | 17,190,000 | 12,714,584 | ||||||||
Series2018-PHH, Class E, 1 mo. USD LIBOR + 2.41%, 3.11%, 06/15/35 (f),(g),(b) | 6,309,807 | 5,028,878 | ||||||||
Series2018-WPT, Class EFX, 5.54%, 07/05/33 (f),(b) | 1,354,000 | 1,192,465 | ||||||||
Series2018-WPT, Class FFX, 5.54%, 07/05/33 (f),(b) | 4,570,000 | 3,895,171 | ||||||||
Series2019-MFP, Class F, 1 mo. USD LIBOR + 3.00%, 3.70%, 07/15/36 (f),(g),(b) | 2,149,000 | 1,906,150 | ||||||||
JPMBB Commercial Mortgage Securities Trust, |
| |||||||||
Series2015-C28, Class D, 3.70%, 10/15/48 (f),(c),(g),(b),(d) | 5,074,000 | 3,046,633 | ||||||||
Series2015-C28, Class C, 4.20%, 10/15/48 (g),(h) | 6,726,355 | 4,852,514 | ||||||||
Series2015-C29, Class D, 3.68%, 05/15/48 (c),(g),(b) | 112,000 | 63,028 | ||||||||
Series2015-C30, Class D, 3.77%, 07/15/48 (c),(g),(h),(b) | 4,924,500 | 3,046,123 | ||||||||
Series2015-C30, Class C, 4.27%, 07/15/48 (c),(g),(h) | 11,768,000 | 8,274,963 | ||||||||
Series2015-C31, Class E, 4.62%, 08/15/48 (f),(c),(g),(b) | 1,093,000 | 602,505 |
See Notes to Consolidated Financial Statements.
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Security Description | Principal Amount | Value | ||||||||
Series2016-C1, Class E, 4.74%, 03/15/49 (f),(c),(g),(b) | $ | 3,116,000 | $ | 2,833,329 | ||||||
JPMDB Commercial Mortgage Securities Trust, |
| |||||||||
Series2016-C2, Class D, 3.40%, 06/15/49 (f),(g),(b) | 1,381,129 | 777,172 | ||||||||
Series2017-C7 SEQ, Class A5, 3.41%, 10/15/50 (c),(b) | 4,950,000 | 5,247,040 | ||||||||
KKR Industrial Portfolio Trust, Series2020-AIP, Class F, 1 mo. USD LIBOR + 3.43%, 4.43%, 03/15/37 (f),(g),(c) | 9,952,000 | 7,681,640 | ||||||||
LB Commercial Mortgage Trust, |
| |||||||||
Series2007-C3, Class AJFL, 1 mo. USD LIBOR + .35%, 1.15%, 07/15/44 (f),(g),(b),(d) | 1,091,048 | 1,078,083 | ||||||||
Series2007-C3, Class AJ, 5.77%, 07/15/44 (g),(b),(d) | 402,729 | 409,096 | ||||||||
LB-UBS Commercial Mortgage Trust, |
| |||||||||
Series2005-C3, Class G, 5.11%, 07/15/40 (f),(g),(b),(d) | 5,250,000 | 5,248,325 | ||||||||
Series2006-C1, Class C, 5.34%, 02/15/41 (g),(b),(d) | 5,200,821 | 4,160,657 | ||||||||
Series2007-C1, Class F, 5.61%, 02/15/40 (g),(b),(d) | 2,510,341 | 2,364,478 | ||||||||
Series2007-C6, Class AJ, 6.25%, 07/15/40 (g),(h),(b),(d) | 18,224,860 | 16,612,434 | ||||||||
Lone Star Portfolio Trust, Series2015-LSP, Class E, 1 mo. USD LIBOR + 5.85%, 6.55%, 09/15/28 (f),(g),(c),(b) | 4,683,811 | 4,285,767 | ||||||||
LSTAR Commercial Mortgage Trust, Series2017-5, Class C, 4.87%, 03/10/50 (f),(c),(g),(b) | 967,000 | 609,318 | ||||||||
Morgan Stanley Bank of America Merrill Lynch Trust, |
| |||||||||
Series2012-C5, Class G, 4.50%, 08/15/45 (f),(b) | 8,330,000 | 6,912,209 | ||||||||
Series2014-C15, Class F, 4.00%, 04/15/47 (f),(b) | 2,000,000 | 1,331,272 | ||||||||
Series2014-C15, Class E, 4.91%, 04/15/47 (f),(c),(g),(b) | 6,000,000 | 4,518,054 | ||||||||
Series2014-C15, Class D, 4.91%, 04/15/47 (f),(c),(g),(b) | 2,270,000 | 1,699,292 | ||||||||
Series2014-C16, Class C, 4.77%, 06/15/47 (g),(h) | 3,382,037 | 2,561,257 | ||||||||
Series2015-C20, Class D, 3.07%, 02/15/48 (f),(c),(b) | 3,659,000 | 2,275,982 | ||||||||
Series2015-C21, Class D, 4.15%, 03/15/48 (f),(c),(g),(b),(d) | 4,754,000 | 2,966,843 | ||||||||
Series2015-C22, Class D, 4.24%, 04/15/48 (f),(c),(g),(b) | 870,000 | 562,353 |
See Notes to Consolidated Financial Statements.
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Security Description | Principal Amount | Value | ||||||||
Series2016-C29, Class D, 3.00%, 05/15/49 (f),(c),(b) | $ | 2,517,000 | $ | 1,278,996 | ||||||
Series2016-C30, Class D, 3.00%, 09/15/49 (f),(c),(g),(b) | 1,323,000 | 690,613 | ||||||||
Series2016-C32, Class D, 3.40%, 12/15/49 (f),(c),(g),(b),(d) | 991,000 | 506,411 | ||||||||
Series2017-C34 SEQ, Class A4, 3.54%, 11/15/52 (c),(b) | 2,907,303 | 3,076,694 | ||||||||
Morgan Stanley Capital I Trust, |
| |||||||||
Series2005-T19, Class H, 5.80%, 06/12/47 (f),(g),(b),(d) | 3,729,457 | 3,728,767 | ||||||||
Series2006-HQ8, Class D, 5.60%, 03/12/44 (g),(b),(d) | 1,405,247 | 1,410,235 | ||||||||
Series 2006-IQ11, Class B, 6.06%, 10/15/42 (g),(b),(d) | 8,029 | 8,030 | ||||||||
Series 2016-UB12, Class D, 3.31%, 12/15/49 (f),(c),(b) | 1,761,000 | 787,820 | ||||||||
Mortgage Insurance-Linked Notes Serie,Series 2019-1, Class M2, 1 mo. USD LIBOR + 2.90%, 3.85%, 11/26/29 (f),(g),(h),(c) | 8,540,000 | 6,190,817 | ||||||||
Motel 6 Trust, Series 2017-MTL6, Class E, 1 mo. USD LIBOR + 3.25%, 3.95%, 08/15/34 (f),(g),(h),(b) | 12,202,685 | 9,770,373 | ||||||||
Natixis Commercial Mortgage Securities Trust, |
| |||||||||
Series 2018-RIVA, Class D, 1 mo. USD LIBOR + 2.05%, 2.75%, 02/15/33 (f),(g),(c),(b) | 250,000 | 227,474 | ||||||||
Series 2018-TECH, Class E, 1 mo. USD LIBOR + 2.25%, 2.95%, 11/15/34 (f),(g),(h) | 2,196,444 | 1,751,956 | ||||||||
Series 2019-MILE, Class D, 1 mo. USD LIBOR + 2.75%, 3.45%, 07/15/36 (f),(g),(c),(b) | 116,000 | 94,018 | ||||||||
Series 2019-MILE, Class E, 1 mo. USD LIBOR + 3.50%, 4.20%, 07/15/36 (f),(g),(c),(b) | 105,000 | 85,306 | ||||||||
New Orleans Hotel Trust, Series 2019-HNLA, Class E, 1 mo. USD LIBOR + 2.69%, 3.39%, 04/15/32 (f),(g),(c),(b) | 1,301,000 | 1,035,605 | ||||||||
Palisades Center Trust, Series 2016-PLSD, Class D, 4.74%, 04/13/33 (f),(c),(b),(d) | 6,907,000 | 6,415,194 | ||||||||
PMT Credit Risk Transfer Trust, |
| |||||||||
Series2019-2R, Class A, 1 mo. USD LIBOR + 2.75%, 4.36%, 05/27/23 (f),(g),(c),(b),(d) | 9,628,028 | 8,734,278 | ||||||||
Series2019-3R, Class A, 1 mo. USD LIBOR + 2.70%, 3.66%, 10/27/22 (f),(g),(c),(b),(d) | 21,282,378 | 19,848,138 |
See Notes to Consolidated Financial Statements.
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March 31, 2020
Security Description | Principal Amount | Value | ||||||||
Prima Capital CRE Securitization Ltd., |
| |||||||||
Series2019-RK1, Class DD, 3.50%, 04/15/38 (f),(c),(b) | $ | 1,648,000 | $ | 1,362,598 | ||||||
Series2019-RK1, Class CG, 4.00%, 04/15/38 (f),(c),(b) | 339,000 | 237,672 | ||||||||
Series2019-RK1, Class BT, 4.45%, 04/15/38 (f),(c),(b) | 1,173,000 | 859,767 | ||||||||
Series2019-RK1, Class CT, 4.45%, 04/15/38 (f),(c),(b) | 121,000 | 79,465 | ||||||||
ReadyCap Commercial Mortgage Trust, |
| |||||||||
Series2019-6, Class C, 4.13%, 10/25/52 (f),(c),(g),(b) | 1,691,000 | 1,487,776 | ||||||||
Series2019-6, Class D, 4.93%, 10/25/52 (f),(c),(g),(b) | 227,000 | 195,179 | ||||||||
Sequoia Mortgage Trust, |
| |||||||||
Series2017-3, Class B4, 3.80%, 04/25/47 (f),(c),(g),(b),(d) | 291,000 | 193,737 | ||||||||
Series2019-3, Class B4, 4.11%, 09/25/49 (f),(c),(g),(b),(d) | 356,000 | 243,638 | ||||||||
Series RR Trust, 0.00%, 04/26/48 (f),(c),(b),(u) | 3,595,000 | 2,796,827 | ||||||||
SG Commercial Mortgage Securities Trust, |
| |||||||||
Series2016-C5, Class D, 4.84%, 10/10/48 (f),(c),(g),(b) | 295,000 | 185,935 | ||||||||
Series 2019-PREZ, Class E, 3.59%, 09/15/39 (f),(g),(b) | 1,720,000 | 1,117,243 | ||||||||
Shelter Growth CRE Issuer Ltd., Series2018-FL1, Class D, 1 mo. USD LIBOR + 3.00%, 3.70%, 01/15/35 (f),(g),(c),(b) | 4,158,000 | 3,774,312 | ||||||||
STACR Trust, |
| |||||||||
Series 2018-DNA2, Class M2B, 1 mo. USD LIBOR + 2.15%, 3.10%, 12/25/30 (f),(g),(c),(b),(d) | 10,364,000 | 8,469,906 | ||||||||
Series 2018-HRP2, Class M3B, 3.35%, 02/25/47 (f),(g),(c),(b),(d) | 1,697,500 | 1,136,821 | ||||||||
Structured Agency Credit Risk, |
| |||||||||
Series 2015-HQA1, Class B, 1 mo. USD LIBOR + 8.80%, 9.75%, 03/25/28 (g),(c),(b),(d) | 3,368,520 | 1,759,408 | ||||||||
Series 2015-HQA2, Class M3, 1 mo. USD LIBOR + 4.80%, 5.75%, 05/25/28 (g),(h),(c) | 3,990,000 | 3,132,150 | ||||||||
Series 2016-DNA1, Class M3, 1 mo. USD LIBOR + 5.55%, 6.50%, 07/25/28 (g),(c),(b) | 11,110,000 | 10,610,050 | ||||||||
Series 2016-HQA1, Class M3, 1 mo. USD LIBOR + 6.35%, 7.30%, 09/25/28 (g),(h),(c) | 3,290,934 | 3,093,478 | ||||||||
UBS Commercial Mortgage Trust, |
| |||||||||
Series2018-C9, Class D, 4.89%, 03/15/51 (f),(c),(g),(b) | 308,000 | 185,378 |
See Notes to Consolidated Financial Statements.
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March 31, 2020
Security Description | Principal Amount | Value | ||||||||
Series 2018-NYCH, Class F, 1 mo. USD LIBOR + 3.82%, 4.53%, 02/15/32 (f),(g),(c),(b) | $ | 798,000 | $ | 635,113 | ||||||
UBS-Citigroup Commercial Mortgage Trust,Series 2011-C1, Class E, 6.05%, 01/10/45 (f),(g),(b),(d) | 4,327,496 | 3,657,167 | ||||||||
Wachovia Bank Commercial Mortgage Trust, |
| |||||||||
Series2005-C21, Class E, 5.02%, 10/15/44 (f),(g),(b),(d) | 1,666,880 | 1,543,698 | ||||||||
Series2006-C28, Class D, 5.72%, 10/15/48 (g),(b),(d) | 8,071,222 | 8,051,044 | ||||||||
Series2006-C29, Class C, 5.44%, 11/15/48 (g),(b),(d) | 551,312 | 552,304 | ||||||||
Waldorf Astoria Boca Raton Trust,Series 2019-WBM, Class E, 1 mo. USD LIBOR + 2.68%, 3.38%, 12/15/33 (f),(g),(c),(b) | 5,000,000 | 3,868,680 | ||||||||
Wells Fargo Commercial Mortgage Trust, |
| |||||||||
Series 2014-LC18, Class D, 3.96%, 12/15/47 (f),(c),(g),(b) | 992,000 | 662,575 | ||||||||
Series2015-C26, Class D, 3.59%, 02/15/48 (f),(h),(c),(b) | 14,815,912 | 9,794,355 | ||||||||
Series2015-C27, Class D, 3.77%, 02/15/48 (f),(h),(c),(d) | 6,903,000 | 4,376,806 | ||||||||
Series2015-C31, Class D, 3.85%, 11/15/48 (c),(h) | 3,546,000 | 2,132,302 | ||||||||
Series 2015-LC20, Class E, 2.63%, 04/15/50 (f),(c),(b) | 1,312,000 | 674,119 | ||||||||
Series 2015-LC20, Class D, 4.38%, 04/15/50 (f),(c),(g),(b) | 3,000,000 | 2,079,795 | ||||||||
Series 2015-LC22, Class D, 4.53%, 09/15/58 (g),(b) | 1,500,000 | 990,392 | ||||||||
Series 2015-NXS2, Class C, 4.31%, 07/15/58 (c),(g),(b) | 9,557,000 | 6,843,557 | ||||||||
Series 2015-NXS4, Class E, 3.67%, 12/15/48 (f),(h),(c),(g),(d) | 2,629,000 | 1,533,480 | ||||||||
Series2016-C32, Class D, 3.79%, 01/15/59 (f),(g),(b) | 2,800,000 | 1,717,671 | ||||||||
Series2016-C34, Class C, | 7,139,495 | 4,979,219 | ||||||||
Series2016-C34, Class D, | 8,247,487 | 5,133,170 | ||||||||
Series 2016-LC24, Class D, | 4,253,000 | 2,406,569 | ||||||||
Series 2019-JWDR SEQ, Class E, | 1,978,000 | 1,463,734 |
See Notes to Consolidated Financial Statements.
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March 31, 2020
Security Description | Principal Amount | Value | ||||||||
Series 2019-JWDR SEQ, Class F, | $ | 2,291,000 | $ | 1,617,077 | ||||||
Series 2019-JWDR SEQ, Class G, | 2,067,000 | 1,315,071 | ||||||||
Series2020-SOP, Class E, 1 mo. USD LIBOR + 2.71%, 3.41%, 01/15/35 (f),(g),(b) | 1,250,000 | 916,211 | ||||||||
WFRBS Commercial Mortgage Trust, | ||||||||||
Series2013-C18, Class D, 4.69%, 12/15/46 (f),(g),(b) | 11,538,000 | 8,900,829 | ||||||||
Series2014-C19, Class D, 4.23%, 03/15/47 (f),(c),(b) | 325,000 | 226,403 | ||||||||
Series2014-C22, Class C, 3.76%, 09/15/57 (c),(g),(b) | 1,525,000 | 1,144,136 | ||||||||
Series2014-C22, Class D, 3.90%, 09/15/57 (f),(c),(g),(b) | 4,635,000 | 2,699,410 | ||||||||
Series2014-C24, Class C, 4.29%, 11/15/47 (g),(h) | 4,925,729 | 3,841,177 | ||||||||
Series 2014-LC14, Class D, 4.59%, 03/15/47 (f),(h),(g) | 5,521,231 | 4,001,998 | ||||||||
Worldwide Plaza Trust, Series2017-WWP, Class F, 3.60%, 11/10/36 (f),(c),(g),(b) | 129,000 | 94,173 | ||||||||
|
| |||||||||
715,021,775 | ||||||||||
|
| |||||||||
Interest Only Collateralized Mortgage Obligations — 0.0% |
| |||||||||
FREMF Mortgage Trust, Series 2019-K102, Class C, 3.65%, 12/25/51 (f),(c),(g),(b) | 479,000 | 361,419 | ||||||||
Multifamily Connecticut Avenue Securities Trust, Series2019-01, Class M10, 1 mo. USD LIBOR + 3.25%, 4.20%, 10/15/49 (f),(g),(h),(c),(b) | 2,300,000 | 1,628,756 | ||||||||
|
| |||||||||
1,990,175 | ||||||||||
|
| |||||||||
Interest Only Commercial Mortgage-Backed Securities — 0.1% |
| |||||||||
CFK Trust, Series2020-MF2, Class X, | 19,612,000 | 952,653 | ||||||||
Federal Home Loan Mortgage Corp., Series K105, Class X3, 2.04%, 06/25/30 (v),(c),(g),(b) | 8,413,000 | 1,280,955 | ||||||||
Federal National Mortgage Association, |
| |||||||||
Series2017-C03, Class 1X2, 1.80%, 10/25/29 (v),(c),(b) | 14,311,024 | 254,407 | ||||||||
Series2017-C05, Class 1X3, 1.00%, 01/25/30 (v),(c),(b) | 15,466,129 | 100,112 | ||||||||
Series2017-C06, Class 2X1, 1.80%, 02/25/30 (v),(c),(b) | 12,004,863 | 104,839 | ||||||||
Series2018-C01, Class 1X2, 1.40%, 07/25/30 (v),(c),(b) | 49,241,248 | 373,987 |
See Notes to Consolidated Financial Statements.
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March 31, 2020
Security Description | Principal Amount | Value | ||||||||
Series2018-C02, Class 2X2, 1.30%, 08/25/30 (v),(c),(b) | $ | 4,746,599 | $ | 25,888 | ||||||
Series2018-C03, Class 1X2, 1.30%, 10/25/30 (v),(c),(b) | 19,575,632 | 138,478 | ||||||||
GS Mortgage Securities Corp. Trust,Series 2020-DUNE, Class XCP, 0.93%, 12/15/36 (v),(f),(c),(g),(b) | 15,243,000 | 100,421 | ||||||||
MFT Trust, Series2020-ABC, Class XA, | 20,401,000 | 279,739 | ||||||||
STACR Trust, Series 2018-DNA3, Class M2AI, | 7,351,600 | 79,125 | ||||||||
|
| |||||||||
3,690,604 | ||||||||||
|
| |||||||||
Inverse Interest Only Collateralized Mortgage Obligations — 1.5% |
| |||||||||
Citigroup Commercial Mortgage Trust, |
| |||||||||
Series 2015-GC29, Class XA, | 11,817,761 | 512,784 | ||||||||
Series2019-C7, Class XD, | 5,347,000 | 484,262 | ||||||||
Series 2019-GC43, Class XD, | 5,918,000 | 284,608 | ||||||||
COMM Mortgage Trust, |
| |||||||||
Series 2014-CR18, Class D, | 2,111,000 | 1,503,043 | ||||||||
Series 2014-CR21, Class E, 3.00%, 12/10/47 (f),(b) | 1,686,000 | 967,798 | ||||||||
Series 2014-CR21, Class D, 3.93%, 12/10/47 (f),(h),(g),(b) | 2,763,445 | 1,860,901 | ||||||||
Series 2015-CR27, Class E, 3.25%, 10/10/48 (f),(c),(b) | 1,885,000 | 1,003,695 | ||||||||
Commercial Mortgage Trust, |
| |||||||||
Series 2014-UBS4, Class XA, | 17,023,320 | 632,008 | ||||||||
Series 2014-UBS5, Class XA, | 3,100,308 | 96,385 | ||||||||
Series 2015-CR23, Class XA, | 10,525,864 | 371,153 | ||||||||
Connecticut Avenue Securities Trust, |
| |||||||||
Series2019-R01, Class 2X2, | 10,530,566 | 59,161 | ||||||||
Series2019-R06, Class 2X2, | 10,008,667 | 71,182 | ||||||||
CSAIL Commercial Mortgage Trust, |
| |||||||||
Series2015-C2, Class XA, | 37,493,794 | 1,125,189 |
See Notes to Consolidated Financial Statements.
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Security Description | Principal Amount | Value | ||||||||
Series2015-C3, Class XA, | $ | 112,996,462 | $ | 3,447,409 | ||||||
Series2019-C18, Class XD, | 4,452,333 | 475,086 | ||||||||
DBWF Mortgage Trust, |
| |||||||||
Series 2018-GLKS, Class E, 1 mo. USD LIBOR + 3.02%, 3.77%, 12/19/30 (f),(g),(c),(b) | 1,701,000 | 1,202,947 | ||||||||
Series 2018-GLKS, Class F, 1 mo. USD LIBOR + 3.49%, 4.24%, 12/19/30 (f),(g),(c),(b) | 2,202,000 | 2,089,623 | ||||||||
DC Office Trust, Series2019-MTC, Class X, | 64,579,000 | 793,870 | ||||||||
Federal Home Loan Mortgage Corp., |
| |||||||||
Series 2017-DNA2, Class M2AI, 2.50%, 10/25/29 (v),(c),(b) | 1,381,500 | 36,738 | ||||||||
Series 2017-DNA3, Class M2AI, 1.75%, 03/25/30 (v),(c),(b) | 1,935,200 | 23,286 | ||||||||
Series 2017-HQA1, Class M2AI, 2.50%, 08/25/29 (v),(c),(b) | 5,602,000 | 68,944 | ||||||||
Series 2017-HQA2, Class M2AI, 2.00%, 12/25/29 (v),(c),(b) | 8,680,485 | 102,300 | ||||||||
Series 2018-DNA1, Class M2AI, 1.25%, 07/25/30 (v),(c),(b) | 8,548,500 | 41,913 | ||||||||
Series 2018-HQA1, Class M2AI, 1.50%, 09/25/30 (v),(c),(b) | 3,668,178 | 19,166 | ||||||||
SeriesK-1514, Class X3, 2.86%, 10/25/34 (v),(c),(g),(b) | 13,043,739 | 3,432,930 | ||||||||
Series K049, Class X3, 1.55%, 10/25/43 (v),(c),(g),(b) | 2,177,000 | 152,212 | ||||||||
Series K061, Class X1, 0.18%, 11/25/26 (v),(c),(g),(b) | 17,937,990 | 205,157 | ||||||||
Series K071, Class X1, 0.29%, 11/25/27 (v),(c),(g),(b) | 89,318,588 | 1,738,050 | ||||||||
Series K077, Class X3, 2.23%, 05/25/28 (v),(c),(g),(b) | 22,022,809 | 3,217,422 | ||||||||
Series K086, Class X3, 2.30%, 12/25/28 (v),(c),(g),(b) | 13,743,594 | 2,147,464 | ||||||||
Series K089, Class X3, 2.30%, 01/25/46 (v),(c),(g),(b) | 7,963,000 | 1,300,223 | ||||||||
Series K095, Class X3, 2.10%, 08/25/47 (v),(c),(g),(b) | 9,297,000 | 1,419,122 | ||||||||
Series K102, Class X3, 1.96%, 12/25/46 (v),(c),(g),(b) | 20,880,337 | 2,939,847 | ||||||||
Series K154, Class X1, 0.31%, 11/25/32 (v),(c),(g),(b) | 33,105,912 | 896,376 |
See Notes to Consolidated Financial Statements.
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March 31, 2020
Security Description | Principal Amount | Value | ||||||||
Series K725, Class X1, 0.71%, 01/25/24 (v),(c),(g),(b) | $ | 142,715,928 | $ | 3,299,735 | ||||||
Series KG01, Class X3, 3.12%, 05/25/29 (v),(c),(g),(b) | 9,477,000 | 2,114,366 | ||||||||
Series KLU1, Class X3, 3.97%, 01/25/31 (v),(c),(g),(b) | 25,290,236 | 4,767,766 | ||||||||
Series KLU2, Class X1, 1.16%, 08/25/29 (v),(c),(g),(b) | 64,084,000 | 4,474,409 | ||||||||
Series KLU2, Class X3, 4.10%, 08/25/29 (v),(c),(g),(b) | 9,518,000 | 2,267,664 | ||||||||
Series KS11, Class XFX, 1.60%, 06/25/29 (v),(c),(g),(b) | 25,265,000 | 2,856,410 | ||||||||
Series KW08, Class X3, 3.19%, 10/25/31 (v),(c),(g),(b) | 6,701,000 | 1,432,185 | ||||||||
Series KW09, Class X3, 3.01%, 06/25/29 (v),(c),(g),(b) | 6,654,000 | 1,416,011 | ||||||||
Series KW10, Class X3, 2.72%, 10/25/32 (v),(c),(g),(b) | 5,935,000 | 1,169,343 | ||||||||
Federal National Mortgage Association, |
| |||||||||
Series2017-C01, Class 1X1, 2.30%, 07/25/29 (v),(c),(b) | 14,774,635 | 204,717 | ||||||||
Series2017-C02, Class 2X3, 2.30%, 09/25/29 (v),(c),(b) | 13,306,280 | 216,919 | ||||||||
Series2017-C02, Class 2X4, 2.80%, 09/25/29 (v),(c),(b) | 4,327,426 | 87,431 | ||||||||
Series2017-C04, Class 2X2, 1.75%, 11/25/29 (v),(c),(b) | 27,769,334 | 408,181 | ||||||||
Series2017-C04, Class 2M2C, 1 mo. USD LIBOR + 2.85%, 3.80%, 11/25/29 (g),(h),(c),(d) | 13,884,666 | 11,385,426 | ||||||||
Series2017-C07, Class 1X3, 1.00%, 05/25/30 (v),(c),(b) | 4,726,162 | 23,295 | ||||||||
FREMF Mortgage Trust, |
| |||||||||
Series2019-K95, Class C, 4.05%, 08/25/52 (f),(c),(g) | 1,882,000 | 1,482,314 | ||||||||
Series2019-K96, Class C, 3.94%, 08/25/56 (f),(c),(g),(b) | 3,697,000 | 2,878,543 | ||||||||
Series2019-K97, Class C, 3.76%, 09/25/51 (f),(c),(g),(b) | 1,559,000 | 1,208,814 | ||||||||
GS Mortgage Securities Corp. II, |
| |||||||||
Series 2013-GC10, Class E, 4.40%, 02/10/46 (f),(c),(g),(b) | 3,900,000 | 2,867,631 | ||||||||
Series 2018-GS10, Class E, 3.00%, 07/10/51 (f),(c),(g),(b) | 1,379,000 | 651,922 | ||||||||
GS Mortgage Securities Trust, |
| |||||||||
Series 2015-GC32, Class XA, | 21,898,109 | 688,411 |
See Notes to Consolidated Financial Statements.
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March 31, 2020
Security Description | Principal Amount | Value | ||||||||||
Series 2015-GS40, 1.16%, 07/10/52 (v),(f),(c),(g),(b) | $ | 2,219,000 | $ | 196,981 | ||||||||
JPMBB Commercial Mortgage Securities Trust, Series2015-C30, Class XA, 0.51%, 07/15/48 (v),(c),(g),(b) | 45,563,817 | 1,037,351 | ||||||||||
JPMDB Commercial Mortgage Securities Trust, Series 2019-COR6, Class XD, 1.43%, 11/13/52 (v),(f),(c),(g),(b) | 4,231,000 | 436,931 | ||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust, |
| |||||||||||
Series2015-C22, Class XA, 1.07%, 04/15/48 (v),(c),(g),(b) | 18,211,540 | 726,968 | ||||||||||
Series2015-C23, Class XA, 0.60%, 07/15/50 (v),(c),(g),(b) | 46,319,565 | 1,093,003 | ||||||||||
Series2015-C25, Class XA, 1.09%, 10/15/48 (v),(c),(g),(b) | 35,311,181 | 1,520,394 | ||||||||||
Series2016-C31, Class D, 3.00%, 11/15/49 (f),(c),(g),(b) | 2,354,000 | 1,203,718 | ||||||||||
Morgan Stanley Capital I Trust, | 3,200,500 | 1,503,867 | ||||||||||
STACR Trust, Series 2018-HRP2, Class M3AI, | 1,358,000 | 33,238 | ||||||||||
Wells Fargo Commercial Mortgage Trust, |
| |||||||||||
Series 2014-LC18, Class XA, | 37,865,835 | 1,453,367 | ||||||||||
Series2015-C29, Class XA, | 114,136,793 | 3,088,313 | ||||||||||
Series2016-C32, Class XA, | 36,382,127 | 1,960,742 | ||||||||||
|
| |||||||||||
94,878,620 | ||||||||||||
|
| |||||||||||
Total North America |
| 1,372,847,755 | ||||||||||
|
| |||||||||||
TOTAL MORTGAGE-BACKED SECURITIES |
| 1,392,636,202 | ||||||||||
|
| |||||||||||
U.S. GOVERNMENT SPONSORED AGENCY SECURITIES — 3.2% |
| |||||||||||
North America — 3.2% |
| |||||||||||
Collateralized Mortgage Obligation (Residential) — 2.1% |
| |||||||||||
Government National Mortgage Association, | ||||||||||||
4.00%, 04/01/50 (t),(c) | 55,300,000 | 58,833,670 | ||||||||||
4.50%, 04/01/50 (t),(c) | 68,600,000 | 72,935,520 | ||||||||||
Series2019-6, Class SE, 5.33%, 01/20/49 (v),(c),(g),(b) | 31,003,845 | 5,207,220 | ||||||||||
|
| |||||||||||
136,976,410 | ||||||||||||
|
|
See Notes to Consolidated Financial Statements.
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March 31, 2020
Security Description | Principal Amount | Value | ||||||||
Interest Only Collateralized Mortgage Obligations — 1.0% |
| |||||||||
Government National Mortgage Association, |
| |||||||||
Series2011-157, Class LS, 1 mo. USD LIBOR + 6.63%, 5.86%, 12/20/41 (v),(g),(c),(b) | $ | 4,764,422 | $ | 1,196,818 | ||||||
Series2012-96, Class SA, 1 mo. USD LIBOR + 6.10%, 5.33%, 08/20/42 (v),(g),(c),(b) | 5,024,647 | 1,260,202 | ||||||||
Series2014-116, Class SC, 1 mo. USD LIBOR + 5.60%, 4.83%, 08/20/44 (v),(g),(c),(b) | 3,003,822 | 666,719 | ||||||||
Series2015-151, Class SC, 1 mo. USD LIBOR + 6.15%, 5.38%, 10/20/45 (v),(g),(c),(b) | 7,370,910 | 1,440,106 | ||||||||
Series2015-161, Class AS, 1 mo. USD LIBOR + 6.20%, 5.43%, 11/20/45 (v),(g),(c),(b) | 7,076,467 | 1,708,188 | ||||||||
Series2015-162, Class LS, 1 mo. USD LIBOR + 6.20%, 5.43%, 11/20/45 (v),(g),(c),(b) | 9,527,817 | 2,119,758 | ||||||||
Series2016-5, Class QS, 1 mo. USD LIBOR + 6.20%, 5.43%, 01/20/46 (v),(g),(c),(b) | 10,923,831 | 2,475,766 | ||||||||
Series2017-101, Class SL, 1 mo. USD LIBOR + 6.20%, 5.43%, 07/20/47 (v),(g),(c),(b) | 9,112,069 | 1,874,098 | ||||||||
Series2017-114, Class SP, 1 mo. USD LIBOR + 6.20%, 5.43%, 07/20/47 (v),(g),(c),(b) | 6,866,537 | 1,177,398 | ||||||||
Series2017-117, Class BS, 1 mo. USD LIBOR + 6.20%, 5.43%, 08/20/47 (v),(g),(c),(b) | 5,564,798 | 1,025,553 | ||||||||
Series2017-117, Class SA, 1 mo. USD LIBOR + 6.20%, 5.43%, 08/20/47 (v),(g),(c),(b) | 7,089,436 | 1,633,165 | ||||||||
Series2017-156, Class SB, 1 mo. USD LIBOR + 6.20%, 5.43%, 10/20/47 (v),(g),(c),(b) | 7,532,570 | 1,631,268 | ||||||||
Series2017-56, Class AS, 1 mo. USD LIBOR + 6.15%, 5.38%, 04/20/47 (v),(g),(c),(b) | 6,662,586 | 1,489,661 | ||||||||
Series2017-73, Class SM, 1 mo. USD LIBOR + 6.20%, 5.43%, 05/20/47 (v),(g),(c),(b) | 6,741,604 | 1,383,546 | ||||||||
Series2017-78, Class CS, 1 mo. USD LIBOR + 6.20%, 5.43%, 05/20/47 (v),(g),(c),(b) | 14,091,275 | 2,768,668 |
See Notes to Consolidated Financial Statements.
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March 31, 2020
Security Description | Principal Amount | Value | ||||||||||
Series2018-27, Class HS, 1 mo. USD LIBOR + 6.20%, 5.43%, 02/20/48 (v),(g),(c),(b) | $ | 3,944,770 | $ | 662,954 | ||||||||
Series2018-48, Class SA, 1 mo. USD LIBOR + 6.20%, 5.43%, 04/20/48 (v),(g),(c),(b) | 9,118,099 | 2,064,529 | ||||||||||
Series2018-54, Class AS, 1 mo. USD LIBOR + 5.72%, 4.95%, 04/20/48 (v),(g),(c),(b) | 4,804,945 | 731,019 | ||||||||||
Series2018-54, Class SA, 1 mo. USD LIBOR + 6.25%, 5.48%, 04/20/48 (v),(g),(c),(b) | 14,414,834 | 2,393,699 | ||||||||||
Series2018-64, Class SG, 1 mo. USD LIBOR + 6.20%, 5.43%, 05/20/48 (v),(g),(c),(b) | 4,723,901 | 793,389 | ||||||||||
Series2018-65, Class PS, 1 mo. USD LIBOR + 6.15%, 5.38%, 05/20/48 (v),(g),(c),(b) | 7,468,359 | 1,336,679 | ||||||||||
Series2018-78, Class AS, 1 mo. USD LIBOR + 6.20%, 5.43%, 06/20/48 (v),(g),(c),(b) | 13,804,016 | 2,124,590 | ||||||||||
Series2018-93, Class SA, 1 mo. USD LIBOR + 6.20%, 5.43%, 07/20/48 (v),(g),(c),(b) | 6,818,581 | 1,127,752 | ||||||||||
Series2019-1, Class LS, 1 mo. USD LIBOR + 6.05%, 5.28%, 01/20/49 (v),(g),(c),(b) | 35,679,968 | 6,416,650 | ||||||||||
Series2019-90, Class BS, 1 mo. USD LIBOR + 6.15%, 5.38%, 07/20/49 (v),(g),(c),(b) | 39,134,837 | 6,460,340 | ||||||||||
Series2019-92, Class SE, 1 mo. USD LIBOR + 6.10%, | 45,347,131 | 6,232,646 | ||||||||||
Series2019-98, Class SC, 1 mo. USD LIBOR + 6.05%, | 65,990,001 | 8,779,244 | ||||||||||
|
| |||||||||||
62,974,405 | ||||||||||||
|
| |||||||||||
Inverse Interest Only Collateralized Mortgage Obligations — 0.1% |
| |||||||||||
Government National Mortgage Association,Series 2019-84, 1 mo. USD LIBOR + 6.10%, 5.33%, 07/20/49 (v),(g),(c),(b) | 64,097,308 | 8,321,369 | ||||||||||
|
| |||||||||||
Total North America |
| 208,272,184 | ||||||||||
|
| |||||||||||
TOTAL U.S. GOVERNMENT SPONSORED AGENCY SECURITIES | 208,272,184 | |||||||||||
|
|
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
March 31, 2020
Security Description | Principal Amount | Value | ||||||||||
U.S. TREASURY OBLIGATIONS — 3.7% |
| |||||||||||
North America — 3.7% |
| |||||||||||
U.S. Treasury Notes, | ||||||||||||
1.38%, 09/30/20 (b) | $ | 210,000,000 | $ | 211,312,500 | ||||||||
2.50%, 06/30/20 (b) | 12,493,000 | 12,567,409 | ||||||||||
2.63%, 07/31/20 - 08/15/20 | 14,009,600 | 14,137,644 | ||||||||||
|
| |||||||||||
Total North America | 238,017,553 | |||||||||||
|
| |||||||||||
TOTAL U.S. TREASURY OBLIGATIONS | 238,017,553 | |||||||||||
|
| |||||||||||
Security Description | Shares | Value | ||||||||||
MUNICIPALS — 0.4% |
| |||||||||||
North America — 0.4% | ||||||||||||
California Housing Finance, Rev., Series 2019 X, 0.03%, 01/15/35 (c),(g),(b) | 15,515,000 | 349,553 | ||||||||||
Puerto Rico, |
| |||||||||||
GO, Series 2012 A,, 5.00%, 07/01/41 (i) | 5,505,000 | 3,344,287 | ||||||||||
GO, Series 2012 A,, 5.50%, 07/01/39 (i),(b) | 3,740,000 | 2,356,200 | ||||||||||
GO, Series 2014 A,, 8.00%, 07/01/35 (i),(b) | 32,250,000 | 19,350,000 | ||||||||||
|
| |||||||||||
Total North America | 25,400,040 | |||||||||||
|
| |||||||||||
TOTAL MUNICIPALS | 25,400,040 | |||||||||||
|
| |||||||||||
EXCHANGE-TRADED FUNDS — 0.4% |
| |||||||||||
Invesco Emerging Markets Sovereign Debt ETF (c),(b) | 24,662 | 589,668 | ||||||||||
iShares Core MSCI Emerging Markets ETF (c),(b) | 183,191 | 7,413,740 | ||||||||||
SPDR Dow Jones International Real Estate ETF (c),(b) | 140,250 | 3,754,493 | ||||||||||
Vanguard Emerging Markets Government Bond ETF (c),(b) | 6,875 | 484,000 | ||||||||||
Vanguard FTSE Emerging Markets ETF (c),(b) | 207,744 | 6,969,811 | ||||||||||
Vanguard Globalex-U.S. Real Estate ETF (c),(b) | 144,423 | 6,197,191 | ||||||||||
Vanguard Real Estate ETF (c),(b) | 39,077 | 2,729,528 | ||||||||||
|
| |||||||||||
TOTAL EXCHANGE-TRADED FUNDS | 28,138,431 | |||||||||||
|
| |||||||||||
WARRANTS — 0.1% |
| |||||||||||
Alussa Energy Acquisition Corp. (c),(b),(d),(a) | 337,500 | 253,125 | ||||||||||
Amplitude Healthcare Acquisition Corp. (c),(b),(d),(a) | 150,000 | 65,895 | ||||||||||
Apex Technology Acquisition Corp., A Shares (c),(b),(d),(a) | 525,000 | 472,500 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
March 31, 2020
Security Description | Shares | Value | ||||||||||
ARYA Sciences Acquisition Corp. (c),(b),(d),(a) | 205,759 | $ | 378,597 | |||||||||
Bespoke Capital Acquisition Corp. (c),(d) | 375,000 | 288,750 | ||||||||||
Churchill Capital Corp. II (c),(b),(d),(a) | 333,333 | 549,999 | ||||||||||
CIIG Merger Corp., A Shares (c),(b),(d),(a) | 196,221 | 96,148 | ||||||||||
Collier Creek Holdings (c),(b),(d),(a) | 199,466 | 81,781 | ||||||||||
Conyers Park II Acquisition Corp. (c),(b),(d),(a) | 125,000 | 93,750 | ||||||||||
Crescent Acquisition Corp. (c),(b),(d),(a) | 375,000 | 318,750 | ||||||||||
Experience Investment Corp. (c),(b),(d),(a) | 275,000 | 137,500 | ||||||||||
FinServ Acquisition Corp. (c),(b),(d),(a) | 166,667 | 91,667 | ||||||||||
Forum Merger II Corp., A Shares (c),(b),(d),(a) | 31,000 | 6,203 | ||||||||||
Galileo Acquisition Corp. (c),(b),(d),(a) | 342,155 | 85,573 | ||||||||||
GigCapital2, Inc. (c),(b),(d),(a) | 500,000 | 154,350 | ||||||||||
Gores Metropoulos, Inc., A Shares (c),(b),(d),(a) | 250,000 | 119,375 | ||||||||||
GX Acquisition Corp., A Shares (c),(b),(d),(a) | 250,000 | 145,000 | ||||||||||
Haymaker Acquisition Corp. II, A Shares (c),(b),(d),(a) | 400,000 | 420,000 | ||||||||||
Healthcare Merger Corp. (c),(b),(d),(a) | 375,000 | 352,125 | ||||||||||
Hennessy Capital Acquisition Corp. (c),(b),(d),(a) | 285,000 | 99,750 | ||||||||||
Juniper Industrial Holdings, Inc. (c),(b),(d),(a) | 298,682 | 167,262 | ||||||||||
Landcadia Holdings II, Inc. (c),(b),(d),(a) | 250,000 | 99,775 | ||||||||||
LIV Capital Acquisition Corp. (c),(b),(d),(a) | 210,000 | 44,100 | ||||||||||
Monocle Acquisition Corp. (c),(b),(d),(a) | 200,000 | 53,200 | ||||||||||
New Providence Acquisition Corp., A Shares (c),(b),(d),(a) | 300,000 | 150,000 | ||||||||||
Oaktree Acquisition Corp. (c),(b),(d),(a) | 144,164 | 149,931 | ||||||||||
Osprey Technology Acquisition Corp. (c),(b),(d),(a) | 474,375 | 247,054 | ||||||||||
Pivotal Investment Corp. II (c),(b),(d),(a) | 166,666 | 50,000 | ||||||||||
PropTech Acquisition Corp. (c),(b),(d),(a) | 97,500 | 34,203 | ||||||||||
SC Health Corp. (c),(b),(d),(a) | 123,794 | 118,223 | ||||||||||
Silver Spike Acquisition Corp. (c),(b),(d),(a) | 375,000 | 86,250 | ||||||||||
Software Acquisition Group, Inc. (c),(b),(d),(a) | 224,250 | 116,610 | ||||||||||
South Mountain Merger Corp. (c),(b),(d),(a) | 300,000 | 150,000 | ||||||||||
Subversive Capital Acquisition Corp. (c),(d),(a) | 750,000 | 487,500 | ||||||||||
Switchback Energy Acquisition Corp. (c),(b),(d),(a) | 166,666 | 103,850 | ||||||||||
Thunder Bridge Acquisition II Ltd. (c),(b),(d),(a) | 375,000 | 262,500 | ||||||||||
Trine Acquisition Corp. (c),(b),(d),(a) | 200,000 | 120,000 | ||||||||||
Tuscan Holdings Corp. (c),(b),(d),(a) | 400,000 | 156,000 | ||||||||||
Tuscan Holdings Corp. II (c),(b),(d),(a) | 158,150 | 33,417 | ||||||||||
Union Acquisition Corp. II (c),(b),(d),(a) | 525,000 | 131,250 | ||||||||||
|
| |||||||||||
TOTAL WARRANTS |
| 6,971,963 | ||||||||||
|
| |||||||||||
INVESTMENTS IN FUNDS — 8.9% |
| |||||||||||
Europe — 0.9% |
| |||||||||||
GCM Equity Master Fund LP(cost $ 68,116,416) (l),(a) | 1 | 57,137,306 | ||||||||||
|
| |||||||||||
Total Europe |
| 57,137,306 | ||||||||||
|
|
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
March 31, 2020
Security Description | Shares | Value | ||||||||||
North America — 8.0% |
| |||||||||||
Aeolus Property Catastrophe Keystone PF Fund LP, (cost $ 114,367,066) (a),(d),(l) | 3 | $ | 129,943,622 | |||||||||
EJF Debt Opportunities Offshore Fund, Ltd. (cost $ 250,000,000) (l),(d),(a) | 2,500,000 | 217,900,000 | ||||||||||
GCM Equity Partners LP | 1 | 13,024,082 | ||||||||||
Glenview Capital Partners (Cayman), Ltd. (cost $ 125,000,000) (l),(d),(a) | 125,000 | 118,691,250 | ||||||||||
PIMCO ILS Fund SP II | 1 | 7,778,861 | ||||||||||
Renaissance Institutional Diversified Alpha Fund International L.P. | 1 | 34,619,911 | ||||||||||
|
| |||||||||||
Total North America |
| 521,957,726 | ||||||||||
|
| |||||||||||
TOTAL INVESTMENTS IN INVESTEE FUND |
| 579,095,032 | ||||||||||
|
|
Strike | Expiration Date | Contracts | Notional Amount | Premium Paid | Market Value | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||
PURCHASED OPTIONS — 0.0% |
| |||||||||||||||||||||||||||
Exchange-Traded Call Options — 0.0% |
| |||||||||||||||||||||||||||
CAD vs USD | 1.41 USD | 04/09/20 | 36,300,000 | 51,183,000 | $ | 226,875 | $ | 326,228 | $ | 99,353 | ||||||||||||||||||
CAD vs USD | 1.41 USD | 04/09/20 | 24,200,000 | 34,122,000 | 151,250 | 217,485 | 66,235 | |||||||||||||||||||||
CAD vs USD | 1.41 USD | 04/09/20 | 40,300,000 | 56,823,000 | 246,757 | 362,176 | 115,419 | |||||||||||||||||||||
IMM EUR FUT | 99.63 USD | 04/09/20 | 18,650 | 4,645,015,625 | 1,415,792 | 233,125 | (1,182,667 | ) | ||||||||||||||||||||
IMM EUR FUT | 99.75 USD | 04/09/20 | 17,395 | 4,337,878,125 | 1,251,392 | 108,719 | (1,142,673 | ) | ||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
$ | 3,292,066 | $ | 1,247,733 | $ | (2,044,333 | ) | ||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
Exchange-Traded Put Options — 0.0% |
| |||||||||||||||||||||||||||
INR vs USD | 74.37 USD | 01/04/21 | 40,500,000 | 3,011,782,500 | $ | 966,532 | $ | 329,873 | $ | (636,659 | ) | |||||||||||||||||
JPY vs USD | 99.00 USD | 04/09/20 | 60,500,000 | 5,989,500,000 | 376,613 | 34,364 | (342,249 | ) | ||||||||||||||||||||
JPY vs USD | 100.00 USD | 04/09/20 | 60,500,000 | 6,050,000,000 | 484,000 | 44,226 | (439,774 | ) | ||||||||||||||||||||
JPY vs USD | 98.00 USD | 04/09/20 | 60,500,000 | 5,929,000,000 | 773,492 | 26,983 | (746,509 | ) | ||||||||||||||||||||
JPY vs USD | 100.00 USD | 04/09/20 | 40,300,000 | 4,030,000,000 | 457,002 | 29,459 | (427,543 | ) | ||||||||||||||||||||
JPY vs USD | 98.00 USD | 05/11/20 | 40,300,000 | 3,949,400,000 | 503,750 | 120,013 | (383,737 | ) | ||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
$ | 3,561,389 | $ | 584,918 | $ | (2,976,471 | ) | ||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
Total Purchased Options Outstanding |
| $ | 6,853,455 | $ | 1,832,651 | $ | (5,020,804 | ) | ||||||||||||||||||||
|
|
|
|
|
|
Security Description | Shares | Value | ||||||||||
REPURCHASE AGREEMENTS — 5.0% |
| |||||||||||
BNP Paribas S.A., 0.17%, dated 03/13/2020, due 04/14/2020 (collateralized by United Kingdom Gilt Inflation Linked, 0.125% due 03/22/2026, market value $40,651,978) (c) | 32,937,500 | $ | 40,911,677 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
March 31, 2020
Security Description | Shares | Value | ||||||||
BNP Paribas S.A., 0.25%, dated 03/16/2020, due 04/14/2020 (collateralized by United Kingdom Gilt Inflation Linked, 0.125% due 03/22/2026, market value $9,349,955) (c) | 7,512,375 | $ | 9,331,123 | |||||||
Citigroup Global Markets, Inc., 0.55%, dated 03/25/2020, due 04/14/2020 (collateralized by French Republic Government Bond OAT, 0.10% due 03/01/2029, market value $23,032,377) (c) | 20,173,404 | 22,249,236 | ||||||||
Citigroup Global Markets, Inc., 0.60%, dated 03/20/2020, due 04/14/2020 (collateralized by French Republic Government Bond OAT, 0.10% due 03/01/2025, market value $13,703,364) (c) | 12,287,938 | 13,552,359 | ||||||||
Goldman Sachs & Co., 0.05%, dated 03/19/2020, due 05/04/2020 (collateralized by United Kingdom Gilt Inflation Linked, 0.125% due 08/10/2028, market value $32,831,061) (c) | 26,024,116 | 32,324,561 | ||||||||
Goldman Sachs & Co., 0.58%, dated 03/25/2020, due 05/05/2020 (collateralized by French Republic Government Bond OAT, 0.10% due 03/01/2029, market value $13,469,567) (c) | 11,848,574 | 13,067,785 | ||||||||
Goldman Sachs & Co., 0.65%, dated 03/19/2020, due 05/05/2020 (collateralized by Deutsche Bundesrepublik Inflation Linked Bond, 0.50% due 04/15/2030, market value $31,713,211) (c) | 29,163,903 | 32,164,851 | ||||||||
Royal Bank of Canada, 0.57%, dated 03/13/2020, due 04/14/2020 (collateralized by United States Treasury Inflation Indexed Bonds, 0.125% due 07/15/2026, market value $31,396,409) (c) | 30,000,000 | 30,000,000 | ||||||||
Royal Bank of Canada, 0.57%, dated 03/13/2020, due 04/14/2020 (collateralized by United States Treasury Inflation Indexed Bonds, 0.375% due 07/15/2027, market value $10,848,602) (c) | 10,429,375 | 10,429,375 | ||||||||
Royal Bank of Canada, 0.57%, dated 03/13/2020, due 04/14/2020 (collateralized by United States Treasury Inflation Indexed Bonds, 0.625% due 01/15/2026, market value $10,010,032) (c) | 9,458,125 | 9,458,125 | ||||||||
Royal Bank of Canada, 0.57%, dated 03/13/2020, due 04/14/2020 (collateralized by United States Treasury Inflation Indexed Bonds, 0.875% due 01/15/2029, market value $19,629,915) (c) | 19,519,500 | 19,519,500 | ||||||||
Royal Bank of Canada, 0.75%, dated 03/12/2020, due 05/21/2020 (collateralized by United States Treasury Inflation Indexed Bonds, 0.125% due 01/15/2030, market value $23,344,814) (c) | 23,517,500 | 23,517,500 | ||||||||
Royal Bank of Canada, 0.85%, dated 03/12/2020, due 04/14/2020 (collateralized by United States Treasury Inflation Indexed Bonds, 0.25% due 07/15/2029, market value $18,523,298) (c) | 18,540,000 | 18,540,000 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
March 31, 2020
Security Description | Shares | Value | ||||||||||
Royal Bank of Canada, 0.85%, dated 03/12/2020, due 04/14/2020 (collateralized by United States Treasury Inflation Indexed Bonds, 0.50% due 01/15/2028, market value $36,789,281) (c) | 35,792,500 | $ | 35,792,500 | |||||||||
Royal Bank of Canada, 0.85%, dated 03/12/2020, due 04/14/2020 (collateralized by United States Treasury Inflation Indexed Bonds, 0.75% due 07/15/2028, market value $13,986,605) (c) | 13,780,000 | 13,780,000 | ||||||||||
|
| |||||||||||
TOTAL REPURCHASE AGREEMENTS |
| 324,638,592 | ||||||||||
|
| |||||||||||
SHORT-TERM INVESTMENT — MONEY MARKET FUNDS — 0.0% | ||||||||||||
Morgan Stanley Institutional Liquidity Funds Treasury Securities Portfolio, 0.43%, Institutional Class (r),(c) | 1,617,265 | 1,617,265 | ||||||||||
|
| |||||||||||
TOTAL SHORT-TERM INVESTMENT — MONEY MARKET FUNDS | 1,617,265 | |||||||||||
|
| |||||||||||
TOTAL INVESTMENTS IN SECURITIES — 83.9% |
| 5,475,400,062 | ||||||||||
|
| |||||||||||
TOTAL SECURITIES SOLD SHORT — (5.5)% |
| (360,778,030 | ) | |||||||||
|
| |||||||||||
Other Assets (m) — 21.6% |
| 1,413,649,520 | ||||||||||
|
| |||||||||||
Net Assets — 100.0% |
| $ | 6,528,271,552 | |||||||||
|
| |||||||||||
SECURITIES SOLD SHORT — (5.5)% | ||||||||||||
COMMON STOCK — (4.9)% | ||||||||||||
Asia — (0.4)% | ||||||||||||
Automotive — (0.0)% | ||||||||||||
Honda Motor Co. Ltd., ADR | 3,000 | (67,380 | ) | |||||||||
NIO, Inc., ADR | 259,200 | (720,576 | ) | |||||||||
Toyota Motor Corp., ADR | 500 | (59,975 | ) | |||||||||
|
| |||||||||||
(847,931 | ) | |||||||||||
|
| |||||||||||
Banking — (0.0)% |
| |||||||||||
HDFC Bank Ltd., ADR | 100 | (3,846 | ) | |||||||||
ICICI Bank Ltd., ADR | 232,100 | (1,972,850 | ) | |||||||||
KB Financial Group, Inc., ADR | 3,800 | (103,322 | ) | |||||||||
Mitsubishi UFJ Financial Group, Inc., ADR | 30,100 | (110,166 | ) | |||||||||
Mizuho Financial Group, Inc., ADR | 8,000 | (18,480 | ) | |||||||||
Shinhan Financial Group Co. Ltd., ADR | 300 | (6,993 | ) | |||||||||
Sumitomo Mitsui Financial Group, Inc., ADR | 26,700 | (127,893 | ) | |||||||||
|
| |||||||||||
(2,343,550 | ) | |||||||||||
|
|
See Notes to Consolidated Financial Statements.
105
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Consolidated Schedule of Investments (Continued)
March 31, 2020
Security Description | Shares | Value | ||||||||
Biotechnology & Pharmaceuticals — (0.0)% |
| |||||||||
Takeda Pharmaceutical Co. Ltd., ADR | 23,491 | $ | (356,593 | ) | ||||||
|
| |||||||||
Consumer Products — (0.0)% |
| |||||||||
Luckin Coffee, Inc., ADR | 1,300 | (35,347 | ) | |||||||
|
| |||||||||
Consumer Services — (0.1)% |
| |||||||||
Bright Scholar Education Holdings Ltd., ADR | 900 | (6,057 | ) | |||||||
RISE Education Cayman Ltd., ADR | 1,199 | (4,880 | ) | |||||||
TAL Education Group, ADR (c) | 69,276 | (3,689,640 | ) | |||||||
|
| |||||||||
(3,700,577 | ) | |||||||||
|
| |||||||||
Gaming, Lodging & Restaurants — (0.0)% |
| |||||||||
Huazhu Group Ltd., ADR | 9,800 | (281,554 | ) | |||||||
Yum China Holdings, Inc. | 8,200 | (349,566 | ) | |||||||
|
| |||||||||
(631,120 | ) | |||||||||
|
| |||||||||
Hardware — (0.0)% |
| |||||||||
Sony Corp., ADR | 3,200 | (189,376 | ) | |||||||
|
| |||||||||
Institutional Financial Services — (0.0)% |
| |||||||||
China Internet Nationwide Financial Services, Inc. | 1,400 | (686 | ) | |||||||
Nomura Holdings, Inc., ADR | 5,000 | (21,350 | ) | |||||||
|
| |||||||||
(22,036 | ) | |||||||||
|
| |||||||||
Insurance — (0.0)% |
| |||||||||
China Life Insurance Co. Ltd., ADR | 4,400 | (42,944 | ) | |||||||
Fanhua, Inc., ADR | 7,100 | (142,852 | ) | |||||||
|
| |||||||||
(185,796 | ) | |||||||||
|
| |||||||||
Media — (0.1)% |
| |||||||||
51job, Inc., ADR (c) | 4,311 | (264,652 | ) | |||||||
58.com, Inc., ADR (c) | 18,737 | (912,867 | ) | |||||||
Autohome, Inc., ADR (c) | 7,486 | (531,656 | ) | |||||||
Baidu, Inc., ADR | 100 | (10,079 | ) | |||||||
Fang Holdings Ltd., ADR | 4,100 | (5,535 | ) | |||||||
iQIYI, Inc., ADR (c) | 39,566 | (704,275 | ) | |||||||
JOYY, Inc., ADR (c) | 9,076 | (483,388 | ) | |||||||
MakeMyTrip Ltd. | 5,100 | (60,970 | ) | |||||||
SINA Corp. (c) | 133 | (4,235 | ) | |||||||
Trip.com Group Ltd., ADR (c) | 37,496 | (879,281 | ) | |||||||
Weibo Corp., ADR (c) | 8,029 | (265,840 | ) | |||||||
Xunlei Ltd., ADR | 1,100 | (3,630 | ) | |||||||
Yatra Online, Inc. | 3,200 | (3,296 | ) | |||||||
|
| |||||||||
(4,129,704 | ) | |||||||||
|
|
See Notes to Consolidated Financial Statements.
106
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Consolidated Schedule of Investments (Continued)
March 31, 2020
Security Description | Shares | Value | ||||||||||
Renewable Energy — (0.0)% |
| |||||||||||
Jinksolar Holding Co., ADR | 27 | $ | (401 | ) | ||||||||
|
| |||||||||||
Retail—Discretionary — (0.1)% |
| |||||||||||
JD.com, Inc., ADR | 200 | (8,100 | ) | |||||||||
Jumei International Holding Ltd., ADR | 10 | (185 | ) | |||||||||
Meituan Dianping, Class B (c) | 264,200 | (3,149,593 | ) | |||||||||
Renren, Inc., ADR | 813 | (675 | ) | |||||||||
Vipshop Holdings Ltd., ADR (c) | 61,420 | (956,923 | ) | |||||||||
|
| |||||||||||
(4,115,476 | ) | |||||||||||
|
| |||||||||||
Semiconductors — (0.0)% |
| |||||||||||
Himax Technologies, Inc., ADR | 34,600 | (94,804 | ) | |||||||||
|
| |||||||||||
Software — (0.1)% |
| |||||||||||
Aurora Mobile Ltd., ADR | 400 | (916 | ) | |||||||||
Bilibili, Inc., ADR (c) | 27,329 | (640,045 | ) | |||||||||
DouYu International Holdings Ltd., ADR | 9,400 | (60,254 | ) | |||||||||
Gridsum Holding, Inc., ADR | 1,800 | (1,224 | ) | |||||||||
GSX Techedu, Inc., ADR | 49,200 | (2,084,112 | ) | |||||||||
HUYA, Inc., ADR (c) | 8,806 | (149,262 | ) | |||||||||
Link Motion, Inc., ADR | 11,000 | 0 | ||||||||||
Momo, Inc., ADR (c) | 21,452 | (465,294 | ) | |||||||||
NetEase, Inc., ADR (c) | 4,987 | (1,600,627 | ) | |||||||||
Taoping, Inc. | 300 | (128 | ) | |||||||||
|
| |||||||||||
(5,001,862 | ) | |||||||||||
|
| |||||||||||
Specialty Finance — (0.0)% |
| |||||||||||
China Rapid Finance Ltd., ADR | 198 | (297 | ) | |||||||||
Jianpu Technology, Inc., ADR | 200 | (168 | ) | |||||||||
Qudian, Inc., ADR (c) | 29,995 | (53,991 | ) | |||||||||
|
| |||||||||||
(54,456 | ) | |||||||||||
|
| |||||||||||
Technology Services — (0.0)% |
| |||||||||||
Infosys Ltd., ADR | 500 | (4,105 | ) | |||||||||
|
| |||||||||||
Telecommunications — (0.0)% |
| |||||||||||
China Mobile Ltd., ADR | 600 | (22,602 | ) | |||||||||
|
| |||||||||||
Transportation & Logistics — (0.0)% |
| |||||||||||
BEST, Inc., ADR | 3,100 | (16,585 | ) | |||||||||
|
| |||||||||||
Utilities — (0.0)% |
| |||||||||||
Korea Electric Power Corp., ADR | 4,300 | (32,465 | ) | |||||||||
|
| |||||||||||
Total Asia |
| (21,784,786 | ) | |||||||||
|
|
See Notes to Consolidated Financial Statements.
107
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2020
Security Description | Shares | Value | ||||||||||
Europe — (0.1)% |
| |||||||||||
Asset Management — (0.0)% |
| |||||||||||
Janus Henderson Group PLC | 5,200 | $ | (79,664 | ) | ||||||||
UBS Group AG | 30,900 | (286,134 | ) | |||||||||
|
| |||||||||||
(365,798 | ) | |||||||||||
|
| |||||||||||
Automotive — (0.0)% |
| |||||||||||
Garrett Motion, Inc. | 5,700 | (16,302 | ) | |||||||||
|
| |||||||||||
Banking — (0.0)% |
| |||||||||||
Banco Bilbao Vizcaya Argentaria SA, ADR | 33,900 | (103,734 | ) | |||||||||
Banco Santander SA, ADR | 152,443 | (358,241 | ) | |||||||||
Barclays PLC, ADR | 70,281 | (318,373 | ) | |||||||||
HSBC Holdings PLC, ADR | 26,926 | (754,197 | ) | |||||||||
|
| |||||||||||
(1,534,545 | ) | |||||||||||
|
| |||||||||||
Biotechnology & Pharmaceuticals — (0.0)% |
| |||||||||||
AC Immune SA | 913 | (6,309 | ) | |||||||||
Amarin Corp. PLC, ADR | 130,000 | (520,000 | ) | |||||||||
AstraZeneca PLC, ADR | 400 | (17,864 | ) | |||||||||
|
| |||||||||||
(544,173 | ) | |||||||||||
|
| |||||||||||
Construction Materials — (0.0)% |
| |||||||||||
CRH PLC, ADR | 300 | (8,052 | ) | |||||||||
|
| |||||||||||
Consumer Products — (0.0)% |
| |||||||||||
British American Tobacco PLC, ADR | 5,300 | (181,207 | ) | |||||||||
Unilever PLC, ADR | 600 | (30,342 | ) | |||||||||
|
| |||||||||||
(211,549 | ) | |||||||||||
|
| |||||||||||
Electrical Equipment — (0.0)% |
| |||||||||||
ABB Ltd., ADR | 4,600 | (79,396 | ) | |||||||||
|
| |||||||||||
Forest & Paper Products — (0.0)% |
| |||||||||||
Mercer International, Inc. | 9,900 | (71,676 | ) | |||||||||
|
| |||||||||||
Institutional Financial Services — (0.0)% |
| |||||||||||
Credit Suisse Group AG, ADR | 23,549 | (190,512 | ) | |||||||||
|
| |||||||||||
Insurance — (0.0)% |
| |||||||||||
Prudential PLC, ADR | 12,200 | (302,316 | ) | |||||||||
|
| |||||||||||
Media — (0.0)% |
| |||||||||||
Jumia Technologies AG, ADR | 11,200 | (32,704 | ) | |||||||||
Liberty Global PLC, A Shares | 38,200 | (630,682 | ) | |||||||||
WPP PLC, ADR | 900 | (30,393 | ) | |||||||||
|
| |||||||||||
(693,779 | ) | |||||||||||
|
|
See Notes to Consolidated Financial Statements.
108
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2020
Security Description | Shares | Value | ||||||||||
Medical Equipment & Devices — (0.0)% |
| |||||||||||
Koninklijke Philips NV | 200 | $ | (8,032 | ) | ||||||||
|
| |||||||||||
Metals & Mining — (0.0)% |
| |||||||||||
Ferroglobe PLC | 400 | 0 | ||||||||||
|
| |||||||||||
Oil, Gas & Coal — (0.1)% |
| |||||||||||
BP PLC, ADR | 115,800 | (2,824,362 | ) | |||||||||
Equinor ASA, ADR | 400 | (4,872 | ) | |||||||||
Royal Dutch Shell PLC, ADR | 4,700 | (163,983 | ) | |||||||||
|
| |||||||||||
(2,993,217 | ) | |||||||||||
|
| |||||||||||
Passenger Transportation — (0.0)% |
| |||||||||||
Ryanair Holdings PLC, ADR | 6,200 | (329,158 | ) | |||||||||
|
| |||||||||||
Retail—Discretionary — (0.0)% |
| |||||||||||
Farfetch Ltd., Class A | 79,900 | (631,210 | ) | |||||||||
|
| |||||||||||
Semiconductors — (0.0)% |
| |||||||||||
NXP Semiconductors NV | 15,068 | (1,249,589 | ) | |||||||||
|
| |||||||||||
Software — (0.0)% |
| |||||||||||
Materialise NV, ADR | 300 | (5,571 | ) | |||||||||
SAP SE, ADR | 600 | (66,300 | ) | |||||||||
�� |
| |||||||||||
(71,871 | ) | |||||||||||
|
| |||||||||||
Telecommunications — (0.0)% |
| |||||||||||
Telefonica SA, ADR | 27,000 | (123,390 | ) | |||||||||
Vodafone Group PLC, ADR | 54,000 | (743,580 | ) | |||||||||
|
| |||||||||||
(866,970 | ) | |||||||||||
|
| |||||||||||
Transportation & Logistics — (0.0)% |
| |||||||||||
Euronav SA | 8 | (90 | ) | |||||||||
Frontline Ltd. | 140 | (1,345 | ) | |||||||||
GasLog Ltd. | 14,600 | (52,852 | ) | |||||||||
Navios Maritime Holdings, Inc. | 1,670 | (3,858 | ) | |||||||||
Performance Shipping, Inc. | 700 | (399 | ) | |||||||||
Scorpio Tankers, Inc. | 10,242 | (195,827 | ) | |||||||||
Star Bulk Carriers Corp. | 13,100 | (73,884 | ) | |||||||||
|
| |||||||||||
(328,255 | ) | |||||||||||
|
| |||||||||||
Utilities — (0.0)% |
| |||||||||||
National Grid PLC, ADR | 9,500 | (553,565 | ) | |||||||||
|
| |||||||||||
Total Europe |
| (11,049,965 | ) | |||||||||
|
|
See Notes to Consolidated Financial Statements.
109
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2020
Security Description | Shares | Value | ||||||||||
Middle East — (0.0)% |
| |||||||||||
Hardware — (0.0)% |
| |||||||||||
Kornit Digital Ltd. | 2,300 | $ | (57,247 | ) | ||||||||
SuperCom Ltd. | 200 | (184 | ) | |||||||||
|
| |||||||||||
(57,431 | ) | |||||||||||
|
| |||||||||||
Medical Equipment & Devices — (0.0)% |
| |||||||||||
ReWalk Robotics Ltd. | 24 | (10 | ) | |||||||||
|
| |||||||||||
Telecommunications — (0.0)% |
| |||||||||||
Turkcell Iletisim Hizmetleri AS, ADR | 3,800 | (17,670 | ) | |||||||||
|
| |||||||||||
Total Middle East |
| (75,111 | ) | |||||||||
|
| |||||||||||
North America — (4.3)% |
| |||||||||||
Aerospace & Defense — (0.1)% |
| |||||||||||
Aerovironment, Inc. | 1,400 | (85,344 | ) | |||||||||
Axon Enterprise, Inc. | 400 | (28,308 | ) | |||||||||
Boeing Co. | 1,600 | (238,624 | ) | |||||||||
Howmet Aerospace, Inc. | 295 | (4,738 | ) | |||||||||
L3Harris Technologies, Inc. | 12,500 | (2,251,500 | ) | |||||||||
Lockheed Martin Corp. | 1 | (339 | ) | |||||||||
Mercury Systems, Inc. | 3,000 | (214,020 | ) | |||||||||
Triumph Group, Inc. | 7,700 | (52,052 | ) | |||||||||
|
| |||||||||||
(2,874,925 | ) | |||||||||||
|
| |||||||||||
Apparel & Textile Products — (0.1)% |
| |||||||||||
Capri Holdings Ltd. | 53,700 | (579,423 | ) | |||||||||
Carter’s, Inc. | 15,800 | (1,038,534 | ) | |||||||||
Deckers Outdoor Corp. | 9,000 | (1,206,000 | ) | |||||||||
Fossil Group, Inc. | 18,200 | (59,878 | ) | |||||||||
Iconix Brand Group, Inc. | 2,610 | (1,734 | ) | |||||||||
PVH Corp. | 21,200 | (797,968 | ) | |||||||||
Sequential Brands Group, Inc. | 4,600 | (943 | ) | |||||||||
Steven Madden Ltd. | 13,050 | (303,152 | ) | |||||||||
|
| |||||||||||
(3,987,632 | ) | |||||||||||
|
| |||||||||||
Asset Management — (0.0)% |
| |||||||||||
Altus Midstream Co., A Shares | 14,200 | (10,650 | ) | |||||||||
Apollo Global Management, Inc. | 200 | (6,700 | ) | |||||||||
Artisan Partners Asset Management, Inc., Class A | 1,000 | (21,490 | ) | |||||||||
Barings BDC, Inc. | 3,400 | (25,432 | ) | |||||||||
BlackRock, Inc. | 600 | (263,982 | ) | |||||||||
Brookfield Asset Management, Inc., Class A | 38,150 | (1,688,138 | ) | |||||||||
Carlyle Group, Inc. (The) | 100 | (2,165 | ) | |||||||||
Focus Financial Partners, Inc., Class A | 800 | (18,408 | ) | |||||||||
Invesco Ltd. | 500 | (4,540 | ) |
See Notes to Consolidated Financial Statements.
110
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2020
Security Description | Shares | Value | ||||||||
Kennedy-Wilson Holdings, Inc. | 9,000 | $ | (120,780 | ) | ||||||
Legg Mason, Inc. | 100 | (4,885 | ) | |||||||
Main Street Capital Corp. | 6 | (123 | ) | |||||||
Medley Capital Corp. | 4,400 | (2,557 | ) | |||||||
Owl Rock Capital Corp. | 500 | (5,770 | ) | |||||||
Stifel Financial Corp. | 4,800 | (198,144 | ) | |||||||
Virtus Investment Partners, Inc. | 100 | (7,611 | ) | |||||||
|
| |||||||||
(2,381,375 | ) | |||||||||
|
| |||||||||
Automotive — (0.1)% |
| |||||||||
American Axle & Manufacturing Holdings, Inc. | 500 | (1,805 | ) | |||||||
Cooper Tire & Rubber Co. | 7,100 | (115,730 | ) | |||||||
Ford Motor Co. | 412,200 | (1,990,926 | ) | |||||||
Gentex Corp. | 500 | (11,080 | ) | |||||||
Harley-Davidson, Inc. | 31,000 | (586,830 | ) | |||||||
Lear Corp. | 6,100 | (495,625 | ) | |||||||
Motorcar Parts of America, Inc. | 4,800 | (60,384 | ) | |||||||
Westport Fuel Systems, Inc. | 3,900 | (3,669 | ) | |||||||
|
| |||||||||
(3,266,049 | ) | |||||||||
|
| |||||||||
Banking — (0.1)% |
| |||||||||
Allegiance Bancshares, Inc. | 500 | (12,055 | ) | |||||||
Ameris Bancorp | 10,499 | (249,456 | ) | |||||||
Atlantic Union Bankshares Corp. | 50 | (1,095 | ) | |||||||
Banc of California, Inc. | 3,800 | (30,400 | ) | |||||||
Banco Latinoamericano de Comercio Exterior SA, E Shares | 2,500 | (25,775 | ) | |||||||
Bank of Montreal | 200 | (10,052 | ) | |||||||
Bank of Nova Scotia | 1,200 | (48,720 | ) | |||||||
Canadian Imperial Bank of Commerce | 400 | (23,188 | ) | |||||||
Centerstate Banks, Inc. | 12 | (207 | ) | |||||||
Customers Bancorp, Inc. | 3,200 | (34,976 | ) | |||||||
CVB Financial Corp. | 200 | (4,010 | ) | |||||||
First Republic Bank | 9,900 | (814,572 | ) | |||||||
FNB Corp. | 7,255 | (53,469 | ) | |||||||
Glacier Bancorp, Inc. | 2,100 | (71,410 | ) | |||||||
Kearny Financial Corp. | 18 | (155 | ) | |||||||
Meta Financial Group, Inc. | 1,400 | (30,408 | ) | |||||||
People’s United Financial, Inc. | 88 | (972 | ) | |||||||
Pinnacle Financial Partners, Inc. | 11,000 | (412,940 | ) | |||||||
Royal Bank of Canada | 2,700 | (166,185 | ) | |||||||
Simmons First National Corp., Class A | 100 | (1,840 | ) | |||||||
Sterling Bancorp | 60,108 | (628,129 | ) | |||||||
TCF Financial Corp. | 33,547 | (760,175 | ) | |||||||
Toronto-Dominion Bank | 800 | (33,912 | ) | |||||||
Triumph Bancorp, Inc. | 3,900 | (101,400 | ) |
See Notes to Consolidated Financial Statements.
111
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2020
Security Description | Shares | Value | ||||||||
Truist Financial Corp. | 3,500 | $ | (107,940 | ) | ||||||
United Bankshares, Inc. | 3 | (69 | ) | |||||||
Western Alliance Bancorp | 19 | (582 | ) | |||||||
|
| |||||||||
(3,624,092 | ) | |||||||||
|
| |||||||||
Biotechnology & Pharmaceuticals — (0.8)% |
| |||||||||
AbbVie, Inc. (c) | 132,427 | (10,089,613 | ) | |||||||
Actinium Pharmaceuticals, Inc. | 20,900 | (4,055 | ) | |||||||
Adamas Pharmaceuticals, Inc. | 10,000 | (28,900 | ) | |||||||
Adamis Pharmaceuticals Corp. | 21,800 | (7,789 | ) | |||||||
Advaxis, Inc. | 11,100 | (5,883 | ) | |||||||
Aerie Pharmaceuticals, Inc. | 6,700 | (90,450 | ) | |||||||
Aeterna Zentaris, Inc. | 3,124 | (1,592 | ) | |||||||
Akcea Therapeutics, Inc. | 7,800 | (111,540 | ) | |||||||
Akebia Therapeutics, Inc. | 7,105 | (53,856 | ) | |||||||
Alimera Sciences, Inc. | 306 | (1,175 | ) | |||||||
Allergan PLC | 970 | (171,787 | ) | |||||||
Alnylam Pharmaceuticals, Inc. (c) | 66,320 | (7,218,932 | ) | |||||||
Alpine Immune Sciences, Inc. | 250 | (720 | ) | |||||||
Ampio Pharmaceuticals, Inc. | 19,612 | (8,139 | ) | |||||||
Anavex Life Sciences Corp. | 4,000 | (12,600 | ) | |||||||
ANI Pharmaceuticals, Inc. | 1,400 | (57,036 | ) | |||||||
Anixa Biosciencies, Inc. | 962 | (1,530 | ) | |||||||
Arena Pharmaceuticals, Inc. | 3,230 | (135,660 | ) | |||||||
ArTara Therapeutics, Inc. | 5 | (118 | ) | |||||||
Atossa Genetics, Inc. | 3,200 | (4,256 | ) | |||||||
Aurinia Pharmaceuticals, Inc. | 25,000 | (362,750 | ) | |||||||
AVEO Pharmaceuticals, Inc. | 60 | (217 | ) | |||||||
Axovant Gene Therapies Ltd. | 3,262 | (7,959 | ) | |||||||
Axsome Therapeutics, Inc. | 13,300 | (782,439 | ) | |||||||
Bellicum Pharmaceuticals, Inc. | 1,770 | (8,213 | ) | |||||||
Bio-Path Holdings, Inc. | 1,308 | (5,886 | ) | |||||||
Biocept, Inc. | 10,100 | (2,676 | ) | |||||||
Bridgebio Pharma, Inc. | 6,200 | (179,800 | ) | |||||||
Bristol-Myers Squibb Co. | 200 | (11,148 | ) | |||||||
CASI Pharmaceuticals, Inc. | 2,900 | (5,916 | ) | |||||||
Catabasis Pharmaceuticals, Inc | 20 | (83 | ) | |||||||
Correvio Pharma Corp. | 15,500 | (6,014 | ) | |||||||
Corvus Pharmaceuticals, Inc. | 100 | (211 | ) | |||||||
Cyclacel Pharmaceuticals, Inc. | 100 | (39 | ) | |||||||
Dynavax Technologies Corp. | 30,930 | (109,183 | ) | |||||||
Elanco Animal Health, Inc. | 3,800 | (85,082 | ) | |||||||
Eli Lilly & Co. (c) | 29,220 | (4,053,400 | ) | |||||||
Endo International PLC | 35,100 | (129,870 | ) | |||||||
Evoke Pharma, Inc. | 2,500 | (2,900 | ) | |||||||
Forty Seven, Inc. | 6,300 | (601,146 | ) |
See Notes to Consolidated Financial Statements.
112
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2020
Security Description | Shares | Value | ||||||||
Genocea Biosciences, Inc. | 1,800 | $ | (3,096 | ) | ||||||
Gilead Sciences, Inc. | 300 | (22,428 | ) | |||||||
Guardant Health, Inc. | 33,900 | (2,359,440 | ) | |||||||
Harrow Health, Inc. | 1,700 | (6,494 | ) | |||||||
HTG Molecular Diagnostics, Inc. | 15,296 | (4,971 | ) | |||||||
IGM Biosciences, Inc. | 1,100 | (61,765 | ) | |||||||
Immunic, Inc. | 195 | (1,164 | ) | |||||||
Immunomedics, Inc. | 21,800 | (293,864 | ) | |||||||
Infinity Pharmaceuticals, Inc. | 1,800 | (1,508 | ) | |||||||
Johnson & Johnson (c) | 58,610 | (7,685,529 | ) | |||||||
Karuna Therapeutics, Inc. | 2,200 | (158,400 | ) | |||||||
Kindred Biosciences, Inc. | 1,100 | (4,400 | ) | |||||||
La Jolla Pharmaceutical Co. | 2,977 | (12,503 | ) | |||||||
Leap Therapeutics, Inc. | 5,900 | (9,322 | ) | |||||||
Livongo Health, Inc. | 400 | (11,412 | ) | |||||||
Lumos Pharma, Inc. | 722 | (6,137 | ) | |||||||
MannKind Corp. | 74,729 | (76,971 | ) | |||||||
Marinus Pharmaceuticals, Inc. | 11,800 | (23,954 | ) | |||||||
Merrimack Pharmaceuticals, Inc. | 1,260 | (2,709 | ) | |||||||
Minerva Neurosciences, Inc. | 700 | (4,214 | ) | |||||||
Moderna, Inc. | 4,500 | (134,775 | ) | |||||||
Moleculin Biotech, Inc. | 7,159 | (4,364 | ) | |||||||
Mustang Bio, Inc. | 1,300 | (3,484 | ) | |||||||
NantKwest, Inc. | 3,100 | (8,928 | ) | |||||||
Navidea Biopharmaceuticals, Inc. | 404 | (308 | ) | |||||||
Neos Therapeutics, Inc. | 8,200 | (6,150 | ) | |||||||
NeuBase Therapeutics, Inc. | 495 | (3,524 | ) | |||||||
Neurobo Pharmaceuticals, Inc. | 2,300 | (718 | ) | |||||||
Novus Therapeutics, Inc. | 422 | (165 | ) | |||||||
Ocular Therapeutix, Inc. | 2,400 | (11,880 | ) | |||||||
OncoSec Medical, Inc. | 1,010 | (1,283 | ) | |||||||
Organovo Holdings, Inc. | 18,400 | (7,544 | ) | |||||||
Paratek Pharmaceuticals, Inc. | 9,700 | (30,555 | ) | |||||||
PolarityTE, Inc. | 13,599 | (14,687 | ) | |||||||
Progenics Pharmaceuticals, Inc. | 27,100 | (102,980 | ) | |||||||
Protalix BioTherapeutics, Inc. | 830 | (1,950 | ) | |||||||
Reata Pharmaceuticals, Inc., Class A | 24 | (3,464 | ) | |||||||
Regeneron Pharmaceuticals, Inc. (c) | 7,370 | (3,598,697 | ) | |||||||
Regulus Therapeutics, Inc. | 266 | (123 | ) | |||||||
Rocket Pharmaceuticals, Inc. | 25 | (349 | ) | |||||||
Sarepta Therapeutics, Inc. | 11,800 | (1,154,276 | ) | |||||||
SCYNEXIS, Inc. | 800 | (625 | ) | |||||||
Seattle Genetics, Inc. (c) | 62,880 | (7,255,094 | ) | |||||||
Seelos Therapeutics, Inc. | 5,000 | (2,452 | ) | |||||||
SELLAS Life Sciences Group, Inc. | 367 | (635 | ) | |||||||
SpringWorks Therapeutics, Inc. | 300 | (8,100 | ) | |||||||
Stoke Therapeutics, Inc. | 1,300 | (29,770 | ) |
See Notes to Consolidated Financial Statements.
113
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2020
Security Description | Shares | Value | ||||||||
Synthetic Biologics, Inc. | 37 | $ | (12 | ) | ||||||
TG Therapeutics, Inc. | 39,300 | (386,712 | ) | |||||||
Theravance Biopharma, Inc. | 2,400 | (55,464 | ) | |||||||
TransMedics Group, Inc. | 2,200 | (26,576 | ) | |||||||
Trevena, Inc. | 9,300 | (5,272 | ) | |||||||
Trillium Therapeutics, Inc. | 13,100 | (52,924 | ) | |||||||
Ultragenyx Pharmaceutical, Inc. | 200 | (8,886 | ) | |||||||
Unum Therapeutics, Inc. | 1,000 | (413 | ) | |||||||
UroGen Pharma Ltd. | 2,900 | (51,736 | ) | |||||||
Vertex Pharmaceuticals, Inc. (c) | 14,730 | (3,505,004 | ) | |||||||
Viela Bio, Inc. | 100 | (3,800 | ) | |||||||
Viking Therapeutics, Inc. | 18,800 | (87,984 | ) | |||||||
VistaGen Therapeutics, Inc. | 800 | (352 | ) | |||||||
VIVUS, Inc. | 3,810 | (13,716 | ) | |||||||
WaVe Life Sciences Ltd. | 3,200 | (29,984 | ) | |||||||
Xencor, Inc. | 6,500 | (194,220 | ) | |||||||
ZIOPHARM Oncology, Inc. | 46 | (113 | ) | |||||||
Zogenix, Inc. | 25 | (618 | ) | |||||||
Zosano Pharma Corp. | 9,596 | (5,393 | ) | |||||||
|
| |||||||||
(51,926,903 | ) | |||||||||
|
| |||||||||
Chemicals — (0.0)% |
| |||||||||
AgroFresh Solutions, Inc. | 900 | (1,476 | ) | |||||||
Amyris, Inc. | 20,000 | (51,200 | ) | |||||||
Balchem Corp. | 1,000 | (98,720 | ) | |||||||
Celanese Corp. | 3,600 | (264,204 | ) | |||||||
GCP Applied Technologies, Inc. | 9,500 | (169,100 | ) | |||||||
Intrepid Potash, Inc. | 2,700 | (2,160 | ) | |||||||
LSB Industries, Inc. | 2,700 | (5,670 | ) | |||||||
Nutrien Ltd. | 1 | (34 | ) | |||||||
Olin Corp. | 15,900 | (185,553 | ) | |||||||
OMNOVA Solutions, Inc. | 8,000 | (81,120 | ) | |||||||
Quaker Chemical Corp. | 2,500 | (315,700 | ) | |||||||
Tronox Holdings PLC, Class A | 39,800 | (198,204 | ) | |||||||
|
| |||||||||
(1,373,141 | ) | |||||||||
|
| |||||||||
Commercial Services — (0.0)% |
| |||||||||
ABM Industries, Inc. | 2,300 | (56,028 | ) | |||||||
Aramark | 17,800 | (355,466 | ) | |||||||
BrightView Holdings, Inc. | 100 | (1,106 | ) | |||||||
H&R Block, Inc. | 31,800 | (447,744 | ) | |||||||
ManpowerGroup, Inc. | 8,400 | (445,116 | ) | |||||||
NV5 Global, Inc. | 2,600 | (107,354 | ) | |||||||
RR Donnelley & Sons Co. | 11,834 | (11,343 | ) | |||||||
|
| |||||||||
(1,424,157 | ) | |||||||||
|
|
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
March 31, 2020
Security Description | Shares | Value | ||||||||
Construction Materials — (0.0)% |
| |||||||||
Louisiana-Pacific Corp. | 12,500 | $ | (214,750 | ) | ||||||
Trex Co., Inc. | 14,400 | (1,154,016 | ) | |||||||
|
| |||||||||
(1,368,766 | ) | |||||||||
|
| |||||||||
Consumer Products — (0.1)% |
| |||||||||
22nd Century Group, Inc. | 4,600 | (3,450 | ) | |||||||
Alkaline Water Co., Inc. (The) | 1,600 | (960 | ) | |||||||
B&G Foods, Inc. | 23,000 | (416,070 | ) | |||||||
Beyond Meat, Inc. | 5,100 | (339,660 | ) | |||||||
Brown-Forman Corp., Class B | 300 | (16,653 | ) | |||||||
Cal-Maine Foods, Inc. | 9,800 | (431,004 | ) | |||||||
Calyxt, Inc. | 100 | (333 | ) | |||||||
ConAgra Foods, Inc. | 900 | (26,406 | ) | |||||||
Coty, Inc., Class A | 204,285 | (1,054,111 | ) | |||||||
Cronos Group, Inc. | 125,500 | (711,585 | ) | |||||||
Energizer Holdings, Inc. | 22,100 | (668,525 | ) | |||||||
Greenlane Holdings, Inc., Class A | 200 | (344 | ) | |||||||
Hain Celestial Group, Inc. | 31,100 | (807,667 | ) | |||||||
Helen of Troy Ltd. | 2,400 | (345,672 | ) | |||||||
Kellogg Co. | 1,800 | (107,982 | ) | |||||||
Keurig Dr Pepper, Inc. | 9,700 | (235,419 | ) | |||||||
Kraft Heinz Co. | 97,600 | (2,414,624 | ) | |||||||
Lamb Weston Holdings, Inc. | 2 | (114 | ) | |||||||
Molson Coors Brewing Co., Class B | 100 | (3,901 | ) | |||||||
New Age Beverages Corp. | 30,700 | (42,673 | ) | |||||||
Pilgrim’s Pride Corp. | 5,300 | (96,036 | ) | |||||||
Post Holdings, Inc. | 8,200 | (680,354 | ) | |||||||
Pyxus International, Inc. | 3,300 | (10,263 | ) | |||||||
Spectrum Brands Holdings, Inc. | 87 | (3,164 | ) | |||||||
Tootsie Roll Industries, Inc. | 3 | (108 | ) | |||||||
Universal Corp. | 2,100 | (92,841 | ) | |||||||
Vector Group Ltd. | 28 | (264 | ) | |||||||
Youngevity International, Inc. | 200 | (140 | ) | |||||||
|
| |||||||||
(8,510,323 | ) | |||||||||
|
| |||||||||
Consumer Services — (0.0)% |
| |||||||||
Chegg, Inc. | 300 | (10,734 | ) | |||||||
Laureate Education, Inc., Class A | 8,700 | (91,437 | ) | |||||||
Regis Corp. | 8,300 | (49,053 | ) | |||||||
Rent-A-Center, Inc. | 10,500 | (148,470 | ) | |||||||
Strategic Education, Inc. | 1,925 | (269,038 | ) | |||||||
|
| |||||||||
(568,732 | ) | |||||||||
|
| |||||||||
Containers & Packaging — (0.0)% |
| |||||||||
Amcor PLC | 124,100 | (1,007,692 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
March 31, 2020
Security Description | Shares | Value | ||||||||
Berry Global Group, Inc. | 1,300 | $ | (43,823 | ) | ||||||
Greif, Inc., Class A | 2,100 | (65,289 | ) | |||||||
|
| |||||||||
(1,116,804 | ) | |||||||||
|
| |||||||||
Design, Manufacturing & Distribution — (0.0)% |
| |||||||||
Benchmark Electronics, Inc. | 3,300 | (65,967 | ) | |||||||
Tech Data Corp. | 5,300 | (693,505 | ) | |||||||
|
| |||||||||
(759,472 | ) | |||||||||
|
| |||||||||
Distributors—Consumer Staples — (0.0)% |
| |||||||||
Archer-Daniels-Midland Co. | 100 | (3,518 | ) | |||||||
Sysco Corp. | 300 | (13,689 | ) | |||||||
|
| |||||||||
(17,207 | ) | |||||||||
|
| |||||||||
Distributors—Discretionary — (0.0)% |
| |||||||||
Copart, Inc. | 19,700 | (1,349,844 | ) | |||||||
G-III Apparel Group Ltd. | 5,400 | (41,580 | ) | |||||||
Hudson Technologies, Inc. | 9,100 | (6,276 | ) | |||||||
LKQ Corp. | 5,800 | (118,958 | ) | |||||||
|
| |||||||||
(1,516,658 | ) | |||||||||
|
| |||||||||
Electrical Equipment — (0.0)% |
| |||||||||
Advanced Energy Industries, Inc. | 4,800 | (232,752 | ) | |||||||
Allied Motion Technologies, Inc. | 100 | (2,370 | ) | |||||||
Argan, Inc. | 2,700 | (93,339 | ) | |||||||
Babcock & Wilcox Enterprises, Inc. | 7,808 | (7,964 | ) | |||||||
Capstone Turbine Corp. | 348 | (418 | ) | |||||||
Cognex Corp. | 5,800 | (244,876 | ) | |||||||
CyberOptics Corp. | 300 | (5,133 | ) | |||||||
Eaton Corp. PLC | 100 | (7,769 | ) | |||||||
Energous Corp. | 2,000 | (1,486 | ) | |||||||
General Electric Co. | 300 | (2,382 | ) | |||||||
IntriCon Corp. | 1,400 | (16,478 | ) | |||||||
Mesa Laboratories, Inc. | 700 | (158,263 | ) | |||||||
Novanta, Inc. | 3,100 | (247,628 | ) | |||||||
Research Frontiers, Inc. | 200 | (468 | ) | |||||||
Trimble, Inc. | 2,800 | (89,124 | ) | |||||||
|
| |||||||||
(1,110,450 | ) | |||||||||
|
| |||||||||
Engineering & Construction Services — (0.0)% |
| |||||||||
Construction Partners, Inc., Class A | 700 | (11,823 | ) | |||||||
Goldfield Corp. | 700 | (1,988 | ) | |||||||
KBR, Inc. | 13,600 | (281,248 | ) | |||||||
Kratos Defense & Security Solutions, Inc. | 5,000 | (69,200 | ) | |||||||
|
| |||||||||
(364,259 | ) | |||||||||
|
|
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
March 31, 2020
Security Description | Shares | Value | ||||||||
Gaming, Lodging & Restaurants — (0.1)% |
| |||||||||
Bloomin’ Brands, Inc. | 18,200 | $ | (129,948 | ) | ||||||
Boyd Gaming Corp. | 7,800 | (112,476 | ) | |||||||
Caesars Entertainment Corp. | 245,575 | (1,660,087 | ) | |||||||
Chipotle Mexican Grill, Inc. | 1 | (654 | ) | |||||||
Churchill Downs, Inc. | 100 | (10,295 | ) | |||||||
Chuy’s Holdings, Inc. | 300 | (3,021 | ) | |||||||
Dave & Buster’s Entertainment, Inc. | 11,000 | (143,880 | ) | |||||||
El Pollo Loco Holdings, Inc. | 12,100 | (102,245 | ) | |||||||
Fiesta Restaurant Group, Inc. | 7,300 | (29,419 | ) | |||||||
Kura Sushi USA, Inc., Class A | 800 | (9,568 | ) | |||||||
Marriott Vacations Worldwide Corp. | 8,600 | (477,988 | ) | |||||||
Penn National Gaming, Inc. | 41,000 | (518,650 | ) | |||||||
Playa Hotels & Resorts NV | 6,300 | (11,025 | ) | |||||||
Ruth’s Hospitality Group, Inc. | 3,000 | (20,040 | ) | |||||||
Stars Group, Inc. (The) | 79,400 | (1,621,348 | ) | |||||||
Twin River Worldwide Holdings, Inc. | 5,400 | (70,254 | ) | |||||||
Wyndham Worldwide Corp. | 800 | (17,360 | ) | |||||||
|
| |||||||||
(4,938,258 | ) | |||||||||
|
| |||||||||
Hardware — (0.1)% |
| |||||||||
Acacia Communications, Inc. | 4,800 | (322,464 | ) | |||||||
CommScope Holding Co., Inc. | 8,500 | (77,435 | ) | |||||||
Cubic Corp. | 4,600 | (190,026 | ) | |||||||
Dell Technologies, Inc., C Shares | 90,270 | (3,570,178 | ) | |||||||
Fitbit, Inc., Class A | 2,800 | (18,648 | ) | |||||||
GoPro, Inc., Class A | 45,700 | (119,734 | ) | |||||||
Hewlett Packard Enterprise Co. | 500 | (4,855 | ) | |||||||
HP, Inc. | 1,300 | (22,568 | ) | |||||||
Lumentum Holdings, Inc. | 8,605 | (634,188 | ) | |||||||
MicroVision, Inc. | 14,300 | (2,467 | ) | |||||||
PAR Technology Corp. | 6,500 | (83,590 | ) | |||||||
Plantronics, Inc. | 800 | (8,048 | ) | |||||||
Resonant, Inc. | 2,300 | (3,404 | ) | |||||||
Seagate Technology PLC | 600 | (29,280 | ) | |||||||
Stratasys Ltd. | 29 | (463 | ) | |||||||
Vicor Corp. | 600 | (26,724 | ) | |||||||
Vuzix Corp. | 4,861 | (5,979 | ) | |||||||
Western Digital Corp. | 100 | (4,162 | ) | |||||||
ZAGG, Inc. | 10,700 | (33,277 | ) | |||||||
|
| |||||||||
(5,157,490 | ) | |||||||||
|
| |||||||||
Health Care Facilities & Services — (0.4)% |
| |||||||||
Acadia Healthcare Co., Inc. | 16,400 | (300,940 | ) | |||||||
Addus HomeCare Corp. | 1,300 | (87,880 | ) | |||||||
AmerisourceBergen Corp. (c) | 58,610 | (5,186,985 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
March 31, 2020
Security Description | Shares | Value | ||||||||
Anthem, Inc. (c) | 18,640 | $ | (4,232,026 | ) | ||||||
Brookdale Senior Living, Inc. | 51,091 | (159,404 | ) | |||||||
Caladrius Biosciences, Inc. | 760 | (1,368 | ) | |||||||
Capital Senior Living Corp. | 5,500 | (3,190 | ) | |||||||
Centene Corp. | 5,398 | (320,695 | ) | |||||||
Cigna corp. | 36,673 | (6,497,722 | ) | |||||||
CVS Health Corp. | 600 | (35,598 | ) | |||||||
DaVita, Inc. (c) | 72,550 | (5,518,153 | ) | |||||||
Elanco Animal Health, Inc. | 6,500 | 0 | ||||||||
Genesis Healthcare, Inc. | 4,500 | (3,792 | ) | |||||||
HealthEquity, Inc. | 100 | (5,059 | ) | |||||||
Interpace Biosciences, Inc. | 1,060 | (5,469 | ) | |||||||
LHC Group, Inc. | 1,683 | (235,957 | ) | |||||||
NeoGenomics, Inc. | 17,200 | (474,892 | ) | |||||||
Personalis, Inc. | 300 | (2,421 | ) | |||||||
PRA Health Sciences, Inc. | 100 | (8,304 | ) | |||||||
Progyny, Inc. | 100 | (2,119 | ) | |||||||
Social Reality, Inc. | 200 | 0 | ||||||||
Surgery Partners, Inc. | 4,500 | (29,385 | ) | |||||||
Syneos Health, Inc. | 5,300 | (208,926 | ) | |||||||
Teladoc Health, Inc. | 1,200 | (186,012 | ) | |||||||
Willdan Group, Inc. | 500 | (10,685 | ) | |||||||
|
| |||||||||
(23,516,982 | ) | |||||||||
|
| |||||||||
Home & Office Products — (0.1)% |
| |||||||||
American Woodmark Corp. | 3,800 | (173,166 | ) | |||||||
Beazer Homes USA, Inc. | 11,000 | (70,840 | ) | |||||||
Hooker Furniture Corp. | 600 | (9,366 | ) | |||||||
Hovnanian Enterprises, Class A | 1,916 | (15,788 | ) | |||||||
Lennar Corp., Class A | 30,124 | (1,150,737 | ) | |||||||
LGI Homes, Inc. | 7,300 | (329,595 | ) | |||||||
Newell Brands, Inc. | 161,218 | (2,140,975 | ) | |||||||
Nova Lifestyle, Inc. | 100 | (106 | ) | |||||||
Toll Brothers, Inc. | 42,600 | (820,050 | ) | |||||||
|
| |||||||||
(4,710,623 | ) | |||||||||
|
| |||||||||
Industrial Services — (0.0)% |
| |||||||||
Anixter International, Inc. | 12,100 | (1,063,227 | ) | |||||||
CAI International, Inc. | 4,200 | (59,388 | ) | |||||||
EVI Industries, Inc. | 500 | (7,890 | ) | |||||||
Team, Inc. | 3,700 | (24,050 | ) | |||||||
United Rentals, Inc. | 6,500 | (668,850 | ) | |||||||
|
| |||||||||
(1,823,405 | ) | |||||||||
|
| |||||||||
Institutional Financial Services — (0.0)% |
| |||||||||
GAIN Capital Holdings, Inc. | 6,500 | (36,270 | ) |
See Notes to Consolidated Financial Statements.
118
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Consolidated Schedule of Investments (Continued)
March 31, 2020
Security Description | Shares | Value | ||||||||
Goldman Sachs Group, Inc. | 2,200 | $ | (340,098 | ) | ||||||
Greenhill & Co., Inc. | 6,700 | (65,928 | ) | |||||||
Moelis & Co., Class A | 100 | (2,810 | ) | |||||||
Virtu Financial, Inc., Class A | 43,100 | (897,342 | ) | |||||||
|
| |||||||||
(1,342,448 | ) | |||||||||
|
| |||||||||
Insurance — (0.1)% |
| |||||||||
Ambac Financial Group, Inc. | 8,100 | (99,954 | ) | |||||||
American International Group, Inc. | 42,200 | (1,023,350 | ) | |||||||
Benefytt Technologies, Inc. | 4,400 | (98,516 | ) | |||||||
Chubb Ltd. | 200 | (22,338 | ) | |||||||
eHealth, Inc. | 9,000 | (1,267,380 | ) | |||||||
Erie Indemnity Co., Class A | 1,800 | (266,832 | ) | |||||||
HCI Group, Inc. | 400 | (16,100 | ) | |||||||
Kinsale Capital Group, Inc. | 2,400 | (250,872 | ) | |||||||
Manulife Financial Corp. | 16,200 | (203,148 | ) | |||||||
Marsh & McLennan Cos., Inc. | 700 | (60,522 | ) | |||||||
MetLife, Inc. | 300 | (9,171 | ) | |||||||
Palomar Holdings, Inc. | 1,700 | (98,872 | ) | |||||||
ProSight Global, Inc. | 100 | (975 | ) | |||||||
RenaissanceRe Holdings Ltd. | 500 | (74,660 | ) | |||||||
Sun Life Financial, Inc. | 4,200 | (134,778 | ) | |||||||
Voya Financial, Inc. | 7,700 | (312,235 | ) | |||||||
WR Berkley Corp. | 50 | (2,608 | ) | |||||||
|
| |||||||||
(3,942,311 | ) | |||||||||
|
| |||||||||
Iron & Steel — (0.0)% |
| |||||||||
Cleveland-Cliffs, Inc. | 78,900 | (311,655 | ) | |||||||
Warrior Met Coal, Inc. | 18,400 | (195,408 | ) | |||||||
|
| |||||||||
(507,063 | ) | |||||||||
|
| |||||||||
Leisure Products — (0.0)% |
| |||||||||
Camping World Holdings, Inc., Class A | 11,300 | (64,297 | ) | |||||||
Fox Factory Holding Corp. | 3,400 | (142,800 | ) | |||||||
Horizon Global Corp. | 1,700 | (3,179 | ) | |||||||
LCI Industries | 4,100 | (274,003 | ) | |||||||
Mattel, Inc. | 124,800 | (1,099,488 | ) | |||||||
Peloton Interactive, Inc., Class A | 15,700 | (416,835 | ) | |||||||
Thor Industries, Inc. | 300 | (12,654 | ) | |||||||
Winnebago Industries, Inc. | 2,700 | (75,087 | ) | |||||||
|
| |||||||||
(2,088,343 | ) | |||||||||
|
| |||||||||
Machinery — (0.0)% |
| |||||||||
Alamo Group, Inc. | 1,700 | (150,926 | ) | |||||||
Altra Industrial Motion Corp. | 1,700 | (29,733 | ) | |||||||
Astec Industries, Inc. | 2,500 | (87,425 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
March 31, 2020
Security Description | Shares | Value | ||||||||
Caterpillar, Inc. | 200 | $ | (23,208 | ) | ||||||
CIRCOR International, Inc. | 4,000 | (46,520 | ) | |||||||
Enerpac Tool Group Corp. | 3,200 | (52,960 | ) | |||||||
Gates Industrial Corp. plc | 100 | (738 | ) | |||||||
GrafTech International Ltd. | 500 | (4,060 | ) | |||||||
Helios Technologies, Inc. | 900 | (34,128 | ) | |||||||
Ingersoll Rand, Inc. | 952 | (23,610 | ) | |||||||
John Bean Technologies Corp. | 5,800 | (430,766 | ) | |||||||
NN, Inc. | 300 | (519 | ) | |||||||
|
| |||||||||
(884,593 | ) | |||||||||
|
| |||||||||
Manufactured Goods — (0.0)% |
| |||||||||
Mueller Industries, Inc. | 1,400 | (33,516 | ) | |||||||
RBC Bearings, Inc. | 1,500 | (169,185 | ) | |||||||
|
| |||||||||
(202,701 | ) | |||||||||
|
| |||||||||
Media — (0.4)% |
| |||||||||
Alphabet, Inc., Class A | 400 | (464,780 | ) | |||||||
AMC Networks, Inc., Class A | 14,600 | (354,926 | ) | |||||||
Boston Omaha Corp., Class A | 2,400 | (43,464 | ) | |||||||
DHI Group, Inc. | 2,200 | (4,752 | ) | |||||||
Discovery, Inc., Class A | 29,500 | (573,480 | ) | |||||||
DISH Network Corp., Class A | 7 | (140 | ) | |||||||
Entercom Communications Corp., Class A | 5,900 | (10,089 | ) | |||||||
EW Scripps Co., Class A | 3,836 | (28,923 | ) | |||||||
Fox Corp., Class A | 1,507 | (35,610 | ) | |||||||
Gannett Co., Inc. | 16,114 | (23,849 | ) | |||||||
Global Eagle Entertainment, Inc. | 3,600 | (568 | ) | |||||||
Gray Television, Inc. | 33,300 | (357,642 | ) | |||||||
Groupon, Inc. | 17,900 | (17,546 | ) | |||||||
Houghton Mifflin Harcourt Co. | 19,000 | (35,720 | ) | |||||||
HyreCar, Inc. | 2,300 | (3,128 | ) | |||||||
Interpublic Group of Cos., Inc. (The) | 100 | (1,619 | ) | |||||||
Liberty Media Group, Class A | 2,392 | (61,761 | ) | |||||||
Live Ventures, Inc. | 266 | (1,362 | ) | |||||||
Lyft, Inc., Class A | 76,823 | (2,062,698 | ) | |||||||
Media General, Inc. | 12,100 | 0 | ||||||||
Meredith Corp. | 700 | (8,554 | ) | |||||||
Netflix, Inc. | 24,600 | (9,237,300 | ) | |||||||
News Corp., Class A | 1,300 | (11,667 | ) | |||||||
Nexstar Media Group, Inc., Class A | 16,411 | (947,407 | ) | |||||||
Quotient Technology, Inc. | 9,200 | (59,800 | ) | |||||||
Remark Holdings, Inc. | 11,000 | (4,321 | ) | |||||||
Snap, Inc. | 400 | (4,756 | ) | |||||||
SRAX, Inc. | 100 | (201 | ) | |||||||
TEGNA, Inc. | 78,600 | (853,596 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
March 31, 2020
Security Description | Shares | Value | ||||||||
Uber Technologies, Inc. | 352,600 | $ | (9,844,592 | ) | ||||||
ViacomCBS, Inc., Class B | 29 | (406 | ) | |||||||
|
| |||||||||
(25,054,657 | ) | |||||||||
|
| |||||||||
Medical Equipment & Devices — (0.3)% |
| |||||||||
Abbott Laboratories (c) | 97,600 | (7,701,616 | ) | |||||||
Adaptive Biotechnologies Corp. | 10,300 | (286,134 | ) | |||||||
Agilent Technologies, Inc. | 100 | (7,162 | ) | |||||||
Apyx Medical Corp. | 700 | (2,513 | ) | |||||||
Avantor, Inc. | 100 | (1,249 | ) | |||||||
Avinger, Inc. | 448 | (186 | ) | |||||||
Axonics Modulation Technologies, Inc. | 3,300 | (83,853 | ) | |||||||
BioLife Solutions, Inc. | 5,400 | (51,300 | ) | |||||||
BioSig Technologies, Inc. | 400 | (1,676 | ) | |||||||
Ekso Bionics Holdings, Inc. | 273 | (772 | ) | |||||||
Endologix, Inc. | 6,790 | (4,691 | ) | |||||||
Exact Sciences Corp. | 2 | (116 | ) | |||||||
Illumina, Inc. (c) | 24,480 | (6,685,978 | ) | |||||||
Medtronic PLC | 200 | (18,036 | ) | |||||||
Microbot Medical, Inc. | 2,200 | (12,210 | ) | |||||||
Pacific Biosciences of California, Inc. | 39,000 | (119,340 | ) | |||||||
Penumbra, Inc. | 5,900 | (951,847 | ) | |||||||
Pulse Biosciences, Inc. | 1,698 | (12,158 | ) | |||||||
Rockwell Medical, Inc. | 3,900 | (7,995 | ) | |||||||
Second Sight Medical Products, Inc. | 923 | (918 | ) | |||||||
Senseonics Holdings, Inc. | 36,100 | (22,869 | ) | |||||||
Shockwave Medical, Inc. | 11,400 | (378,252 | ) | |||||||
Silk Road Medical, Inc. | 6,600 | (207,768 | ) | |||||||
T2 Biosystems, Inc. | 400 | (260 | ) | |||||||
Tandem Diabetes Care, Inc. | 8,837 | (568,661 | ) | |||||||
Venus Concept, Inc. | 133 | (472 | ) | |||||||
ViewRay, Inc. | 200 | (500 | ) | |||||||
Wright Medical Group NV | 600 | (17,190 | ) | |||||||
|
| |||||||||
(17,145,722 | ) | |||||||||
|
| |||||||||
Metals & Mining — (0.1)% |
| |||||||||
Barrick Gold Corp. | 292,548 | (5,359,479 | ) | |||||||
Century Aluminum Co. | 22,000 | (79,640 | ) | |||||||
Covia Holdings Corp. | 3,300 | (1,886 | ) | |||||||
Energy Fuels, Inc. | 8,900 | (10,502 | ) | |||||||
First Majestic Silver Corp. | 53,500 | (331,165 | ) | |||||||
Kirkland Lake Gold Ltd. | 900 | (26,640 | ) | |||||||
McEwen Mining, Inc. | 81,600 | (53,921 | ) | |||||||
North American Construction Group Ltd. | 2,900 | (14,732 | ) | |||||||
Northern Dynasty Minerals Ltd. | 4,600 | (1,771 | ) | |||||||
Novagold Resources, Inc. | 94,800 | (699,624 | ) |
See Notes to Consolidated Financial Statements.
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March 31, 2020
Security Description | Shares | Value | ||||||||
Pan American Silver Corp. | 75,500 | $ | (1,081,915 | ) | ||||||
Seabridge Gold, Inc. | 12,400 | (115,940 | ) | |||||||
Turquoise Hill Resources Ltd. | 90,200 | (34,438 | ) | |||||||
Uranium Energy Corp. | 47,900 | (26,824 | ) | |||||||
Vista Gold Corp. | 3,100 | (1,446 | ) | |||||||
|
| |||||||||
(7,839,923 | ) | |||||||||
|
| |||||||||
Oil, Gas & Coal — (0.1)% |
| |||||||||
Antero Midstream Corp. | 174,200 | (365,820 | ) | |||||||
Arch Coal, Inc., Class A | 4,700 | (135,830 | ) | |||||||
Baytex Energy Corp. | 6,300 | (1,471 | ) | |||||||
Berry Petroleum Corp. | 1,500 | (3,615 | ) | |||||||
Bonanza Creek Energy, Inc. | 7,400 | (83,250 | ) | |||||||
Canadian Natural Resources Ltd. | 200 | (2,710 | ) | |||||||
Chesapeake Energy Corp. | 484,403 | (83,656 | ) | |||||||
Contango Oil & Gas Co. | 1,100 | (1,650 | ) | |||||||
Delek US Holdings, Inc. | 26,739 | (421,407 | ) | |||||||
Diamondback Energy, Inc. | 56,900 | (1,490,780 | ) | |||||||
Dril-Quip, Inc. | 6,100 | (186,050 | ) | |||||||
Earthstone Energy, Inc., Class A | 4,300 | (7,568 | ) | |||||||
Enbridge, Inc. | 82,622 | (2,403,474 | ) | |||||||
Equitrans Midstream Corp. | 91,700 | (461,251 | ) | |||||||
Era Group, Inc. | 1,000 | (5,330 | ) | |||||||
Extraction Oil & Gas, Inc. | 25,800 | (10,888 | ) | |||||||
Flotek Industries, Inc. | 21,200 | (18,868 | ) | |||||||
Frank’s International NV | 25,000 | (64,750 | ) | |||||||
FTS International, Inc. | 14,600 | (3,256 | ) | |||||||
Geospace Technologies Corp. | 1,100 | (7,040 | ) | |||||||
Gulfport Energy Corp. | 57,400 | (25,526 | ) | |||||||
Laredo Petroleum, Inc. | 86,100 | (32,701 | ) | |||||||
Liberty Oilfield Services, Inc., Class A | 19,900 | (53,531 | ) | |||||||
Marathon Petroleum Corp. | 300 | (7,086 | ) | |||||||
Montage Resources Corp. | 3,766 | (8,473 | ) | |||||||
Nabors Industries Ltd. | 124,916 | (48,730 | ) | |||||||
National Energy Services Reunited Corp. | 200 | (1,016 | ) | |||||||
NCS Multistage Holdings, Inc. | 1,700 | (1,088 | ) | |||||||
New Fortress Energy LLC | 1,800 | (17,622 | ) | |||||||
Noble Corp. PLC | 4,700 | (1,222 | ) | |||||||
Northern Oil and Gas, Inc. | 122,000 | (80,898 | ) | |||||||
Obsidian Energy Ltd. | 700 | (116 | ) | |||||||
Pembina Pipeline Corp. | 800 | (15,048 | ) | |||||||
Penn Virginia Corp. | 2,600 | (8,034 | ) | |||||||
ProPetro Holding Corp. | 10,300 | (25,750 | ) | |||||||
Ramaco Resources, Inc. | 3,000 | (7,170 | ) | |||||||
Ring Energy, Inc. | 19,600 | (12,911 | ) | |||||||
Smart Sand, Inc. | 10,700 | (11,128 | ) | |||||||
Solaris Oilfield Infrastructure, Inc., Class A | 8,100 | (42,525 | ) |
See Notes to Consolidated Financial Statements.
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March 31, 2020
Security Description | Shares | Value | ||||||||
Southwestern Energy Co. | 194,700 | $ | (329,043 | ) | ||||||
Talos Energy, Inc. | 100 | (575 | ) | |||||||
Targa Resources Corp. | 68,600 | (474,026 | ) | |||||||
TETRA Technologies, Inc. | 18,800 | (6,016 | ) | |||||||
Tidewater, Inc. | 3,500 | (24,780 | ) | |||||||
US Silica Holdings, Inc. | 8,200 | (14,760 | ) | |||||||
VAALCO Energy, Inc. | 200 | (180 | ) | |||||||
World Fuel Services Corp. | 13,500 | (339,930 | ) | |||||||
|
| |||||||||
(7,348,549 | ) | |||||||||
|
| |||||||||
Passenger Transportation — (0.0)% |
| |||||||||
Spirit Airlines, Inc. | 9,300 | (119,877 | ) | |||||||
|
| |||||||||
Real Estate — (0.3)% |
| |||||||||
Americold Realty Trust | 72,000 | (2,450,880 | ) | |||||||
Apple Hospitality REIT, Inc. | 56,300 | (516,271 | ) | |||||||
Boston Properties, Inc. | 900 | (83,007 | ) | |||||||
Braemar Hotels & Resorts, Inc. | 4,522 | (7,687 | ) | |||||||
Brixmor Property Group, Inc. | 49,100 | (466,450 | ) | |||||||
CBRE Group, Inc., Class A | 1,300 | (49,023 | ) | |||||||
Chatham Lodging Trust | 8,600 | (51,084 | ) | |||||||
Clipper Realty, Inc. | 600 | (3,108 | ) | |||||||
Colony Capital, Inc. | 42,021 | (73,537 | ) | |||||||
Cousins Properties, Inc. | 29,798 | (872,187 | ) | |||||||
Crown Castle International Corp. | 1,100 | (158,840 | ) | |||||||
CyrusOne, Inc. | 1,000 | (61,750 | ) | |||||||
DiamondRock Hospitality Co. | 72,100 | (366,268 | ) | |||||||
Digital Realty Trust, Inc. | 906 | (125,853 | ) | |||||||
Duke Realty Corp. | 1,000 | (32,380 | ) | |||||||
Essential Properties Realty Trust, Inc. | 15,500 | (202,430 | ) | |||||||
Five Point Holdings LLC, Class A | 500 | (2,535 | ) | |||||||
Franklin Street Properties Corp. | 1,000 | (5,730 | ) | |||||||
Front Yard Residential Corp. | 6,500 | (77,675 | ) | |||||||
Healthcare Realty Trust, Inc. | 5,800 | (161,994 | ) | |||||||
Healthcare Trust of America, Inc., Class A | 7,900 | (191,812 | ) | |||||||
Healthpeak Properties, Inc. | 59,400 | (1,416,690 | ) | |||||||
Hersha Hospitality Trust | 3,100 | (11,098 | ) | |||||||
Highwoods Properties, Inc. | 100 | (3,542 | ) | |||||||
Host Hotels & Resorts, Inc. | 156,700 | (1,729,968 | ) | |||||||
Howard Hughes Corp. (The) | 1,100 | (55,572 | ) | |||||||
Hudson Pacific Properties, Inc. | 400 | (10,144 | ) | |||||||
Invitation Homes, Inc. | 3,300 | (70,521 | ) | |||||||
iStar, Inc. | 16,200 | (171,882 | ) | |||||||
JBG SMITH Properties | 7,400 | (235,542 | ) | |||||||
Jernigan Capital, Inc. | 8,300 | (90,968 | ) | |||||||
Jones Lang LaSalle, Inc. | 3,200 | (323,136 | ) | |||||||
Kilroy Realty Corp. | 9,000 | (573,300 | ) |
See Notes to Consolidated Financial Statements.
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March 31, 2020
Security Description | Shares | Value | ||||||||
Kimco Realty Corp. | 83,600 | $ | (808,412 | ) | ||||||
Kite Realty Group Trust | 14,300 | (135,421 | ) | |||||||
Life Storage, Inc. | 200 | (18,910 | ) | |||||||
Mack-Cali Realty Corp. | 8,000 | (121,840 | ) | |||||||
Medical Properties Trust, Inc. | 200 | (3,458 | ) | |||||||
National Storage Affiliates Trust | 3,700 | (109,520 | ) | |||||||
New Senior Investment Group, Inc. | 15,001 | (38,403 | ) | |||||||
NexPoint Residential Trust, Inc. | 4,600 | (115,966 | ) | |||||||
Office Properties Income Trust | 10,873 | (296,289 | ) | |||||||
Park Hotels & Resorts, Inc. | 86,388 | (683,329 | ) | |||||||
Pebblebrook Hotel Trust | 37,200 | (405,108 | ) | |||||||
Pennsylvania REIT | 28,200 | (25,707 | ) | |||||||
PotlatchDeltic Corp. | 9,621 | (302,003 | ) | |||||||
Prologis, Inc. | 5,810 | (466,950 | ) | |||||||
Regency Centers Corp. | 5,300 | (203,679 | ) | |||||||
RLJ Lodging Trust | 19,300 | (148,996 | ) | |||||||
Seritage Growth Properties | 10,000 | (91,100 | ) | |||||||
Service Properties Trust | 14,600 | (78,840 | ) | |||||||
STAG Industrial, Inc. | 100 | (2,252 | ) | |||||||
UDR, Inc. | 100 | (3,654 | ) | |||||||
VICI Properties, Inc. | 700 | (11,648 | ) | |||||||
Vornado Realty Trust | 33,800 | (1,223,898 | ) | |||||||
Washington Prime Group, Inc. | 34,100 | (27,454 | ) | |||||||
Washington Real Estate Investment Trust | 2,900 | (69,223 | ) | |||||||
Welltower, Inc. | 49,000 | (2,243,220 | ) | |||||||
Weyerhaeuser Co. | 47,400 | (803,430 | ) | |||||||
Wheeler Real Estate Investment Trust, Inc. | 1,052 | (1,052 | ) | |||||||
Whitestone REIT | 1,800 | (11,160 | ) | |||||||
Xenia Hotels & Resorts, Inc. | 6,400 | (65,920 | ) | |||||||
|
| |||||||||
(19,169,706 | ) | |||||||||
|
| |||||||||
Recreation Facilities & Services — (0.0)% | ||||||||||
Drive Shack, Inc. | 10,367 | (15,758 | ) | |||||||
|
| |||||||||
Renewable Energy — (0.0)% |
| |||||||||
Enphase Energy, Inc. | 44,500 | (1,436,905 | ) | |||||||
FuelCell Energy, Inc. | 54,629 | (82,490 | ) | |||||||
Green Plains, Inc. | 12,600 | (61,110 | ) | |||||||
Pacific Ethanol, Inc. | 2,200 | (572 | ) | |||||||
|
| |||||||||
(1,581,077 | ) | |||||||||
|
| |||||||||
Retail—Consumer Staples — (0.0)% |
| |||||||||
BJ’s Wholesale Club Holdings, Inc. | 23,800 | (606,186 | ) | |||||||
Five Below, Inc. | 10,102 | (710,979 | ) | |||||||
PriceSmart, Inc. | 300 | (15,765 | ) | |||||||
Rite Aid Corp. | 88 | (1,320 | ) | |||||||
|
| |||||||||
(1,334,250 | ) | |||||||||
|
|
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
March 31, 2020
Security Description | Shares | Value | ||||||||
Retail—Discretionary — (0.2)% | ||||||||||
Advance Auto Parts, Inc. | 600 | $ | (55,992 | ) | ||||||
Ascena Retail Group, Inc. | 80 | (111 | ) | |||||||
AutoNation, Inc. | 5,600 | (157,136 | ) | |||||||
Bed Bath & Beyond, Inc. | 45,700 | (192,397 | ) | |||||||
Big 5 Sporting Goods Corp. | 4,117 | (4,405 | ) | |||||||
BlueLinx Holdings, Inc. | 2,500 | (12,375 | ) | |||||||
Boot Barn Holdings, Inc. | 700 | (9,051 | ) | |||||||
Buckle, Inc. | 16,700 | (228,957 | ) | |||||||
Burlington Stores, Inc. | 300 | (47,538 | ) | |||||||
Carvana Co. | 22,900 | (1,261,561 | ) | |||||||
Cato Corp., Class A | 4,800 | (51,216 | ) | |||||||
Chewy, Inc., Class A | 22,900 | (858,521 | ) | |||||||
Chico’s FAS, Inc. | 19,500 | (25,155 | ) | |||||||
Designer Brands, Inc., Class A | 23,000 | (114,540 | ) | |||||||
Dillard’s, Inc., Class A | 7,400 | (273,430 | ) | |||||||
Express, Inc. | 21,400 | (31,886 | ) | |||||||
FirstCash, Inc. | 28 | (2,009 | ) | |||||||
Genesco, Inc. | 4,200 | (56,028 | ) | |||||||
GNC Holdings, Inc., Class A | 10,690 | (5,004 | ) | |||||||
Group 1 Automotive, Inc. | 4,900 | (216,874 | ) | |||||||
Guess?, Inc. | 18,000 | (121,860 | ) | |||||||
Hertz Global Holdings, Inc. | 51,100 | (315,798 | ) | |||||||
Hibbett Sports, Inc. | 6,200 | (67,797 | ) | |||||||
JC Penney Co., Inc. | 115,500 | (41,580 | ) | |||||||
L Brands, Inc. | 99,500 | (1,150,220 | ) | |||||||
Lithia Motors, Inc., Class A | 4,700 | (384,413 | ) | |||||||
Lovesac Co. (The) | 2,800 | (16,324 | ) | |||||||
MarineMax, Inc. | 100 | (1,042 | ) | |||||||
Michaels Cos., Inc. (The) | 52,800 | (85,536 | ) | |||||||
Monro, Inc. | 600 | (26,286 | ) | |||||||
Overstock.com, Inc. | 14,500 | (72,355 | ) | |||||||
PetIQ, Inc. | 8,600 | (199,778 | ) | |||||||
PetMed Express, Inc. | 6,900 | (198,582 | ) | |||||||
Sally Beauty Holdings, Inc. | 42,000 | (339,360 | ) | |||||||
Shoe Carnival, Inc. | 700 | (14,539 | ) | |||||||
Sonic Automotive, Inc., Class A | 500 | (6,640 | ) | |||||||
Stage Stores, Inc. | 400 | (146 | ) | |||||||
Tiffany & Co. | 41,300 | (5,348,350 | ) | |||||||
Urban Outfitters, Inc. | 23,100 | (328,944 | ) | |||||||
Wayfair, Inc., Class A | 100 | (5,344 | ) | |||||||
|
| |||||||||
(12,329,080 | ) | |||||||||
|
| |||||||||
Semiconductors — (0.2)% | ||||||||||
Adesto Technologies Corp. | 100 | (1,119 | ) | |||||||
Broadcom, Inc. | 4,138 | (981,120 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
March 31, 2020
Security Description | Shares | Value | ||||||||
Coherent, Inc. | 4,200 | $ | (446,922 | ) | ||||||
Cohu, Inc. | 2,200 | (27,236 | ) | |||||||
Cypress Semiconductor Corp. | 112,535 | (2,624,316 | ) | |||||||
Diodes, Inc. | 2,100 | (85,334 | ) | |||||||
II-VI, Inc. | 32,700 | (931,950 | ) | |||||||
KEMET Corp. | 18,700 | (451,792 | ) | |||||||
Marvell Technology Group Ltd. | 238,670 | (5,401,102 | ) | |||||||
Micron Technology, Inc. | 4,000 | (168,240 | ) | |||||||
MKS Instruments, Inc. | 12,500 | (1,018,125 | ) | |||||||
MoSys, Inc. | 119 | (109 | ) | |||||||
ON Semiconductor Corp. | 100,300 | (1,247,732 | ) | |||||||
Skyworks Solutions, Inc. | 200 | (17,876 | ) | |||||||
Universal Display Corp. | 2,200 | (289,916 | ) | |||||||
Vishay Intertechnology, Inc. | 100 | (1,441 | ) | |||||||
|
| |||||||||
(13,694,330 | ) | |||||||||
|
| |||||||||
Software — (0.4)% | ||||||||||
Altair Engineering, Inc., Class A | 1,400 | (37,100 | ) | |||||||
Alteryx, Inc., Class A | 13,400 | (1,275,278 | ) | |||||||
ANSYS, Inc. | 1,100 | (255,717 | ) | |||||||
Appian Corp. | 12,400 | (498,852 | ) | |||||||
Avaya Holdings Corp. | 34,300 | (277,487 | ) | |||||||
Blackberry Ltd. | 170,200 | (702,926 | ) | |||||||
Change Healthcare, Inc. | 400 | (3,996 | ) | |||||||
Citrix Systems, Inc. | 200 | (28,310 | ) | |||||||
Cloudera, Inc. | 106,171 | (835,566 | ) | |||||||
Computer Programs & Systems, Inc. | 600 | (13,350 | ) | |||||||
Crowdstrike Holdings, Inc. | 1,900 | (105,792 | ) | |||||||
Datadog, Inc., Class A | 2,900 | (104,342 | ) | |||||||
Dynatrace, Inc. | 22,600 | (538,784 | ) | |||||||
Elastic NV | 11,300 | (630,653 | ) | |||||||
Envestnet, Inc. | 8,900 | (478,642 | ) | |||||||
Health Catalyst, Inc. | 4,000 | (104,600 | ) | |||||||
Microsoft Corp. | 16,700 | (2,633,757 | ) | |||||||
MongoDB, Inc. | 17,600 | (2,403,104 | ) | |||||||
MTBC, Inc. | 700 | (3,850 | ) | |||||||
Nuance Communications, Inc. | 2,800 | (46,984 | ) | |||||||
Pareteum Corp. | 49,162 | (20,255 | ) | |||||||
Pegasystems, Inc. | 2,500 | (178,075 | ) | |||||||
Phreesia, Inc. | 400 | (8,412 | ) | |||||||
Ping Identity Holding Corp. | 6,900 | (138,138 | ) | |||||||
PTC, Inc. | 300 | (18,363 | ) | |||||||
salesforce.com, Inc. | 304 | (43,770 | ) | |||||||
Slack Technologies, Inc., Class A | 65,500 | (1,758,020 | ) | |||||||
Splunk, Inc. | 42,100 | (5,314,283 | ) | |||||||
Tabula Rasa HealthCare, Inc. | 8,000 | (418,320 | ) | |||||||
Twilio, Inc., Class A | 46,139 | (4,128,979 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
March 31, 2020
Security Description | Shares | Value | ||||||||
Upland Software, Inc. | 3,800 | $ | (101,916 | ) | ||||||
Veeva Systems, Inc., Class A | 100 | (15,637 | ) | |||||||
Verint Systems, Inc. | 4,900 | (210,700 | ) | |||||||
VirnetX Holding Corp. | 17,900 | (97,913 | ) | |||||||
Zoom Video Communications, Inc., Class A | �� | 2,400 | (350,688 | ) | ||||||
|
| |||||||||
(23,782,559 | ) | |||||||||
|
| |||||||||
Specialty Finance — (0.1)% |
| |||||||||
Alliance Data Systems Corp. | 17,071 | (574,439 | ) | |||||||
Annaly Capital Management, Inc. | 391,600 | (1,985,412 | ) | |||||||
Apollo Commercial Real Estate Finance, Inc. | 8,700 | (64,554 | ) | |||||||
Arbor Realty Trust, Inc. | 13,200 | (64,680 | ) | |||||||
Arlington Asset Investment Corp., Class A | 13,200 | (28,908 | ) | |||||||
ARMOUR Residential REIT, Inc. | 12,562 | (110,671 | ) | |||||||
Capstead Mortgage Corp. | 15,100 | (63,420 | ) | |||||||
Cherry Hill Mortgage Investment Corp. | 5,900 | (36,580 | ) | |||||||
Colony Credit Real Estate, Inc. | 4,600 | (18,124 | ) | |||||||
Credit Acceptance Corp. | 2,000 | (511,380 | ) | |||||||
Dynex Capital, Inc. | 6,934 | (72,391 | ) | |||||||
Encore Capital Group, Inc. | 4,900 | (114,562 | ) | |||||||
Fidelity National Information Services, Inc. | 5,452 | (663,181 | ) | |||||||
Fiserv, Inc. | 200 | (18,998 | ) | |||||||
Global Payments, Inc. | 11,200 | (1,615,376 | ) | |||||||
Granite Point Mortgage Trust, Inc. | 2,200 | (11,154 | ) | |||||||
KKR Real Estate Finance Trust, Inc. | 7,500 | (112,575 | ) | |||||||
LendingClub Corp. | 7,900 | (62,015 | ) | |||||||
MoneyGram International, Inc. | 10,300 | (13,493 | ) | |||||||
Mr Cooper Group, Inc. | 26,891 | (197,111 | ) | |||||||
Ocwen Financial Corp. | 4,300 | (2,150 | ) | |||||||
Ready Capital Corp. | 45 | (325 | ) | |||||||
Santander Consumer USA Holdings, Inc. | 19,000 | (264,290 | ) | |||||||
SLM Corp. | 24,800 | (178,312 | ) | |||||||
Square, Inc., Class A | 2,300 | (120,474 | ) | |||||||
World Acceptance Corp. | 400 | (21,844 | ) | |||||||
|
| |||||||||
(6,926,419 | ) | |||||||||
|
| |||||||||
Technology Services — (0.0)% | ||||||||||
Insight Enterprises, Inc. | 10,200 | (429,726 | ) | |||||||
International Business Machines Corp. | 400 | (44,372 | ) | |||||||
Leidos Holdings, Inc. | 200 | (18,330 | ) | |||||||
Parsons Corp. | 8,500 | (271,660 | ) | |||||||
StarTek, Inc. | 1,000 | (3,760 | ) | |||||||
Thomson Reuters Corp. | 1,041 | (70,642 | ) | |||||||
|
| |||||||||
(838,490 | ) | |||||||||
|
|
See Notes to Consolidated Financial Statements.
127
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2020
Security Description | Shares | Value | ||||||||
Telecommunications — (0.0)% | ||||||||||
Cincinnati Bell, Inc. | 49 | $ | (717 | ) | ||||||
Consolidated Communications Holdings, Inc. | 25,876 | (117,736 | ) | |||||||
Globalstar, Inc. | 62,100 | (18,295 | ) | |||||||
HC2 Holdings, Inc. | 6,700 | (10,385 | ) | |||||||
Shenandoah Telecommunications Co. | 5,800 | (285,650 | ) | |||||||
Sprint Corp. | 172,900 | (1,490,398 | ) | |||||||
|
| |||||||||
(1,923,181 | ) | |||||||||
|
| |||||||||
Transportation & Logistics — (0.0)% | ||||||||||
Atlas Corp. | 12,478 | (95,956 | ) | |||||||
Canadian National Railway Co. | 200 | (15,526 | ) | |||||||
CryoPort, Inc. | 3,600 | (61,452 | ) | |||||||
Golar LNG Ltd. | 19,500 | (153,660 | ) | |||||||
Matson, Inc. | 2,700 | (82,674 | ) | |||||||
Navigator Holdings Ltd. | 4,400 | (19,624 | ) | |||||||
Saia, Inc. | 700 | (51,478 | ) | |||||||
Scorpio Bulkers, Inc. | 3,200 | (8,096 | ) | |||||||
Sino-Global Shipping America Ltd. | 21 | (7 | ) | |||||||
Teekay Corp. | 17,700 | (55,932 | ) | |||||||
Teekay Tankers Ltd., Class A | 137 | (3,047 | ) | |||||||
US Xpress Enterprises, Inc., Class A | 1,400 | (4,676 | ) | |||||||
|
| |||||||||
(552,128 | ) | |||||||||
|
| |||||||||
Transportation Equipment — (0.0)% | ||||||||||
Meritor, Inc. | 21,800 | (288,850 | ) | |||||||
Navistar International Corp. | 6,000 | (98,940 | ) | |||||||
WABCO Holdings, Inc. | 13,200 | (1,782,660 | ) | |||||||
Wabtec Corp. | 475 | (22,862 | ) | |||||||
|
| |||||||||
(2,193,312 | ) | |||||||||
|
| |||||||||
Utilities — (0.1)% |
| |||||||||
Avista Corp. | 1,900 | (80,731 | ) | |||||||
CenterPoint Energy, Inc. | 100 | (1,545 | ) | |||||||
Dominion Resources, Inc. | 4,000 | (288,760 | ) | |||||||
Edison International | 100 | (5,479 | ) | |||||||
El Paso Electric Co. | 1,200 | (81,552 | ) | |||||||
Essential Utilities, Inc. | 400 | (16,280 | ) | |||||||
Fortis, Inc. | 100 | (3,855 | ) | |||||||
Genie Energy Ltd., Class B | 2,900 | (20,822 | ) | |||||||
New Jersey Resources Corp. | 2,000 | (67,940 | ) | |||||||
NextEra Energy, Inc. | 100 | (24,062 | ) | |||||||
Sempra Energy | 500 | (56,495 | ) | |||||||
SJW Group | 1,800 | (103,986 | ) | |||||||
South Jersey Industries, Inc. | 16,900 | (422,500 | ) | |||||||
Southern Co. | 100 | (5,414 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
March 31, 2020
Security Description | Shares | Value | ||||||||||
Spire, Inc. | 1,300 | $ | (96,824 | ) | ||||||||
TerraForm Power, Inc., Class A | 100 | (1,577 | ) | |||||||||
Vistra Energy Corp. | 81,000 | (1,292,760 | ) | |||||||||
|
| |||||||||||
(2,570,582 | ) | |||||||||||
|
| |||||||||||
Waste & Environmental Services & Equipment — (0.0)% |
| |||||||||||
Advanced Disposal Services, Inc. | 10,800 | (354,240 | ) | |||||||||
Aqua Metals, Inc. | 13,700 | (6,168 | ) | |||||||||
Clean Harbors, Inc. | 400 | (20,536 | ) | |||||||||
Energy Recovery, Inc. | 4,000 | (29,760 | ) | |||||||||
Lightbridge Corp. | 290 | (565 | ) | |||||||||
LiqTech International, Inc. | 2,100 | (9,009 | ) | |||||||||
Stericycle, Inc. | 11,000 | (534,380 | ) | |||||||||
|
| |||||||||||
(954,658 | ) | |||||||||||
|
| |||||||||||
Total North America |
| (280,679,420 | ) | |||||||||
|
| |||||||||||
Oceania — (0.0)% |
| |||||||||||
Banking — (0.0)% |
| |||||||||||
Westpac Banking Corp., ADR | 7,000 | (71,750 | ) | |||||||||
|
| |||||||||||
Total Oceania |
| (71,750 | ) | |||||||||
|
| |||||||||||
South America — (0.1)% |
| |||||||||||
Aerospace & Defense — (0.0)% |
| |||||||||||
Embraer SA, ADR | 45,600 | (337,440 | ) | |||||||||
|
| |||||||||||
Asset Management — (0.0)% |
| |||||||||||
XP, Inc., Class A | 3,900 | (75,231 | ) | |||||||||
|
| |||||||||||
Banking — (0.0)% |
| |||||||||||
Banco Bradesco SA, ADR | 31 | (126 | ) | |||||||||
Banco Santander Brasil SA, ADR | 32,100 | (165,957 | ) | |||||||||
Itau CorpBanca, ADR | 200 | (798 | ) | |||||||||
|
| |||||||||||
(166,881 | ) | |||||||||||
|
| |||||||||||
Chemicals — (0.0)% |
| |||||||||||
Braskem SA, ADR | 2,800 | (18,592 | ) | |||||||||
|
| |||||||||||
Consumer Services — (0.0)% |
| |||||||||||
Afya Ltd., Class A | 2,600 | (49,556 | ) | |||||||||
|
| |||||||||||
Engineering & Construction Services — (0.0)% |
| |||||||||||
Corporacion America Airports SA | 4,200 | (7,770 | ) | |||||||||
|
| |||||||||||
Forest & Paper Products — (0.0)% |
| |||||||||||
Suzano de Papel e Celulose, ADR | 5,200 | (35,724 | ) | |||||||||
|
|
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
March 31, 2020
Security Description | Shares | Value | ||||||||||
Media — (0.0)% | ||||||||||||
Liberty Latin America Ltd., Class C | 20,100 | $ | (206,226 | ) | ||||||||
|
| |||||||||||
Metals & Mining — (0.0)% | ||||||||||||
Nexa Resources SA | 3,100 | (10,788 | ) | |||||||||
Southern Copper Corp. | 3,200 | (90,112 | ) | |||||||||
|
| |||||||||||
(100,900 | ) | |||||||||||
|
| |||||||||||
Oil, Gas & Coal — (0.0)% | ||||||||||||
Petroleo Brasileiro SA, ADR | 33,600 | (184,800 | ) | |||||||||
|
| |||||||||||
Retail—Consumer Staples — (0.0)% | ||||||||||||
IRSA Inversiones y Representaciones SA, ADR | 100 | (348 | ) | |||||||||
|
| |||||||||||
Specialty Finance — (0.1)% | ||||||||||||
Pagseguro Digital Ltd., Class A | 64,600 | (1,248,718 | ) | |||||||||
StoneCo Ltd., A Shares | 64,200 | (1,397,634 | ) | |||||||||
|
| |||||||||||
(2,646,352 | ) | |||||||||||
|
| |||||||||||
Technology Services — (0.0)% | ||||||||||||
Globant SA | 1,700 | (149,396 | ) | |||||||||
|
| |||||||||||
Utilities — (0.0)% | ||||||||||||
Central Puerto SA, ADR | 5,100 | (11,475 | ) | |||||||||
Cia de Saneamento Basico do Estado de Sao Paulo, ADR | 25,400 | (187,452 | ) | |||||||||
Cia Paranaense de Energia, ADR | 1,500 | (15,615 | ) | |||||||||
Pampa Energia SA, ADR | 18,200 | (205,660 | ) | |||||||||
|
| |||||||||||
(420,202 | ) | |||||||||||
|
| |||||||||||
Total South America | (4,399,418 | ) | ||||||||||
|
| |||||||||||
TOTAL COMMON STOCK | (318,060,450 | ) | ||||||||||
|
| |||||||||||
EXCHANGE-TRADED FUNDS — (0.2)% | ||||||||||||
Invesco QQQ Trust Series 1 | 200 | (38,080 | ) | |||||||||
iShares MSCI China ETF (c) | 87,286 | (4,997,123 | ) | |||||||||
KraneShares CSI China Internet ETF (c) | 155,775 | (7,051,934 | ) | |||||||||
SPDR S&P 500 ETF Trust | 600 | (154,650 | ) | |||||||||
VanEck Vectors Semiconductor ETF (c) | 4,083 | (478,283 | ) | |||||||||
|
| |||||||||||
TOTAL EXCHANGE-TRADED FUNDS | (12,720,070 | ) | ||||||||||
|
|
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
March 31, 2020
Security Description | Principal Amount | Value | ||||||||||
MORTGAGE-BACKED SECURITIES — (0.4)% |
| |||||||||||
North America — (0.4)% |
| |||||||||||
Collateralized Mortgage Obligation (Residential) — (0.4)% |
| |||||||||||
Federal National Mortgage Association, 3.50%, 04/01/50 (c) | $ | 5,700,000 | $ | (6,023,760 | ) | |||||||
Federal National Mortgage Association, 4.00%, 04/01/50 (c) | 22,500,000 | (23,973,750 | ) | |||||||||
|
| |||||||||||
(29,997,510 | ) | |||||||||||
|
| |||||||||||
TOTAL MORTGAGE-BACKED SECURITIES |
| (29,997,510 | ) | |||||||||
|
| |||||||||||
Security Description | Shares | Value | ||||||||||
RIGHTS — (0.0)% | ||||||||||||
North America — (0.0)% | ||||||||||||
Pharmaceuticals — (0.0)% | ||||||||||||
Flex Pharma, Inc. | 1,000 | 0 | ||||||||||
|
| |||||||||||
0 | ||||||||||||
|
| |||||||||||
WARRANTS — (0.0)% | ||||||||||||
Galectin Therapeutics, Inc. (d) | 1,340 | $ | 0 | |||||||||
|
| |||||||||||
TOTAL SECURITIES SOLD SHORT — (5.5)% |
| $ | (360,778,030 | ) | ||||||||
|
|
Footnote Legend:
(a) | Non-income producing. |
(b) | Security (or a portion thereof) has been pledged to cover collateral requirements on open derivative contracts and/or securities sold short. |
(c) | Security is held by a consolidated wholly-owned subsidiary of Blackstone Alternative Multi-Strategy Fund. |
(d) | Security considered illiquid. |
(e) | Security is exempt from registration pursuant to Regulation S under the Securities Act of 1933, as amended. Security may only be offered or sold outside of the Unites States unless registered under the Securities Act of 1933, as amended, or otherwise exempt from registration. |
(f) | Security is exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. Security may only be sold to qualified institutional buyers unless registered under the Securities Act of 1933, as amended, or otherwise exempt from registration. |
(g) | Variable/Floating interest rate security. Certain variable/floating interest rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities may not indicate a reference rate and spread in their description above. Rate presented is as of March 31, 2020. |
(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. |
(k) | Represents astep-up bond. Coupon rate increases in increments to maturity. Rate presented is as of March 31, 2020. Maturity date presented is the ultimate maturity. |
See Notes to Consolidated Financial Statements.
131
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2020
(l) | Security is restricted per Rule12-12.8 of RegulationS-X. First acquisition dates of Glenview Capital Partners (Cayman), Ltd., GCM Equity Partners LP, GCM Equity Master Fund LP, EJF Debt Opportunities Offshore Fund, Ltd., Aeolus Property Catastrophe Keystone PF Fund LP, PIMCO ILS Fund SP II and Renaissance Institutional Diversified Alpha Fund International L.P. are 6/1/2016, 11/9/2015, 6/1/2018, 9/4/2018, 1/2/2019, 12/30/2019 and 11/27/2019. |
(m) | Assets, other than investments in securities, less liabilities other than securities sold short. |
(o) | Security is valued using significant unobservable inputs. |
(p) | All or a portion of the security represents an unsettled loan commitment at March 31, 2020 where the rate will be determined at time of settlement. |
(r) | Rate disclosed, the 7 day net yield, is as of March 31, 2020. |
(t) | When issued or delayed delivery security included. |
(u) | Non-interest bearing bond. |
(v) | Security is an Interest Only (IO) bond, which represents the “interest only” portion of payments on a pool of underlying mortgages or mortgage-backed securities. IO securities are subject to prepayment risk of the pool of underlying mortgages. |
Options Written Contracts Outstanding at March 31, 2020
Strike | Expiration Date | Contracts | Notional Amount | Premium Received | Market Value | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
Exchange-Traded Put Options Written |
| |||||||||||||||||||||||
S&P 500 Index | 2,690.00 USD | 05/01/20 | 276 | (71,334,684 | ) | $ | (3,766,478 | ) | $ | (5,333,700 | ) | $ | (1,567,222 | ) | ||||||||||
S&P 500 Index | 2,300.00 USD | 06/19/20 | 305 | (78,829,995 | ) | (5,126,062 | ) | (3,376,350 | ) | 1,749,712 | ||||||||||||||
S&P 500 Index | 2,200.00 USD | 07/17/20 | 326 | (84,257,634 | ) | (6,572,689 | ) | (3,471,900 | ) | 3,100,789 | ||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
$ | (15,465,229 | ) | $ | (12,181,950 | ) | $ | 3,283,279 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
Total Options Written Outstanding |
| $ | (15,465,229 | ) | $ | (12,181,950 | ) | $ | 3,283,279 | |||||||||||||||
|
|
|
|
|
|
Reverse Repurchase Agreements Outstanding at March 31, 2020
Counterparty | Interest Rate | Trade Date | Maturity Date | Face Value | Face Value Including Accrued Interest | ||||||||||||||||||||
Barclays Bank plc | 1.40% | 03/19/20 | 04/03/20 | $ | 1,001,875 | $ | 1,002,343 | ||||||||||||||||||
Barclays Bank plc | 2.00% | 03/19/20 | 04/20/20 | 5,200,000 | 5,203,467 | ||||||||||||||||||||
Barclays Bank plc | 2.25% | 03/16/20 | 04/20/20 | 5,102,680 | 5,107,464 | ||||||||||||||||||||
Barclays Bank plc | 2.25% | 03/16/20 | 04/20/20 | 5,343,307 | 5,348,316 | ||||||||||||||||||||
Barclays Bank plc | 2.25% | 03/19/20 | 04/03/20 | 3,350,000 | 3,352,513 | ||||||||||||||||||||
Barclays Bank plc | 2.50% | 03/19/20 | 04/20/20 | 5,712,500 | 5,715,674 | ||||||||||||||||||||
Barclays Bank plc | 2.50% | 03/19/20 | 04/03/20 | 2,164,000 | 2,165,803 | ||||||||||||||||||||
Barclays Bank plc | 2.50% | 03/19/20 | 04/20/20 | 272,938 | 273,090 | ||||||||||||||||||||
Barclays Bank plc | 2.50% | 03/19/20 | 04/03/20 | 2,112,500 | 2,114,260 | ||||||||||||||||||||
Barclays Bank plc | 2.50% | 03/19/20 | 04/20/20 | 1,788,750 | 1,789,744 | ||||||||||||||||||||
Barclays Bank plc | 2.50% | 03/19/20 | 04/20/20 | 7,477,125 | 7,481,280 | ||||||||||||||||||||
Barclays Bank plc | 2.50% | 03/19/20 | 04/20/20 | 731,500 | 731,906 |
See Notes to Consolidated Financial Statements.
132
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Consolidated Schedule of Investments (Continued)
March 31, 2020
Counterparty | Interest Rate | Trade Date | Maturity Date | Face Value | Face Value Including Accrued Interest | ||||||||||||||||||||
BNP Paribas S.A. | 0.44% | 03/12/20 | 04/14/20 | $ | 50,082,646 | $ | 50,093,775 | ||||||||||||||||||
BNP Paribas Securities Corp. | 1.75% | 03/06/20 | 04/06/20 | 3,686,000 | 3,690,659 | ||||||||||||||||||||
BNP Paribas Securities Corp. | 1.75% | 03/06/20 | 04/06/20 | 3,670,000 | 3,674,638 | ||||||||||||||||||||
BNP Paribas Securities Corp. | 1.75% | 03/06/20 | 04/06/20 | 3,103,000 | 3,106,922 | ||||||||||||||||||||
BNP Paribas Securities Corp. | 1.85% | 03/06/20 | 04/06/20 | 14,059,000 | 14,077,784 | ||||||||||||||||||||
BNP Paribas Securities Corp. | 1.85% | 03/06/20 | 04/06/20 | 8,336,000 | 8,347,138 | ||||||||||||||||||||
BNP Paribas Securities Corp. | 1.85% | 03/06/20 | 04/06/20 | 7,453,000 | 7,462,958 | ||||||||||||||||||||
BNP Paribas Securities Corp. | 1.85% | 03/06/20 | 04/06/20 | 6,251,000 | 6,259,352 | ||||||||||||||||||||
BNP Paribas Securities Corp. | 1.85% | 03/06/20 | 04/06/20 | 11,945,000 | 11,960,960 | ||||||||||||||||||||
BNP Paribas Securities Corp. | 1.85% | 03/06/20 | 04/06/20 | 2,304,000 | 2,307,078 | ||||||||||||||||||||
BNP Paribas Securities Corp. | 2.00% | 03/06/20 | 04/06/20 | 7,210,000 | 7,220,414 | ||||||||||||||||||||
BNP Paribas Securities Corp. | 2.00% | 03/06/20 | 04/06/20 | 6,619,000 | 6,628,561 | ||||||||||||||||||||
BNP Paribas Securities Corp. | 2.00% | 03/06/20 | 04/06/20 | 7,161,000 | 7,171,344 | ||||||||||||||||||||
BNP Paribas Securities Corp. | 2.00% | 03/06/20 | 04/06/20 | 9,928,000 | 9,942,340 | ||||||||||||||||||||
BNP Paribas Securities Corp. | 2.00% | 03/06/20 | 04/06/20 | 322,000 | 322,465 | ||||||||||||||||||||
BNP Paribas Securities Corp. | 2.05% | 03/16/20 | 04/14/20 | 1,180,000 | 1,181,075 | ||||||||||||||||||||
BNP Paribas Securities Corp. | 2.12% | 03/20/20 | 04/20/20 | 1,430,000 | 1,431,009 | ||||||||||||||||||||
Citigroup Global Markets, Inc. | 0.35% | 03/12/20 | 04/14/20 | 25,537,296 | 25,532,611 | ||||||||||||||||||||
Citigroup Global Markets, Inc. | 0.35% | 03/12/20 | 04/14/20 | 22,249,236 | 22,245,154 | ||||||||||||||||||||
Citigroup Global Markets, Inc. | 0.35% | 03/12/20 | 04/14/20 | 13,153,627 | 13,151,214 | ||||||||||||||||||||
Citigroup Global Markets, Inc. | 0.46% | 03/03/20 | 04/06/20 | 29,882,437 | 29,872,104 | ||||||||||||||||||||
Goldman Sachs Bank USA | 1.71% | 03/10/20 | 06/11/20 | 1,923,000 | 1,923,000 | ||||||||||||||||||||
Goldman Sachs Bank USA | 1.71% | 03/10/20 | 06/11/20 | 20,191,000 | 20,191,000 | ||||||||||||||||||||
Goldman Sachs Bank USA | 1.71% | 03/10/20 | 06/11/20 | 6,896,000 | 6,896,000 | ||||||||||||||||||||
Goldman Sachs Bank USA | 1.71% | 03/10/20 | 06/11/20 | 17,049,000 | 17,049,000 | ||||||||||||||||||||
Goldman Sachs Bank USA | 1.71% | 03/10/20 | 06/11/20 | 1,109,000 | 1,109,000 | ||||||||||||||||||||
Goldman Sachs Bank USA | 1.71% | 03/10/20 | 06/11/20 | 1,935,000 | 1,935,000 | ||||||||||||||||||||
Goldman Sachs Bank USA | 1.71% | 03/10/20 | 06/11/20 | 4,571,000 | 4,571,000 | ||||||||||||||||||||
Goldman Sachs Bank USA | 1.71% | 03/10/20 | 06/11/20 | 8,680,000 | 8,680,000 | ||||||||||||||||||||
Goldman Sachs Bank USA | 1.71% | 03/10/20 | 06/11/20 | 13,244,000 | 13,244,000 | ||||||||||||||||||||
Goldman Sachs Bank USA | 1.81% | 03/10/20 | 06/11/20 | 7,414,000 | 7,414,000 | ||||||||||||||||||||
Goldman Sachs Bank USA | 1.81% | 03/09/20 | 06/08/20 | 1,095,000 | 1,095,000 | ||||||||||||||||||||
Goldman Sachs Bank USA | 1.81% | 03/09/20 | 06/08/20 | 9,525,000 | 9,525,000 | ||||||||||||||||||||
Goldman Sachs Bank USA | 1.86% | 03/09/20 | 06/08/20 | 10,092,000 | 10,092,000 | ||||||||||||||||||||
Goldman Sachs Bank USA | 1.86% | 03/09/20 | 06/08/20 | 1,076,000 | 1,076,000 | ||||||||||||||||||||
Goldman Sachs Bank USA | 1.86% | 03/09/20 | 06/08/20 | 9,590,000 | 9,590,000 | ||||||||||||||||||||
Goldman Sachs Bank USA | 1.86% | 03/09/20 | 06/08/20 | 6,481,000 | 6,481,000 | ||||||||||||||||||||
Goldman Sachs Bank USA | 1.91% | 03/09/20 | 06/08/20 | 1,375,000 | 1,375,000 | ||||||||||||||||||||
Goldman Sachs Bank USA | 1.91% | 03/09/20 | 06/08/20 | 716,000 | 716,000 | ||||||||||||||||||||
Goldman Sachs Bank USA | 1.91% | 03/09/20 | 06/08/20 | 1,236,000 | 1,236,000 | ||||||||||||||||||||
Goldman Sachs Bank USA | 1.91% | 03/09/20 | 06/08/20 | 736,000 | 736,000 | ||||||||||||||||||||
Goldman Sachs Bank USA | 1.96% | 03/09/20 | 06/08/20 | 731,000 | 731,000 | ||||||||||||||||||||
Goldman Sachs Bank USA | 1.96% | 03/09/20 | 06/08/20 | 1,034,000 | 1,034,000 | ||||||||||||||||||||
Goldman Sachs Bank USA | 1.96% | 03/09/20 | 06/08/20 | 767,000 | 767,000 |
See Notes to Consolidated Financial Statements.
133
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Consolidated Schedule of Investments (Continued)
March 31, 2020
Counterparty | Interest Rate | Trade Date | Maturity Date | Face Value | Face Value Including Accrued Interest | ||||||||||||||||||||
Goldman Sachs Bank USA | 2.48% | 02/27/20 | 05/22/20 | $ | 6,154,000 | $ | 6,154,000 | ||||||||||||||||||
Goldman Sachs Bank USA | 2.48% | 03/20/20 | 05/22/20 | 12,528,000 | 12,528,000 | ||||||||||||||||||||
Goldman Sachs Bank USA | 2.58% | 02/24/20 | 05/22/20 | 3,371,000 | 3,371,000 | ||||||||||||||||||||
Goldman Sachs International | 0.38% | 02/03/20 | 05/05/20 | 35,738,418 | 35,717,376 | ||||||||||||||||||||
Goldman Sachs International | 0.42% | 02/03/20 | 05/05/20 | 36,055,562 | 36,032,099 | ||||||||||||||||||||
Goldman Sachs International | 0.87% | 02/03/20 | 05/04/20 | 34,930,714 | 34,979,035 | ||||||||||||||||||||
HSBC Bank PLC | 0.66% | 10/31/19 | 06/03/20 | 27,520,114 | 27,586,584 | ||||||||||||||||||||
HSBC Bank PLC | 3.49% | 02/18/20 | 05/19/20 | 5,928,572 | 5,952,731 | ||||||||||||||||||||
HSBC Bank PLC | 3.49% | 02/18/20 | 11/19/20 | 5,928,572 | 5,952,731 | ||||||||||||||||||||
HSBC Bank PLC | 3.49% | 02/18/20 | 05/19/21 | 5,928,571 | 5,952,730 | ||||||||||||||||||||
HSBC Bank PLC | 3.49% | 02/18/20 | 11/19/21 | 5,928,571 | 5,952,730 | ||||||||||||||||||||
HSBC Bank PLC | 3.49% | 02/18/20 | 05/19/22 | 5,928,571 | 5,952,730 | ||||||||||||||||||||
HSBC Bank PLC | 3.49% | 02/18/20 | 11/21/22 | 5,928,571 | 5,952,730 | ||||||||||||||||||||
HSBC Bank PLC | 3.49% | 02/18/20 | 05/18/23 | 5,928,571 | 5,952,730 | ||||||||||||||||||||
JPMorgan Chase Bank, N.A. | 1.20% | 03/04/20 | 04/06/20 | 1,558,434 | 1,559,837 | ||||||||||||||||||||
JPMorgan Chase Bank, N.A. | 1.25% | 03/04/20 | 04/06/20 | 20,753,811 | 20,773,268 | ||||||||||||||||||||
JPMorgan Chase Bank, N.A. | 1.30% | 03/04/20 | 04/06/20 | 14,639,050 | 14,653,323 | ||||||||||||||||||||
JPMorgan Chase Bank, N.A. | 1.35% | 03/04/20 | 04/06/20 | 4,590,006 | 4,594,653 | ||||||||||||||||||||
JPMorgan Chase Bank, N.A. | 1.40% | 03/04/20 | 04/06/20 | 9,254,573 | 9,264,290 | ||||||||||||||||||||
JPMorgan Chase Bank, N.A. | 1.50% | 03/04/20 | 04/06/20 | 8,482,889 | 8,492,432 | ||||||||||||||||||||
JPMorgan Chase Bank, N.A. | 1.55% | 03/04/20 | 04/06/20 | 24,335,208 | 24,363,498 | ||||||||||||||||||||
JPMorgan Chase Bank, N.A. | 1.60% | 03/04/20 | 04/06/20 | 9,791,775 | 9,803,525 | ||||||||||||||||||||
JPMorgan Chase Bank, N.A. | 1.60% | 03/04/20 | 04/06/20 | 14,008,340 | 14,025,150 | ||||||||||||||||||||
JPMorgan Chase Bank, N.A. | 1.60% | 03/04/20 | 04/06/20 | 8,913,667 | 8,923,967 | ||||||||||||||||||||
JPMorgan Chase Bank, N.A. | 2.15% | 03/13/20 | 04/06/20 | 6,448,708 | 6,454,870 | ||||||||||||||||||||
JPMorgan Chase Bank, N.A. | 2.17% | 03/06/20 | 04/03/20 | 3,775,000 | 3,780,905 | ||||||||||||||||||||
JPMorgan Chase Bank, N.A. | 2.22% | 03/30/20 | 04/03/20 | 2,171,230 | 2,171,230 | ||||||||||||||||||||
JPMorgan Chase Bank, N.A. | 2.60% | 03/25/20 | 04/22/20 | 9,853,261 | 9,856,819 | ||||||||||||||||||||
JPMorgan Chase Bank, N.A. | 2.60% | 03/25/20 | 04/22/20 | 10,668,920 | 10,672,773 | ||||||||||||||||||||
JPMorgan Chase Bank, N.A. | 2.60% | 03/25/20 | 04/22/20 | 11,451,971 | 11,456,106 | ||||||||||||||||||||
JPMorgan Chase Bank, N.A. | 2.75% | 03/25/20 | 04/22/20 | 4,231,615 | 4,233,231 | ||||||||||||||||||||
JPMorgan Chase Bank, N.A. | 2.75% | 03/25/20 | 04/22/20 | 4,593,267 | 4,595,021 | ||||||||||||||||||||
JPMorgan Chase Bank, N.A. | 2.75% | 03/25/20 | 04/22/20 | 6,000,435 | 6,002,727 | ||||||||||||||||||||
JPMorgan Chase Bank, N.A. | 2.75% | 03/26/20 | 04/22/20 | 952,200 | 952,564 | ||||||||||||||||||||
JPMorgan Chase Bank, N.A. | 2.75% | 03/25/20 | 04/22/20 | 2,275,652 | 2,276,521 | ||||||||||||||||||||
JPMorgan Chase Bank, N.A. | 2.75% | 03/25/20 | 04/22/20 | 7,373,430 | 7,376,246 | ||||||||||||||||||||
JPMorgan Chase Bank, N.A. | 2.75% | 03/25/20 | 04/22/20 | 2,065,630 | 2,066,419 | ||||||||||||||||||||
JPMorgan Chase Bank, N.A. | 2.75% | 03/25/20 | 04/22/20 | 50,772,491 | 50,791,883 | ||||||||||||||||||||
JPMorgan Chase Bank, N.A. | 2.75% | 03/26/20 | 04/22/20 | 2,006,374 | 2,007,140 | ||||||||||||||||||||
JPMorgan Chase Bank, N.A. | 2.75% | 03/26/20 | 04/22/20 | 7,858,726 | 7,861,728 | ||||||||||||||||||||
JPMorgan Chase Bank, N.A. | 4.00% | 03/27/20 | 04/24/20 | 4,336,000 | 4,338,409 | ||||||||||||||||||||
JPMorgan Chase Bank, N.A. | 4.00% | 03/27/20 | 04/24/20 | 2,911,000 | 2,912,617 | ||||||||||||||||||||
JPMorgan Chase Bank, N.A. | 4.00% | 03/27/20 | 04/24/20 | 7,779,000 | 7,783,322 | ||||||||||||||||||||
JPMorgan Chase Bank, N.A. | 4.00% | 03/27/20 | 04/24/20 | 2,682,000 | 2,683,490 |
See Notes to Consolidated Financial Statements.
134
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2020
Counterparty | Interest Rate | Trade Date | Maturity Date | Face Value | Face Value Including Accrued Interest | ||||||||||||||||||||
JPMorgan Chase Bank, N.A. | 4.50% | 03/20/20 | 06/17/20 | $ | 2,057,000 | $ | 2,060,086 | ||||||||||||||||||
JPMorgan Chase Bank, N.A. | 4.50% | 03/20/20 | 06/17/20 | 1,442,000 | 1,444,163 | ||||||||||||||||||||
JPMorgan Chase Bank, N.A. | 4.50% | 03/20/20 | 06/17/20 | 3,329,000 | 3,333,994 | ||||||||||||||||||||
JPMorgan Chase Bank, N.A. | 4.50% | 03/20/20 | 06/17/20 | 3,853,000 | 3,858,780 | ||||||||||||||||||||
JPMorgan Chase Bank, N.A. | 4.50% | 03/20/20 | 06/17/20 | 1,538,000 | 1,540,307 | ||||||||||||||||||||
JPMorgan Chase Bank, N.A. | 4.50% | 03/20/20 | 06/17/20 | 6,277,000 | 6,286,416 | ||||||||||||||||||||
JPMorgan Chase Bank, N.A. | 4.50% | 03/20/20 | 06/17/20 | 5,040,000 | 5,047,560 | ||||||||||||||||||||
JPMorgan Chase Bank, N.A. | 4.50% | 03/20/20 | 06/17/20 | 3,196,000 | 3,200,794 | ||||||||||||||||||||
JPMorgan Chase Bank, N.A. | 4.50% | 03/20/20 | 06/17/20 | 3,669,000 | 3,674,504 | ||||||||||||||||||||
Merrill Lynch, Pierce, Fenner & Smith, Inc. | 2.69% | 03/31/20 | 06/29/20 | 1,588,000 | 1,588,000 | ||||||||||||||||||||
RBC (Barbados) Trading Bank Corporation | 1.95% | 03/19/20 | 04/20/20 | 9,396,000 | 9,402,616 | ||||||||||||||||||||
RBC (Barbados) Trading Bank Corporation | 2.22% | 03/06/20 | 04/03/20 | 852,000 | 853,364 | ||||||||||||||||||||
RBC (Barbados) Trading Bank Corporation | 2.27% | 03/06/20 | 04/03/20 | 1,432,000 | 1,434,344 | ||||||||||||||||||||
RBC (Barbados) Trading Bank Corporation | 2.27% | 03/06/20 | 04/03/20 | 436,000 | 436,714 | ||||||||||||||||||||
RBC (Barbados) Trading Bank Corporation | 2.27% | 03/06/20 | 04/03/20 | 4,833,000 | 4,840,910 | ||||||||||||||||||||
RBC (Barbados) Trading Bank Corporation | 2.27% | 03/06/20 | 04/03/20 | 2,448,000 | 2,452,007 | ||||||||||||||||||||
RBC (Barbados) Trading Bank Corporation | 2.27% | 03/06/20 | 04/03/20 | 1,784,000 | 1,786,920 | ||||||||||||||||||||
RBC (Barbados) Trading Bank Corporation | 2.56% | 03/04/20 | 04/03/20 | 2,007,000 | 2,010,990 | ||||||||||||||||||||
RBC (Barbados) Trading Bank Corporation | 4.05% | 03/19/20 | 06/19/20 | 1,248,000 | 1,249,826 | ||||||||||||||||||||
Royal Bank of Canada | 1.77% | 01/09/20 | 04/14/20 | 9,550,625 | 9,587,252 | ||||||||||||||||||||
Royal Bank of Canada | 1.77% | 01/09/20 | 04/14/20 | 35,705,625 | 35,842,556 | ||||||||||||||||||||
Royal Bank of Canada | 1.77% | 01/09/20 | 04/14/20 | 18,225,000 | 18,294,893 | ||||||||||||||||||||
Royal Bank of Canada | 1.77% | 01/09/20 | 04/14/20 | 19,383,000 | 19,457,334 | ||||||||||||||||||||
Royal Bank of Canada | 1.77% | 01/09/20 | 04/14/20 | 13,715,000 | 13,767,597 | ||||||||||||||||||||
Royal Bank of Canada | 1.77% | 01/09/20 | 04/14/20 | 30,150,000 | 30,265,625 | ||||||||||||||||||||
Royal Bank of Canada | 1.77% | 01/09/20 | 04/14/20 | 10,480,625 | 10,520,818 | ||||||||||||||||||||
Royal Bank of Canada | 1.77% | 02/20/20 | 05/21/20 | 23,517,500 | 23,563,751 | ||||||||||||||||||||
Royal Bank of Canada | 2.15% | 03/04/20 | 06/04/20 | 5,953,000 | 5,962,972 | ||||||||||||||||||||
Royal Bank of Canada | 2.15% | 03/04/20 | 06/04/20 | 6,559,000 | 6,569,987 | ||||||||||||||||||||
Royal Bank of Canada | 2.20% | 03/04/20 | 06/04/20 | 2,878,000 | 2,882,933 | ||||||||||||||||||||
Royal Bank of Canada | 2.40% | 03/04/20 | 06/04/20 | 6,378,000 | 6,389,924 | ||||||||||||||||||||
Royal Bank of Canada | 2.40% | 03/04/20 | 06/04/20 | 1,109,000 | 1,111,073 | ||||||||||||||||||||
Royal Bank of Canada | 2.40% | 03/04/20 | 06/04/20 | 1,952,000 | 1,955,649 | ||||||||||||||||||||
Royal Bank of Canada | 2.40% | 03/04/20 | 06/04/20 | 6,202,000 | 6,213,595 |
See Notes to Consolidated Financial Statements.
135
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2020
Counterparty | Interest Rate | Trade Date | Maturity Date | Face Value | Face Value Including Accrued Interest | ||||||||||||||||||||
Royal Bank of Canada | 3.01% | 01/03/20 | 04/03/20 | $ | 7,411,000 | $ | 7,466,119 | ||||||||||||||||||
Royal Bank of Canada | 3.06% | 01/03/20 | 04/03/20 | 2,735,000 | 2,755,679 | ||||||||||||||||||||
Royal Bank of Canada | 3.16% | 01/03/20 | 04/03/20 | 4,519,000 | 4,554,286 | ||||||||||||||||||||
Royal Bank of Canada | 4.05% | 03/19/20 | 06/19/20 | 5,572,000 | 5,580,153 | ||||||||||||||||||||
Royal Bank of Canada | 4.05% | 03/19/20 | 06/19/20 | 3,642,000 | 3,647,329 | ||||||||||||||||||||
Royal Bank of Canada | 4.05% | 03/19/20 | 06/19/20 | 6,886,000 | 6,896,076 | ||||||||||||||||||||
Royal Bank of Canada | 4.05% | 03/19/20 | 06/19/20 | 4,611,000 | 4,617,747 | ||||||||||||||||||||
Royal Bank of Canada | 4.05% | 03/19/20 | 06/19/20 | 1,516,000 | 1,518,218 | ||||||||||||||||||||
Royal Bank of Canada | 4.05% | 03/19/20 | 06/19/20 | 1,427,000 | 1,429,088 | ||||||||||||||||||||
Royal Bank of Canada | 4.05% | 03/19/20 | 06/19/20 | 6,349,000 | 6,358,290 | ||||||||||||||||||||
Royal Bank of Canada | 4.05% | 03/19/20 | 06/19/20 | 3,531,000 | 3,536,167 | ||||||||||||||||||||
|
|
|
| ||||||||||||||||||||||
Total Reverse Repurchase Agreements Outstanding |
| $ | 1,164,000,262 | $ | 1,165,443,991 | ||||||||||||||||||||
|
|
|
|
Futures Contracts Outstanding at March 31, 2020
Description | Contracts | Exchange | Notional Amount | Expiration Date | Value/ Unrealized Appreciaton (Depreciation) | ||||||||||||||||||||
Long Futures | |||||||||||||||||||||||||
90 Day Eurodollar | 1 | CME | 248,328 USD | 03/13/23 | $ | 422 | |||||||||||||||||||
90 Day Eurodollar | 8 | CME | 1,985,921 USD | 06/19/23 | 3,479 | ||||||||||||||||||||
90 Day Eurodollar | 14 | CME | 3,474,862 USD | 09/18/23 | 5,538 | ||||||||||||||||||||
90 Day Eurodollar | 4 | CME | 992,555 USD | 12/18/23 | 1,395 | ||||||||||||||||||||
90 Day Eurodollar | 5 | CME | 1,240,076 USD | 03/18/24 | 1,987 | ||||||||||||||||||||
90 Day Eurodollar | 1 | CME | 247,819 USD | 09/16/24 | 381 | ||||||||||||||||||||
90 Day Eurodollar | 4 | CME | 990,860 USD | 12/16/24 | 1,539 | ||||||||||||||||||||
Aluminum | 102 | LME | 4,457,354 USD | 06/17/20 | (574,979 | ) | |||||||||||||||||||
Amsterdam Index | 23 | Euronext | 1,874,786 EUR | 04/17/20 | 381,098 | ||||||||||||||||||||
Australian10-Year Bond | 226 | SFE | 33,471,497 AUD | 06/15/20 | 348,477 | ||||||||||||||||||||
Australian dollar Currency | 36 | CME | 2,155,946 USD | 06/15/20 | 55,534 | ||||||||||||||||||||
Brent Crude | 81 | ICE | 2,551,781 USD | 04/30/20 | (417,431 | ) | |||||||||||||||||||
British Pound Currency | 155 | CME | 12,020,455 USD | 06/15/20 | 46,295 | ||||||||||||||||||||
CAC40 Index | 3 | Euronext | 111,355 EUR | 04/17/20 | 22,604 | ||||||||||||||||||||
Canadian10-Year Bond | 215 | CDE | 30,433,893 CAD | 06/19/20 | 853,554 | ||||||||||||||||||||
Copper | 23 | COMEX | 1,468,032 USD | 05/27/20 | (186,932 | ) | |||||||||||||||||||
Crude Palm Oil | 62 | MYX | 3,445,374 MYR | 06/15/20 | 64,288 | ||||||||||||||||||||
DAX Index | 7 | Eurex | 1,463,100 EUR | 06/19/20 | 298,569 | ||||||||||||||||||||
E-mini Russell 2000 | 134 | CME | 7,404,191 USD | 06/19/20 | 284,729 | ||||||||||||||||||||
Euro FX Currency | 157 | CME | 21,264,304 USD | 06/15/20 | 420,340 | ||||||||||||||||||||
Euro Stoxx 50 | 26 | Eurex | 601,680 EUR | 06/19/20 | 124,120 | ||||||||||||||||||||
Euro-Bund | 302 | Eurex | 52,728,118 EUR | 06/08/20 | (694,935 | ) | |||||||||||||||||||
FTSE 100 Index | 26 | ICE | 1,299,888 GBP | 06/19/20 | 205,371 | ||||||||||||||||||||
FTSE/MIB Index | 20 | IDEM | 1,495,899 EUR | 06/19/20 | 216,721 |
See Notes to Consolidated Financial Statements.
136
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2020
Description | Contracts | Exchange | Notional Amount | Expiration Date | Value/ Unrealized Appreciaton (Depreciation) | ||||||||||||||||||||
Gasoline RBOB | 32 | NYMEX | 1,145,840 USD | 04/30/20 | $ | (349,251 | ) | ||||||||||||||||||
Gold 100 Oz | 40 | COMEX | 6,615,823 USD | 06/26/20 | (229,423 | ) | |||||||||||||||||||
Hang Seng China Enterprises Index | 44 | HKFE | 20,892,204 HKD | 04/28/20 | 39,031 | ||||||||||||||||||||
KOSPI 200 Index | 41 | KRX FM | 2,702,832,750 KRW | 06/11/20 | (233,156 | ) | |||||||||||||||||||
Long Gilt | 106 | ICE | 14,254,954 GBP | 06/26/20 | 225,051 | ||||||||||||||||||||
MSCI Singapore Index | 74 | SGX | 2,078,757 SGD | 04/29/20 | 2,535 | ||||||||||||||||||||
MSCI Taiwan Index | 91 | SGX | 3,387,911 USD | 04/29/20 | (11,811 | ) | |||||||||||||||||||
Natural Gas | 85 | NYMEX | 1,440,702 USD | 04/28/20 | (46,702 | ) | |||||||||||||||||||
New Zealand Dollar Currency | 257 | CME | 15,106,646 USD | 06/15/20 | 182,284 | ||||||||||||||||||||
Nickel | 66 | LME | 5,196,317 USD | 06/15/20 | (650,435 | ) | |||||||||||||||||||
NY Harbor ULSD | 54 | NYMEX | 2,609,782 USD | 04/30/20 | (338,380 | ) | |||||||||||||||||||
OMXS30 Index | 112 | Nasdaq OMX | 14,878,637 SEK | 04/17/20 | 171,580 | ||||||||||||||||||||
S&P/TSX 60 Index | 30 | CDE | 4,405,711 CAD | 06/18/20 | 340,715 | ||||||||||||||||||||
Silver | 16 | COMEX | 1,447,229 USD | 05/27/20 | (314,749 | ) | |||||||||||||||||||
SPI 200 | 59 | SFE | 7,502,589 AUD | 06/18/20 | 20,413 | ||||||||||||||||||||
Swiss Franc Currency | 29 | CME | 3,709,126 USD | 06/15/20 | 67,036 | ||||||||||||||||||||
Swiss Market Index | 71 | Eurex | 5,840,621 CHF | 06/19/20 | 655,614 | ||||||||||||||||||||
TOPIX Index | 161 | OSE | 2,162,598,690 JPY | 06/11/20 | 894,967 | ||||||||||||||||||||
U.S. Treasury10-Year Note | 84 | CBOT | 11,540,630 USD | 06/19/20 | 109,120 | ||||||||||||||||||||
U.S. Treasury5-Year Note | 1,210 | CBOT | 151,670,182 USD | 06/30/20 | 14,662 | ||||||||||||||||||||
WTI Crude | 92 | NYMEX | 2,976,542 USD | 04/21/20 | (1,092,382 | ) | |||||||||||||||||||
WTI Crude | 12 | NYMEX | 636,066 USD | 05/19/20 | (341,946 | ) | |||||||||||||||||||
WTI Crude | 6 | NYMEX | 304,733 USD | 11/20/20 | (103,253 | ) | |||||||||||||||||||
WTI Crude | 135 | NYMEX | 6,867,355 USD | 11/19/21 | (1,753,555 | ) | |||||||||||||||||||
Zinc | 65 | LME | 3,575,247 USD | 06/15/20 | (480,028 | ) | |||||||||||||||||||
|
| ||||||||||||||||||||||||
$ | (1,759,899 | ) | |||||||||||||||||||||||
|
| ||||||||||||||||||||||||
Short Futures | |||||||||||||||||||||||||
90 Day Eurodollar | 36 | CME | 8,944,406 USD | 06/15/20 | $ | (8,344 | ) | ||||||||||||||||||
90 Day Eurodollar | 28 | CME | 6,973,977 USD | 09/14/20 | (1,173 | ) | |||||||||||||||||||
90 Day Eurodollar | 37 | CME | 9,192,103 USD | 12/14/20 | (26,447 | ) | |||||||||||||||||||
90 Day Eurodollar | 17 | CME | 4,231,505 USD | 03/15/21 | (6,382 | ) | |||||||||||||||||||
90 Day Eurodollar | 18 | CME | 4,476,490 USD | 06/14/21 | (10,460 | ) | |||||||||||||||||||
90 Day Eurodollar | 12 | CME | 2,986,619 USD | 09/13/21 | (4,232 | ) | |||||||||||||||||||
90 Day Eurodollar | 10 | CME | 2,487,599 USD | 12/13/21 | (4,276 | ) | |||||||||||||||||||
90 Day Eurodollar | 8 | CME | 1,988,367 USD | 03/14/22 | (4,734 | ) | |||||||||||||||||||
90 Day Eurodollar | 12 | CME | 2,981,200 USD | 06/13/22 | (7,250 | ) | |||||||||||||||||||
90 Day Eurodollar | 6 | CME | 1,489,372 USD | 09/19/22 | (4,328 | ) | |||||||||||||||||||
90 Day Eurodollar | 2 | CME | 495,770 USD | 12/19/22 | (1,880 | ) | |||||||||||||||||||
Aluminum | 71 | LME | 2,873,955 USD | 06/17/20 | 171,518 | ||||||||||||||||||||
Canadian Dollar Currency | 39 | CME | 2,800,427 USD | 06/16/20 | 29,672 | ||||||||||||||||||||
Gasoline RBOB | 8 | NYMEX | 574,537 USD | 05/29/20 | 353,113 | ||||||||||||||||||||
Gasoline RBOB | 4 | NYMEX | 248,629 USD | 11/30/20 | 117,101 |
See Notes to Consolidated Financial Statements.
137
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2020
Description | Contracts | Exchange | Notional Amount | Expiration Date | Value/ Unrealized Appreciaton (Depreciation) | ||||||||||||||||||||
Japanese Yen Currency | 65 | CME | 7,463,444 USD | 06/15/20 | $ | (108,650 | ) | ||||||||||||||||||
Long Gilt | 1 | ICE | 136,859 GBP | 06/26/20 | 831 | ||||||||||||||||||||
MSCI Emerging Market | 46 | ICE | 1,850,022 USD | 06/19/20 | (88,648 | ) | |||||||||||||||||||
Nickel | 49 | LME | 3,381,252 USD | 06/15/20 | 6,279 | ||||||||||||||||||||
NY Harbor ULSD | 4 | NYMEX | 307,429 USD | 05/29/20 | 136,472 | ||||||||||||||||||||
NY Harbor ULSD | 2 | NYMEX | 157,914 USD | 11/30/20 | 59,391 | ||||||||||||||||||||
S&P 500E-mini | 2,035 | CME | 252,348,272 USD | 06/19/20 | (9,118,570 | ) | |||||||||||||||||||
Zinc | 50 | LME | 2,376,310 USD | 06/15/20 | (4,628 | ) | |||||||||||||||||||
|
| ||||||||||||||||||||||||
$ | (8,525,625 | ) | |||||||||||||||||||||||
|
| ||||||||||||||||||||||||
Total Futures Contracts Outstanding | $ | (10,285,524 | ) | ||||||||||||||||||||||
|
|
Forward Foreign Currency Exchange Contracts Outstanding at March 31, 2020
Currency | Amount in | Currency | Amount in | Counterparty | Settlement | Unrealized | ||||||||||||||
CAD | 59,338 | USD | 40,847 | Morgan Stanley & Co. LLC | 06/17/20 | $ | 1,348 | |||||||||||||
CHF | 25,000 | USD | 26,748 | State Street Bank and Trust Company | 06/15/20 | (676 | ) | |||||||||||||
CHF | 9,038,314 | USD | 9,526,556 | Morgan Stanley & Co. LLC | 06/17/20 | (102,024 | ) | |||||||||||||
CNH | 142,100,000 | USD | 20,300,000 | Citibank N.A. | 02/03/21 | (381,805 | ) | |||||||||||||
DKK | 72,116,941 | USD | 10,405,929 | Morgan Stanley & Co. LLC | 06/17/20 | 277,690 | ||||||||||||||
EUR | 5,115,973 | HUF | 1,745,467,727 | Bank of America, N.A. | 06/17/20 | 309,566 | ||||||||||||||
EUR | 4,800,000 | USD | 5,421,744 | Morgan Stanley & Co. LLC | 04/20/20 | (124,365 | ) | |||||||||||||
EUR | 33,100,000 | USD | 36,484,414 | State Street Bank and Trust Company | 06/15/20 | 119,995 | ||||||||||||||
EUR | 7,689,134 | USD | 8,631,639 | Morgan Stanley & Co. LLC | 06/17/20 | (126,656 | ) | |||||||||||||
EUR | 424,920 | USD | 468,544 | JPMorgan Chase Bank, N.A. | 06/17/20 | 1,398 | ||||||||||||||
GBP | 34,700,000 | USD | 41,660,320 | State Street Bank and Trust Company | 06/15/20 | 1,489,253 | ||||||||||||||
HKD | 65,500,000 | USD | 8,438,105 | State Street Bank and Trust Company | 06/15/20 | 9,596 | ||||||||||||||
HUF | 738,009,432 | EUR | 2,184,365 | Morgan Stanley Capital Services, Inc. | 06/17/20 | (154,397 | ) | |||||||||||||
HUF | 1,007,458,295 | EUR | 2,982,764 | JPMorgan Chase Bank, N.A. | 06/17/20 | (211,744 | ) | |||||||||||||
IDR | 282,247,614,350 | USD | 17,803,202 | Deutsche Bank AG | 06/17/20 | (695,730 | ) | |||||||||||||
IDR | 188,800,494,925 | USD | 12,735,278 | Bank of America, N.A. | 06/17/20 | (1,291,783 | ) | |||||||||||||
INR | 1,507,612,500 | USD | 20,250,000 | JPMorgan Chase Bank, N.A. | 01/04/21 | (892,785 | ) | |||||||||||||
INR | 1,686,598,200 | USD | 22,679,085 | JPMorgan Chase Bank, N.A. | 01/06/21 | (1,028,262 | ) | |||||||||||||
JPY | 2,000,000,000 | USD | 17,957,582 | State Street Bank and Trust Company | 05/26/20 | 691,388 | ||||||||||||||
JPY | 1,221,000,000 | USD | 11,684,099 | State Street Bank and Trust Company | 06/15/20 | (289,698 | ) | |||||||||||||
MXN | 42,961,207 | USD | 2,196,605 | Barclays Bank plc | 06/17/20 | (404,905 | ) | |||||||||||||
NOK | 52,266,666 | USD | 5,299,969 | State Street Bank and Trust Company | 06/15/20 | (269,827 | ) | |||||||||||||
NZD | 8,800,000 | USD | 5,249,068 | State Street Bank and Trust Company | 06/15/20 | (1,798 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
March 31, 2020
Currency | Amount in | Currency | Amount in | Counterparty | Settlement | Unrealized | ||||||||||||||
RUB | 1,151,972,353 | USD | 15,536,426 | JPMorgan Chase Bank, N.A. | 06/17/20 | $ | (951,913 | ) | ||||||||||||
RUB | 516,420,000 | USD | 6,477,110 | HSBC Bank plc | 06/17/20 | 61,010 | ||||||||||||||
SEK | 11,900,000 | USD | 1,253,520 | State Street Bank and Trust Company | 06/15/20 | (48,227 | ) | |||||||||||||
SGD | 4,600,000 | USD | 3,216,719 | State Street Bank and Trust Company | 06/15/20 | 23,991 | ||||||||||||||
TRY | 1,068,000 | USD | 168,202 | State Street Bank and Trust Company | 06/15/20 | (10,096 | ) | |||||||||||||
ZAR | 128,830,094 | USD | 7,956,404 | HSBC Bank plc | 06/17/20 | (823,389 | ) | |||||||||||||
ZAR | 229,776,850 | USD | 13,570,240 | JPMorgan Chase Bank, N.A. | 06/17/20 | (848,045 | ) | |||||||||||||
USD | 1,364,454 | AUD | 2,100,000 | State Street Bank and Trust Company | 06/15/20 | 72,627 | ||||||||||||||
USD | 41,096 | CAD | 59,338 | Morgan Stanley & Co. LLC | 06/17/20 | (1,099 | ) | |||||||||||||
USD | 22,431,660 | CHF | 21,839,068 | Morgan Stanley & Co. LLC | 06/17/20 | (340,617 | ) | |||||||||||||
USD | 10,761,145 | DKK | 72,116,941 | Morgan Stanley & Co. LLC | 06/17/20 | 77,525 | ||||||||||||||
USD | 5,563,920 | EUR | 4,800,000 | Morgan Stanley & Co. LLC | 04/20/20 | 266,541 | ||||||||||||||
USD | 7,739,380 | EUR | 6,912,000 | Citibank N.A. | 04/14/20 | 113,044 | ||||||||||||||
USD | 99,852,228 | EUR | 88,250,000 | State Street Bank and Trust Company | 06/15/20 | 2,258,898 | ||||||||||||||
USD | 4,933,464 | EUR | 4,403,385 | State Street Bank and Trust Company | 06/17/20 | 62,862 | ||||||||||||||
USD | 2,414,373 | EUR | 2,161,000 | Deutsche Bank AG | 06/17/20 | 24,406 | ||||||||||||||
USD | 8,149,498 | EUR | 7,623,911 | Morgan Stanley & Co. LLC | 06/17/20 | (283,341 | ) | |||||||||||||
USD | 3,592,006 | EUR | 3,124,000 | Citibank N.A. | 06/23/20 | 135,781 | ||||||||||||||
USD | 11,111,006 | GBP | 8,579,000 | Citibank N.A. | 05/22/20 | 444,583 | ||||||||||||||
USD | 2,837,026 | GBP | 2,145,000 | Citibank N.A. | 06/15/20 | 169,236 | ||||||||||||||
USD | 52,169,419 | GBP | 40,453,954 | State Street Bank and Trust Company | 06/15/20 | 1,864,784 | ||||||||||||||
USD | 2,179,843 | GBP | 1,765,000 | State Street Bank and Trust Company | 06/16/20 | (15,359 | ) | |||||||||||||
USD | 203,381 | GBP | 157,000 | Citibank N.A. | 08/28/20 | 8,026 | ||||||||||||||
USD | 5,945,465 | HKD | 46,199,000 | State Street Bank and Trust Company | 06/15/20 | (12,937 | ) | |||||||||||||
USD | 36,042,897 | IDR | 516,669,881,796 | Bank of America, N.A. | 06/17/20 | 4,726,724 | ||||||||||||||
USD | 22,680,000 | INR | 1,686,598,200 | JPMorgan Chase Bank, N.A. | 01/06/21 | 1,029,177 | ||||||||||||||
USD | 89,002,881 | JPY | 9,700,000,000 | State Street Bank and Trust Company | 04/13/20 | (1,250,294 | ) | |||||||||||||
USD | 52,592,581 | JPY | 5,700,000,000 | State Street Bank and Trust Company | 05/07/20 | (510,848 | ) | |||||||||||||
USD | 18,023,342 | JPY | 2,000,000,000 | State Street Bank and Trust Company | 05/26/20 | (625,628 | ) | |||||||||||||
USD | 168,535 | KRW | 200,000,000 | State Street Bank and Trust Company | 06/15/20 | 3,620 | ||||||||||||||
USD | 2,010,822 | MXN | 42,961,207 | Deutsche Bank AG | 06/17/20 | 219,122 | ||||||||||||||
USD | 117,592 | MYR | 500,000 | State Street Bank and Trust Company | 06/15/20 | 1,918 | ||||||||||||||
USD | 2,943,180 | NOK | 33,700,000 | State Street Bank and Trust Company | 06/15/20 | (300,107 | ) | |||||||||||||
USD | 8,961,148 | RUB | 597,645,814 | JPMorgan Chase Bank, N.A. | 06/17/20 | 1,394,670 | ||||||||||||||
USD | 22,459,296 | RUB | 1,497,271,409 | Morgan Stanley Capital Services, Inc. | 06/17/20 | 3,503,134 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
March 31, 2020
Currency | Amount in | Currency | Amount in | Counterparty | Settlement | Unrealized | ||||||||||||||
USD | 5,160,516 | RUB | 343,935,489 | Bank of America, N.A. | 06/17/20 | $ | 806,131 | |||||||||||||
USD | 7,680,252 | RUB | 536,598,776 | Deutsche Bank AG | 06/17/20 | 886,658 | ||||||||||||||
USD | 8,879 | SEK | 84,272 | State Street Bank and Trust Company | 06/15/20 | 344 | ||||||||||||||
USD | 3,087,037 | SGD | 4,294,500 | State Street Bank and Trust Company | 06/15/20 | 61,552 | ||||||||||||||
USD | 3,431,398 | THB | 107,642,960 | JPMorgan Chase Bank, N.A. | 06/17/20 | 149,726 | ||||||||||||||
USD | 3,431,732 | THB | 107,687,758 | Bank of America, N.A. | 06/17/20 | 148,694 | ||||||||||||||
USD | 7,446,204 | ZAR | 116,124,665 | JPMorgan Chase Bank, N.A. | 06/17/20 | 1,016,659 | ||||||||||||||
USD | 15,005,886 | ZAR | 233,366,304 | Deutsche Bank AG | 06/17/20 | 2,084,951 | ||||||||||||||
USD | 586,161 | ZAR | 9,115,974 | Morgan Stanley Capital Services, Inc. | 06/17/20 | 81,431 | ||||||||||||||
|
| |||||||||||||||||||
Total Forward Foreign Currency Exchange Contracts Outstanding | $ | 12,599,704 | ||||||||||||||||||
|
|
Centrally Cleared Credit Default Swaps on Single-Name Issuer (Buy Protection) — Outstanding at March 31, 2020
Reference | Financing Fee | Payment Frequency | Maturity | Counterparty | Notional Amount | Market Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||||
Penerbangan Malaysia Berhad | (1.00 | )% | 3M | 12/20/2024 | Credit Suisse Securities (USA) LLC | 8,627,000 | USD | $ | 12,362 | $ | (228,570 | ) | $ | 240,932 | ||||||||||||||||||
Republic of Abu Dhabi | (1.00 | )% | 3M | 12/20/2024 | Credit Suisse Securities (USA) LLC | 14,800,000 | USD | 59,089 | (34,224 | ) | 93,313 | |||||||||||||||||||||
Republic of Abu Dhabi | (1.00 | )% | 3M | 12/20/2024 | Credit Suisse Securities (USA) LLC | 7,400,000 | USD | 29,544 | 85,005 | (55,461 | ) | |||||||||||||||||||||
Republic of Korea | (1.00 | )% | 3M | 6/20/2024 | Credit Suisse Securities (USA) LLC | 10,272,167 | USD | (302,416 | ) | (345,038 | ) | 42,622 | ||||||||||||||||||||
Republic of Korea | (1.00 | )% | 3M | 12/20/2024 | Credit Suisse Securities (USA) LLC | 9,486,000 | USD | (290,696 | ) | (310,262 | ) | 19,566 | ||||||||||||||||||||
Republic of Kuwait | (1.00 | )% | 3M | 12/20/2024 | Morgan Stanley Capital Services LLC | 7,400,000 | USD | 12,754 | (51,499 | ) | 64,253 | |||||||||||||||||||||
Republic of Saudi Arabia | (1.00 | )% | 3M | 12/20/2024 | Credit Suisse Securities (USA) LLC | 6,100,000 | USD | 178,140 | 162,152 | 15,988 | ||||||||||||||||||||||
Republic of Saudi Arabia | (1.00 | )% | 3M | 12/20/2024 | Credit Suisse Securities (USA) LLC | 6,100,000 | USD | 178,140 | 130,750 | 47,390 | ||||||||||||||||||||||
Republic of Saudi Arabia | (1.00 | )% | 3M | 12/20/2024 | Credit Suisse Securities (USA) LLC | 8,900,000 | USD | 259,910 | 300,997 | (41,087 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
March 31, 2020
Reference | Financing Fee | Payment Frequency | Maturity | Counterparty | Notional Amount | Market Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||||
Republic of Saudi Arabia | (1.00 | )% | 3M | 12/20/2024 | Credit Suisse Securities (USA) LLC | 14,800,000 | USD | $ | 432,209 | $ | 487,494 | $ | (55,285 | ) | ||||||||||||||||||
Republic of Saudi Arabia | (1.00 | )% | 3M | 12/20/2024 | Credit Suisse Securities (USA) LLC | 7,400,000 | USD | 216,105 | 347,498 | (131,393 | ) | |||||||||||||||||||||
Republic of Saudi Arabia | (1.00 | )% | 3M | 12/20/2024 | Credit Suisse Securities (USA) LLC | 7,400,000 | USD | 216,105 | 331,480 | (115,375 | ) | |||||||||||||||||||||
Republic of South Africa | (1.00 | )% | 3M | 12/20/2024 | Credit Suisse Securities (USA) LLC | 27,242,000 | USD | 3,471,298 | 41,620 | 3,429,678 | ||||||||||||||||||||||
Republic of Turkey | (1.00 | )% | 3M | 9/20/2020 | Credit Suisse Securities (USA) LLC | 4,178,000 | USD | 52,994 | 333,472 | (280,478 | ) | |||||||||||||||||||||
Republic of Turkey | (1.00 | )% | 3M | 12/20/2022 | Credit Suisse Securities (USA) LLC | 2,816,000 | USD | 281,899 | 87,706 | 194,193 | ||||||||||||||||||||||
United Mexican States | (1.00 | )% | 3M | 6/20/2023 | Credit Suisse Securities (USA) LLC | 13,536,000 | USD | 337,723 | 11,414 | 326,309 | ||||||||||||||||||||||
United Mexican States | (1.00 | )% | 3M | 12/20/2023 | Credit Suisse Securities (USA) LLC | 14,521,000 | USD | 466,907 | 22,185 | 444,722 | ||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||
Total Centrally Cleared Credit Default Swaps on Single-Name Issuer (Buy Protection) |
| $ | 5,612,067 | $ | 1,372,180 | $ | 4,239,887 | |||||||||||||||||||||||||
|
|
|
|
|
|
Centrally Cleared Credit Default Swaps on Index (Buy Protection) — Outstanding at March 31, 2020
Reference | Financing Fee | Payment Frequency | Maturity | Counterparty | Notional Amount | Market Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||||
CDX.EM.32 | (1.00 | )% | 3M | 12/20/2024 | Credit Suisse Securities (USA) LLC | 21,000,000 | USD | $ | 2,399,184 | $ | 2,691,570 | $ | (292,386 | ) | ||||||||||||||||||
CDX.EM.32 | (1.00 | )% | 3M | 12/20/2024 | Credit Suisse Securities (USA) LLC | 6,000,000 | USD | 685,481 | 549,000 | 136,481 | ||||||||||||||||||||||
CDX.EM.32 | (1.00 | )% | 3M | 12/20/2024 | Credit Suisse Securities (USA) LLC | 24,200,000 | USD | 2,764,774 | 2,329,250 | 435,524 | ||||||||||||||||||||||
CDX.EM.32 | (1.00 | )% | 3M | 12/20/2024 | Credit Suisse Securities (USA) LLC | 12,100,000 | USD | 1,382,387 | 1,170,675 | 211,712 | ||||||||||||||||||||||
CDX.EM.32 | (1.00 | )% | 3M | 12/20/2024 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 88,500,000 | USD | 10,110,846 | 11,750,587 | (1,639,741 | ) |
See Notes to Consolidated Financial Statements.
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2020
Reference | Financing Fee | Payment Frequency | Maturity | Counterparty | Notional Amount | Market Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||||
CDX.EM.33 | (1.00 | )% | 3M | 6/20/2025 | Credit Suisse Securities (USA) LLC | 15,100,000 | USD | $ | 1,707,279 | $ | 1,796,900 | $ | (89,621 | ) | ||||||||||||||||||
CDX.EM.33 | (1.00 | )% | 3M | 6/20/2025 | Credit Suisse Securities (USA) LLC | 15,100,000 | USD | 1,707,279 | 1,494,900 | 212,379 | ||||||||||||||||||||||
CDX.NA.HY.33 | (5.00 | )% | 3M | 12/20/2024 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 56,840,000 | USD | 3,465,454 | 3,578,176 | (112,722 | ) | |||||||||||||||||||||
iTraxx Europe Crossover Series 32 | (5.00 | )% | 3M | 12/20/2024 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 58,000,000 | EUR | 1,285,343 | 3,719,994 | (2,434,651 | ) | |||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||
Total Centrally Cleared Credit Default Swaps on Index (Buy Protection) |
| $ | 25,508,027 | $ | 29,081,052 | $ | (3,573,025 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
Centrally Cleared Credit Default Swaps on Index (Sell Protection) — Outstanding at March 31, 2020
Reference | Financing Fee | Payment Frequency | Maturity | 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, Inc. | NR | 78,850,000 | USD | $ | (499,052 | ) | $ | (4,922,898 | ) | $ | 4,423,846 | |||||||||||||||||||
CDX.EM.29 | 1.00% | 3M | 06/20/23 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | NR | 149,750,000 | USD | (12,423,260 | ) | (4,553,000 | ) | (7,870,260 | ) | |||||||||||||||||||||
CDX.EM.31 | 1.00% | 3M | 06/20/24 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | NR | 7,500,000 | USD | (716,600 | ) | (285,000 | ) | (431,600 | ) | |||||||||||||||||||||
CDX.EM.32 | 1.00% | 3M | 12/20/24 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | NR | 11,500,000 | USD | (1,313,839 | ) | (1,328,250 | ) | 14,411 | ||||||||||||||||||||||
CDX.NA.HY.25 | 5.00% | 3M | 12/22/20 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | NR | 26,450,000 | USD | (914,798 | ) | 227,130 | (1,141,928 | ) | ||||||||||||||||||||||
CDX.NA.HY.26 | 5.00% | 3M | 06/22/21 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | NR | 44,640,000 | USD | (1,465,938 | ) | 1,200,232 | (2,666,170 | ) | ||||||||||||||||||||||
CDX.NA.HY.27 | 5.00% | 3M | 12/20/21 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | NR | 9,200,000 | USD | (307,908 | ) | 714,420 | (1,022,328 | ) | ||||||||||||||||||||||
CDX.NA.HY.28 | 5.00% | 3M | 06/20/22 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | NR | 54,520,000 | USD | (1,889,022 | ) | 3,966,346 | (5,855,368 | ) | ||||||||||||||||||||||
CDX.NA.HY.30 | 5.00% | 3M | 06/20/23 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | NR | 26,757,463 | USD | (1,208,524 | ) | 1,895,766 | (3,104,290 | ) | ||||||||||||||||||||||
CDX.NA.HY.33 | 5.00% | 3M | 12/20/24 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | NR | 1,960,000 | USD | (119,498 | ) | 176,596 | (296,094 | ) | ||||||||||||||||||||||
iTraxx Europe Crossover Series 29 | 5.00% | 3M | 06/20/23 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | NR | 66,266,200 | EUR | (1,700,015 | ) | 7,580,594 | (9,280,609 | ) | ||||||||||||||||||||||
iTraxx Europe Crossover Series 30 | 5.00% | 3M | 12/20/23 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | NR | 15,359,840 | EUR | (226,640 | ) | 1,343,376 | (1,570,016 | ) | ||||||||||||||||||||||
iTraxx Europe Crossover Series 31 | 5.00% | 3M | 06/20/24 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | NR | 8,485,362 | EUR | (209,524 | ) | 1,047,513 | (1,257,037 | ) |
See Notes to Consolidated Financial Statements.
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2020
Reference | Financing Fee | Payment Frequency | Maturity | Counterparty | Rating(1) | Notional Amount(2) | Market Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||||||
iTraxx Europe Crossover Series 32 | 5.00% | 3M | 12/20/24 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | NR | 4,000,000 | EUR | $ | (88,644 | ) | $ | 595,193 | $ | (683,837 | ) | |||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||||
Total Centrally Cleared Credit Default Swaps on Index (Sell Protection) | $ | (23,083,262 | ) | $ | 7,658,018 | $ | (30,741,280 | ) | ||||||||||||||||||||||||||
|
|
|
|
|
|
OTC Credit Default Swaps on Single-Name Issues (Buy Protection) — Outstanding at March 31, 2020
Reference | Financing Fee | Payment Frequency | Maturity | Counterparty | Notional Amount | Market Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||||
Republic of South Africa | (1.00 | )% | 3M | 6/20/2022 | Morgan Stanley Capital Services LLC | 9,000,000 | USD | $ | 441,244 | $ | 520,876 | $ | (79,632 | ) | ||||||||||||||||||
Republic of South Africa | (1.00 | )% | 3M | 6/20/2022 | Morgan Stanley Capital Services LLC | 300,000 | USD | 14,708 | 17,362 | (2,654 | ) | |||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||
Total OTC Credit Default Swaps on Single-Name Issuer (Buy Protection) |
| $ | 455,952 | $ | 538,238 | $ | (82,286 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
OTC Credit Default Swaps on Index (Buy Protection) — Outstanding at March 31, 2020
Reference | Financing Fee | Payment Frequency | Maturity | Counterparty | Notional Amount | Market Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||||
CMBX.NA.BBB-.10 | (3.00 | )% | 1M | 11/17/2059 | Morgan Stanley Capital Services LLC | 4,032,000 | USD | $ | 1,124,292 | $ | (9,511 | ) | $ | 1,133,803 | ||||||||||||||||||
CMBX.NA.BBB-.10 | (3.00 | )% | 1M | 11/17/2059 | J.P. Morgan Securities LLC | 7,363,000 | USD | 2,053,116 | 71,578 | 1,981,538 | ||||||||||||||||||||||
CMBX.NA.BBB-.9 | (3.00 | )% | 1M | 9/17/2058 | Morgan Stanley Capital Services LLC | 503,000 | USD | 128,254 | 2,111 | 126,143 | ||||||||||||||||||||||
CMBX.NA.BBB-.9 | (3.00 | )% | 1M | 9/17/2058 | Credit Suisse International | 10,000 | USD | 2,550 | 594 | 1,956 | ||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||
Total OTC Credit Default Swaps on Index (Buy Protection) |
| $ | 3,308,212 | $ | 64,772 | $ | 3,243,440 | |||||||||||||||||||||||||
|
|
|
|
|
|
OTC Credit Default Swaps on Index (Sell Protection) — Outstanding at March 31, 2020
Reference | Financing Fee | Payment Frequency | Maturity | 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 | Goldman Sachs International | A | 6,748,418 | USD | $ | (613,699 | ) | $ | 100,759 | $ | (714,458 | ) | |||||||||||||||||||
CMBX.NA.A.8 | 2.00% | 1M | 10/17/57 | Credit Suisse International | A | 20,977,821 | USD | (1,907,718 | ) | (503,585 | ) | (1,404,133 | ) | |||||||||||||||||||||
CMBX.NA.A.8 | 2.00% | 1M | 10/17/57 | Morgan Stanley Capital Services LLC | A | 13,357,409 | USD | (1,214,719 | ) | (288,847 | ) | (925,872 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
March 31, 2020
Reference | Financing Fee | Payment Frequency | Maturity | 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 | Merrill Lynch Capital Services, Inc. | A | 13,176,656 | USD | $ | (1,198,282 | ) | $ | (192,513 | ) | $ | (1,005,769 | ) | ||||||||||||||||||
CMBX.NA.A.9 | 2.00% | 1M | 09/17/58 | Morgan Stanley Capital Services LLC | A | 5,000,000 | USD | (510,741 | ) | (417,706 | ) | (93,035 | ) | |||||||||||||||||||||
CMBX.NA.A.9 | 2.00% | 1M | 09/17/58 | Credit Suisse International | A | 8,000,000 | USD | (817,186 | ) | (428,804 | ) | (388,382 | ) | |||||||||||||||||||||
CMBX.NA.A.9 | 2.00% | 1M | 09/17/58 | Credit Suisse International | A | 6,000,000 | USD | (612,889 | ) | (184,803 | ) | (428,086 | ) | |||||||||||||||||||||
CMBX.NA.A.9 | 2.00% | 1M | 09/17/58 | Credit Suisse International | A | 2,375,000 | USD | (242,602 | ) | (78,172 | ) | (164,430 | ) | |||||||||||||||||||||
CMBX.NA.A.9 | 2.00% | 1M | 09/17/58 | Merrill Lynch Capital Services, Inc. | A | 10,970,425 | USD | (1,120,609 | ) | (180,062 | ) | (940,547 | ) | |||||||||||||||||||||
CMBX.NA.A.9 | 2.00% | 1M | 09/17/58 | Morgan Stanley Capital Services LLC | A | 9,914,884 | USD | (1,012,788 | ) | (109,377 | ) | (903,411 | ) | |||||||||||||||||||||
CMBX.NA.A.9 | 2.00% | 1M | 09/17/58 | Goldman Sachs International | A | 2,830,164 | USD | (289,096 | ) | (25,976 | ) | (263,120 | ) | |||||||||||||||||||||
CMBX.NA.A.9 | 2.00% | 1M | 09/17/58 | J.P. Morgan Securities PLC | A | 2,557,521 | USD | (261,246 | ) | (37,661 | ) | (223,585 | ) | |||||||||||||||||||||
CMBX.NA.AA.7 | 1.50% | 1M | 01/17/47 | Morgan Stanley Capital Services LLC | AA | 13,000,000 | USD | (515,401 | ) | (344,782 | ) | (170,619 | ) | |||||||||||||||||||||
CMBX.NA.AAA.12 | 0.50% | 1M | 08/17/61 | Citigroup Global Markets, Inc. | AAA | 1,665,000 | USD | (46,852 | ) | (2,787 | ) | (44,065 | ) | |||||||||||||||||||||
CMBX.NA.AAA.12 | 0.50% | 1M | 08/17/61 | J.P. Morgan Securities LLC | AAA | 8,534,000 | USD | (240,141 | ) | 4,108 | (244,249 | ) | ||||||||||||||||||||||
CMBX.NA.AAA.12 | 0.50% | 1M | 08/17/61 | Barclays Bank PLC | AAA | 3,648,000 | USD | (102,652 | ) | (5,398 | ) | (97,254 | ) | |||||||||||||||||||||
CMBX.NA.AAA.12 | 0.50% | 1M | 08/17/61 | Morgan Stanley Capital Services LLC | AAA | 21,074,000 | USD | (593,007 | ) | (112,395 | ) | (480,612 | ) | |||||||||||||||||||||
CMBX.NA.AAA.12 | 0.50% | 1M | 08/18/61 | Goldman Sachs International | AAA | 12,805,000 | USD | (360,324 | ) | 10,777 | (371,101 | ) | ||||||||||||||||||||||
CMBX.NA.AAA.13 | 0.50% | 1M | 12/16/72 | Barclays Bank PLC | AAA | 4,269,000 | USD | (164,218 | ) | (26,448 | ) | (137,770 | ) | |||||||||||||||||||||
CMBX.NA.AAA.23 | 0.50% | 1M | 12/16/72 | Citigroup Global Markets, Inc. | AAA | 10,963,000 | USD | (421,720 | ) | (84,629 | ) | (337,091 | ) | |||||||||||||||||||||
CMBX.NA.AAA.23 | 0.50% | 1M | 12/16/72 | Goldman Sachs International | AAA | 20,652,000 | USD | (794,432 | ) | (157,369 | ) | (637,063 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
March 31, 2020
Reference | Financing Fee | Payment Frequency | Maturity | Counterparty | Rating(1) | Notional Amount(2) | Market Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||||||
CMBX.NA.AAA.23 | 0.50% | 1M | 12/16/72 | J.P. Morgan Securities LLC | AAA | 26,810,000 | USD | $ | (1,031,315 | ) | $ | (209,267 | ) | $ | (822,048 | ) | ||||||||||||||||||
CMBX.NA.AAA.23 | 0.50% | 1M | 12/16/72 | Morgan Stanley Capital Services LLC | AAA | 25,260,000 | USD | (971,690 | ) | (203,751 | ) | (767,939 | ) | |||||||||||||||||||||
CMBX.NA.AJ.4 | 0.96% | 1M | 02/18/51 | Merrill Lynch Capital Services, Inc. | AJ | 3,066,985 | USD | (1,012,258 | ) | (414,247 | ) | (598,011 | ) | |||||||||||||||||||||
CMBX.NA.AJ.4 | 0.96% | 1M | 02/18/51 | Morgan Stanley Capital Services LLC | AJ | 1,603,842 | USD | (529,348 | ) | (336,173 | ) | (193,175 | ) | |||||||||||||||||||||
CMBX.NA.BBB-.10 | 3.00% | 1M | 11/17/59 | JPMorgan Chase Bank, N.A. | BBB- | 7,093,000 | USD | (1,977,829 | ) | (647,237 | ) | (1,330,592 | ) | |||||||||||||||||||||
CMBX.NA.BBB-.10 | 3.00% | 1M | 11/17/59 | Goldman Sachs Bank USA | BBB- | 1,096,000 | USD | (305,611 | ) | (30,005 | ) | (275,606 | ) | |||||||||||||||||||||
CMBX.NA.BBB-.10 | 3.00% | 1M | 11/17/59 | Goldman Sachs International | BBB- | 18,066,000 | USD | (5,037,565 | ) | (682,643 | ) | (4,354,922 | ) | |||||||||||||||||||||
CMBX.NA.BBB-.10 | 3.00% | 1M | 11/17/59 | Goldman Sachs International | BBB- | 1,069,000 | USD | (298,082 | ) | (52,498 | ) | (245,584 | ) | |||||||||||||||||||||
CMBX.NA.BBB-.10 | 3.00% | 1M | 11/17/59 | Citigroup Global Markets, Inc. | BBB- | 3,084,000 | USD | (859,950 | ) | (126,351 | ) | (733,599 | ) | |||||||||||||||||||||
CMBX.NA.BBB-.11 | 3.00% | 1M | 11/18/54 | Citigroup Global Markets, Inc. | BBB- | 11,708,000 | USD | (3,735,105 | ) | (819,153 | ) | (2,915,952 | ) | |||||||||||||||||||||
CMBX.NA.BBB-.11 | 3.00% | 1M | 11/18/54 | JPMorgan Chase Bank, N.A. | BBB- | 17,163,000 | USD | (5,475,368 | ) | (961,246 | ) | (4,514,122 | ) | |||||||||||||||||||||
CMBX.NA.BBB-.11 | 3.00% | 1M | 11/18/54 | J.P. Morgan Securities LLC | BBB- | 7,500,000 | USD | (2,392,662 | ) | (620,026 | ) | (1,772,636 | ) | |||||||||||||||||||||
CMBX.NA.BBB-.11 | 3.00% | 1M | 11/18/54 | J.P. Morgan Securities LLC | BBB- | 10,000,000 | USD | (3,190,216 | ) | (807,589 | ) | (2,382,627 | ) | |||||||||||||||||||||
CMBX.NA.BBB-.11 | 3.00% | 1M | 11/18/54 | J.P. Morgan Securities LLC | BBB- | 15,000,000 | USD | (4,785,324 | ) | (1,216,139 | ) | (3,569,185 | ) | |||||||||||||||||||||
CMBX.NA.BBB-.8 | 3.00% | 1M | 10/17/57 | Credit Suisse International | BBB- | 2,763,000 | USD | (661,972 | ) | (346,476 | ) | (315,496 | ) | |||||||||||||||||||||
CMBX.NA.BBB-.8 | 3.00% | 1M | 10/17/57 | Credit Suisse International | BBB- | 286,000 | USD | (68,521 | ) | (20,492 | ) | (48,029 | ) | |||||||||||||||||||||
CMBX.NA.BBB-.8 | 3.00% | 1M | 10/17/57 | Goldman Sachs International | BBB- | 1,294,000 | USD | (310,022 | ) | (72,380 | ) | (237,642 | ) | |||||||||||||||||||||
CMBX.NA.BBB-.8 | 3.00% | 1M | 10/17/57 | Goldman Sachs International | BBB- | 232,000 | USD | (55,584 | ) | (5,855 | ) | (49,729 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
March 31, 2020
Reference | Financing Fee | Payment Frequency | Maturity | Counterparty | Rating(1) | Notional Amount(2) | Market Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||||||
CMBX.NA.BBB-.8 | 3.00% | 1M | 10/17/57 | J.P. Morgan Securities LLC | BBB- | 2,160,000 | USD | $ | (517,503 | ) | $ | (114,150 | ) | $ | (403,353 | ) | ||||||||||||||||||
CMBX.NA.BBB-.8 | 3.00% | 1M | 10/17/57 | JPMorgan Chase Bank, N.A. | BBB- | 1,025,000 | USD | (245,574 | ) | (60,824 | ) | (184,750 | ) | |||||||||||||||||||||
CMBX.NA.BBB-.8 | 3.00% | 1M | 10/17/57 | Citigroup Global Markets, Inc. | BBB- | 1,022,000 | USD | (244,855 | ) | (53,690 | ) | (191,165 | ) | |||||||||||||||||||||
CMBX.NA.BBB-.9 | 3.00% | 1M | 09/17/58 | Goldman Sachs International | BBB- | 177,000 | USD | 45,131 | 5,120 | 40,011 | ||||||||||||||||||||||||
CMBX.NA.BBB-.9 | 3.00% | 1M | 09/17/58 | J.P. Morgan Securities LLC | BBB- | 690,000 | USD | (175,935 | ) | (12,035 | ) | (163,900 | ) | |||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||||
Total OTC Credit Default Swaps on Index (Sell Protection) |
| $ | (46,877,480 | ) | $ | (10,872,777 | ) | $ | (36,004,703 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
OTC Total Return Swaps Outstanding at March 31, 2020
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||||
Buys | ||||||||||||||||||||||||||||||
Acacia Communications, Inc. | 07/13/21 | M | 1.45 | % | JPMorgan Chase Bank, N.A. | 37,046,285 USD | $ | 1,539,287 | ||||||||||||||||||||||
Advanced Disposal Services, Inc. | 04/19/21 | M | 1.20 | % | Goldman Sachs International | 26,376,103 USD | 1,264,031 | |||||||||||||||||||||||
Advanced Disposal Services, Inc. | 06/22/21 | M | 1.41 | % | JPMorgan Chase Bank, N.A. | 6,248,482 USD | 299,448 | |||||||||||||||||||||||
Allergan PLC | 06/29/21 | M | 1.45 | % | JPMorgan Chase Bank, N.A. | 49,882,030 USD | 2,796,011 | |||||||||||||||||||||||
American Express Co. | 03/21/22 | M | 1.20 | % | Goldman Sachs International | 12,026,279 USD | 2,903,677 | |||||||||||||||||||||||
Aroundtown SA | 02/21/22 | M | 0.06 | % | JPMorgan Chase Bank, N.A. | 19,946 EUR | 2,406 | |||||||||||||||||||||||
Arthur J Gallagher & Co. | 03/21/22 | M | 1.20% | Goldman Sachs International | 2,708,446 USD | 526,686 | ||||||||||||||||||||||||
Bank of New York Mellon Corp. | 03/21/22 | M | 1.20% | Goldman Sachs International | 11,523,011 USD | 2,594,668 | ||||||||||||||||||||||||
Brookfield Asset Management | 03/21/22 | M | 1.20% | Goldman Sachs International | 13,331,273 USD | 4,501,521 | ||||||||||||||||||||||||
Caesars Entertainment Corp. | 06/28/21 | M | 1.20% | Goldman Sachs International | 4,579,984 USD | 554,459 | ||||||||||||||||||||||||
Caesars Entertainment Corp. | 06/29/21 | M | 1.33% | JPMorgan Chase Bank, N.A. | 10,415,366 USD | 1,260,898 | ||||||||||||||||||||||||
Centerstate Bank Corp. | 03/23/22 | M | 1.20% | Goldman Sachs International | 3,782,576 USD | 347,575 | ||||||||||||||||||||||||
Cineplex, Inc. | 12/20/21 | M | 1.92% | Goldman Sachs International | 5,097,150 CAD | 387,208 | ||||||||||||||||||||||||
Cineplex, Inc. | 03/07/22 | M | 2.22% | JPMorgan Chase Bank, N.A. | 610,745 CAD | 46,396 | ||||||||||||||||||||||||
Colony Capital, Inc. | 03/23/22 | M | 1.20% | Goldman Sachs International | 4,404,772 USD | 1,062,144 | ||||||||||||||||||||||||
Cypress Semiconductor Corp. | 06/07/21 | M | 1.20% | Goldman Sachs International | 40,844,438 USD | 1,301,239 | ||||||||||||||||||||||||
CyrusOne Inc. | 03/22/22 | M | 1.20% | Goldman Sachs International | 16,125,940 USD | 5,701,697 | ||||||||||||||||||||||||
Danaher Corp. | 03/10/21 | M | 1.10% | | Morgan Stanley Capital Services LLC | 3,072,032 USD | 234,048 | |||||||||||||||||||||||
Delphi Technologies PLC | 02/01/22 | M | 1.20% | Goldman Sachs International | 7,744,775 USD | (38,293 | ) | |||||||||||||||||||||||
E*Trade Financial Corp. | 02/24/22 | M | 1.45% | JPMorgan Chase Bank, N.A. | 32,646,826 USD | 8,440,049 |
See Notes to Consolidated Financial Statements.
146
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2020
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||||||||
Egypt Government Bond | 01/14/25 | 3M | 0.00% | Goldman Sachs Bank USA | 10,265,991 USD | $ | 529,940 | |||||||||||||||||||||||||||
Enterprise Financial Service | 03/23/22 | M | 1.20% | Goldman Sachs International | 989,898 USD | 76,822 | ||||||||||||||||||||||||||||
Euronet Worldwide, Inc. | 03/22/22 | M | 1.20% | Goldman Sachs International | 7,223,899 USD | 1,136,201 | ||||||||||||||||||||||||||||
Fidelity National Info Services | 03/21/22 | M | 1.20% | Goldman Sachs International | 22,941,321 USD | 4,297,159 | ||||||||||||||||||||||||||||
First Midwest Bancorp, Inc. | 03/23/22 | M | 1.20% | Goldman Sachs International | 11,171,281 USD | 1,454,842 | ||||||||||||||||||||||||||||
Fitbit, Inc. | 11/03/21 | M | 1.20% | Goldman Sachs International | 21,008,295 USD | 1,668,406 | ||||||||||||||||||||||||||||
Fitbit, Inc. | 03/01/22 | M | 1.45% | JPMorgan Chase Bank, N.A. | 2,071,331 USD | 164,498 | ||||||||||||||||||||||||||||
Fleetcor Technologies, Inc. | 03/21/22 | M | 1.20% | Goldman Sachs International | 6,488,269 USD | 559,959 | ||||||||||||||||||||||||||||
Forty Seven, Inc. | 03/04/22 | M | 1.45% | JPMorgan Chase Bank, N.A. | 25,425,977 USD | 664,428 | ||||||||||||||||||||||||||||
Georgian Government Bonds | 09/22/20 | 3M | 0.00% | Credit Suisse International | 25,400,000 USD | 22,581 | ||||||||||||||||||||||||||||
HP, Inc. | 03/07/22 | M | 1.45% | JPMorgan Chase Bank, N.A. | 33,145,821 USD | 6,037,921 | ||||||||||||||||||||||||||||
Hudson Pacific Properties, Inc. | 03/23/22 | M | 1.20% | Goldman Sachs International | 6,621,069 USD | 3,385,505 | ||||||||||||||||||||||||||||
I3 Verticals, Inc. | 03/23/22 | M | 1.20% | Goldman Sachs International | 1,729,378 USD | 628,752 | ||||||||||||||||||||||||||||
Ingenico Group | 02/07/22 | M | 0.06% | JPMorgan Chase Bank, N.A. | 35,081,767 EUR | 5,064,401 | ||||||||||||||||||||||||||||
Jp Morgan Chase & Co. | 03/21/22 | M | 1.20% | Goldman Sachs International | 3,991,632 USD | 387,697 | ||||||||||||||||||||||||||||
KEMET Corp. | 11/16/21 | M | 1.20% | Goldman Sachs International | 20,654,373 USD | 2,320,289 | ||||||||||||||||||||||||||||
Laboratory Corporation of Amer Holdings | 03/16/22 | M | 0.60% | Morgan Stanley Capital Services LLC | 12,009,736 USD | 2,540,787 | ||||||||||||||||||||||||||||
Mastercard, Inc. | 03/21/22 | M | 1.20% | Goldman Sachs International | 7,913,859 USD | 1,489,347 | ||||||||||||||||||||||||||||
Mellanox Technologies Ltd. | 03/15/21 | M | 1.20% | Goldman Sachs International | 21,635,762 USD | 2,518,564 | ||||||||||||||||||||||||||||
Mellanox Technologies Ltd. | 05/25/21 | M | 1.45% | JPMorgan Chase Bank, N.A. | 25,896,061 USD | 3,014,495 | ||||||||||||||||||||||||||||
Osram Licht AG | 12/08/21 | M | 0.06% | JPMorgan Chase Bank, N.A. | 16,018,114 EUR | 705,744 | ||||||||||||||||||||||||||||
Pacific Biosciences of California, Inc. | 11/04/20 | M | 1.20% | Goldman Sachs International | 1,417,067 USD | 120,601 | ||||||||||||||||||||||||||||
Pnc Financial Services Group | 03/22/22 | M | 1.20% | Goldman Sachs International | 21,630,390 USD | 4,044,969 | ||||||||||||||||||||||||||||
Progressive Corp. | 03/25/22 | M | 1.33% | Goldman Sachs International | 1,523,729 USD | 166,912 | ||||||||||||||||||||||||||||
Qiagen N.V. | 03/07/22 | M | 0.05% | JPMorgan Chase Bank, N.A. | 20,097,199 EUR | 579,460 | ||||||||||||||||||||||||||||
Ra Pharmaceuticals, Inc. | 10/13/21 | M | 1.45% | JPMorgan Chase Bank, N.A. | 26,023,168 USD | 1,520,313 | ||||||||||||||||||||||||||||
RECEIVE UKRGB 14.3% 08 JUL 2020 7Y / PAY FEDL01 | 07/10/20 | 3M | 0.00% | Citigroup Global Markets Ltd. | 813,013 USD | (91,161 | ) | |||||||||||||||||||||||||||
RECEIVE UKRGB 14.3% 08 JUL 2020 7Y / PAY FIXED 0.0% | 07/08/20 | 3M | 0.00% | Bank of America, N.A. | 3,866,158 USD | (419,453 | ) | |||||||||||||||||||||||||||
Sanofi | 07/27/20 | M | 0.55 | % | Morgan Stanley Capital Services LLC | 14,604,223 EUR | (15,368 | ) | ||||||||||||||||||||||||||
Signature Bank | 03/23/22 | M | 1.20 | % | Goldman Sachs International | 13,407,988 USD | 1,341,166 | |||||||||||||||||||||||||||
Sprint Corp. | 10/07/20 | M | 1.20 | % | Goldman Sachs International | 23,625,540 USD | 3,065,437 | |||||||||||||||||||||||||||
TD Ameritrade Holding Corp. | 11/30/21 | M | 1.20 | % | Goldman Sachs International | 35,741,097 USD | 6,887,479 | |||||||||||||||||||||||||||
Terraform Power, Inc. | 03/21/22 | M | 1.45 | % | JPMorgan Chase Bank, N.A. | 3,126,124 USD | 505,029 | |||||||||||||||||||||||||||
The Stars Group, Inc. | 10/06/21 | M | 1.45 | % | JPMorgan Chase Bank, N.A. | 7,936,525 USD | 2,803,292 | |||||||||||||||||||||||||||
Tiffany & Co. | 11/30/21 | M | 1.20 | % | Goldman Sachs International | 30,839,087 USD | 1,984,631 |
See Notes to Consolidated Financial Statements.
147
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2020
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||||
TiVo Corp. | 12/22/21 | M | 1.20 | % | Goldman Sachs International | 513,147 USD | $ | 89,354 | ||||||||||||||||||||||
Umpqua Holdings Corp. | 03/23/22 | M | 1.20 | % | Goldman Sachs International | 5,011,455 USD | 881,194 | |||||||||||||||||||||||
Valley National Bancorp | 03/23/22 | M | 1.20 | % | Goldman Sachs International | 5,489,246 USD | 810,030 | |||||||||||||||||||||||
Veritex Holdings, Inc. | 03/23/22 | M | 1.20 | % | Goldman Sachs International | 7,378,065 USD | 1,983,567 | |||||||||||||||||||||||
Visa Inc Class A Shares | 03/21/22 | M | 1.20 | % | Goldman Sachs International | 1,089,856 USD | 203,776 | |||||||||||||||||||||||
WABCO Holdings, Inc. | 03/31/21 | M | 1.20 | % | Goldman Sachs International | 30,981,616 USD | 962,706 | |||||||||||||||||||||||
WABCO Holdings, Inc. | 06/22/21 | M | 1.39 | % | JPMorgan Chase Bank, N.A. | 8,066,796 USD | 250,663 | |||||||||||||||||||||||
Western Alliance Bancorp | 03/23/22 | M | 1.20 | % | Goldman Sachs International | 13,239,580 USD | 2,474,400 | |||||||||||||||||||||||
Willis Towers Watson PLC | 03/11/22 | M | 1.45 | % | JPMorgan Chase Bank, N.A. | 41,261,692 USD | 4,295,305 | |||||||||||||||||||||||
Wright Medical Group NV | 11/08/21 | M | 1.20 | % | Goldman Sachs International | 43,835,660 USD | 3,201,481 | |||||||||||||||||||||||
WSFS Financial Corp. | 03/23/22 | M | 1.20 | % | Goldman Sachs International | 7,786,820 USD | 2,169,442 | |||||||||||||||||||||||
Zions Bancorp | 03/23/22 | M | 1.20 | % | Goldman Sachs International | 15,592,854 USD | 1,349,758 | |||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||
Total Buys |
| $ | 115,558,476 | |||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||
Sells | ||||||||||||||||||||||||||||||
AbbVie, Inc. | 06/29/21 | M | 0.22 | % | JPMorgan Chase Bank, N.A. | 16,042,827 USD | $ | (2,907,607 | ) | |||||||||||||||||||||
American Equity Investment Life Holdings | 03/29/22 | M | 0.16 | % | Goldman Sachs Bank USA | 5,153,708 USD | 24,786 | |||||||||||||||||||||||
AON PLC | 03/11/22 | M | 0.22 | % | JPMorgan Chase Bank, N.A. | 40,888,975 USD | (3,530,385 | ) | ||||||||||||||||||||||
Aroundtown SA | 11/23/21 | M | 0.94 | % | Goldman Sachs International | 19,946 EUR | (2,406 | ) | ||||||||||||||||||||||
Astrazeneca PLC | 09/29/21 | M | 0.30 | % | | Morgan Stanley Capital Services LLC | 1,742,744 GBP | (49,197 | ) | |||||||||||||||||||||
BancorpSouth Bank | 07/23/20 | M | 0.30 | % | | Morgan Stanley Capital Services LLC | 2,793,025 USD | (152,573 | ) | |||||||||||||||||||||
BancorpSouth Bank | 09/23/20 | M | 0.16 | % | Goldman Sachs International | 4,946,130 USD | (270,190 | ) | ||||||||||||||||||||||
Borgwarner, Inc. | 02/01/22 | M | 0.31 | % | Goldman Sachs International | 6,495,038 USD | (988,843 | ) | ||||||||||||||||||||||
Brookfield Renewable Partner | 03/21/22 | M | 4.20 | % | JPMorgan Chase Bank, N.A. | 3,040,327 USD | (519,570 | ) | ||||||||||||||||||||||
Capitol Federal Financial, Inc. | 09/23/20 | M | 0.16 | % | Goldman Sachs International | 10,077,360 USD | (1,404,303 | ) | ||||||||||||||||||||||
Cathay General Bancorp | 07/23/20 | M | 0.30 | % | | Morgan Stanley Capital Services LLC | 9,303,294 USD | (2,126,609 | ) | |||||||||||||||||||||
Charles Schwab Corp. | 11/30/21 | M | 0.31 | % | Goldman Sachs International | 36,715,096 USD | (6,595,835 | ) | ||||||||||||||||||||||
Corium Intl, Inc. | 07/06/20 | M | 0.10 | % | | Morgan Stanley Capital Services LLC | — USD | — | ||||||||||||||||||||||
Digital Realty Trust, Inc. | 03/09/22 | M | 0.22 | % | Goldman Sachs International | 14,967,888 USD | (4,301,707 | ) | ||||||||||||||||||||||
Douglas Emmett, Inc. | 08/11/21 | M | 0.16 | % | Goldman Sachs International | 5,954,768 USD | (1,442,625 | ) | ||||||||||||||||||||||
Eaton Vance Corp. | 01/27/21 | M | 0.16 | % | Goldman Sachs International | 1,189,592 USD | (425,069 | ) | ||||||||||||||||||||||
Eldorado Resorts, Inc. | 06/28/21 | M | 0.43 | % | Goldman Sachs International | 754,896 USD | (286,340 | ) | ||||||||||||||||||||||
Eldorado Resorts, Inc. | 06/29/21 | M | 0.72 | % | JPMorgan Chase Bank, N.A. | 910,451 USD | (345,344 | ) | ||||||||||||||||||||||
EVERTEC, Inc. | 06/30/21 | M | 0.16 | % | Goldman Sachs International | 6,654,655 USD | (1,071,250 | ) | ||||||||||||||||||||||
Financial Select Sector SPDR Fund | 07/23/20 | M | 0.60 | % | | Morgan Stanley Capital Services LLC | 7,225,889 USD | (1,292,968 | ) | |||||||||||||||||||||
Financial Select Sector SPDR Fund | 03/21/22 | M | 0.49 | % | Goldman Sachs Bank USA | 7,793,738 USD | (197,477 | ) | ||||||||||||||||||||||
First Commonwealth Financial Corp. | 07/23/20 | M | 0.30 | % | | Morgan Stanley Capital Services LLC | 2,541,090 USD | (291,296 | ) | |||||||||||||||||||||
First Commonwealth Financial Corp. | 10/14/20 | M | 0.16 | % | Goldman Sachs International | 3,033,065 USD | (347,693 | ) |
See Notes to Consolidated Financial Statements.
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March 31, 2020
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||||||||
First Financial Bancorp | 09/23/20 | M | 0.16 | % | Goldman Sachs International | 8,132,451 USD | $ | (763,198 | ) | |||||||||||||||||||||||||
First Hawaiian, Inc. | 03/09/22 | M | 0.16 | % | Goldman Sachs International | 5,469,733 USD | (296,510 | ) | ||||||||||||||||||||||||||
First Interstate BancSystem, Inc. | 07/23/20 | M | 0.30 | % | Morgan Stanley Capital Services LLC | 757,969 USD | (74,469 | ) | ||||||||||||||||||||||||||
First Interstate BancSystem, Inc. | 09/23/20 | M | 0.16% | Goldman Sachs International | 1,554,750 USD | (152,751 | ) | |||||||||||||||||||||||||||
Flutter Entertainment PLC | 10/06/21 | M | 0.32% | JPMorgan Chase Bank, N.A. | 7,038,052 GBP | (1,278,708 | ) | |||||||||||||||||||||||||||
Fulton Financial Corp. | 07/23/20 | M | 0.30% | Morgan Stanley Capital Services LLC | 4,840,930 USD | (476,688 | ) | |||||||||||||||||||||||||||
Genworth Financial, Inc. | 07/06/20 | M | 0.15% | Morgan Stanley Capital Services LLC | 109,244 USD | (12,464 | ) | |||||||||||||||||||||||||||
Glaxosmithkline PLC | 09/29/21 | M | 0.30% | Morgan Stanley Capital Services LLC | 2,806,967 GBP | (99,759 | ) | |||||||||||||||||||||||||||
Huntington Bancshares, Inc. | 10/20/20 | M | 0.16% | Goldman Sachs International | 3,909,062 USD | (162,786 | ) | |||||||||||||||||||||||||||
Janus Henderson Group PLC | 09/09/21 | M | 0.16% | Goldman Sachs International | 8,171,738 USD | (2,278,264 | ) | |||||||||||||||||||||||||||
Kearny Financial Corp. | 09/28/20 | M | 0.16% | Goldman Sachs International | 3,355,848 USD | (373,354 | ) | |||||||||||||||||||||||||||
Lazard Ltd. | 06/28/21 | M | 0.16% | Goldman Sachs International | 4,731,677 USD | (561,690 | ) | |||||||||||||||||||||||||||
Merck KGaA | 07/27/20 | M | 0.35% | Morgan Stanley Capital Services LLC | 2,055,873 EUR | (74,366 | ) | |||||||||||||||||||||||||||
Meridian Bancorp, Inc. | 07/23/20 | M | 0.30% | Morgan Stanley Capital Services LLC | 3,293,893 USD | (520,088 | ) | |||||||||||||||||||||||||||
Morgan Stanley | 02/24/22 | M | 0.22% | JPMorgan Chase Bank, N.A. | 33,839,236 USD | (7,531,998 | ) | |||||||||||||||||||||||||||
MSHCCIHI | 07/29/20 | M | 0.25% | Morgan Stanley Capital Services LLC | 4,517,628 USD | 54,138 | ||||||||||||||||||||||||||||
National Bank Holdings Corp. | 07/23/20 | M | 0.30% | Morgan Stanley Capital Services LLC | 4,254,919 USD | (693,624 | ) | |||||||||||||||||||||||||||
New York Community Bancorp | 07/23/20 | M | 0.30% | Morgan Stanley Capital Services LLC | 8,414,445 USD | (90,575 | ) | |||||||||||||||||||||||||||
NewStar Financial, Inc. | 07/06/20 | M | 0.10% | Morgan Stanley Capital Services LLC | — USD | — | ||||||||||||||||||||||||||||
Northwest Bancshares, Inc. | 07/23/20 | M | 0.30% | Morgan Stanley Capital Services LLC | 2,991,825 USD | (415,204 | ) | |||||||||||||||||||||||||||
Northwest Bancshares, Inc. | 12/16/20 | M | 0.16% | Goldman Sachs International | 3,995,683 USD | (433,603 | ) | |||||||||||||||||||||||||||
Old National Bancorp | 03/01/22 | M | 0.16% | Goldman Sachs International | 293,129 USD | (24,829 | ) | |||||||||||||||||||||||||||
People’s United Financial, Inc. | 07/23/20 | M | 0.30% | Morgan Stanley Capital Services LLC | 8,471,864 USD | (277,117 | ) | |||||||||||||||||||||||||||
Preferred Bank | 07/23/20 | M | 0.30% | Morgan Stanley Capital Services LLC | 7,249,868 USD | (742,001 | ) | |||||||||||||||||||||||||||
Prosperity Bancshares, Inc. | 03/16/22 | M | 0.16% | Goldman Sachs International | 11,233,217 USD | (1,186,912 | ) | |||||||||||||||||||||||||||
Provident Financial Services | 07/23/20 | M | 0.30% | Morgan Stanley Capital Services LLC | 1,534,811 USD | (280,982 | ) | |||||||||||||||||||||||||||
S & T Bancorp, Inc. | 09/23/20 | M | 0.16% | Goldman Sachs International | 2,116,271 USD | (245,515 | ) | |||||||||||||||||||||||||||
Sandy Spring Bancorp, Inc. | 07/23/20 | M | 0.30% | Morgan Stanley Capital Services LLC | 1,806,712 USD | (206,278 | ) | |||||||||||||||||||||||||||
Simmons First National Corp. | 01/20/21 | M | 0.16% | Goldman Sachs International | 6,291,141 USD | (1,162,626 | ) | |||||||||||||||||||||||||||
SPDR S&P 500 ETF Trust | 03/22/22 | M | 0.37% | Goldman Sachs International | 38,450,788 USD | (4,971,582 | ) |
See Notes to Consolidated Financial Statements.
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March 31, 2020
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||||||||
SPDR S&P Regional Banking ETF | 07/23/20 | M | 1.44% | Morgan Stanley Capital Services LLC | 20,576,195 USD | $ | (3,262,347 | ) | ||||||||||||||||||||||||||
SPDR S&P Regional Banking ETF | 02/08/21 | M | 0.14% | Goldman Sachs International | 4,969,502 USD | (787,913 | ) | |||||||||||||||||||||||||||
SVB Financial Group | 03/25/22 | M | 0.16% | Goldman Sachs International | 5,430,335 USD | 460,558 | ||||||||||||||||||||||||||||
Synchrony Financial | 06/03/21 | M | 0.16% | Goldman Sachs International | 1,029,786 USD | (264,687 | ) | |||||||||||||||||||||||||||
T Mobile US, Inc. | 10/07/20 | M | 0.16% | Goldman Sachs International | 23,680,171 USD | (2,565,091 | ) | |||||||||||||||||||||||||||
T Rowe Price Group, Inc. | 03/11/22 | M | 0.16% | Goldman Sachs International | 12,985,890 USD | (1,859,254 | ) | |||||||||||||||||||||||||||
TrustCo Bank Corp. | 07/23/20 | M | 0.30% | Morgan Stanley Capital Services LLC | 3,789,618 USD | (746,186 | ) | |||||||||||||||||||||||||||
US BanCorp. | 03/09/22 | M | 0.16% | Goldman Sachs International | 7,112,809 USD | (863,744 | ) | |||||||||||||||||||||||||||
Waddell & Reed Financial | 07/23/20 | M | 0.30% | Morgan Stanley Capital Services LLC | 3,370,233 USD | (60,290 | ) | |||||||||||||||||||||||||||
Washington Federal, Inc. | 07/23/20 | M | 0.30% | Morgan Stanley Capital Services LLC | 14,144,659 USD | (2,800,212 | ) | |||||||||||||||||||||||||||
Western Union Co. | 08/04/21 | M | 0.16% | Goldman Sachs International | 14,675,480 USD | 332,275 | ||||||||||||||||||||||||||||
Worldline SA | 02/07/22 | M | 0.75% | JPMorgan Chase Bank, N.A. | 29,764,951 EUR | (3,624,900 | ) | |||||||||||||||||||||||||||
Worldline SA | 02/07/22 | M | 0.94% | Goldman Sachs International | 43,911 EUR | (5,348 | ) | |||||||||||||||||||||||||||
Xerox Holdings Corp. | 03/07/22 | M | 0.22% | JPMorgan Chase Bank, N.A. | 4,048,170 USD | (522,923 | ) | |||||||||||||||||||||||||||
Xperi Corp. | 12/22/21 | M | 0.31% | Goldman Sachs International | 439,823 USD | (94,029 | ) | |||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||||||
Total Sells | $ | (70,522,395 | ) | |||||||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||||||
Total OTC Total Return Swaps Outstanding | $ | 45,036,081 | ||||||||||||||||||||||||||||||||
|
|
Centrally Cleared Interest Rate Swaps Outstanding at March 31, 2020
The | Floating Rate Index | Fixed Rate | Pay/ Receive Payment Frequency | Maturity | Counterparty | Notional Amount | Market Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | |||||||||||||||||||
Pays | 3-Month USD LIBOR | 0.36% | 3M/6M | 06/30/2022 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 18,347,000 USD | $ | 15,661 | $ | — | $ | 15,661 | ||||||||||||||||
Pays | 3-Month USD LIBOR | 0.41% | 3M/6M | 06/29/2022 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 84,970,800 USD | 152,260 | — | 152,260 | |||||||||||||||||||
Pays | 3-Month USD LIBOR | 0.50% | 3M/6M | 06/30/2025 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 1,932,800 USD | 1,698 | — | 1,698 | |||||||||||||||||||
Pays | 3-Month USD LIBOR | 0.57% | 3M/6M | 06/29/2025 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 22,060,000 USD | 106,133 | — | 106,133 | |||||||||||||||||||
Pays | 3-Month USD LIBOR | 0.78% | 3M/6M | 06/8/2025 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 35,000,000 USD | 516,848 | — | 516,848 | |||||||||||||||||||
Pays | 3-Month USD LIBOR | 0.79% | 3M/6M | 06/29/2030 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 6,347,000 USD | 56,499 | — | 56,499 |
See Notes to Consolidated Financial Statements.
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March 31, 2020
The | Floating Rate Index | Fixed Rate | Pay/ Receive Payment Frequency | Maturity | Counterparty | Notional Amount | Market Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | |||||||||||||||||||
Pays | 3-Month USD LIBOR | 0.88% | 3M/6M | 03/10/2035 | Morgan Stanley Capital Services LLC | 700,000 USD | $ | 8,600 | $ | — | $ | 8,600 | ||||||||||||||||
Pays | 3-Month USD LIBOR | 0.98% | 3M/6M | 03/25/2030 | Morgan Stanley Capital Services LLC | 6,000,000 USD | 19,630 | — | 19,630 | |||||||||||||||||||
Pays | 3-Month USD LIBOR | 0.99% | 3M/6M | 06/8/2030 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 25,000,000 USD | 707,354 | — | 707,354 | |||||||||||||||||||
Pays | 3-Month USD LIBOR | 1.26% | 3M/6M | 09/25/2026 | Morgan Stanley Capital Services LLC | 2,235,000 USD | 98,066 | — | 98,066 | |||||||||||||||||||
Pays | 3-Month USD LIBOR | 1.44% | 3M/6M | 09/25/2026 | Morgan Stanley Capital Services LLC | 2,408,000 USD | 133,555 | 583 | 132,972 | |||||||||||||||||||
Pays | 3-Month USD LIBOR | 1.46% | 3M/6M | 05/11/2025 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 20,809,000 USD | 998,102 | — | 998,102 | |||||||||||||||||||
Pays | 3-Month USD LIBOR | 1.64% | 3M/6M | 11/25/2026 | Morgan Stanley Capital Services LLC | 2,047,000 USD | 140,782 | — | 140,782 | |||||||||||||||||||
Pays | 3-Month USD LIBOR | 1.66% | 3M/6M | 02/27/2030 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 3,221,000 USD | 299,204 | — | 299,204 | |||||||||||||||||||
Pays | 3-Month USD LIBOR | 1.67% | 3M/6M | 02/25/2030 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 10,246,000 USD | 958,875 | — | 958,875 | |||||||||||||||||||
Pays | 3-Month USD LIBOR | 1.80% | 3M/6M | 07/25/2026 | Morgan Stanley Capital Services LLC | 3,312,000 USD | 250,827 | (13) | 250,840 | |||||||||||||||||||
Pays | 3-Month USD LIBOR | 1.80% | 3M/6M | 06/25/2026 | Morgan Stanley Capital Services LLC | 3,479,000 USD | 266,700 | 2,244 | 264,456 | |||||||||||||||||||
Pays | 3-Month USD LIBOR | 1.93% | 3M/6M | 07/15/2027 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 50,000,000 USD | 4,660,643 | — | 4,660,643 | |||||||||||||||||||
Pays | 3-Month USD LIBOR | 1.99% | 3M/6M | 06/26/2024 | Morgan Stanley & Co. LLC | 2,320,000 USD | 147,809 | (11,818) | 159,627 | |||||||||||||||||||
Pays | 3-Month USD LIBOR | 1.99% | 3M/6M | 05/25/2024 | Morgan Stanley & Co. LLC | 2,597,000 USD | 160,698 | (12,569) | 173,267 | |||||||||||||||||||
Pays | 3-Month USD LIBOR | 2.02% | 3M/6M | 06/4/2027 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 15,000,000 USD | 1,490,045 | — | 1,490,045 | |||||||||||||||||||
Pays | 3-Month USD LIBOR | 2.03% | 3M/6M | 05/25/2024 | Morgan Stanley & Co. LLC | 2,130,000 USD | 135,222 | (11,027) | 146,249 |
See Notes to Consolidated Financial Statements.
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March 31, 2020
The | Floating Rate Index | Fixed Rate | Pay/ Receive Payment Frequency | Maturity | Counterparty | Notional Amount | Market Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | |||||||||||||||||||
Pays | 3-Month USD LIBOR | 2.08% | 3M/6M | 05/25/2024 | Morgan Stanley & Co. LLC | 2,097,000 USD | $ | 137,778 | $ | (10,927) | $ | 148,705 | ||||||||||||||||
Pays | 3-Month USD LIBOR | 2.17% | 3M/6M | 05/20/2025 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 40,000,000 USD | 3,343,095 | — | 3,343,095 | |||||||||||||||||||
Pays | 3-Month USD LIBOR | 2.17% | 3M/6M | 04/25/2024 | Morgan Stanley & Co. LLC | 2,609,000 USD | 177,276 | — | 177,276 | |||||||||||||||||||
Pays | 3-Month USD LIBOR | 2.20% | 3M/6M | 11/27/2024 | Morgan Stanley & Co. LLC | 2,257,000 USD | 175,675 | (11,404) | 187,079 | |||||||||||||||||||
Pays | 3-Month USD LIBOR | 2.24% | 3M/6M | 11/27/2024 | Morgan Stanley & Co. LLC | 2,580,000 USD | 205,422 | 2,511 | 202,911 | |||||||||||||||||||
Pays | 3-Month USD LIBOR | 2.26% | 3M/6M | 04/26/2024 | Morgan Stanley & Co. LLC | 3,000,000 USD | 214,465 | — | 214,465 | |||||||||||||||||||
Pays | 3-Month USD LIBOR | 2.28% | 3M/6M | 04/25/2026 | Morgan Stanley Capital Services LLC | 6,397,000 USD | 660,199 | — | 660,199 | |||||||||||||||||||
Pays | 3-Month USD LIBOR | 2.28% | 3M/6M | 12/27/2024 | Morgan Stanley & Co. LLC | 3,310,000 USD | 278,059 | (1,411) | 279,470 | |||||||||||||||||||
Pays | 3-Month USD LIBOR | 2.40% | 3M/6M | 05/27/2026 | Morgan Stanley Capital Services LLC | 2,366,000 USD | 263,926 | — | 263,926 | |||||||||||||||||||
Pays | 3-Month USD LIBOR | 2.41% | 3M/6M | 04/25/2026 | Morgan Stanley Capital Services LLC | 3,899,000 USD | 432,741 | (26,506) | 459,247 | |||||||||||||||||||
Pays | 3-Month USD LIBOR | 2.44% | 3M/6M | 04/25/2026 | Morgan Stanley Capital Services LLC | 6,534,000 USD | 736,232 | — | 736,232 | |||||||||||||||||||
Pays | 3-Month USD LIBOR | 2.58% | 3M/6M | 02/25/2026 | Morgan Stanley & Co. LLC | 2,348,000 USD | 276,505 | — | 276,505 | |||||||||||||||||||
Pays | 3-Month USD LIBOR | 2.62% | 3M/6M | 02/25/2026 | Morgan Stanley Capital Services LLC | 3,709,500 USD | 447,940 | (25,383) | 473,323 | |||||||||||||||||||
Pays | 3-Month USD LIBOR | 2.66% | 3M/6M | 01/25/2026 | Morgan Stanley Capital Services LLC | 1,905,000 USD | 231,771 | 412 | 231,359 | |||||||||||||||||||
Pays | 3-Month USD LIBOR | 2.83% | 3M/6M | 02/26/2025 | Morgan Stanley & Co. LLC | 1,528,000 USD | 171,369 | (1,314) | 172,683 |
See Notes to Consolidated Financial Statements.
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March 31, 2020
The | Floating Rate Index | Fixed Rate | Pay/ Receive Payment Frequency | Maturity | Counterparty | Notional Amount | Market Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | |||||||||||||||||||
Pays | 3-Month USD LIBOR | 2.87% | 3M/6M | 04/25/2025 | Morgan Stanley & Co. LLC | 2,883,000 USD | $ | 339,010 | $ | — | $ | 339,010 | ||||||||||||||||
Pays | 3-Month USD LIBOR | 2.92% | 3M/6M | 08/28/2025 | Morgan Stanley & Co. LLC | 3,185,000 USD | 406,519 | — | 406,519 | |||||||||||||||||||
Pays | 3-Month USD LIBOR | 3.00% | 3M/6M | 06/25/2025 | Morgan Stanley & Co. LLC | 2,272,000 USD | 292,971 | — | 292,971 | |||||||||||||||||||
Pays | MXN | 6.01% | 28D/28D | 03/4/2022 | Credit Suisse Securities (USA) LLC | 1,050,000,000 USD | 219,999 | — | 219,999 | |||||||||||||||||||
Pays | MXN | 6.09% | 28D/28D | 03/7/2022 | Credit Suisse Securities (USA) LLC | 426,300,000 USD | 116,712 | — | 116,712 | |||||||||||||||||||
Pays | MXN | 6.57% | 28D/28D | 02/28/2022 | Credit Suisse Securities (USA) LLC | 441,000,000 USD | 285,836 | — | 285,836 | |||||||||||||||||||
Pays | MXN | 6.59% | 28D/28D | 02/25/2022 | Credit Suisse Securities (USA) LLC | 255,000,000 USD | 169,416 | — | 169,416 | |||||||||||||||||||
Pays | MXN | 6.59% | 28D/28D | 02/25/2022 | Credit Suisse Securities (USA) LLC | 361,667,000 USD | 240,282 | — | 240,282 | |||||||||||||||||||
Pays | MXN | 6.59% | 28D/28D | 01/31/2030 | Credit Suisse Securities (USA) LLC | 748,267,000 USD | (973,744) | — | (973,744) | |||||||||||||||||||
Pays | MXN | 6.60% | 28D/28D | 02/1/2030 | Credit Suisse Securities (USA) LLC | 748,267,000 USD | (954,970) | — | (954,970) | |||||||||||||||||||
Pays | MXN | 6.84% | 28D/28D | 03/6/2030 | Credit Suisse Securities (USA) LLC | 162,920,366 USD | (87,028) | — | (87,028) | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 0.61% | 6M/3M | 06/21/2023 | Goldman Sachs Bank USA | 1,300,000 USD | 9,242 | 68 | 9,174 | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 0.65% | 6M/3M | 06/8/2022 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 14,000,000 USD | (83,872) | — | (83,872) | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 0.66% | 6M/3M | 03/11/2035 | Morgan Stanley Capital Services LLC | 1,500,000 USD | 29,434 | — | 29,434 | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 0.70% | 6M/3M | 06/30/2030 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 3,605,000 USD | (305) | — | (305) |
See Notes to Consolidated Financial Statements.
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March 31, 2020
The | Floating Rate Index | Fixed Rate | Pay/ Receive Payment Frequency | Maturity | Counterparty | Notional Amount | Market Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 0.74% | 6M/3M | 03/19/2027 | Morgan Stanley Capital Services LLC | 19,099,000 USD | $ | (197,133) | $ | — | $ | (197,133) | ||||||||||||||||
Receives | 3-Month USD LIBOR | 0.77% | 6M/3M | 03/25/2027 | Morgan Stanley Capital Services LLC | 13,006,000 USD | (160,064) | — | (160,064) | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 0.84% | 6M/3M | 06/19/2030 | Goldman Sachs Bank USA | 4,200,000 USD | 58,886 | — | 58,886 | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 1.10% | 6M/3M | 03/25/2030 | Morgan Stanley Capital Services LLC | 1,500,000 USD | (57,986) | — | (57,986) | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 1.32% | 6M/3M | 02/28/2027 | Morgan Stanley Capital Services LLC | 5,000,000 USD | (243,785) | — | (243,785) | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 1.46% | 6M/3M | 02/14/2024 | Morgan Stanley Capital Services LLC | 10,000,000 USD | (383,093) | — | (383,093) | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 1.48% | 6M/3M | 01/2/2025 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 4,163,000 USD | (192,106) | — | (192,106) | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 1.49% | 6M/3M | 08/27/2029 | Morgan Stanley Capital Services LLC | 3,140,000 USD | (231,243) | — | (231,243) | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 1.51% | 6M/3M | 09/25/2029 | Morgan Stanley Capital Services LLC | 2,000,000 USD | (152,674) | — | (152,674) | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 1.52% | 6M/3M | 02/5/2025 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 6,245,000 USD | (303,450) | — | (303,450) | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 1.53% | 6M/3M | 02/25/2022 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 47,860,000 USD | (943,095) | — | (943,095) | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 1.53% | 6M/3M | 02/5/2022 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 11,244,800 USD | (216,582) | — | (216,582) | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 1.54% | 6M/3M | 01/2/2022 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 80,236,000 USD | (1,483,547) | — | (1,483,547) | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 1.55% | 6M/3M | 01/28/2025 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 4,580,000 USD | (227,856) | — | (227,856) |
See Notes to Consolidated Financial Statements.
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March 31, 2020
The | Floating Rate Index | Fixed Rate | Pay/ Receive Payment Frequency | Maturity | Counterparty | Notional Amount | Market Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 1.55% | 6M/3M | 02/5/2022 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 25,106,000 USD | $ | (489,589) | $ | — | $ | (489,589) | ||||||||||||||||
Receives | 3-Month USD LIBOR | 1.55% | 6M/3M | 02/27/2022 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 14,928,000 USD | (301,951) | — | (301,951) | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 1.55% | 6M/3M | 02/27/2022 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 5,033,000 USD | (102,139) | — | (102,139) | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 1.55% | 6M/3M | 01/28/2022 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 10,000,000 USD | (193,332) | — | (193,332) | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 1.56% | 6M/3M | 09/26/2026 | Morgan Stanley & Co. LLC | 1,800,000 USD | (112,801) | 6,115 | (118,916) | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 1.57% | 6M/3M | 02/18/2022 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 25,187,000 USD | (508,675) | — | (508,675) | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 1.58% | 6M/3M | 05/21/2025 | Morgan Stanley Capital Services LLC | 10,000,000 USD | (540,030) | — | (540,030) | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 1.58% | 6M/3M | 02/18/2025 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 6,253,000 USD | (324,805) | — | (324,805) | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 1.59% | 6M/3M | 04/14/2022 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 15,118,000 USD | (347,116) | — | (347,116) | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 1.60% | 6M/3M | 12/9/2024 | Morgan Stanley Capital Services LLC | 11,333,700 USD | (595,732) | — | (595,732) | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 1.61% | 6M/3M | 03/23/2027 | Morgan Stanley Capital Services LLC | 7,000,000 USD | (493,005) | — | (493,005) | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 1.62% | 6M/3M | 03/24/2027 | Morgan Stanley Capital Services LLC | 7,000,000 USD | (495,950) | — | (495,950) | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 1.62% | 6M/3M | 07/25/2026 | Morgan Stanley & Co. LLC | 1,900,000 USD | (122,281) | 4,658 | (126,939) |
See Notes to Consolidated Financial Statements.
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March 31, 2020
The | Floating Rate Index | Fixed Rate | Pay/ Receive Payment Frequency | Maturity | Counterparty | Notional Amount | Market Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 1.62% | 6M/3M | 04/14/2025 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 5,222,000 USD | $ | (289,378) | $ | — | $ | (289,378) | ||||||||||||||||
Receives | 3-Month USD LIBOR | 1.63% | 6M/3M | 11/6/2027 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 40,000,000 USD | (2,823,493) | — | (2,823,493) | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 1.64% | 6M/3M | 07/22/2022 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 15,000,000 USD | (395,270) | — | (395,270) | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 1.66% | 6M/3M | 06/17/2025 | Citibank, N.A. | 10,000,000 USD | (603,283) | — | (603,283) | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 1.69% | 6M/3M | 07/29/2022 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 25,000,000 USD | (684,743) | — | (684,743) | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 1.72% | 6M/3M | 02/18/2030 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 1,945,000 USD | (191,219) | — | (191,219) | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 1.73% | 6M/3M | 12/16/2026 | Morgan Stanley Capital Services LLC | 3,500,000 USD | (269,492) | — | (269,492) | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 1.73% | 6M/3M | 07/15/2023 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 100,000,000 USD | (4,117,550) | — | (4,117,550) | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 1.77% | 6M/3M | 11/25/2029 | Morgan Stanley Capital Services LLC | 1,000,000 USD | (101,136) | 43 | (101,179) | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 1.77% | 6M/3M | 10/24/2021 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 18,500,000 USD | (361,857) | — | (361,857) | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 1.81% | 6M/3M | 02/1/2024 | Morgan Stanley Capital Services LLC | 2,500,000 USD | (128,246) | — | (128,246) | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 1.84% | 6M/3M | 01/22/2025 | Morgan Stanley Capital Services LLC | 5,000,000 USD | (317,795) | — | (317,795) | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 1.86% | 6M/3M | 12/21/2023 | Morgan Stanley Capital Services LLC | 8,000,000 USD | (421,550) | — | (421,550) | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 1.86% | 6M/3M | 12/11/2020 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 15,000,000 USD | (134,289) | — | (134,289) | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 1.86% | 6M/3M | 05/25/2022 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 8,200,000 USD | (245,419) | — | (245,419) | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 1.88% | 6M/3M | 01/24/2027 | Morgan Stanley Capital Services LLC | 1,500,000 USD | (129,907) | — | (129,907) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
March 31, 2020
The | Floating Rate Index | Fixed Rate | Pay/ Receive Payment Frequency | Maturity | Counterparty | Notional Amount | Market Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 1.90% | 6M/3M | 08/27/2029 | Morgan Stanley Capital Services LLC | 1,650,000 USD | $ | (184,046) | $ | — | $ | (184,046) | ||||||||||||||||
Receives | 3-Month USD LIBOR | 1.98% | 6M/3M | 07/25/2029 | Morgan Stanley Capital Services LLC | 4,000,000 USD | (473,523) | — | (473,523) | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 2.05% | 6M/3M | 11/30/2024 | Morgan Stanley Capital Services LLC | 5,000,000 USD | (358,458) | — | (358,458) | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 2.18% | 6M/3M | 06/26/2027 | Morgan Stanley & Co. LLC | 2,100,000 USD | (234,649) | 11,201 | (245,850) | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 2.22% | 6M/3M | 09/29/2024 | Morgan Stanley Capital Services LLC | 2,000,000 USD | (155,512) | — | (155,512) | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 2.27% | 6M/3M | 01/25/2026 | Morgan Stanley & Co. LLC | 2,000,000 USD | (196,159) | — | (196,159) | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 2.28% | 6M/3M | 04/25/2026 | Morgan Stanley Capital Services LLC | 6,397,000 USD | (660,199) | (660,786) | 587 | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 2.30% | 6M/3M | 01/26/2025 | Morgan Stanley & Co. LLC | 900,000 USD | (76,732) | 4,800 | (81,532) | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 2.33% | 6M/3M | 08/25/2025 | Morgan Stanley & Co. LLC | 35,250,000 USD | (3,371,044) | 229,547 | (3,600,591) | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 2.34% | 6M/3M | 01/25/2027 | Morgan Stanley & Co. LLC | 1,000,000 USD | (116,200) | — | (116,200) | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 2.35% | 6M/3M | 11/8/2024 | Morgan Stanley Capital Services LLC | 4,000,000 USD | (339,602) | — | (339,602) | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 2.37% | 6M/3M | 11/1/2024 | Morgan Stanley Capital Services LLC | 2,000,000 USD | (170,794) | — | (170,794) | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 2.37% | 6M/3M | 11/24/2028 | Morgan Stanley Capital Services LLC | 2,000,000 USD | (290,681) | — | (290,681) | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 2.38% | 6M/3M | 10/5/2023 | Morgan Stanley Capital Services LLC | 3,000,000 USD | (202,183) | — | (202,183) | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 2.39% | 6M/3M | 11/16/2028 | Morgan Stanley Capital Services LLC | 4,000,000 USD | (585,928) | — | (585,928) | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 2.40% | 6M/3M | 01/25/2027 | Morgan Stanley & Co. LLC | 2,900,000 USD | (348,546) | 24,111 | (372,657) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
March 31, 2020
The | Floating Rate Index | Fixed Rate | Pay/ Receive Payment Frequency | Maturity | Counterparty | Notional Amount | Market Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 2.41% | 6M/3M | 02/27/2027 | Morgan Stanley & Co. LLC | 2,300,000 USD | $ | (281,570) | $ | — | $ | (281,570) | ||||||||||||||||
Receives | 3-Month USD LIBOR | 2.41% | 6M/3M | 12/22/2022 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 50,000,000 USD | (2,708,028) | — | (2,708,028) | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 2.42% | 6M/3M | 09/22/2024 | Morgan Stanley Capital Services LLC | 2,000,000 USD | (173,371) | — | (173,371) | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 2.42% | 6M/3M | 10/24/2024 | Morgan Stanley Capital Services LLC | 2,000,000 USD | (175,275) | — | (175,275) | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 2.43% | 6M/3M | 10/11/2026 | Citibank, N.A. | 3,000,000 USD | (359,307) | — | (359,307) | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 2.44% | 6M/3M | 04/25/2026 | Morgan Stanley Capital Services LLC | 6,534,000 USD | (736,233) | (736,917) | 684 | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 2.45% | 6M/3M | 10/18/2024 | Morgan Stanley Capital Services LLC | 4,000,000 USD | (354,065) | — | (354,065) | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 2.53% | 6M/3M | 09/25/2024 | Morgan Stanley & Co. LLC | 2,130,000 USD | (194,596) | — | (194,596) | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 2.58% | 6M/3M | 08/5/2025 | Morgan Stanley Capital Services LLC | 7,000,000 USD | (759,984) | — | (759,984) | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 2.58% | 6M/3M | 03/27/2027 | Morgan Stanley & Co. LLC | 300,000 USD | (40,905) | — | (40,905) | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 2.61% | 6M/3M | 02/25/2026 | Morgan Stanley & Co. LLC | 2,300,000 USD | (276,859) | — | (276,859) | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 2.62% | 6M/3M | 04/25/2026 | Morgan Stanley Capital Services LLC | 522,000 USD | (64,676) | (59,315) | (5,361) | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 2.67% | 6M/3M | 09/13/2028 | Morgan Stanley Capital Services LLC | 2,500,000 USD | (423,950) | — | (423,950) | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 2.72% | 6M/3M | 09/8/2028 | Citibank, N.A. | 1,000,000 USD | (172,282) | — | (172,282) | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 2.72% | 6M/3M | 08/8/2028 | Morgan Stanley Capital Services LLC | 3,000,000 USD | (510,081) | — | (510,081) | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 2.83% | 6M/3M | 02/26/2025 | Morgan Stanley Capital Services LLC | 1,496,000 USD | (168,836) | (171,226) | 2,390 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
March 31, 2020
The | Floating Rate Index | Fixed Rate | Pay/ Receive Payment Frequency | Maturity | Counterparty | Notional Amount | Market Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 2.83% | 6M/3M | 07/29/2029 | Morgan Stanley Capital Services LLC | 3,000,000 USD | $ | (590,787) | $ | — | $ | (590,787) | ||||||||||||||||
Receives | 3-Month USD LIBOR | 2.90% | 6M/3M | 03/27/2026 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 20,000,000 USD | (2,798,007) | — | (2,798,007) | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 3.02% | 6M/3M | 09/25/2025 | Morgan Stanley & Co. LLC | 2,000,000 USD | (271,150) | — | (271,150) | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 3.08% | 6M/3M | 04/30/2027 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 20,000,000 USD | (3,467,860) | — | (3,467,860) | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 3.15% | 6M/3M | 05/21/2022 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 20,000,000 USD | (1,146,904) | — | (1,146,904) | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 3.21% | 6M/3M | 05/25/2033 | Morgan Stanley & Co. LLC | 2,000,000 USD | (442,446) | (1,053) | (441,393) | |||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
Total Centrally Cleared Interest Rate Swaps Outstanding |
| $ | (25,370,023) | $ | (1,455,376) | $ | (23,914,647) | |||||||||||||||||||||
|
|
|
|
|
|
Abbreviation Legend: | ||||
1Y | Yearly | |||
7D | 7 Days | |||
28D | 28 Days | |||
3M | Quarterly | |||
6M | Semi-Annually | |||
ADR | American Depository Receipt | |||
BADLARPP | BADLAR Private Banks | |||
CBOT | Chicago Board of Trade | |||
CDE | Montreal Exchange | |||
CME | Chicago Mercantile Exchange | |||
COMEX | Commodities Exchange Center | |||
CNRR007 | China Reverse Repo Rate | |||
Eurex | Eurex Exchange | |||
EURIBOR | Euro Interbank Offered Rate | |||
Euronext | Euronext Paris | |||
HKFE | Hong Kong Futures Exchange Ltd. | |||
ICE | Ice Futures Europe | |||
IDEM | Italian Derivatives Exchange Market | |||
ISE | Istanbul Stock Exchange | |||
KRX FM | Korea Exchange (Futures Market) | |||
LIBOR | London Interbank Offered Rate | |||
LME | London Metal Exchange | |||
M | Monthly |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments (Continued)
March 31, 2020
MTN | Medium Term Note | |||
MYX | Bursa Malaysia | |||
Nasdaq-OMX | NASDAQ OMX Stockholm | |||
NYMEX | New York Mercantile Exchange | |||
OSE | Osaka Exchange | |||
OTC | Over the Counter | |||
PIK | Payment in Kind | |||
REG S | Regulation-S | |||
REIT | Real Estate Investment Trust | |||
SFE | ASX Trade24 | |||
SGX | Singapore Exchange | |||
T | At Maturity | |||
TFEX | Thailand Futures Exchange | |||
Currency Legend: | ||||
AUD | Australian Dollar | |||
BRL | Brazilian Real | |||
CAD | Canadian Dollar | |||
CHF | Swiss Franc | |||
CNH | Chinese Renminbi | |||
CNY | Chinese Yuan | |||
DKK | Danish Krone | |||
EGP | Egyptian Pound | |||
EUR | Euro | |||
GBP | British Pound | |||
HKD | Hong Kong Dollar | |||
HUF | Hungarian Forint | |||
IDR | Indonesian Rupiah | |||
INR | Indian Rupee | |||
JPY | Japanese Yen | |||
KRW | South Korean Won | |||
MXN | Mexican Peso | |||
MYR | Malaysian Ringgit | |||
NGN | Nigerian Naira | |||
NOK | Norwegian Krone | |||
NZD | New Zealand Dollar | |||
RUB | Russian Ruble | |||
SEK | Swedish Krona | |||
SGD | Singapore Dollar | |||
THB | Thai Baht | |||
TRY | Turkish Lira | |||
USD | United States Dollar | |||
ZAR | South African Rand |
See Notes to Consolidated Financial Statements.
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Consolidated Statement of Assets and Liabilities
As of March 31, 2020
Assets: |
| |||
Investments in securities, at fair value (cost $6,325,981,492) | $ | 5,475,400,062 | ||
Cash | 2,190,708,712 | |||
Cash denominated in foreign currencies (cost of $106,522,841) | 107,676,816 | |||
Segregated cash balance with broker for securities sold short | 266,496,311 | |||
Segregated cash balance with custodian for derivative financial instruments | 80,535,000 | |||
Segregated cash balance with counterparties for futures contracts | 42,682,963 | |||
Segregated cash balance with counterparties for centrally cleared derivatives | 32,176,492 | |||
Segregated cash balance with counterparties for OTC derivatives | 47,125,548 | |||
Segregated cash balance with broker for TBAs | 1,770,000 | |||
Segregated cash balance with counterparties for reverse repurchase agreements | 187,387,326 | |||
Unrealized appreciation on forward foreign currency exchange contracts | 24,598,059 | |||
Income receivable | 35,791,227 | |||
Receivable for investments sold | 425,891,992 | |||
Receivable for Fund shares sold | 6,481,271 | |||
Receivable for periodic payments from swap contracts | 4,366,214 | |||
Variation margin receivable on futures | 66,508,804 | |||
Variation margin receivable on centrally cleared swaps | 6,337,975 | |||
Swap contracts, at fair value (net premiums paid $51,189,569) | 120,803,803 | |||
Prepaid expenses and other assets | 147,723 | |||
|
| |||
Total assets | 9,122,886,298 | |||
|
| |||
Liabilities: |
| |||
Securities sold short, at fair value (proceeds of $438,971,758) | 360,778,030 | |||
Cash received as collateral from custodian for derivative financial instruments | 9,050,000 | |||
Cash received as collateral from counterparty for centrally cleared derivatives | 18,874,845 | |||
Cash received as collateral for swaps and reverse repurchase agreements | 1,720,503 | |||
Cash received as collateral from counterparty for OTC derivatives | 9,035,000 | |||
Options written, at fair value (premiums received $15,465,229) | 12,181,950 | |||
Unrealized depreciation on forward foreign currency exchange contracts | 11,998,355 | |||
Payable for reverse repurchase agreements | 1,165,443,991 | |||
Payable for investments purchased | 715,892,721 | |||
Payable for Fund shares redeemed | 38,349,057 | |||
Payable for periodic payments from swap contracts | 32,938,195 | |||
Variation margin payable on futures | 11,404,815 | |||
Variation margin payable on centrally cleared swaps | 37,329,542 | |||
Swap contracts, at fair value (net premiums received $24,803,462) | 118,881,038 | |||
Dividend and interest income payable on securities sold short | 1,454,355 | |||
Management fee payable | 36,453,291 | |||
Accrued expenses and other liabilities | 12,829,058 | |||
|
| |||
Total liabilities | 2,594,614,746 | |||
|
| |||
Net assets | $ | 6,528,271,552 | ||
|
| |||
Net Assets Consist of: |
| |||
Paid-in capital | $ | 7,780,408,964 | ||
Total distributable earnings (loss) | (1,252,137,412 | ) | ||
|
| |||
Net assets | $ | 6,528,271,552 | ||
|
|
See Notes to Consolidated Financial Statements.
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Consolidated Statement of Assets and Liabilities (Continued)
As of March 31, 2020
Net Asset Value: |
| |||
Class I Shares |
| |||
Net Assets | $ | 4,734,371,836 | ||
Class I Shares outstanding, no par value, unlimited shares authorized | 521,138,289 | |||
|
| |||
Net asset value per share | $ | 9.08 | ||
|
| |||
Class D Shares |
| |||
Net Assets | $ | 40,986,710 | ||
Class D Shares outstanding, no par value, unlimited shares authorized | 4,504,458 | |||
|
| |||
Net asset value per share | $ | 9.10 | ||
|
| |||
Class Y Shares |
| |||
Net Assets | $ | 1,752,913,006 | ||
Class Y Shares outstanding, no par value, unlimited shares authorized | 194,437,258 | |||
|
| |||
Net asset value per share | $ | 9.02 | ||
|
|
See Notes to Consolidated Financial Statements.
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Consolidated Statement of Operations
For the Year Ended March 31, 2020
Investment Income: | ||||
Interest (including net foreign taxes withheld of $1,252) | $ | 274,990,454 | ||
Dividends (including net foreign taxes withheld of $2,693,734) | 40,421,007 | |||
Stock borrow rebates | 16,726,941 | |||
|
| |||
Total income | 332,138,402 | |||
|
| |||
Expenses: | ||||
Management fees | $ | 145,393,794 | ||
Administration fees | 5,721,283 | |||
Custodian fees | 2,596,322 | |||
Trustees’ fees | 822,001 | |||
Distribution fees — Class D | 136,991 | |||
Shareholder service fees | 5,218,667 | |||
Registration fees | 317,563 | |||
Printing and postage fees | 809,421 | |||
Professional fees | 6,325,799 | |||
Dividends and interest on securities sold short | 29,963,493 | |||
Line of credit fee | 1,148,022 | |||
Interest fees | 18,756,833 | |||
Other | 290,116 | |||
|
| |||
Total expenses | 217,500,305 | |||
|
| |||
Net investment income | 114,638,097 | |||
|
| |||
Net Realized and Unrealized Gain (Loss): | ||||
Net realized loss on investments in securities | (338,668,554 | ) | ||
Net realized gain on securities sold short | 225,761,957 | |||
Net realized gain on forward foreign currency exchange contracts | 9,637,963 | |||
Net realized loss on foreign currency transactions | (9,318,525 | ) | ||
Net realized loss on futures contracts | (29,890,068 | ) | ||
Net realized loss on options written | (18,540,552 | ) | ||
Net realized gain on swap contracts | 25,770,151 | |||
Net change in unrealized depreciation on investments in securities | (1,021,332,085 | ) | ||
Net change in unrealized appreciation on securities sold short | 94,661,341 | |||
Net change in unrealized appreciation on forward foreign currency exchange contracts | 12,975,511 | |||
Net change in unrealized depreciation on foreign currency translations | (691,709 | ) | ||
Net change in unrealized depreciation on futures contracts | (2,726,088 | ) | ||
Net change in unrealized appreciation on options written | 3,023,907 | |||
Net change in unrealized depreciation on swap contracts | (54,021,465 | ) | ||
Net change in unrealized appreciation on unfunded loan commitments | 1,749 | |||
|
| |||
Net realized and unrealized loss | (1,103,356,467 | ) | ||
|
| |||
Net decrease in net assets resulting from operations | $ | (988,718,370 | ) | |
|
|
See Notes to Consolidated Financial Statements.
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Consolidated Statement of Changes in Net Assets
Year Ended 3/31/2020 | Year Ended 3/31/2019 | |||||||
Increase (Decrease) in Net Assets | ||||||||
Operations: | ||||||||
Net investment income | $ | 114,638,097 | $ | 59,622,837 | ||||
Net realized gain (loss) | (135,247,628 | ) | 238,240,068 | |||||
Net change in unrealized depreciation | (968,108,839 | ) | (110,055,438 | ) | ||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | (988,718,370 | ) | 187,807,467 | |||||
|
|
|
| |||||
Distributions: | ||||||||
Distributions from earnings | ||||||||
Class I Shares | (213,950,691 | ) | (97,132,171 | ) | ||||
Class D Shares | (1,248,825 | ) | (4,863,507 | ) | ||||
Class Y Shares | (78,417,862 | ) | (29,941,933 | ) | ||||
|
|
|
| |||||
Total distributions to shareholders | (293,617,378 | ) | (131,937,611 | ) | ||||
|
|
|
| |||||
Capital Transactions: | ||||||||
Shareholder subscriptions: | ||||||||
Proceeds from sale of Class I Shares | 2,159,651,178 | 1,922,314,057 | ||||||
Proceeds from sale of Class D Shares | 24,881,951 | 140,535,776 | ||||||
Proceeds from sale of Class Y Shares | 1,157,789,108 | 1,207,817,191 | ||||||
Shareholder reinvestments: | ||||||||
Net asset value of Class I Shares issued to shareholders in payment of distributions declared | 147,096,547 | 61,802,915 | ||||||
Net asset value of Class D Shares issued to shareholders in payment of distributions declared | 1,173,636 | 4,825,098 | ||||||
Net asset value of Class Y Shares issued to shareholders in payment of distributions declared | 78,217,640 | 29,854,743 | ||||||
Shareholder redemptions: | ||||||||
Cost of Class I Shares redeemed | (1,919,545,972 | ) | (1,824,716,261 | ) | ||||
Cost of Class D Shares redeemed | (276,004,337 | ) | (80,401,578 | ) | ||||
Cost of Class Y Shares redeemed | (772,106,834 | ) | (312,461,562 | ) | ||||
|
|
|
| |||||
Net increase in net assets resulting from capital transactions | 601,152,917 | 1,149,570,379 | ||||||
|
|
|
| |||||
Net decrease in net assets | (681,182,831 | ) | 1,205,440,235 | |||||
|
|
|
| |||||
Net Assets: | ||||||||
Beginning of period | 7,209,454,383 | 6,004,014,148 | ||||||
|
|
|
| |||||
End of period | $ | 6,528,271,552 | $ | 7,209,454,383 | ||||
|
|
|
|
See Notes to Consolidated Financial Statements.
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Consolidated Statement of Changes in Net Assets (Continued)
Year Ended 3/31/2020 | Year Ended 3/31/2019 | |||||||
Share Transactions: | ||||||||
Class I Shares | ||||||||
Beginning of period | 491,804,552 | 477,029,167 | ||||||
Shares issued | 200,846,060 | 180,341,853 | ||||||
Reinvestment in Shares | 13,798,925 | 5,948,308 | ||||||
Shares redeemed | (185,311,248 | ) | (171,514,776 | ) | ||||
|
|
|
| |||||
Net change in shares resulting from share transactions | 29,333,737 | 14,775,385 | ||||||
|
|
|
| |||||
End of period | 521,138,289 | 491,804,552 | ||||||
|
|
|
| |||||
Class D Shares | ||||||||
Beginning of period | 27,686,086 | 21,571,025 | ||||||
Shares issued | 2,332,799 | 13,214,635 | ||||||
Reinvestment in Shares | 109,891 | 465,264 | ||||||
Shares redeemed | (25,624,318 | ) | (7,564,838 | ) | ||||
|
|
|
| |||||
Net change in shares resulting from share transactions | (23,181,628 | ) | 6,115,061 | |||||
|
|
|
| |||||
End of period | 4,504,458 | 27,686,086 | ||||||
|
|
|
| |||||
Class Y Shares | ||||||||
Beginning of period | 151,628,621 | 64,824,921 | ||||||
Shares issued | 108,074,404 | 113,598,533 | ||||||
Reinvestment in Shares | 7,399,966 | 2,895,707 | ||||||
Shares redeemed | (72,665,733 | ) | (29,690,540 | ) | ||||
|
|
|
| |||||
Net change in shares resulting from share transactions | 42,808,637 | 86,803,700 | ||||||
|
|
|
| |||||
End of period | 194,437,258 | 151,628,621 | ||||||
|
|
|
|
See Notes to Consolidated Financial Statements.
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Consolidated Statement of Cash Flows
For the Year Ended March 31, 2020
Cash Flows from Operating Activities: | ||||
Net decrease in net assets resulting from operations | $ | (988,718,370 | ) | |
Adjustments to reconcile net increase (decrease) in net assets resulting from operations to net cash provided by operating activities: | ||||
Purchases of investments in securities | (13,323,048,243 | ) | ||
Proceeds from disposition of investments in securities | 14,548,683,643 | |||
Proceeds from securities sold short | 4,801,845,616 | |||
Payments to cover securities sold short | (5,682,450,193 | ) | ||
Short-term investments, net | (217,798,591 | ) | ||
Premiums paid on closing options written | (22,961,553 | ) | ||
Proceeds from premiums received from options written | 19,062,452 | |||
Net realized loss on investments in securities | 338,668,554 | |||
Net realized gain on securities sold short | (225,761,957 | ) | ||
Net realized loss on options written | 18,540,552 | |||
Net realized gain on reverse repurchase agreements | (74,384 | ) | ||
Net change in accretion of bond discount and amortization of bond and swap premium | (12,976,679 | ) | ||
Net change in unrealized depreciation on investments in securities | 1,021,332,085 | |||
Net change in unrealized appreciation on securities sold short | (94,661,341 | ) | ||
Net change in unrealized appreciation on options written | (3,023,907 | ) | ||
Net change in unrealized appreciation on reverse repurchase agreements | (3,657,862 | ) | ||
Changes in assets and liabilities: | ||||
(Increase) decrease in assets: | ||||
Unrealized appreciation on forward foreign currency exchange contracts | (21,134,183 | ) | ||
Income receivable | 12,134,812 | |||
Receivable for periodic payments from swap contracts | 4,283,565 | |||
Variation margin receivable on futures | (11,954,515 | ) | ||
Variation margin receivable on centrally cleared swaps | 40,548,738 | |||
Swap contracts, at fair value | (89,698,538 | ) | ||
Prepaid expenses and other assets | 30,825 | |||
Increase (decrease) in liabilities: | ||||
Cash received as collateral for swaps and reverse repurchase agreements | 1,720,503 | |||
Cash received as collateral from custodian for derivative financial instruments | 6,740,000 | |||
Cash received as collateral from counterparty for OTC derivatives | 4,291,550 | |||
Cash received as collateral from counterparty for centrally cleared derivatives | 18,874,845 | |||
Cash received as collateral from broker for TBAs | (2,055,508 | ) | ||
Unrealized depreciation on forward foreign currency exchange contracts | 8,158,672 | |||
Swap contracts, at fair value | 66,610,839 | |||
Variation margin payable on futures | 5,980,661 | |||
Variation margin payable on centrally cleared swaps | 36,510,942 | |||
Payable for periodic payments from swap contracts | 26,729,463 | |||
Dividend and interest income payable on securities sold short | (89,852 | ) | ||
Interest payable on reverse repurchase agreements | (190,784 | ) | ||
Change in unrealized on unfunded loan | (1,749 | ) | ||
Management fee payable | 4,153,591 | |||
Accrued expenses and other liabilities | (3,719,095 | ) | ||
|
| |||
Net cash provided by operating activities | $ | 280,924,604 | ||
|
|
See Notes to Consolidated Financial Statements.
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Consolidated Statement of Cash Flows (Continued)
For the Year Ended March 31, 2020
Cash Flows from Financing Activities | ||||
Proceeds from shares sold | $ | 3,347,815,316 | ||
Cost of shares repurchased | (2,934,995,837 | ) | ||
Proceeds from reverse repurchase agreements | 7,561,889,927 | |||
Repayment of reverse repurchase agreements | (7,116,470,768 | ) | ||
Distributions paid (net of reinvestment) | (67,129,555 | ) | ||
|
| |||
Net cash provided by financing activities | 791,109,083 | |||
|
| |||
Net increase (decrease) in unrestricted and restricted cash and foreign currency | 1,072,033,687 | |||
Unrestricted and restricted cash and foreign currency, beginning of period | 1,884,525,481 | |||
|
| |||
Unrestricted and restricted cash and foreign currency, end of period | $ | 2,956,559,168 | ||
|
| |||
Supplemental disclosure of cash flow information: | ||||
Cash paid during the period for interest | $ | 19,054,324 | ||
|
| |||
Non-Cash Financing Activities | ||||
Capital shares issued in reinvestment of distribution | $ | 226,487,823 | ||
|
|
Reconciliation of unrestricted and restricted cash to the statements of assets and liabilities
Year Ended March 31, 2020 | Year Ended March 31, 2019 | |||||||
Cash | $ | 2,190,708,712 | $ | 91,020,507 | ||||
Foreign currency at value | 107,676,816 | 92,074,376 | ||||||
Cash Pledged | ||||||||
Securities sold short | 266,496,311 | 1,387,470,682 | ||||||
Derivative financial instruments | 80,535,000 | 33,891,000 | ||||||
Futures contracts | 42,682,963 | 190,517,239 | ||||||
Centrally cleared derivatives | 32,176,492 | 81,936,051 | ||||||
OTC derivatives | 47,125,548 | 5,229,647 | ||||||
TBAs | 1,770,000 | — | ||||||
Reverse repurchase agreements | 187,387,326 | 2,385,979 | ||||||
|
|
|
| |||||
$ | 2,956,559,168 | $ | 1,884,525,481 | |||||
|
|
|
|
See Notes to Consolidated Financial Statements.
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Consolidated Financial Highlights
(For Shares Outstanding Throughout the Period)
Class I | ||||||||||||||||||||
Year | Year | Year | Year | Year | ||||||||||||||||
Net Asset Value, Beginning of Period | $ | 10.76 | $ | 10.67 | $ | 10.56 | $ | 9.82 | $ | 10.38 | ||||||||||
Income From Investment Operations: | ||||||||||||||||||||
Net investment income (loss)1 | 0.15 | 0.10 | 0.01 | 0.07 | (0.05 | ) | ||||||||||||||
Net realized and unrealized gain (loss) | (1.44 | ) | 0.19 | 0.31 | 0.72 | (0.26 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total From Investment Operations | (1.29 | ) | 0.29 | 0.32 | 0.79 | (0.31 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less Distributions to Shareholders: | ||||||||||||||||||||
From net investment income | (0.21 | ) | (0.13 | ) | (0.08 | ) | (0.05 | ) | (0.01 | ) | ||||||||||
From net realized capital gains | (0.18 | ) | (0.07 | ) | (0.13 | ) | — | (0.24 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Distributions | (0.39 | ) | (0.20 | ) | (0.21 | ) | (0.05 | ) | (0.25 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Asset Value, End of Period | $ | 9.08 | $ | 10.76 | $ | 10.67 | $ | 10.56 | $ | 9.82 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Return | (12.32 | )% | 2.76 | % | 3.06 | % | 8.03 | % | (3.01 | )% | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Ratios to Average Net Assets:2 | ||||||||||||||||||||
Total expenses before recoupment (reimbursement) from Investment Adviser | 0.94 | % | 1.33 | % | 0.89 | % | 1.15 | % | 1.30 | % | ||||||||||
Management Fees | 1.85 | % | 1.86 | % | 1.88 | % | 1.88 | % | 1.92 | % | ||||||||||
Recoupment (reimbursement) from Investment Adviser | — | — | — | — | 0.05 | % | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net expenses after recoupment (reimbursement) from Investment Adviser | 2.79 | % | 3.19 | % | 2.77 | % | 3.03 | % | 3.27 | % | ||||||||||
Excluded expenses3 | (0.65 | )% | (1.00 | )% | (0.57 | )% | (0.81 | )% | (0.93 | )% | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Expenses, net of impact of excluded expenses | 2.14 | % | 2.19 | % | 2.20 | % | 2.22 | % | 2.34 | % | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net investment income (loss) | 1.43 | % | 0.94 | % | 0.13 | % | 0.71 | % | (0.45 | )% | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Supplemental Data: | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 4,734,372 | $ | 5,292,572 | $ | 5,088,031 | $ | 3,597,704 | $ | 3,921,027 | ||||||||||
Portfolio turnover | 193 | % | 203 | % | 300 | % | 237 | % | 172 | % |
1 | Calculated using average shares outstanding during the period. |
2 | The ratios do not reflect the Fund’s share of the income and expenses of the underlying Investee Fund. |
3 | Represents expenses excluded from reimbursement by the Investment Adviser, as defined in the Expense Limitation and Reimbursement Agreement. See Note 7. |
See Notes to Consolidated Financial Statements.
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Consolidated Financial Highlights
(For Shares Outstanding Throughout the Period)
Class D | ||||||||||||||||||||
Year | Year | Year | Year | Year | ||||||||||||||||
Net Asset Value, Beginning of Period | $ | 10.73 | $ | 10.64 | $ | 10.53 | $ | 9.81 | $ | 10.38 | ||||||||||
Income From Investment Operations: | ||||||||||||||||||||
Net investment income (loss)1 | 0.13 | 0.06 | (0.03 | ) | 0.05 | (0.07 | ) | |||||||||||||
Net realized and unrealized gain (loss) | (1.46 | ) | 0.20 | 0.30 | 0.70 | (0.26 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total From Investment Operations | (1.33 | ) | 0.26 | 0.27 | 0.75 | (0.33 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less Distributions to Shareholders: | ||||||||||||||||||||
From net investment income | (0.12 | ) | (0.10 | ) | (0.03 | ) | (0.03 | ) | — | |||||||||||
From net realized capital gains | (0.18 | ) | (0.07 | ) | (0.13 | ) | — | (0.24 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Distributions | (0.30 | ) | (0.17 | ) | (0.16 | ) | (0.03 | ) | (0.24 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Asset Value, End of Period | $ | 9.10 | $ | 10.73 | $ | 10.64 | $ | 10.53 | $ | 9.81 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Return | (12.60 | )% | 2.50 | % | 2.60 | % | 7.70 | % | (3.22 | )% | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Ratios to Average Net Assets:2 | ||||||||||||||||||||
Total expenses before recoupment (reimbursement) from Investment Adviser | 1.18 | % | 1.71 | % | 1.27 | % | 1.40 | % | 1.55 | % | ||||||||||
Management Fees | 1.85 | % | 1.86 | % | 1.88 | % | 1.88 | % | 1.92 | % | ||||||||||
Recoupment (reimbursement) from Investment Adviser | — | — | — | — | 0.02 | % | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net expenses after recoupment (reimbursement) from Investment Adviser | 3.03 | % | 3.57 | % | 3.15 | % | 3.28 | % | 3.49 | % | ||||||||||
Excluded expenses3 | (0.90 | )% | (1.29 | )% | (0.81 | )% | (1.06 | )% | (1.18 | )% | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Expenses, net of impact of excluded expenses | 2.13 | % | 2.28 | % | 2.34 | % | 2.22 | % | 2.31 | % | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net investment income (loss) | 1.19 | % | 0.57 | % | (0.26 | )% | 0.48 | % | (0.66 | )% | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Supplemental Data: | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 40,987 | $ | 297,086 | $ | 229,593 | $ | 316,243 | $ | 22,811 | ||||||||||
Portfolio turnover | 193 | % | 203 | % | 300 | % | 237 | % | 172 | % |
1 | Calculated using average shares outstanding during the period. |
2 | The ratios do not reflect the Fund’s share of the income and expenses of the underlying Investee Fund. |
3 | Represents expenses excluded from reimbursement by the Investment Adviser, as defined in the Expense Limitation and Reimbursement Agreement. See Note 7. |
See Notes to Consolidated Financial Statements.
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Consolidated Financial Highlights
(For Shares Outstanding Throughout the Period)
Class Y | ||||||||||||||||||||
Year | Year | Year | Year | Year | ||||||||||||||||
Net Asset Value, Beginning of Period | $ | 10.68 | $ | 10.59 | $ | 10.48 | $ | 9.75 | $ | 10.29 | ||||||||||
Income From Investment Operations: | ||||||||||||||||||||
Net investment income (loss)1 | 0.16 | 0.09 | 0.02 | 0.08 | (0.03 | ) | ||||||||||||||
Net realized and unrealized gain (loss) | (1.42 | ) | 0.21 | 0.31 | 0.71 | (0.25 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total From Investment Operations | (1.26 | ) | 0.30 | 0.33 | 0.79 | (0.28 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less Distributions to Shareholders: | ||||||||||||||||||||
From net investment income | (0.22 | ) | (0.14 | ) | (0.09 | ) | (0.06 | ) | (0.02 | ) | ||||||||||
From net realized capital gains | (0.18 | ) | (0.07 | ) | (0.13 | ) | — | (0.24 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Distributions | (0.40 | ) | (0.21 | ) | (0.22 | ) | (0.06 | ) | (0.26 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Asset Value, End of Period | $ | 9.02 | $ | 10.68 | $ | 10.59 | $ | 10.48 | $ | 9.75 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Return | (12.25 | )% | 2.85 | % | 3.17 | % | 8.10 | % | (2.90 | )% | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Ratios to Average Net Assets:2 | ||||||||||||||||||||
Total expenses before recoupment (reimbursement) from Investment Adviser | 0.83 | % | 1.39 | % | 0.79 | % | 1.05 | % | 1.20 | % | ||||||||||
Management Fees | 1.85 | % | 1.86 | % | 1.88 | % | 1.88 | % | 1.92 | % | ||||||||||
Recoupment (reimbursement) from Investment Adviser | — | — | — | — | 0.00 | %3 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net expenses after recoupment (reimbursement) from Investment Adviser | 2.68 | % | 3.25 | % | 2.67 | % | 2.93 | % | 3.12 | % | ||||||||||
Excluded expenses4 | (0.62 | )% | (1.13 | )% | (0.57 | )% | (0.81 | )% | (0.92 | )% | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Expenses, net of impact of excluded expenses | 2.06 | % | 2.12 | % | 2.10 | % | 2.12 | % | 2.20 | % | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net investment income (loss) | 1.54 | % | 0.89 | % | 0.23 | % | 0.78 | % | (0.34 | )% | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Supplemental Data: | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 1,752,913 | $ | 1,619,797 | $ | 686,390 | $ | 432,327 | $ | 339,613 | ||||||||||
Portfolio turnover | 193 | % | 203 | % | 300 | % | 237 | % | 172 | % |
1 | Calculated using average shares outstanding during the period. |
2 | The ratios do not reflect the Fund’s share of the income and expenses of the underlying Investee Fund. |
3 | Represents less than 0.01%. |
4 | Represents expenses excluded from reimbursement by the Investment Adviser, as defined in the Expense Limitation and Reimbursement Agreement. See Note 7. |
See Notes to Consolidated Financial Statements.
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Notes to Consolidated Financial Statements
For the Year Ended March 31, 2020
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 anopen-end management investment company under the Investment Company Act of 1940, as amended (the “1940 Act”). During the year ended March 31, 2020, the Trust consisted of a single series, Blackstone Alternative Multi-Strategy Fund (the “Fund”). The Fund commenced operations offering Class I Shares on June 16, 2014. The Fund also offers Class D Shares, Class Y Shares and Class R Shares. Class D Shares and Class Y Shares commenced operations on November 17, 2014 and January 28, 2015, respectively. As of March 31, 2020, the Fund had not issued any Class R Shares. The Fund operates as a diversifiedopen-end investment company as defined in the 1940 Act.
The investment adviser of the Fund is Blackstone Alternative Investment Advisors LLC (“BAIA” or the “Investment Adviser”), a registered investment adviser under the Investment Advisers Act of 1940, as amended. The Board of Trustees (the “Board” and each member a “Trustee”) of the Trust supervises the conduct of the Fund’s affairs and has engaged BAIA to manage the Fund’sday-to-day investment activities pursuant to an investment management agreement. The Fund’s investment objective is to seek capital appreciation. In pursuing the Fund’s investment objective, the Investment Adviser focuses on the mitigation of market risk and seeks to maintain an investment portfolio with, on average, lower volatility relative to the broader equity markets. The Investment Adviser seeks to achieve the Fund’s objectives by allocating the Fund’s assets among a variety ofnon-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 thesub-advisers (the“Sub-Advisers”) with experience managing alternative investment strategies and among investment funds. The Investment Adviser also manages a portion of the Fund’s assets directly and, from time to time, may instructSub-Advisers with respect to particular investments. The Investment Adviser may allocate the Fund’s assets among discretionary andnon-discretionarySub-Advisers. Each discretionarySub-Adviser is responsible for theday-to-day management of the portion of the Fund’s assets that the Investment Adviser allocates to it. Eachnon-discretionarySub-Adviser is responsible for providing the Investment Adviser with a model portfolio for the assets allocated to it to be implemented by the Investment Adviser in its discretion. The Investment Adviser has the ultimate responsibility to oversee eachSub-Adviser (subject to the oversight of the Board). The Adviser also is responsible for recommending the hiring, termination, and replacementof Sub-Advisers.
The Fund’s assets may be invested in three wholly-owned and controlled subsidiaries of the Fund (collectively, the “Subsidiaries”), each of which has the same investment objective as the Fund. One of the Fund’s Subsidiaries, Blackstone Alternative Multi-Strategy Sub Fund II Ltd. (the “Cayman Subsidiary”), is a Cayman Islands exempted company. Both of the other Subsidiaries, Blackstone Alternative Multi-Strategy Sub Fund III L.L.C. (the “Domestic Subsidiary III”) and Blackstone Alternative Multi-Strategy Sub Fund IV L.L.C. (the “Domestic Subsidiary IV”), are Delaware limited liability companies. The Cayman Subsidiary invests, directly or indirectly through the use of derivatives, in securities and commodity interests. The Domestic Subsidiary III and the Domestic Subsidiary IV invest, directly or indirectly through the use of derivatives, almost entirely in securities (with only de minimis exposure to commodity interests). The consolidated financial statements include the financial statements of the Fund and the three Subsidiaries. Except where context otherwise requires, the term “Fund” refers to the Fund together with the applicable Subsidiaries.
The Fund and the Cayman Subsidiary are each a commodity pool subject to regulation by the Commodity Futures Trading Commission (“CFTC”). BAIA, the commodity pool operator of the Fund and the Cayman Subsidiary, is registered as such with the CFTC, but has claimed relief under Rules 4.12(c)(3) and 4.7 under the Commodity Exchange Act (“CEA”), respectively, from certain disclosure, reporting, and recordkeeping
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requirements otherwise applicable to commodity pools. Neither the Domestic Subsidiary III nor the Domestic Subsidiary IV intends to invest more than a de minimis level of its net assets in “commodity interests” (as defined under the CEA). Accordingly, BAIA is relying on CFTCNo-Action Letter12-38 with respect to the Domestic Subsidiary III and has claimed an exemption under Rule 4.13(a)(3) from registration as a commodity pool operator with respect to the Domestic Subsidiary IV.
Capitalized terms used, but not defined herein, shall have the meaning assigned to them in the Prospectus of the Fund.
2. Basis of Presentation
The Fund’s consolidated financial statements are prepared in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”) and are stated in U.S. dollars, except as otherwise noted. The preparation of consolidated financial statements in accordance with U.S. GAAP requires management to make certain estimates and assumptions that affect the reported amount of assets and liabilities, the disclosure of contingent assets and liabilities, and the reported amounts of income and expenses during the period. Actual results could differ from these estimates and these differences could be material.
The Fund is an investment company in accordance with Accounting Standards Codification 946,Financial Services—Investment Companies(“ASC 946”), which defines investment companies and prescribes specialized accounting and reporting requirements for investment companies.
Consolidation
The Fund consolidates its investment in the Subsidiaries. Accordingly, the consolidated financial statements include the assets and liabilities and the results of operations of the Subsidiaries. All material intercompany balances and transactions have been eliminated.
3. Significant Accounting Policies
Valuation Policy
The net asset value (“NAV”) of the Fund’s shares is calculated as of the close of regular trading on the New York Stock Exchange (“NYSE”) (generally 4:00 pm Eastern Time) on each day that the NYSE is open for business (a “Business Day”).
For purposes of calculating the NAV for each class of shares, the Fund values its investments in securities, securities sold short, derivative financial instruments and other investments at fair value. The Board has established procedures for determining the fair value of securities, including securities sold short, derivative financial instruments and other investments (together, the “investments”) (the “Valuation Procedures”). The Board has delegated to the Investment Adviserday-to-day responsibility for implementing the Valuation Procedures. The Investment Adviser’s management has formed the Fair Value Committee (the “FVC”), to which the Board has delegated responsibility for providing oversight of the valuation and pricing function of the Fund for all investments. Pursuant to the Valuation Procedures, if market quotations are not readily available (or are otherwise not reliable for a particular investment), the fair value will be determined by the FVC in good faith, and such determinations will be reported to the Board. Due to the inherent uncertainty, estimates of fair value may differ from the values that would have been used had a ready market for these investments existed and the differences could be material.
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For the Year Ended March 31, 2020
Market quotes are considered not readily available in circumstances where there is an absence of current or reliable market-based data (e.g., trade information, bid/ask information, or broker-dealer quotations), including where events occur after the close of the relevant market, but prior to the close of the NYSE, that materially affect the value of the Fund’s investments. In addition, market quotes are considered not readily available when, due to extraordinary circumstances, the exchanges or markets on which securities trade do not open for trading for the entire day and no other market prices are available. The Board has delegated to the FVC and the Investment Adviser the responsibility for monitoring significant events that may materially affect the values of the Fund’s investments and for determining whether the value of the applicable investments should bere-evaluated in light of such significant events. There were no instances of such determination made during the year ended March 31, 2020.
COVID-19 and Global Economic and Market Conditions
During March of 2020, the World Health Organization designated the global outbreak ofCOVID-19 as a pandemic, and numerous countries, including the United States, have declared national emergencies with respect toCOVID-19. The global impact of the outbreak continues to rapidly evolve, and many countries have instituted quarantines and restrictions on travel, closed financial markets and/or restricted trading, and closed or limited hours of operations ofnon-essential businesses. Such actions are creating severe economic contraction and adversely impacting many industries.
The continued rapid development and fluidity of this situation precludes any prediction as to the ultimate adverse impact ofCOVID-19 on financial market and economic conditions. The estimates and assumptions underlying these consolidated financial statements are based on the information available as of March 31, 2020, including judgments about the ultimate adverse impact ofCOVID-19 on financial market and economic conditions which may change substantially over time.
Fair Value Measurements
Fair value guidance defines fair value, establishes a framework for measuring fair value, and expands disclosures about fair value measurements. U.S. GAAP defines fair value as the price that the Fund would receive to sell an asset or pay to transfer a liability (i.e., the exit price) in an orderly transaction between market participants at the measurement date.
The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for investments categorized in Level 3. The inputs or methodology used for valuing an investment are not necessarily an indication of the risk associated with investing in those securities.
Investments measured and reported at fair value are classified and disclosed in one of the following levels within the fair value hierarchy based on the lowest level of input that is significant to the fair value measurement:
Level 1 – quoted prices are available in active markets for identical investments as of the measurement date. The Fund does not adjust the quoted price for these investments.
The types of investments categorized within Level 1 generally include actively traded domestic and certain foreign equity securities, short-term investments and derivative financial instruments actively traded on recognized exchanges.
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Level 2 – quoted prices are available in markets that are not active or model inputs are based on inputs that are either directly or indirectly observable as of the measurement date.
The types of investments categorized within Level 2 generally include certain foreign equities; fixed income securities including corporate and convertible bonds, loans, trade claims, sovereign debt obligations, U.S. Treasury obligations, and asset-backed and mortgage-backed securities;over-the-counter (“OTC”) derivative financial instruments such as total return swaps, interest rate swaps, credit default swaps, OTC options; and forward foreign currency exchange contracts (“Forwards”).
Level 3 – pricing inputs are unobservable and include instances where there is little, if any, market activity for the investment. Inputs reflect the best estimate of what market participants would use in determining fair value of investments as of the measurement date.
Changes in valuation techniques may result in transfers in or out of an investment’s assigned level within the fair value hierarchy.
Level 3 investments are valued by broker quotes, fair value models, or pricing services that may employ valuation techniques with unobservable inputs. At March 31, 2020, the total fair value of Level 3 investments was $256,072,135. The appropriateness of fair values for these securities are monitored on an ongoing basis, including through backtesting, pricing due diligence, unchanged price review, use of specialists, and consideration of macro security specific events.
Where appropriate, the accounting for Blackstone’s investments incorporates the changes in fair value of those investments as determined under U.S. GAAP. The decrease in Fund investments for the year ended March 31, 2020 was primarily from the unrealized depreciation in the fair value of underlying investments driven by the impact ofCOVID-19 and energy market dislocation. The significant inputs and assumptions required to determine the change in fair value of the investments of the Fund are discussed in more detail below.
A description of the valuation techniques applied to the Fund’s major categories of investments measured at fair value on a recurring basis are as follows:
Exchange-Traded Securities
Equity securities, including common stock, listed preferred stock, exchange-traded funds, special purpose acquisition companies, and derivative financial instruments, such as futures contracts and option contracts, that are traded on a recognized securities exchange or on the NASDAQ Global Market System (“NASDAQ”) are valued at the last reported sales price (or the official closing price of certain foreign exchanges) or the NASDAQ official closing price, as applicable. For securities traded on more than one exchange, the last reported sales price on the exchange where the security is primarily traded is used. To the extent these securities and derivative financial instruments are actively traded and adjustments are not applied, they are categorized as Level 1 within the fair value hierarchy.
The Fund may use a third-party fair valuation service provider to value foreign equity securities that are primarily traded outside of North America and South America. The third-party fair valuation service provider calculates a factor (“Fair Value Factor”) that is applied to adjust the last price of each such security in the event that there is movement in excess of a specified trigger (“Fair Value Trigger”), as measured by the movement between the prior close and the current close of the U.S. market. Foreign equities for which the last price has been adjusted by such factor will generally be categorized as Level 2 within the fair value hierarchy. As of March 31, 2020, certain foreign equity securities were classified as Level 2 since a Fair Value Factor was applied to the prices of these securities.
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Notes to Consolidated Financial Statements (Continued)
For the Year Ended March 31, 2020
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, 2020, the Fund had $1,617,265 invested in Morgan Stanley Institutional Liquidity Funds Treasury Securities Portfolio (MSUXX). Investments in money market funds are categorized as Level 1 within the fair value hierarchy and are valued at net asset value.
Derivative Financial Instruments
OTC derivative financial instruments, such as Forwards, OTC options contracts, or swap agreements, derive their value from underlying referenced instruments or obligations, indices, reference rates, and other inputs or a combination thereof. These contracts are normally valued by pricing service providers or based on broker-dealer quotations. Depending on the nature of the instruments and the terms of the transaction, the value of OTC derivative financial instruments can be estimated by a pricing service provider using a series of techniques, including industry standard pricing models. The pricing models use inputs that are observed from actively quoted markets such as issuer details, indices, spreads, yield curves, dividends and exchange rates. Derivative financial instruments that use similar valuation techniques and inputs as described above are categorized as Level 2 within the fair value hierarchy.
Centrally cleared swaps listed or traded on a multilateral or trade facility platform, such as a registered exchange, are valued at the daily settlement price determined by the clearing exchange. For centrally cleared credit default swaps, the clearing facility requires its members to provide actionable levels across complete term structures. These levels along with external third-party prices are used to produce daily settlement prices. Centrally cleared interest rate swaps are valued using a pricing model that references the underlying rates to produce the daily settlement price. These securities are categorized as Level 2 within the fair value hierarchy.
Fixed Income Securities
Fixed income securities, including corporate and convertible bonds, U.S. government sponsored agency securities, municipal bonds, U.S. Treasury obligations, foreign debt obligations, and bank debt are normally valued by pricing service providers on the basis of last available bid price or ask price for securities sold short. In determining the value of a particular investment, pricing service providers may use broker-dealer quotations, reported trades, or valuation estimates from their internal pricing models to determine the reported price that consider observable inputs. The pricing service providers’ internal models use observable inputs such as issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar assets. Securities that use similar valuation techniques and inputs as described above are categorized as Level 2 within the fair value hierarchy.
Mortgage-related securities (“MBS”) and asset-backed securities (“ABS”) are usually issued as separate tranches, or classes, of securities within each deal. These securities are also generally valued by pricing service providers that use broker-dealer quotations or valuation estimates from their internal pricing models. The pricing models for these securities usually consider tranche-level attributes, current market data, estimated cash flows and market-based yield spreads for each tranche, and incorporate deal collateral performance, as available. MBS and ABS that use similar valuation techniques and inputs as described above are categorized as Level 2 within the fair value hierarchy.
Investments in Investee Funds
The fair value of investments in unaffiliated hedge funds (collectively, the “Investee Funds”) is generally determined using the reported net asset value per share of the Investee Fund, or its equivalent, as a practical expedient for fair value, unless the investment in the Investee Fund is traded on a recognized securities exchange and a quoted price is available as of the measurement date. If the Investee Fund is not traded on an
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For the Year Ended March 31, 2020
exchange, the Fund may, as a practical expedient, estimate the fair value of an Investee Fund based on the reported net asset value per share or its equivalent if the reported net asset value per share or its equivalent of the Investee Fund is calculated in a manner consistent with the measurement principles applied to investment companies, in accordance with ASC 946.
Securities and Other Investments
Bank Debt
The Fund may invest in bank debt including, for example, corporate loans, trade claims, loan participations, direct debt, revolvers, bank loans, and bridge loans. The Fund invests in loans through novations, assignments, and participation interests. In a novation, the Fund typically assumes all of the rights of a lending institution, including the right to receive payments of principal and interest and other amounts directly from the borrower and to enforce its rights as a lender directly against the borrower. When the Fund takes an 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, 2020, the Fund had no outstanding commitments.
Mortgage-Related and Other Asset-Backed Securities
The Fund may invest in MBS (residential and commercial) and other ABS. These securities include mortgage pass-through securities, collateralized mortgage obligations, commercial mortgage-backed securities, residential mortgage-backed securities, collateralized debt obligations, collateralized loan obligations, and other securities that directly or indirectly represent a participation in, or are secured by and payable from, mortgage loans on real property. MBS and other ABS represent interests in pools of mortgages, loans or other assets. MBS are created from pools of residential or commercial mortgage loans, including loans made by savings and loans institutions, mortgage bankers, commercial banks and others. These securities typically provide a monthly payment that consists of principal and/or interest payments. Interest payments may be determined by fixed or adjustable rates. MBS and ABS are subject to credit, interest rate, valuation, liquidity, prepayment and extension risks.
Securities Sold Short
The Fund may sell securities short (a “Short Sale”). A Short Sale is a transaction whereby the Fund sells securities it does not own in anticipation of a decline in the market price of those securities, whereby the Fund’s broker will execute a borrow transaction to deliver the securities resulting from the Fund’s Short Sale. The Fund is obligated to repurchase the securities at the market price at the time of replacement. The Fund’s obligations to replace the securities in connection with a Short Sale are secured by collateral.
Upon entering into a Short Sale, the Fund establishes a liability which is recorded as securities sold short in the Consolidated Statement of Assets and Liabilities to represent securities due under the Short Sale
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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.
Investment Transactions and Related Investment Income
Investment transactions are recorded as of the trade date. Dividend income is recorded on theex-dividend date or, for certain foreign securities, as of the date notified. Interest income, which includes amortization of premiums and accretion of discounts onnon-defaulted fixed income securities, is recorded on an accrual basis and is accrued daily. Realized gains and losses on investments are determined on the identified cost basis, which is the same basis used for federal income tax purposes. Foreign income and foreign capital gains on some foreign securities may be subject to foreign taxes, which are accrued as applicable.
Allocation of Income and Expenses
The Fund uses the adjusted prior day net assets for each class of shares, adjusted for capital activity, to allocate Fund-level income and expenses and unrealized capital gains and lossespro-rata to each class of shares. Class-specific income and expenses are allocated directly to the applicable class.
Cash
At March 31, 2020, the Fund had $2,190,708,712 in domestic cash and $107,676,816 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 of 1986, as amended (the “Code”), applicable to regulated investment companies and to distribute all of its investment company taxable income and net long-term capital gains to its shareholders. Therefore, no federal income tax provision is expected to be required. The Fund plans to file U.S. federal and various state and local tax returns.
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Notes to Consolidated Financial Statements (Continued)
For the Year Ended March 31, 2020
For the current open tax years ending on October 31, 2016, October 31, 2017, October 31, 2018 and October 31, 2019, with respect to all major jurisdictions, management of the Fund has concluded that there are no significant uncertain tax positions that would require recognition in the consolidated financial statements. As a result, no income tax liability or expense, including interest and penalties, has been recorded within these consolidated financial statements.
Dividends and Distributions to Shareholders
Dividends from net investment income and distributions of net realized capital gains of the Fund, if any, are generally declared and paid in December; however, the Fund may make additional distributions at other times consistent with Rule19b-1 under the 1940 Act. Dividends and capital gain distributions paid by the Fund will be reinvested in additional Shares (see Note 6) of the Fund or, if elected by the Shareholder, paid in cash.
Segregation and Collateralization
In cases in which the 1940 Act and the interpretive positions of the SEC and its staff require that the Fund either delivers collateral or segregates assets in connection with certain investments (e.g., futures contracts, forwards, swaps and options written), or transactions considered to reflect borrowings (e.g., reverse repurchase agreements), the Fund will, consistent with SEC rules and/or other guidance issued by the SEC, segregate collateral or designate on its books and records cash or liquid securities having a market value at least equal to the amount that would otherwise be required to be physically segregated. Furthermore, based on requirements and agreements with certain exchanges and third party broker-dealers, the Fund engaging in such transactions may have requirements to deliver/deposit securities to/with an exchange or broker-dealer as collateral for certain investments to the extent consistent with the 1940 Act and interpretive positions of the SEC and its staff. The Fund may mitigate counterparty risk by procuring collateral and through netting provisions included within an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) entered into between the Fund and each of its respective counterparties. An ISDA Master Agreement may contain certain provisions regarding, among other things, the parties’ general obligations, representations, agreements, collateral requirements, events of default and early termination. Certain ISDA Master Agreements, or similar agreements, may allow the Fund to offset certain derivative financial instruments with collateral. At March 31, 2020, the Fund used the gross method of presentation in its consolidated financial statements and did not elect to offset amounts eligible for offset under enforceable master netting arrangements or similar agreements (“MNA”). The segregated cash balance with counterparties for OTC derivatives disclosed on the Consolidated Statement of Assets and Liabilities includes amounts for various derivative types which are comingled per the Fund’s ISDA Master Agreements. These amounts are shown gross. The amount of collateral moved to/from applicable counterparties is generally based upon minimum transfer amounts of up to $250,000. Collateral pledged by the Fund is segregated by the Fund’s custodian and identified as such in the Fund’s portfolio. Collateral can be in the form of cash or securities as agreed to by the Fund and the applicable counterparty. Typically, the Fund and counterparties are not permitted to sell, repledge or use the collateral they receive unless explicitly permitted by each respective governing agreement.
The Fund manages counterparty risk by entering into agreements only with counterparties that the Investment Adviser believes to have the financial resources to honor its obligations and by monitoring the financial stability of those counterparties. The agreements entered into by the Fund may contain credit risk related contingent features that may be triggered in certain circumstances to protect either party from a deterioration in creditworthiness of the other. Such circumstances may include a decrease in credit rating or, in the case of the Fund, a decrease in net asset value. If triggered, the Fund or counterparty may be entitled to additional cash margin and/or to terminate the contract. See Note 9 for a further discussion of the risks of the Fund, including credit and counterparty risk.
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Reverse Repurchase Agreements
The Fund may enter into reverse repurchase agreements. In a reverse repurchase agreement, the Fund sells a security in exchange for cash to a financial institution, the counterparty, with a simultaneous agreement to repurchase the same or substantially the same security at an agreed upon price and date, under the terms of a Master Repurchase Agreement (“MRA”). The Fund is entitled to receive principal and interest payments, if any, made on the security delivered to the counterparty during the term of the agreement. Cash received in exchange for securities delivered plus accrued interest payments to be made by the Fund to counterparties is reflected as a liability. Reverse repurchase agreements involve the risk that the market value of the securities purchased with the proceeds from the sale of securities received by the Fund may decline below the price of the securities the Fund is obligated to repurchase. Reverse repurchase agreements also involve credit risk with the counterparty to the extent that the value of securities subject to repurchase exceed the Fund’s liability under the reverse repurchase agreement. Securities subject to repurchase under reverse repurchase agreements, if any, are designated as such in the Consolidated Schedule of Investments. Due to the short term nature of the reverse repurchase agreements, face value approximates fair value. As of March 31, 2020, the face value of open reverse repurchase agreements for the Fund was $1,164,000,262. The weighted average daily balances of reverse repurchase agreements outstanding for the Fund during the year ended March 31, 2020 was approximately $706,148,550, at a weighted average weekly interest rate of 2.65%.
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)(2) | Cash Collateral Pledged(1) | Net Amount(3) | ||||||||||||||||
Barclays Bank plc | $ | (40,285,860 | ) | $ | 40,285,860 | $ | — | $ | — | |||||||||||
BNP Paribas S.A. | (50,093,775 | ) | 50,001,932 | 91,843 | — | |||||||||||||||
BNP Paribas Securities Corp. | (94,784,697 | ) | 83,370,015 | 11,414,682 | — | |||||||||||||||
Citigroup Global Markets, Inc. | (90,801,083 | ) | 87,221,598 | 3,579,485 | — | |||||||||||||||
Goldman Sachs Bank USA | (149,519,000 | ) | 138,618,840 | 10,900,160 | — | |||||||||||||||
Goldman Sachs International | (106,728,510 | ) | 97,197,769 | 9,530,741 | — | |||||||||||||||
HSBC Bank PLC | (69,255,696 | ) | 69,255,696 | — | — | |||||||||||||||
JPMorgan Chase Bank, N.A. | (297,174,568 | ) | 284,701,767 | 12,472,801 | — | |||||||||||||||
Merrill Lynch, Pierce, Fenner & Smith, Inc. | (1,588,000 | ) | 1,588,000 | — | — | |||||||||||||||
RBC (Barbados) Trading Bank Corporation | (24,467,691 | ) | 21,651,826 | 2,815,865 | — | |||||||||||||||
Royal Bank of Canada | (240,745,111 | ) | 235,863,299 | 4,881,812 | — | |||||||||||||||
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Total | $ | (1,165,443,991 | ) | $ | 1,109,756,602 | $ | 55,687,389 | $ | — | |||||||||||
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(1) | Additional required collateral pledged is not shown for financial reporting purposes. The total fair value ofnon-cash and cash collateral pledged at March 31, 2020 was $1,215,035,770 (including securities valued at $228,234,253 that have been pledged and received as collateral on a reverse repurchase agreement and repurchase agreement respectively) and $187,387,326, respectively. |
(2) | The total fair value of non-cash collateral in the table above includes securities valued at $224,234,035 that have been pledged and received as collateral on a reverse repurchase agreement and repurchase agreement respectively. |
(3) | Net amount represents the net receivable (payable) that would be due from/to the counterparty in the event of default. |
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Remaining Contractual Maturity of the Agreements As of March 31, 2020 | |||||||||||||||||||||||||
Overnight | <30 days | Between | >90 days | Total | |||||||||||||||||||||
Reverse Repurchase Agreements |
| ||||||||||||||||||||||||
Corporate Bonds & Notes | $ | — | $ | (128,032,865 | ) | $ | — | $ | — | $ | (128,032,865 | ) | |||||||||||||
Mortgage-Backed Securities | — | (124,053,181 | ) | (239,616,536 | ) | — | (363,669,717 | ) | |||||||||||||||||
Sovereign Debt | — | (410,649,968 | ) | (164,090,048 | ) | (35,716,381 | ) | (610,456,397 | ) | ||||||||||||||||
Asset-Backed Securities | — | — | (7,597,623 | ) | — | (7,597,623 | ) | ||||||||||||||||||
Collateral Cash | (55,687,389 | ) | — | — | — | (55,687,389 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total | $ | (55,687,389 | ) | $ | (662,736,014 | ) | $ | (411,304,207 | ) | $ | (35,716,381 | ) | $ | (1,165,443,991 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Gross amount of recognized liabilities for reverse repurchase agreements | $ | (1,165,443,991 | ) | ||||||||||||||||||||||
|
|
Securities Lending
The Fund may lend securities, through its agent, to certain qualified financial institutions. The loans are collateralized by cash in an amount at least equal to the market value of the securities loaned. The market value of securities loaned is determined daily and any additional required collateral is allocated to the Fund on the next Business Day. The initial collateral received by the Fund should have a value of at least 102% of the current value of loaned securities for U.S. securities and at least 105% for all other securities. The risk of borrower default will be borne by the Fund’s agent; the Fund will bear the risk of loss with respect to the investment of the cash collateral. The advantage of such loans is that the Fund continues to receive income on loaned securities while earning returns on the cash amounts which may be reinvested for the purchase of investments in securities. As of March 31, 2020, there were no securities on loan.
The SLA entered into by the Fund provides the right, in the event of default, for thenon-defaulting party to liquidate the collateral and calculate a net exposure to the defaulting party or request additional collateral. Under the agreement, the Fund can reinvest cash collateral.
When-Issued and Delayed-Delivery Transactions
The Fund may engage in when-issued or delayed-delivery transactions. The Fund records when-issued or delayed-delivery securities on the trade date and maintains security positions such that sufficient liquid assets will be available to make payment for the securities purchased. Securities purchased on a when-issued or delayed-delivery basis aremarked-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 aremarked-to-market daily and begin earning interest on the settlement date. Losses may occur due to the fact that the actual underlying mortgages received may be less favorable than those anticipated by the Fund.
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Notes to Consolidated Financial Statements (Continued)
For the Year Ended March 31, 2020
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 ASUNo. 2017-08,Receivables—Nonrefundable Fees and Other Costs (Subtopic310-20): 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. ASU2017-08 became 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 has evaluated the impact of this guidance and the cumulative effect was immaterial for the Fund.
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 year 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.
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Notes to Consolidated Financial Statements (Continued)
For the Year Ended March 31, 2020
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 aremarked-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.
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Notes to Consolidated Financial Statements (Continued)
For the Year Ended March 31, 2020
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 aremarked-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 ismarked-to-market daily in accordance with the option’s valuation policy. When a written option expires without being exercised or the Fund enters into a closing purchase transaction, the Fund realizes a gain (or loss if the cost of the closing purchase transaction exceeds the premium received when the option was sold) without regard to any unrealized gain or loss on the underlying instrument and the liability related to such option is eliminated. When a written call option is exercised, the Fund realizes a gain or loss, as adjusted for the premium received, from the sale of the underlying instrument. When a written put option is exercised, the premium received is offset against the amount paid for the purchase of the underlying instrument.
Swap Agreements
The Fund may enter into total return, interest rate, and credit default swap agreements (“Swaps”). Swaps are bilaterally negotiated agreements between the Fund and a counterparty in which the Fund and counterparty agree to make either periodic net payments on a specified notional amount or a net payment upon termination. Swap agreements are privately negotiated in the OTC market or may be executed in a multilateral or other trade facility platform, such as a registered exchange or swap execution facility (“centrally cleared swaps”). The Fund may enter into swap agreements for the purposes of managing exposure to interest rate, credit or market risk, or for other purposes. In connection with these agreements, securities or cash (“segregated cash” or “collateral”) may be paid or received, as applicable, by the Fund as collateral or margin in accordance with the terms of the respective swap agreements to provide assets of value and recourse in the event of default or bankruptcy/insolvency. Securities posted by the Fund as collateral for swaps are identified in the Consolidated Schedule of Investments and segregated cash, if any, is reflected in the Consolidated Statement of Assets and Liabilities.
Swap transactions involve, to varying degrees, elements of interest rate, credit and market risk in excess of the amounts recognized in the Consolidated Statement of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform, or that there may be unfavorable changes in market conditions or interest rates. In addition, entering into swap agreements involves documentation risk resulting from the possibility that the parties to a swap agreement may disagree as to the meaning of contractual terms in the agreement. The Fund’s maximum risk of loss from counterparty credit risk is the discounted value of the net cash flows to be received from the counterparty over the contract’s remaining life, to the extent that amount is positive, or the fair value of the contract. The risk may be mitigated by having an MNA between the Fund and the counterparty and by the posting of collateral by the counterparty to cover the Fund’s exposure to the counterparty.
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Notes to Consolidated Financial Statements (Continued)
For the Year Ended March 31, 2020
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 aremarked-to-market daily and any change is recorded as an unrealized gain or loss on swaps. Daily fluctuations in the value of centrally cleared interest rate swaps are recorded as a receivable or payable for variation margin on the Fund’s Consolidated Statement of Assets and Liabilities. Payments, including upfront premiums, received or made are recorded as realized gains or losses at the closing of the contract.
Total Return Swaps: The Fund may enter into total return swap agreements to obtain exposure to a security, index, market or other basket of securities without owning such security or investing directly in that security, index, market or other basket of securities or to transfer the risk/return of one market (e.g., fixed income) to another market (e.g., equity) (equity risk and/or interest rate risk). Total return swaps are agreements in which one party agrees to make periodic payments to another party based on the change in market value of the underlying instrument, which may include a specified security, index, basket of securities or securities indices during the specific period, in return for periodic payments based on a fixed or floating rate or the total return from other underlying assets. To the extent the total return of the instrument underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the Fund will receive a payment from or make a payment to the counterparty. Total return swaps can also be structured without an interest payment, so that one party pays the other party if the value of the underlying instrument increases and receives payment from the other party if the value of the underlying asset decreases.
Credit Default Swaps:The Fund may enter into OTC and/or centrally cleared credit default swap contracts to hedge credit risk, to hedge market risk, or to gain exposure on single-name issuers and/or baskets of securities.
In a credit default swap contract, the protection buyer typically makes an upfront payment and a periodic stream of payments to a counterparty, the protection seller, in exchange for the right to receive a contingent payment upon the occurrence of a credit event on the reference obligation or all other equally ranked obligations of the reference entity. Credit events are contract specific but may include bankruptcy, failure to pay, restructurings and obligation acceleration. An upfront payment received by the Fund or made by the Fund is recorded as a liability or asset, respectively, in the Consolidated Statement of Assets and Liabilities. Periodic payments received or paid by the Fund are recorded as realized gains or losses. Credit default swap contracts aremarked-to-market daily and the change is recorded as an unrealized gain or loss on swaps. Upon the occurrence of a credit event, the difference between the par value and the market value of the reference obligation, net of any proportional amount of upfront payment, is recorded as a realized gain or loss on swaps.
Interest rate swaps, total return swaps and credit default swaps outstanding at year end are listed at the end of the Fund’s Consolidated Schedule of Investments.
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Notes to Consolidated Financial Statements (Continued)
For the Year Ended March 31, 2020
At March 31, 2020, the Fund had the following derivative financial instruments, presented on a gross basis and categorized by risk exposure:
Asset Derivatives | Liability Derivatives | |||||||||||
Consolidated Statement | Fair Value | Consolidated Statement | Fair Value | |||||||||
Interest Rate | Centrally cleared swaps, at fair value (c) | $ | 21,245,971 | Centrally cleared swaps, at fair value (c) | $ | (46,615,994 | ) | |||||
Swap contracts, at fair value (b) | 552,521 | Swap contracts, at fair value (b) | (510,614 | ) | ||||||||
Unrealized appreciation on futures contracts (c) | 1,566,436 | Unrealized depreciation on futures contracts (c) | (774,441 | ) | ||||||||
Equity | Swap contracts, at fair value (b) | 116,441,987 | Swap contracts, at fair value (b) | (71,447,813 | ) | |||||||
Unrealized appreciation on futures contracts (c) | 3,658,067 | Unrealized depreciation on futures contracts (c) | (9,452,185 | ) | ||||||||
Purchased options, at fair value (d) | — | Options written, at value | (12,181,950 | ) | ||||||||
Commodity | Swap contracts, at fair value (b) | — | Swap contracts, at fair value (b) | — | ||||||||
Unrealized appreciation on futures contracts (c) | 908,162 | Unrealized depreciation on futures contracts (c) | (6,884,074 | ) | ||||||||
Purchased options, at fair value (d) | 341,844 | |||||||||||
Credit | Centrally cleared swaps, at fair value (c) | 31,713,206 | Centrally cleared swaps, at fair value (c) | (23,676,374 | ) | |||||||
Swap contracts, at fair value (b) | 3,809,295 | Swap contracts, at fair value (b) | (46,922,611 | ) | ||||||||
Foreign Exchange | Unrealized appreciation on forward foreign currency exchange contracts | 24,598,059 | Unrealized depreciation on forward foreign currency exchange contracts | (11,998,355 | ) | |||||||
Unrealized appreciation on futures contracts (c) | 801,161 | Unrealized depreciation on futures contracts (c) | (108,650 | ) | ||||||||
Purchased options, at fair value (d) | 1,490,807 | Options written, at value | — | |||||||||
|
|
|
| |||||||||
Total | $ | 207,127,516 | $ | (230,573,061 | ) | |||||||
|
|
|
| |||||||||
Amounts not subject to MNA(1) | 61,725,654 | (99,693,668 | ) | |||||||||
|
|
|
| |||||||||
Total gross amounts subject to MNA | $ | 145,401,862 | $ | (130,879,393 | ) | |||||||
|
|
|
|
(1) | See below for disclosure of financial instruments assets and liabilities subject to offset under enforceable MNA. |
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Notes to Consolidated Financial Statements (Continued)
For the Year Ended March 31, 2020
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, 2020:
Primary Underlying Risk | Average | Average Notional USD (a) | Net Realized | Net Change in Unrealized Appreciation (Depreciation) | ||||||||||||||||
Interest Rate | ||||||||||||||||||||
Swap contracts | — | $ | 4,730,297,379 | $ | 453,863 | $ | (25,491,654 | ) | ||||||||||||
Future contracts | — | 1,857,733,656 | 71,400,720 | (9,455,170 | ) | |||||||||||||||
Purchased options (d) | — | 25,027,701 | 24,064,500 | — | ||||||||||||||||
Options written | — | (19,099,179 | ) | (19,103,385 | ) | — | ||||||||||||||
Equity | ||||||||||||||||||||
Swap contracts | — | 2,004,817,142 | 77,395,098 | 46,404,627 | ||||||||||||||||
Future contracts | — | 927,573,120 | (30,225,994 | ) | 6,974,569 | |||||||||||||||
Purchased options (d) | 15,607 | (554,287 | ) | 441,325 | 170,970 | |||||||||||||||
Options written | (1,925 | ) | 558,627 | 562,833 | 3,023,907 | |||||||||||||||
Commodity | ||||||||||||||||||||
Swap contracts | — | 6,360,134 | 663,854 | 874,350 | ||||||||||||||||
Future contracts | — | 403,417,414 | (38,060,105 | ) | (2,261,859 | ) | ||||||||||||||
Purchased Options | (2,325,340 | ) | ||||||||||||||||||
Credit | ||||||||||||||||||||
Swap contracts | — | 1,858,489,646 | (52,742,664 | ) | (75,808,788 | ) | ||||||||||||||
Foreign Exchange | ||||||||||||||||||||
Forward foreign currency exchange Contracts | — | 1,568,565,070 | 9,637,963 | 12,975,511 | ||||||||||||||||
Future contracts | — | 748,175,605 | (33,004,689 | ) | 2,016,372 | |||||||||||||||
Purchased options | — | — | (32,411 | ) | (2,695,464 | ) | ||||||||||||||
|
|
|
| |||||||||||||||||
Total | $ | 11,450,908 | $ | (45,597,969 | ) | |||||||||||||||
|
|
|
|
(a) | Averages are based on monthly activity levels during the year ended March 31, 2020. |
(b) | Includes swap contract premiums paid/received and unrealized appreciation/depreciation on swap contracts. |
(c) | Includes unrealized appreciation/depreciation of futures contracts and centrally cleared swaps as reported in the Notes to Consolidated Schedule of Investments. Only the current day’s variation margin is reported in the Consolidated Statement of Assets and Liabilities. |
(d) | Includes purchased options that are part of investments in securities as shown in the Consolidated Statement of Assets and Liabilities and net realized gain on investments in securities and net unrealized appreciation on investments in securities as shown in the Consolidated Statement of Operations. |
Netting Arrangements
The Fund enters into ISDA Master Agreements which contain MNAs that provide for payment netting and, in the case of default or similar event with respect to the counterparty to the MNA, can provide for netting across transactions. Generally, upon counterparty default, the Fund can terminate all transactions under the MNA andset-off amounts it owes across all transactions under a particular MNA and against collateral under such MNA. The Fund may not use derivatives contracts and related collateral governed by an ISDA to offset reverse repurchase agreements and related collateral governed by an MRA or securities lending agreements and related collateral governed by an SLA (see Note 3).
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Notes to Consolidated Financial Statements (Continued)
For the Year Ended March 31, 2020
The Fund uses master netting arrangements, which allows certain derivative financial instruments and collateral with the same counterparty to be offset to minimize counterparty credit exposure. The following table presents information related to derivative financial instruments and collateral related to securities loaned that are subject to an enforceable MNA and are not offset, as shown in the Consolidated Statement of Assets and Liabilities as of March 31, 2020.
The following table represents the Fund’s derivative financial instrument assets and liabilities by counterparty net of amounts available for offset under an MNA and net of related collateral received/pledged by the Fund as of March 31, 2020:
Gross Amounts Not Offset in the Consolidated Statement of Assets and Liabilities | |||||||||||||||||||||||||
Gross Amount of Assets Presented in Consolidated Statement of Assets and Liabilities | Derivative Financial Instruments Available to Offset | Cash Collateral Received(4) | Non-Cash Collateral | Net Amount(2) | |||||||||||||||||||||
By Counterparty (1) | |||||||||||||||||||||||||
Bank of America, N.A. | $ | 5,991,115 | $ | (1,711,236 | ) | $ | (4,279,879 | ) | $ | — | $ | — | |||||||||||||
Credit Suisse International | 22,581 | (22,581 | ) | — | — | — | |||||||||||||||||||
Deutsche Bank AG | 3,215,137 | (695,730 | ) | — | — | 2,519,407 | |||||||||||||||||||
Goldman Sachs International | 529,940 | (529,940 | ) | — | — | — | |||||||||||||||||||
HSBC Bank plc | 61,010 | (61,010 | ) | — | — | — | |||||||||||||||||||
JPMorgan Chase Bank, N.A. | 3,591,630 | (3,591,630 | ) | — | — | — | |||||||||||||||||||
Morgan Stanley Capital Services LLC | 234,048 | (234,048 | ) | — | — | — | |||||||||||||||||||
Morgan Stanley Capital Services, Inc. | 3,584,565 | (154,397 | ) | — | — | 3,430,168 | |||||||||||||||||||
Cayman Subsidiary | |||||||||||||||||||||||||
Citibank N.A. | 693,408 | — | (693,408 | ) | — | — | |||||||||||||||||||
Morgan Stanley & Co. LLC | 266,541 | (124,365 | ) | (142,176 | ) | — | — | ||||||||||||||||||
Morgan Stanley Capital Services LLC | 455,952 | (455,952 | ) | — | — | — | |||||||||||||||||||
State Street Bank and Trust Company | 6,660,828 | (3,320,136 | ) | — | — | 3,340,692 | |||||||||||||||||||
Domestic Subsidiary IV | |||||||||||||||||||||||||
Citibank N.A. | 177,262 | — | (177,262 | ) | — | — | |||||||||||||||||||
Credit Suisse International | 2,550 | (2,550 | ) | — | — | — | |||||||||||||||||||
Goldman Sachs Bank USA | 24,786 | (24,786 | ) | — | — | — | |||||||||||||||||||
Goldman Sachs International | 73,643,315 | (41,631,411 | ) | — | — | 32,011,904 | |||||||||||||||||||
J.P. Morgan Securities LLC | 2,053,116 | (693,438 | ) | — | — | 1,359,678 | |||||||||||||||||||
JPMorgan Chase Bank, N.A. | 39,990,044 | (20,261,435 | ) | — | — | 19,728,609 | |||||||||||||||||||
Morgan Stanley & Co. LLC | 356,563 | (356,563 | ) | — | — | — | |||||||||||||||||||
Morgan Stanley Capital Services LLC | 3,847,471 | (3,847,471 | ) | — | — | — | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
$ | 145,401,862 | $ | (77,718,679 | ) | $ | (5,292,725 | ) | $ | — | $ | 62,390,458 | ||||||||||||||
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Notes to Consolidated Financial Statements (Continued)
For the Year Ended March 31, 2020
| Gross Amounts Not Offset in the Consolidated Statement of Assets and Liabilities | ||||||||||||||||||||||||
Gross Amount of Liabilities Presented in Consolidated Statement of Assets and Liabilities | Derivative Financial Instruments Available to Offset | Cash Collateral Pledged(4) | Non-Cash Collateral | Net Amount(2) | |||||||||||||||||||||
By Counterparty (1) | |||||||||||||||||||||||||
Bank of America, N.A. | $ | (1,711,236 | ) | $ | 1,711,236 | $ | — | $ | — | $ | — | ||||||||||||||
Barclays Bank plc | (404,905 | ) | — | — | — | (404,905 | ) | ||||||||||||||||||
Citibank N.A. | (381,805 | ) | — | 381,805 | — | — | |||||||||||||||||||
Citigroup Global Markets Ltd. | (91,161 | ) | — | — | — | (91,161 | ) | ||||||||||||||||||
Credit Suisse International | (1,907,718 | ) | 22,581 | 1,885,137 | — | — | |||||||||||||||||||
Deutsche Bank AG | (695,730 | ) | 695,730 | — | — | — | |||||||||||||||||||
Goldman Sachs International | (902,795 | ) | 529,940 | 359,067 | — | (13,788 | ) | ||||||||||||||||||
HSBC Bank plc | (823,389 | ) | 61,010 | 762,379 | — | — | |||||||||||||||||||
J.P. Morgan Securities LLC | (261,246 | ) | — | 261,246 | — | — | |||||||||||||||||||
JPMorgan Chase Bank, N.A. | (3,932,749 | ) | 3,591,630 | — | — | (341,119 | ) | ||||||||||||||||||
Merrill Lynch Capital Services, Inc. | (3,331,149 | ) | — | 1,250,000 | — | (2,081,149 | ) | ||||||||||||||||||
Morgan Stanley Capital Services LLC | (2,756,855 | ) | 234,048 | — | — | (2,522,807 | ) | ||||||||||||||||||
Morgan Stanley Capital Services, Inc. | (154,397 | ) | 154,397 | — | — | — | |||||||||||||||||||
Cayman Subsidiary | |||||||||||||||||||||||||
Credit Suisse International | (1,672,677 | ) | — | 1,672,677 | — | — | |||||||||||||||||||
JPMorgan Chase Bank, N.A. | (10,368,202 | ) | — | — | — | (10,368,202 | ) | ||||||||||||||||||
Morgan Stanley & Co. LLC | (124,365 | ) | 124,365 | — | — | — | |||||||||||||||||||
Morgan Stanley Capital Services LLC | (1,038,606 | ) | 455,952 | 582,654 | — | — | |||||||||||||||||||
State Street Bank and Trust Company | (3,320,136 | ) | 3,320,136 | — | — | — | |||||||||||||||||||
Domestic Subsidiary III | |||||||||||||||||||||||||
Barclays Bank plc | (266,870 | ) | — | 266,870 | — | — | |||||||||||||||||||
Citigroup Global Markets, Inc. | (5,308,482 | ) | — | — | — | (5,308,482 | ) | ||||||||||||||||||
Credit Suisse International | (661,972 | ) | — | — | — | (661,972 | ) | ||||||||||||||||||
Goldman Sachs International | (1,452,838 | ) | — | 1,452,838 | — | — | |||||||||||||||||||
J.P. Morgan Securities LLC | (1,271,456 | ) | — | 1,271,456 | — | — | |||||||||||||||||||
JPMorgan Chase Bank, N.A. | (7,698,771 | ) | — | — | — | (7,698,771 | ) | ||||||||||||||||||
Morgan Stanley Capital Services LLC | (1,564,697 | ) | — | 1,000,000 | — | (564,697 | ) |
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| Gross Amounts Not Offset in the Consolidated Statement of Assets and Liabilities | ||||||||||||||||||||||||
Gross Amount of Liabilities Presented in Consolidated Statement of Assets and Liabilities | Derivative Financial Instruments Available to Offset | Cash Collateral Pledged(4) | Non-Cash Collateral | Net Amount(2) | |||||||||||||||||||||
Domestic Subsidiary IV | |||||||||||||||||||||||||
Credit Suisse International | $ | (68,521 | ) | $ | 2,550 | $ | — | $ | — | $ | (65,971 | ) | |||||||||||||
Goldman Sachs Bank USA | (503,088 | ) | 24,786 | — | — | (478,302 | ) | ||||||||||||||||||
Goldman Sachs International | (41,631,411 | ) | 41,631,411 | — | — | — | |||||||||||||||||||
J.P. Morgan Securities LLC | (693,438 | ) | 693,438 | — | — | — | |||||||||||||||||||
JPMorgan Chase Bank, N.A. | (20,261,435 | ) | 20,261,435 | — | — | — | |||||||||||||||||||
Morgan Stanley & Co. LLC | (853,737 | ) | 356,563 | — | — | (497,174 | ) | ||||||||||||||||||
Morgan Stanley Capital Services LLC | (14,748,197 | ) | 3,847,471 | 10,900,726 | — | — | |||||||||||||||||||
State Street Bank and Trust Company | (15,359 | ) | — | — | — | (15,359 | ) | ||||||||||||||||||
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$ | (130,879,393 | ) | $ | 77,718,679 | 22,046,855 | $ | — | $ | (31,113,859 | ) | |||||||||||||||
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(1) | The Fund and each Subsidiary are subject to separate MNA’s with each individual counterparty. |
(2) | Net amount represents the net amount receivable from the counterparty in the event of default. |
(3) | Net amount represents the net amount payable to the individual counterparty in the event of default. |
(4) | Additional required collateral received from the individual counterparty is not shown for financial reporting purposes. |
(5) | Additional required collateral pledged to the individual counterparty is not shown for financial reporting purposes. |
5. Fair Value Measurements
The following table presents information about the classification of the Fund’s investments measured at fair value within the fair value hierarchy as of March 31, 2020:
Assets: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||
Investments in Securities: | ||||||||||||||||||||
Common Stock | $ | 702,012,343 | $ | — | $ | — | $ | 702,012,343 | ||||||||||||
Preferred Stock | 174,880 | — | — | 174,880 | ||||||||||||||||
Asset-Backed Securities | — | 303,450,917 | — | 303,450,917 | ||||||||||||||||
Convertible Bonds | — | 2,091,239 | — | 2,091,239 | ||||||||||||||||
Bank Debt | — | 122,379,104 | 164,166,827 | 286,545,931 | ||||||||||||||||
Corporate Bonds & Notes | — | 393,607,178 | 135,160 | 393,742,338 | ||||||||||||||||
Sovereign Debt | — | 889,014,934 | 91,747,567 | 980,762,501 | ||||||||||||||||
Mortgage-Backed Securities | — | 1,392,636,202 | — | 1,392,636,202 | ||||||||||||||||
U.S. Government Sponsored Agency Securities | — | 208,272,184 | — | 208,272,184 |
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Assets: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||
U.S. Treasury Obligations | $ | — | $ | 238,017,553 | $ | — | $ | 238,017,553 | ||||||||||||
Municipals | — | 25,400,040 | — | 25,400,040 | ||||||||||||||||
Exchange-Traded Funds | 28,138,431 | — | — | 28,138,431 | ||||||||||||||||
Warrants | 6,971,963 | — | — | 6,971,963 | ||||||||||||||||
Purchased Options | 1,832,651 | — | — | 1,832,651 | ||||||||||||||||
Repurchase Agreements | — | 324,638,592 | — | 324,638,592 | ||||||||||||||||
Short-Term Investment — Money Market Funds | 1,617,265 | — | — | 1,617,265 | ||||||||||||||||
Subtotal | $ | 740,747,533 | $ | 3,899,507,943 | $ | 256,049,554 | $ | 4,896,305,030 | ||||||||||||
Investments Valued at NAV | 579,095,032 | |||||||||||||||||||
Total Investments in Securities | $ | 740,747,533 | $ | 3,899,507,943 | $ | 256,049,554 | $ | 5,475,400,062 | ||||||||||||
Forward Foreign Currency Exchange Contracts | — | 24,598,059 | — | 24,598,059 | ||||||||||||||||
Futures Contracts | 6,933,826 | — | — | 6,933,826 | ||||||||||||||||
Centrally Cleared Credit Default Swaps | — | 31,713,206 | — | 31,713,206 | ||||||||||||||||
OTC Credit Default Swaps | — | 3,809,295 | — | 3,809,295 | ||||||||||||||||
OTC Total Return Swaps | — | 116,971,927 | 22,581 | 116,994,508 | ||||||||||||||||
Centrally Cleared Interest Rate Swaps | — | 21,245,971 | — | 21,245,971 | ||||||||||||||||
Total Assets | $ | 747,681,359 | $ | 4,097,846,401 | $ | 256,072,135 | $ | 5,680,694,927 | ||||||||||||
Liabilities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||
Securities Sold Short: |
| |||||||||||||||||||
Common Stock | $ | 314,910,857 | $ | 3,149,593 | $ | — | $ | 318,060,450 | ||||||||||||
Exchange-Traded Funds | 12,720,070 | — | — | 12,720,070 | ||||||||||||||||
Mortgage-Backed Securities | — | 29,997,510 | — | 29,997,510 | ||||||||||||||||
Total Securities Sold Short | 327,630,927 | 33,147,103 | — | 360,778,030 | ||||||||||||||||
Options Written | 12,181,950 | — | — | 12,181,950 | ||||||||||||||||
Reverse Repurchase Agreements | — | 1,165,443,991 | — | 1,165,443,991 | ||||||||||||||||
Forward Foreign Currency Exchange Contracts | — | 11,998,355 | — | 11,998,355 | ||||||||||||||||
Futures Contracts | 17,219,350 | — | — | 17,219,350 | ||||||||||||||||
Centrally Cleared Credit Default Swaps | — | 23,676,374 | — | 23,676,374 | ||||||||||||||||
OTC Credit Default Swaps | — | 46,922,611 | — | 46,922,611 | ||||||||||||||||
OTC Total Return Swaps | — | 71,958,427 | — | 71,958,427 | ||||||||||||||||
Centrally Cleared Interest Rate Swaps | — | 46,615,994 | — | 46,615,994 | ||||||||||||||||
Total Liabilities | $ | 357,032,227 | $ | 1,399,762,855 | $ | — | $ | 1,756,795,082 | ||||||||||||
Investments in Investee Funds that are measured at fair value using NAV as a practical expedient have not been classified in the fair value hierarchy. The fair value amounts presented in this table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the consolidated financial statements.
Investments in Investee Funds that arenon-redeemable or subject to other restrictions such as a lockup at the measurement date or have the ability to limit the individual amount of investor redemptions shall be classified as having a redemption restriction.
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For the Year Ended March 31, 2020
The following table summarizes investments in Investee Funds, by investment strategy, the unfunded commitment of each strategy (if applicable), and the amount of the investment in Investee Fund that cannot be redeemed because of redemption restrictions put in place by the Investee Fund.
Investments in Investee Funds by Strategy | Unfunded $ | Non-Redeemable Investments (A) | Other Restricted Investments (B) | Investments Subject to No Restrictions | Total $ | |||||||||
Amount $ | Redemption Commencement | Amount $ | Redemption Restriction Term | Amount $ | ||||||||||
Equity(1)(3) | N/A | — | N/A | — | N/A | 188,852,638 | 188,852,638 | |||||||
Credit- Driven(2)(3) | N/A | — | N/A | 217,900,000 | 12 months | — | 217,900,000 | |||||||
Event- Driven(4)(5) | 17,320,649 | — | N/A | 7,778,861 | 12 months | 129,943,622 | 137,722,483 | |||||||
Relative- Value(6)(7) | N/A | — | N/A | — | N/A | 34,619,911 | 34,619,911 |
(1) | The Equity strategy generally includes equity-focused Investee Funds with abottom-up analysis that do not actively trade exposures, with trading strategies focusing on shorter-term dynamics and appreciation for market technicals,top-down thematic/macro views, and technically driven statistical arbitrage with fundamental quantitative long/short strategies. |
(2) | The Credit-Driven strategy generally includes Investee Funds with a focus on fundamental hedged products or otherwise low net exposure, positional concentration and opportunistic directional exposures, mortgages andnon-mortgage asset-backed securities. |
(3) | Investments are redeemable quarterly upon 30 - 60 days written notice. |
(4) | The Event-Driven strategy generally includes Investee Funds that seek returns by investing in strategies including catalyst events, share class arbitrage, share buybacks, postre-organization equity, recapitalizations, spin-offs and stub trades. |
(5) | Investments are redeemable semi-annually upon 60 - 90 days written notice. |
(6) | The Relative Value strategy generally includes Funds with a focus on long/short managers with fundamentally hedged products or otherwise low net exposure. |
(7) | Investments are redeemable monthly upon 60 days written notice. |
(A) Investments in Investee Funds cannot currently be redeemed and the remaining redemption restriction period is not known. The date the redemption restriction commenced is disclosed.
(B) Investments subject to other restrictions include investments in Investee Funds that are subject to a lockup at the measurement date and/or have the ability to limit the individual amount of investor redemptions. The redemption restriction term is based on the restriction period (or range of restriction periods) for Investee Funds as defined in each respective Investee Fund’s governing legal agreement without consideration of the length of time elapsed from the date of investments in Investee Funds. The Fund’s
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For the Year Ended March 31, 2020
investment in a particular Investee Fund classified within the strategies above may be comprised of investments with differing liquidity terms or investments that were made at differing points in time.
The Fund recognizes transfers within the fair value hierarchy as of the beginning of the period. Transfers into and out of Level 3 were primarily related to the availability of broker quotations in accordance with valuation methodology.
The changes in investments measured at fair value for which the Fund used Level 3 inputs to determine fair value are as follows:
Assets Investment | Bank Debt | Corporate Bonds & Notes | Sovereign Debt | Mortgage- Backed Securities | Securities Sold Short: Common Stocks | Total Return Swap | Total | ||||||||||||||||||||||||||||
Balance as of March 31, 2019 | $ | 57,203,061 | $ | — | $ | 49,996,000 | $ | 28,819 | $ | (902,500 | ) | $ | — | $ | 106,325,380 | ||||||||||||||||||||
Transfers In | 18,362,569 | 139,520 | — | — | — | 231,131 | 18,502,089 | ||||||||||||||||||||||||||||
Transfers Out | (12,214,176 | ) | — | — | — | — | — | (12,214,176 | ) | ||||||||||||||||||||||||||
Purchases | 166,679,117 | — | 42,927,995 | 54,492 | — | — | 209,892,735 | ||||||||||||||||||||||||||||
Sales | (42,330,192 | ) | (6,644 | ) | — | (38,810 | ) | 891,670 | — | (41,483,976 | ) | ||||||||||||||||||||||||
Amortization | 1,844,848 | — | 250,513 | — | — | — | 2,095,361 | ||||||||||||||||||||||||||||
Net realized gain | 204,049 | — | — | (44,502 | ) | — | — | 159,547 | |||||||||||||||||||||||||||
Net change in unrealized appreciation (depreciation) | (25,582,449 | ) | 2,284 | (1,426,941 | ) | 1 | 10,830 | (208,550 | ) | (27,204,825 | ) | ||||||||||||||||||||||||
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Balance as of March 31, 2020 | $ | 164,166,827 | $ | 135,160 | $ | 91,747,567 | $ | — | $ | — | $ | 22,581 | $ | 256,072,135 | |||||||||||||||||||||
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Net change in unrealized appreciation (depreciation) related to investments still held as of March 31, 2020 | (25,267,168 | ) | 2,284 | (1,426,941 | ) | — | — | (208,550 | ) | (26,900,375 | ) | ||||||||||||||||||||||||
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The following table summarizes the quantitative inputs and assumptions used for investments classified within Level 3 of the fair value hierarchy as of March 31, 2020.
Assets | Fair Value at | Valuation Technique | Unobservable Inputs | Range of inputs (Weighted | ||||||||||||||||
Investments in Securities: | ||||||||||||||||||||
Bank Debt | $ | 164,166,827 | | Broker-dealer Quotations | | Indicative Bid | N/A | |||||||||||||
Corporate Bonds & Notes | 135,160 | | Broker-dealer Quotations | | Indicative Bid | N/A |
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For the Year Ended March 31, 2020
Assets | Fair Value at | Valuation Technique | Unobservable Inputs | Range of inputs (Weighted | ||||||||||||||||
Sovereign Debt | $ | 91,747,567 | | Broker-dealer Quotations | | Indicative Bid | N/A | |||||||||||||
OTC Total Return Swaps | 22,581 | | Broker-dealer Quotations | | Indicative Bid | N/A | ||||||||||||||
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Total Investments in Securities | $ | 256,072,135 | ||||||||||||||||||
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6. Purchase and Sale of Fund Shares
The Fund currently offers Class D Shares, Class I Shares, Class R Shares and Class Y Shares. During the year ended March 31, 2020, only Class D Shares, Class I Shares and Class Y Shares were outstanding.
The Fund’s Class D Shares are offered primarily through broker-dealers and other financial intermediaries with whom the Distributor has an agreement for the use of the Fund in investment products, programs, or accounts such as mutual fund supermarkets or other no transaction fee platforms. The Fund’s Class I Shares are offered to institutional investors and individual investors who are clients of financial intermediaries, broker-dealers, financial institutions or registered investment advisors that: have entered into an arrangement approved by the Distributor to provide certain administrative services to investors in the Fund’s Class I Shares. Shareholders of Class I Shares may be subject to additional advisory, administrative, servicing, account-level or other fees in addition to those described in the Fund’s Prospectus, which are paid to financial intermediaries to support the additional services they may provide. The Fund’s Class Y Shares are offered for institutional investors and individuals (including through individual retirement accounts) who purchase directly from the Fund. Class Y Shares may also be offered to employees, officers and directors/ trustees of the Investment Adviser, the Fund or their respective affiliates. In addition, Class Y Shares are offered for institutional investors and individuals who are clients of financial intermediaries, broker-dealers, financial institutions, or registered investment advisors that have entered into an arrangement approved by the Distributor and do not charge a fee to the Fund. The minimum investment in Class D Shares by an investor is $25,000, and the minimum subsequent investment in Class D Shares by an investor is $5,000. The minimum investment in Class I Shares by an investor is $1,000,000, and the minimum subsequent investment in Class I Shares by an investor is $200,000. Class Y Shares have no investment minimum requirements. The Fund’s Class R Shares have no minimum investment requirement and are generally available only to special benefit plans.
Shares of the Fund may be purchased or redeemed at NAV each Business Day.
7. Investment Adviser Fees and Other Transactions with Affiliates
Pursuant to the investment management agreement between the Investment Adviser and the Trust, on behalf of the Fund, the Fund pays the Investment Adviser a management fee (the “Fund Management Fee”) at an annual rate based on the Fund’s average daily net assets, excluding the net assets of the applicable Subsidiaries. The Fund Management Fee accrues daily in arrears and is paid quarterly. The Investment Adviser receives additional compensation at an annual rate based on each Subsidiary’s average daily net assets for providing management services to the Subsidiaries. For collective net assets of the Fund and the respective Subsidiaries up to $2.5 billion, the Fund Management Fee is calculated at a rate of 1.95% (annualized), and for collective net assets greater than or equal to $2.5 billion, the Fund Management Fee is calculated at a rate of 1.80% (annualized). During the year ended March 31, 2020, the Fund paid the Investment Adviser $145,393,794 in management fees. From this amount, the Investment Adviser paid $69,082,981 insub-advisory fees tonon-affiliatedSub-Advisers with respect to the Fund, which amounted to
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For the Year Ended March 31, 2020
0.88% (annualized) of the Fund’s average daily net assets. The Investment Advisor paid $2,001,795 and $373,414 insub-advisory fees with respect to the Fund to Blackstone Real Estate Special Situations Advisors L.L.C. and GSO / Blackstone Debt Funds Management LLC, respectively, both indirect wholly-owned subsidiaries of Blackstone and affiliates of the Investment Adviser, which amounted to 0.03% of the Fund’s average daily net assets.
Sub-Advisory Fees
Pursuant to thesub-advisory agreements between the Investment Adviser and theSub-Advisers, theSub-Advisers are compensated for the services they provide to the Fund by the Investment Adviser from the Management Fee received by the Investment Adviser.
Distribution and Service Fees
Pursuant to the amended and restated Distribution and Service Plan, the Fund’s Class D Shares bear distribution and service fees at an annual rate of 0.25% of the average daily net assets of the Fund attributable to Class D Shares. Payments of the distribution and service fee may be made without regard to expenses actually incurred. The Distributor may pay all or a portion of the distribution and/or service fee to brokers, dealers, selling agents, other financial institutions, or other industry professionals (collectively, “intermediaries”) for distribution services, sales support services, personal services, and/or the maintenance of shareholder account services provided and related expenses incurred by such intermediaries. The Fund’s Class I Shares, Class Y Shares and Class R Shares are not subject to distribution and service fees.
Expense Limitation and Reimbursement
The Investment Adviser has entered into an Expense Limitation and Reimbursement Agreement with the Fund to limit the amount of Specified Expenses (as defined below) of the Fund to 2.40% per annum of the Fund’s net assets for Class D Shares, Class I Shares and Class Y Shares and 2.55% per annum of the Fund’s net assets for Class R Shares (collectively, the “Total Expense Cap”). 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, 2022 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, 2020, there were no repayments or potential repayments to the Investment Adviser.
Related Party Transactions
Blackstone Holdings Finance Co. L.L.C. (“FINCO”), an affiliate of the Fund, pays certain expenses on behalf of the Fund. The Fund reimburses FINCO for such expenses paid on behalf of the Fund. FINCO does not charge any fees for providing such administrative services. At year-end March 31, 2020, the Fund does not have an amount payable to FINCO.
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For the Year Ended March 31, 2020
The Adviser utilizes technology offered by Arcesium LLC (“Arcesium”) to provide certain middle- and back-office services to the Fund, and the Fund bears the costs for such services. The parent company of aSub-Adviser owns a controlling, majority interest in Arcesium and the Investment Adviser owns anon-controlling, minority interest in Arcesium.
8. Other Agreements
State Street Bank and Trust Company serves as the administrator, custodian and transfer agent to the Fund. Blackstone Advisory Partners L.P., an affiliate of the Investment Adviser, serves as the Fund’s distributor.
9. Financial Instruments andOff-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 fornon-standard settlement trades, the Fund restricts exposure to credit and counterparty losses by entering into MNAs with counterparties (approved brokers) with whom it undertakes a significant volume of transactions. Collateral requirements may differ by type of derivative or investment, as applicable. Collateral or margin requirements are set by the broker or exchange clearing house for exchange traded derivatives (e.g., futures contracts and exchange traded options) while collateral terms are contract specific for OTC traded derivatives (e.g., 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, 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.
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Notes to Consolidated Financial Statements (Continued)
For the Year Ended March 31, 2020
At March 31, 2020, the Fund had counterparty concentration of credit risk primarily with State Street Bank and Trust Company, Morgan Stanley & Co. LLC, Morgan Stanley Capital Services LLC, Morgan Stanley & Co. International plc, Credit Suisse Securities (USA) LLC, Credit Suisse Securities (Europe) Limited and Credit Suisse International.
Foreign Investment Risk:The investments by the Fund in foreign securities may involve risks not present in domestic investments. Since securities may be denominated in, require settlement in and pay interest or dividends in foreign currencies, changes in the relationship of these foreign currencies to the U.S. dollar can significantly affect the value of the investments and earnings of the Fund. Foreign investments may also subject the Fund to foreign government exchange restrictions, expropriation, taxation or other political, social or economic developments, all of which could affect the market and/or credit risk of the investments. In addition to the risks described above, risks may arise from forward foreign currency exchange contracts with respect to the potential inability of counterparties to meet the terms of their contracts.
Liquidity Risk:Some securities held by the Fund, including, but not limited to, restricted, distressed,non-exchange traded, and/or privately placed securities, may be difficult to sell, or illiquid, particularly during times of market turmoil. Investments in Investment Funds are generally illiquid and some Investment Funds may not permit withdrawals or may makein-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, 2020 were as follows:
Purchases | Sales | |||||
Long-Term | U.S Government | Long-Term | U.S Government | |||
$7,964,159,585 | $4,776,604,316 | $6,434,959,147 | $7,770,817,057 |
11. Income Tax Information
The Fund intends to qualify each tax year as a regulated investment company under Subchapter M of the Code. The Fund has adopted a taxyear-end of October 31, therefore the consolidated financial statements, unless otherwise indicated, reflect tax adjusted balances as of October 31, 2019. The Fund intends to distribute substantially all of its net investment income and all of its net realized short-term and long-term capital gain, if any, after giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, the Fund makes no provision for U.S. federal income or excise taxes.
The Fund’s policy is to declare and pay distributions from net investment income and from net realized short-term and long-term capital gain, if any, at least annually. All distributions are reinvested in additional shares
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Notes to Consolidated Financial Statements (Continued)
For the Year Ended March 31, 2020
of the Fund, at net asset value, unless the shareholder elects to receive cash distributions. Distributions to shareholders are recorded by the Fund on theex-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 andnon-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 thenon-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 andnon-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/ornon-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, 2020 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 its tax year-ended October 31, 2019:
Paid-in Capital | Accumulated Investment Income/(Loss) | Accumulated Net Realized Gain/(Loss) | ||
$55,770,282 | $5,424,069 | $(61,194,351) |
The tax basis components of distributable earnings of the Fund at their tax year-ended October 31, 2019 were:
Undistributed Ordinary | Undistributed Long-Term Capital Gains | Capital Loss | ||
$223,794,659 | $15,959,461 | $— |
In addition, the tax character of distributions paid to shareholders for the tax year-ended October 31, 2018 by the Fund is as follows:
Ordinary Income | Long-Term Capital Gain | |
$103,460,004 | $— |
In addition, the tax character of distributions paid to shareholders for the tax year-ended October 31, 2019 by the Fund is as follows:
Ordinary Income | Long-Term Capital Gain | |
$86,835,877 | $45,101,735 |
The Fund made an ordinary income and capital gains distribution in the amounts of $277,657,917 and $15,959,461, respectively to shareholders in December 2019. The final tax character of that distribution will be determined after the Fund’s October 31, 2020 tax year end.
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Notes to Consolidated Financial Statements (Continued)
For the Year Ended March 31, 2020
As of March 31, 2020, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments, securities sold short, and derivatives were as follows:
Aggregate Cost | Gross Unrealized Appreciation | Gross Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | |||
$6,039,253,309 | $337,966,380 | $(1,293,625,763) | $(955,659,383) |
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 $250,000,000, 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 theOne-Month USD LIBOR Rate per annum (2.24% at March 31, 2020). A commitment fee is charged in the amount of 0.25% per annum as well as an upfront underwriting fee equal to 0.10% of the Commitment Amount per annum. Commitment fees accrued through the end of each calendar quarter are due no later than the 15th day of the immediately succeeding calendar month during the term of the Facility. Accrued interest is due no later than January 25, 2021, 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, 2020, the Fund made no borrowings under the Facility.
13. Subsequent Events
The Investment Adviser has evaluated the impact of subsequent events through the date of financial statement issuance and determined there were no subsequent events outside the normal course of business requiring adjustment to or disclosure in the consolidated financial statements.
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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, 2020, 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 five years in the period then ended, and the related notes. In our opinion, the consolidated financial statements and consolidated financial highlights present fairly, in all material respects, the financial position of the Fund as of March 31, 2020, and 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, and the consolidated financial highlights for each of the five years in the period then ended, 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, 2020, 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 26, 2020
We have served as the auditors of one or more investment companies within the group of investment companies since 2010.
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Shareholder Fee Example (Unaudited)
As a shareholder of the Fund, you incur ongoing costs, including management fees and to the extent applicable, distribution (12b-1) fees and/or shareholder services fees and other Fund expenses. This Example is intended to help you to understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
Actual Expenses
The actual expense example is based on an investment of $1,000 invested at the beginning of a six month period and held through the year ended March 31, 2020. The first line in the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading "Expenses Paid During Period" to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The hypothetical expense example is based on an investment of $1,000 invested at the beginning of a six month period. The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the actual return of the Fund. The hypothetical amount account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads) or redemption/exchange fees. You may pay brokerage commissions on your purchases and sales of Class I or Class Y Shares of the Fund, which are not reflected in this example. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Beginning Account Value 10/1/2019 | Ending Account Value 3/31/2020 | Expenses Paid During Period1 | Annualized Expense Ratio | |||||||||||||||||
Class I | ||||||||||||||||||||
Actual | $1,000.00 | $870.30 | $12.91 | 2.76% | ||||||||||||||||
Hypothetical (assuming a 5% return before expenses) | $1,000.00 | $1,011.20 | $13.88 | 2.76% | ||||||||||||||||
Class D | ||||||||||||||||||||
Actual | $1,000.00 | $869.10 | $14.53 | 3.11% | ||||||||||||||||
Hypothetical (assuming a 5% return before expenses) | $1,000.00 | $1,009.45 | $15.62 | 3.11% | ||||||||||||||||
Class Y | ||||||||||||||||||||
Actual | $1,000.00 | $870.10 | $12.44 | 2.66% | ||||||||||||||||
Hypothetical (assuming a 5% return before expenses) | $1,000.00 | $1,011.70 | $13.38 | 2.66% |
1 | Expenses are calculated using the annualized expense ratio, multiplied by the average account value over the period, multiplied by 183/366 (to reflect the one-half-year period). |
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Management of the Fund
The Fund’s operations are managed by the Investment Adviser and theSub-Advisers (defined below), under the direction and oversight of the Board. A majority of the Trustees are not “interested persons” (as defined in the 1940 Act) of the Fund or the Investment Adviser (the “Independent Trustees”). The Trustees and the Fund’s officers are subject to removal or replacement in accordance with Massachusetts law and the Trust’s Declaration of Trust. All Trustees were elected by the initial shareholder of the Trust, except for Mr. Gilbert who was appointed to serve as Trustee by the Board.
Sub-Advisers
During the period covered by this report, the Investment Adviser engaged the following entities assub-advisers (each, a“Sub-Adviser”, and together, the“Sub-Advisers”) to provide investment management services to the Fund or to one or more Subsidiaries.
DiscretionarySub-Advisers:
• | Bayview Asset Management, LLC |
• | Blackstone Real Estate Special Situations Advisors L.L.C. |
• | Boussard & Gavaudan Investment Management, LLP(until November 30, 2019) |
• | Caspian Capital LP |
• | CerberusSub-Advisory I, LLC |
• | D.E. Shaw Investment Management, L.L.C. |
• | Emso Asset Management Limited |
• | Endeavour Capital Advisors Inc. |
• | Good Hill Partners LP |
• | GSA Capital Partners LLP(until February 29, 2020) |
• | GSO / Blackstone Debt Funds Management LLC(effective May 8, 2019) |
• | H2O AM LLP(until May 31, 2020) |
• | HealthCor Management, L.P. |
• | IPM Informed Portfolio Management AB |
• | Luminus Management, LLC(effective April 20, 2020) |
• | Magnetar Asset Management LLC |
• | Nephila Capital, Ltd. |
• | NWI Management, L.P. |
• | Sage Rock Capital Management LP(effective May 8, 2019) |
• | Shelter Growth Capital Partners LLC(effective March 1, 2020) |
• | Sorin Capital Management, LLC(until October 1, 2019) |
• | Two Sigma Advisers, LP |
• | Waterfall Asset Management, LLC Trustees and Officers |
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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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) | 4 | Trustee, CPG Funds (6 portfolios) |
Interested Trustees:
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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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 Inc. (“Blackstone”) (2012 – Present); General Counsel, Blackstone Alternative Asset Management L.P. (“BAAM”) (2010 – Present) and BAIA (2012 – Present); | 4 | None | |||||
Chief Compliance Officer, BAAM (2008 – 2012, 2018) and BAIA (2018 – Present) Chief Compliance Officer, Blackstone (2013 – 2016); |
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 Declaration of Trust and Bylaws. |
2 | As of December 31, 2019 the “Fund Complex” consists of the Fund, Blackstone Alternative Alpha Fund, Blackstone Alternative Alpha Fund II, Blackstone Alternative Alpha Master Fund funds managed by Blackstone / GSO Debt Funds Management LLC (Blackstone / GSO Floating Rate Enhanced Income Fund, Blackstone / GSO Senior Floating Rate Term Fund, Blackstone /GSO Long-Short Credit Income Fund, Blackstone / GSO Strategic Credit Fund, and Blackstone / GSO Secured Lending Fund), and funds managed by Blackstone Real Estate Income Advisors L.L.C. (Blackstone Real Estate Income Fund, Blackstone Real Estate Income Fund II and Blackstone Real Estate Income Master Fund). Blackstone Alternative Alpha Fund, Blackstone Alternative Alpha Fund II, and Blackstone Alternative Alpha Master Fund, which are overseen by the Trustees, are in the process of being liquidated as of the date of this Report. |
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 certainSub-Advisers and may conduct business with the 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 Adviser and its affiliates. |
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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 | |||
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 and Chief Legal Officer | Chief Compliance Officer (August 2016 to Present); Chief Legal Officer (March 2015 to Present) | Managing Director,2 Blackstone (2018 – Present); Vice President, Blackstone (2014 – 2017) | |||
Anti-Money Laundering Officer (August 2016 to September 2018) | ||||||
Charmagne Kukulka (1989) | Interim Secretary | March 2020 to Present | Associate, Blackstone (2020 – Present); Analyst, (2015 – 2019) | |||
Natasha Kulkarni (1985) | Secretary | May 2018 to Present | Principal, Blackstone Vice President, Blackstone | |||
Arthur Liao (1972) | Treasurer (Principal Financial and Accounting Officer) | August 2012 to Present | Senior Managing Director2, Blackstone (2016 – Present); Chief Financial Officer, BAAM (2007 – Present) and BAIA (2012 – Present); Managing Director2, Blackstone (2007 – 2015) | |||
Sherilene Sibadan (1976) | Anti-Money Laundering Officer | July 2019 to Present | Senior Vice Present Vice President, Blackstone |
1 | Term of office of each officer is indefinite until his or her death, resignation, removal, or disqualification. |
2 | Executive title, not a board directorship. |
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Compensation for Trustees
Each of the Independent Trustees is paid by the Fund Complex (as defined below) at a rate of $150,000 per fiscal year in the aggregate for his or her services to the Fund Complex (including the Subsidiaries). Mr. Coates (a Trustee being treated as an “interested person” (as defined in the 1940 Act) of the Fund due to his employment by Envestnet, Inc., which conducts business with certain Investee Funds and may conduct business with the Investment Adviser and its affiliates in the future) is paid by the Fund Complex at a rate of $129,000 per fiscal year in the aggregate for his services to the Fund Complex (excluding the Subsidiaries). The Chairpersons of the Board and the Audit Committee are paid by the Fund Complex an additional $35,000 and $15,000, respectively, per fiscal year. These payments are allocated to the Fund and the other funds in the Fund Complex on the basis of assets under management. The Fund Complex pays for the Trustees’ travel expenses related to Board of Trustees meetings. The Trustees do not receive any pension or retirement benefits from the Fund Complex. In addition, the Fund also pays for a portion of the compensation for the Fund’s Chief Compliance Officer, James Hannigan. No other officers of the Fund received compensation from the Fund during the fiscal year ended March 31, 2020. The following tables set forth information covering the total compensation payable by the Fund during its fiscal year ended March 31, 2020 to the persons who served as Trustees and Officers of the Fund during such period.
Independent Trustees:
Name of Independent Trustee | Aggregate Compensation From the Fund | Total Compensation From the Fund Complex1 | ||||||||
John M. Brown | $ | 174,471 | $ | 185,000 | ||||||
Peter M. Gilbert | $ | 141,718 | $ | 150,000 | ||||||
Paul J. Lawler | $ | 141,718 | $ | 150,000 | ||||||
Kristen M. Leopold | $ | 155,755 | $ | 165,000 | ||||||
Interested Trustees: | ||||||||||
Name of Interested Trustee | Aggregate Compensation From the Fund | Total Compensation From Fund Complex1 | ||||||||
Frank J. Coates | $ | 120,718 | $ | 129,000 | ||||||
Peter Koffler | None | None |
Name of Compensated Officer | Aggregate Compensation From the Fund | Total Compensation From the Fund Complex1 | ||||||||
James Hannigan | $ | 200,000 | $ | 200,000 |
1 | These amounts represent aggregate compensation for the services of each Trustee to each fund in the Fund Complex for which each Trustee serves as trustee and for which Mr. Hannigan serves as the Chief Compliance Officer, including the Fund, its Subsidiaries, Blackstone Alternative Alpha Fund, Blackstone Alternative Alpha Fund II, and Blackstone Alternative Alpha Master Fund. |
FormN-PORT 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 FormN-PORT. The Fund’s FormN-PORT is available on the SEC’s website at http://www.sec.gov within 60 days after the Fund’s first and third fiscal quarters. Holdings and allocations shown on any FormN-PORT are as of the date indicated in the filing and may not be representative of future investments. Holdings and allocations should not be considered research or investment advice and should not be relied upon in making investment decisions.
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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 the12-month period ended June 30, 2019 will be available (1) without charge, upon request, by calling toll free,1-855-890-7725 and (2) on the SEC’s website at http://www.sec.gov.
Board Approval of theSub-Advisory Agreements
At meetings of the Board held in person on November12-13, 2019 and February20-21, 2020, the Board, including a majority of the Independent Trustees, considered and approved for the Fund (i) the continuation of certain investmentsub-advisory agreements ( “ContinuedSub-Advisory Agreements”), (ii) certain amended, or amended and restated, investmentsub-advisory agreements (“Amended and RestatedSub-Advisory Agreements”), and (iii) certain new investmentsub-advisory agreements (“NewSub-Advisory Agreements” and together with the Amended and RestatedSub-Advisory Agreements and ContinuedSub-Advisory Agreements, the“Sub-Advisory Agreements”) between BAIA and each of the followingsub-advisers (the“Sub-Advisers”):
ContinuedSub-Advisory Agreements (approved at November meeting)
• | CerberusSub-Advisory I, LLC |
• | Waterfall Asset Management, LLC |
• | Nephila Capital, Ltd |
Amended and RestatedSub-Advisory Agreements (approved at November meeting)
• | Endeavour Capital Advisors Inc. (“Endeavour”) |
ContinuedSub-Advisory Agreements (approved at February meeting)
• | Endeavour Capital Advisors Inc. |
• | HealthCor Management L.P. |
• | NWI Management, L.P. |
Amended and RestatedSub-Advisory Agreements (approved at February meeting)
• | Emso Asset Management Limited (“Emso”) |
NewSub-Advisory Agreements (approved at February meeting)
• | Luminus Management, LLC (“Luminus”) |
• | Shelter Growth Capital Partners LLC (“Shelter Growth”) |
• | Blackstone Alternative Asset Management L.P. (“BAAM Sovereign Solutions”)1 |
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 tosub-advisory agreements with, discretionary ornon-discretionarysub-advisers without a shareholder vote, provided that the Board, including a majority of Independent Trustees, approve the newsub-advisers and material amendments, and certain other conditions are met. The
1 | The sub-advisory agreement with BAAM Sovereign Solutions has not been signed as of the date of this Report. |
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Independent Trustees were assisted in their review of the applicablesub-advisory arrangements by their independent legal counsel, and before the meetings, the Board received materials prepared by the Independent Trustees’ independent legal counsel regarding the relevant factors to consider in connection with the approval of theSub-Advisory Agreements between BAIA and each of theSub-Advisers. The Board requested and evaluated all the information it deemed reasonably necessary under the circumstances in connection with the approval of theSub-Advisory Agreements. Prior to the meetings, the Board had requested and received materials prepared by BAIA relating to eachSub-Adviser.
The information the Board received in connection with the consideration of theSub-Advisory Agreements for each of the existingSub-Advisers generally included, among other things:
(1) | a Manager Investment Review, which covered, among other things, summary information regarding eachSub-Adviser’s investment thesis, strategy, investment process, and portfolio construction; a risk evaluation; an assessment of business infrastructure, valuation, liquidity, trade execution and allocation, and compliance; and a summary of the key terms of the applicableSub-Advisory Agreement; |
(2) | asub-adviser “tear sheet,” which covered in greater detail the performance, returns, and investment exposure of eachSub-Adviser that had, presently or in the past, been allocated Fund assets; |
(3) | a completedsub-adviser 15(c) questionnaire, which provided eachSub-Adviser’s responses to the Independent Trustees’ request for information; and |
(4) | for the existing Sub-Advisers considered at the November 12-13, 2019 meeting of the Board, information regarding actual and potential material conflicts of interest each Sub-Adviser faces relevant to its management of the Fund. |
The information the Board received for each newly proposedSub-Adviser approved at the February 20-21, 2020 meeting of the Board generally included:
(1) | a Manager Investment Review, which covered, in greater detail, theSub-Adviser’s investment thesis, personnel, and business and financial evaluation; and |
(2) | a completedsub-adviser 15(c) questionnaire or, in the case of BAAM Sovereign Solutions, a completed advisers 15(c) questionnaire providing responses to the Independent Trustees’ requests for information. |
Prior to the meetings, the Board also received eachSub-Adviser’s responses to information requests under Section 15(c) of the 1940 Act that addressed, among other things:
(i) general financial information; (ii) any material business dealings with Blackstone and the Fund’s service providers; (iii) theSub-Adviser’s business plan for the Fund for the coming year; (iv) costs, fees, other benefits, and profitability (where provided); and (v) risk management and regulatory compliance matters. Additionally, for each newly proposedSub-Adviser, the Board received a copy of theSub-Adviser’s compliance program under Rule38a-1 under the 1940 Act and code of ethics.
With respect to the Amended and RestatedSub-Advisory Agreements with Endeavour and Emso, approved in November 2019 for Endeavour and February 2020 for Emso, the Board reviewed the proposed changes to eachsub-advisory agreement, which the Board had most recently approved at its February20-21, 2018 meeting for Endeavour and at its August13-14, 2019 meeting for Emso.
At the meetings, the Board and BAIA discussed the materials that had been provided to the Board, the terms of theSub-Advisory Agreements, and other relevant considerations. Additionally, the Board (and separately, the Independent Trustees) conferred with the Independent Trustees’ independent legal counsel to consider the information provided. In evaluating theSub-Advisory Agreements, the Board took into account the fact that
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the compensation paid to theSub-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.
Following this discussion, the Board, including a majority of the Independent Trustees, determined to approve the ContinuedSub-Advisory Agreements, the NewSub-Advisory Agreements, and the Amended and RestatedSub-Advisory Agreements on the basis of the following factors, among others, for eachSub-Adviser:
Nature, Extent, and Quality of the Services
The Board discussed and considered with respect to eachSub-Adviser:
(1) | theSub-Adviser’s personnel, operations, and, where available, financial condition; |
(2) | theSub-Adviser’s investment expertise and strengths; |
(3) | the percentage of Fund assets that are or potentially would be allocated to theSub-Adviser; |
(4) | the investment return on other assets that are managed by theSub-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 theSub-Adviser’s management of assets of the Fund; |
(5) | theSub-Adviser’s experience and performance managing hedge funds or other products and the extent to which theSub-Adviser’s strategy for the Fund would overlap with its strategy for hedge funds or other products; |
(6) | where applicable, theSub-Adviser’s experience and performance as aSub-Adviser to the Fund since its inception or otherwise; and |
(7) | the experience and depth of theSub-Adviser’s portfolio management team in managing hedge funds or other products and its ability to manage risk. |
The Board concluded that the nature, extent, and quality of thesub-advisory services to be provided by eachSub-Adviser were appropriate and thus supported a decision to approve or continue theSub-Advisory Agreements.
Investment Performance of theSub-Advisers
The Board considered the investment performance of theSub-Advisers. With respect to eachSub-Adviser that previously has been allocated a portion of the Fund’s assets, the Board considered information about the performance record of the Fund’s assets managed by theSub-Adviser (net of trading expenses but gross of investment management fees and Fund operating expenses over various periods, including in many cases theyear-to-date period, recent calendar month and year periods, and theinception-to-date period), all as compared to the investment returns of (i) a custom index defined by BAIA and (ii) in the case of certainSub-Advisers, theSub-Adviser’s hedge fund strategy. In addition, the Board considered information about performance risk measurements of the assets that are managed by theSub-Adviser, the custom index, and, if applicable, theSub-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 applicableSub-Advisers was generally satisfactory and that theSub-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 eachSub-Adviser, the Board discussed (i) eachSub-Adviser’ssub-advisory fee (and proposedsub-advisory fee in the case of Luminus, Shelter Growth, and
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BAAM Sovereign Solutions) for managing the allocated Fund assets, including any fee breakpoints; (ii) eachSub-Adviser’s resources devoted or expected to be devoted to the Fund; and (iii) any information provided in response to inquiries regarding the profitability to eachSub-Adviser from providingsub-advisory services to the Fund. The Board considered the specific resources that eachSub-Adviser devoted or expected to devote to the Fund for investment analysis, risk management, compliance, and order execution, and the extent to which eachSub-Adviser’s investment process is or would be scalable.
The Board noted that the compensation paid to eachSub-Adviser was paid by BAIA, not the Fund, and, accordingly, that the retention of eachSub-Adviser did not increase the fees or expenses otherwise incurred by shareholders of the Fund. It also noted that the terms of eachSub-Adviser’sSub-Advisory Agreement were the result of separatearm’s-length negotiations between BAIA and theSub-Adviser. The Board considered information comparing thesub-advisory fees to the fees that eachSub-Adviser charges for providing investment advisory services to certain other clients. The Board also considered information regarding the impact that retaining theSub-Advisers assub-advisers to the Fund has or would have on BAIA’s profitability, as well as information about the blended average of allsub-advisory fees that BAIA pays theSub-Advisers based on allocations of Fund assets among theSub-Advisers.
The Board concluded that the level of investmentsub-advisory fees was appropriate in light of the services to be provided.
Economies of Scale
The Board discussed various financial and economic considerations relating to the arrangement with eachSub-Adviser, including economies of scale and the current and proposed breakpoints in thesub-advisory fees for certainSub-Advisers. The Board further noted that it would have the opportunity to periodicallyre-examine whether the Fund had achieved economies of scale, as well as the appropriateness ofsub-advisory fees payable to eachSub-Adviser, with respect to different asset sizes of the portfolio, in the future. The Board also noted that although not directly related to thesub-advisory fees payable to theSub-Advisers, certain Fund expenses were subject to an expense cap, an undertaking by BAIA intended to limit the Fund’s overall expenses at smaller asset levels, although the Fund’s expenses were sufficiently limited at the time of the meetings such that the expense cap did not currently apply.
Other Benefits
The Board discussed other potential benefits that eachSub-Adviser may receive from the Fund, including soft dollar arrangements, receipt of brokerage and research services, and the opportunity to offer additional products and services to the Fund’s shareholders or BAIA. The Board noted that eachSub-Adviser benefited from its relationship with BAIA. The Board concluded that other ancillary or “fall out” benefits derived by eachSub-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 eachSub-Adviser’sSub-Advisory Agreement. After discussion, the Board concluded that the terms of eachSub-Adviser’sSub-Advisory Agreement were reasonable and fair. It was noted that the Board would have the opportunity to periodicallyre-examine the terms of eachSub-Adviser’sSub-Advisory Agreement in the future.
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Conclusion
The Board, including a majority of the Independent Trustees, concluded that the fees payable under each of theSub-Advisory Agreements were fair and reasonable with respect to the services that eachSub-Adviser provides (and is proposed to provide in the case of Luminus, Shelter Growth, and BAAM Sovereign Solutions) 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 eachSub-Adviser’s compliance program was reasonably designed to prevent the violation of federal securities laws within the meaning of Rule38a-1 under the 1940 Act and that eachSub-Adviser’s code of ethics was reasonably designed to prevent “access persons” (as defined in Rule17j-1 under the 1940 Act) from engaging in any act, practice, or course of business prohibited by Rule17j-1 under the 1940 Act. The Board based its approval or continuation of eachSub-Adviser’sSub-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 eachSub-Adviser’sSub-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 February20-21, 2020, the Board, including all of the Independent Trustees, considered and approved (a) the investment management agreement by and between BAIA and 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 their 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 the Independent Trustees’ 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 adviser 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 (on a combined basis with the Sub Funds); (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) BAIA’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.
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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, determined to renew the BAIA Investment Management Agreements for an additional period of no more than twelve months ending March 31, 2021 on the basis of 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’s and Blackstone Advisory Partner L.P.’s strategic planning for the Fund in the marketplace; and |
(7) | BAIA’s oversight of and interaction withsub-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 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 and the Sub Funds’ 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), each as compared to the HFRX Global Hedge Fund Index, the Morningstar Category Average, Bloomberg Barclay’s Global Aggregate Bond Index, and MSCI World Total Return Index (the “Comparative Indices”); (ii) the historical monthly performance of the Fund since inception (net of fees and expenses); (iii) theinception-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 aboutinception-to-date, one year, three year, and five year performance and risk measurements of the Fund as compared to a peer group selected by BAIA’s Mandate Oversight Committee (the “Committee”) (which included five funds in the Service Provider-prepared peer group) such as (a) annualized return, (b) standard deviation, (c) Sharpe ratio, (d) beta and alpha against the S&P 500, and (e) alpha against a custom benchmark index. The Board further considered information about the Fund’sinception-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, 2019 (i) theinception-to-date performance return was less than the corresponding returns of the MSCI World Total Return Index, but greater than the corresponding returns of the HFRX Global Hedge Fund Index, Morningstar Category Average, and the Bloomberg Barclays Global Aggregate Bond Index; (ii) theone-year performance return was less than the corresponding return of the HFRX Global Hedge Fund Index, Morningstar Category Average, Bloomberg Barclay’s Global Aggregate Bond Index and the MSCI World Total Return Index; (iii) theinception-to-date performance return was
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greater than the corresponding return for all of the six other funds in the Committee-prepared peer group (which included five funds in the Service Provider-prepared peer group) for which this information was shown; and (iv) theone-year performance return was greater than two of the six other funds in the Committee-prepared peer group (which included five funds in the Service Provider-prepared peer group) for which this information was shown.
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, 2019 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 peer group. Specifically, the Board considered data based on information provided by the Service Provider indicating that, for the Fund’s Class I shares: (i) the contractual (before waivers) management (including both investment management and administration fees) fee rate was higher than the fee rate of seven of the eight other funds in the Service Provider peer group; (ii) total net expenses (management fee and expenses after waiver) were higher than all eight other funds in the Service Provider peer group; and (iii) total fees were higher than all eight other funds in the Service Provider 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 six competitor funds selected by BAIA (including five funds from the Service Provider-prepared peer group). The Board noted that: (i) the contractual (before waivers) management fee rate for the Fund’s Class I, Class Y, Class D, and Class R shares was higher than the fee rate of five of the six other funds in the broader Committee-prepared peer group; (ii) total net expenses (management fee and expenses after waiver) for the Fund’s Class I, Class Y, and Class D shares were lower than one of the six funds in the broader Committee-prepared peer group; and (iii) total fees for Class I and Class Y were higher than five and total fees for Class D were higher than six out of the six other funds in the broader Committee-prepared peer group.
The Board noted that no Class R shares were outstanding as of December 31, 2019. 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
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of the services provided, 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 periodicallyre-examine whether the Fund and the Sub Funds had 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 potential 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 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 Agreements 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 a 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 the Independent Trustees’ independent legal counsel in this determination.
Liquidity Risk Management Program Discussion
Pursuant to Rule 22e-4 under the 1940 Act, the Fund has adopted a liquidity risk management program (“Program”). The Program’s principal objectives include assessing, managing, and periodically reviewing the Fund’s liquidity risk. Liquidity risk is defined as the risk that the Fund could not meet redemption requests without significant dilution of remaining investors’ interests in the Fund.
The Board has appointed BAIA as the program administrator for the Fund’s Program. BAIA expects to carry out its responsibilities as Program Administrator through its Liquidity Risk Committee (the “Committee”). BAIA uses a third-party service provider to provide preliminary liquidity classifications for the Fund’s investments. At the February 20-21, 2020 meeting, the Committee provided the Board with a report addressing the operation of the program and assessing its adequacy and effectiveness of implementation for the period June 1, 2019 through December 31, 2019. The Committee reported as to the following, among other things:
• | the Fund had sufficient liquidity to both meet redemptions and operate effectively on behalf of shareholders; |
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• | there were no material changes to the Program, the reasonably anticipated trading sizes, or the value impact standards during the period; |
• | the implementation of the Program was effective in assessing, monitoring, and managing the liquidity risk of the Fund’s portfolio during the period; and |
• | the Program remains adequately designed. |
There can be no assurance that the Program will achieve its objectives in the future. Please refer to the Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other principal risks to which an investment in the Fund may be subject.
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 free1-855-890-7725.
Copies of this annual shareholder report are available upon request to prior shareholders of the Multi-Strategy Fund, without charge, by calling toll free1-855-890-7725.
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Rev January 2020
FACTS | WHAT DO BLACKSTONE REGISTERED FUNDS DO WITH YOUR PERSONAL INFORMATION? |
Why? | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. |
What? | The types of personal information we collect and share depend on the product or service you have with us. This information can include:
∎ Social Security number and income
∎ Assets and investment experience
∎ Risk tolerance and transaction history |
How? | All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons Blackstone Registered Funds (as defined below) choose to share; and whether you can limit this sharing. |
Reasons we can share your personal information | Do Blackstone Registered Funds share? | Can you limit this sharing? | ||
For our everyday business purposes— such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus | Yes | No | ||
For our marketing purposes — to offer our products and services to you | Yes | No | ||
For joint marketing with other financial companies | No | We don’t share | ||
For our affiliates’ everyday business purposes— information about your transactions and experiences | No | We don’t share | ||
For our affiliates’ everyday business purposes— information about your creditworthiness | No | We don’t share | ||
For our affiliates to market to you | No | We don’t share | ||
For nonaffiliates to market to you | No | We don’t share |
Questions? | Email us atGLB.privacy@blackstone.com |
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Who We Are | ||
Who is providing this notice? | Blackstone Registered Funds include Blackstone Alternative Alpha Fund, Blackstone Alternative Alpha Fund II, Blackstone Real Estate Income Fund, Blackstone Real Estate Income Fund II, Blackstone Real Estate Income Trust, Inc., Blackstone Alternative Investment Funds, on behalf of its series Blackstone Alternative Multi-Strategy Fund, Blackstone Diversified Multi-Strategy Fund, a sub-fund of Blackstone Alternative Investment Funds plc, and the GSO Funds, consisting of Blackstone / GSO Senior Floating Rate Term Fund, Blackstone / GSO Long-Short Credit Income Fund, Blackstone / GSO Strategic Credit Fund, Blackstone / GSO Floating Rate Enhanced Income Fund and Blackstone / GSO Secured Lending Fund and Blackstone / GSO Floating Rate Enhanced Income Fund | |
What We Do | ||
How do Blackstone Registered Funds protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. | |
How do Blackstone Registered Funds collect my personal information? | We collect your personal information, for example, when you:
∎ open an account or give us your income information
∎ provide employment information or give us your contact information
∎ tell us about your investment or retirement portfolio
We also collect your personal information from others, such as credit bureaus, affiliates, or other companies. | |
Why can’t I limit all sharing? | Federal law gives you the right to limit only:
∎ sharing for affiliates’ everyday business purposes—information about your creditworthiness
∎ affiliates from using your information to market to you sharing for nonaffiliates to market to you
State laws and individual companies may give you additional rights to limit sharing. See below for more on your rights under state law. | |
What happens when I limit sharing for an account I hold jointly with someone else? | Your choices will apply to everyone on your account—unless you tell us otherwise. | |
Definitions | ||
Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies.
∎ Our affiliates include companies with a Blackstone name and financial companies such as GSO Capital Partners LP and Strategic Partners Fund Solutions. | |
Nonaffiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies.
∎ Blackstone Registered Funds do not share with nonaffiliates so they can market to you. | |
Joint marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you.
∎ Our joint marketing partners include financial services companies. |
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Other Important Information | ||
California Residents—In accordance with California law, we will not share information we collect about California residents with nonaffiliates except as permitted by law, such as with the consent of the customer or to service the customer’s accounts. We will also limit the sharing of information about you with our affiliates to the extent required by applicable California law. Vermont Residents—In accordance with Vermont law, we will not share information we collect about Vermont residents with nonaffiliates except as permitted by law, such as with the consent of the customer or to service the customer’s accounts. We will not share creditworthiness information about Vermont residents among Blackstone Registered Funds’ affiliates except with the authorization or consent of the Vermont resident. | ||
Contact Us | ||
If you have any questions or comments about this Privacy Notice, or if you would like us to update information we have about you or your preferences, please email us atPrivacyQueries@Blackstone.com or access our web formwww.blackstone.com/privacy.
You also may write to:
The Blackstone Group Inc. Attn: Legal & Compliance 345 Park Avenue New York, NY 10154 |
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GDPR PRIVACY STATEMENT
DATA PRIVACY NOTICE FOR INVESTORS
Why are you seeing this notice?
• | You may need to provide Personal Data to us as part of your investment into a fund or other investment vehicle (as applicable, the Fund) managed or advised by investment advisers that are subsidiaries of The Blackstone Group Inc. or its affiliates (and, where applicable, the general partner of the relevant Fund) (collectively, Blackstone). |
• | We want you to understand how and why we use, store and otherwise process your Personal Data when you deal with us or our relevant affiliates (including under applicable data protection laws). If this notice (the Data Privacy Notice) has been made available to you, you may have certain rights with respect to your Personal Data under applicable data protection laws (including as described in this Data Privacy Notice). |
• | “Personal Data” has the meaning given to it under data protection laws that apply to our processing of your personal information, and includes any information that relates to, describes, identifies or can be used, directly or indirectly, to identify an individual (such as name, address, date of birth, personal identification numbers, sensitive personal information, and economic information). |
• | We ask that investors promptly provide the information contained in this Data Privacy Notice to any individuals whose Personal Data they provide to the Fund or its affiliates in connection with ‘know your client’/anti-money laundering requests or otherwise. |
Please read the information below carefully. It explains how and why Personal Data is processed by us.
Who is providing this notice?
Blackstone is committed to protecting and respecting your privacy. Blackstone is a global financial services firm with offices, operations and entities globally, including as described at this link:https://www.blackstone.com/privacy#appendixA.
• | For transparency, the Blackstone entities on whose behalf this privacy statement is made are: (i) the Fund; and (ii) where applicable, the Blackstone general partner and/or investment adviser of the relevant Fund, in each case, with which you contract, transact or otherwise share Personal Data (together, the Fund Parties). |
• | Where we use the terms “we”, “us” and “our” in this Data Privacy Notice, we are referring to the Fund and the Fund Parties. |
• | Please consult your subscription documents, private placement memorandum or other offering documentation provided to you by or on behalf of the Fund Parties which will further specify the entities and contact details of the Fund Parties relevant to our relationship with you. |
• | We welcome investors and their representatives to contact us if they have any queries with respect to the Fund Parties (in particular, which Fund Parties are relevant to their relationship with Blackstone). If you have any queries, our contact details are below. |
When you provide us with your Personal Data, each Fund Party that decides how and why Personal Data is processed acts as a “data controller”. In simple terms, this means that the Fund Party makes certain decisions on how to use and protect your Personal Data – but only to the extent that we have informed you about the use or are otherwise permitted by law.
Where your Personal Data is processed by an entity controlled by, or under common control with, the Blackstone entity/ies managing a Fund for its own purposes, this entity will also be a data controller.
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What Personal Data do we collect about you?
The types of Personal Data that we collect and share depends on the product or service you have with us and the nature of your investment.
The Personal Data collected about you will help us to provide you with a better service and facilitate our business relationship.
We may combine Personal Data that you provide to us with Personal Data that we collect from you, or about you from other sources, in some circumstances. This will include Personal Data collected in an online or offline context.
As a result of our relationship with you as an investor, in the past 12 months we may have collected Personal Data concerning you in the following categories:
a) | Identifiers (e.g., real name, alias, postal address, email address, social security or driver’s licence number, government ID, signature, telephone number, education, employment, employment history, financial information, includingtax-related information/codes and bank account details, information used for monitoring and background checks to comply with laws and regulations, including ‘know your client’, anti-money laundering, and sanctions checks, and other contact information); |
b) | Sensitive/protected characteristic information (e.g., age/date of birth, nationality, citizenship, country of residence, gender, and other information used to comply with laws and regulations); |
c) | Commercial information (e.g., assets, income, transaction and investment history, accounts at other institutions, information concerning source of funds and any applicable restrictions on your investment such as political exposure or sanctions); |
d) | Internet or other network activity (e.g., browsing or search history, information regarding interaction with an internet website, application, or advertisement, online identifiers such as cookies); |
e) | Sensory and surveillance data (e.g., recordings of telephone calls where permitted or required by law, video surveillance recordings, and other records of your interactions with us or our service providers, including electronic communications); |
f) | Professional or employment-related information (e.g., current or past job history); and |
g) | Inferences drawn from other personal information (e.g., profiles reflecting preferences and trends, based on information such as assets, investment experience, risk tolerance, investment activity, and transaction history). |
Where do we obtain your Personal Data?
We collect, and have collected, Personal Data about you from a number of sources, including from you directly:
WHAT | HOW | |||
1 | Personal Data that you give us | • from the forms and any associated documentation that you complete when subscribing for an investment, shares and/or opening an account with us. This can include information about your name, address, date of birth, passport details or other national identifier, driving licence, your national insurance or social security number and income, employment information and details about your investment or retirement portfolio(s) • when you provide it to us in correspondence and conversations, including electronic communications such as email and telephone calls • when you make transactions with respect to the Fund • when you interact with our online platforms and websites (such as bxaccess.com) • when you purchase securities from us and/or tell us where to send money • from cookies, web beacons, and similar interactions when you or your devices access our sites |
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WHAT | HOW | |||
2 | Personal Data that we obtain from others | We obtain Personal Data from: • publicly available and accessible directories and sources • bankruptcy registers • tax authorities, including those that are based outside the territory in which you are located or domiciled, including the Cayman Islands, the United Kingdom (UK) and the European Economic Area (EEA), if you are subject to tax in another jurisdiction • governmental and competent regulatory authorities to whom we have regulatory obligations • credit agencies • fraud prevention and detection agencies/organisations • transaction counterparties |
Why do we process your Personal Data?
We may process or disclose your Personal Data for the following reasons:
WHY | HOW | |||
1 | Contract | It isnecessary to perform our contract with you to: • administer, manage and set up your investor account(s) to allow you to purchase your holding (of shares) in our Funds • meet the resulting contractual obligations we have to you • facilitate the continuation or termination of the contractual relationship between you and the Fund • facilitate the transfer of funds, and administering and facilitating any other transaction, between you and the Fund | ||
2 | Compliance with law | It isnecessary for compliance with an applicable legal or regulatory obligation to which we are subject, in order to: • undertake our client and investor due diligence, andon-boarding checks • carry out verification, ‘know your client’, terrorist financing, sanctions, and anti-money laundering checks • verify the identity and addresses of our investors (and, if applicable, their beneficial owners) • comply with requests from regulatory, governmental, tax and law enforcement authorities • carry out surveillance and investigations • carry out audit checks • maintain statutory registers • prevent and detect fraud • comply with sanctions requirements | ||
3 | Legitimate interests | For ourlegitimate interestsor those of a third party (such as a transaction counterparty or lender) to: • manage and administer your holding in any Funds in which you are invested, and any related accounts on an ongoing basis • assess and process any applications or requests made by you • open, maintain or close accounts in connection with your investment in, or withdrawal from, the Fund scheme • send updates, information and notices or otherwise correspond with you in connection with your investment in the Fund scheme • address or investigate any complaints, claims, proceedings or disputes • provide you with, and inform you about, our investment products and services • monitor and improve our relationships with investors
|
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WHY | HOW | |||
• comply with applicable regulatory obligations, including anti-money laundering, sanctions and ‘know your client’ checks • assist our transaction counterparties to comply with their regulatory and legal obligations (including anti-money laundering, ‘know your client’ and sanctions checks) • manage our risk and operations • comply with our accounting and tax reporting requirements • comply with our audit requirements • assist with internal compliance with our policies and processes • ensure appropriate group management and governance • keep our internal records • prepare reports on incidents/accidents • protect our business against fraud, breach of confidence, theft of proprietary materials, and other financial or business crimes (to the extent that this is not required of us by law) • analyse and manage commercial risks • seek professional advice, including legal advice • enable any actual or proposed assignee or transferee, participant orsub-participant of the partnership’s or Fund vehicles’ rights or obligations to evaluate proposed transactions • facilitate business asset transactions involving the Fund partnership or Fund-related vehicles • monitor communications to/from us using our systems • protect the security and integrity of our information technology systems • manage our financing arrangements with our financiers and financing transaction counterparties, including payment providers, intermediaries, and correspondent/agent banks We only rely on these interests where we have considered that, on balance, the legitimate interests are not overridden by your interests, fundamental rights or freedoms. |
Monitoring as described at (3) above
We monitor communications where the law requires us to do so. We will also monitor where we are required to do so to comply with our regulatory rules and practices and, where we are permitted to do so, to protect our business and the security of our systems.
Who we share your Personal Data with
Your Personal Data will be shared with:
WHO | WHY | |
Fund Associates | We share your Personal Data with our associates, related parties and members of our group. This is: • to manage our relationship with you • for the legitimate interests of a third party in carrying out anti-money laundering and compliance checks required of them under applicable laws and regulations • for the purposes set out in this Data Privacy Notice | |
Fund Managers, Depositories, Administrators, Custodians, Investment Advisers | • delivering the services you require • managing your investment • supporting and administering investment-related activities • complying with applicable investment, anti-money laundering and other laws and regulations |
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WHO | WHY | |
Tax Authorities | • to comply with applicable laws and regulations • where required or requested by tax authorities in the territory in which you are located or domiciled (in particular, Cayman Island or UK/EEA tax authorities) who, in turn, may share your Personal Data with foreign tax authorities • where required or requested by foreign tax authorities, including outside of the territory in which you are located or domiciled (including outside the Cayman Islands or UK/EEA) | |
Service Providers | • delivering and facilitating the services needed to support our business relationship with you • supporting and administering investment-related activities • where disclosure to the service provider is considered necessary to support Blackstone with the purposes described in section 5 of this Data Privacy Notice | |
Financing Counterparties, Lenders, Correspondent and Agent Banks | • assisting these transaction counterparties with regulatory checks, such as ‘know your client’, and anti-money laundering procedures • sourcing credit for Fund-related entities in the course of our transactions and fund life cycles | |
Our Lawyers, Auditors and other Professional Advisers | • providing you with investment-related services • to comply with applicable legal and regulatory requirements |
In exceptional circumstances, we will share your Personal Data with:
• | competent regulatory, prosecuting and other governmental agencies or litigation counterparties, in any country or territory; and |
• | other organisations and agencies – where we are required to do so by law. |
For California residents, in the preceding 12 months, we may have disclosed Personal Data listed in any of the categories in section 3 above for a business purpose (in particular, as described in this section).
We have not sold Personal Data in the 12 months preceding the date of this Data Privacy Notice.
Do you have to provide us with this Personal Data?
Where we collect Personal Data from you, we will indicate if:
• | provision of the Personal Data is necessary for our compliance with a legal obligation; or |
• | it is purely voluntary and there are no implications for you if you do not wish to provide us with it. |
Unless otherwise indicated, you should assume that we require the Personal Data for business and/or compliance purposes. Some of the Personal Data that we request is necessary for us to perform our contract with you and if you do not wish to provide us with this Personal Data, it will affect our ability to provide our services to you and manage your investment.
Sending your Personal Data internationally
We will transfer your Personal Data between different countries to our affiliates and group members, members of the Fund’s partnership, transaction counterparties, and third party service providers. These countries may not have similarly strict data protection and privacy laws, and will include those countries in which our affiliates and service providers operate (and may include, for example, transfers from the UK/EEA or Cayman Islands to a jurisdiction outside of such territory).
Where we transfer Personal Data to other members of our group, our service providers or another third party recipient from one country to another, we will ensure that our arrangements with them are governed by data
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transfer agreements or appropriate safeguards, designed to ensure that your Personal Data is protected as required under applicable data protection law (including, where appropriate, under an agreement on terms approved for this purpose by the European Commission or by obtaining your consent).
Pleasecontact us if you would like to know more about these agreements or receive a copy of them. Please see below for our contact details.
Consent – and your right to withdraw it
We do not generally rely on obtaining your consent to process your Personal Data. If we do, you have the right to withdraw this consent at any time. Pleasecontact us or send us an email at PrivacyQueries@Blackstone.com at any time if you wish to do so.
Retention and deletion of your Personal Data
We keep your Personal Data for as long as it is required by us for our legitimate business purposes, to perform our contractual obligations or, where longer, such longer period as is required or permitted by law or regulatory obligations which apply to us. We will generally:
• | retain Personal Data about you throughout the life cycle of any investment you are involved in; and |
• | retain some Personal Data after your relationship with us ends. |
As a general principle, we do not retain your Personal Data for longer than we need it.
We will usually delete your Personal Data (at the latest) after you cease to be an investor in any fund and there is no longer any legal/regulatory requirement, or business purpose, for retaining your Personal Data.
Your rights
You may, subject to certain limitations, have data protection rights depending on the data protection laws that apply to our processing of your Personal Data, including the right to:
• | access your Personal Data, and some related information, including the purpose for processing the Personal Data, the categories of recipients of that Personal Data to the extent that it has been transferred internationally, and, where the Personal Data has not been collected directly from you, the source (the category information) |
• | restrict the use of your Personal Data in certain circumstances |
• | have incomplete or inaccurate Personal Data corrected |
• | ask us to stop processing your Personal Data |
• | require us to delete your Personal Data in some limited circumstances |
You also have the right in some circumstances to request us to “port” your Personal Data in a portable,re-usable format to other organisations (where this is possible).
California residents may also request certain information about our disclosure of Personal Data during the prior year, including category information (as defined above).
We review and verify requests to protect your Personal Data, and will action data protection requests fairly and in accordance with applicable data protection laws and principles.
If you wish to exercise any of these rights, pleasecontact us (details below).
From 25 May 2018, you also have the right in some circumstances to request for us to “port” your Personal Data in a portable,re-usable format to other organisations (where this is possible).
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Concerns or queries
We take your concerns very seriously. We encourage you to bring it to our attention if you have any concerns about our processing of your Personal Data. This Data Privacy Notice was drafted with simplicity and clarity in mind. We are, of course, happy to provide any further information or explanation needed. Our contact details are below.
Please also contact us via any of the below contact methods if you have a disability and require an alternative format of this Data Privacy Notice.
If you want to make a complaint, you can also contact the body regulating data protection in your country, where you live or work, or the location where the data protection issue arose. In particular:
Country | Supervisory Authority | |
Cayman Islands | Cayman Islands Ombudsman (available at: https://ombudsman.ky) | |
European Union | A list of the EU data protection authorities and contact details is available by clicking this link: http://ec.europa.eu/newsroom/article29/item-detail.cfm?item_id=612080 | |
United Kingdom | Information Commissioner’s Office (available at:https://ico.org.uk/global/contact-us/) |
Contact us
Pleasecontact us if you have any questions about this Data Privacy Notice or the Personal Data we hold about you.
Contact us byemail or access our web format PrivacyQueries@Blackstone.com.
Contact us inwriting using this address:
Address | For EU/UK related queries: 40 Berkeley Square, London, W1J 5AL, United Kingdom
All other queries: The Blackstone Group Inc. Attn: Legal & Compliance 345 Park Avenue, New York, NY 10154 |
Changes to this Data Privacy Notice
We keep this Data Privacy Notice under regular review. Please check regularly for any updates at our investor portal (www.bxaccess.com).
This Data Privacy Notice was last updated in January 2020.
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Blackstone Alternative Multi-Strategy Fund
a series of Blackstone Alternative Investment Funds
Trustees
John M. Brown, Chairman
Frank J. Coates
Paul J. Lawler
Kristen M. Leopold
Peter Koffler
Peter M. Gilbert
Investment Adviser
Blackstone Alternative Investment Advisors LLC
345 Park Avenue
New York, New York 10154
Administrator and Custodian
State Street Bank and Trust Company
One Lincoln Street
Boston, MA 02111
Transfer Agent
State Street Bank and Trust Company
One Lincoln Street
Boston, MA 02111
Officers
Brian F. Gavin, President and Principal Executive Officer
Arthur Liao, Treasurer and Principal Financial and Accounting Officer
James Hannigan, Chief Legal Officer and Chief Compliance Officer
Natasha Kulkarni, Secretary
Charmagne Kukulka, Interim Secretary
Sherilene Sibadan, Anti-Money Laundering Officer
Independent Registered Public Accounting Firm
Deloitte & Touche LLP
30 Rockefeller Plaza
New York, New York 10112
Legal Counsel
Ropes & Gray LLP
Prudential Tower
800 Boylston Street
Boston, Massachusetts 02199-3600
This report, including the financial information herein, is transmitted to the shareholders of Blackstone Alternative Multi-Strategy Fund for their information. It is not a prospectus or representation intended for use in the purchase of shares of the Fund or any securities mentioned in this report.
You can find the Fund’s prospectus and other information about the Fund, including the Fund’s statement of additional information, on the Fund’s website at www.bxmix.com. You can also get this information at no cost by calling the Fund at1-855-890-7725.
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Item 2. | Code of Ethics. |
(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’s Code of Ethics for Principal Executive and Senior Financial Officers (the “Code”) was amended (i) to provide examples of conflicts of interest relevant to the Registrant’s principal executive officer and principal financial officer (“Covered Persons”), including the types of relationships that should be disclosed to the Registrant’s chief compliance officer; (ii) to note certain disclosure, reporting, and confidentiality obligations, such as the obligation to provide fair and full responses to any questionnaires and the obligation to encourage and counsel other persons to adhere to the standards under the Code; (iii) to codify the procedures the Registrant will follow in enforcing the Code; and (iv) to incorporate an affirmation in which a Covered Person affirms that such Covered Person received, read and understands the Code, has complied with the requirements of the Code during the applicable reporting period, and will cooperate with any investigation or inquiry into a violation of the Code. Other non-material changes were also made in connection with this amendment. A copy of the amended Code is filed as an exhibit to this Form N-CSR.
(d) There have been no waivers granted by the Registrant to individuals covered by the Registrant’s code of ethics during the reporting period for this formN-CSR.
(e) Not applicable.
(f) A copy of the Registrant’s code of ethics is attached as Exhibit 13(a)(1) to this FormN-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 FormN-CSR.
(3) Not applicable.
Item 4. | Principal Accountant Fees and Services. |
Current Fiscal Year(1) | Previous Fiscal Year | |||||||||||
(a) | Audit Fees | $ | 230,000 | $ | 220,000 | |||||||
(b) | Audit-Related Fees | $ | 0 | $ | 0 | |||||||
(c) | Tax Fees(2) | $ | 39,000 | $ | 37,500 | |||||||
(d) | All Other Fees | $ | 0 | $ | 0 |
(1) | No fees were required to be approved pursuant to paragraph (c)(7)(ii) of Rule2-01 of RegulationS-X during the current fiscal year. |
(2) | The nature of the services includes tax compliance, tax advice and tax planning. |
(e) (1) Disclose the Committee’spre-approval policies and procedures described in paragraph (c)(7) of Rule2-01 of RegulationS-X.
The charter for the Committee requires that the Committeepre-approve (i) all audit andnon-audit services that the Registrant’s independent auditors provide to the Registrant, and (ii) allnon-audit services that the Registrant’s independent auditors provide to Blackstone Alternative Investment Advisors LLC (“BAIA”), the investment adviser of the Registrant, 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 Rule2-01 of RegulationS-X.
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Current Fiscal Year | Previous Fiscal Year | |||
(b) | 0% | 0% | ||
(c) | 0% | 0% | ||
(d) | 0% | 0% |
(f) Not applicable.
(g) Disclose the aggregatenon-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.
Item 6. | Investments. |
(a) The Registrant’s Consolidated Schedule of Investments as of the close of the reporting period is included in the Report to Shareholders filed under Item 1 of this form.
(b) Not applicable.
Item 7. | Disclosure of Proxy Voting Policies and Procedures forClosed-End Management Investment Companies. |
Not applicable.
Item 8. | Portfolio Managers ofClosed-End Management Investment Companies. |
Not applicable.
Item 9. | Purchases of Equity Securities byClosed-End Management Investment Company and Affiliated Purchasers. |
Not applicable.
Item 10. | Submission of Matters to a Vote of Security Holders. |
There have been no material changes to the procedures by which the shareholders may recommend nominees to the Registrant’s Board of Trustees.
Item 11. | Controls and Procedures. |
(a) The Registrant’s principal executive officer and principal financial officers, or persons performing similar functions, have concluded that the Registrant’s disclosure controls and procedures as defined in Rule30a-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 Rule30a-3(b) under the 1940 Act and Rules13a-15(b) or15d-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 Rule30a-3(d) under the 1940 Act) that occurred during the period covered by this report that have materially affected or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting.
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Item 12. | Disclosure of Securities Lending Activities forClosed-End Management Investment Companies. |
(a) Not applicable.
(b) Not applicable.
Item 13. | Exhibits. |
(a) (1) |
(2) | Certifications pursuant to Rule30a-2(a) are attached hereto. |
(3) | Not applicable. |
(4) | Not applicable. |
(b) | Certifications pursuant to Rule30a-2(b) are attached hereto. |
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SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) | Blackstone Alternative Investment Funds |
By (Signature and Title) | /s/ Brian F. Gavin | |
Brian F. Gavin, President (Principal Executive Officer) |
Date | May 26, 2020 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.
By (Signature and Title) | /s/ Brian F. Gavin | |
Brian F. Gavin, President (Principal Executive Officer) |
Date | May 26, 2020 |
By (Signature and Title) | /s/ Arthur Liao | |
Arthur Liao, Treasurer (Principal Financial and Accounting Officer) |
Date | May 26, 2020 |