UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-22743
Blackstone Alternative Investment Funds
(Exact Name of Registrant as Specified in Charter)
345 Park Avenue
28th Floor
New York, NY 10154
(Address of Principal Executive Offices)
Registrant’s telephone number, including area code: (212) 583-5000
Peter Koffler, Esq.
c/o Blackstone Alternative Investment Advisors LLC
345 Park Avenue
28th Floor
New York, NY 10154
(Name and Address of Agent for Service)
With a copy to:
James E. Thomas, Esq.
Ropes & Gray LLP
Prudential Tower
800 Boylston Street
Boston, MA 02199-3600
Date of fiscal year end: March 31
Date of reporting period: March 31, 2021
| Item 1. | Reports to Stockholders. |
(a) The following is a copy of the report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940, as amended (the “1940 Act”):
(b) Not applicable.
Blackstone Alternative Multi-Strategy Fund
a series of Blackstone Alternative Investment Funds
|
Annual Report For the Year Ended March 31, 2021 |
TABLE OF CONTENTS
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, event risk, inflation 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. Inflation Risk - Inflation, and investors’ expectation of future inflation, can impact the current value of portfolio investments, resulting in lower asset values and losses to Fund investors. Investment Style Risk - Different investment styles tend to shift in and out of favor depending on market and economic conditions and investor sentiment, and the Fund could underperform other funds that invest in similar asset classes but employ different investment styles. Large Purchase and Redemption Risk - large purchase or redemption activity could result in the Fund
incurring additional costs, selling portfolio securities, investing cash, or holding a relatively large amount of cash at times when it would not otherwise do so, which could have an adverse effect on performance. 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, 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.
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, 2020 to March 31, 2021 (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 instruct Sub-Advisers with respect to particular investments1. Each Sub-Adviser is responsible for the day-to-day management of the Fund’s assets that the Investment Adviser allocates to it. The Investment Adviser has the ultimate responsibility to oversee each Sub-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 of Sub-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 four consecutive quarters of global equity market appreciation, as accommodative monetary and fiscal policies adopted in response to the COVID-19 pandemic provided support for markets’ rebound following their swift and broad-based drawdown during the first quarter of 2020. The Fund’s collection of alternative strategies and hedge fund vehicles exhibited positive returns over the Reporting Period, outperforming the broader hedge fund universe by more than 2%3. As we look ahead to the next 12 months, we intend to continue leveraging our due diligence, risk management, and investment expertise, accumulated over our 25+ years’ experience in alternative investing, to identify compelling investment strategies and skilled sub-advisers that we believe may advance the Fund in pursuit of its objective. Furthermore, we believe that the market turbulence of the past year has provided opportunities to partner with skilled managers seeking additional capital, and we continue to leverage Blackstone Alternative
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.
| 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 EJF Capital LLC, Aeolus Capital Management Ltd., PIMCO Investment Management, Islet Management, L.P. and Saba Capital 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 a sub-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. |
| 3 | As measured by the HFRX Global Hedge Fund Index. |
1
Asset Management’s4 position as the world’s largest allocator to hedge funds to source new talent for the portfolio5. During the Reporting Period, the Fund generated a cumulative return, net of fees and expenses, of 18.34%. Over the same period, the HFRX Global Hedge Fund Index, a measure of hedge fund performance, returned 16.15%; the MSCI World Total Return Index, a measure of global equity market performance, returned 54.76%; and the Bloomberg Barclays Global Aggregate Bond Index, a measure of investment grade bond performance, returned 4.67%6.
Market and Portfolio Commentary
The Reporting Period was characterized by a constructive progression in the business cycle, as most major economies exited brief, but sharp, recessions and generally transitioned from contraction to recovery. While activity remained below 2019 levels in most major economies, rebounds in manufacturing output, employment, and household incomes, in addition to accommodative policies and positive vaccine developments, presented tailwinds for financial markets that pushed stock prices and Treasury yields higher.
In the second quarter of 2020, a marked increase in global risk appetite fueled a rebound in asset prices. Investors came to terms with the economic uncertainty caused by the COVID-19 crisis and seemingly looked past ongoing economic damage, record infections, and societal unrest. Assets supported by fiscal and monetary policy were the first to rebound, and soon investors deployed waves of capital to harvest relative value opportunities in dislocated strategies and assets. We observed approximately $55 billion in private capital raises for dislocation funds, many of which launched in June 2020 and will continue to invest for one to two years7. Notable in this rebound was the participation of retail investors, with online brokerages reporting marked increases in activity. This participation contributed to a fear-of-missing-out (“FOMO”) rally into which many initially skeptical institutional investors were dragged. Outside of equities, retail investors added more than $30 billion of net flows to high yield debt and more than $75 billion to investment-grade bonds8.
The third quarter of 2020 unfolded in three acts. First, in July, asset prices continued to recover thanks to increased risk appetite fueled by improving global outcomes in combating COVID-19. Then, the following month, the S&P 500 Index rallied 8.93%, marking its best August performance since 1986. The continuation of the FOMO rally that began in the second quarter was supported by a momentous change in the Federal Reserve’s (“Fed”) reaction function, which suggested low front-end interest rates for the next several years. In September, however, some of those gains reversed, and we saw a normalization in equity values as investors looked ahead to an uncertain U.S. election season. In fact, the S&P 500 Index dropped 11.3% peak to trough from September 2nd to September 23rd. Stimulative policies enacted by central banks, including, in some cases, negative interest rates (meaning an investor must pay the government for the privilege of lending the government money), continued to support demand for higher-yielding credits. The economic recovery was heterogenous with many segments of the economy rebounding strongly (e.g., technology, new economy, housing), while questions remained about the pace of recovery for others (e.g., retail, hospitality, office). This led to associated differences in the speed of recovery across various segments of the market and set the stage for investors to focus on COVID-19 recovery themes in the fourth quarter.
| 4 | The Investment Adviser shares employees, facilities and processes with Blackstone Alternative Asset Management L.P. (“BAAM”). |
| 5 | Source: InvestHedge Billion Dollar Club (as of June 30, 2020) based on AUM. |
| 6 | 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. |
| 7 | Bloomberg, FundFire, DowJones Factiva, Hedge Fund Alert, Pensions & Investments, Institutional Investor, and BAIA Analysis. As of May 31, 2020. |
| 8 | Source: Credit Suisse Research. As of July 8, 2020. |
2
Global appetite for risk assets increased broadly over the fourth quarter of 2020 as uncertainty surrounding the U.S. Presidential Election, efficacy of a COVID-19 vaccine, and fiscal stimulus resolved. Despite ending the year with over 86 million global cases of the coronavirus, markets looked through a second wave of infections in the fall to price a robust economic recovery in 2021. From its bottom on March 23, 2020, the S&P 500 Index returned 68%, closing at a record high and increasing 16.3% for the year. In Q4, U.S. equity markets experienced a large rotation from beneficiaries of low and falling real yields to beneficiaries of an economic recovery. Large cap and growth leaders gave way to small cap and value. Value stocks, in fact, rose by 16% over the last three months, marking their best quarter since 2009, and small-cap stocks returned 24%, erasing their underperformance for the calendar year9. Further, credit instruments continued their rebound. As central banks took unprecedented action to provide significant monetary and fiscal stimulus throughout the crisis, historically low U.S. treasury yields forced investors to look elsewhere for meaningful sources of income. We observed broad appreciation of credit instruments throughout the quarter, with U.S. High Yield bonds recovering over 90% of their spread widening from March. Residential and commercial mortgage-backed securities and emerging market debt also appreciated meaningfully during the quarter.
The first quarter of 2021 saw the beginning of a return to some semblance of normalcy. Across the world, developed countries saw record COVID-19 vaccinations, with the U.S. exceeding three million doses delivered per day and subsequently loosening lockdown restrictions in many states10. Against this backdrop, robust fiscal stimulus, accommodative monetary policy, and growing strength in consumer balance sheets all provided strong support for economic growth. The White House announced more than $5.3 trillion of fiscal spending, including $1.9 trillion of COVID-19 assistance passed in March11. In sum, this stimulus represented more than 25% of 2020 U.S. GDP and more than 100% of the federal budget for fiscal year 202112. The new administration also stated is plans for even more fiscal stimulus in an effort to keep the economy growing well into 2022 and beyond, including a potential infrastructure package that may approach $3.0 trillion13. Meanwhile, the U.S. Federal Reserve reiterated that its Average Inflation Target of 2% over the long run is consistent with keeping monetary policy loose in the face of incipient inflation pressures as well as an inflation overshoot. Finally, consumer balance sheets continued to expand to record highs with total consumer assets growing by approximately $12 trillion dollars (a 9.5% increase year-over-year), with roughly half coming from appreciation of equity holdings and another 20% coming from appreciation of real estate14. As a result of these supportive conditions, the recovering economy led the median market participant to expect 6.2% of GDP growth for full year 2021, which is a growth rate not seen in the U.S. since 200515. Financial markets continued to price in this robust economic recovery, as interest rates, inflation expectations, and commodity and equity markets all appreciated with positive investor sentiment.
| 9 | Value stocks refers to MSCI World Value Index; Small-cap stocks refers to MSCI World Small Cap Index. |
| 10 | Bloomberg, “U.S. Vaccine Doses Head for 3 Million a Day as Supply Loosens” (March 29, 2021) |
| 11 | Washington Post, “How the 1.9 trillion U.S. stimulus package compares with other countries’ coronavirus spending” (April 5, 2021) |
| 12 | The Balance, “Current US Federal Government Spending” (April 9, 2021) |
| 13 | NYTimes, “Biden Team Prepares $3 Trillion in New Spending for the Economy” (March 22, 2021) |
| 14 | U.S. Federal Reserve, Household Balance Sheet & Changes in Net Worth for Households and Nonprofit Organizations, calculated for data available for 2020 Q1 – Q4. |
| 15 | Bloomberg, Median Market Participant forecast of YoY Real GDP growth as of 4/12/2021. |
3
Over the Reporting Period, the Fund’s Equity strategies contributed positively to performance (+2.50%)16. Equity Long/Short sub-strategies, which successfully captured mispricing opportunities amid heightened levels of market volatility, led gains. The Fund benefited from exposure to Financials, where greater dispersion in the sector provided opportunities for sub-advisers to generate alpha, as well as Healthcare, where newfound winners and losers emerged in the biopharmaceutical and healthcare services sub-sectors, partly in response to pandemic-related catalysts. Exposure to strategies focused on the pan-Asia geographic region offset some of the gains, as losses suffered during a broad-based de-grossing event in January outweighed profits produced throughout the rest of the Reporting Period. The Fund’s exposure to real estate investment trusts (“REITs”), which entered the Reporting Period at significantly depressed price levels on the back of the Global Shutdown, was also accretive to performance, as the increased probability of a post-vaccine world led to considerable price appreciation in COVID-impacted sectors, including travel, entertainment, and retail. Equity Market Neutral sub-strategies were only slight contributors of gains, as headwinds felt by quantitative strategies related to rotations in factors, namely moves away from growth and momentum and towards low volatility and value, led to intermittent losses throughout the Reporting Period.
Credit strategies were a large contributor to performance (+8.86%) during the Reporting Period16. Accommodative policies adopted by global central banks and governments in response to the pandemic provided support for these strategies and facilitated capital formation following the technical selling pressure that characterized the first quarter of 2020. Low and negative interest rate policies offered tailwinds for the performance of Fixed Income – Asset Backed sub-strategies, as capital returned to these arenas and credit spreads tightened. While the recovery was broad-based, greater stabilization was initially observed in residential mortgage markets, which were aided by reports of slowing loan forbearance growth and supportive fundamentals in U.S. housing markets, and less substantial price appreciation in commercial mortgages, where greater uncertainty related to the reopening of the economy weighed on corporate revenues in COVID-affected sectors. Distressed/Restructuring sub-strategies also generated gains, as sub-advisers took advantage of chances to purchase assets at prices they believed to be discounted relative to fundamentals. Sub-advisers also generated risk-adjusted returns in the stressed loan market, as a growing number of companies struggled to service debt and restructured existing financing arrangements, though losses were suffered in more defensive sectors, which lagged in the first quarter of 2021 in response to concerns regarding inflation.
Multi-Asset strategies were the largest contributor to Fund performance (+12.21%) over the Reporting Period16. Discretionary Thematic sub-strategies contributed positively to performance and benefited from exposure to emerging market credit. These exposures generated gains as sovereign and quasi-sovereign bond prices appreciated due, in part, to broader risk appetite bolstered by investor optimism and a search for yield. Easing financial conditions and support from the International Monetary Fund also reduced refinancing risk for sovereign bonds, as interest rates in the U.S. remained near-zero, LIBOR declined and more than $250 billion of financial assistance was provided to 77 countries17. Not to be outdone, aggressive actions from policy makers, including central bank interest rate cuts (e.g., Mexico, Brazil) and government stimulus measures (e.g., Russia), provided further support for prices of emerging market sovereign bonds. The Fund’s exposure to Multi-Strategy sub-strategies also aided performance and was led by profits generated by strategies focused on Special Purpose Acquisition Companies (“SPACs”). Widespread acceptance of SPACs as a vehicle for private companies to pursue an initial public offering (“IPO”) provided a conducive backdrop for these strategies throughout the Reporting Period. In fact, SPACs claimed over 50% of the IPO market in 2020 and proceeded to issue $88 billion of IPOs during the first quarter of 2021 – more than the $83 billion throughout the full year 202018. The Fund’s Reinsurance sub-strategies incurred slight losses, as prices of insurance-linked securities declined following Texas’ winter storm in February 2021.
| 16 | Sub-strategy contribution is shown gross of all fees and expenses. Sub-strategy contribution is estimated and unaudited. |
| 17 | International Monetary Fund (“IMF”). As of July 2, 2020. |
| 18 | SPAC Research. As of April 1, 2021 |
4
Business Update
We are excited to announce an addition to our senior leadership. One of the hallmarks of our business is our ability to identify some of the best investment talent in the industry—not just in the managers with whom we partner, but also in the people that we hire into Blackstone—and we are pleased to announce an important and exciting addition to our firm’s leadership. Joe Dowling, ex-CIO & CEO of the Brown University Investment Office, now serves alongside John McCormick as Global Co-Head of BAAM. Joe will be responsible for all of BAAM’s investment activities, while John will manage the business.
At Brown University, Joe and his team delivered consistent outperformance, ranking first in performance among Ivy League universities over the last one, three, five, and seven years. With a strong focus on risk management and diversification, Joe and his team generated the highest Sharpe ratio among 140 U.S. college and university endowments over the last five years. Hedge funds were a prominent allocation in Brown’s endowment. Earlier in his career, Joe also ran his own long / short equity hedge fund, Narragansett, which generated strong performance with good risk control over its lifetime.
Joe is a proven leader with a strong team ethos, a commitment to diversity, low ego, and high energy. We are confident that he will bring fresh thinking, new techniques, and a network of manager relationships that will be accretive to our business.
We also wanted to share that after 19 years of distinguished service, Gideon Berger announced his intention to depart from Blackstone. Accordingly, effective as of March 10, 2021, he no longer serves as a portfolio manager of the Fund. Gideon has been an outstanding partner and has made countless contributions to our clients, people, and platform, which have helped position BAAM as the leading allocator to hedge funds globally. We are grateful to Gideon for his leadership, creativity, and commitment over the last two decades. The Fund’s other existing portfolio managers, Raymond Chan, Min Htoo, Robert Jordan, Ian Morris, Stephen Sullens, and Alberto Santulin, will continue to serve as portfolio managers of the Fund.
In reflecting on the last year, we cannot overstate the importance of your steadfast commitment to the Fund and your continued confidence in our organization. We are focused on generating attractive risk-adjusted returns and remain committed to achieving the Fund’s investment objectives. Thank you for your continued partnership.
Sincerely,
5
Performance Summary
Performance quoted represents past performance, which may be higher or lower than current performance. Past performance is not indicative of future results. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The returns shown do not reflect taxes that an investor would pay on fund distributions or on the sale of fund shares. To obtain the most recent month-end performance, visit www.bxmix.com.
Value of a $10,000 Investment Since Inception at Net Asset Value*
None of the indices presented are benchmarks or targets for the Fund.
| * | The line graph represents historical performance of a hypothetical investment of $10,000 from Inception (June 16, 2014) to March 31, 2021, assuming the reinvestment of distributions. |
Cumulative Total Return
| | | | | | | | | | |
| | | For the
Year Ended
March 31,
2021 | | Since
Inception
(June 16,
2014) |
Class I Shares (“BXMIX”) | | | | 18.34% | | | | | 20.25% | |
HFRX Global Hedge Fund Index | | | | 16.15% | | | | | 13.16% | |
MSCI World Total Return Index | | | | 54.76% | | | | | 93.01% | |
Bloomberg Barclays Global Aggregate Bond Index | | | | 4.67% | | | | | 12.89% | |
6
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Portfolio Information
March 31, 2021
| | | | | |
Geographic Breakdown | | Percentage of
Total Net Assets |
North America | | | | 53.3 | % |
Europe | | | | 1.6 | |
Asia | | | | 0.5 | |
South America | | | | 0.4 | |
Middle East | | | | 0.1 | |
Africa | | | | 0.1 | |
Other 1, 2 | | | | 14.7 | |
Securities Sold Short | | | | (6.8 | ) |
Other Assets and Liabilities 3 | | | | 36.1 | |
| | | | | |
Total | | | | 100.0 | % |
| | | | | |
| 1 | Includes Sovereign Debt, Exchange-Traded Funds, Warrants, Rights, Commodities and Purchased Options. |
| 2 | See the below table for a geographic breakdown of Sovereign Debt. |
| 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. |
| | | | | |
Sovereign Debt Geographic Breakdown | | Percentage of
Total Net Assets |
Africa | | | | 3.3 | % |
Europe | | | | 2.3 | |
Middle East | | | | 2.1 | |
South America | | | | 0.5 | |
North America | | | | 0.4 | |
Asia | | | | 0.2 | |
| | | | | |
Total | | | | 8.8 | % |
| | | | | |
7
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Portfolio Information (Continued)
March 31, 2021
| | | | | |
Portfolio Composition | | Percentage
of Total
Net Assets |
Common Stock | | | | 20.0 | % |
Investments in Investee Funds | | | | 10.4 | |
Sovereign Debt | | | | 8.8 | |
Mortgage-Backed Securities | | | | 8.5 | |
Corporate Bonds & Notes | | | | 6.1 | |
Bank Debt | | | | 6.1 | |
Asset-Backed Securities | | | | 3.9 | |
Municipals | | | | 0.6 | |
U.S. Government Sponsored Agency Securities | | | | 0.2 | |
Exchange-Traded Funds | | | | 0.1 | |
Convertible Bonds | | | | 0.1 | |
Preferred Stock | | | | 0.1 | |
Warrants | | | | 0.1 | |
Rights | | | | 0.0 | 1 |
Other 2 | | | | 5.7 | |
Securities Sold Short | | | | (6.8 | ) |
Other Assets and Liabilities 3 | | | | 36.1 | |
| | | | | |
Total | | | | 100.0 | % |
| | | | | |
| 1 | Represents less than 0.1%. |
| 2 | Includes Commodities and Purchased Options. |
| 3 | Assets, other than investments in securities, net of other liabilities. See Consolidated Statement of Assets and Liabilities. A significant portion of the balance represents cash collateral for derivatives. |
| | | | | |
Credit Quality Allocation1 | | Percentage of
Total
Investments
in Securities |
AAA/Aaa2 | | | | 0.9 | % |
AA/Aa | | | | 0.1 | |
A | | | | 0.2 | |
BBB/Baa | | | | 4.9 | |
BB/Ba | | | | 3.9 | |
B | | | | 20.0 | |
CCC/Caa | | | | 4.3 | |
CC/Ca | | | | 1.1 | |
C | | | | 0.1 | |
D | | | | 0.4 | |
Not Rated | | | | 19.9 | |
Other3 | | | | 44.2 | |
| | | | | |
Total Investments in Securities | | | | 100.0 | % |
| | | | | |
| 1 | Using the higher of Standard & Poor’s (“S&P’s”) or Moody’s Investor Service (“Moody’s”) ratings. |
| 2 | Includes U.S. Government Sponsored Agency Securities that are deemed AAA/Aaa by the Investment Adviser. |
| 3 | Includes Common Stock, Preferred Stock, Exchange-Traded Funds, Investments in Investee Funds and Purchased Options. |
| | | | | |
Industry | | Percentage of
Total Net Assets |
Financial Services | | | | 12.7 | % |
Health Care Facilities & Services | | | | 1.1 | |
Retail - Discretionary | | | | 0.9 | |
Software & Services | | | | 0.9 | |
Health Care | | | | 0.8 | |
Industrial Other | | | | 0.8 | |
Integrated Oils | | | | 0.8 | |
Media | | | | 0.7 | |
Real Estate | | | | 0.7 | |
Banking | | | | 0.6 | |
Consumer Discretionary Services | | | | 0.6 | |
Software & Technology Services | | | | 0.6 | |
Utilities | | | | 0.6 | |
Oil, Gas & Coal | | | | 0.5 | |
8
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Portfolio Information (Continued)
March 31, 2021
| | | | | |
Industry | | Percentage of
Total Net Assets |
Biotechnology & Pharmaceuticals | | | | 0.4 | % |
Entertainment Resources | | | | 0.4 | |
Machinery Manufacturing | | | | 0.4 | |
Manufactured Goods | | | | 0.4 | |
Pipeline | | | | 0.4 | |
Property & Casualty Insurance | | | | 0.4 | |
Software | | | | 0.4 | |
Travel & Lodging | | | | 0.4 | |
Automotive | | | | 0.3 | |
Banks | | | | 0.3 | |
Consumer Finance | | | | 0.3 | |
Industrial Services | | | | 0.3 | |
Pharmaceuticals | | | | 0.3 | |
Restaurants | | | | 0.3 | |
Apparel & Textile Products | | | | 0.2 | |
Asset Management | | | | 0.2 | |
Commercial Finance | | | | 0.2 | |
Consumer Services | | | | 0.2 | |
Consumer Staple Products | | | | 0.2 | |
Containers & Packaging | | | | 0.2 | |
Exploration & Production | | | | 0.2 | |
Hardware | | | | 0.2 | |
Home Improvement | | | | 0.2 | |
Industrial Products | | | | 0.2 | |
Iron & Steel | | | | 0.2 | |
Oil & Gas Services & Equipment | | | | 0.2 | |
Publishing & Broadcasting | | | | 0.2 | |
Refining & Marketing | | | | 0.2 | |
Specialty Finance | | | | 0.2 | |
Tech Hardware & Semiconductors | | | | 0.2 | |
Insurance | | | | 0.1 | |
Aerospace & Defense | | | | 0.1 | |
Airlines | | | | 0.1 | |
Automobiles Manufacturing | | | | 0.1 | |
Cable & Satellite | | | | 0.1 | |
Casinos & Gaming | | | | 0.1 | |
Consumer Discretionary Products | | | | 0.1 | |
Educational Services | | | | 0.1 | |
Entertainment Contents | | | | 0.1 | |
Food & Beverage | | | | 0.1 | |
Internet Media | | | | 0.1 | |
Leisure Products | | | | 0.1 | |
Materials | | | | 0.1 | |
Medical Equipment & Devices | | | | 0.1 | |
Renewable Energy | | | | 0.1 | |
Retail & Wholesale - Staples | | | | 0.1 | |
9
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Portfolio Information (Continued)
March 31, 2021
| | | | | |
Industry | | Percentage of
Total Net Assets |
Retail - Consumer Discretionary | | | | 0.1 | % |
Telecommunications | | | | 0.1 | |
Transportation & Logistics | | | | 0.1 | |
Auto Parts Manufacturing | | | | 0.0 | 1 |
Chemicals | | | | 0.0 | 1 |
Commercial Services | | | | 0.0 | 1 |
Communications Equipment | | | | 0.0 | 1 |
Construction Materials | | | | 0.0 | 1 |
Construction Materials Manufacturing | | | | 0.0 | 1 |
Consumer Products | | | | 0.0 | 1 |
Distributors - Discretionary | | | | 0.0 | 1 |
Electrical Equipment | | | | 0.0 | 1 |
Engineering & Construction Services | | | | 0.0 | 1 |
Forest & Paper Products | | | | 0.0 | 1 |
Gaming, Lodging & Restaurants | | | | 0.0 | 1 |
Home & Office Products | | | | 0.0 | 1 |
Institutional Financial Services | | | | 0.0 | 1 |
Leisure Products Manufacturing | | | | 0.0 | 1 |
Machinery | | | | 0.0 | 1 |
Medical Equipment & Devices Manufacturing | | | | 0.0 | 1 |
Metals & Mining | | | | 0.0 | 1 |
Power Generation | | | | 0.0 | 1 |
Private Equity | | | | 0.0 | 1 |
Recreation Facilities & Services | | | | 0.0 | 1 |
Semiconductors | | | | 0.0 | 1 |
Supranationals | | | | 0.0 | 1 |
Technology Services | | | | 0.0 | 1 |
Waste & Environmental Services & Equipment | | | | 0.0 | 1 |
Wireless Telecommunications Services | | | | 0.0 | 1 |
Other 2 | | | | 38.3 | |
Securities Sold Short | | | | (6.8 | ) |
Other Assets and Liabilities3 | | | | 36.1 | |
| | | | | |
Total Investments | | | | 100.0 | % |
| | | | | |
| 1 | Represents less than 0.1%. |
| 2 | Includes Asset-Backed Securities, Sovereign Debt, Mortgage-Backed Securities, U.S. Government Sponsored Agency Securities, Municipals, Exchange-Traded Funds, Warrants, Rights, Investments in Investee Funds, Commodities and Purchased Options. |
| 3 | Assets, other than investments in securities, net of other liabilities. See Consolidated Statement of Assets and Liabilities. A significant portion of the balance represents cash collateral for derivatives. |
10
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments
March 31, 2021
| | | | | | | | | | | | |
Security Description | | Shares | | | | | | Value | |
| | | |
INVESTMENTS IN SECURITIES — 70.7% | | | | | | | | | | | | |
COMMON STOCK — 20.0% | | | | | | | | | | | | |
Asia — 0.4% | | | | | | | | | | | | |
Asset Management — 0.0% | | | | | | | | | | | | |
Noah Holdings Ltd., ADR (a) | | | 2,900 | | | | | | | $ | 128,760 | |
| | | | | | | | | | | | |
Automotive — 0.1% | | | | | | | | | | | | |
NIO, Inc., ADR (a),(c) | | | 76,500 | | | | | | | | 2,981,970 | |
Niu Technologies, ADR (a) | | | 200 | | | | | | | | 7,330 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,989,300 | |
| | | | | | | | | | | | |
Biotechnology & Pharmaceuticals — 0.0% | | | | | | | | | | | | |
Sinovac Biotech Ltd. (a) | | | 200 | | | | | | | | 1,294 | |
| | | | | | | | | | | | |
Financial Services — 0.3% | | | | | | | | | | | | |
360 Finance, Inc., ADR (a) | | | 10,400 | | | | | | | | 270,504 | |
Futu Holdings Ltd., ADR (a) | | | 7,200 | | | | | | | | 1,143,504 | |
Ivanhoe Capital Acquisition Corp. (a),(b),(c) | | | 489,387 | | | | | | | | 5,079,739 | |
L Catterton Asia Acquisition Corp. (a),(b),(c) | | | 310,000 | | | | | | | | 3,084,500 | |
LexinFintech Holdings Ltd., ADR (a) | | | 1,400 | | | | | | | | 14,084 | |
Qudian, Inc., ADR (a) | | | 14,600 | | | | | | | | 33,288 | |
Silver Crest Acquisition Corp. (a),(b),(c) | | | 468,988 | | | | | | | | 4,657,051 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 14,282,670 | |
| | | | | | | | | | | | |
Industrial Services — 0.0% | | | | | | | | | | | | |
Textainer Group Holdings Ltd. (a) | | | 1,400 | | | | | | | | 40,110 | |
| | | | | | | | | | | | |
Machinery — 0.0% | | | | | | | | | | | | |
China Yuchai International Ltd. (a) | | | 745 | | | | | | | | 11,532 | |
Hollysys Automation Technologies Ltd. (a) | | | 3,200 | | | | | | | | 40,064 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 51,596 | |
| | | | | | | | | | | | |
Materials — 0.0% | | | | | | | | | | | | |
Tantech Holdings Ltd. (a) | | | 200 | | | | | | | | 290 | |
| | | | | | | | | | | | |
Media — 0.0% | | | | | | | | | | | | |
Bilibili, Inc., ADR (a) | | | 10,100 | | | | | | | | 1,081,306 | |
iClick Interactive Asia Group Ltd., ADR (a) | | | 2,900 | | | | | | | | 34,133 | |
So-Young International, Inc., ADR (a) | | | 300 | | | | | | | | 2,961 | |
Sogou, Inc., ADR (a) | | | 5,500 | | | | | | | | 41,525 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,159,925 | |
| | | | | | | | | | | | |
Real Estate — 0.0% | | | | | | | | | | | | |
Xinyuan Real Estate Co. Ltd., ADR | | | 500 | | | | | | | | 1,405 | |
| | | | | | | | | | | | |
Semiconductors — 0.0% | | | | | | | | | | | | |
Himax Technologies, Inc., ADR (a) | | | 15,800 | | | | | | | | 215,670 | |
See Notes to Consolidated Financial Statements.
11
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | | | |
Security Description | | Shares | | | | | | Value | |
MagnaChip Semiconductor Corp. (a) | | | 8,500 | | | | | | | $ | 211,650 | |
Silicon Motion Technology Corp., ADR | | | 6,800 | | | | | | | | 403,852 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 831,172 | |
| | | | | | | | | | | | |
Software — 0.0% | | | | | | | | | | | | |
HUYA, Inc., ADR (a) | | | 9,100 | | | | | | | | 177,268 | |
OneConnect Financial Technology Co. Ltd., ADR (a) | | | 1,100 | | | | | | | | 16,258 | |
Sea Ltd., ADR (a) | | | 3,100 | | | | | | | | 692,013 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 885,539 | |
| | | | | | | | | | | | |
Software & Technology Services — 0.0% | | | | | | | | | | | | |
Aurora Mobile Ltd., ADR (a) | | | 1,100 | | | | | | | | 4,653 | |
| | | | | | | | | | | | |
Specialty Finance — 0.0% | | | | | | | | | | | | |
FinVolution Group, ADR (a) | | | 2,900 | | | | | | | | 20,329 | |
| | | | | | | | | | | | |
Tech Hardware & Semiconductors — 0.0% | | | | | | | | | | | | |
Kulicke & Soffa Industries, Inc. | | | 6,400 | | | | | | | | 314,304 | |
UTStarcom Holdings Corp. (a) | | | 200 | | | | | | | | 282 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 314,586 | |
| | | | | | | | | | | | |
Technology Services — 0.0% | | | | | | | | | | | | |
WNS Holdings Ltd., ADR (a) | | | 1,800 | | | | | | | | 130,392 | |
| | | | | | | | | | | | |
Telecommunications — 0.0% | | | | | | | | | | | | |
VEON Ltd., ADR (a) | | | 12,800 | | | | | | | | 22,656 | |
| | | | | | | | | | | | |
Total Asia | | | | | | | | | | | 20,864,677 | |
| | | | | | | | | | | | |
Europe — 0.3% | | | | | | | | | | | | |
Biotechnology & Pharmaceuticals — 0.0% | | | | | | | | | | | | |
Affimed NV (a) | | | 12,700 | | | | | | | | 100,457 | |
CRISPR Therapeutics AG (a),(c) | | | 16,500 | | | | | | | | 2,010,525 | |
Prothena Corp. plc (a) | | | 7,100 | | | | | | | | 178,352 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,289,334 | |
| | | | | | | | | | | | |
Chemicals — 0.0% | | | | | | | | | | | | |
Orion Engineered Carbons SA (a) | | | 6,700 | | | | | | | | 132,124 | |
| | | | | | | | | | | | |
Consumer Products — 0.0% | | | | | | | | | | | | |
Nomad Foods Ltd. (a) | | | 3,800 | | | | | | | | 104,348 | |
| | | | | | | | | | | | |
Financial Services — 0.2% | | | | | | | | | | | | |
ScION Tech Growth I (a),(b),(c) | | | 465,000 | | | | | | | | 4,682,550 | |
ScION Tech Growth II (a),(b),(c) | | | 300,000 | | | | | | | | 2,988,000 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 7,670,550 | |
| | | | | | | | | | | | |
See Notes to Consolidated Financial Statements.
12
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | |
Security Description | | Shares | | | | | Value | |
Health Care — 0.0% | | | | | | | | | | |
Aprea Therapeutics, Inc. (a) | | | 4,600 | | | | | $ | 23,460 | |
Contra Aduro Biotech I (a) | | | 1,040 | | | | | | 0 | |
Genfit, ADR (a) | | | 100 | | | | | | 462 | |
ICON PLC (a) | | | 2,600 | | | | | | 510,562 | |
Merus NV (a) | | | 3,000 | | | | | | 62,670 | |
NuCana plc, ADR (a) | | | 600 | | | | | | 2,994 | |
Orchard Therapeutics plc, ADR (a) | | | 100 | | | | | | 726 | |
uniQure NV (a) | | | 600 | | | | | | 20,214 | |
| | | | | | | | | | |
| | | | | | | | | 621,088 | |
| | | | | | | | | | |
Industrial Products — 0.0% | | | | | | | | | | |
Luxfer Holdings plc (a) | | | 100 | | | | | | 2,128 | |
| | | | | | | | | | |
Industrial Services — 0.0% | | | | | | | | | | |
Costamare, Inc. (a) | | | 3,500 | | | | | | 33,670 | |
GasLog Partners LP (a) | | | 300 | | | | | | 801 | |
Performance Shipping, Inc. (a) | | | 1,100 | | | | | | 6,127 | |
Tsakos Energy Navigation Ltd. (a) | | | 40 | | | | | | 379 | |
| | | | | | | | | | |
| | | | | | | | | 40,977 | |
| | | | | | | | | | |
Iron & Steel — 0.0% | | | | | | | | | | |
ArcelorMittal (a) | | | 2,500 | | | | | | 72,925 | |
| | | | | | | | | | |
Media — 0.0% | | | | | | | | | | |
Jumia Technologies AG, ADR (a) | | | 1,700 | | | | | | 60,282 | |
Liberty Global PLC, Class A (a) | | | 100 | | | | | | 2,566 | |
Trivago NV, ADR (a) | | | 500 | | | | | | 2,150 | |
| | | | | | | | | | |
| | | | | | | | | 64,998 | |
| | | | | | | | | | |
Oil, Gas & Coal — 0.1% | | | | | | | | | | |
BP plc (b) | | | 166,700 | | | | | | 677,143 | |
BP plc, ADR | | | 7,400 | | | | | | 180,190 | |
Eni SpA (b) | | | 45,500 | | | | | | 559,937 | |
Equinor ASA (b) | | | 6,650 | | | | | | 130,074 | |
Royal Dutch Shell plc, Class A (b),(a) | | | 42,800 | | | | | | 843,218 | |
TechnipFMC plc (a) | | | 84,000 | | | | | | 648,480 | |
TOTAL SA (b),(a) | | | 29,900 | | | | | | 1,394,660 | |
| | | | | | | | | | |
| | | | | | | | | 4,433,702 | |
| | | | | | | | | | |
Retail—Discretionary — 0.0% | | | | | | | | | | |
Farfetch Ltd., Class A (a) | | | 17,400 | | | | | | 922,548 | |
| | | | | | | | | | |
Software & Technology Services — 0.0% | | | | | | | | | | |
Endava plc, ADR (a) | | | 300 | | | | | | 25,407 | |
Materialise NV, ADR (a) | | | 800 | | | | | | 28,760 | |
Micro Focus International plc, ADR | | | 13,800 | | | | | | 105,984 | |
| | | | | | | | | | |
| | | | | | | | | 160,151 | |
| | | | | | | | | | |
See Notes to Consolidated Financial Statements.
13
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | | | |
Security Description | | Shares | | | | | | Value | |
Specialty Finance — 0.0% | | | | | | | | | | | | |
AerCap Holdings NV (a) | | | 800 | | | | | | | $ | 46,992 | |
| | | | | | | | | | | | |
Transportation & Logistics — 0.0% | | | | | | | | | | | | |
Diana Shipping, Inc. (a) | | | 3,047 | | | | | | | | 9,110 | |
Golden Ocean Group Ltd. (a) | | | 2,720 | | | | | | | | 18,238 | |
Safe Bulkers, Inc. (a) | | | 7,400 | | | | | | | | 18,130 | |
Star Bulk Carriers Corp. (a) | | | 2,400 | | | | | | | | 35,232 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 80,710 | |
| | | | | | | | | | | | |
Total Europe | | | | | | | | | | | 16,642,575 | |
| | | | | | | | | | | | |
Middle East — 0.1% | | | | | | | | | | | | |
Aerospace & Defense — 0.0% | | | | | | | | | | | | |
Ituran Location and Control Ltd. (a) | | | 300 | | | | | | | | 6,369 | |
| | | | | | | | | | | | |
Biotechnology & Pharmaceuticals — 0.0% | | | | | | | | | | | | |
Compugen Ltd. (a) | | | 1,400 | | | | | | | | 12,026 | |
| | | | | | | | | | | | |
Electrical Equipment — 0.0% | | | | | | | | | | | | |
Camtek Ltd. (a) | | | 900 | | | | | | | | 26,910 | |
| | | | | | | | | | | | |
Financial Services — 0.1% | | | | | | | | | | | | |
ION Acquisition Corp. 2 Ltd. (a),(b),(c) | | | 348,254 | | | | | | | | 3,538,261 | |
| | | | | | | | | | | | |
Hardware — 0.0% | | | | | | | | | | | | |
Kornit Digital Ltd. (a) | | | 300 | | | | | | | | 29,736 | |
| | | | | | | | | | | | |
Health Care — 0.0% | | | | | | | | | | | | |
Galmed Pharmaceuticals Ltd. (a) | | | 100 | | | | | | | | 343 | |
InspireMD, Inc. (a) | | | 23,200 | | | | | | | | 15,597 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 15,940 | |
| | | | | | | | | | | | |
Industrial Products — 0.0% | | | | | | | | | | | | |
RADA Electronic Industries Ltd. (a) | | | 2,200 | | | | | | | | 26,422 | |
| | | | | | | | | | | | |
Media — 0.0% | | | | | | | | | | | | |
Wix.com Ltd. (a) | | | 2,500 | | | | | | | | 698,050 | |
| | | | | | | | | | | | |
Software & Technology Services — 0.0% | | | | | | | | | | | | |
Check Point Software Technologies Ltd. (a) | | | 2,300 | | | | | | | | 257,531 | |
Perion Network Ltd. (a) | | | 500 | | | | | | | | 8,950 | |
Sapiens International Corp. NV (a) | | | 100 | | | | | | | | 3,179 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 269,660 | |
| | | | | | | | | | | | |
Tech Hardware & Semiconductors — 0.0% | | | | | | | | | | | | |
Radware Ltd. (a) | | | 500 | | | | | | | | 13,040 | |
| | | | | | | | | | | | |
Total Middle East | | | | | | | | | | | 4,636,414 | |
| | | | | | | | | | | | |
See Notes to Consolidated Financial Statements.
14
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | | | |
Security Description | | Shares | | | | | | Value | |
North America — 19.2% | | | | | | | | | | | | |
Apparel & Textile Products — 0.0% | | | | | | | | | | | | |
Levi Strauss & Co., Class A | | | 2,300 | | | | | | | $ | 54,993 | |
| | | | | | | | | | | | |
Asset Management — 0.2% | | | | | | | | | | | | |
Amplitude Healthcare Acquisition Corp., Class A (a),(b),(c) | | | 300,000 | | | | | | | | 2,982,000 | |
Apollo Investment Corp. | | | 6,900 | | | | | | | | 94,668 | |
Ares Capital Corp. (c) | | | 8,000 | | | | | | | | 149,680 | |
CHP Merger Corp., Class A (a),(b) | | | 465,000 | | | | | | | | 4,608,150 | |
Horizon Technology Finance Corp. (a) | | | 2,300 | | | | | | | | 33,074 | |
Main Street Capital Corp. (a) | | | 4,194 | | | | | | | | 164,195 | |
Manning & Napier, Inc. (a) | | | 1,200 | | | | | | | | 7,764 | |
Oaktree Specialty Lending Corp. | | | 7,500 | | | | | | | | 46,500 | |
Oxford Square Capital Corp. (a) | | | 5,300 | | | | | | | | 24,592 | |
PennantPark Floating Rate Capital Ltd. | | | 4,600 | | | | | | | | 54,648 | |
Portman Ridge Finance Corp. | | | 5,233 | | | | | | | | 11,303 | |
Sixth Street Specialty Lending, Inc. | | | 1,500 | | | | | | | | 31,545 | |
Solar Capital Ltd. | | | 200 | | | | | | | | 3,552 | |
Solar Senior Capital Ltd. | | | 1,300 | | | | | | | | 19,110 | |
TriplePoint Venture Growth BDC Corp. | | | 3,700 | | | | | | | | 53,465 | |
WhiteHorse Finance, Inc. | | | 1,800 | | | | | | | | 27,306 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 8,311,552 | |
| | | | | | | | | | | | |
Automotive — 0.2% | | | | | | | | | | | | |
Cooper-Standard Holding, Inc. (a) | | | 2,400 | | | | | | | | 87,168 | |
Tesla, Inc. (a),(c) | | | 12,103 | | | | | | | | 8,083,957 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 8,171,125 | |
| | | | | | | | | | | | |
Banking — 0.6% | | | | | | | | | | | | |
Arrow Financial Corp. | | | 291 | | | | | | | | 9,693 | |
Atlantic Capital Bancshares, Inc. (a) | | | 1,000 | | | | | | | | 24,100 | |
Bancorp, Inc. (a) | | | 4,800 | | | | | | | | 99,456 | |
Bank of Marin Bancorp | | | 300 | | | | | | | | 11,748 | |
Bank of NT Butterfield & Son Ltd. (a) | | | 1,300 | | | | | | | | 49,686 | |
BankFinancial Corp. | | | 455 | | | | | | | | 4,696 | |
Bridgewater Bancshares, Inc. (a) | | | 300 | | | | | | | | 4,845 | |
Broadway Financial Corp. (a) | | | 100 | | | | | | | | 249 | |
Cadence BanCorp | | | 19,640 | | | | | | | | 407,137 | |
Carver Bancorp, Inc. (a) | | | 300 | | | | | | | | 2,724 | |
Central Pacific Financial Corp. | | | 1,200 | | | | | | | | 32,016 | |
CIT Group, Inc. | | | 900 | | | | | | | | 46,359 | |
Citigroup, Inc. | | | 22,800 | | | | | | | | 1,658,700 | |
Citizens Financial Group, Inc. | | | 3,600 | | | | | | | | 158,940 | |
Comerica, Inc. | | | 4,400 | | | | | | | | 315,656 | |
Farmers National Banc Corp. | | | 800 | | | | | | | | 13,360 | |
See Notes to Consolidated Financial Statements.
15
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | |
Security Description | | Shares | | | | | Value | |
Financial Institutions, Inc. | | | 800 | | | | | $ | 24,232 | |
First BanCorp | | | 23,600 | | | | | | 265,736 | |
First Community Bankshares, Inc. | | | 400 | | | | | | 11,996 | |
First Financial Corp. | | | 300 | | | | | | 13,503 | |
First Financial Northwest, Inc. | | | 100 | | | | | | 1,425 | |
First Foundation, Inc. | | | 100 | | | | | | 2,346 | |
First of Long Island Corp. (The) | | | 100 | | | | | | 2,125 | |
Flushing Financial Corp. | | | 500 | | | | | | 10,615 | |
FS Bancorp, Inc. | | | 100 | | | | | | 6,720 | |
Great Southern Bancorp, Inc. | | | 100 | | | | | | 5,667 | |
HBT Financial, Inc. | | | 800 | | | | | | 13,696 | |
Heritage Commerce Corp. | | | 3,100 | | | | | | 37,882 | |
HomeTrust Bancshares, Inc. | | | 700 | | | | | | 17,045 | |
Horizon Bancorp, Inc. | | | 800 | | | | | | 14,864 | |
Independent Bank Corp. | | | 1,200 | | | | | | 28,368 | |
KeyCorp | | | 800 | | | | | | 15,984 | |
Macatawa Bank Corp. | | | 1,200 | | | | | | 11,940 | |
Mercantile Bank Corp. | | | 400 | | | | | | 12,988 | |
Metrocity Bankshares, Inc. | | | 100 | | | | | | 1,538 | |
MidWestOne Financial Group, Inc. | | | 400 | | | | | | 12,388 | |
National Bankshares, Inc. | | | 100 | | | | | | 3,551 | |
Northrim BanCorp, Inc. | | | 400 | | | | | | 17,004 | |
OceanFirst Financial Corp. (b),(c) | | | 990,721 | | | | | | 23,717,861 | |
PCB Bancorp | | | 200 | | | | | | 3,000 | |
PCSB Financial Corp. | | | 700 | | | | | | 11,627 | |
Peapack Gladstone Financial Corp. | | | 900 | | | | | | 27,792 | |
Peoples Bancorp, Inc. | | | 200 | | | | | | 6,634 | |
Popular, Inc. (c) | | | 2,390 | | | | | | 168,065 | |
PRIMIS FINANCIAL Corp. (a) | | | 800 | | | | | | 11,632 | |
Provident Bancorp, Inc. | | | 500 | | | | | | 7,200 | |
QCR Holdings, Inc. | | | 100 | | | | | | 4,722 | |
Republic First Bancorp, Inc. (a) | | | 700 | | | | | | 2,639 | |
Sierra Bancorp | | | 400 | | | | | | 10,720 | |
SmartFinancial, Inc. | | | 100 | | | | | | 2,165 | |
Spirit of Texas Bancshares, Inc. | | | 500 | | | | | | 11,155 | |
Stock Yards Bancorp, Inc. | | | 700 | | | | | | 35,742 | |
Territorial Bancorp, Inc. | | | 200 | | | | | | 5,292 | |
TriState Capital Holdings, Inc. (a) | | | 1,400 | | | | | | 32,284 | |
TrustCo Bank Corp. | | | 3,600 | | | | | | 26,532 | |
Washington Trust Bancorp, Inc. | | | 800 | | | | | | 41,304 | |
| | | | | | | | | | |
| | | | | | | | | 27,497,344 | |
| | | | | | | | | | |
Biotechnology & Pharmaceuticals — 0.4% | | | | |
AbbVie, Inc. (a),(c) | | | 70,760 | | | | | | 7,657,647 | |
Adamas Pharmaceuticals, Inc. (a) | | | 8,200 | | | | | | 39,360 | |
Agenus, Inc. (a) | | | 9,900 | | | | | | 26,928 | |
See Notes to Consolidated Financial Statements.
16
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | |
Security Description | | Shares | | | | | Value | |
Agile Therapeutics, Inc. (a) | | | 5,000 | | | | | $ | 10,400 | |
Akebia Therapeutics, Inc. (a) | | | 9,695 | | | | | | 32,818 | |
Aldeyra Therapeutics, Inc. (a) | | | 10,300 | | | | | | 122,364 | |
Alpine Immune Sciences, Inc. (a) | | | 1,800 | | | | | | 19,080 | |
Amicus Therapeutics, Inc. (a) | | | 25,000 | | | | | | 247,000 | |
Apellis Pharmaceuticals, Inc. (a),(c) | | | 10,500 | | | | | | 450,555 | |
Applied Genetic Technologies Corp. (a) | | | 3,600 | | | | | | 18,252 | |
Aptinyx, Inc. (a) | | | 11,700 | | | | | | 35,100 | |
Aravive, Inc. (a) | | | 4,300 | | | | | | 28,337 | |
Arbutus Biopharma Corp. (a) | | | 7,800 | | | | | | 25,974 | |
Arcturus Therapeutics Holdings Co. (a) | | | 4,900 | | | | | | 202,370 | |
Arcus Biosciences, Inc. (a) | | | 8,400 | | | | | | 235,872 | |
Arrowhead Pharmaceuticals, Inc. (a) | | | 700 | | | | | | 46,417 | |
Arvinas Holding Co. LLC (a) | | | 6,000 | | | | | | 396,600 | |
Athenex, Inc. (a) | | | 12,700 | | | | | | 54,610 | |
Avid Bioservices, Inc. (a) | | | 1,400 | | | | | | 25,522 | |
BioCryst Pharmaceuticals, Inc. (a) | | | 3,900 | | | | | | 39,663 | |
BioDelivery Sciences International, Inc. (a) | | | 9,900 | | | | | | 38,709 | |
Biohaven Pharmaceutical Holding Co. Ltd. (a) | | | 300 | | | | | | 20,505 | |
Bluebird Bio, Inc. (a) | | | 900 | | | | | | 27,135 | |
Bridgebio Pharma, Inc. (a) | | | 4,900 | | | | | | 301,840 | |
Calithera Biosciences, Inc. (a) | | | 2,800 | | | | | | 6,776 | |
Catalyst Biosciences, Inc. (a) | | | 4,300 | | | | | | 21,672 | |
Catalyst Pharmaceuticals, Inc. (a) | | | 15,900 | | | | | | 73,299 | |
Celldex Therapeutics, Inc. (a) | | | 5,934 | | | | | | 122,240 | |
Cerecor, Inc. (a) | | | 6,000 | | | | | | 18,120 | |
Chimerix, Inc. (a) | | | 11,100 | | | | | | 107,004 | |
Collegium Pharmaceutical, Inc. (a) | | | 600 | | | | | | 14,220 | |
CTI BioPharma Corp. (a) | | | 13,500 | | | | | | 39,285 | |
Cue Biopharma, Inc. (a) | | | 5,300 | | | | | | 64,660 | |
Cymabay Therapeutics, Inc. (a) | | | 15,100 | | | | | | 68,554 | |
Cytokinetics, Inc. (a) | | | 15,600 | | | | | | 362,856 | |
CytomX Therapeutics, Inc. (a) | | | 9,400 | | | | | | 72,662 | |
Editas Medicine, Inc. (a) | | | 10,500 | | | | | | 441,000 | |
Eiger BioPharmaceuticals, Inc. (a) | | | 5,800 | | | | | | 51,330 | |
Enanta Pharmaceuticals, Inc. (a) | | | 2,200 | | | | | | 108,504 | |
Endo International PLC (a) | | | 4,100 | | | | | | 30,381 | |
Exelixis, Inc. (a) | | | 4,700 | | | | | | 106,173 | |
Exicure, Inc. (a) | | | 1,300 | | | | | | 2,834 | |
Fate Therapeutics, Inc. (a) | | | 13,500 | | | | | | 1,113,075 | |
Five Prime Therapeutics, Inc. (a) | | | 9,100 | | | | | | 342,797 | |
Flexion Therapeutics, Inc. (a) | | | 10,900 | | | | | | 97,555 | |
G1 Therapeutics, Inc. (a) | | | 9,200 | | | | | | 221,352 | |
GlycoMimetics, Inc. (a) | | | 11,300 | | | | | | 34,013 | |
Gossamer Bio, Inc. (a) | | | 8,200 | | | | | | 75,850 | |
Harpoon Therapeutics, Inc. (a) | | | 800 | | | | | | 16,736 | |
See Notes to Consolidated Financial Statements.
17
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | |
Security Description | | Shares | | | | | Value | |
Idera Pharmaceuticals, Inc. (a) | | | 1,300 | | | | | $ | 1,690 | |
Immunic, Inc. (a) | | | 3,000 | | | | | | 47,820 | |
ImmunoGen, Inc. (a) | | | 43,900 | | | | | | 355,590 | |
Infinity Pharmaceuticals, Inc. (a) | | | 12,300 | | | | | | 39,729 | |
Intellia Therapeutics, Inc. (a) | | | 12,700 | | | | | | 1,019,238 | |
Intercept Pharmaceuticals, Inc. (a),(c) | | | 4,800 | | | | | | 110,784 | |
Intersect ENT, Inc. (a) | | | 3,800 | | | | | | 79,344 | |
Ironwood Pharmaceuticals, Inc. (a) | | | 600 | | | | | | 6,708 | |
Kadmon Holdings, Inc. (a) | | | 21,800 | | | | | | 84,802 | |
Karyopharm Therapeutics, Inc. (a) | | | 12,700 | | | | | | 133,604 | |
Kezar Life Sciences, Inc. (a) | | | 3,500 | | | | | | 20,860 | |
Kura Oncology, Inc. (a) | | | 11,700 | | | | | | 330,759 | |
Leap Therapeutics, Inc. (a) | | | 12,200 | | | | | | 23,180 | |
Lineage Cell Therapeutics, Inc. (a) | | | 31,900 | | | | | | 74,965 | |
MannKind Corp. (a) | | | 41,271 | | | | | | 161,782 | |
MEI Pharma, Inc. (a) | | | 15,800 | | | | | | 54,194 | |
MeiraGTx Holdings plc (a) | | | 100 | | | | | | 1,443 | |
Merck & Co., Inc. (c) | | | 18,200 | | | | | | 1,403,038 | |
Mersana Therapeutics, Inc. (a) | | | 11,100 | | | | | | 179,598 | |
Millendo Therapeutics, Inc. (a) | | | 4,000 | | | | | | 4,800 | |
Mustang Bio, Inc. (a) | | | 8,000 | | | | | | 26,560 | |
Myovant Sciences Ltd. (a) | | | 400 | | | | | | 8,232 | |
Navidea Biopharmaceuticals, Inc. (a) | | | 1,500 | | | | | | 3,030 | |
Omthera Pharmaceutical, Inc. (a) | | | 700 | | | | | | 0 | |
OncoSec Medical, Inc. (a) | | | 2,100 | | | | | | 10,017 | |
Organogenesis Holdings, Inc . (a) | | | 5,000 | | | | | | 91,100 | |
Otonomy, Inc. (a) | | | 7,800 | | | | | | 19,890 | |
Precigen, Inc. (a) | | | 9,800 | | | | | | 67,522 | |
Provention Bio, Inc. (a) | | | 13,900 | | | | | | 145,881 | |
Recro Pharma, Inc. (a) | | | 2,000 | | | | | | 5,580 | |
Sage Therapeutics, Inc. (a),(c) | | | 5,400 | | | | | | 404,190 | |
Seres Therapeutics, Inc. (a) | | | 1,500 | | | | | | 30,885 | |
Spectrum Pharmaceuticals, Inc. (a) | | | 26,900 | | | | | | 87,694 | |
Stoke Therapeutics, Inc. (a) | | | 100 | | | | | | 3,884 | |
Strongbridge Biopharma plc (a) | | | 8,500 | | | | | | 23,460 | |
Surface Oncology, Inc. (a) | | | 2,700 | | | | | | 21,060 | |
Syndax Pharmaceuticals, Inc. (a) | | | 9,900 | | | | | | 221,364 | |
Synlogic, Inc. (a) | | | 8,600 | | | | | | 30,788 | |
Syros Pharmaceuticals, Inc. (a) | | | 6,300 | | | | | | 47,124 | |
United Therapeutics Corp. (a) | | | 1 | | | | | | 167 | |
USANA Health Sciences, Inc. (a) | | | 1,200 | | | | | | 117,120 | |
VBI Vaccines, Inc. (a) | | | 1,200 | | | | | | 3,732 | |
Viking Therapeutics, Inc. (a) | | | 16,300 | | | | | | 103,098 | |
VistaGen Therapeutics, Inc. (a) | | | 10,900 | | | | | | 23,217 | |
Xencor, Inc. (a) | | | 100 | | | | | | 4,306 | |
Xenon Pharmaceuticals, Inc. (a) | | | 700 | | | | | | 12,530 | |
ZIOPHARM Oncology, Inc. (a) | | | 13,500 | | | | | | 48,600 | |
See Notes to Consolidated Financial Statements.
18
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | |
Security Description | | Shares | | | | | Value | |
Zymeworks, Inc. (a) | | | 5,300 | | | | | $ | 167,374 | |
| | | | | | | | | | |
| | | | | | | | | 19,578,339 | |
| | | | | | | | | | |
Chemicals — 0.0% | | | | |
AdvanSix, Inc. (a) | | | 2,200 | | | | | | 59,004 | |
Axalta Coating Systems Ltd. (a) | | | 11,400 | | | | | | 337,212 | |
Ingevity Corp. (a) | | | 3,000 | | | | | | 226,590 | |
Mosaic Co. | | | 12,100 | | | | | | 382,481 | |
Rayonier Advanced Materials, Inc. (a) | | | 11,300 | | | | | | 102,491 | |
Venator Materials plc (a) | | | 10,000 | | | | | | 46,300 | |
| | | | | | | | | | |
| | | | | | | | | 1,154,078 | |
| | | | | | | | | | |
Commercial Services — 0.0% | | | | |
ARC Document Solutions, Inc. (a) | | | 2,500 | | | | | | 5,275 | |
Avalara, Inc. (a) | | | 800 | | | | | | 106,744 | |
BrightView Holdings, Inc. (a) | | | 400 | | | | | | 6,748 | |
CRA International, Inc. | | | 400 | | | | | | 29,856 | |
Emerald Holding, Inc. (a) | | | 2,000 | | | | | | 11,040 | |
Insperity, Inc. | | | 1,400 | | | | | | 117,236 | |
ShotSpotter, Inc. (a) | | | 600 | | | | | | 21,042 | |
SP Plus Corp. (a) | | | 1,900 | | | | | | 62,301 | |
Viad Corp. (a) | | | 1,900 | | | | | | 79,325 | |
| | | | | | | | | | |
| | | | | | | | | 439,567 | |
| | | | | | | | | | |
Construction Materials — 0.0% | | | | |
Forterra, Inc. (a) | | | 8,700 | | | | | | 202,275 | |
| | | | | | | | | | |
Consumer Discretionary Products — 0.1% | | | | |
American Axle & Manufacturing Holdings, Inc. (a) | | | 4,100 | | | | | | 39,606 | |
American Outdoor Brands, Inc. (a) | | | 300 | | | | | | 7,560 | |
Caesarstone Ltd. (a) | | | 1,400 | | | | | | 19,222 | |
Callaway Golf Co. (a) | | | 10,600 | | | | | | 283,550 | |
Camping World Holdings, Inc., Class A | | | 2,400 | | | | | | 87,312 | |
Canada Goose Holdings, Inc. (a) | | | 400 | | | | | | 15,700 | |
Casper Sleep, Inc. (a) | | | 2,500 | | | | | | 18,100 | |
Charles & Colvard Ltd. (a) | | | 1,500 | | | | | | 4,440 | |
Cornerstone Building Brands, Inc. (a) | | | 1,500 | | | | | | 21,045 | |
Crocs, Inc. (a) | | | 7,400 | | | | | | 595,330 | |
Culp, Inc. | | | 700 | | | | | | 10,773 | |
Flexsteel Industries, Inc. | | | 700 | | | | | | 24,395 | |
Ford Motor Co. (a) | | | 146,800 | | | | | | 1,798,300 | |
Funko, Inc., Class A (a) | | | 7,900 | | | | | | 155,472 | |
Goodyear Tire & Rubber Co. (a) | | | 12,900 | | | | | | 226,653 | |
Green Brick Partners, Inc. (a) | | | 900 | | | | | | 20,412 | |
Griffon Corp. | | | 1,100 | | | | | | 29,887 | |
Herman Miller, Inc. | | | 4,600 | | | | | | 189,290 | |
See Notes to Consolidated Financial Statements.
19
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | |
Security Description | | Shares | | | | | Value | |
iRobot Corp. (a) | | | 1,400 | | | | | $ | 171,052 | |
JAKKS Pacific, Inc. (a) | | | 100 | | | | | | 713 | |
JELD-WEN Holding, Inc. (a) | | | 600 | | | | | | 16,614 | |
Kimball International, Inc., Class B | | | 1,400 | | | | | | 19,600 | |
Masco Corp. | | | 2,000 | | | | | | 119,800 | |
Meritage Homes Corp. (a) | | | 600 | | | | | | 55,152 | |
Modine Manufacturing Co. (a) | | | 5,000 | | | | | | 73,850 | |
Mohawk Group Holdings, Inc. (a) | | | 400 | | | | | | 11,800 | |
Movado Group, Inc. | | | 1,200 | | | | | | 34,140 | |
New Home Co., Inc. (a) | | | 300 | | | | | | 1,572 | |
OneWater Marine, Inc., Class A (a) | | | 200 | | | | | | 7,992 | |
Polaris, Inc. | | | 6,200 | | | | | | 827,700 | |
Superior Industries International, Inc. (a) | | | 5,600 | | | | | | 31,808 | |
Tapestry, Inc. (a),(c) | | | 4,000 | | | | | | 164,840 | |
Tenneco, Inc., Class A (a) | | | 14,600 | | | | | | 156,512 | |
Toll Brothers, Inc. (a) | | | 500 | | | | | | 28,365 | |
TRI Pointe Group, Inc. (a) | | | 1,900 | | | | | | 38,684 | |
Under Armour, Inc., Class A (a) | | | 18,000 | | | | | | 398,880 | |
Unifi, Inc. (a) | | | 1,700 | | | | | | 46,852 | |
VF Corp. | | | 401 | | | | | | 32,048 | |
Wolverine World Wide, Inc. | | | 100 | | | | | | 3,832 | |
YETI Holdings, Inc. (a) | | | 900 | | | | | | 64,989 | |
| | | | | | | | | | |
| | | | | | | | | 5,853,842 | |
| | | | | | | | | | |
Consumer Discretionary Services — 0.2% | | | | |
Aaron’s Co., Inc. (The) | | | 1,000 | | | | | | 25,680 | |
AZEK Co., Inc. (The) (a) | | | 1,100 | | | | | | 46,255 | |
Bloomin’ Brands, Inc. (a) | | | 200 | | | | | | 5,410 | |
Bluegreen Vacations Holding Corp. (a) | | | 400 | | | | | | 7,416 | |
Boyd Gaming Corp. (a) | | | 2,000 | | | | | | 117,920 | |
Carriage Services, Inc. | | | 1,400 | | | | | | 49,266 | |
Carrols Restaurant Group, Inc. (a) | | | 300 | | | | | | 1,795 | |
Century Casinos, Inc. (a) | | | 2,100 | | | | | | 21,567 | |
Chegg, Inc. (a) | | | 2,700 | | | | | | 231,282 | |
Del Taco Restaurants, Inc. | | | 4,200 | | | | | | 40,236 | |
DineEquity, Inc. (a) | | | 100 | | | | | | 9,003 | |
Drive Shack, Inc. (a) | | | 14,033 | | | | | | 45,046 | |
Golden Entertainment, Inc. (a) | | | 1,600 | | | | | | 40,416 | |
Hilton Grand Vacations, Inc. (a) | | | 100 | | | | | | 3,749 | |
Jack in the Box, Inc. | | | 5,000 | | | | | | 548,900 | |
Lindblad Expeditions Holdings, Inc. (a) | | | 1,900 | | | | | | 35,910 | |
Marcus Corp. (a) | | | 2,300 | | | | | | 45,977 | |
McDonald’s Corp. (c) | | | 29,100 | | | | | | 6,522,474 | |
Medifast, Inc. | | | 1,900 | | | | | | 402,458 | |
Monarch Casino & Resort, Inc. (a) | | | 1,100 | | | | | | 66,682 | |
Papa John’s International, Inc. (c) | | | 5,700 | | | | | | 505,248 | |
See Notes to Consolidated Financial Statements.
20
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | |
Security Description | | Shares | | | | | Value | |
Penn National Gaming, Inc. (a) | | | 10,000 | | | | | $ | 1,048,400 | |
Ruth’s Hospitality Group, Inc. (a) | | | 400 | | | | | | 9,932 | |
SeaWorld Entertainment, Inc. (a) | | | 10,900 | | | | | | 541,403 | |
Select Interior Concepts, Inc., Class A (a) | | | 2,400 | | | | | | 17,280 | |
Service Corp. International/US | | | 7,600 | | | | | | 387,980 | |
Shake Shack, Inc., Class A (a) | | | 500 | | | | | | 56,385 | |
Six Flags Entertainment Corp. (a) | | | 1,500 | | | | | | 69,705 | |
Stride, Inc. (a) | | | 7,100 | | | | | | 213,781 | |
Vail Resorts, Inc. (a) | | | 1,500 | | | | | | 437,490 | |
Waitr Holdings, Inc. (a) | | | 13,200 | | | | | | 38,676 | |
Wingstop, Inc. (c) | | | 6,500 | | | | | | 826,605 | |
| | | | | | | | | | |
| | | | | | | | | 12,420,327 | |
| | | | | | | | | | |
Consumer Products — 0.0% | | | | |
Contra Restorbio, Inc. (a) | | | 1,142 | | | | | | 0 | |
elf Beauty, Inc. (a) | | | 400 | | | | | | 10,732 | |
Nu Skin Enterprises, Inc., Class A | | | 800 | | | | | | 42,312 | |
| | | | | | | | | | |
| | | | | | | | | 53,044 | |
| | | | | | | | | | |
Consumer Services — 0.0% | | | | | | | | | | |
2U, Inc. (a) | | | 15,200 | | | | | | 581,096 | |
American Public Education, Inc. (a) | | | 400 | | | | | | 14,252 | |
Perdoceo Education Corp (a) | | | 7,000 | | | | | | 83,720 | |
WW International, Inc. (a) | | | 1,600 | | | | | | 50,048 | |
| | | | | | | | | | |
| | | | | | | | | 729,116 | |
| | | | | | | | | | |
Consumer Staple Products — 0.2% | | | | | | | | | | |
Aphria, Inc. (a) | | | 5,100 | | | | | | 93,687 | |
AquaBounty Technologies, Inc. (a) | | | 15,600 | | | | | | 104,520 | |
BellRing Brands, Inc., Class A (a) | | | 400 | | | | | | 9,444 | |
Canopy Growth Corp. (a) | | | 14,300 | | | | | | 458,029 | |
Church & Dwight Co., Inc. | | | 1,900 | | | | | | 165,965 | |
Coca-Cola Co. | | | 16,500 | | | | | | 869,715 | |
Farmer Brothers Co. (a) | | | 1,400 | | | | | | 14,616 | |
General Mills, Inc. (c) | | | 24,600 | | | | | | 1,508,472 | |
HEXO Corp. (a) | | | 1,700 | | | | | | 11,016 | |
Hormel Foods Corp. | | | 26,300 | | | | | | 1,256,614 | |
Hostess Brands, Inc. (a) | | | 8,000 | | | | | | 114,720 | |
JM Smucker Co. | | | 4,500 | | | | | | 569,385 | |
Kimberly-Clark Corp. (c) | | | 14,800 | | | | | | 2,057,940 | |
McCormick & Co., Inc. | | | 4,600 | | | | | | 410,136 | |
Molson Coors Brewing Co., Class B (a) | | | 1,700 | | | | | | 86,955 | |
Mondelez International, Inc., Class A | | | 26,500 | | | | | | 1,551,045 | |
PepsiCo, Inc. | | | 300 | | | | | | 42,435 | |
SunOpta, Inc. (a) | | | 500 | | | | | | 7,385 | |
Tyson Foods, Inc., Class A (a) | | | 18,900 | | | | | | 1,404,270 | |
See Notes to Consolidated Financial Statements.
21
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | |
Security Description | | Shares | | | | | Value | |
Vital Farms, Inc. (a) | | | 100 | | | | | $ | 2,184 | |
| | | | | | | | | | |
| | | | | | | | | 10,738,533 | |
| | | | | | | | | | |
Containers & Packaging — 0.0% | | | | | | | | | | |
O-I Glass, Inc. (a) | | | 500 | | | | | | 7,370 | |
| | | | | | | | | | |
Distributors—Discretionary — 0.0% | | | | | | | | | | |
KAR Auction Services, Inc. (a) | | | 4,100 | | | | | | 61,500 | |
| | | | | | | | | | |
Electrical Equipment — 0.0% | | | | | | | | | | |
Babcock & Wilcox Enterprises, Inc. (a) | | | 7,700 | | | | | | 72,919 | |
Capstone Turbine Corp. (a) | | | 1,052 | | | | | | 9,615 | |
Carrier Global Corp. | | | 500 | | | | | | 21,110 | |
LSI Industries, Inc. | | | 1,200 | | | | | | 10,236 | |
SMART Global Holdings, Inc. (a) | | | 3,400 | | | | | | 156,468 | |
| | | | | | | | | | |
| | | | | | | | | 270,348 | |
| | | | | | | | | | |
Engineering & Construction Services — 0.0% | | | | | | | | | | |
frontdoor, Inc. (a) | | | 300 | | | | | | 16,125 | |
Iteris, Inc. (a) | | | 2,300 | | | | | | 14,191 | |
Mistras Group, Inc. (a) | | | 1,900 | | | | | | 21,679 | |
Orion Group Holdings, Inc. (a) | | | 2,900 | | | | | | 17,603 | |
| | | | | | | | | | |
| | | | | | | | | 69,598 | |
| | | | | | | | | | |
Financial Services — 11.5% | | | | | | | | | | |
26 Capital Acquisition Corp. (a),(b),(c) | | | 527,701 | | | | | | 5,298,118 | |
7GC & Co. Holdings, Inc. (a),(b),(c) | | | 436,939 | | | | | | 4,439,300 | |
890 5th Avenue Partners, Inc. (a),(b),(c) | | | 127,300 | | | | | | 1,273,000 | |
ABG Acquisition Corp. I (a),(b),(c) | | | 300,000 | | | | | | 2,967,000 | |
Accelerate Acquisition Corp. (a),(b) | | | 310,000 | | | | | | 3,078,300 | |
ACRES Commercial Realty Corp. (a) | | | 2,033 | | | | | | 29,662 | |
Adit EdTech Acquisition Corp. (a),(b),(c) | | | 214,900 | | | | | | 2,118,054 | |
AG Mortgage Investment Trust, Inc. | | | 3,600 | | | | | | 14,508 | |
Alliance Data Systems Corp. | | | 929 | | | | | | 104,132 | |
Alpha Capital Acquisition Co. (a),(b),(c) | | | 417,953 | | | | | | 4,158,632 | |
Apollo Strategic Growth Capital (a),(b),(c) | | | 439,000 | | | | | | 4,521,700 | |
Apollo Strategic Growth Capital II (a),(b),(c) | | | 450,000 | | | | | | 4,491,000 | |
Arbor Realty Trust, Inc. | | | 200 | | | | | | 3,180 | |
ArcLight Clean Transition Corp. II (a),(b) | | | 310,000 | | | | | | 3,100,000 | |
Ares Acquisition Corp. (a),(b),(c) | | | 425,500 | | | | | | 4,255,000 | |
Arlington Asset Investment Corp., Class A (a) | | | 800 | | | | | | 3,232 | |
ARMOUR Residential REIT, Inc. | | | 700 | | | | | | 8,540 | |
Athena Technology Acquisition Corp. (a),(b),(c) | | | 81,000 | | | | | | 801,090 | |
Athlon Acquisition Corp. (a),(b),(c) | | | 465,000 | | | | | | 4,598,850 | |
Atlas Crest Investment Corp. II (a),(b),(c) | | | 421,140 | | | | | | 4,213,506 | |
Austerlitz Acquisition Corp. I (a),(b),(c) | | | 242,900 | | | | | | 2,438,716 | |
Austerlitz Acquisition Corp. II (a),(b),(c) | | | 465,000 | | | | | | 4,663,950 | |
See Notes to Consolidated Financial Statements.
22
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | |
Security Description | | Shares | | | | | Value | |
Authentic Equity Acquisition Corp. (a),(b),(c) | | | 550,000 | | | | | $ | 5,439,500 | |
Biotech Acquisition Co. (a),(b),(c) | | | 465,000 | | | | | | 4,598,850 | |
BlackRock Capital Investment Corp. | | | 9,081 | | | | | | 30,421 | |
BlackRock TCP Capital Corp. | | | 7,200 | | | | | | 99,576 | |
Blucora, Inc. (a) | | | 1,300 | | | | | | 21,632 | |
BlueRiver Acquisition Corp. (a),(b),(c) | | | 142,900 | | | | | | 1,424,713 | |
Boston Private Financial Holdings, Inc. | | | 100 | | | | | | 1,332 | |
Broadmark Realty Capital, Inc. | | | 900 | | | | | | 9,414 | |
Broadscale Acquisition Corp. (a),(b) | | | 465,000 | | | | | | 4,608,150 | |
Cannae Holdings, Inc. (a) | | | 100 | | | | | | 3,962 | |
Capital Southwest Corp. | | | 400 | | | | | | 8,864 | |
Capitala Finance Corp. (a) | | | 483 | | | | | | 7,458 | |
Capstar Special Purpose Acquisition Corp., Class A (a),(b),(c) | | | 537,300 | | | | | | 5,244,048 | |
Cartesian Growth Corp. (a),(b),(c) | | | 394,700 | | | | | | 3,927,265 | |
CC Neuberger Principal Holdings II, Class A (a),(b),(c) | | | 465,000 | | | | | | 4,584,900 | |
CC Neuberger Principal Holdings III (a),(b),(c) | | | 405,677 | | | | | | 4,052,713 | |
CF Acquisition Corp. IV (a),(b),(c) | | | 465,000 | | | | | | 4,663,950 | |
CF Acquisition Corp. V (a),(b),(c) | | | 465,000 | | | | | | 4,640,700 | |
CF Acquisition Corp. VI (a),(b),(c) | | | 450,000 | | | | | | 4,455,000 | |
CF Acquisition Corp. VIII (a),(b),(c) | | | 310,000 | | | | | | 3,075,200 | |
Cherry Hill Mortgage Investment Corp. | | | 3,700 | | | | | | 34,558 | |
Churchill Capital Corp. V (a),(b),(c) | | | 367,801 | | | | | | 3,751,570 | |
Churchill Capital Corp. VI (a),(b),(c) | | | 300,000 | | | | | | 3,018,000 | |
Churchill Capital Corp. VII (a),(b),(c) | | | 164,831 | | | | | | 1,643,365 | |
Climate Real Impact Solutions II Acquisition Corp. (a),(b),(c) | | | 407,004 | | | | | | 4,070,040 | |
Colicity, Inc. (a),(b),(c) | | | 465,000 | | | | | | 4,696,500 | |
Colonnade Acquisition Corp. II (a),(b),(c) | | | 310,000 | | | | | | 3,053,500 | |
Compute Health Acquisition Corp. (a),(b),(c) | | | 465,000 | | | | | | 4,691,850 | |
Consumer Portfolio Services, Inc. (a) | | | 100 | | | | | | 403 | |
Corazon Capital V838 Monoceros Corp. (a),(b) | | | 310,000 | | | | | | 3,084,500 | |
Corner Growth Acquisition Corp. (a),(b),(c) | | | 465,000 | | | | | | 4,696,500 | |
COVA Acquisition Corp. (a),(b),(c) | | | 186,700 | | | | | | 1,857,665 | |
Cowen, Inc., Class A | | | 3,900 | | | | | | 137,085 | |
Decarbonization Plus Acquisition Corp. II (a),(b),(c) | | | 325,674 | | | | | | 3,276,280 | |
Decarbonization Plus Acquisition Corp. III (a),(b) | | | 424,481 | | | | | | 4,227,831 | |
DFP Healthcare Acquisitions Corp., Class A (a),(b),(c) | | | 465,000 | | | | | | 4,631,400 | |
DiamondHead Holdings Corp. (a),(b) | | | 465,000 | | | | | | 4,608,150 | |
Discover Financial Services | | | 300 | | | | | | 28,497 | |
dMY Technology Group, Inc. IV (a),(b),(c) | | | 465,000 | | | | | | 4,668,693 | |
Dragoneer Growth Opportunities Corp. III, Class A (a),(b) | | | 270,531 | | | | | | 2,735,068 | |
Dynex Capital, Inc. | | | 100 | | | | | | 1,893 | |
E.Merge Technology Acquisition Corp., Class A (a),(b),(c) | | | 620,000 | | | | | | 6,045,000 | |
See Notes to Consolidated Financial Statements.
23
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | |
Security Description | | Shares | | | | | Value | |
ECP Environmental Growth Opportunities Corp. (a),(b),(c) | | | 300,000 | | | | | $ | 3,009,000 | |
EJF Acquisition Corp. (a),(b),(c) | | | 310,000 | | | | | | 3,084,500 | |
Ellington Residential Mortgage REIT | | | 1,500 | | | | | | 18,465 | |
Empowerment & Inclusion Capital I Corp. (a),(b),(c) | | | 286,500 | | | | | | 2,824,890 | |
Entasis Therapeutics Holdings, Inc. (a) | | | 100 | | | | | | 214 | |
Epiphany Technology Acquisition Corp. (a),(b),(c) | | | 291,000 | | | | | | 2,918,730 | |
Executive Network Partnering Corp., Class A (a),(b) | | | 465,000 | | | | | | 4,519,800 | |
EZCORP, Inc., Class A (a) | | | 1,300 | | | | | | 6,461 | |
Federated Investors, Inc., Class B | | | 2,400 | | | | | | 75,120 | |
Fidus Investment Corp. | | | 3,400 | | | | | | 52,870 | |
Fifth Wall Acquisition Corp. I, Class A (a),(b),(c) | | | 352,388 | | | | | | 3,523,880 | |
Figure Acquisition Corp. I (a),(b),(c) | | | 355,047 | | | | | | 3,593,076 | |
FinServ Acquisition Corp. II (a),(b),(c) | | | 313,923 | | | | | | 3,128,243 | |
Fintech Evolution Acquisition Group (a),(b),(c) | | | 310,000 | | | | | | 3,059,700 | |
FirstMark Horizon Acquisition Corp. (a),(b),(c) | | | 346,200 | | | | | | 3,642,024 | |
Forest Road Acquisition Corp. II (a),(b),(c) | | | 310,000 | | | | | | 3,087,600 | |
Fortistar Sustainable Solutions Corp. (a),(b),(c) | | | 208,700 | | | | | | 2,066,130 | |
Forum Merger IV Corp. (a),(b) | | | 310,000 | | | | | | 3,069,000 | |
Frontier Acquisition Corp. (a),(b),(c) | | | 310,000 | | | | | | 3,078,300 | |
FS Development Corp. II, Class A (a),(b),(c) | | | 470,475 | | | | | | 4,685,931 | |
FS KKR Capital Corp. | | | 700 | | | | | | 13,881 | |
FTAC Hera Acquisition Corp. (a),(b),(c) | | | 310,000 | | | | | | 3,096,900 | |
FTAC Parnassus Acquisition Corp. (a),(b),(c) | | | 310,000 | | | | | | 3,078,300 | |
G Squared Ascend I, Inc. (a),(b),(c) | | | 450,000 | | | | | | 4,500,000 | |
Gladstone Investment Corp. | | | 1,100 | | | | | | 13,453 | |
Global Synergy Acquisition Corp. (a),(b),(c) | | | 509,300 | | | | | | 5,072,628 | |
GO Acquisition Corp., Class A (a),(b),(c) | | | 465,000 | | | | | | 4,580,250 | |
Gores Guggenheim, Inc. (a),(b) | | | 283,700 | | | | | | 2,817,141 | |
Gores Holdings VII, Inc. (a),(b),(c) | | | 146,053 | | | | | | 1,454,688 | |
Gores Holdings VIII, Inc. (a),(b),(c) | | | 310,000 | | | | | | 3,100,000 | |
Gores Metropoulos II, Inc. (a),(b),(c) | | | 346,655 | | | | | | 3,508,149 | |
Gores Technology Partners II, Inc. (a),(b),(c) | | | 310,000 | | | | | | 3,090,700 | |
Gores Technology Partners, Inc. (a),(b),(c) | | | 211,498 | | | | | | 2,121,325 | |
Granite Point Mortgage Trust, Inc. | | | 1,200 | | | | | | 14,364 | |
Great Elm Capital Corp. | | | 1,623 | | | | | | 5,518 | |
Greenhill & Co., Inc. | | | 1,300 | | | | | | 21,424 | |
HealthCor Catalio Acquisition Corp., Class A (a),(b),(c) | | | 480,000 | | | | | | 4,800,000 | |
Hennessy Capital Investment Corp. V (a),(b),(c) | | | 461,046 | | | | | | 4,665,786 | |
HIG Acquisition Corp. (a),(b),(c) | | | 465,000 | | | | | | 4,761,600 | |
Horizon Acquisition Corp., Class A (a),(b),(c) | | | 311,250 | | | | | | 3,075,150 | |
Hudson Executive Investment Corp. II (a),(b),(c) | | | 504,450 | | | | | | 4,948,655 | |
Independence Holdings Corp. (a),(b),(c) | | | 162,100 | | | | | | 1,621,000 | |
International Money Express, Inc. (a) | | | 200 | | | | | | 3,002 | |
InterPrivate II Acquisition Corp. (a),(b),(c) | | | 269,479 | | | | | | 2,665,147 | |
Isleworth Healthcare Acquisi (b),(a) | | | 228,868 | | | | | | 2,217,731 | |
Janus Henderson Group plc (a) | | | 700 | | | | | | 21,805 | |
See Notes to Consolidated Financial Statements.
24
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | |
Security Description | | Shares | | | | | Value | |
Jaws Mustang Acquisition Corp. (a),(b),(c) | | | 531,900 | | | | | $ | 5,398,785 | |
Jefferies Financial Group, Inc. (a) | | | 7,800 | | | | | | 234,780 | |
Kensington Capital Acquisition Corp. II (a),(b),(c) | | | 310,000 | | | | | | 3,180,600 | |
Khosla Ventures Acquisition Co. (a),(b),(c) | | | 465,000 | | | | | | 4,696,500 | |
Khosla Ventures Acquisition Co. II, Class A (a),(b) | | | 185,100 | | | | | | 1,867,659 | |
Khosla Ventures Acquisition Co. III, Class A (a),(b) | | | 372,000 | | | | | | 3,716,280 | |
Kismet Acquisition Three Corp. (a),(b),(c) | | | 334,955 | | | | | | 3,309,355 | |
KKR Acquisition Holdings I Corp. (a),(b),(c) | | | 465,000 | | | | | | 4,654,650 | |
Ladder Capital Corp. | | | 1,900 | | | | | | 22,420 | |
Landcadia Holdings IV, Inc. (a),(b) | | | 465,000 | | | | | | 4,603,500 | |
Lazard Growth Acquisition Corp. I (a),(b),(c) | | | 450,000 | | | | | | 4,500,000 | |
LDH Growth Corp. I (a),(b) | | | 310,000 | | | | | | 3,137,200 | |
Lead Edge Growth Opportunities Ltd. (a),(b),(c) | | | 434,621 | | | | | | 4,333,171 | |
Leo Holdings III Corp. (a),(b),(c) | | | 310,000 | | | | | | 3,038,000 | |
Lifesci Acquisition II Corp. (a),(b),(c) | | | 100,527 | | | | | | 1,019,344 | |
Live Oak Acquisition Corp. II (a),(b),(c) | | | 230,700 | | | | | | 2,413,122 | |
Live Oak Mobility Acquisition Corp. (a),(b),(c) | | | 310,000 | | | | | | 3,093,800 | |
Longview Acquisition Corp. II (a),(b) | | | 370,200 | | | | | | 3,716,808 | |
Marlin Technology Corp. (a),(b),(c) | | | 620,000 | | | | | | 6,125,600 | |
Marquee Raine Acquisition Corp. (a),(b),(c) | | | 363,900 | | | | | | 3,711,780 | |
Mason Industrial Technology, Inc. (a),(b) | | | 465,000 | | | | | | 4,622,100 | |
Medallion Financial Corp. (a) | | | 1,300 | | | | | | 9,165 | |
Monroe Capital Corp. | | | 1,900 | | | | | | 19,076 | |
Montes Archimedes Acquisition Corp. (a),(b) | | | 448,000 | | | | | | 4,569,600 | |
Moringa Acquisition Corp. (a),(b),(c) | | | 300,000 | | | | | | 2,979,000 | |
Motive Capital Corp. (a),(b),(c) | | | 363,900 | | | | | | 3,657,195 | |
MSD Acquisition Corp. (a),(b) | | | 324,154 | | | | | | 3,290,163 | |
Newtek Business Services Corp. | | | 1,300 | | | | | | 34,710 | |
Nexpoint Real Estate Finance, Inc. (a) | | | 800 | | | | | | 14,864 | |
NextGen Acquisition Corp. II (a),(b) | | | 310,000 | | | | | | 3,069,000 | |
NightDragon Acquisition Corp. (a),(b),(c) | | | 465,000 | | | | | | 4,743,000 | |
Noble Rock Acquisition Corp. (a),(b),(c) | | | 600,000 | | | | | | 5,934,000 | |
North Mountain Merger Corp., Class A (a),(b) | | | 465,000 | | | | | | 4,575,600 | |
Northern Genesis Acquisition Corp. III (a),(b) | | | 465,000 | | | | | | 4,640,700 | |
Northern Star Investment Corp. III (a),(b),(c) | | | 310,000 | | | | | | 3,084,500 | |
Northern Star Investment Corp. IV (a),(b),(c) | | | 310,000 | | | | | | 3,075,200 | |
Novus Capital Corp. II (a),(b),(c) | | | 364,199 | | | | | | 3,641,990 | |
OCA Acquisition Corp. (a),(b),(c) | | | 467,500 | | | | | | 4,670,325 | |
Ocwen Financial Corp. (a) | | | 894 | | | | | | 25,416 | |
Omega Alpha SPAC, Class A (a),(b),(c) | | | 136,000 | | | | | | 1,346,400 | |
One Equity Partners Open Water I Corp. (a),(b),(c) | | | 430,200 | | | | | | 4,289,094 | |
OneMain Holdings, Inc. | | | 900 | | | | | | 48,348 | |
Oppenheimer Holdings, Inc., Class A | | | 100 | | | | | | 4,005 | |
Orion Acquisition Corp. (a),(b),(c) | | | 465,000 | | | | | | 4,645,350 | |
Pathfinder Acquisition Corp. (a),(b),(c) | | | 450,000 | | | | | | 4,455,000 | |
PennantPark Investment Corp. | | | 10,100 | | | | | | 57,065 | |
Periphas Capital Partnering Corp. (a),(b) | | | 186,000 | | | | | | 4,566,300 | |
See Notes to Consolidated Financial Statements.
25
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | |
Security Description | | Shares | | | | | Value | |
Pine Technology Acquisition Corp. (a),(b),(c) | | | 235,016 | | | | | $ | 2,331,359 | |
Pioneer Merger Corp. (a),(b),(c) | | | 241,268 | | | | | | 2,410,267 | |
Pivotal Investment Corp. III (a),(b),(c) | | | 300,000 | | | | | | 3,000,000 | |
Plum Acquisition Corp. I (a),(b),(c) | | | 310,000 | | | | | | 3,084,500 | |
Poema Global Holdings Corp. (a),(b),(c) | | | 465,000 | | | | | | 4,654,650 | |
Pontem Corp. (a),(b) | | | 465,000 | | | | | | 4,603,500 | |
Powered Brands (a),(b),(c) | | | 465,000 | | | | | | 4,589,550 | |
PRA Group, Inc. (a) | | | 100 | | | | | | 3,707 | |
PROG Holdings, Inc. (a) | | | 5,600 | | | | | | 242,424 | |
PropTech Investment Corp. II (a),(b),(c) | | | 361,500 | | | | | | 3,683,685 | |
RedBall Acquisition Corp. (a),(b),(c) | | | 465,000 | | | | | | 4,626,750 | |
Regional Management Corp. | | | 100 | | | | | | 3,466 | |
Reinvent Technology Partners Y (a),(b),(c) | | | 465,000 | | | | | | 4,668,600 | |
Revolution Healthcare Acquisition Corp. (a),(b),(c) | | | 465,000 | | | | | | 4,673,250 | |
Rotor Acquisition Corp. (a),(b),(c) | | | 285,200 | | | | | | 2,854,852 | |
Science Strategic Acquisition Corp. Alpha (a),(b) | | | 465,000 | | | | | | 4,622,100 | |
Sculptor Capital Management, Inc. | | | 800 | | | | | | 17,504 | |
SCVX Corp., Class A (a),(b),(c) | | | 428,572 | | | | | | 4,225,720 | |
Senior Connect Acquisition Corp. I (a),(b),(c) | | | 310,000 | | | | | | 3,121,700 | |
Silver Spike Acquisition Corp. II (a),(b),(c) | | | 310,000 | | | | | | 3,081,400 | |
Slam Corp. (a),(b),(c) | | | 449,298 | | | | | | 4,457,036 | |
Soaring Eagle Acquisition Corp. (a),(b),(c) | | | 310,000 | | | | | | 3,137,200 | |
Spartan Acquisition Corp. III (a),(b),(c) | | | 450,000 | | | | | | 4,513,500 | |
Sports Entertainment Acquisition Corp. (a),(b) | | | 423,000 | | | | | | 4,339,980 | |
Stellus Capital Investment Corp. | | | 900 | | | | | | 11,430 | |
Supernova Partners Acquisition Co. II Ltd. (a),(b),(c) | | | 465,000 | | | | | | 4,668,600 | |
SVF Investment Corp. 2 (a),(b),(c) | | | 310,000 | | | | | | 3,131,000 | |
SVF Investment Corp. 3 (a),(b),(c) | | | 310,000 | | | | | | 3,131,000 | |
Tailwind International Acquisition Corp. (a),(b),(c) | | | 300,000 | | | | | | 2,967,000 | |
TCG BDC, Inc. | | | 4,200 | | | | | | 55,440 | |
Tekkorp Digital Acquisition Corp. (a),(b),(c) | | | 423,000 | | | | | | 4,323,060 | |
Thoma Bravo Advantage, Class A (a),(b),(c) | | | 217,058 | | | | | | 2,268,256 | |
Thunder Bridge Capital Partners III, Inc. (a),(b),(c) | | | 198,200 | | | | | | 1,960,198 | |
Trebia Acquisition Corp., Class A (a),(b),(c) | | | 465,000 | | | | | | 4,631,400 | |
Trepont Acquisition Corp. I (a),(b),(c) | | | 465,000 | | | | | | 4,743,000 | |
TWC Tech Holdings II Corp., Class A (a),(b),(c) | | | 465,000 | | | | | | 4,575,600 | |
TZP Strategies Acquisition Corp. (a),(b),(c) | | | 447,500 | | | | | | 4,457,100 | |
Vector Acquisition Corp. II, Class A (a),(b),(c) | | | 646,057 | | | | | | 6,395,964 | |
Virgin Group Acquisition Corp. II (a),(b) | | | 310,000 | | | | | | 3,078,300 | |
VPC Impact Acquisition Holdings III, Inc. (a),(b),(c) | | | 110,200 | | | | | | 1,087,674 | |
Vy Global Growth (a),(b),(c) | | | 261,152 | | | | | | 2,715,981 | |
Vy Global Growth, Class A (a),(b),(c) | | | 219,113 | | | | | | 2,217,424 | |
Waddell & Reed Financial, Inc., Class A (a) | | | 100 | | | | | | 2,505 | |
Warburg Pincus Capital Corp. I-A (a),(b),(c) | | | 310,000 | | | | | | 3,124,800 | |
Warburg Pincus Capital Corp. I-B (a),(b),(c) | | | 310,000 | | | | | | 3,093,800 | |
Yucaipa Acquisition Corp., Class A (a),(b),(c) | | | 465,000 | | | | | | 4,580,250 | |
Z-Work Acquisition Corp. (a),(b),(c) | | | 134,800 | | | | | | 1,346,652 | |
| | | | | | | | | | |
| | | | | | | | | 575,501,651 | |
| | | | | | | | | | |
See Notes to Consolidated Financial Statements.
26
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | |
Security Description | | Shares | | | | | Value | |
Forest & Paper Products — 0.0% | | | | |
Resolute Forest Products, Inc. (a) | | | 6,400 | | | | | $ | 70,080 | |
Verso Corp., Class A | | | 2,800 | | | | | | 40,852 | |
| | | | | | | | | | |
| | | | | | | | | 110,932 | |
| | | | | | | | | | |
Gaming, Lodging & Restaurants — 0.0% | | | | |
Cracker Barrel Old Country Store, Inc. (a) | | | 1,000 | | | | | | 172,880 | |
Everi Holdings, Inc. (a) | | | 18,900 | | | | | | 266,679 | |
International Game Technology plc (a) | | | 13,200 | | | | | | 211,860 | |
J Alexander’s Holdings, Inc. (a) | | | 500 | | | | | | 4,820 | |
Noodles & Co. (a) | | | 4,200 | | | | | | 43,470 | |
Playa Hotels & Resorts NV (a) | | | 4,300 | | | | | | 31,390 | |
Red Rock Resorts, Inc., Class A (a) | | | 6,700 | | | | | | 218,353 | |
Restaurant Brands International, Inc. | | | 21 | | | | | | 1,365 | |
Scientific Games Corp., Class A (a) | | | 5,000 | | | | | | 192,600 | |
Wendy’s Co. | | | 49,200 | | | | | | 996,792 | |
| | | | | | | | | | |
| | | | | | | | | 2,140,209 | |
| | | | | | | | | | |
Hardware — 0.2% | | | | | | | | | | |
Airgain, Inc. (a) | | | 1,000 | | | | | | 21,190 | |
Anterix, Inc. (a) | | | 1,900 | | | | | | 89,604 | |
Casa Systems, Inc. (a) | | | 5,800 | | | | | | 55,274 | |
Cisco Systems, Inc. (a),(c) | | | 137,800 | | | | | | 7,125,638 | |
Clearfield, Inc. (a) | | | 100 | | | | | | 3,013 | |
Dell Technologies Inc., Class C (a) | | | 10,530 | | | | | | 928,220 | |
Dolby Laboratories, Inc., Class A | | | 2,400 | | | | | | 236,928 | |
Extreme Networks, Inc. (a) | | | 22,800 | | | | | | 199,500 | |
InterDigital, Inc. | | | 1,600 | | | | | | 101,520 | |
Maxar Technologies, Inc. | | | 200 | | | | | | 7,564 | |
NETGEAR, Inc. (a) | | | 2,500 | | | | | | 102,750 | |
PagerDuty, Inc. (a) | | | 9,300 | | | | | | 374,139 | |
PlayAGS, Inc. (a) | | | 7,300 | | | | | | 58,984 | |
Pure Storage, Inc., Class A (a) | | | 25,400 | | | | | | 547,116 | |
Sonos, Inc. (a) | | | 26,300 | | | | | | 985,461 | |
Stratasys Ltd. (a) | | | 14,200 | | | | | | 367,780 | |
ViaSat, Inc. (a) | | | 6,600 | | | | | | 317,262 | |
Vishay Precision Group, Inc. (a) | | | 800 | | | | | | 24,648 | |
Vocera Communications, Inc. (a) | | | 5,100 | | | | | | 196,146 | |
VOXX International Corp. (a) | | | 1,600 | | | | | | 30,496 | |
Xerox Holdings Corp. | | | 2,800 | | | | | | 67,956 | |
| | | | | | | | | | |
| | | | | | | | | 11,841,189 | |
| | | | | | | | | | |
Health Care — 0.8% | | | | | | | | | | |
10X Genomics, Inc., Class A (a) | | | 800 | | | | | | 144,800 | |
89bio, Inc. (a) | | | 2,100 | | | | | | 49,728 | |
9 Meters Biopharma, Inc. (a) | | | 22,900 | | | | | | 26,793 | |
See Notes to Consolidated Financial Statements.
27
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | |
Security Description | | Shares | | | | | Value | |
Abbott Laboratories | | | 1,800 | | | | | $ | 215,712 | |
ABIOMED, Inc. (a) | | | 200 | | | | | | 63,746 | |
ACADIA Pharmaceuticals, Inc. (a) | | | 1,000 | | | | | | 25,800 | |
Accuray, Inc. (a) | | | 14,100 | | | | | | 69,795 | |
AcelRx Pharmaceuticals, Inc. (a) | | | 100 | | | | | | 170 | |
Aclaris Therapeutics, Inc. (a) | | | 800 | | | | | | 20,160 | |
Acutus Medical, Inc. (a) | | | 100 | | | | | | 1,337 | |
Adicet Bio, Inc. (a) | | | 1,242 | | | | | | 16,245 | |
Adverum Biotechnologies, Inc. (a) | | | 16,800 | | | | | | 165,648 | |
Aeglea BioTherapeutics, Inc. (a) | | | 200 | | | | | | 1,584 | |
Aerie Pharmaceuticals, Inc. (a) | | | 1,400 | | | | | | 25,018 | |
Aileron Therapeutics, Inc. (a) | | | 2,700 | | | | | | 3,861 | |
Akero Therapeutics, Inc. (a) | | | 2,800 | | | | | | 81,228 | |
Albireo Pharma, Inc. (a) | | | 3,700 | | | | | | 130,425 | |
Alector, Inc. (a) | | | 6,700 | | | | | | 134,938 | |
Alexion Pharmaceuticals, Inc. (a) | | | 200 | | | | | | 30,582 | |
Align Technology, Inc. (a) | | | 200 | | | | | | 108,306 | |
Allakos, Inc. (a) | | | 100 | | | | | | 11,478 | |
Allena Pharmaceuticals, Inc. (a) | | | 3,300 | | | | | | 4,587 | |
Allogene Therapeutics, Inc. (a) | | | 8,100 | | | | | | 285,930 | |
Allovir, Inc. (a) | | | 100 | | | | | | 2,340 | |
Altimmune, Inc. (a) | | | 5,300 | | | | | | 74,889 | |
Amedisys, Inc. (a) | | | 1,200 | | | | | | 317,748 | |
Amneal Pharmaceuticals, Inc. (a) | | | 3,500 | | | | | | 23,555 | |
AnaptysBio, Inc. (a) | | | 5,700 | | | | | | 122,835 | |
ANI Pharmaceuticals, Inc. (a) | | | 700 | | | | | | 25,298 | |
Anika Therapeutics, Inc. (a) | | | 1,500 | | | | | | 61,185 | |
Antares Pharma, Inc. (a) | | | 21,100 | | | | | | 86,721 | |
Anthem, Inc. (c) | | | 8,400 | | | | | | 3,015,180 | |
Aptevo Therapeutics, Inc. (a) | | | 100 | | | | | | 3,052 | |
Arcutis Biotherapeutics, Inc. (a) | | | 700 | | | | | | 20,251 | |
Ardelyx, Inc. (a) | | | 12,000 | | �� | | | | 79,440 | |
Arena Pharmaceuticals, Inc. (a) | | | 800 | | | | | | 55,512 | |
Assembly Biosciences, Inc. (a) | | | 8,400 | | | | | | 38,640 | |
Atara Biotherapeutics, Inc. (a) | | | 14,200 | | | | | | 203,912 | |
Avantor, Inc. (a) | | | 500 | | | | | | 14,465 | |
AVEO Pharmaceuticals, Inc. (a) | | | 4,200 | | | | | | 30,744 | |
Avrobio, Inc. (a) | | | 1,400 | | | | | | 17,766 | |
Axsome Therapeutics, Inc. (a) | | | 1,000 | | | | | | 56,620 | |
Baudax Bio, Inc. (a) | | | 1,300 | | | | | | 1,677 | |
Bausch Health Cos., Inc. (a) | | | 4,300 | | | | | | 136,482 | |
Baxter International, Inc. (c) | | | 45,900 | | | | | | 3,871,206 | |
Becton Dickinson and Co. | | | 3,900 | | | | | | 948,285 | |
Berkeley Lights, Inc. (a) | | | 1,800 | | | | | | 90,414 | |
Beyond Air, Inc. (a) | | | 4,500 | | | | | | 24,750 | |
Beyondspring, Inc. (a) | | | 100 | | | | | | 1,107 | |
Bioxcel Therapeutics, Inc. (a) | | | 700 | | | | | | 30,212 | |
See Notes to Consolidated Financial Statements.
28
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | |
Security Description | | Shares | | | | | Value | |
Black Diamond Therapeutics, Inc. (a) | | | 700 | | | | | $ | 16,982 | |
BrainStorm Cell Therapeutics, Inc. (a) | | | 1,800 | | | | | | 6,894 | |
Brickell Biotech, Inc. (a) | | | 1,000 | | | | | | 1,090 | |
Brookdale Senior Living, Inc. (a) | | | 3,409 | | | | | | 20,624 | |
Cantel Medical Corp. (a) | | | 6,500 | | | | | | 518,960 | |
Cara Therapeutics, Inc. (a) | | | 6,000 | | | | | | 130,260 | |
Cardiff Oncology, Inc. (a) | | | 8,100 | | | | | | 75,006 | |
CASI Pharmaceuticals, Inc. (a) | | | 1,100 | | | | | | 2,640 | |
Castle Biosciences, Inc. (a) | | | 600 | | | | | | 41,076 | |
Catabasis Pharmaceuticals, Inc. (a) | | | 400 | | | | | | 1,156 | |
Cellectar Biosciences, Inc. (a) | | | 10,900 | | | | | | 17,549 | |
Cerus Corp. (a) | | | 1,800 | | | | | | 10,818 | |
Checkpoint Therapeutics, Inc. (a) | | | 3,400 | | | | | | 10,676 | |
Chinook Therapeutics, Inc. (a) | | | 1,620 | | | | | | 25,175 | |
Cidara Therapeutics, Inc. (a) | | | 300 | | | | | | 798 | |
Clearside Biomedical, Inc. (a) | | | 9,800 | | | | | | 24,206 | |
Community Health Systems, Inc. (a) | | | 25,100 | | | | | | 339,352 | |
Concert Pharmaceuticals, Inc. (a) | | | 2,100 | | | | | | 10,479 | |
Conformis, Inc. (a) | | | 2,900 | | | | | | 2,871 | |
Constellation Pharmaceuticals, Inc. (a) | | | 1,100 | | | | | | 25,729 | |
Corbus Pharmaceuticals Holdings, Inc. (a) | | | 800 | | | | | | 1,576 | |
CorMedix, Inc. (a) | | | 2,400 | | | | | | 23,976 | |
Corvus Pharmaceuticals, Inc. (a) | | | 3,700 | | | | | | 11,396 | |
CRH Medical Corp. (a) | | | 11,900 | | | | | | 47,005 | |
Crinetics Pharmaceuticals, Inc. (a) | | | 100 | | | | | | 1,528 | |
Cutera, Inc. (a) | | | 2,300 | | | | | | 69,115 | |
Cyclerion Therapeutics, Inc. (a) | | | 2,600 | | | | | | 7,254 | |
Denali Therapeutics, Inc. (a) | | | 7,200 | | | | | | 411,120 | |
Dicerna Pharmaceuticals, Inc. (a) | | | 5,900 | | �� | | | | 150,863 | |
Durect Corp. (a) | | | 23,400 | | | | | | 46,332 | |
Dyne Therapeutics, Inc. (a) | | | 100 | | | | | | 1,553 | |
Eagle Pharmaceuticals, Inc. (a) | | | 1,700 | | | | | | 70,958 | |
Edwards Lifesciences Corp. (a) | | | 1,500 | | | | | | 125,460 | |
ElectroCore, Inc. (a) | | | 3,100 | | | | | | 6,386 | |
Eton Pharmaceuticals, Inc. (a) | | | 500 | | | | | | 3,660 | |
Evelo Biosciences, Inc. (a) | | | 600 | | | | | | 6,420 | |
EyeGate Pharmaceuticals, Inc. (a) | | | 1,000 | | | | | | 4,980 | |
Eyenovia, Inc. (a) | | | 1,500 | | | | | | 7,665 | |
EyePoint Pharmaceuticals, Inc. (a) | | | 100 | | | | | | 1,016 | |
FONAR Corp. (a) | | | 400 | | | | | | 7,236 | |
Fortress Biotech, Inc. (a) | | | 4,600 | | | | | | 16,238 | |
Genocea Biosciences, Inc. (a) | | | 7,700 | | | | | | 20,867 | |
Geron Corp. (a) | | | 39,300 | | | | | | 62,094 | |
Globus Medical, Inc., Class A (a) | | | 700 | | | | | | 43,169 | |
Graybug Vision, Inc. (a) | | | 100 | | | | | | 555 | |
Gritstone Oncology, Inc. (a) | | | 500 | | | | | | 4,715 | |
Haemonetics Corp. (a) | | | 400 | | | | | | 44,404 | |
See Notes to Consolidated Financial Statements.
29
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | |
Security Description | | Shares | | | | | Value | |
Halozyme Therapeutics, Inc. (a) | | | 400 | | | | | $ | 16,676 | |
Harrow Health, Inc. (a) | | | 3,100 | | | | | | 20,925 | |
Harvard Bioscience, Inc. (a) | | | 2,800 | | | | | | 15,288 | |
Hill-Rom Holdings, Inc. | | | 1,400 | | | | | | 154,672 | |
Hologic, Inc. (a) | | | 10,200 | | | | | | 758,676 | |
Hookipa Pharma, Inc. (a) | | | 200 | | | | | | 2,690 | |
iCAD, Inc. (a) | | | 600 | | | | | | 12,732 | |
Ideaya Biosciences, Inc. (a) | | | 3,300 | | | | | | 77,550 | |
Illumina, Inc. (a) | | | 100 | | | | | | 38,406 | |
Immunovant, Inc. (a) | | | 11,900 | | | | | | 190,876 | |
InfuSystem Holdings, Inc. (a) | | | 1,000 | | | | | | 20,360 | |
Inmode Ltd. (a) | | | 4,800 | | | | | | 347,376 | |
Intuitive Surgical, Inc. (a) | | | 500 | | | | | | 369,470 | |
Invacare Corp. (a) | | | 1,100 | | | | | | 8,822 | |
Ionis Pharmaceuticals, Inc. (a) | | | 9,800 | | | | | | 440,608 | |
Iovance Biotherapeutics, Inc. (a) | | | 400 | | | | | | 12,664 | |
IsoRay, Inc. (a) | | | 800 | | | | | | 872 | |
Iterum Therapeutics plc (a) | | | 2,700 | | | | | | 3,807 | |
IVERIC bio, Inc. (a) | | | 2,200 | | | | | | 13,596 | |
Johnson & Johnson | | | 44,800 | | | | | | 7,362,880 | |
Jounce Therapeutics, Inc. (a) | | | 1,300 | | | | | | 13,351 | |
Kala Pharmaceuticals, Inc. (a) | | | 2,900 | | | | | | 19,546 | |
Kaleido Biosciences, Inc. (a) | | | 1,400 | | | | | | 11,340 | |
Kindred Biosciences, Inc. (a) | | | 700 | | | | | | 3,479 | |
Kiniksa Pharmaceuticals Ltd., Class A (a) | | | 3,100 | | | | | | 57,381 | |
La Jolla Pharmaceutical Co. (a) | | | 4,423 | | | | | | 18,754 | |
Lantheus Holdings, Inc. (a) | | | 1,400 | | | | | | 29,918 | |
Larimar Therapeutics, Inc. (a) | | | 133 | | | | | | 1,943 | |
LeMaitre Vascular, Inc. | | | 400 | | | | | | 19,512 | |
Lipocine, Inc. (a) | | | 100 | | | | | | 151 | |
Lyra Therapeutics, Inc. (a) | | | 200 | | | | | | 2,318 | |
MacroGenics, Inc. (a) | | | 8,000 | | | | | | 254,800 | |
Madrigal Pharmaceuticals, Inc. (a) | | | 1,200 | | | | | | 140,364 | |
Magenta Therapeutics, Inc. (a) | | | 3,500 | | | | | | 41,440 | |
Maravai LifeSciences Holdings, Inc., Class A (a) | | | 500 | | | | | | 17,820 | |
Marinus Pharmaceuticals, Inc. (a) | | | 1,925 | | | | | | 29,799 | |
Marker Therapeutics, Inc. (a) | | | 900 | | | | | | 2,016 | |
Masimo Corp. (a) | | | 400 | | | | | | 91,864 | |
Matinas BioPharma Holdings, Inc. (a) | | | 11,200 | | | | | | 11,760 | |
Medtronic plc (a) | | | 8,500 | | | | | | 1,004,105 | |
Meridian Bioscience, Inc. (a) | | | 400 | | | | | | 10,500 | |
Merit Medical Systems, Inc. (a) | | | 700 | | | | | | 41,916 | |
Merrimack Pharmaceuticals, Inc. (a) | | | 2,425 | | | | | | 15,229 | |
Milestone Pharmaceuticals, Inc. (a) | | | 1,200 | | | | | | 6,948 | |
Minerva Neurosciences, Inc. (a) | | | 9,100 | | | | | | 26,572 | |
Mirati Therapeutics, Inc. (a) | | | 300 | | | | | | 51,390 | |
Mirum Pharmaceuticals, Inc. (a) | | | 700 | | | | | | 13,874 | |
See Notes to Consolidated Financial Statements.
30
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | |
Security Description | | Shares | | | | | Value | |
Molecular Templates, Inc. (a) | | | 6,028 | | | | | $ | 76,073 | |
Natera, Inc. (a) | | | 11,600 | | | | | | 1,177,864 | |
Neogen Corp. (a) | | | 1,100 | | | | | | 97,779 | |
Neoleukin Therapeutics, Inc. (a) | | | 600 | | | | | | 7,386 | |
Neubase Therapeutics, Inc. (a) | | | 1,400 | | | | | | 10,346 | |
NextCure, Inc. (a) | | | 1,600 | | | | | | 16,016 | |
NGM Biopharmaceuticals, Inc. (a) | | | 200 | | | | | | 5,814 | |
NuVasive, Inc. (a) | | | 5,300 | | | | | | 347,468 | |
Ocular Therapeutix, Inc. (a) | | | 16,700 | | | | | | 274,047 | |
Odonate Therapeutics, Inc. (a) | | | 8,400 | | | | | | 28,728 | |
Omeros Corp. (a) | | | 400 | | | | | | 7,120 | |
Oncocyte Corp. (a) | | | 10,600 | | | | | | 55,014 | |
Onconova Therapeutics, Inc. (a) | | | 200 | | | | | | 200 | |
Oncternal Therapeutics, Inc. (a) | | | 600 | | | | | | 4,992 | |
Ortho Clinical Diagnostics Holdings plc (a) | | | 100 | | | | | | 1,930 | |
Outlook Therapeutics, Inc. (a) | | | 8,700 | | | | | | 19,575 | |
Ovid therapeutics, Inc. (a) | | | 7,100 | | | | | | 28,542 | |
Palatin Technologies, Inc. (a) | | | 4,900 | | | | | | 3,379 | |
Paratek Pharmaceuticals, Inc. (a) | | | 8,600 | | | | | | 60,716 | |
Personalis, Inc. (a) | | | 9,600 | | | | | | 236,256 | |
Pfizer, Inc. (c) | | | 210,300 | | | | | | 7,619,169 | |
Phathom Pharmaceuticals, Inc. (a) | | | 100 | | | | | | 3,756 | |
Pluristem Therapeutics, Inc. (a) | | | 2,800 | | | | | | 13,356 | |
Plus Therapeutics, Inc. (a) | | | 900 | | | | | | 2,160 | |
PLx Pharma, Inc. (a) | | | 1,100 | | | | | | 9,933 | |
Protagonist Therapeutics, Inc. (a) | | | 6,500 | | | | | | 168,350 | |
Puma Biotechnology, Inc. (a) | | | 1,500 | | | | | | 14,580 | |
Quanterix Corp. (a) | | | 700 | | | | | | 40,929 | |
Radius Health, Inc. (a) | | | 7,900 | | | | | | 164,794 | |
RadNet, Inc. (a) | | | 3,200 | | | | | | 69,600 | |
RAPT Therapeutics, Inc. (a) | | | 800 | | | | | | 17,760 | |
REGENXBIO, Inc. (a) | | | 200 | | | | | | 6,822 | |
Regulus Therapeutics, Inc. (a) | | | 15,900 | | | | | | 24,804 | |
Replimune Group, Inc. (a) | | | 5,300 | | | | | | 161,703 | |
Repro-Med Systems, Inc. (a) | | | 100 | | | | | | 352 | |
Rhythm Pharmaceuticals, Inc. (a) | | | 400 | | | | | | 8,508 | |
Rigel Pharmaceuticals, Inc. (a) | | | 35,800 | | | | | | 122,436 | |
Rocket Pharmaceuticals, Inc. (a) | | | 3,400 | | | | | | 150,858 | |
Sangamo BioSciences, Inc. (a) | | | 29,800 | | | | | | 373,394 | |
Satsuma Pharmaceuticals, Inc. (a) | | | 2,400 | | | | | | 14,184 | |
Savara, Inc. (a) | | | 1,900 | | | | | | 3,952 | |
SCYNEXIS, Inc. (a) | | | 4,500 | | | | | | 35,730 | |
Seagen, Inc. (a) | | | 800 | | | | | | 111,088 | |
Selecta Biosciences, Inc. (a) | | | 24,200 | | | | | | 109,505 | |
Senseonics Holdings, Inc. (a) | | | 2,900 | | | | | | 7,656 | |
Sesen Bio, Inc. (a) | | | 37,232 | | | | | | 96,803 | |
SI-BONE, Inc. (a) | | | 1,900 | | | | | | 60,439 | |
See Notes to Consolidated Financial Statements.
31
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | |
Security Description | | Shares | | | | | Value | |
Sientra, Inc. (a) | | | 8,400 | | | | | $ | 61,236 | |
Sio Gene Therapies, Inc. (a) | | | 6,500 | | | | | | 16,965 | |
Soleno Therapeutics, Inc. (a) | | | 7,500 | | | | | | 9,450 | |
Solid Biosciences, Inc. (a) | | | 13,500 | | | | | | 74,655 | |
Soliton, Inc. (a) | | | 1,500 | | | | | | 26,355 | |
STAAR Surgical Co. (a) | | | 600 | | | | | | 63,246 | |
Supernus Pharmaceuticals, Inc. (a) | | | 4,600 | | | | | | 120,428 | |
Surgalign Holdings, Inc. (a) | | | 500 | | | | | | 1,090 | |
Surmodics, Inc. (a) | | | 500 | | | | | | 28,035 | |
Sutro Biopharma, Inc. (a) | | | 400 | | | | | | 9,104 | |
Tandem Diabetes Care, Inc. (a) | | | 1,363 | | | | | | 120,285 | |
TCR2 Therapeutics, Inc. (a) | | | 5,300 | | | | | | 117,024 | |
TFF Pharmaceuticals, Inc. (a) | | | 200 | | | | | | 2,714 | |
TherapeuticsMD, Inc. (a) | | | 1,900 | | | | | | 2,546 | |
Tracon Pharmaceuticals, Inc. (a) | | | 3,400 | | | | | | 27,982 | |
Translate Bio, Inc. (a) | | | 5,600 | | | | | | 92,344 | |
Travere Therapeutics, Inc. (a) | | | 3,700 | | | | | | 92,389 | |
Trevena, Inc. (a) | | | 14,300 | | | | | | 25,597 | |
Tricida, Inc. (a) | | | 11,000 | | | | | | 58,190 | |
Triple-S Management Corp., Class B (a) | | | 1,550 | | | | | | 40,346 | |
Turning Point Therapeutics, Inc. (a) | | | 700 | | | | | | 66,213 | |
Twist Bioscience Corp. (a) | | | 200 | | | | | | 24,772 | |
Ultragenyx Pharmaceutical, Inc. (a) | | | 1,200 | | | | | | 136,632 | |
UNITY Biotechnology, Inc. (a) | | | 500 | | | | | | 3,000 | |
Vanda Pharmaceuticals, Inc. (a) | | | 5,700 | | | | | | 85,614 | |
Vapotherm, Inc. (a) | | | 1,000 | | | | | | 24,020 | |
Varex Imaging Corp. (a) | | | 500 | | | | | | 10,245 | |
Verastem, Inc. (a) | | | 37,700 | | | | | | 93,119 | |
Virios Therapeutics, Inc. (a) | | | 300 | | | | | | 1,719 | |
Voyager Therapeutics, Inc. (a) | | | 2,900 | | | | | | 13,659 | |
vTv Therapeutics, Inc., Class A (a) | | | 1,600 | | | | | | 4,512 | |
VYNE Therapeutics, Inc. (a) | | | 3,000 | | | | | | 20,535 | |
Y-mAbs Therapeutics, Inc. (a) | | | 3,600 | | | | | | 108,864 | |
Zentalis Pharmaceuticals, Inc. (a) | | | 300 | | | | | | 13,017 | |
Zoetis, Inc. (a) | | | 1,500 | | | | | | 236,220 | |
Zynerba Pharmaceuticals, Inc. (a) | | | 1,900 | | | | | | 8,835 | |
| | | | | | | | | | |
| | | | | | | | | 38,971,898 | |
| | | | | | | | | | |
Health Care Facilities & Services — 0.0% | | | | |
Invitae Corp. (a) | | | 7,600 | | | | | | 290,396 | |
Joint Corp. (The) (a) | | | 2,500 | | | | | | 120,925 | |
MEDNAX, Inc. (a) | | | 4,400 | | | | | | 112,068 | |
Neuronetics, Inc. (a) | | | 2,900 | | | | | | 35,873 | |
Quest Diagnostics, Inc. (a) | | | 2,900 | | | | | | 372,186 | |
Tivity Health, Inc. (a) | | | 7,100 | | | | | | 158,472 | |
| | | | | | | | | | |
| | | | | | | | | 1,089,920 | |
| | | | | | | | | | |
See Notes to Consolidated Financial Statements.
32
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | |
Security Description | | Shares | | | | | Value | |
Home & Office Products — 0.0% | | | | |
ACCO Brands Corp. | | | 2,800 | | | | | $ | 23,632 | |
Armstrong Flooring, Inc. (a) | | | 4,700 | | | | | | 22,983 | |
Tempur Sealy International, Inc. | | | 8,200 | | | | | | 299,792 | |
| | | | | | | | | | |
| | | | | | | | | 346,407 | |
| | | | | | | | | | |
Industrial Products — 0.2% | | | | |
AAR Corp. (a) | | | 1,600 | | | | | | 66,640 | |
Advanced Emissions Solutions, Inc. (a) | | | 100 | | | | | | 550 | |
Aerojet Rocketdyne Holdings, Inc. | | | 15,300 | | | | | | 718,488 | |
Allegion PLC (a) | | | 800 | | | | | | 100,496 | |
Astronics Corp. (a) | | | 4,200 | | | | | | 75,768 | |
Atkore International Group, Inc. (a) | | | 1,200 | | | | | | 86,280 | |
Bel Fuse, Inc., Class B | | | 100 | | | | | | 1,989 | |
Blue Bird Corp. (a) | | | 1,000 | | | | | | 25,030 | |
Cactus, Inc. | | | 900 | | | | | | 27,558 | |
CECO Environmental Corp. (a) | | | 1,900 | | | | | | 15,067 | |
Columbus McKinnon Corp. | | | 600 | | | | | | 31,656 | |
Commercial Vehicle Group, Inc. (a) | | | 5,600 | | | | | | 54,040 | |
Core Molding Technologies, Inc. (a) | | | 300 | | | | | | 3,518 | |
Crane Co. | | | 900 | | | | | | 84,519 | |
Ducommun, Inc. (a) | | | 200 | | | | | | 12,000 | |
FARO Technologies, Inc. (a) | | | 400 | | | | | | 34,628 | |
Flowserve Corp. | | | 2,900 | | | | | | 112,549 | |
FreightCar America, Inc. (a) | | | 3,400 | | | | | | 22,423 | |
Gates Industrial Corp. plc (a) | | | 4,500 | | | | | | 71,955 | |
Graco, Inc. | | | 100 | | | | | | 7,162 | |
GrafTech International Ltd. | | | 12,000 | | | | | | 146,760 | |
Graham Corp. | | | 400 | | | | | | 5,696 | |
Hexcel Corp. (a) | | | 8,199 | | | | | | 459,144 | |
Honeywell International, Inc. | | | 200 | | | | | | 43,414 | |
Hydrofarm Holdings Group, Inc. (a) | | | 200 | | | | | | 12,064 | |
Ichor Holdings Ltd. (a) | | | 1,000 | | | | | | 53,800 | |
Kimball Electronics, Inc. (a) | | | 100 | | | | | | 2,580 | |
LB Foster Co., Class A (a) | | | 500 | | | | | | 8,950 | |
Lockheed Martin Corp. (c) | | | 17,900 | | | | | | 6,614,050 | |
Mueller Water Products, Inc., Class A | | | 300 | | | | | | 4,167 | |
Nikola Corp. (a) | | | 1,900 | | | | | | 26,391 | |
nLight, Inc. (a) | | | 400 | | | | | | 12,960 | |
NN, Inc. (a) | | | 1,900 | | | | | | 13,433 | |
Nordson Corp. | | | 100 | | | | | | 19,868 | |
Northrop Grumman Corp. | | | 2,500 | | | | | | 809,100 | |
nVent Electric plc (a) | | | 7,700 | | | | | | 214,907 | |
Powell Industries, Inc. | | | 500 | | | | | | 16,935 | |
Proto Labs, Inc. (a) | | | 1,200 | | | | | | 146,100 | |
Ranpak Holdings Corp. (a) | | | 500 | | | | | | 10,030 | |
See Notes to Consolidated Financial Statements.
33
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | |
Security Description | | Shares | | | | | Value | |
REV Group, Inc. (a) | | | 500 | | | | | $ | 9,580 | |
Shyft Group, Inc. (The) | | | 500 | | | | | | 18,600 | |
Spirit AeroSystems Holdings, Inc., Class A | | | 23,100 | | | | | | 1,123,815 | |
Stanley Black & Decker, Inc. | | | 1,400 | | | | | | 279,538 | |
Triumph Group, Inc. (a) | | | 10,200 | | | | | | 187,476 | |
Welbilt, Inc. (a) | | | 7,000 | | | | | | 113,750 | |
| | | | | | | | | | |
| | | | | | | | | 11,905,424 | |
| | | | | | | | | | |
Industrial Services — 0.2% | | | | | | | | | | |
Alarm.com Holdings, Inc. (a) | | | 300 | | | | | | 25,914 | |
Alta Equipment Group, Inc. (a) | | | 200 | | | | | | 2,600 | |
American Airlines Group, Inc. (a) | | | 31,400 | | | | | | 750,460 | |
Barrett Business Services, Inc. | | | 500 | | | | | | 34,430 | |
CAI International, Inc. | | | 1,400 | | | | | | 63,728 | |
Canadian National Railway Co. | | | 4,600 | | | | | | 533,508 | |
Canadian Pacific Railway Ltd. (a) | | | 100 | | | | | | 37,929 | |
Civeo Corp. (a) | | | 725 | | | | | | 11,100 | |
CorVel Corp. (a) | | | 400 | | | | | | 41,036 | |
CryoPort, Inc. (a) | | | 900 | | | | | | 46,809 | |
CSX Corp. | | | 2,900 | | | | | | 279,618 | |
Daseke, Inc. (a) | | | 9,900 | | | | | | 84,051 | |
DXP Enterprises, Inc. (a) | | | 300 | | | | | | 9,051 | |
Eagle Bulk Shipping, Inc. (a) | | | 597 | | | | | | 21,563 | |
Fluor Corp. (a) | | | 25,000 | | | | | | 577,250 | |
Franchise Group, Inc. | | | 900 | | | | | | 32,499 | |
Franklin Covey Co. (a) | | | 500 | | | | | | 14,145 | |
FTI Consulting, Inc. (a) | | | 7,500 | | | | | | 1,050,825 | |
H&E Equipment Services, Inc. | | | 3,600 | | | | | | 136,800 | |
Hackett Group, Inc. | | | 1,700 | | | | | | 27,863 | |
Herc Holdings, Inc. (a) | | | 654 | | | | | | 66,270 | |
HMS Holdings Corp. (a) | | | 400 | | | | | | 14,790 | |
Huron Consulting Group, Inc. (a) | | | 200 | | | | | | 10,076 | |
Infrastructure and Energy Alternatives, Inc. (a) | | | 100 | | | | | | 1,630 | |
KBR, Inc. (a) | | | 700 | | | | | | 26,873 | |
Kelly Services, Inc., Class A (a) | | | 900 | | | | | | 20,043 | |
Limbach Holdings, Inc. (a) | | | 500 | | | | | | 5,280 | |
Macquarie Infrastructure Corp. | | | 600 | | | | | | 19,086 | |
Manpowergroup, Inc. | | | 100 | | | | | | 9,890 | |
Marten Transport Ltd. | | | 3,999 | | | | | | 67,863 | |
Mesa Air Group, Inc. (a) | | | 3,300 | | | | | | 44,385 | |
Quad/Graphics, Inc. | | | 4,100 | | | | | | 14,473 | |
R1 RCM, Inc. (a) | | | 3,200 | | | | | | 78,976 | |
Republic Services, Inc. | | | 8,000 | | | | | | 794,800 | |
Resideo Technologies, Inc. (a) | | | 20,200 | | | | | | 570,650 | |
Ritchie Bros Auctioneers, Inc. | | | 300 | | | | | | 17,565 | |
RR Donnelley & Sons Co. (a) | | | 14,066 | | | | | | 57,108 | |
See Notes to Consolidated Financial Statements.
34
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | |
Security Description | | Shares | | | | | Value | |
SEACOR Holdings, Inc. (a) | | | 1,400 | | | | | $ | 57,050 | |
Spirit Airlines, Inc. (a) | | | 11,500 | | | | | | 424,350 | |
Sterling Construction Co., Inc. (a) | | | 2,700 | | | | | | 62,640 | |
Titan Machinery, Inc. (a) | | | 3,300 | | | | | | 84,150 | |
TriNet Group, Inc. (a) | | | 4,000 | | | | | | 311,840 | |
Tutor Perini Corp. (a) | | | 6,900 | | | | | | 130,755 | |
United Airlines Holdings, Inc. (a) | | | 12,900 | | | | | | 742,266 | |
United Parcel Service, Inc., Class B | | | 5,200 | | | | | | 883,948 | |
USA Truck, Inc. (a) | | | 900 | | | | | | 17,199 | |
Volt Information Sciences, Inc. (a) | | | 2,700 | | | | | | 10,638 | |
WillScot Mobile Mini Holdings Corp. (a) | | | 765 | | | | | | 21,229 | |
| | | | | | | | | | |
| | | | | | | | | 8,347,002 | |
| | | | | | | | | | |
Institutional Financial Services — 0.0% | | | | |
BGC Partners, Inc., Class A | | | 5,900 | | | | | | 28,497 | |
| | | | | | | | | | |
Insurance — 0.1% | | | | |
American Equity Investment Life Holding Co. | | | 4,200 | | | | | | 132,426 | |
American Financial Group, Inc. | | | 1,000 | | | | | | 114,100 | |
Aon plc, Class A (a) | | | 3,400 | | | | | | 782,374 | |
Arch Capital Group Ltd. (a) | | | 2,100 | | | | | | 80,577 | |
Assured Guaranty Ltd. (a) | | | 200 | | | | | | 8,456 | |
Athene Holding Ltd., Class A (a) | | | 4,400 | | | | | | 221,760 | |
Brighthouse Financial, Inc. (a) | | | 5,300 | | | | | | 234,525 | |
Employers Holdings, Inc. | | | 600 | | | | | | 25,836 | |
Genworth Financial, Inc., Class A (a) | | | 13,200 | | | | | | 43,824 | |
Greenlight Capital Re Ltd., A Shares (a) | | | 1,400 | | | | | | 12,180 | |
Hallmark Financial Services, Inc. (a) | | | 2,600 | | | | | | 10,088 | |
Hanover Insurance Group, Inc. (c) | | | 1,900 | | | | | | 245,974 | |
Heritage Insurance Holdings, Inc. | | | 1,600 | | | | | | 17,728 | |
Kingstone Cos., Inc. | | | 200 | | | | | | 1,708 | |
Lincoln National Corp. | | | 6,200 | | | | | | 386,074 | |
Maiden Holdings Ltd. (a) | | | 1,400 | | | | | | 4,620 | |
Old Republic International Corp. | | | 5,700 | | | | | | 124,488 | |
Principal Financial Group, Inc. | | | 100 | | | | | | 5,996 | |
ProSight Global, Inc. (a) | | | 1,500 | | | | | | 18,900 | |
Protective Insurance Corp., Class B | | | 200 | | | | | | 4,574 | |
Radian Group, Inc. | | | 2,300 | | | | | | 53,475 | |
SiriusPoint Ltd. (a) | | | 200 | | | | | | 2,034 | |
Trupanion, Inc. (a) | | | 600 | | | | | | 45,726 | |
United Insurance Holdings Corp. | | | 100 | | | | | | 721 | |
Universal Insurance Holdings, Inc. | | | 2,700 | | | | | | 38,718 | |
Unum Group (c) | | | 20,000 | | | | | | 556,600 | |
Willis Towers Watson plc (a) | | | 3,000 | | | | | | 686,640 | |
| | | | | | | | | | |
| | | | | | | | | 3,860,122 | |
| | | | | | | | | | |
See Notes to Consolidated Financial Statements.
35
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | |
Security Description | | Shares | | | | | Value | |
Iron & Steel — 0.0% | | | | |
Allegheny Technologies, Inc. (a) | | | 27,200 | | | | | $ | 572,832 | |
Arch Resources, Inc. (a) | | | 500 | | | | | | 20,800 | |
SunCoke Energy, Inc. | | | 12,000 | | | | | | 84,120 | |
| | | | | | | | | | |
| | | | | | | | | 677,752 | |
| | | | | | | | | | |
Leisure Products — 0.1% | | | | |
Clarus Corp. | | | 2,509 | | | | | | 42,778 | |
Malibu Boats, Inc., Class A (a) | | | 600 | | | | | | 47,808 | |
MasterCraft Boat Holdings, Inc. (a) | | | 2,600 | | | | | | 69,134 | |
Peloton Interactive, Inc., Class A (a),(c) | | | 29,400 | | | | | | 3,305,736 | |
| | | | | | | | | | |
| | | | | | | | | 3,465,456 | |
| | | | | | | | | | |
Machinery — 0.0% | | | | |
Titan International, Inc. (a) | | | 6,300 | | | | | | 58,464 | |
| | | | | | | | | | |
Manufactured Goods — 0.0% | | | | |
Insteel Industries, Inc. | | | 900 | | | | | | 27,756 | |
| | | | | | | | | | |
Materials — 0.1% | | | | | | | | | | |
A-Mark Precious Metals, Inc. | | | 100 | | | | | | 3,600 | |
Agnico Eagle Mines Ltd. | | | 1,200 | | | | | | 69,372 | |
Air Products & Chemicals, Inc. | | | 100 | | | | | | 28,134 | |
Alamos Gold, Inc., Class A | | | 12,654 | | | | | | 98,828 | |
Alcoa Corp. (a) | | | 40,901 | | | | | | 1,328,873 | |
Alpha Metallurgical Resources, Inc. (a) | | | 3,600 | | | | | | 45,468 | |
Ardagh Group SA (a) | | | 200 | | | | | | 5,082 | |
Ball Corp. | | | 200 | | | | | | 16,948 | |
Carpenter Technology Corp. | | | 2,700 | | | | | | 111,105 | |
Celanese Corp., Series A | | | 1,600 | | | | | | 239,696 | |
Chemours Co. | | | 20,100 | | | | | | 560,991 | |
Codexis, Inc. (a) | | | 2,400 | | | | | | 54,936 | |
Coeur Mining, Inc. (a) | | | 9,036 | | | | | | 81,595 | |
Crown Holdings, Inc. | | | 4,600 | | | | | | 446,384 | |
Domtar Corp. (a) | | | 8,000 | | | | | | 295,600 | |
Ecolab, Inc. | | | 300 | | | | | | 64,221 | |
Eldorado Gold Corp. (a) | | | 640 | | | | | | 6,906 | |
Endeavour Silver Corp. (a) | | | 600 | | | | | | 2,976 | |
Freeport-McMoRan, Inc. (a) | | | 4,800 | | | | | | 158,064 | |
Gold Resource Corp. (a) | | | 2,500 | | | | | | 6,600 | |
Great Panther Silver Ltd. (a) | | | 4,900 | | | | | | 3,773 | |
Haynes International, Inc. | | | 100 | | | | | | 2,967 | |
HB Fuller Co. | | | 900 | | | | | | 56,619 | |
Hecla Mining Co. | | | 881 | | | | | | 5,013 | |
IAMGOLD Corp. (a) | | | 11,000 | | | | | | 32,780 | |
Kinross Gold Corp. | | | 24,100 | | | | | | 160,747 | |
Lydall, Inc. (a) | | | 1,600 | | | | | | 53,984 | |
See Notes to Consolidated Financial Statements.
36
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | |
Security Description | | Shares | | | | | Value | |
Marrone Bio Innovations, Inc. (a) | | | 800 | | | | | $ | 1,672 | |
Myers Industries, Inc. | | | 900 | | | | | | 17,784 | |
NACCO Industries, Inc., Class A | | | 100 | | | | | | 2,495 | |
New Gold, Inc. (a) | | | 61,900 | | | | | | 95,326 | |
Newmont Mining Corp. | | | 2,200 | | | | | | 132,594 | |
Northwest Pipe Co. (a) | | | 600 | | | | | | 20,052 | |
Olin Corp. | | | 1,100 | | | | | | 41,767 | |
Osisko Gold Royalties Ltd. | | | 600 | | | | | | 6,612 | |
Peabody Energy Corp. (a) | | | 8,200 | | | | | | 25,092 | |
Rogers Corp. (a) | | | 100 | | | | | | 18,821 | |
Royal Gold, Inc. | | | 2,700 | | | | | | 290,574 | |
Ryerson Holding Corp. (a) | | | 600 | | | | | | 10,224 | |
Sherwin-Williams Co. | | | 500 | | | | | | 369,005 | |
Stepan Co. | | | 1,000 | | | | | | 127,110 | |
Taseko Mines Ltd. (a) | | | 15,000 | | | | | | 25,800 | |
Ternium SA, ADR (a) | | | 600 | | | | | | 23,304 | |
TimkenSteel Corp. (a) | | | 10,000 | | | | | | 117,500 | |
United States Steel Corp. | | | 16,300 | | | | | | 426,571 | |
W R Grace & Co. | | | 100 | | | | | | 5,986 | |
| | | | | | | | | | |
| | | | | | | | | 5,699,551 | |
| | | | | | | | | | |
Media — 0.7% | | | | | | | | | | |
Alphabet, Inc., Class A (a) | | | 200 | | | | | | 412,504 | |
Altice USA, Inc., Class A (a),(c) | | | 57,400 | | | | | | 1,867,222 | |
AMC Networks, Inc., Class A (a) | | | 100 | | | | | | 5,316 | |
ANGI Homeservices, Inc., Class A (a) | | | 17,200 | | | | | | 223,600 | |
Audacy, Inc. (a) | | | 7,100 | | | | | | 37,275 | |
Boingo Wireless, Inc. (a) | | | 7,700 | | | | | | 108,339 | |
Cargurus, Inc. (a),(c) | | | 21,400 | | | | | | 509,962 | |
Cars.com, Inc. (a) | | | 8,700 | | | | | | 112,752 | |
Charter Communications, Inc., Class A (a),(c) | | | 5,240 | | | | | | 3,233,185 | |
Clear Channel Outdoor Holdings, Inc. (a) | | | 8,800 | | | | | | 15,840 | |
Electronic Arts, Inc. | | | 9,700 | | | | | | 1,313,089 | |
Entravision Communications Corp., Class A | | | 900 | | | | | | 3,636 | |
Eventbrite, Inc., Class A (a) | | | 5,400 | | | | | | 119,664 | |
EverQuote, Inc., Class A (a) | | | 3,900 | | | | | | 141,531 | |
Facebook, Inc., Class A (a),(c) | | | 13,800 | | | | | | 4,064,514 | |
Fluent, Inc. (a) | | | 300 | | | | | | 1,230 | |
Glu Mobile, Inc. (a) | | | 38,400 | | | | | | 479,232 | |
GoDaddy, Inc., Class A (a) | | | 7,200 | | | | | | 558,864 | |
Grubhub, Inc. (a) | | | 6,400 | | | | | | 384,000 | |
HyreCar, Inc. (a) | | | 4,100 | | | | | | 40,180 | |
iHeartMedia, Inc., Class A (a) | | | 3,200 | | | | | | 58,080 | |
IMAX Corp. (a) | | | 12,900 | | | | | | 259,290 | |
iMedia Brands, Inc. (a) | | | 1,970 | | | | | | 15,268 | |
Liberty Media Corp-Liberty SiriusXM, Class A (a),(b),(c) | | | 20,505 | | | | | | 903,860 | |
See Notes to Consolidated Financial Statements.
37
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | |
Security Description | | Shares | | | | | Value | |
Liberty Media Corp-Liberty SiriusXM, Class C (a),(b),(c) | | | 21,740 | | | | | $ | 958,951 | |
Liberty TripAdvisor Holdings, Inc., Class A (a) | | | 12,500 | | | | | | 79,750 | |
Lions Gate Entertainment Corp., Class A (a) | | | 10,400 | | | | | | 155,480 | |
Marchex, Inc., Class B (a) | | | 1,500 | | | | | | 4,215 | |
Meredith Corp. (a) | | | 400 | | | | | | 11,912 | |
National CineMedia, Inc. | | | 4,300 | | | | | | 19,866 | |
Pinterest, Inc., Class A (a),(c) | | | 36,500 | | | | | | 2,702,095 | |
Playtika Holding Corp. (a) | | | 500 | | | | | | 13,605 | |
QuinStreet, Inc. (a) | | | 200 | | | | | | 4,060 | |
Quotient Technology, Inc. (a) | | | 1,400 | | | | | | 22,876 | |
Roku, Inc. (a),(c) | | | 18,300 | | | | | | 5,961,591 | |
Sciplay Corp., Class A (a) | | | 5,000 | | | | | | 80,900 | |
SharpSpring, Inc. (a) | | | 400 | | | | | | 6,400 | |
Shaw Communications, Inc. (a) | | | 900 | | | | | | 23,598 | |
Sinclair Broadcast Group, Inc., Class A | | | 4,000 | | | | | | 117,040 | |
Snap, Inc., Class A (a),(c) | | | 85,200 | | | | | | 4,455,108 | |
Travelzoo, Inc. (a) | | | 900 | | | | | | 15,084 | |
TripAdvisor, Inc. (a),(c) | | | 12,800 | | | | | | 688,512 | |
TrueCar, Inc. (a) | | | 16,100 | | | | | | 77,039 | |
Twitter, Inc. (a) | | | 26,500 | | | | | | 1,686,195 | |
Urban One, Inc. (a) | | | 5,600 | | | | | | 9,800 | |
VeriSign, Inc. (a) | | | 600 | | | | | | 119,256 | |
WideOpenWest, Inc. (a) | | | 200 | | | | | | 2,718 | |
World Wrestling Entertainment, Inc., Class A | | | 5,500 | | | | | | 298,430 | |
Yelp, Inc. (a),(c) | | | 9,300 | | | | | | 362,700 | |
Zillow Group, Inc. (a) | | | 400 | | | | | | 52,552 | |
| | | | | | | | | | |
| | | | | | | | | 32,798,166 | |
| | | | | | | | | | |
Medical Equipment & Devices — 0.1% | | | | |
Accelerate Diagnostics, Inc. (a) | | | 1,800 | | | | | | 14,976 | |
Adaptive Biotechnologies Corp. (a) | | | 100 | | | | | | 4,026 | |
Alphatec Holdings, Inc. (a) | | | 9,500 | | | | | | 150,005 | |
AngioDynamics, Inc. (a) | | | 2,100 | | | | | | 49,140 | |
Axogen, Inc. (a) | | | 1,400 | | | | | | 28,364 | |
CareDx, Inc. (a) | | | 7,600 | | | | | | 517,484 | |
CytoSorbents Corp. (a) | | | 5,700 | | | | | | 49,476 | |
Envista Holdings Corp. (a) | | | 2,700 | | | | | | 110,160 | |
Fluidigm Corp. (a) | | | 13,600 | | | | | | 61,472 | |
Inogen, Inc. (a) | | | 2,700 | | | | | | 141,804 | |
LivaNova PLC (a) | | | 100 | | | | | | 7,373 | |
Myriad Genetics, Inc. (a) | | | 9,500 | | | | | | 289,275 | |
NanoString Technologies, Inc. (a) | | | 6,600 | | | | | | 433,686 | |
Nevro Corp. (a),(c) | | | 2,900 | | | | | | 404,550 | |
Novocure Ltd. (a),(c) | | | 6,800 | | | | | | 898,824 | |
Orthofix Medical, Inc. (a) | | | 1,400 | | | | | | 60,690 | |
See Notes to Consolidated Financial Statements.
38
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | |
Security Description | | Shares | | | | | Value | |
Quotient Ltd. (a) | | | 14,800 | | | | | $ | 54,464 | |
SeaSpine Holdings Corp. (a) | | | 1,900 | | | | | | 33,060 | |
Silk Road Medical, Inc. (a) | | | 200 | | | | | | 10,130 | |
T2 Biosystems, Inc. (a) | | | 9,600 | | | | | | 15,552 | |
Veracyte, Inc. (a) | | | 400 | | | | | | 21,500 | |
Vericel Corp. (a) | | | 1,600 | | | | | | 88,880 | |
ViewRay, Inc. (a) | | | 19,700 | | | | | | 85,695 | |
| | | | | | | | | | |
| | | | | | | | | 3,530,586 | |
| | | | | | | | | | |
Metals & Mining — 0.0% | | | | |
Arconic Corp. (a) | | | 200 | | | | | | 5,078 | |
Constellium SE (a) | | | 15,500 | | | | | | 227,850 | |
Ferroglobe plc (a) | | | 6,800 | | | | | | 25,704 | |
First Majestic Silver Corp. (a) | | | 500 | | | | | | 7,790 | |
McEwen Mining, Inc. (a) | | | 18,100 | | | | | | 18,824 | |
Pretium Resources, Inc. (a) | | | 13,500 | | | | | | 139,995 | |
Sandstorm Gold Ltd. (a) | | | 20,700 | | | | | | 140,760 | |
Silvercorp Metals, Inc. | | | 1,500 | | | | | | 7,365 | |
| | | | | | | | | | |
| | | | | | | | | 573,366 | |
| | | | | | | | | | |
Oil, Gas & Coal — 0.4% | | | | | | | | | | |
Amplify Energy Corp. (a) | | | 2,866 | | | | | | 7,967 | |
Antero Resources Corp. (a) | | | 61,400 | | | | | | 626,280 | |
California Resources Corp. (a) | | | 1,500 | | | | | | 36,090 | |
Callon Petroleum Co. (a) | | | 2,100 | | | | | | 80,955 | |
Canadian Natural Resources Ltd. | | | 13,100 | | | | | | 404,397 | |
Cenovus Energy, Inc. | | | 25,700 | | | | | | 193,264 | |
Centennial Resource Development, Inc., Class A (a) | | | 37,900 | | | | | | 159,180 | |
ChampionX Corp. (a) | | | 18,800 | | | | | | 408,524 | |
Cimarex Energy Co. | | | 2,900 | | | | | | 172,231 | |
CNX Resources Corp. (a) | | | 400 | | | | | | 5,880 | |
Comstock Resources, Inc. (a) | | | 12,500 | | | | | | 69,250 | |
CONSOL Energy, Inc. (a) | | | 1,100 | | | | | | 10,692 | |
Continental Resources, Inc. (a),(c) | | | 23,000 | | | | | | 595,010 | |
Core Laboratories NV (a) | | | 600 | | | | | | 17,274 | |
Crescent Point Energy Corp. | | | 22,000 | | | | | | 91,740 | |
CVR Energy, Inc. (a) | | | 9,500 | | | | | | 182,210 | |
Devon Energy Corp. | | | 49,517 | | | | | | 1,081,946 | |
Diamondback Energy, Inc. | | | 2,395 | | | | | | 176,009 | |
Enerplus Corp. | | | 25,700 | | | | | | 128,757 | |
EnLink Midstream LLC | | | 39,200 | | | | | | 168,168 | |
EOG Resources, Inc. (a),(c) | | | 39,100 | | | | | | 2,835,923 | |
EQT Corp. (a) | | | 1,800 | | | | | | 33,444 | |
Evolution Petroleum Corp. | | | 1,000 | | | | | | 3,380 | |
Falcon Minerals Corp. | | | 2,500 | | | | | | 11,225 | |
Flotek Industries, Inc. (a) | | | 1,400 | | | | | | 2,352 | |
See Notes to Consolidated Financial Statements.
39
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | |
Security Description | | Shares | | | | | Value | |
Hallador Energy Co. (a) | | | 1,100 | | | | | $ | 2,035 | |
Halliburton Co. | | | 400 | | | | | | 8,584 | |
Helmerich & Payne, Inc. (c) | | | 21,000 | | | | | | 566,160 | |
HollyFrontier Corp. | | | 16,500 | | | | | | 590,370 | |
Imperial Oil Ltd. | | | 100 | | | | | | 2,418 | |
Kosmos Energy Ltd. (a) | | | 46,500 | | | | | | 142,755 | |
Laredo Petroleum, Inc. (a) | | | 650 | | | | | | 19,539 | |
Magnolia Oil & Gas Corp., Class A (a) | | | 38,900 | | | | | | 446,572 | |
Mammoth Energy Services, Inc. (a) | | | 2,600 | | | | | | 13,832 | |
Marathon Oil Corp. | | | 40,200 | | | | | | 429,336 | |
Matador Resources Co. | | | 24,500 | | | | | | 574,525 | |
Matrix Service Co. (a) | | | 1,000 | | | | | | 13,110 | |
MRC Global, Inc. (a) | | | 8,600 | | | | | | 77,658 | |
Murphy Oil Corp. | | | 1,700 | | | | | | 27,897 | |
Nabors Industries Ltd. (a) | | | 684 | | | | | | 63,920 | |
Natural Gas Services Group, Inc. (a) | | | 900 | | | | | | 8,496 | |
Newpark Resources, Inc. (a) | | | 15,000 | | | | | | 47,100 | |
NexTier Oilfield Solutions, Inc. (a) | | | 7,046 | | | | | | 26,211 | |
Nine Energy Service, Inc. (a) | | | 200 | | | | | | 460 | |
Northern Oil and Gas, Inc. (a) | | | 4,810 | | | | | | 58,105 | |
NOV, Inc. (a) | | | 1,800 | | | | | | 24,696 | |
NOW, Inc. (a) | | | 14,500 | | | | | | 146,305 | |
Oasis Petroleum, Inc. | | | 200 | | | | | | 11,878 | |
Occidental Petroleum Corp. | | | 38 | | | | | | 1,012 | |
Oceaneering International, Inc. (a) | | | 9,600 | | | | | | 109,632 | |
Oil States International, Inc. (a) | | | 13,400 | | | | | | 80,802 | |
Ovintiv, Inc. | | | 55,318 | | | | | | 1,317,675 | |
Patterson-UTI Energy, Inc. | | | 39,000 | | | | | | 278,070 | |
PBF Energy, Inc., Class A (a) | | | 16,000 | | | | | | 226,400 | |
PDC Energy, Inc. (a) | | | 5,884 | | | | | | 202,410 | |
Penn Virginia Corp. (a) | | | 1,800 | | | | | | 24,120 | |
PHX Minerals, Inc. (a) | | | 1,500 | | | | | | 4,305 | |
Pioneer Natural Resources Co. (c) | | | 12,844 | | | | | | 2,039,884 | |
Range Resources Corp. (a) | | | 713 | | | | | | 7,365 | |
Ring Energy, Inc. (a) | | | 1,700 | | | | | | 3,927 | |
RPC, Inc. (a) | | | 3,300 | | | | | | 17,820 | |
SandRidge Energy, Inc. (a) | | | 4,800 | | | | | | 18,768 | |
Select Energy Services, Inc., Class A (a) | | | 900 | | | | | | 4,482 | |
SM Energy Co. | | | 25,200 | | | | | | 412,524 | |
Suncor Energy, Inc. | | | 400 | | | | | | 8,360 | |
Targa Resources Corp. | | | 36,400 | | | | | | 1,155,700 | |
TC Energy Corp. | | | 300 | | | | | | 13,725 | |
TETRA Technologies, Inc. (a) | | | 8,000 | | | | | | 19,200 | |
Thermon Group Holdings, Inc. (a) | | | 200 | | | | | | 3,898 | |
Transocean Ltd. (a) | | | 135,433 | | | | | | 480,787 | |
TravelCenters of America, Inc. (a) | | | 440 | | | | | | 11,937 | |
US Silica Holdings, Inc. (a) | | | 2,800 | | | | | | 34,412 | |
See Notes to Consolidated Financial Statements.
40
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | |
Security Description | | Shares | | | | | Value | |
VAALCO Energy, Inc. (a) | | | 1,400 | | | | | $ | 3,136 | |
Vermilion Energy, Inc. (a) | | | 13,200 | | | | | | 96,096 | |
W&T Offshore, Inc. (a) | | | 6,700 | | | | | | 24,053 | |
Whiting Petroleum Corp. (a) | | | 2,200 | | | | | | 77,990 | |
| | | | | | | | | | |
| | | | | | | | | 17,482,600 | |
| | | | | | | | | | |
Private Equity — 0.0% | | | | | | | | | | |
Millennium Equity Private Equity (a),(b),(d) | | | 60,879 | | | | | | 1,248,019 | |
| | | | | | | | | | |
Real Estate — 0.3% | | | | | | | | | | |
Agree Realty Corp. | | | 3,200 | | | | | | 215,392 | |
Alexander & Baldwin, Inc. | | | 300 | | | | | | 5,037 | |
Alpine Income Property Trust, Inc. | | | 1,400 | | | | | | 24,304 | |
Apartment Investment and Management Co., Class A | | | 12,000 | | | | | | 73,680 | |
Armada Hoffler Properties, Inc. | | | 300 | | | | | | 3,762 | |
AvalonBay Communities, Inc. (b),(c) | | | 254 | | | | | | 46,866 | |
Bluerock Residential Growth REIT, Inc. | | | 300 | | | | | | 3,033 | |
Boston Properties, Inc. (b),(c) | | | 272 | | | | | | 27,543 | |
Braemar Hotels & Resorts, Inc. (a) | | | 78 | | | | | | 473 | |
CareTrust REIT, Inc. | | | 3,400 | | | | | | 79,169 | |
Cedar Realty Trust, Inc. | | | 684 | | | | | | 10,192 | |
City Office REIT, Inc. | | | 1,300 | | | | | | 13,806 | |
Colliers International Group, Inc. | | | 200 | | | | | | 19,648 | |
Colony Capital, Inc. (a) | | | 62,179 | | | | | | 402,920 | |
CoreCivic, Inc. (a) | | | 300 | | | | | | 2,715 | |
CorEnergy Infrastructure Trust, Inc. | | | 2,800 | | | | | | 19,796 | |
CorePoint Lodging, Inc. (a) | | | 300 | | | | | | 2,709 | |
CTO Realty Growth, Inc. | | | 200 | | | | | | 10,402 | |
CubeSmart | | | 100 | | | | | | 3,783 | |
Digital Realty Trust, Inc. (b),(c) | | | 511 | | | | | | 71,969 | |
EPR Properties (a),(c),(b) | | | 133,475 | | | | | | 3,480,644 | |
Equinix, Inc. (b),(c) | | | 128 | | | | | | 86,987 | |
Equity LifeStyle Properties, Inc. | | | 8,700 | | | | | | 553,668 | |
Equity Residential (b),(c) | | | 739 | | | | | | 52,935 | |
Essex Property Trust, Inc. (b),(c) | | | 2,643 | | | | | | 718,473 | |
First Industrial Realty Trust, Inc. | | | 4,800 | | | | | | 219,792 | |
Four Corners Property Trust, Inc. | | | 100 | | | | | | 2,740 | |
Gaming and Leisure Properties, Inc. | | | 12,938 | | | | | | 548,959 | |
Geo Group, Inc. (The) | | | 15,700 | | | | | | 121,832 | |
Getty Realty Corp. | | | 900 | | | | | | 25,488 | |
Gladstone Commercial Corp. | | | 600 | | | | | | 11,736 | |
Gladstone Land Corp. | | | 1,100 | | | | | | 20,130 | |
Global Medical REIT, Inc. | | | 2,200 | | | | | | 28,842 | |
Healthcare Trust of America, Inc., Class A | | | 400 | | | | | | 11,032 | |
Healthpeak Properties, Inc. (b),(c) | | | 2,286 | | | | | | 72,558 | |
Host Hotels & Resorts, Inc. (b),(a),(c) | | | 2,679 | | | | | | 45,141 | |
Invitation Homes, Inc. | | | 4,400 | | | | | | 140,756 | |
See Notes to Consolidated Financial Statements.
41
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | |
Security Description | | Shares | | | | | Value | |
iStar Financial, Inc. | | | 1,600 | | | | | $ | 28,448 | |
JBG SMITH Properties (b),(c) | | | 102 | | | | | | 3,243 | |
Lexington Realty Trust | | | 500 | | | | | | 5,555 | |
Macerich Co. (The) | | | 11,200 | | | | | | 131,040 | |
McGrath RentCorp | | | 1,000 | | | | | | 80,650 | |
National Health Investors, Inc. | | | 3,400 | | | | | | 245,752 | |
National Retail Properties, Inc. (c) | | | 7,200 | | | | | | 317,304 | |
Newmark Group, Inc., Class A | | | 4,500 | | | | | | 45,022 | |
Omega Healthcare Investors, Inc. | | | 8,947 | | | | | | 327,729 | |
Outfront Media, Inc. (a) | | | 3,500 | | | | | | 76,405 | |
Park Hotels & Resorts, Inc. (a) | | | 7,212 | | | | | | 155,635 | |
Plymouth Industrial REIT, Inc. | | | 100 | | | | | | 1,685 | |
Postal Realty Trust, Inc. | | | 100 | | | | | | 1,718 | |
Preferred Apartment Communities, Inc., Class A | | | 300 | | | | | | 2,955 | |
Prologis, Inc. (b),(c) | | | 1,049 | | | | | | 111,194 | |
Public Storage (b),(c) | | | 993 | | | | | | 245,033 | |
QTS Realty Trust, Inc., Class A | | | 1,200 | | | | | | 74,448 | |
Realogy Holdings Corp. (a) | | | 15,700 | | | | | | 237,541 | |
Realty Income Corp. (b),(c) | | | 3,922 | | | | | | 249,047 | |
Redfin Corp. (a) | | | 100 | | | | | | 6,659 | |
Retail Opportunity Investments Corp. | | | 8,100 | | | | | | 128,547 | |
Retail Value, Inc. | | | 125 | | | | | | 2,339 | |
RMR Group, Inc. (The), Class A | | | 400 | | | | | | 16,324 | |
SBA Communications Corp. (c) | | | 6,900 | | | | | | 1,915,095 | |
Simon Property Group, Inc. (b),(c) | | | 604 | | | | | | 68,717 | |
SITE Centers Corp. | | | 6,600 | | | | | | 89,496 | |
Spirit Realty Capital, Inc. | | | 9,100 | | | | | | 386,750 | |
Summit Hotel Properties, Inc. (a) | | | 1,500 | | | | | | 15,240 | |
UDR, Inc. (a) | | | 200 | | | | | | 8,772 | |
Uniti Group, Inc. | | | 7,900 | | | | | | 87,137 | |
Ventas, Inc. (b),(c) | | | 686 | | | | | | 36,591 | |
VEREIT, Inc. | | | 9,339 | | | | | | 360,672 | |
VICI Properties, Inc. | | | 1,600 | | | | | | 45,184 | |
Vornado Realty Trust (b),(c) | | | 313 | | | | | | 14,207 | |
Washington Prime Group, Inc. (a) | | | 845 | | | | | | 1,884 | |
Welltower, Inc. (b),(c) | | | 698 | | | | | | 49,998 | |
Wheeler Real Estate Investment Trust, Inc. (a) | | | 900 | | | | | | 3,375 | |
WP Carey, Inc. | | | 3,400 | | | | | | 240,584 | |
| | | | | | | | | | |
| | | | | | | | | 12,996,887 | |
| | | | | | | | | | |
Recreation Facilities & Services — 0.0% | | | | |
Cinemark Holdings, Inc. (a) | | | 26,000 | | | | | | 530,660 | |
Planet Fitness, Inc., Class A (a) | | | 3,700 | | | | | | 286,010 | |
| | | | | | | �� | | | |
| | | | | | | | | 816,670 | |
| | | | | | | | | | |
Renewable Energy — 0.1% | | | | |
Green Plains, Inc. (a) | | | 3,900 | | | | | | 105,573 | |
See Notes to Consolidated Financial Statements.
42
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | |
Security Description | | Shares | | | | | Value | |
Plug Power, Inc. (a) | | | 26,400 | | | | | $ | 946,176 | |
Sunnova Energy International, Inc. (a) | | | 1,100 | | | | | | 44,902 | |
Sunrun, Inc. (a),(c) | | | 30,585 | | | | | | 1,849,781 | |
| | | | | | | | | | |
| | | | | | | | | 2,946,432 | |
| | | | | | | | | | |
Retail & Wholesale—Staples — 0.1% | | | | |
Blue Apron Holdings, Inc., Class A (a) | | | 1,600 | | | | | | 10,096 | |
Chefs’ Warehouse, Inc. (a) | | | 4,800 | | | | | | 146,208 | |
Ollie’s Bargain Outlet Holdings, Inc. (a) | | | 2,700 | | | | | | 234,900 | |
OptimizeRx Corp. (a) | | | 2,800 | | | | | | 136,500 | |
Target Corp. (a),(c) | | | 15,900 | | | | | | 3,149,313 | |
US Foods Holding Corp. (a) | | | 8,000 | | | | | | 304,960 | |
| | | | | | | | | | |
| | | | | | | | | 3,981,977 | |
| | | | | | | | | | |
Retail—Discretionary — 0.8% | | | | |
Amazon.com, Inc. (a),(b),(c) | | | 1,142 | | | | | | 3,533,440 | |
American Eagle Outfitters, Inc. | | | 100 | | | | | | 2,924 | |
At Home Group, Inc. (a) | | | 14,300 | | | | | | 410,410 | |
AutoZone, Inc. (a) | | | 200 | | | | | | 280,860 | |
Avis Budget Group, Inc. (a) | | | 13,900 | | | | | | 1,008,306 | |
Barnes & Noble Education, Inc. (a) | | | 600 | | | | | | 4,884 | |
Bassett Furniture Industries, Inc. | | | 1,100 | | | | | | 26,697 | |
Best Buy Co., Inc. (c) | | | 10,700 | | | | | | 1,228,467 | |
BlueLinx Holdings, Inc. (a) | | | 2,000 | | | | | | 78,380 | |
Boot Barn Holdings, Inc. (a) | | | 1,000 | | | | | | 62,310 | |
Build-A-Bear Workshop, Inc. (a) | | | 1,300 | | | | | | 8,970 | |
Caleres, Inc. | | | 400 | | | | | | 8,720 | |
Chewy, Inc., Class A (a) | | | 2,100 | | | | | | 177,891 | |
Children’s Place, Inc. (a) | | | 2,600 | | | | | | 181,220 | |
Citi Trends, Inc. (a) | | | 2,200 | | | | | | 184,316 | |
Conn’s, Inc. (a) | | | 6,000 | | | | | | 116,700 | |
Container Store Group, Inc. (The) (a) | | | 1,300 | | | | | | 21,632 | |
Dick’s Sporting Goods, Inc. | | | 14,400 | | | | | | 1,096,560 | |
Duluth Holdings, Inc., Class B (a) | | | 900 | | | | | | 15,246 | |
eBay, Inc. (c) | | | 43,800 | | | | | | 2,682,312 | |
Ethan Allen Interiors, Inc. | | | 100 | | | | | | 2,761 | |
Etsy, Inc. (a),(c) | | | 14,200 | | | | | | 2,863,714 | |
Floor & Decor Holdings, Inc., Class A (a) | | | 600 | | | | | | 57,288 | |
Foot Locker, Inc. | | | 17,400 | | | | | | 978,750 | |
Gaia, Inc. (a) | | | 1,500 | | | | | | 17,835 | |
Gap, Inc. | | | 72,200 | | | | | | 2,150,116 | |
GMS, Inc. (a) | | | 200 | | | | | | 8,350 | |
Hibbett Sports, Inc. (a) | | | 1,500 | | | | | | 103,335 | |
Hudson Technologies, Inc. (a) | | | 200 | | | | | | 322 | |
Kirkland’s, Inc. (a) | | | 3,100 | | | | | | 87,110 | |
Kohl’s Corp. | | | 31,600 | | | | | | 1,883,676 | |
See Notes to Consolidated Financial Statements.
43
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | |
Security Description | | Shares | | | | | Value | |
L Brands, Inc. (a) | | | 3,300 | | | | | $ | 204,138 | |
Liquidity Services, Inc. (a) | | | 1,400 | | | | | | 26,012 | |
Lowe’s Cos., Inc. (c) | | | 28,000 | | | | | | 5,325,040 | |
Lumber Liquidators Holdings, Inc. (a) | | | 500 | | | | | | 12,560 | |
Macy’s, Inc. (a) | | | 8,700 | | | | | | 140,853 | |
Michaels Cos., Inc. (The) (a) | | | 31,100 | | | | | | 682,334 | |
National Vision Holdings, Inc. (a) | | | 100 | | | | | | 4,383 | |
Nordstrom, Inc. (a) | | | 8,000 | | | | | | 302,960 | |
O’Reilly Automotive, Inc. (a),(c) | | | 4,000 | | | | | | 2,029,000 | |
Party City Holdco, Inc. (a) | | | 24,300 | | | | | | 140,940 | |
Poshmark, Inc., Class A (a) | | | 300 | | | | | | 12,180 | |
Qurate Retail, Inc., Class A | | | 28,334 | | | | | | 333,208 | |
RealReal, Inc. (The) (a) | | | 2,700 | | | | | | 61,101 | |
Revolve Group, Inc. (a) | | | 5,000 | | | | | | 224,650 | |
ScanSource, Inc. (a) | | | 100 | | | | | | 2,995 | |
Shoe Carnival, Inc. (a) | | | 1,097 | | | | | | 67,882 | |
Signet Jewelers Ltd. (a) | | | 600 | | | | | | 34,788 | |
Sonic Automotive, Inc., Class A | | | 100 | | | | | | 4,957 | |
Sportsman’s Warehouse Holdings, Inc. (a) | | | 9,400 | | | | | | 162,056 | |
Tilly’s, Inc., Class A (a) | | | 700 | | | | | | 7,924 | |
TJX Cos., Inc. | | | 17,100 | | | | | | 1,131,165 | |
Tractor Supply Co. | | | 10,500 | | | | | | 1,859,340 | |
Turmeric Acquisition Corp. (a),(b),(c) | | | 202,705 | | | | | | 2,027,050 | |
Vera Bradley, Inc. (a) | | | 5,200 | | | | | | 52,520 | |
Veritiv Corp. (a) | | | 1,200 | | | | | | 51,048 | |
Wayfair, Inc., Class A (a),(c) | | | 14,200 | | | | | | 4,469,450 | |
Williams-Sonoma, Inc. (a) | | | 1,000 | | | | | | 179,200 | |
Zumiez, Inc. (a) | | | 200 | | | | | | 8,580 | |
| | | | | | | | | | |
| | | | | | | | | 38,841,816 | |
| | | | | | | | | | |
Semiconductors — 0.0% | | | | | | | | | | |
Alpha & Omega Semiconductor Ltd. (a) | | | 700 | | | | | | 22,890 | |
Ambarella, Inc. (a) | | | 2,300 | | | | | | 230,897 | |
AXT, Inc. (a) | | | 3,000 | | | | | | 34,980 | |
DSP Group, Inc. (a) | | | 2,000 | | | | | | 28,500 | |
MACOM Technology Solutions Holdings, Inc. (a) | | | 432 | | | | | | 25,065 | |
MaxLinear, Inc., Class A (a) | | | 7,000 | | | | | | 238,560 | |
NeoPhotonics Corp. (a) | | | 7,600 | | | | | | 90,820 | |
Pixelworks, Inc. (a) | | | 10,800 | | | | | | 35,748 | |
| | | | | | | | | | |
| | | | | | | | | 707,460 | |
| | | | | | | | | | |
Software — 0.4% | | | | | | | | | | |
Agilysys, Inc. (a) | | | 300 | | | | | | 14,388 | |
Alteryx, Inc., Class A (a) | | | 1,500 | | | | | | 124,440 | |
Avaya Holdings Corp. (a) | | | 18,200 | | | | | | 510,146 | |
Avid Technology, Inc. (a) | | | 8,200 | | | | | | 173,102 | |
See Notes to Consolidated Financial Statements.
44
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | |
Security Description | | Shares | | | | | Value | |
Benefitfocus, Inc. (a) | | | 5,800 | | | | | $ | 80,098 | |
Black Knight, Inc. (a) | | | 7,400 | | | | | | 547,526 | |
Blackline, Inc. (a),(c) | | | 2,200 | | | | | | 238,480 | |
Box, Inc., Class A (a),(c) | | | 30,200 | | | | | | 693,392 | |
Brightcove, Inc. (a) | | | 6,400 | | | | | | 128,768 | |
Calix, Inc. (a) | | | 3,800 | | | | | | 131,708 | |
Castlight Health, Inc., Class B (a) | | | 12,900 | | | | | | 19,479 | |
Ceridian HCM Holding, Inc. (a) | | | 900 | | | | | | 75,843 | |
Cornerstone OnDemand, Inc. (a),(c) | | | 7,000 | | | | | | 305,060 | |
Covetrus, Inc. (a) | | | 1,300 | | | | | | 38,961 | |
Crowdstrike Holdings, Inc. (a),(c) | | | 31,200 | | | | | | 5,694,312 | |
Donnelley Financial Solutions, Inc. (a) | | | 1,100 | | | | | | 30,613 | |
Dropbox, Inc., Class A (a) | | | 22,700 | | | | | | 605,182 | |
eGain Corp. (a) | | | 6,800 | | | | | | 64,532 | |
Evolent Health, Inc., Class A (a) | | | 11,600 | | | | | | 234,320 | |
FireEye, Inc. (a) | | | 28,600 | | | | | | 559,702 | |
Limelight Networks, Inc. (a) | | | 27,300 | | | | | | 97,461 | |
Mimecast Ltd. (a) | | | 2,900 | | | | | | 116,609 | |
New Relic, Inc. (a),(c) | | | 10,300 | | | | | | 633,244 | |
NextGen Healthcare, Inc. (a) | | | 2,300 | | | | | | 41,630 | |
Nutanix, Inc., Class A (a) | | | 6,800 | | | | | | 180,608 | |
Paylocity Holding Corp. (a),(c) | | | 4,500 | | | | | | 809,235 | |
Phreesia, Inc. (a) | | | 1,300 | | | | | | 67,730 | |
PROS Holdings, Inc. (a) | | | 4,400 | | | | | | 187,000 | |
QAD, Inc., Class A | | | 300 | | | | | | 19,974 | |
SecureWorks Corp., Class A (a) | | | 1,500 | | | | | | 20,070 | |
SPS Commerce, Inc. (a) | | | 1,000 | | | | | | 99,310 | |
SVMK, Inc. (a) | | | 12,000 | | | | | | 219,840 | |
Synchronoss Technologies, Inc. (a) | | | 700 | | | | | | 2,499 | |
Tenable Holdings, Inc. (a) | | | 900 | | | | | | 32,566 | |
Teradata Corp. (a),(c) | | | 15,100 | | | | | | 581,954 | |
Upland Software, Inc. (a) | | | 200 | | | | | | 9,438 | |
Verra Mobility Corp. (a) | | | 14,400 | | | | | | 194,904 | |
Workiva, Inc. (a) | | | 3,100 | | | | | | 273,606 | |
Zoom Video Communications, Inc., Class A (a),(c) | | | 8,100 | | | | | | 2,602,449 | |
Zovio, Inc. (a) | | | 3,400 | | | | | | 13,804 | |
Zscaler, Inc. (a),(c) | | | 14,600 | | | | | | 2,506,382 | |
| | | | | | | | | | |
| | | | | | | | | 18,980,365 | |
| | | | | | | | | | |
Software & Technology Services — 0.5% | | | | | | | | | | |
1Life Healthcare, Inc. (a) | | | 10,900 | | | | | | 425,972 | |
8x8, Inc. (a) | | | 15,700 | | | | | | 509,308 | |
Altair Engineering, Inc., Class A (a) | | | 200 | | | | | | 12,514 | |
Amdocs Ltd. (a) | | | 400 | | | | | | 28,060 | |
Apollo Medical Holdings, Inc. (a) | | | 100 | | | | | | 2,709 | |
Aspen Technology, Inc. (a) | | | 900 | | | | | | 129,897 | |
See Notes to Consolidated Financial Statements.
45
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | |
Security Description | | Shares | | | | | Value | |
Asure Software, Inc. (a) | | | 1,000 | | | | | $ | 7,640 | |
Atlassian Corp. PLC, Class A (a) | | | 100 | | | | | | 21,076 | |
BigCommerce Holdings, Inc. (a) | | | 100 | | | | | | 5,780 | |
Bill.com Holdings, Inc. (a) | | | 700 | | | | | | 101,850 | |
Blackbaud, Inc. (a) | | | 300 | | | | | | 21,324 | |
Cardtronics plc, Class A (a) | | | 5,900 | | | | | | 228,920 | |
Cass Information Systems, Inc. | | | 200 | | | | | | 9,254 | |
Cerner Corp. | | | 32,700 | | | | | | 2,350,476 | |
Change Healthcare, Inc. (a) | | | 100 | | | | | | 2,210 | |
ChannelAdvisor Corp. (a) | | | 2,900 | | | | | | 68,295 | |
Conduent, Inc. (a) | | | 46,100 | | | | | | 307,026 | |
ContextLogic, Inc., Class A (a) | | | 2,100 | | | | | | 33,180 | |
CyberArk Software Ltd. (a) | | | 3,400 | | | | | | 439,756 | |
Digi International, Inc. (a) | | | 600 | | | | | | 11,394 | |
Digimarc Corp. (a) | | | 100 | | | | | | 2,966 | |
Domo, Inc., Class B (a) | | | 5,800 | | | | | | 326,482 | |
Dynatrace, Inc. (a) | | | 16,800 | | | | | | 810,432 | |
Ebix, Inc. | | | 1,900 | | | | | | 60,857 | |
Equifax, Inc. | | | 2,000 | | | | | | 362,260 | |
Evertec, Inc. | | | 200 | | | | | | 7,444 | |
Evo Payments, Inc., Class A (a) | | | 200 | | | | | | 5,504 | |
FactSet Research Systems, Inc. | | | 700 | | | | | | 216,013 | |
FleetCor Technologies, Inc. (a) | | | 700 | | | | | | 188,041 | |
Fortinet, Inc. (a) | | | 1,200 | | | | | | 221,304 | |
GreenSky, Inc., Class A (a) | | | 1,300 | | | | | | 8,047 | |
Guidewire Software, Inc. (a) | | | 6,300 | | | | | | 640,269 | |
HubSpot, Inc. (a) | | | 2,000 | | | | | | 908,420 | |
I3 Verticals, Inc., Class A (a) | | | 400 | | | | | | 12,450 | |
Immersion Corp. (a) | | | 6,300 | | | | | | 60,354 | |
International Business Machines Corp. | | | 4,700 | | | | | | 626,322 | |
Jack Henry & Associates, Inc. | | | 500 | | | | | | 75,860 | |
LivePerson, Inc. (a) | | | 4,200 | | | | | | 221,508 | |
Manhattan Associates, Inc. (a) | | | 100 | | | | | | 11,738 | |
MedAvail Holdings, Inc. (a) | | | 100 | | | | | | 1,400 | |
Microsoft Corp. (b),(c) | | | 26,700 | | | | | | 6,295,059 | |
Mitek Systems, Inc. (a) | | | 300 | | | | | | 4,374 | |
Model N, Inc. (a) | | | 5,700 | | | | | | 200,811 | |
Open Lending Corp., Class A (a) | | | 600 | | | | | | 21,252 | |
Oscar Health, Inc., Class A (a) | | | 100 | | | | | | 2,688 | |
PAE, Inc. (a) | | | 1,800 | | | | | | 16,236 | |
Palo Alto Networks, Inc. (a),(c) | | | 5,800 | | | | | | 1,867,948 | |
Paya Holdings, Inc., Class A (a) | | | 500 | | | | | | 5,480 | |
PDF Solutions, Inc. (a) | | | 2,400 | | | | | | 42,672 | |
PFSweb, Inc. (a) | | | 800 | | | | | | 5,400 | |
Rapid7, Inc. (a) | | | 2,900 | | | | | | 216,369 | |
SailPoint Technologies Holding, Inc. (a) | | | 900 | | | | | | 45,576 | |
Slack Technologies, Inc., Class A (a) | | | 17,800 | | | | | | 723,214 | |
See Notes to Consolidated Financial Statements.
46
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | |
Security Description | | Shares | | | | | Value | |
Smith Micro Software, Inc. (a) | | | 900 | | | | | $ | 4,954 | |
Splunk, Inc. (a),(c) | | | 14,300 | | | | | | 1,937,364 | |
Sprout Social, Inc., Class A (a) | | | 2,500 | | | | | | 144,400 | |
Square, Inc, Class A (a),(c) | | | 6,800 | | | | | | 1,543,940 | |
Synacor, Inc. (a) | | | 2,000 | | | | | | 4,380 | |
Varonis Systems, Inc. (a) | | | 9,000 | | | | | | 462,060 | |
Veeva Systems, Inc., Class A (a) | | | 200 | | | | | | 52,248 | |
Verint Systems, Inc. (a) | | | 200 | | | | | | 9,098 | |
Veritone, Inc. (a) | | | 5,800 | | | | | | 139,084 | |
VMware, Inc., Class A (a) | | | 16,200 | | | | | | 2,437,290 | |
Western Union Co. (The) | | | 27,400 | | | | | | 675,684 | |
Zedge, Inc., Class B (a) | | | 200 | | | | | | 2,420 | |
Zendesk, Inc. (a) | | | 1,900 | | | | | | 251,978 | |
| | | | | | | | | | |
| | | | | | | | | 26,596,291 | |
| | | | | | | | | | |
Specialty Finance — 0.2% | | | | | | | | | | |
Ares Commercial Real Estate Corp. | | | 7,100 | | | | | | 97,412 | |
Capstead Mortgage Corp. | | | 7,800 | | | | | | 48,594 | |
Colony Credit Real Estate, Inc. | | | 500 | | | | | | 4,260 | |
Curo Group Holdings Corp. | | | 3,200 | | | | | | 46,688 | |
Elevate Credit, Inc. (a) | | | 1,300 | | | | | | 3,796 | |
Enova International, Inc. (a) | | | 2,539 | | | | | | 90,084 | |
Fidelity National Financial, Inc. (c) | | | 21,017 | | | | | | 854,551 | |
First American Financial Corp. | | | 11,500 | | | | | | 651,475 | |
Great Ajax Corp. | | | 200 | | | | | | 2,180 | |
Green Dot Corp., Class A (a) | | | 8,300 | | | | | | 380,057 | |
Invesco Mortgage Capital, Inc. (a) | | | 50,700 | | | | | | 203,307 | |
LendingClub Corp. (a) | | | 5,200 | | | | | | 85,904 | |
LendingTree, Inc. (a) | | | 1,700 | | | | | | 362,100 | |
MFA Financial, Inc. | | | 87,600 | | | | | | 356,532 | |
Navient Corp. | | | 2,000 | | | | | | 28,620 | |
NewStar Financial, Inc. (a) | | | 100 | | | | | | 0 | |
Orchid Island Capital, Inc. | | | 20,700 | | | | | | 124,407 | |
PayPal Holdings, Inc. (a) | | | 900 | | | | | | 218,556 | |
Paysign, Inc. (a) | | | 1,000 | | | | | | 4,370 | |
PennyMac Mortgage Investment Trust (a) | | | 200 | | | | | | 3,920 | |
Premier Financial Corp. | | | 1,448 | | | | | | 48,160 | |
Ready Capital Corp. (a) | | | 1,026 | | | | | | 13,769 | |
SLM Corp. | | | 8,000 | | | | | | 143,760 | |
Starwood Property Trust, Inc. | | | 10,200 | | | | | | 252,348 | |
TPG RE Finance Trust, Inc. | | | 7,900 | | | | | | 88,480 | |
Two Harbors Investment Corp. | | | 60,200 | | | | | | 441,266 | |
Visa, Inc., Class A(c) | | | 33,700 | | | | | | 7,135,301 | |
Western Asset Mortgage Capital Corp. | | | 13,300 | | | | | | 42,427 | |
| | | | | | | | | | |
| | | | | | | | | 11,732,324 | |
| | | | | | | | | | |
See Notes to Consolidated Financial Statements.
47
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | |
Security Description | | Shares | | | | | Value | |
Tech Hardware & Semiconductors — 0.2% | | | | | | | | | | |
A10 Networks, Inc. (a) | | | 10,300 | | | | | $ | 98,983 | |
Akoustis Technologies, Inc. (a) | | | 1,300 | | | | | | 17,342 | |
Amkor Technology, Inc. | | | 10,100 | | | | | | 239,471 | |
Amtech Systems, Inc. (a) | | | 700 | | | | | | 8,274 | |
Analog Devices, Inc. | | | 1,100 | | | | | | 170,588 | |
Apple, Inc. | | | 14,500 | | | | | | 1,771,175 | |
Applied Optoelectronics, Inc. (a) | | | 100 | | | | | | 836 | |
Arlo Technologies, Inc. (a) | | | 13,000 | | | | | | 81,640 | |
Avnet, Inc. (c) | | | 6,900 | | | | | | 286,419 | |
Axcelis Technologies, Inc. (a) | | | 2,950 | | | | | | 121,216 | |
Ballantyne Strong, Inc. (a) | | | 100 | | | | | | 261 | |
CalAmp Corp. (a) | | | 2,300 | | | | | | 24,955 | |
Cambium Networks Corp. (a) | | | 1,900 | | | | | | 88,768 | |
Cirrus Logic, Inc. (a) | | | 100 | | | | | | 8,479 | |
Cohu, Inc. (a) | | | 600 | | | | | | 25,104 | |
Comtech Telecommunications Corp. | | | 1,000 | | | | | | 24,840 | |
Cree, Inc. (a) | | | 2,400 | | | | | | 259,512 | |
Daktronics, Inc. (a) | | | 1,400 | | | | | | 8,778 | |
Diebold Nixdorf, Inc. (a) | | | 3,400 | | | | | | 48,042 | |
DZS, Inc. (a) | | | 500 | | | | | | 7,775 | |
eMagin Corp. (a) | | | 700 | | | | | | 2,618 | |
EMCORE Corp. (a) | | | 3,200 | | | | | | 17,472 | |
Everspin Technologies, Inc. (a) | | | 800 | | | | | | 4,800 | |
Harmonic, Inc. (a) | | | 8,600 | | | | | | 67,424 | |
Impinj, Inc. (a) | | | 4,500 | | | | | | 255,915 | |
Inseego Corp. (a) | | | 100 | | | | | | 1,000 | |
Intel Corp. | | | 600 | | | | | | 38,400 | |
Intellicheck, Inc. (a) | | | 100 | | | | | | 838 | |
Juniper Networks, Inc. | | | 3,100 | | | | | | 78,523 | |
Knowles Corp. (a) | | | 600 | | | | | | 12,552 | |
Maxim Integrated Products, Inc. (a) | | | 100 | | | | | | 9,137 | |
Motorola Solutions, Inc. | | | 600 | | | | | | 112,830 | |
NCR Corp. (a) | | | 1,800 | | | | | | 68,310 | |
O2Micro International Ltd., ADR (a) | | | 200 | | | | | | 1,564 | |
Photronics, Inc. (a) | | | 5,700 | | | | | | 73,302 | |
Pitney Bowes, Inc. | | | 900 | | | | | | 7,416 | |
Powerfleet, Inc. (a) | | | 600 | | | | | | 4,932 | |
QUALCOMM, Inc. | | | 21,200 | | | | | | 2,810,908 | |
Quantum Corp. (a) | | | 200 | | | | | | 1,666 | |
Rambus, Inc. (a) | | | 8,000 | | | | | | 155,520 | |
Resonant, Inc. (a) | | | 600 | | | | | | 2,544 | |
Summit Wireless Technologies, Inc. (a) | | | 2,400 | | | | | | 7,416 | |
Teradyne, Inc. | | | 300 | | | | | | 36,504 | |
TTM Technologies, Inc. (a) | | | 16,400 | | | | | | 237,800 | |
Turtle Beach Corp. (a) | | | 1,700 | | | | | | 45,339 | |
See Notes to Consolidated Financial Statements.
48
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | |
Security Description | | Shares | | | | | Value | |
Ultra Clean Holdings, Inc. (a) | | | 500 | | | | | $ | 29,020 | |
Veeco Instruments, Inc. (a) | | | 8,330 | | | | | | 172,764 | |
Xilinx, Inc. (a) | | | 2,200 | | | | | | 272,580 | |
| | | | | | | | | | |
| | | | | | | | | 7,821,552 | |
| | | | | | | | | | |
Technology Services — 0.0% | | | | | | | | | | |
comScore, Inc. (a) | | | 7,600 | | | | | | 27,816 | |
DXC Technology Co. (a) | | | 18,701 | | | | | | 584,593 | |
Genpact Ltd. (a) | | | 11,000 | | | | | | 471,020 | |
Perficient, Inc. (a) | | | 1,000 | | | | | | 58,720 | |
Sabre Corp. (a) | | | 69,100 | | | | | | 1,023,371 | |
ServiceSource International, Inc. (a) | | | 3,000 | | | | | | 4,410 | |
| | | | | | | | | | |
| | | | | | | | | 2,169,930 | |
| | | | | | | | | | |
Telecommunications — 0.1% | | | | | | | | | | |
AT&T, Inc. (a),(c) | | | 212,200 | | | | | | 6,423,294 | |
EchoStar Corp., Class A (a) | | | 3,300 | | | | | | 79,200 | |
ESC NII Holdings, Inc. (a) | | | 50,677 | | | | | | 109,969 | |
Gogo, Inc. (a) | | | 5,600 | | | | | | 54,096 | |
HC2 Holdings, Inc. (a) | | | 358 | | | | | | 1,411 | |
IDT Corp., Class B (a) | | | 400 | | | | | | 9,064 | |
Ooma, Inc. (a) | | | 2,100 | | | | | | 33,285 | |
ORBCOMM, Inc. (a) | | | 4,700 | | | | | | 35,861 | |
Rogers Communications, Inc., B Shares | | | 300 | | | | | | 13,830 | |
Spok Holdings, Inc. | | | 900 | | | | �� | | 9,441 | |
Switch, Inc., Class A(c) | | | 16,300 | | | | | | 265,038 | |
TELUS Corp. | | | 1,000 | | | | | | 19,930 | |
Vonage Holdings Corp. (a) | | | 200 | | | | | | 2,364 | |
| | | | | | | | | | |
| | | | | | | | | 7,056,783 | |
| | | | | | | | | | |
Transportation & Logistics — 0.0% | | | | | | | | | | |
Atlas Corp. (a) | | | 22 | | | | | | 300 | |
Covenant Transportation Group, Inc., Class A (a) | | | 1,500 | | | | | | 30,885 | |
Genco Shipping & Trading Ltd. (a) | | | 9,200 | | | | | | 92,736 | |
Overseas Shipholding Group, Inc., Class A (a) | | | 900 | | | | | | 1,854 | |
Radiant Logistics, Inc. (a) | | | 3,700 | | | | | | 25,715 | |
US Xpress Enterprises, Inc., Class A (a) | | | 900 | | | | | | 10,575 | |
| | | | | | | | | | |
| | | | | | | | | 162,065 | |
| | | | | | | | | | |
Utilities — 0.2% | | | | | | | | | | |
Ameren Corp. (b),(c) | | | 3,336 | | | | | | 271,417 | |
American Electric Power Co., Inc. (b),(c) | | | 4,219 | | | | | | 357,349 | |
American Water Works Co., Inc. (b),(c) | | | 1,643 | | | | | | 246,319 | |
Atlantic Power Corp. (a) | | | 6,500 | | | | | | 18,785 | |
Charah Solutions, Inc. (a) | | | 2,000 | | | | | | 9,720 | |
CMS Energy Corp. (b),(c) | | | 18,133 | | | | | | 1,110,102 | |
See Notes to Consolidated Financial Statements.
49
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | | | |
Security Description | | Shares | | | | | | Value | |
Consolidated Water Co. Ltd. (a) | | | 100 | | | | | | | $ | 1,345 | |
Duke Energy Corp. (b),(c) | | | 6,436 | | | | | | | | 621,267 | |
Entergy Corp. (b),(c) | | | 1,776 | | | | | | | | 176,659 | |
Evergy, Inc. (b),(c) | | | 2,871 | | | | | | | | 170,911 | |
Eversource Energy (b),(c) | | | 3,044 | | | | | | | | 263,580 | |
Evoqua Water Technologies Corp. (a) | | | 2,500 | | | | | | | | 65,750 | |
Exelon Corp. (c) | | | 12,800 | | | | | | | | 559,872 | |
FirstEnergy Corp. (b),(c) | | | 16,912 | | | | | | | | 586,677 | |
Hawaiian Electric Industries, Inc. | | | 100 | | | | | | | | 4,443 | |
NextEra Energy, Inc. (b),(c) | | | 9,584 | | | | | | | | 724,646 | |
NiSource, Inc. (b),(a),(c) | | | 5,157 | | | | | | | | 124,335 | |
OGE Energy Corp. | | | 400 | | | | | | | | 12,944 | |
PG&E Corp. (a),(b),(c) | | | 220,374 | | | | | | | | 2,580,580 | |
Pinnacle West Capital Corp. (b),(c) | | | 1,412 | | | | | | | | 114,866 | |
PNM Resources, Inc. (a) | | | 13,400 | | | | | | | | 657,270 | |
Sempra Energy | | | 300 | | | | | | | | 39,774 | |
Southern Co. (b),(c) | | | 10,417 | | | | | | | | 647,521 | |
Vidler Water Resouces, Inc. (a) | | | 100 | | | | | | | | 890 | |
WEC Energy Group, Inc. (b),(c) | | | 3,184 | | | | | | | | 297,991 | |
Xcel Energy, Inc. (b),(c) | | | 2,893 | | | | | | | | 192,413 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 9,857,426 | |
| | | | | | | | | | | | |
Waste & Environmental Services & Equipment — 0.0% | | | | | | | | | | | | |
Heritage-Crystal Clean, Inc. (a) | | | 700 | | | | | | | | 18,991 | |
US Ecology, Inc. (a) | | | 300 | | | | | | | | 12,492 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 31,483 | |
| | | | | | | | | | | | |
Total North America | | | | | | | | | | | 960,017,379 | |
| | | | | | | | | | | | |
South America — 0.0% | | | | | | | | | | | | |
Consumer Staple Products — 0.0% | | | | | | | | | | | | |
BRF SA, ADR (a) | | | 2,300 | | | | | | | | 10,327 | |
| | | | | | | | | | | | |
Materials — 0.0% | | | | | | | | | | | | |
Gerdau SA, ADR | | | 200 | | | | | | | | 1,068 | |
| | | | | | | | | | | | |
Metals & Mining — 0.0% | | | | | | | | | | | | |
Yamana Gold, Inc. | | | 51,200 | | | | | | | | 222,208 | |
| | | | | | | | | | | | |
Oil, Gas & Coal — 0.0% | | | | | | | | | | | | |
Geopark Ltd. (a) | | | 2,200 | | | | | | | | 35,200 | |
Gran Tierra Energy, Inc. (a) | | | 15,900 | | | | | | | | 11,127 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 46,327 | |
| | | | | | | | | | | | |
Software & Technology Services — 0.0% | | | | | | | | | | | | |
Atento SA (a) | | | 319 | | | | | | | | 6,696 | |
| | | | | | | | | | | | |
Total South America | | | | | | | | 286,626 | |
| | | | | | | | | | | | |
TOTAL COMMON STOCK
(COST $959,667,905) | | | | | | | | 1,002,447,671 | |
| | | | | | | | | | | | |
See Notes to Consolidated Financial Statements.
50
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | | | |
Security Description | | Shares | | | | | | Value | |
PREFERRED STOCK — 0.1% | | | | | | | | | | | | |
North America — 0.1% | | | | | | | | | | | | |
Retail—Discretionary — 0.1% | | | | | | | | | | | | |
Guitar Center, Inc. (a),(b),(d) | | | 38,645 | | | | | | | $ | 4,482,820 | |
| | | | | | | | | | | | |
TOTAL PREFERRED STOCK
(COST $4,243,806) | | | | | | | | 4,482,820 | |
| | | | | | | | | | | | |
| | | |
Security Description | | Principal
Amount | | | | | | Value | |
ASSET-BACKED SECURITIES — 3.9% | | | | | | | | | | | | |
North America — 3.9% | | | | | | | | | |
522 Funding CLO Ltd., Series 2020-6A, Class D, 3 mo. USD LIBOR + 3.85%, 4.05%, 10/23/33 (b),(c),(f),(g) | | $ | 1,000,000 | | | | | | | | 1,005,577 | |
ACIS CLO Ltd., Series 2015-6A, Class D, 3 mo. USD LIBOR + 3.77%, 3.98%, 05/01/27 (b),(c),(f),(g) | | | 2,000,000 | | | | | | | | 2,005,146 | |
AIG CLO Ltd., Series 2019-2A, Class E, 3 mo. USD LIBOR + 7.25%, 7.47%, 10/25/32 (b),(c),(f),(g) | | | 250,000 | | | | | | | | 248,185 | |
Alinea CLO Ltd., Series 2018-1A, Class D, 3 mo. USD LIBOR + 3.10%, 3.32%, 07/20/31 (b),(c),(f),(g) | | | 3,500,000 | | | | | | | | 3,480,389 | |
Allegro CLO Ltd., Series 2014-1RA, Class C, 3 mo. USD LIBOR + 3.00%, 3.22%, 10/21/28 (b),(c),(f),(g) | | | 3,000,000 | | | | | | | | 2,914,740 | |
AMMC CLO 22 Ltd., Series 2018-22A, Class D, 3 mo. USD LIBOR + 2.70%, 2.92%, 04/25/31 (b),(c),(f),(g) | | | 750,000 | | | | | | | | 745,863 | |
Arbor Realty Collateralized Loan Obligation Ltd., Series 2020-FL1, Class C, 1 mo. USD LIBOR + 2.05%, 2.16%, 02/15/35 (b),(c),(f),(g) | | | 1,792,000 | | | | | | | | 1,786,930 | |
Ares LIV CLO Ltd., Series 2019-54A, Class E, 3 mo. USD LIBOR + 7.34%, 7.58%, 10/15/32 (b),(c),(f),(g) | | | 250,000 | | | | | | | | 249,139 | |
Ares XLIX CLO Ltd., Series 2018-49A, Class D, 3 mo. USD LIBOR + 3.00%, 3.22%, 07/22/30 (b),(c),(f),(g) | | | 300,000 | | | | | | | | 299,547 | |
Ares XXVII CLO Ltd., Series 2013-2A, Class CR, 3 mo. USD LIBOR + 2.40%, 2.62%, 07/28/29 (b),(c),(f),(g) | | | 250,000 | | | | | | | | 250,269 | |
Avant Loans Funding Trust, | | | | | | | | | | | | |
Series 2019-A, Class C, 4.65%, 04/15/26 (b),(f),(h) | | | 403,000 | | | | | | | | 407,653 | |
Series 2019-B, Class C, 4.54%, 10/15/26 (b),(f),(h) | | | 637,000 | | | | | | | | 646,775 | |
Barings Clo Ltd., Series 2020-2A, Class E2, 3 mo. USD LIBOR + 7.90%, 8.12%, 10/15/33 (b),(c),(f),(g) | | | 1,000,000 | | | | | | | | 999,842 | |
See Notes to Consolidated Financial Statements.
51
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | |
| | | |
Security Description | | Principal
Amount | | | | | Value | |
Birch Grove CLO Ltd., Series 19A, Class D, 3 mo. USD LIBOR + 3.90%, 4.08%, 06/15/31 (b),(c),(f),(g) | | $ | 1,500,000 | | | | | $ | 1,499,964 | |
Black Diamond CLO Ltd., Series 2017-1A, Class C, 3 mo. USD LIBOR + 3.95%, 4.17%, 04/24/29 (b),(c),(f),(g) | | | 2,125,000 | | | | | | 2,086,380 | |
BlueMountain CLO Ltd., Series 2016-2A, Class C1R, 3 mo. USD LIBOR + 4.00%, 4.18%, 08/20/32 (b),(c),(f),(g) | | | 500,000 | | | | | | 500,548 | |
Brookside Mill CLO Ltd., Series 2013-1A, Class DR, 3 mo. USD LIBOR + 2.65%, 2.87%, 01/17/28 (b),(c),(f),(g) | | | 4,000,000 | | | | | | 3,861,032 | |
California Street CLO LP, Series 2012-9A, Class D1R2, 3 mo. USD LIBOR + 3.70%, 3.92%, 07/16/32 (b),(c),(f),(g) | | | 3,000,000 | | | | | | 2,979,258 | |
CarVal CLO II Ltd., Series 2019-1A, Class DR, 3 mo. USD LIBOR + 3.20%, 1.00%, 04/20/32 (b),(c),(f),(g) | | | 1,000,000 | | | | | | 998,497 | |
CarVal CLO Ltd., Series 2019-2A, Class D, 3 mo. USD LIBOR + 3.70%, 3.92%, 07/20/32 (b),(c),(f),(g) | | | 6,000,000 | | | | | | 5,965,116 | |
Catamaran CLO Ltd., Series 2014-1A, Class CR, 3 mo. USD LIBOR + 3.43%, 3.65%, 04/22/30 (b),(c),(f),(g) | | | 3,100,000 | | | | | | 3,041,007 | |
CIFC Funding Ltd., | |
Series 2015-5A, Class CR, 3 mo. USD LIBOR + 2.95%, 3.17%, 10/25/27 (b),(c),(f),(g) | | | 4,000,000 | | | | | | 3,883,824 | |
Series 2016-1A, Class D1R, 3 mo. USD LIBOR + 4.00%, 4.22%, 10/21/31 (b),(c),(f),(g) | | | 1,000,000 | | | | | | 1,001,138 | |
Series 2019-4A, Class C, 3 mo. USD LIBOR + 3.50%, 3.74%, 07/15/32 (b),(c),(f),(g) | | | 1,000,000 | | | | | | 994,059 | |
Citigroup Mortgage Loan Trust, Series 2019-E, Class A2, 4.88%, 11/25/70 (b),(c),(f),(l) | | | 1,000,000 | | | | | | 1,012,812 | |
CoreVest American Finance Trust, | |
Series 2017-2 SEQ, Class M, 5.62%, 12/25/27 (b),(c),(f) | | | 459,000 | | | | | | 479,307 | |
Series 2018-1, Class D, 4.92%, 06/15/51 (b),(c),(f) | | | 708,000 | | | | | | 780,885 | |
Series 2019-1, Class D, 4.82%, 03/15/52 (b),(c),(f) | | | 152,000 | | | | | | 152,383 | |
Series 2019-1, Class E, 5.49%, 03/15/52 (b),(c),(f) | | | 196,000 | | | | | | 202,600 | |
Series 2019-2, Class XA, 2.38%, 06/15/52 (b),(c),(f),(g),(i) | | | 17,043,400 | | | | | | 1,557,818 | |
See Notes to Consolidated Financial Statements.
52
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | |
| | | |
Security Description | | Principal
Amount | | | | | Value | |
Series 2019-2, Class D, 4.22%, 06/15/52 (b),(c),(f) | | $ | 476,000 | | | | | $ | 500,947 | |
Series 2019-2, Class E, 5.22%, 06/15/52 (b),(c),(f),(g) | | | 699,000 | | | | | | 680,972 | |
Series 2019-3, Class XA, 2.06%, 10/15/52 (b),(c),(f),(g),(i) | | | 13,590,770 | | | | | | 979,894 | |
Series 2019-3, Class D, 3.76%, 10/15/52 (b),(c),(f) | | | 100,000 | | | | | | 93,237 | |
Series 2019-3, Class E, 4.77%, 10/15/52 (b),(c),(f),(g) | | | 124,000 | | | | | | 133,272 | |
Series 2020-1, Class E, 4.68%, 03/15/50 (b),(c),(f),(g) | | | 100,000 | | | | | | 101,602 | |
Series 2020-4, Class XB, 2.83%, 12/15/52 (b),(c),(f),(g),(i) | | | 1,000,000 | | | | | | 155,000 | |
Series 2020-4, Class XA, 3.87%, 12/15/52 (b),(c),(f),(g),(i) | | | 986,339 | | | | | | 155,348 | |
Cutwater Ltd., | |
Series 2014-2A, Class CR, 3 mo. USD LIBOR + 3.75%, 3.99%, 01/15/27 (b),(c),(f),(g) | | | 5,000,000 | | | | | | 4,870,270 | |
Series 2015-1A, Class DR, 3 mo. USD LIBOR + 3.45%, 3.69%, 01/15/29 (b),(c),(f),(g) | | | 4,000,000 | | | | | | 3,777,832 | |
Denali Capital CLO Ltd., Series 2013-1A, Class B2LR, 3 mo. USD LIBOR + 4.75%, 4.97%, 10/26/27 (b),(c),(f),(g) | | | 1,000,000 | | | | | | 906,902 | |
Dryden 80 CLO Ltd., Series 2019-80A, Class D1, 3 mo. USD LIBOR + 4.10%, 4.32%, 01/17/33 (b),(c),(f),(g) | | | 250,000 | | | | | | 250,294 | |
Dryden CLO Ltd., Series 2019-75A, Class DR, 3 mo. USD LIBOR + 3.55%, 3.79%, 07/15/30 (b),(c),(f),(g) | | | 4,750,000 | | | | | | 4,742,875 | |
Elm CLO Ltd., Series 2014-1A, Class BRR, 3 mo. USD LIBOR + 1.75%, 1.97%, 01/17/29 (b),(c),(f),(g) | | | 500,000 | | | | | | 503,818 | |
Fort Washington CLO, | |
Series 2019-1A, Class D1, 3 mo. USD LIBOR + 3.90%, 4.12%, 10/20/32 (b),(c),(f),(g) | | | 1,000,000 | | | | | | 1,001,237 | |
Series 2019-1A, Class E, 3 mo. USD LIBOR + 7.25%, 7.47%, 10/20/32 (b),(c),(f),(g) | | | 500,000 | | | | | | 487,443 | |
Galaxy XXVII CLO Ltd., Series 2018-27A, Class E, 3 mo. USD LIBOR + 5.78%, 5.97%, 05/16/31 (b),(c),(f),(g) | | | 1,000,000 | | | | | | 972,807 | |
Gallatin Loan Management, | |
Series 2017-1A, Class D, 3 mo. USD LIBOR + 3.25%, 3.49%, 07/15/27 (b),(c),(f),(g) | | | 7,500,000 | | | | | | 7,284,877 | |
Series 2018-1A, Class D1, 3 mo. USD LIBOR + 3.10%, 3.32%, 01/21/28 (b),(c),(f),(g) | | | 4,500,000 | | | | | | 4,457,934 | |
See Notes to Consolidated Financial Statements.
53
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | |
| | | |
Security Description | | Principal
Amount | | | | | Value | |
Garrison Funding Ltd., Series 2015-1A, Class CR, 3 mo. USD LIBOR + 3.90%, 4.09%, 09/21/29 (b),(c),(f),(g) | | $ | 4,000,000 | | | | | $ | 3,991,912 | |
GLS Auto Receivables Issuer Trust, Series 2019-4A, Class D, 4.09%, 08/17/26 (b),(f),(h) | | | 900,000 | | | | | | 924,437 | |
Greywolf CLO II Ltd., Series 2013-1A, Class C1RR, 3 mo. USD LIBOR + 3.35%, 1.00%, 04/15/34 (b),(f),(g) | | | 1,000,000 | | | | | | 998,500 | |
Greywolf CLO III Ltd., Series 2020-3RA, Class CR, 3 mo. USD LIBOR + 3.35%, 3.57%, 04/15/33 (b),(c),(f),(g) | | | 5,000,000 | | | | | | 4,997,430 | |
GSAA Home Equity Trust, Series 2004-5, Class M2, 4.34%, 06/25/34 (b),(l) | | | 308,435 | | | | | | 249,868 | |
Halsey Point CLO Ltd., Series 2020-3A, Class D1, 3 mo. USD LIBOR + 4.25%, 4.43%, 11/30/32 (b),(c),(f),(g) | | | 1,000,000 | | | | | | 994,087 | |
Harbourview CLO Ltd., Series 7RA, Class D, 3 mo. USD LIBOR + 3.36%, 3.58%, 07/18/31 (b),(c),(f),(g) | | | 4,015,158 | | | | | | 3,452,024 | |
Highbridge Loan Management Ltd., Series 7A-2015, Class DR, 3 mo. USD LIBOR + 2.40%, 2.59%, 03/15/27 (b),(c),(f),(g) | | | 1,000,000 | | | | | | 935,554 | |
Jamestown CLO XV Ltd., Series 2020-15A, Class D, 3 mo. USD LIBOR + 3.65%, 3.89%, 04/15/33 (b),(c),(f),(g) | | | 5,000,000 | | | | | | 4,958,945 | |
JMP Credit Advisors CLO Ltd., Series 2014-1RA, Class D, 3 mo. USD LIBOR + 2.60%, 2.82%, 01/17/28 (b),(c),(f),(g) | | | 5,310,000 | | | | | | 5,051,801 | |
Kayne CLO II Ltd., Series 2018-2A, Class ER, 3 mo. USD LIBOR + 6.00%, 6.15%, 10/15/31 (b),(c),(f),(g) | | | 416,667 | | | | | | 410,956 | |
KVK CLO Ltd., Series 2016-1A, Class D, 3 mo. USD LIBOR + 4.40%, 4.64%, 01/15/29 (b),(c),(f),(g) | | | 5,000,000 | | | | | | 4,976,295 | |
Long Beach Mortgage Loan Trust, | |
Series 2006-10, Class 2A3, 1 mo. USD LIBOR + 0.16%, 0.27%, 11/25/36 (b),(g),(h) | | | 2,642,224 | | | | | | 1,135,858 | |
Series 2006-4, Class 2A4, 1 mo. USD LIBOR + 0.26%, 0.63%, 05/25/36 (b),(g),(h) | | | 7,799,690 | | | | | | 3,316,732 | |
Madison Park Funding Ltd., Series 2016-20A, Class DR, 3 mo. USD LIBOR + 3.00%, 3.21%, 07/27/30 (b),(c),(f),(g) | | | 2,000,000 | | | | | | 1,987,648 | |
Mariner CLO LLC, Series 2015-1A, Class DR2, 3 mo. USD LIBOR + 2.85%, 3.07%, 04/20/29 (b),(c),(f),(g) | | | 6,000,000 | | | | | | 5,963,340 | |
See Notes to Consolidated Financial Statements.
54
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | |
| | | |
Security Description | | Principal
Amount | | | | | Value | |
MidOcean Credit CLO, Series 2016-6A, Class DR, 3 mo. USD LIBOR + 3.75%, 3.97%, 01/20/29 (b),(c),(f),(g) | | $ | 4,000,000 | | | | | $ | 3,994,176 | |
Morgan Stanley ABS Capital I, Inc., | |
Series 2007-HE3, Class A2C, 1 mo. USD LIBOR + 0.15%, 0.26%, 12/25/36 (b),(g),(h) | | | 556,844 | | | | | | 350,428 | |
Series 2007-HE3, Class A2D, 1 mo. USD LIBOR + 0.25%, 0.36%, 12/25/36 (b),(g),(h) | | | 676,685 | | | | | | 434,759 | |
Morgan Stanley Mortgage Loan Trust, | |
Series 2007-10XS, Class A4, 1 mo. USD LIBOR + 0.59%, 0.70%, 02/25/37 (b),(g) | | | 399,385 | | | | | | 247,660 | |
Series 2007-10XS, Class A6, 1 mo. USD LIBOR + 0.60%, 0.71%, 02/25/37 (b),(g) | | | 399,385 | | | | | | 247,611 | |
Mountain View CLO LLC, Series 2017-1A, Class D, 3 mo. USD LIBOR + 3.60%, 3.82%, 10/16/29 (b),(c),(f),(g) | | | 3,000,000 | | | | | | 2,908,566 | |
Mountain View CLO Ltd., | |
Series 2015-10A, Class DR, 3 mo. USD LIBOR + 2.60%, 2.82%, 10/13/27 (b),(c),(f),(g) | | | 2,500,000 | | | | | | 2,386,360 | |
Series 2015-9A, Class CR, 3 mo. USD LIBOR + 3.12%, 3.36%, 07/15/31 (b),(c),(f),(g) | | | 5,000,000 | | | | | | 4,678,540 | |
Neuberger Berman Loan Advisers CLO Ltd., Series 2018-28A, Class D, 3 mo. USD LIBOR + 2.85%, 3.07%, 04/20/30 (b),(c),(f),(g) | | | 750,000 | | | | | | 751,054 | |
New Residential Mortgage LLC, Series 2018-FNT1, Class D, 4.69%, 05/25/23 (b),(c),(f) | | | 493,537 | | | | | | 489,687 | |
Nomura CRE CDO Ltd., Series 2007-2A, Class D, 3 mo. USD LIBOR + .45%, 0.63%, 05/21/42 (b),(c),(f),(g) | | | 361,968 | | | | | | 177,454 | |
Ocean Trails CLO, Series 2016-6A, Class DR, 3 mo. USD LIBOR + 3.65%, 3.89%, 07/15/28 (b),(c),(f),(g) | | | 5,000,000 | | | | | | 4,992,500 | |
OHA Credit Funding 6 Ltd., Series 2020-6A, Class E, 3 mo. USD LIBOR + 7.33%, 7.55%, 07/20/31 (b),(c),(f),(g) | | | 750,000 | | | | | | 756,391 | |
OHA Credit Partners XIII Ltd., Series 2016-13A, Class E, 3 mo. USD LIBOR + 7.15%, 7.37%, 01/21/30 (b),(c),(f),(g) | | | 250,000 | | | | | | 248,188 | |
OHA Loan Funding Ltd., Series 2016-1A, Class CR, 3 mo. USD LIBOR + 1.95%, 2.17%, 01/20/33 (b),(c),(f),(g) | | | 250,000 | | | | | | 252,071 | |
OZLM Ltd., Series 2015-12A, Class D, 3 mo. USD LIBOR + 5.40%, 5.61%, 04/30/27 (b),(c),(f),(g) | | | 8,833,000 | | | | | | 8,134,928 | |
Palmer Square CLO Ltd., Series 2018-2A, Class B, 3 mo. USD LIBOR + 1.90%, 2.13%, 07/16/31 (b),(c),(f),(g) | | | 250,000 | | | | | | 250,302 | |
See Notes to Consolidated Financial Statements.
55
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | |
| | | |
Security Description | | Principal
Amount | | | | | Value | |
Parallel Ltd., | |
Series 2019-1A, Class D, 3 mo. USD LIBOR + 4.20%, 4.42%, 07/20/32 (b),(c),(f),(g) | | $ | 1,000,000 | | | | | $ | 994,143 | |
Series 2019-1A, Class E, 3 mo. USD LIBOR + 6.72%, 6.94%, 07/20/32 (b),(c),(f),(g) | | | 666,500 | | | | | | 641,340 | |
Series 2020-1A, Class C1, 3 mo. USD LIBOR + 4.10%, 4.32%, 07/20/31 (b),(c),(f),(g) | | | 1,000,000 | | | | | | 1,000,223 | |
Perimeter Master Note Business Trust, | |
Series 2019-1A, Class C, 8.06%, 12/15/22 (b),(f),(h) | | | 251,000 | | | | | | 255,227 | |
Series 2019-2A, Class C, 7.06%, 05/15/24 (b),(f),(h) | | | 251,000 | | | | | | 253,549 | |
PPM CLO 2 Ltd., Series 2019-2A, Class E, 3 mo. USD LIBOR + 6.55%, 6.77%, 04/16/32 (b),(c),(f),(g) | | | 500,000 | | | | | | 493,820 | |
PPM CLO 3 Ltd., | |
Series 2019-3A, Class ER, 3 mo. USD LIBOR + 6.61%, 1.00%, 04/17/34 (b),(f),(g) | | | 500,000 | | | | | | 494,270 | |
Series 2019-3A, Class DR, 3 mo. USD LIBOR + 3.10%, 1.00%, 04/17/34 (b),(c),(f),(g) | | | 1,000,000 | | | | | | 998,500 | |
Regatta Funding LP, Series 2013-2A, Class CR2, 3 mo. USD LIBOR + 3.70%, 3.94%, 01/15/29 (b),(c),(f),(g) | | | 6,500,000 | | | | | | 6,490,172 | |
Regatta XI Funding Ltd., Series 2018-1A, Class D, 3 mo. USD LIBOR + 2.85%, 3.07%, 07/17/31 (b),(c),(f),(g) | | | 490,000 | | | | | | 487,813 | |
Regatta XV Funding Ltd., Series 2018-4A, Class C, 3 mo. USD LIBOR + 3.30%, 3.52%, 10/25/31 (b),(c),(f),(g) | | | 500,000 | | | | | | 497,150 | |
Rockford Tower CLO Ltd., Series 2019-2A, Class D, 3 mo. USD LIBOR + 3.50%, 3.68%, 08/20/32 (b),(c),(f),(g) | | | 750,000 | | | | | | 744,142 | |
Romark CLO III Ltd., Series 2019-3A, Class C, 3 mo. USD LIBOR + 3.90%, 4.14%, 07/15/32 (b),(c),(f),(g) | | | 500,000 | | | | | | 497,077 | |
Tralee CLO Ltd., Series 2018-5A, Class D, 3 mo. USD LIBOR + 3.20%, 3.42%, 10/20/28 (b),(c),(f),(g) | | | 4,500,000 | | | | | | 4,475,542 | |
Trimaran CAVU Ltd., Series 2019-2A, Class C, 3 mo. USD LIBOR + 4.72%, 4.94%, 11/26/32 (b),(c),(f),(g) | | | 2,000,000 | | | | | | 2,009,716 | |
Venture CLO Ltd., | |
Series 2014-16A, Class DRR, 3 mo. USD LIBOR + 2.51%, 2.75%, 01/15/28 (b),(c),(f),(g) | | | 4,000,000 | | | | | | 3,754,668 | |
See Notes to Consolidated Financial Statements.
56
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | | | |
| | | |
Security Description | | Principal
Amount | | | | | | Value | |
Series 2014-18A, Class DR, 3 mo. USD LIBOR + 3.10%, 3.34%, 10/15/29 (b),(c),(f),(g) | | $ | 1,000,000 | | | | | | | $ | 919,136 | |
Series 2019-37A, Class D, 3 mo. USD LIBOR + 3.90%, 4.14%, 07/15/32 (b),(c),(f),(g) | | | 3,000,000 | | | | | | | | 2,956,185 | |
Voya CLO Ltd., | |
Series 2016-2A, Class CR, 3 mo. USD LIBOR + 4.00%, 4.22%, 07/19/28 (b),(c),(f),(g) | | | 250,000 | | | | | | | | 249,030 | |
Series 2017-2A, Class C, 3 mo. USD LIBOR + 3.70%, 3.94%, 06/07/30 (b),(c),(f),(g) | | | 4,000,000 | | | | | | | | 3,994,000 | |
Wellfleet CLO Ltd., Series 2017-3A, Class A2, 3 mo. USD LIBOR + 1.50%, 1.72%, 01/17/31 (b),(c),(f),(g) | | | 1,000,000 | | | | | | | | 998,041 | |
WhiteHorse Ltd., Series 2015-10A, Class DR, 3 mo. USD LIBOR + 3.00%, 3.22%, 04/17/27 (b),(c),(f),(g) | | | 1,250,000 | | | | | | | | 1,231,195 | |
Zais CLO Ltd., Series 2018-11A, Class D, 3 mo. USD LIBOR + 4.00%, 4.22%, 01/20/32 (b),(c),(f),(g) | | | 5,500,000 | | | | | | | | 4,887,349 | |
| | | | | | | | | | | | |
Total North America | | | | | | | | | | | 193,061,594 | |
| | | | | | | | | | | | |
TOTAL ASSET-BACKED SECURITIES
(COST $195,629,630) | | | | | | | | | | | 193,061,594 | |
| | | | | | | | | | | | |
CONVERTIBLE BONDS — 0.1% | | | | | | | | | | | | |
North America — 0.1% | | | | | | | | | | | | |
Financial Services — 0.1% | | | | | |
RWT Holdings Inc, 5.75%, 10/01/25 (b),(c) | | | 3,418,000 | | | | | | | | 3,405,353 | |
| | | | | | | | | | | | |
Total North America | | | | | | | | | | | 3,405,353 | |
| | | | | | | | | | | | |
TOTAL CONVERTIBLE BONDS
(COST $3,418,000) | | | | | | | | | | | 3,405,353 | |
| | | | | | | | | | | | |
BANK DEBT — 6.1% | | | | | | | | | | | | |
Asia — 0.0% | | | | | | | | | | | | |
Software & Services — 0.0% | | | | | | | | | | | | |
Grab Holdings Inc Term Loan B, 5.500%, 01/29/26 (b),(d),(g) | | | 1,305,005 | | | | | | | | 1,324,580 | |
| | | | | | | | | | | | |
Total Asia | | | | 1,324,580 | |
| | | | | | | | | | | | |
Europe — 0.2% | | | | | | | | | | | | |
Chemicals — 0.0% | | | | | | | | | | | | |
Composite Resins Holding B.V., 2018 Term Loan B, 3 mo. LIBOR + 4.25%, 5.25%, 08/01/25 (b),(d),(g) | | | 859,663 | | | | | | | | 858,589 | |
| | | | | | | | | | | | |
See Notes to Consolidated Financial Statements.
57
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | | | |
| | | |
Security Description | | Principal
Amount | | | | | | Value | |
Consumer Discretionary Products — 0.0% | | | | | |
Amer Sports Oyj, EUR Term Loan B, 0.00%, 03/30/26 (b),(j) | | | 106,321 | | | | EUR | | | $ | 123,124 | |
| | | | | | | | | | | | |
Consumer Discretionary Services — 0.1% | | | | | |
McLaren Racing Limited GBP Term Loan, 12.000%, 12/31/35 (b),(d) | | | 1,714,616 | | | | GBP | | | | 2,363,768 | |
| | | | | | | | | | | | |
Medical Equipment & Devices Manufacturing — 0.0% | | | | | |
Auris Luxembourg III S.a.r.l., 2019 USD Term Loan B2, 1 mo. LIBOR + 3.75%, 3.86%, 02/27/26 (b),(d) | | $ | 226,881 | | | | | | | | 219,791 | |
| | | | | | | | | | | | |
Oil, Gas & Coal — 0.0% | | | | | |
Endeavour International Holding B.V., Term Loan A1, 3 mo. USD LIBOR, 0.00%, 01/02/22 (b),(d) | | | 1,099,402 | | | | | | | | 3,463 | |
| | | | | | | | | | | | |
Property & Casualty Insurance — 0.0% | | | | | | | | | | | | |
Hyperion Insurance Group Ltd., 2021 Term Loan B, 1 mo. LIBOR + 3.25%, 4.00%, 11/12/27 (b),(g) | | | 314,916 | | | | | | | | 313,690 | |
| | | | | | | | | | | | |
Refining & Marketing — 0.0% | | | | | | | | | | | | |
EG America LLC, 2018 USD Term Loan, 3 mo. LIBOR + 4.00%, 4.20%, 02/07/25 (b),(g) | | | 1,451,911 | | | | | | | | 1,426,764 | |
| | | | | | | | | | | | |
Semiconductors — 0.0% | | | | | | | | | | | | |
Bright Bidco B.V., | | | | | | | | | | | | |
2018 Term Loan B, 0.00%, 06/30/24 (b),(g),(j) | | | 1,600,761 | | | | | | | | 1,217,299 | |
2018 Term Loan B, 4.50%, 06/30/24 (b),(g) | | | 237,420 | | | | | | | | 180,546 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,397,845 | |
| | | | | | | | | | | | |
Software & Services — 0.1% | | | | | | | | | | | | |
ION Trading Finance Limited, 2021 Term Loan, 0.00%, 03/26/28 (b),(g),(j) | | | 430,347 | | | | | | | | 429,809 | |
ION Trading Technologies S.a.r.l., USD Incremental Term Loan B, 1 mo. LIBOR + 4.00%, 5.00%, 11/21/24 (b),(g) | | | 493,505 | | | | | | | | 493,091 | |
Travelport Finance (Luxembourg) S.A.R.L., 2020 Super Priority Term Loan, 0.00%, 02/28/25 (b),(g),(j) | | | 1,794,737 | | | | | | | | 1,825,391 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,748,291 | |
| | | | | | | | | | | | |
Wireless Telecommunications Services — 0.0% | | | | | | | | | | | | |
Altice France S.A., 2018 Term Loan B13, 3 mo. LIBOR + 4.00%, 4.20%, 08/14/26 (b),(g) | | | 1,364,910 | | | | | | | | 1,360,133 | |
| | | | | | | | | | | | |
Total Europe | | | | | | | | | | | 10,815,458 | |
| | | | | | | | | | | | |
See Notes to Consolidated Financial Statements.
58
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | | | |
| | | |
Security Description | | Principal
Amount | | | | | | Value | |
North America — 5.6% | | | | | | | | | | | | |
Airlines — 0.1% | | | | | | | | | | | | |
AAdvantage Loyalty IP Ltd., 2021 Term Loan, 3 mo. LIBOR + 4.75%, 5.50%, 04/20/28 (b),(g) | | $ | 860,945 | | | | | | | $ | 881,126 | |
American Airlines, Inc., | | | | | | | | | | | | |
2017 1st Lien Term Loan, 1 mo. LIBOR + 1.75%, 1.86%, 01/29/27 (b),(g) | | | 203,808 | | | | | | | | 185,603 | |
2018 Term Loan B, 1 mo. LIBOR + 1.75%, 1.86%, 06/27/25 (b),(g) | | | 3,056,123 | | | | | | | | 2,695,134 | |
Kestrel Bidco Inc., Term Loan B, 6 mo. LIBOR + 3.00%, 4.00%, 12/11/26 (b),(g) | | | 1,793,034 | | | | | | | | 1,737,558 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 5,499,421 | |
| | | | | | | | | | | | |
Apparel & Textile Products — 0.2% | | | | | | | | | | | | |
S&S Holdings LLC, Term Loan, 0.00%, 03/11/28 (b),(d),(g),(j) | | | 7,026,959 | | | | | | | | 6,824,933 | |
| | | | | | | | | | | | |
Auto Parts Manufacturing — 0.0% | | | | | | | | | | | | |
Truck Hero, Inc., 2021 Term Loan B, 1 mo. LIBOR + 3.75%, 4.50%, 01/31/28 (b),(g) | | | 278,092 | | | | | | | | 277,204 | |
| | | | | | | | | | | | |
Cable & Satellite — 0.1% | | | | | | | | | | | | |
Radiate Holdco, LLC, 2020 Term Loan, 1 mo. LIBOR + 3.50%, 4.25%, 09/25/26 (b),(g) | | | 656,466 | | | | | | | | 655,797 | |
WideOpenWest Finance LLC, 2017 Term Loan B, 1 mo. LIBOR + 3.25%, 4.25%, 08/18/23 (b),(g) | | | 1,322,434 | | | | | | | | 1,317,726 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,973,523 | |
| | | | | | | | | | | | |
Casinos & Gaming — 0.1% | | | | | | | | | | | | |
Gateway Casinos & Entertainment Limited 2018 Term Loan B ,4.500%, 12/01/23 (b),(g) | | | 4,702,566 | | | | | | | | 4,618,296 | |
| | | | | | | | | | | | |
Chemicals — 0.0% | | | | | | | | | | | | |
Ascend Performance Materials Operations LLC, 2021 Term Loan B, 3 mo. LIBOR + 4.75%, 5.50%, 08/27/26 (b),(g) | | | 1,047,708 | | | | | | | | 1,060,584 | |
LyondellBasell Industries NV, | | | | | | | | | | | | |
0.00%, 02/23/22 (b) | | | 16,732,095 | | | | | | | | 120,471 | |
1.00%, 02/23/22 (b) | | | 980,468 | | | | EUR | | | | 10,348 | |
New Arclin U.S. Holding Corp., 2021 Term Loan B, 3 mo. LIBOR + 4.00%, 5.00%, 02/28/26 (b),(g) | | $ | 119,943 | | | | | | | | 119,743 | |
Vantage Specialty Chemicals, Inc., 2017 1st Lien Term Loan, 3 mo. LIBOR + 3.50%, 4.50%, 10/28/24 (b),(g) | | | 157,693 | | | | | | | | 148,659 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,459,805 | |
| | | | | | | | | | | | |
See Notes to Consolidated Financial Statements.
59
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | |
| | | |
Security Description | | Principal
Amount | | | | | Value | |
Communications Equipment — 0.0% | | | | | | | | | | |
Delta TopCo, Inc., 2020 Term Loan B, 3 mo. LIBOR + 3.75%, 4.50%, 12/01/27 (b),(g) | | $ | 1,194,890 | | | | | $ | 1,192,332 | |
MLN US HoldCo LLC, 2018 1st Lien Term Loan, 1 mo. LIBOR + 4.50%, 4.61%, 11/30/25 (b),(g) | | | 138,192 | | | | | | 121,062 | |
| | | | | | | | | | |
| | | | | | | | | 1,313,394 | |
| | | | | | | | | | |
Construction Materials Manufacturing — 0.0% | | | | | | | | | | |
Forterra Finance, LLC, 2017 Term Loan B, 1 mo. LIBOR + 3.00%, 4.00%, 10/25/23 (b),(g) | | | 350,395 | | | | | | 350,483 | |
| | | | | | | | | | |
Consumer Discretionary Services — 0.3% | | | | | | | | | | |
Infinity Bidco US LLC Fixed Term Loan, 9.500%, 12/23/22 (b),(d) | | | 5,715,388 | | | | | | 5,658,233 | |
Montreign Resort Casino 2021 2nd Lien Term Loan, 10.610%, 02/23/22 (b),(d) | | | 6,118,009 | | | | | | 6,118,009 | |
Spin Holdco Inc., 2021 Term Loan, 3 mo. LIBOR + 4.00%, 4.75%, 03/01/28 (b) | | | 800,483 | | | | | | 793,047 | |
| | | | | | | | | | |
| | | | | | | | | 12,569,289 | |
| | | | | | | | | | |
Consumer Finance — 0.0% | | | | | | | | | | |
Apollo Commercial Real Estate Finance, Inc, Term Loan B, 1 mo. LIBOR + 2.75%, 2.86%, 05/15/26 (b),(d),(g) | | | 201,065 | | | | | | 196,038 | |
| | | | | | | | | | |
Consumer Products — 0.0% | | | | | | | | | | |
Sunshine Luxembourg VII SARL, 2021 Term Loan B3, 3 mo. LIBOR + 3.75%, 4.50%, 10/01/26 (b),(g) | | | 1,483,098 | | | | | | 1,480,132 | |
| | | | | | | | | | |
Consumer Services — 0.2% | | | | | | | | | | |
Allied Universal Holdco LLC, 2019 Term Loan B, 1 mo. LIBOR + 4.25%, 4.36%, 07/10/26 (b),(g) | | | 813,042 | | | | | | 810,196 | |
Cambium Learning Group, Inc., Term Loan B, 3 mo. LIBOR + 4.50%, 5.25%, 12/18/25 (b),(g) | | | 2,453,186 | | | | | | 2,452,524 | |
Cast and Crew Payroll, LLC, 2019 1st Lien Term Loan, 1 mo. LIBOR + 3.75%, 3.86%, 02/09/26 (b),(g) | | | 1,111,254 | | | | | | 1,092,851 | |
CHG Healthcare Services Inc., 2017 1st Lien Term Loan B, 6 mo. LIBOR + 3.00%, 4.00%, 06/07/23 (b),(g) | | | 505,932 | | | | | | 503,944 | |
Conservice Midco, LLC, 2020 Term Loan B, 3 mo. LIBOR + 4.25%, 4.45%, 05/13/27 (b),(g) | | | 342,114 | | | | | | 341,601 | |
Guidehouse LLP, 2018 Term Loan, 1 mo. LIBOR + 4.00%, 4.11%, 05/01/25 (b),(g) | | | 583,861 | | | | | | 583,236 | |
LegalZoom.com, Inc., 2018 1st Lien Term Loan, 1 mo. LIBOR + 4.50%, 4.61%, 11/21/24 (b),(g) | | | 1,710,754 | | | | | | 1,702,200 | |
See Notes to Consolidated Financial Statements.
60
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | |
| | | |
Security Description | | Principal
Amount | | | | | Value | |
National Intergovernmental Purchasing Alliance Company, 1st Lien Term Loan, 3 mo. LIBOR + 3.75%, 3.95%, 05/23/25 (b),(g) | | $ | 136,257 | | | | | $ | 135,462 | |
TKC Holdings, Inc. 2017 1st Lien Term Loan, 4.750%, 02/01/23 (b),(g) | | | 3,454,997 | | | | | | 3,371,077 | |
USS Ultimate Holdings, Inc., 1st Lien Term Loan, 1 mo. LIBOR + 3.75%, 4.75%, 08/25/24 (b),(g) | | | 609,197 | | | | | | 609,148 | |
| | | | | | | | | | |
| | | | | | | | | 11,602,239 | |
| | | | | | | | | | |
Containers & Packaging — 0.2% | | | | | | | | | | |
Charter NEX US, Inc., 2020 Term Loan, 1 mo. LIBOR + 4.25%, 5.00%, 12/01/27 (b),(g) | | | 991,115 | | | | | | 992,354 | |
Flex Acquisition Company, Inc., 2021 Term Loan, 3 mo. LIBOR + 3.50%, 4.00%, 03/02/28 (b),(g) | | | 1,670,364 | | | | | | 1,647,664 | |
Fort Dearborn Company, | | | | | | | | | | |
2016 1st Lien Term Loan, 1 mo. LIBOR + 4.00%, 4.11%, 10/19/23 (b),(g) | | | 31,941 | | | | | | 31,849 | |
2016 1st Lien Term Loan, 3 mo. LIBOR + 4.00%, 4.19%, 10/19/23 (b),(g) | | | 2,959,820 | | | | | | 2,951,326 | |
2016 1st Lien Term Loan, 5.00%, 10/19/23 (b),(g) | | | 2,069,301 | | | | | | 2,063,363 | |
2016 2nd Lien Term Loan, 3 mo. LIBOR + 8.50%, 8.69%, 10/21/24 (b),(g) | | | 989,949 | | | | | | 984,999 | |
2016 2nd Lien Term Loan, 3 mo. LIBOR + 8.50%, 9.50%, 10/21/24 (b),(g) | | | 1,520,548 | | | | | | 1,512,945 | |
Proampac PG Borrower LLC, | | | | | | | | | | |
2020 Term Loan, 1 mo. LIBOR + 4.00%, 4.11%, 11/03/25 (b),(g) | | | 55,838 | | | | | | 55,759 | |
2020 Term Loan, 1 mo. LIBOR + 4.00%, 5.00%, 11/03/25 (b),(g) | | | 99,901 | | | | | | 99,760 | |
Trident TPI Holdings, Inc., 2017 USD Term Loan B1, 3 mo. LIBOR + 3.00%, 4.00%, 10/17/24 (b),(g) | | | 979,756 | | | | | | 968,890 | |
| | | | | | | | | | |
| | | | | | | | | 11,308,909 | |
| | | | | | | | | | |
Educational Services — 0.1% | | | | | | | | | | |
KUEHG Corp., 2018 Incremental Term Loan, 3 mo. LIBOR + 3.75%, 4.75%, 02/21/25 (b),(g) | | | 835,641 | | | | | | 815,911 | |
Learning Care Group, Inc., 2018 1st Lien Term Loan, 3 mo. LIBOR + 3.25%, 4.25%, 03/13/25 (b),(g) | | | 613,915 | | | | | | 600,998 | |
SSH Group Holdings, Inc., 2018 1st Lien Term Loan, 3 mo. LIBOR + 4.25%, 4.45%, 07/30/25 (b),(g) | | | 884,357 | | | | | | 842,165 | |
| | | | | | | | | | |
| | | | | | | | | 2,259,074 | |
| | | | | | | | | | |
Entertainment Contents — 0.1% | | | | | | | | | | |
Diamond Sports Group, LLC, Term Loan, 1 mo. LIBOR + 3.25%, 3.36%, 08/24/26 (b),(g) | | | 1,027,721 | | | | | | 701,420 | |
See Notes to Consolidated Financial Statements.
61
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | |
| | | |
Security Description | | Principal
Amount | | | | | Value | |
Univision Communications Inc., 2020 Replacement Term Loan, 1 mo. LIBOR + 3.75%, 4.75%, 03/15/26 (b),(g) | | $ | 1,146,728 | | | | | $ | 1,144,778 | |
| | | | | | | | | | |
| | | | | | | | | 1,846,198 | |
| | | | | | | | | | |
Entertainment Resources — 0.4% | | | | | | | | | | |
Alterra Mountain Company, 2020 Term Loan B, 1 mo. LIBOR + 4.50%, 5.50%, 08/01/26 (b),(d),(g) | | | 425,370 | | | | | | 426,434 | |
AMC Entertainment Holdings, Inc., 2019 Term Loan B, 3 mo. LIBOR + 3.00%,
3.20%, 04/22/26 (b),(g) | | | 1,814,655 | | | | | | 1,563,434 | |
Bulldog Purchaser, Inc., 2018 Term Loan, 2 mo. LIBOR + 3.75%, 3.89%, 09/05/25 (b),(g) | | | 4,340,520 | | | | | | 4,049,705 | |
Cinemark USA, Inc., 2018 Term Loan B, 1 mo. LIBOR + 1.75%, 1.86%, 03/31/25 (b),(g) | | | 148,301 | | | | | | 141,655 | |
Crown Finance US, Inc., 2018 USD Term Loan, 6 mo. LIBOR + 2.50%, 3.50%, 02/28/25 (b),(g) | | | 2,000,518 | | | | | | 1,705,482 | |
Equinox Holdings, Inc., | | | | | | | | | | |
2017 1st Lien Term Loan, 4.00%, 03/08/24 (b),(g) | | | 6,237,928 | | | | | | 5,810,069 | |
2017 2nd Lien Term Loan, 8.00%, 09/06/24 (b),(g) | | | 1,604,459 | | | | | | 1,307,633 | |
Life Time Fitness Inc 2021 Term Loan B, 5.750%, 12/16/24 (b),(g) | | | 2,775,884 | | | | | | 2,768,945 | |
William Morris Endeavor Entertainment, LLC, | | | | | | | | | | |
2018 1st Lien Term Loan, 1 mo. LIBOR + 2.75%, 2.86%, 05/18/25 (b),(g) | | | 789,617 | | | | | | 743,448 | |
2018 1st Lien Term Loan, 3 mo. LIBOR + 2.75%, 2.94%, 05/18/25 (b),(g) | | | 688,887 | | | | | | 648,607 | |
| | | | | | | | | | |
| | | | | | | | | 19,165,412 | |
| | | | | | | | | | |
Exploration & Production — 0.0% | | | | | | | | | | |
Par Pacific Holdings, Inc. Term Loan B, 7.000%, 01/12/26 (b),(g) | | | 1,789,256 | | | | | | 1,775,837 | |
| | | | | | | | | | |
Financial Services — 0.2% | | | | | | | | | | |
Advisor Group, Inc., 2021 Term Loan, 1 mo. LIBOR + 4.50%, 4.61%, 07/31/26 (b),(g) | | | 1,002,798 | | | | | | 1,001,544 | |
AqGen Ascensus, Inc., 2020 Term Loan, 3 mo. LIBOR + 4.00%, 5.00%, 12/13/26 (b),(g) | | | 474,463 | | | | | | 474,017 | |
Deerfield Dakota Holding, LLC, 2020 USD Term Loan B, 1 mo. LIBOR + 3.75%, 4.75%, 04/09/27 (b),(g) | | | 1,906,583 | | | | | | 1,906,278 | |
Edelman Financial Center, LLC, 2021 Term Loan B, 0.00%, 07/21/25 (b),(d),(g),(j) | | | 756,433 | | | | | | 751,705 | |
Focus Financial Partners, LLC, 2020 Term Loan, 1 mo. LIBOR + 2.00%, 2.11%, 07/03/24 (b),(g) | | | 141,082 | | | | | | 139,453 | |
See Notes to Consolidated Financial Statements.
62
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | |
| | | |
Security Description | | Principal
Amount | | | | | Value | |
GI Revelation Acquisition LLC, 2018 1st Lien Term Loan, 1 mo. LIBOR + 5.00%, 5.11%, 04/16/25 (b),(g) | | $ | 95,095 | | | | | $ | 95,095 | |
IG Investment Holdings, LLC, 2018 1st Lien Term Loan, 3 mo. LIBOR + 4.00%, 5.00%, 05/23/25 (b),(g) | | | 2,058,854 | | | | | | 2,056,281 | |
Minotaur Acquisition, Inc., Term Loan B, 1 mo. LIBOR + 5.00%, 5.11%, 03/27/26 (b),(g) | | | 1,957,385 | | | | | | 1,953,313 | |
Quidditch Acquisition, Inc., 2018 Term Loan B, 3 mo. LIBOR + 7.00%, 8.00%, 03/21/25 (b),(g) | | | 197,455 | | | | | | 192,272 | |
Newport Parent Inc., Term Loan B, 7.500%, 12/10/27 (b),(d),(g) | | | 868,474 | | | | | | 867,389 | |
| | | | | | | | | | |
| | | | | | | | | 9,437,347 | |
| | | | | | | | | | |
Food & Beverage — 0.0% | | | | | | | | | | |
Arterra Wines Canada, Inc., 2020 Term Loan, 3 mo. LIBOR + 3.50%, 4.25%, 11/24/27 (b),(g) | | | 161,197 | | | | | | 161,129 | |
Chobani, LLC, 2020 Term Loan B, 1 mo. LIBOR + 3.50%, 4.50%, 10/20/27 (b),(g) | | | 1,070,838 | | | | | | 1,069,232 | |
Triton Water Holdings, Inc, Term Loan, 0.00%, 03/31/28 (b),(g),(j) | | | 494,602 | | | | | | 492,283 | |
| | | | | | | | | | |
| | | | | | | | | 1,722,644 | |
| | | | | | | | | | |
Forest & Paper Products — 0.0% | | | | | | | | | | |
Vertical Midco GmbH, USD Term Loan B, 6 mo. LIBOR + 4.25%, 4.48%, 07/30/27 (b) | | | 755,814 | | | | | | 756,948 | |
| | | | | | | | | | |
Gaming, Lodging & Restaurants — 0.0% | | | | | | | | | | |
K-Mac Holdings Corp, 2018 2nd Lien Term Loan, 1 mo. LIBOR + 6.75%, 6.86%, 03/16/26 (b) | | | 162,709 | | | | | | 160,513 | |
Tacala, LLC, 1st Lien Term Loan, 1 mo. LIBOR + 3.75%, 4.50%, 02/05/27 (b) | | | 537,024 | | | | | | 532,475 | |
| | | | | | | | | | |
| | | | | | | | | 692,988 | |
| | | | | | | | | | |
Hardware — 0.0% | | | | | | | | | | |
Cardtronics USA, Inc., Term Loan B, 1 mo. LIBOR + 4.00%, 5.00%, 06/29/27 (b),(g) | | | 628,259 | | | | | | 626,688 | |
EXC Holdings III Corp., USD 2017 1st Lien Term Loan, 3 mo. LIBOR + 3.50%, 4.50%, 12/02/24 (b),(g) | | | 274,180 | | | | | | 273,478 | |
| | | | | | | | | | |
| | | | | | | | | 900,166 | |
| | | | | | | | | | |
Health Care — 0.0% | | | | | | | | | | |
Gordian Medical, Inc., Term Loan B, 0.00%, 03/29/27 (b),(d),(j) | | | 1,179,563 | | | | | | 1,161,869 | |
| | | | | | | | | | |
See Notes to Consolidated Financial Statements.
63
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | |
| | | |
Security Description | | Principal
Amount | | | | | Value | |
Health Care Facilities & Services — 0.9% | | | | | | | | | | |
CDRH Parent, Inc. New 1st Lien Term Loan, 5.250%, 07/01/21 (b),(g) | | $ | 2,018,986 | | | | | $ | 1,843,597 | |
Enterprise Merger Sub Inc., 2018 1st Lien Term Loan, 1 mo. LIBOR + 3.75%, 3.86%, 10/10/25 (b),(g) | | | 3,482,114 | | | | | | 2,996,081 | |
eResearchTechnology, Inc., 2020 1st Lien Term Loan, 1 mo. LIBOR + 4.50%, 5.50%, 02/04/27 (b),(g) | | | 390,645 | | | | | | 390,829 | |
ExamWorks Group, Inc., 2017 Term Loan, 3 mo. LIBOR + 3.25%, 4.25%, 07/27/23 (b) | | | 994,615 | | | | | | 993,372 | |
GHX Ultimate Parent Corporation, 2017 1st Lien Term Loan, 3 mo. LIBOR + 3.25%, 4.25%, 06/28/24 (b),(d),(g) | | | 749,243 | | | | | | 743,624 | |
Air Medical, | | | | | | | | | | |
2017 Term Loan B2, 3 mo. LIBOR + 4.25%, 5.25%, 03/14/25 (b),(g) | | | 1,752,067 | | | | | | 1,739,873 | |
2020 Term Loan B, 3 mo. LIBOR + 4.75%, 5.75%, 10/02/25 (b),(g) | | | 161,074 | | | | | | 160,429 | |
Gainwell Acquisition Corp, Term Loan B, 3 mo. LIBOR + 4.00%, 4.75%, 10/01/27 (b),(d),(g) | | | 394,747 | | | | | | 392,774 | |
National Mentor Holdings, Inc., | | | | | | | | | | |
2021 Term Loan, 3 mo. LIBOR + 3.75%, 4.50%, 03/02/28 (b),(g) | | | 889,972 | | | | | | 883,964 | |
2021 Term Loan C, 3 mo. LIBOR + 3.75%, 4.50%, 03/02/28 (b),(g) | | | 29,666 | | | | | | 29,466 | |
New Millennium HoldCo, Inc. 2020 Term Loan, 6.500%, 05/01/25 (b),(d) | | | 2,304,450 | | | | | | 2,292,928 | |
NMSC Holdings, Inc., 1st Lien Term Loan, 6 mo. LIBOR + 5.00%, 6.00%, 04/19/23 (b),(g) | | | 629,947 | | | | | | 619,395 | |
Onex TSG Intermediate Corp., 2021 Term Loan B, 3 mo. LIBOR + 4.75%, 5.50%, 02/28/28 (b),(g) | | | 700,671 | | | | | | 692,536 | |
PetVet Care Centers, LLC, 2021 Term Loan B3, 1 mo. LIBOR + 3.50%, 4.25%, 02/14/25 (b),(g) | | | 39,672 | | | | | | 39,513 | |
Phoenix Guarantor Inc, 2020 Term Loan B2, 0.00%, 03/05/26 (b),(g),(j) | | | 113,936 | | | | | | 112,939 | |
Pluto Acquisition I, Inc., 2020 Incremental Term Loan B, 1 mo. LIBOR + 5.00%, 5.50%, 06/22/26 (b),(d),(g) | | | 168,968 | | | | | | 168,968 | |
Quorum Health Corporation 2020 Term Loan, 9.250%, 04/29/25 (b),(g) | | | 10,498,787 | | | | | | 10,672,016 | |
Surgery Center Holdings, Inc., 2017 Term Loan B, 1 mo. LIBOR + 3.25%, 4.25%, 09/03/24 (b),(g) | | | 1,999,744 | | | | | | 1,978,186 | |
Team Health Holdings, Inc. 1st Lien Term Loan, 3.750%, 02/06/24 (b),(g) | | | 15,065,308 | | | | | | 13,973,978 | |
U.S. Anesthesia Partners, Inc., 2017 Term Loan, 6 mo. LIBOR + 3.00%, 4.00%, 06/23/24 (b),(g) | | | 1,454,033 | | | | | | 1,434,040 | |
See Notes to Consolidated Financial Statements.
64
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | |
| | | |
Security Description | | Principal
Amount | | | | | Value | |
Unified Physician Management, LLC, 2020 Term Loan, 1 mo. LIBOR + 4.25%, 5.00%, 12/16/27 (b),(d),(g) | | $ | 311,011 | | | | | $ | 311,011 | |
| | | | | | | | | | |
| | | | | | | | | 42,469,519 | |
| | | | | | | | | | |
Home Improvement — 0.1% | | | | | | | | | | |
AI Aqua Merger Sub, Inc., | | | | | | | | | | |
2017 1st Lien Term Loan B, 1 mo. LIBOR + 3.25%, 4.25%, 12/13/23 (b),(g) | | | 581,241 | | | | | | 580,154 | |
2020 Incremental Term Loan, 6.25%, 12/13/23 (b),(g) | | | 110,968 | | | | | | 111,014 | |
Apex Tool Group, LLC, 2019 Term Loan B, 1 mo. LIBOR + 5.25%, 6.50%, 08/01/24 (b),(g) | | | 1,684,299 | | | | | | 1,681,672 | |
CP Atlas Buyer, Inc., 2021 Term Loan B, 3 mo. LIBOR + 3.75%, 4.25%, 11/23/27 (b),(g) | | | 870,014 | | | | | | 863,628 | |
MI Windows and Doors, LLC, 2020 Term Loan, 1 mo. LIBOR + 3.75%, 4.50%, 12/18/27 (b),(d),(g) | | | 343,746 | | | | | | 344,822 | |
| | | | | | | | | | |
| | | | | | | | | 3,581,290 | |
| | | | | | | | | | |
Industrial Other — 0.3% | | | | | | | | | | |
Brand Energy & Infrastructure Services, Inc. 2017 Term Loan, 5.250%, 06/21/24 (b),(g) | | | 2,180,711 | | | | | | 2,144,468 | |
DG Investment Intermediate Holdings 2, Inc., | | | | | | | | | | |
2021 Delayed Draw Term Loan, 0.00%, 03/17/28 (b),(d),(j) | | | 51,735 | | | | | | 51,444 | |
2021 Term Loan, 0.00%, 03/17/28 (b),(d),(j) | | | 247,035 | | | | | | 245,646 | |
Infinite Bidco LLC 2nd Lien Term Loan, 7.500%, 03/02/29 (b),(d),(g) | | | 1,544,345 | | | | | | 1,546,276 | |
QualTek USA, LLC 2018 1st Lien Term Loan, 7.250%, 07/18/25 (b),(g) | | | 10,272,262 | | | | | | 9,810,010 | |
| | | | | | | | | | |
| | | | | | | | | 13,797,844 | |
| | | | | | | | | | |
Industrial Products — 0.0% | | | | | | | | | | |
Brookfield WEC Holdings Inc., 2021 Term Loan, 1 mo. LIBOR + 2.75%, 3.25%, 08/01/25 (b) | | | 989,184 | | | | | | 980,034 | |
| | | | | | | | | | |
Industrial Services — 0.0% | | | | | | | | | | |
Fluid-Flow Products, Inc., | | | | | | | | | | |
Delayed Draw Term Loan, 0.00%, 03/16/28 (b),(d),(j) | | | 65,095 | | | | | | 64,688 | |
Term Loan, 0.00%, 03/16/28 (b),(d),(j) | | | 341,749 | | | | | | 339,614 | |
Tutor Perini Corporation, Term Loan B, 3 mo. LIBOR + 4.50%, 5.50%, 08/13/27 (b),(d) | | | 864,405 | | | | | | 873,049 | |
| | | | | | | | | | |
| | | | | | | | | 1,277,351 | |
| | | | | | | | | | |
See Notes to Consolidated Financial Statements.
65
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | |
| | | |
Security Description | | Principal
Amount | | | | | Value | |
Internet Media — 0.0% | | | | | | | | | | |
MH Sub I, LLC, | | | | | | | | | | |
2020 Incremental Term Loan, 1 mo. LIBOR + 3.75%, 4.75%, 09/13/24 (b),(g) | | $ | 976,018 | | | | | $ | 974,973 | |
2021 2nd Lien Term Loan, 1 mo. LIBOR + 6.25%, 6.36%, 02/12/29 (b),(d),(g) | | | 254,156 | | | | | | 255,427 | |
Shutterfly, Inc., 2019 Term Loan B, 3 mo. LIBOR + 6.00%, 7.00%, 09/25/26 (b),(g) | | | 349,285 | | | | | | 349,771 | |
| | | | | | | | | | |
| | | | | | | | | 1,580,171 | |
| | | | | | | | | | |
Leisure Products Manufacturing — 0.0% | | | | | | | | | | |
Recess Holdings, Inc. 2017 1st Lien Term Loan, 4.750%, 09/30/24 (b),(g) | | | 904,808 | | | | | | 893,951 | |
| | | | | | | | | | |
Machinery — 0.0% | | | | | | | | | | |
AI Alpine AT Bidco GmbH, | | | | | | | | | | |
2018 USD Term Loan B, 3 mo. LIBOR + 3.00%, 3.18%, 10/31/25 (b) | | | 213 | | | | | | 206 | |
2018 USD Term Loan B, 3 mo. LIBOR + 3.00%, 3.20%, 10/31/25 (b) | | | 83,151 | | | | | | 80,379 | |
| | | | | | | | | | |
| | | | | | | | | 80,585 | |
| | | | | | | | | | |
Machinery Manufacturing — 0.2% | | | | | | | | | | |
Engineered Machinery Holdings, Inc., | | | | | | | | | | |
USD 1st Lien Term Loan, 3 mo. LIBOR + 3.00%, 4.00%, 07/19/24 (b),(g) | | | 265,530 | | | | | | 264,258 | |
USD 2nd Lien Term Loan, 8.25%, 07/18/25 (b),(g) | | | 8,435,663 | | | | | | 8,443,592 | |
Titan Acquisition Limited, 2018 Term Loan B, 6 mo. LIBOR + 3.00%, 3.27%, 03/28/25 (b),(g) | | | 969,997 | | | | | | 948,978 | |
Wash Multifamily Acquisition Inc., CAD 1st Lien Term Loan, 1 mo. LIBOR + 3.25%, 4.25%, 05/16/22 (b),(g) | | | 51,537 | | | | | | 51,280 | |
WASH Multifamily Laundry Systems, LLC, 2015 1st Lien Term Loan, 1 mo. LIBOR + 3.25%, 4.25%, 05/16/22 (b),(g) | | | 345,884 | | | | | | 344,154 | |
| | | | | | | | | | |
| | | | | | | | | 10,052,262 | |
| | | | | | | | | | |
Manufactured Goods — 0.2% | | | | | | | | | | |
Hillman Group Inc. (The), 2018 Term Loan B, 1 mo. LIBOR + 4.00%, 4.11%, 05/31/25 (b),(g) | | | 1,089,755 | | | | | | 1,087,881 | |
LTI Holdings, Inc., 2018 Add On 1st Lien Term Loan, 1 mo. LIBOR + 3.50%, 3.61%, 09/06/25 (b),(g) | | | 1,015,710 | | | | | | 998,992 | |
Tecomet Inc., 2017 Repriced Term Loan, 3 mo. LIBOR + 3.50%, 4.50%, 05/01/24 (b),(g) | | | 380,789 | | | | | | 374,441 | |
WireCo WorldGroup, Inc. 1st Lien Term Loan, 6.000%, 09/30/23 (b),(g) | | | 6,880,988 | | | | | | 6,696,095 | |
| | | | | | | | | | |
| | | | | | | | | 9,157,409 | |
| | | | | | | | | | |
See Notes to Consolidated Financial Statements.
66
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | |
| | | |
Security Description | | Principal
Amount | | | | | Value | |
Materials — 0.0% | | | | | | | | | | |
AOT Packaging Products Acquisition, | | | | | | | | | | |
2021 Delayed Draw Term Loan, 3 mo. LIBOR + 3.25%, 3.75%, 03/03/28 (b) | | $ | 1,619 | | | | | $ | 1,602 | |
2021 Term Loan, 3 mo. LIBOR + 3.25%, 3.75%, 03/03/28 (b) | | | 215,898 | | | | | | 213,648 | |
| | | | | | | | | | |
| | | | | | | | | 215,250 | |
| | | | | | | | | | |
Media — 0.0% | | | | | | | | | | |
Nielsen Finance LLC, 2020 USD Term Loan B5, 1 mo. LIBOR + 3.75%, 4.75%, 06/04/25 (b) | | | 129,022 | | | | | | 129,243 | |
| | | | | | | | | | |
Medical Equipment & Devices Manufacturing — 0.0% | | | | | | | | | | |
Albany Molecular Research, Inc., 2017 1st Lien Term Loan, 3 mo. LIBOR + 3.25%, 4.25%, 08/30/24 (b),(g) | | | 159,532 | | | | | | 159,361 | |
CPI International Inc., 2017 1st Lien Term Loan, 1 mo. LIBOR + 3.50%, 4.50%, 07/26/24 (b),(g) | | | 181,356 | | | | | | 180,620 | |
| | | | | | | | | | |
| | | | | | | | | 339,981 | |
| | | | | | | | | | |
Pharmaceuticals — 0.3% | | | | | | | | | | |
Amneal Pharmaceuticals LLC, 2018 Term Loan B, 1 mo. LIBOR + 3.50%, 3.63%, 05/04/25 (b),(g) | | | 483,831 | | | | | | 474,415 | |
Arbor Pharmaceuticals, Inc., Term Loan B, 3 mo. LIBOR + 5.00%, 6.00%, 07/05/23 (b),(g) | | | 660,979 | | | | | | 638,175 | |
Mallinckrodt International Finance S.A., | | | | | | | | | | |
2018 Term Loan B, 5.75%, 02/24/25 (b),(g),(k) | | | 1,801,666 | | | | | | 1,771,633 | |
Revolver, 0.00%, 02/28/22 (b),(k),(g),(j) | | | 4,730,182 | | | | | | 4,676,968 | |
USD Term Loan B, 5.50%, 09/24/24 (b),(g),(k) | | | 8,195,146 | | | | | | 8,066,564 | |
| | | | | | | | | | |
| | | | | | | | | 15,627,755 | |
| | | | | | | | | | |
Pipeline — 0.0% | | | | | | | | | | |
BCP Raptor, LLC, Term Loan B, 1 mo. LIBOR + 4.25%, 5.25%, 06/24/24 (b),(g) | | | 155,875 | | | | | | 149,727 | |
Oryx Midstream Holdings LLC, Term Loan B, 1 mo. LIBOR + 4.00%, 4.11%, 05/22/26 (b),(g) | | | 936,709 | | | | | | 912,645 | |
Lucid Energy Group II Borrower, LLC, 2018 1st Lien Term Loan, 1 mo. LIBOR + 3.00%, 4.00%, 02/17/25 (b),(g) | | | 394,297 | | | | | | 380,990 | |
| | | | | | | | | | |
| | | | | | | | | 1,443,362 | |
| | | | | | | | | | |
Power Generation — 0.0% | | | | | | | | | | |
AssuredPartners Capital, Inc., 2020 Incremental Term Loan B, 1 mo. LIBOR + 4.50%, 5.50%, 02/12/27 (b),(g) | | | 321,300 | | | | | | 321,220 | |
| | | | | | | | | | |
See Notes to Consolidated Financial Statements.
67
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | |
| | | |
Security Description | | Principal
Amount | | | | | Value | |
Property & Casualty Insurance — 0.1% | | | | | | | | | | |
Asurion LLC, 2021 2nd Lien Term Loan B3, 1 mo. LIBOR + 5.25%, 5.36%, 01/31/28 (b),(g) | | $ | 602,707 | | | | | $ | 613,255 | |
Hub International Limited, 2021 Term Loan B, 3 mo. LIBOR + 3.25%, 4.00%, 04/25/25 (b),(g) | | | 1,260,014 | | | | | | 1,258,225 | |
Sedgwick Claims Management Services, Inc., 2019 Term Loan B, 1 mo. LIBOR + 3.75%, 3.86%, 09/03/26 (b),(g) | | | 245,956 | | | | | | 244,335 | |
| | | | | | | | | | |
| | | | | | | | | 2,115,815 | |
| | | | | | | | | | |
Publishing & Broadcasting — 0.1% | | | | | | | | | | |
A-L Parent LLC, | | | | | | | | | | |
2016 1st Lien Term Loan, 4.25%, 12/01/23 (b),(g) | | | 4,992,895 | | | | | | 4,585,575 | |
2016 2nd Lien Term Loan, 8.25%, 12/02/24 (b),(g) | | | 857,047 | | | | | | 479,946 | |
Clear Channel Outdoor Holdings, Inc., Term Loan B, 3 mo. LIBOR + 3.50%, 3.71%, 08/21/26 (b),(g) | | | 740,392 | | | | | | 710,162 | |
LBI Media, Inc., Exit Term Loan, 3 mo. LIBOR + 7.50%, 8.50%, 10/15/24 (b),(d) | | | 335,312 | | | | | | 102,270 | |
Recorded Books Inc., 2021 Term Loan, 1 mo. LIBOR + 4.00%, 4.11%, 08/29/25 (b),(g) | | | 349,311 | | | | | | 347,687 | |
| | | | | | | | | | |
| | | | | | | | | 6,225,640 | |
| | | | | | | | | | |
Real Estate — 0.1% | | | | | | | | | | |
Geo Group, Inc. (The) 2018 Term Loan B, 2.750%, 03/22/24 (b),(g) | | | 2,370,809 | | | | | | 2,104,520 | |
Motion Finco Sarl, USD Term Loan B1, 3 mo. LIBOR + 3.25%, 3.45%, 11/12/26 (b) | | | 903,067 | | | | | | 871,297 | |
| | | | | | | | | | |
| | | | | | | | | 2,975,817 | |
| | | | | | | | | | |
Recreation Facilities & Services — 0.0% | | | | | | | | | | |
Motion Finco Sarl, Delayed Draw Term Loan B2, 3 mo. LIBOR + 3.25%, 3.45%, 11/12/26 (b) | | | 118,912 | | | | | | 114,729 | |
| | | | | | | | | | |
Refining & Marketing — 0.2% | | | | | | | | | | |
CITGO Holding Inc. 2019 Term Loan B, 6 mo. LIBOR + 7.00%, 8.000%, 08/01/23 (b),(g) | | | 4,000,570 | | | | | | 3,838,547 | |
Citgo Petroleum Corporation 2019 Term Loan B, 6 mo. LIBOR + 6.25%, 7.250%, 03/28/24 (b),(g) | | | 5,397,077 | | | | | | 5,401,556 | |
Gulf Finance, LLC, | | | | | | | | | | |
Term Loan B, 6.25%, 08/25/23 (b),(g) | | | 98,497 | | | | | | 81,330 | |
Term Loan B, 3 mo. LIBOR + 5.25%, 7.00%, 08/25/23 (b),(g) | | | 35,913 | | | | | | 29,654 | |
| | | | | | | | | | |
| | | | | | | | | 9,351,087 | |
| | | | | | | | | | |
See Notes to Consolidated Financial Statements.
68
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | |
| | | |
Security Description | | Principal
Amount | | | | | Value | |
Restaurants — 0.0% | | | | | | | | | | |
IRB Holding Corp, 2020 Fourth Amendment Incremental Term Loan, 3 mo. LIBOR + 3.25%, 4.25%, 12/15/27 (b),(g) | | $ | 943,083 | | | | | $ | 938,660 | |
| | | | | | | | | | |
Retail—Consumer Discretionary — 0.1% | | | | | | | | | | |
Foundation Building Materials Holding Company LLC, 2021 Term Loan, 1 mo. LIBOR + 3.25%, 3.75%, 02/03/28 (b),(g) | | | 388,389 | | | | | | 384,408 | |
Harbor Freight Tools USA, Inc., 2020 Term Loan B, 1 mo. LIBOR + 3.00%, 3.75%, 10/19/27 (b),(g) | | | 1,424,659 | | | | | | 1,422,066 | |
Kodiak Building Partners Inc., Term Loan B, 3 mo. LIBOR + 3.25%, 4.00%, 03/12/28 (b),(d),(g) | | | 309,307 | | | | | | 307,374 | |
LBM Acquisition LLC, | | | | | | | | | | |
Delayed Draw Term Loan, 0.00%, 12/17/27 (b),(g),(j) | | | 70,815 | | | | | | 70,474 | |
Term Loan B, 3 mo. LIBOR + 3.75%, 4.50%, 12/17/27 (b),(g) | | | 318,667 | | | | | | 317,132 | |
PetSmart, Inc., 2021 Term Loan B, 3 mo. LIBOR + 3.75%, 4.50%, 02/12/28 (b) | | | 346,356 | | | | | | 345,559 | |
White Cap Buyer LLC, Term Loan B, 6 mo. LIBOR + 4.00%, 4.50%, 10/19/27 (b),(g) | | | 800,552 | | | | | | 798,550 | |
| | | | | | | | | | |
| | | | | | | | | 3,645,563 | |
| | | | | | | | | | |
Retail—Discretionary — 0.0% | | | | | | | | | | |
Petco Health and Wellness Company, Inc., 2021 Term Loan B, 3 mo. LIBOR + 3.25%, 4.00%, 03/03/28 (b) | | | 838,185 | | | | | | 834,388 | |
| | | | | | | | | | |
Software — 0.0% | | | | | | | | | | |
NIC Acquisition Corp., Term Loan, 6 mo. LIBOR + 3.75%, 4.50%, 12/29/27 (b) | | | 242,877 | | | | | | 242,675 | |
| | | | | | | | | | |
Software & Services — 0.8% | | | | | | | | | | |
Athenahealth, Inc., 2021 Term Loan B1, 3 mo. LIBOR + 4.25%, 4.45%, 02/11/26 (b),(g) | | | 991,091 | | | | | | 991,913 | |
Banff Merger Sub Inc, 2021 USD Term Loan, 1 mo. LIBOR + 3.75%, 3.86%, 10/02/25 (b),(g) | | | 1,532,752 | | | | | | 1,525,088 | |
Blackboard, Inc. 2019 Term Loan B5, 7.000%, 06/30/24 (b),(g) | | | 4,284,680 | | | | | | 4,266,470 | |
Brave Parent Holdings, Inc., 1st Lien Term Loan, 1 mo. LIBOR + 4.00%, 4.11%, 04/18/25 (b),(g) | | | 1,019,818 | | | | | | 1,018,972 | |
Constant Contact Inc Second Lien Term Loan, 8.250%, 02/10/29 (b),(d),(g) | | | 2,830,542 | | | | | | 2,788,084 | |
ConvergeOne Holdings, Inc., 2019 Term Loan, 1 mo. LIBOR + 5.00%, 5.11%, 01/04/26 (b),(g) | | | 281,082 | | | | | | 270,893 | |
See Notes to Consolidated Financial Statements.
69
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | |
| | | |
Security Description | | Principal
Amount | | | | | Value | |
CT Technologies Intermediate Holdings, Inc., 2020 Term Loan, 1 mo. LIBOR + 5.00%, 6.00%, 12/16/25 (b),(g) | | $ | 782,179 | | | | | $ | 782,828 | |
DCert Buyer, Inc., | | | | | | | | | | |
2019 Term Loan B, 1 mo. LIBOR + 4.00%, 4.11%, 10/16/26 (b),(g) | | | 724,390 | | | | | | 722,478 | |
2021 2nd Lien Term Loan, 1 mo. LIBOR + 7.00%, 7.11%, 02/16/29 (b) | | | 459,666 | | | | | | 461,679 | |
DMT Solutions Global Corporation 2020 Incremental Term Loan, 8.000%, 07/02/24 (b),(d),(g) | | | 3,273,488 | | | | | | 3,240,754 | |
Epicor Software Corporation, 2020 Term Loan, 1 mo. LIBOR + 3.25%, 4.00%, 07/30/27 (b),(g) | | | 947,220 | | | | | | 943,753 | |
First Advantage Holdings, LLC, 2021 Term Loan B, 1 mo. LIBOR + 3.00%, 3.11%, 01/31/27 (b),(g) | | | 210,061 | | | | | | 208,364 | |
Flexera Software LLC, 2020 Term Loan B, 3 mo. LIBOR + 3.75%, 4.50%, 01/26/28 (b),(g) | | | 611,397 | | | | | | 611,727 | |
Genuine Financial Holdings, LLC, 2018 1st Lien Term Loan, 1 mo. LIBOR + 3.75%, 3.86%, 07/11/25 (b),(g) | | | 445,380 | | | | | | 438,143 | |
GlobalLogic Holdings Inc., 2020 Incremental Term Loan B2, 1 mo. LIBOR + 3.75%, 4.50%, 09/14/27 (b),(d),(g) | | | 204,033 | | | | | | 203,523 | |
Greeneden U.S. Holdings II, LLC, 2020 USD Term Loan B4, 1 mo. LIBOR + 4.00%, 4.75%, 12/01/27 (b),(g) | | | 1,085,961 | | | | | | 1,085,146 | |
Help/Systems Holdings, Inc, 2019 Term Loan B, 3 mo. LIBOR + 4.75%, 5.75%, 11/19/26 (b),(g) | | | 1,005,290 | | | | | | 1,009,895 | |
I-Logic Technologies Bidco Limited, 2021 USD Term Loan B, 3 mo. LIBOR + 4.00%, 4.50%, 02/16/28 (b),(d),(g) | | | 300,312 | | | | | | 297,685 | |
Idera, Inc., 2021 Term Loan, 3 mo. LIBOR + 3.75%, 4.50%, 02/04/28 (b),(g) | | | 300,312 | | | | | | 297,985 | |
Imperva, Inc., 1st Lien Term Loan, 3 mo. LIBOR + 4.00%, 5.00%, 01/12/26 (b),(g) | | | 1,409,259 | | | | | | 1,406,835 | |
Imprivata, Inc, Term Loan, 1 mo. LIBOR + 3.75%, 4.25%, 12/01/27 (b),(g) | | | 230,899 | | | | | | 230,213 | |
Informatica LLC, 2020 USD 2nd Lien Term Loan, 7.13%, 02/25/25 (b) | | | 77,519 | | | | | | 79,119 | |
Ivanti Software, Inc., | | | | | | | | | | |
2020 Term Loan B, 3 mo. LIBOR + 4.75%, 5.75%, 12/01/27 (b),(g) | | | 500,000 | | | | | | 501,460 | |
2021 Add On Term Loan B, 0.00%, 12/01/27 (b),(g),(j) | | | 216,479 | | | | | | 215,289 | |
MA FinanceCo., LLC, 2020 USD Term Loan B, 3 mo. LIBOR + 4.25%, 5.25%, 06/05/25 (b),(d),(g) | | | 549,508 | | | | | | 551,569 | |
See Notes to Consolidated Financial Statements.
70
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | |
| | | |
Security Description | | Principal
Amount | | | | | Value | |
Mitchell International, Inc., 2020 Add-On Term Loan, 1 mo. LIBOR + 4.25%, 4.75%, 11/29/24 (b),(g) | | $ | 878,019 | | | | | $ | 878,677 | |
Peraton Holding Corp, Term Loan B, 3 mo. LIBOR + 3.75%, 4.50%, 02/01/28 (b),(g) | | | 458,810 | | | | | | 458,429 | |
Perforce Software, Inc., 2020 Term Loan B, 1 mo. LIBOR + 3.75%, 3.86%, 07/01/26 (b),(g) | | | 667,786 | | | | | | 660,440 | |
Project Alpha Intermediate Holding, Inc., 2021 Term Loan B, 1 mo. LIBOR + 4.00%, 4.11%, 04/26/24 (b),(g) | | | 1,537,938 | | | | | | 1,532,171 | |
Project Angel Holdings LLC, 2018 1st Lien Term Loan, 1 mo. LIBOR + 4.00%, 5.00%, 05/30/25 (b),(d),(g) | | | 594,554 | | | | | | 593,068 | |
Project Leopard Holdings, Inc., | | | | | | | | | | |
2018 Term Loan, 3 mo. LIBOR + 4.75%, 5.75%, 07/07/24 (b),(g) | | | 117,606 | | | | | | 117,135 | |
2019 Term Loan, 3 mo. LIBOR + 4.75%, 5.75%, 07/07/24 (b),(g) | | | 1,048,744 | | | | | | 1,044,549 | |
Project Ruby Ultimate Parent Corp., 2021 Term Loan, 3 mo. LIBOR + 3.25%, 4.00%, 03/10/28 (b),(g) | | | 310,334 | | | | | | 308,913 | |
Quest Software US Holdings Inc., 2018 1st Lien Term Loan, 3 mo. LIBOR + 4.25%, 4.46%, 05/16/25 (b),(g) | | | 1,593,051 | | | | | | 1,589,068 | |
Rocket Software, Inc., 2018 Term Loan, 1 mo. LIBOR + 4.25%, 4.36%, 11/28/25 (b),(g) | | | 1,187,879 | | | | | | 1,184,018 | |
Sophia, L.P., 2020 1st Lien Term Loan, 3 mo. LIBOR + 3.75%, 4.50%, 10/07/27 (b),(g) | | | 655,911 | | | | | | 655,091 | |
Syncsort Incorporated, 2021 1st Lien Term Loan, 0.00%, 03/04/28 (b),(j) | | | 1,100,900 | | | | | | 1,091,729 | |
TierPoint, LLC, 2021 Term Loan, 3 mo. LIBOR + 3.75%, 4.50%, 05/05/26 (b),(g) | | | 1,775,604 | | | | | | 1,763,760 | |
Veritas US Inc., 2021 USD Term Loan B, 3 mo. LIBOR + 5.00%, 6.00%, 09/01/25 (b),(g) | | | 1,636,179 | | | | | | 1,637,537 | |
Virgin Pulse, Inc., 2021 Term Loan, 0.00%, 03/30/28 (b),(d),(j),(g) | | | 357,796 | | | | | | 355,112 | |
Virtusa Corporation, Term Loan B, 1 mo. LIBOR + 4.25%, 5.00%, 02/11/28 (b),(d),(g) | | | 207,740 | | | | | | 207,870 | |
Weld North Education, LLC, 2020 Term Loan B, 1 mo. LIBOR + 4.00%, 4.75%, 12/21/27 (b),(g) | | | 609,928 | | | | | | 608,360 | |
| | | | | | | | | | |
| | | | | | | | | 38,835,792 | |
| | | | | | | | | | |
Software & Technology Services — 0.1% | | | | | | | | | | |
Endure Digital Inc., Term Loan, 3 mo. LIBOR + 3.50%, 4.25%, 02/10/28 (b) | | | 1,380,105 | | | | | | 1,363,889 | |
Peraton Holding Corp, Delayed Draw Term Loan B, 0.00%, 02/01/28 (b),(j) | | | 807,462 | | | | | | 806,792 | |
| | | | | | | | | | |
| | | | | | | | | 2,170,681 | |
| | | | | | | | | | |
See Notes to Consolidated Financial Statements.
71
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | | | |
| | | |
Security Description | | Principal
Amount | | | | | | Value | |
Specialty Finance — 0.0% | | | | | | | | | | | | |
PI US MergerCo, Inc., USD 2017 1st Lien Term Loan, 1 mo. LIBOR + 3.50%, 4.50%, 01/03/25 (b) | | $ | 253,443 | | | | | | | $ | 252,953 | |
| | | | | | | | | | | | |
Transportation & Logistics — 0.0% | | | | | | | | | | | | |
Gruden Acquisition, Inc., 2017 Term Loan, 3 mo. LIBOR + 5.50%, 6.50%, 08/18/22 (b),(g) | | | 1,059,211 | | | | | | | | 1,054,359 | |
IBC Capital Limited, 2018 1st Lien Term Loan, 3 mo. LIBOR + 3.75%, 3.94%, 09/11/23 (b),(g) | | | 550,996 | | | | | | | | 545,762 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,600,121 | |
| | | | | | | | | | | | |
Travel & Lodging — 0.1% | | | | | | | | | | | | |
Casablanca US Holdings, Inc., 2018 1st Lien Term Loan, 3 mo. LIBOR + 4.00%, 4.21%, 03/29/24 (b),(g) | | | 1,973,087 | | | | | | | | 1,750,404 | |
Hornblower Sub, LLC, | | | | | | | | | | | | |
2020 Repriced Term Loan B, 0.00%, 04/27/25 (b),(d),(g),(j) | | | 2,177,329 | | | | | | | | 1,992,256 | |
2020 Repriced Term Loan B, 3 mo. LIBOR + 4.50%, 4.70%, 04/27/25 (b),(d),(g) | | | 686,746 | | | | | | | | 628,372 | |
2020 Repriced Term Loan B, 3 mo. LIBOR + 4.50%, 5.50%, 04/27/25 (b),(d),(g) | | | 624,817 | | | | | | | | 571,708 | |
SMB Shipping Logistics, LLC, 1st Lien Term Loan, 1 mo. LIBOR + 4.00%, 5.00%, 02/02/24 (b),(g) | | | 435,975 | | | | | | | | 434,886 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 5,377,626 | |
| | | | | | | | | | | | |
Waste & Environmental Services & Equipment — 0.0% | | | | | | | | | |
EnergySolutions, LLC, 2018 Term Loan B, 3 mo. LIBOR + 3.75%, 4.75%, 05/09/25 (b),(g) | | | 547,479 | | | | | | | | 544,057 | |
Robertshaw US Holding Corp, 2018 1st Lien Term Loan, 1 mo. LIBOR + 3.50%, 4.50%, 02/28/25 (b),(g) | | | 1,104,563 | | | | | | | | 1,036,633 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,580,690 | |
| | | | | | | | | | | | |
Wireless Telecommunications Services — 0.0% | | | | | | | | | | | | |
CCI Buyer, Inc., Term Loan, 3 mo. LIBOR + 4.00%, 4.75%, 12/17/27 (b),(g) | | | 383,753 | | | | | | | | 384,114 | |
| | | | | | | | | | | | |
Wireline Telecommunications Services — 0.0% | | | | | | | | | | | | |
Securus Technologies Holdings, Inc., 2017 1st Lien Term Loan, 3 mo. LIBOR + 4.50%, 5.50%, 11/01/24 (b),(g) | | | 261,815 | | | | | | | | 241,734 | |
West Corporation, 2017 Term Loan, 3 mo. LIBOR + 4.00%, 5.00%, 10/10/24 (b),(g) | | | 535,020 | | | | | | | | 517,332 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 759,066 | |
| | | | | | | | | | | | |
Total North America | | | | | | | | | | | 278,544,793 | |
| | | | | | | | | | | | |
See Notes to Consolidated Financial Statements.
72
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | | | |
| | | |
Security Description | | Principal
Amount | | | | | | Value | |
South America — 0.3% | | | | | | | | | | | | |
Consumer Discretionary Services — 0.0% | | | | | | | | | | | | |
Hornblower Sub, LLC, 2021 Incremental Term Loan, 0.00%, 11/10/25 (b),(d),(j) | | $ | 1,110,886 | | | | | | | $ | 1,166,430 | |
| | | | | | | | | | | | |
Industrial Services — 0.1% | | | | | | | | | | | | |
Latam Airlines Group S.A., | | | | | | | | | | | | |
PIK DIP Delayed Draw Term Loan A, 0.00%, 03/29/22 (b),(d),(j) | | | 535,248 | | | | | | | | 541,938 | |
PIK DIP Delayed Draw Term Loan A, 3 mo. LIBOR + 0.50%, 0.50%, 03/29/22 (b),(d),(g) | | | 1,275,247 | | | | | | | | 1,291,188 | |
PIK DIP Delayed Draw Term Loan C, 3 mo. LIBOR + 1.00%, 16.00%, 04/08/22 (b),(d) | | | 988,966 | | | | | | | | 1,038,414 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,871,540 | |
| | | | | | | | | | | | |
Insurance — 0.0% | | | | | | | | | | | | |
OneDigital Borrower LLC, 2020 Term Loan, 3 mo. LIBOR + 4.50%, 5.25%, 11/16/27 (b) | | | 48,394 | | | | | | | | 48,354 | |
| | | | | | | | | | | | |
Iron & Steel — 0.2% | | | | | | | | | | | | |
Samarco Mineracao S.A., Fixed Rate Term Loan, 0.00%, 08/31/21 (b),(d),(j) | | | 11,623,127 | | | | | | | | 8,542,999 | |
| | | | | | | | | | | | |
Total South America | | | | | | | | 12,629,323 | |
| | | | | | | | | | | | |
TOTAL BANK DEBT
(COST $299,562,055) | | | | | | | | 303,314,154 | |
| | | | | | | | | | | | |
CORPORATE BONDS & NOTES — 6.1% | | | | | | | | | | | | |
Africa — 0.1% | | | | | | | | | | | | |
Utilities — 0.1% | | | | | | | | | | | | |
Eskom Holdings SOC Ltd., 8.45%, 08/10/28 (e) | | | 3,660,000 | | | | | | | | 3,973,882 | |
| | | | | | | | | | | | |
Asia — 0.1% | | | | | | | | | | | | |
Financial Services — 0.1% | | | | | | | | | | | | |
VTB Bank OJSC Via VTB Capital SA, 6.95%, 10/17/22 (e) | | | 3,232,000 | | | | | | | | 3,425,920 | |
| | | | | | | | | | | | |
Total Asia | | | | | | | | 3,425,920 | |
| | | | | | | | | | | | |
Europe — 0.9% | | | | | | | | | | | | |
Aerospace & Defense — 0.1% | | | | | | | | | | | | |
Rolls-Royce PLC, | | | | | | | | | | | | |
4.63%, 02/16/26 (b),(e) | | | 1,161,000 | | | | EUR | | | | 1,467,021 | |
5.75%, 10/15/27 (b),(c),(f) | | | 1,848,000 | | | | EUR | | | | 1,966,365 | |
MTN, 1.63%, 05/09/28 (b),(e) | | | 524,000 | | | | EUR | | | | 559,872 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 3,993,258 | |
| | | | | | | | | | | | |
See Notes to Consolidated Financial Statements.
73
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | | | |
| | | |
Security Description | | Principal
Amount | | | | | | Value | |
Automobiles Manufacturing — 0.1% | | | | | | | | | | | | |
Aston Martin Capital Holdings Ltd., 10.50%, 11/30/25 (b),(c),(f) | | $ | 1,994,000 | | | | | | | $ | 2,202,223 | |
Mclaren Finance plc, 5.00%, 08/01/22 (b),(e) | | | 3,999,000 | | | | GBP | | | | 5,366,372 | |
Mclaren Finance PLC, 5.75%, 08/01/22 (b),(c),(f) | | $ | 579,000 | | | | | | | | 567,420 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 8,136,015 | |
| | | | | | | | | | | | |
Banks — 0.2% | | | | | | | | | | | | |
HSBC Bank plc, | | | | | | | | | | | | |
0.00%, 07/15/21 (f),(m) | | | 27,425,000 | | | | EGP | | | | 1,682,404 | |
MTN, 0.00%, 05/20/21 (f),(e),(m) | | | 2,400,000 | | | | EGP | | | | 150,536 | |
ICBC Standard Bank plc, MTN, 0.00%, 07/01/21 (f),(c),(m) | | | 116,064,975 | | | | EGP | | | | 7,161,972 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 8,994,912 | |
| | | | | | | | | | | | |
Consumer Services — 0.0% | | | | | | | | | | | | |
AA Bond Co. Ltd., 6.50%, 01/31/26 (b),(f) | | | 350,000 | | | | GBP | | | | 497,588 | |
| | | | | | | | | | | | |
Food & Beverage — 0.1% | | | | | | | | | | | | |
Forno d’Asolo SpA, 3 mo. EURIBOR + 5.50%, 5.50%, 04/30/27 (b),(f),(g) | | | 3,404,000 | | | | EUR | | | | 3,726,952 | |
| | | | | | | | | | | | |
Real Estate — 0.0% | | | | | | | | | | | | |
Unique Pub Finance Co PLC (The), | | | | | | | | | | | | |
6.46%, 03/30/32 (b),(e) | | | 410,000 | | | | GBP | | | | 579,331 | |
7.40%, 03/28/24 (b),(e) | | | 93,000 | | | | GBP | | | | 135,261 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 714,592 | |
| | | | | | | | | | | | |
Restaurants — 0.3% | | | | | | | | | | | | |
Stonegate Pub Co. Financing 2019 plc, 8.250%, 07/31/25 (b),(f),(e) | | | 6,244,000 | | | | GBP | | | | 9,081,412 | |
Wagamama Finance plc, 4.13%, 07/01/22 (b),(l),(e) | | | 3,155,000 | | | | GBP | | | | 4,337,737 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 13,419,149 | |
| | | | | | | | | | | | |
Transportation & Logistics — 0.1% | | | | | | | | | | | | |
Heathrow Finance PLC, | | | | | | | | | | | | |
4.38%, 03/01/27 (b),(e) | | | 1,508,000 | | | | GBP | | | | 2,110,877 | |
4.63%, 09/01/29 (b),(e) | | | 1,483,000 | | | | GBP | | | | 2,068,178 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 4,179,055 | |
| | | | | | | | | | | | |
Total Europe | | | | | | | | 43,661,521 | |
| | | | | | | | | | | | |
Middle East — 0.0% | | | | | | | | | | | | |
Utilities — 0.0% | | | | | | | | | | | | |
Oryx Funding Ltd., 5.80%, 02/03/31 (f) | | $ | 917,000 | | | | | | | | 947,949 | |
| | | | | | | | | | | | |
See Notes to Consolidated Financial Statements.
74
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | | | |
| | | |
Security Description | | Principal
Amount | | | | | | Value | |
North America — 4.9% | | | | | | | | | | | | |
Airlines — 0.0% | | | | | | | | | | | | |
American Airlines Inc/AAdvantage Loyalty IP Ltd., | | | | | | | | | | | | |
5.50%, 04/20/26 (b),(c),(f) | | $ | 1,376,762 | | | | | | | $ | 1,432,782 | |
5.75%, 04/20/29 (b),(f) | | | 688,382 | | | | | | | | 732,198 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,164,980 | |
| | | | | | | | | | | | |
Banks — 0.1% | | | | | | | | | | | | |
JPMorgan Chase Bank N.A., 0.00%, 09/16/21 (f),(m) | | | 46,252,000 | | | | EGP | | | | 2,777,424 | |
| | | | | | | | | | | | |
Commercial Finance — 0.2% | | | | | | | | | | | | |
Fortress Transportation & Infrastructure Investors LLC, 6.75%, 03/15/22 (b),(c),(f) | | $ | 1,203,000 | | | | | | | | 1,204,504 | |
Fortress Transportation and Infrastructure Investors LLC, 6.50%, 10/01/25 (b),(c),(f) | | | 9,202,000 | | | | | | | | 9,616,090 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 10,820,594 | |
| | | | | | | | | | | | |
Consumer Finance — 0.3% | | | | | | | | | | | | |
Curo Group Holdings Corp., 8.25%, 09/01/25 (b),(c),(f) | | | 12,577,000 | | | | | | | | 12,608,442 | |
PHH Mortgage Corp., 7.88%, 03/15/26 (b),(c),(f) | | | 2,364,000 | | | | | | | | 2,405,843 | |
United Wholesale Mtge LL, 5.50%, 04/15/29 (b),(f) | | | 230,000 | | | | | | | | 230,000 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 15,244,285 | |
| | | | | | | | | | | | |
Consumer Products — 0.0% | | | | | | | | | | | | |
Kronos Acquisition Holdings, Inc., | | | | | | | | | | | | |
5.00%, 12/31/26 (b),(c),(f) | | | 779,000 | | | | | | | | 779,000 | |
7.00%, 12/31/27 (b),(c),(f) | | | 1,112,000 | | | | | | | | 1,065,707 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,844,707 | |
| | | | | | | | | | | | |
Entertainment Resources — 0.0% | | | | | | | | | | | | |
Life Time, Inc., 5.75%, 01/15/26 (b),(c),(f) | | | 2,092,000 | | | | | | | | 2,152,250 | |
| | | | | | | | | | | | |
Exploration & Production — 0.2% | | | | | | | | | | | | |
Par Petroleum LLC/Par Petroleum Finance Corp., 12.88%, 01/15/26 (b),(c),(f) | | | 190,000 | | | | | | | | 218,500 | |
Par Petroleum LLC/Petroleum Finance Corp., 7.75%, 12/15/25 (b),(c),(f) | | | 11,339,000 | | | | | | | | 11,480,737 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 11,699,237 | |
| | | | | | | | | | | | |
Financial Services — 0.2% | | | | | | | | | | | | |
2001 Cat RE Ltd., 3 mo. T-BILL + 12.00%, 12.02%, 01/10/28 (f),(g) | | | 1,300,000 | | | | | | | | 1,346,800 | |
3264 re Ltd., 1 mo. T-BILL + 9.75%, 9.77%, 02/07/26 (f),(g) | | | 1,200,000 | | | | | | | | 1,233,840 | |
See Notes to Consolidated Financial Statements.
75
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | |
| | | |
Security Description | | Principal
Amount | | | | | Value | |
Herbie Re Ltd., 3 mo. T-BILL + 16.00%, 16.02%, 01/06/23 (f),(g) | | $ | 250,000 | | | | | $ | 261,450 | |
Kilimanjaro III Re Ltd., 16.675%, 12/19/26 - 12/19/27 (f),(g) | | | 4,950,000 | | | | | | 5,137,605 | |
Kilimanjaro Re Ltd., 3 mo. USD LIBOR + 13.61%, 13.67%, 05/05/26 (f),(g) | | | 400,000 | | | | | | 406,920 | |
MF Global Holdings Ltd., 6.75%, 08/08/16 (b),(d),(k),(l) | | | 436,000 | | | | | | 128,620 | |
| | | | | | | | | | |
| | | | | | | | | 8,515,235 | |
| | | | | | | | | | |
Food & Beverage — 0.0% | | | | | | | | | | |
Cooke Omega Investments, Inc. / Alpha VesselCo Holdings, Inc., 8.50%, 12/15/22 (b),(c),(f) | | | 564,000 | | | | | | 579,510 | |
Del Monte Foods, Inc., 11.88%, 05/15/25 (b),(c),(f) | | | 1,432,000 | | | | | | 1,644,115 | |
| | | | | | | | | | |
| | | | | | | | | 2,223,625 | |
| | | | | | | | | | |
Hardware — 0.0% | | | | | | | | | | |
Pitney Bowes, Inc., | | | | | | | | | | |
6.88%, 03/15/27 (b),(c),(f) | | | 803,000 | | | | | | 795,974 | |
7.25%, 03/15/29 (b),(c),(f) | | | 1,377,000 | | | | | | 1,361,729 | |
| | | | | | | | | | |
| | | | | | | | | 2,157,703 | |
| | | | | | | | | | |
Health Care Facilities & Services — 0.2% | | | | | | | | | | |
BCPE Cycle Merger Sub II, Inc., 10.63%, 07/15/27 (b),(c),(f) | | | 3,694,000 | | | | | | 4,063,400 | |
CAN Community Health, Inc., 8.50%, 03/01/28 (b),(c),(f) | | | 4,230,000 | | | | | | 4,441,500 | |
Hadrian Merger Sub, Inc., 8.50%, 05/01/26 (b),(c),(f) | | | 1,950,000 | | | | | | 2,023,125 | |
| | | | | | | | | | |
| | | | | | | | | 10,528,025 | |
| | | | | | | | | | |
Home Improvement — 0.1% | | | | | | | | | | |
Werner FinCo LP / Werner FinCo, Inc., 8.75%, 07/15/25 (b),(c),(f) | | | 4,383,000 | | | | | | 4,580,235 | |
| | | | | | | | | | |
Industrial Other — 0.5% | | | | | | | | | | |
Brand Industrial Services, Inc., 8.50%, 07/15/25 (b),(c),(f) | | | 2,929,000 | | | | | | 2,951,846 | |
Michael Baker International LLC, 8.75%, 03/01/23 (b),(c),(f) | | | 20,381,000 | | | | | | 20,661,239 | |
| | | | | | | | | | |
| | | | | | | | | 23,613,085 | |
| | | | | | | | | | |
Integrated Oils — 0.7% | | | | | | | | | | |
Petroleos Mexicanos, | | | | | | | | | | |
3.50%, 01/30/23 | | | 2,372,000 | | | | | | 2,401,650 | |
4.50%, 01/23/26 | | | 1,027,000 | | | | | | 1,019,606 | |
See Notes to Consolidated Financial Statements.
76
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | |
| | | |
Security Description | | Principal
Amount | | | | | Value | |
5.95%, 01/28/31 | | $ | 1,712,000 | | | | | $ | 1,643,520 | |
6.35%, 02/12/48 (h) | | | 12,412,000 | | | | | | 10,224,385 | |
6.38%, 01/23/45 | | | 2,673,000 | | | | | | 2,218,590 | |
6.75%, 09/21/47 (h) | | | 12,917,000 | | | | | | 10,982,033 | |
6.88%, 10/16/25 (f) | | | 1,081,000 | | | | | | 1,170,723 | |
6.95%, 01/28/60 | | | 1,976,000 | | | | | | 1,694,795 | |
7.69%, 01/23/50 (h) | | | 1,546,000 | | | | | | 1,430,050 | |
| | | | | | | | | | |
| | | | | | | | | 32,785,352 | |
| | | | | | | | | | |
Internet Media — 0.1% | | | | | | | | | | |
Getty Images, Inc., 9.75%, 03/01/27 (b),(c),(f) | | | 3,162,000 | | | | | | 3,367,530 | |
| | | | | | | | | | |
Machinery Manufacturing — 0.2% | | | | | | | | | | |
Granite US Holdings Corp., 11.00%, 10/01/27 (b),(c),(f) | | | 427,000 | | | | | | 481,443 | |
Husky III Holding Ltd., PIK, 13.00%, 02/15/25 (b),(c),(f) | | | 4,110,000 | | | | | | 4,469,625 | |
Titan Acquisition Ltd./Titan Co-Borrower LLC, 7.75%, 04/15/26 (b),(c),(f) | | | 4,545,000 | | | | | | 4,720,891 | |
| | | | | | | | | | |
| | | | | | | | | 9,671,959 | |
| | | | | | | | | | |
Manufactured Goods — 0.2% | | | | | | | | | | |
Foxtrot Escrow Issuer LLC / Foxtrot Escrow Corp., 12.25%, 11/15/26 (b),(c),(f) | | | 4,730,000 | | | | | | 5,404,025 | |
Hillman Group, Inc. (The), 6.38%, 07/15/22 (b),(c),(f) | | | 2,449,000 | | | | | | 2,452,061 | |
| | | | | | | | | | |
| | | | | | | | | 7,856,086 | |
| | | | | | | | | | |
Oil & Gas Services & Equipment — 0.2% | | | | | | | | | | |
CSI Compressco LP / CSI Compressco Finance, Inc., | | | | | | | | | | |
7.25%, 08/15/22 (b),(c) | | | 7,753,000 | | | | | | 7,357,597 | |
7.50%, 04/01/25 (b),(c),(f) | | | 1,433,000 | | | | | | 1,454,495 | |
| | | | | | | | | | |
| | | | | | | | | 8,812,092 | |
| | | | | | | | | | |
Pipeline — 0.4% | | | | | | | | | | |
Martin Midstream Partners LP / Martin Midstream Finance Corp., | | | | | | | | | | |
10.00%, 02/29/24 (b),(c),(f) | | | 3,151,352 | | | | | | 3,293,163 | |
11.50%, 02/28/25 (b),(c),(f) | | | 14,311,133 | | | | | | 14,454,244 | |
| | | | | | | | | | |
| | | | | | | | | 17,747,407 | |
| | | | | | | | | | |
Property & Casualty Insurance — 0.3% | | | | | | | | | | |
FloodSmart Re Ltd., | | | | | | | | | | |
3 mo. T-BILL + 13.00%, 13.00%, 03/01/24 (f),(g) | | | 1,400,000 | | | | | | 1,403,640 | |
3 mo. T-BILL + 14.50%, 14.52%, 02/27/26 (f),(g) | | | 800,000 | | | | | | 812,000 | |
See Notes to Consolidated Financial Statements.
77
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | |
| | | |
Security Description | | Principal
Amount | | | | | Value | |
3 mo. T-BILL + 16.75%, 16.75%, 03/01/24 (f),(g) | | $ | 2,800,000 | | | | | $ | 2,807,280 | |
Highlands Holdings Bond Issuer Ltd / Highlands Holdings Bond Co-Issuer Inc, PIK, 7.63%, 10/15/25 (b),(c),(f) | | | 3,145,044 | | | | | | 3,373,060 | |
PT Cosaint Re Pte Ltd., 1 mo. T-BILL + 9.25%, 9.27%, 04/03/28 (f),(g) | | | 3,500,000 | | | | | | 3,500,000 | |
Residential Reinsurance 2020 Ltd., 0.00%, 12/06/24 (f),(m) | | | 450,000 | | | | | | 352,080 | |
Tailwind Re Ltd., 3 mo. T-BILL + 11.55%, 11.55%, 01/08/25 (f),(g) | | | 1,400,000 | | | | | | 1,421,560 | |
| | | | | | | | | | |
| | | | | | | | | 13,669,620 | |
| | | | | | | | | | |
Publishing & Broadcasting — 0.1% | | | | | | | | | | |
Clear Channel Worldwide Holdings, Inc., 9.25%, 02/15/24 (b),(c) | | | 4,248,000 | | | | | | 4,419,194 | |
| | | | | | | | | | |
Real Estate — 0.3% | | | | | | | | | | |
EPR Properties, 3.75%, 08/15/29 (b),(c) | | | 2,523,000 | | | | | | 2,403,253 | |
ESH Hospitality, Inc., 4.63%, 10/01/27 (b),(c),(f) | | | 1,077,000 | | | | | | 1,139,078 | |
Kennedy-Wilson, Inc., 4.75%, 03/01/29 (b),(c) | | | 1,000,000 | | | | | | 1,012,500 | |
MGM Growth Properties Operating Partnership LP / MGP Finance Co-Issuer Inc, 3.88%, 02/15/29 (b),(c),(f) | | | 1,000,000 | | | | | | 996,125 | |
Service Properties Trust, | | | | | | | | | | |
3.95%, 01/15/28 (b),(c) | | | 905,000 | | | | | | 834,863 | |
4.38%, 02/15/30 (b),(c) | | | 5,605,000 | | | | | | 5,149,314 | |
4.95%, 10/01/29 (b),(c) | | | 1,216,000 | | | | | | 1,158,240 | |
5.50%, 12/15/27 (b),(c) | | | 134,000 | | | | | | 141,736 | |
| | | | | | | | | | |
| | | | | | | | | 12,835,109 | |
| | | | | | | | | | |
Refining & Marketing — 0.0% | | | | | | | | | | |
Citgo Holding, Inc., 9.25%, 08/01/24 (b),(c),(f) | | | 1,873,000 | | | | | | 1,858,953 | |
CITGO Petroleum Corp., 6.38%, 06/15/26 (b),(c),(f) | | | 567,000 | | | | | | 572,120 | |
| | | | | | | | | | |
| | | | | | | | | 2,431,073 | |
| | | | | | | | | | |
Supranationals — 0.0% | | | | | | | | | | |
International Bank for Reconstruction & Development, 3 mo. USD LIBOR + 10.00%, 10.10%, 07/13/24 (f),(g) | | | 1,200,000 | | | | | | 1,218,720 | |
| | | | | | | | | | |
Travel & Lodging — 0.3% | | | | | | | | | | |
Carnival plc, 1.00%, 10/28/29 (b) | | | 1,132,000 | | | EUR | | | 1,017,446 | |
Viking Cruises Ltd., | | | | | | | | | | |
5.88%, 09/15/27 (b),(c),(f) | | $ | 4,255,000 | | | | | | 4,159,263 | |
See Notes to Consolidated Financial Statements.
78
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | | | |
| | | |
Security Description | | Principal
Amount | | | | | | Value | |
6.25%, 05/15/25 (b),(c),(f) | | $ | 5,140,000 | | | | | | | $ | 5,089,680 | |
7.00%, 02/15/29 (b),(c),(f) | | | 1,477,000 | | | | | | | | 1,520,867 | |
13.00%, 05/15/25 (b),(c),(f) | | | 4,199,000 | | | | | | | | 4,936,449 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 16,723,705 | |
| | | | | | | | | | | | |
Utilities — 0.3% | | | | | | | | | | | | |
Ferrellgas Escrow LLC / FG Operating Finance Escrow Corp., | | | | | | | | | | | | |
5.38%, 04/01/26 (b),(f) | | | 3,094,000 | | | | | | | | 3,073,270 | |
5.88%, 04/01/29 (b),(f) | | | 3,094,000 | | | | | | | | 3,052,231 | |
Ferrellgas LP / Ferrellgas Finance Corp., | | | | | | | | | | | | |
6.50%, 05/01/21 (b),(c) | | | 341,000 | | | | | | | | 341,000 | |
6.75%, 01/15/22 - 06/15/23 (c),(b) | | | 3,295,000 | | | | | | | | 3,331,461 | |
Pacific Gas and Electric Co., 3.15%, 01/01/26 (b) | | | 1,076 | | | | | | | | 1,121 | |
Rockpoint Gas Storage Canada Ltd., 7.00%, 03/31/23 (b),(c),(f) | | | 5,992,000 | | | | | | | | 6,036,940 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 15,836,023 | |
| | | | | | | | | | | | |
Wireline Telecommunications Services — 0.0% | | | | | | | | | | | | |
Switch Ltd., 3.75%, 09/15/28 (b),(c),(f) | | | 1,000,000 | | | | | | | | 984,720 | |
| | | | | | | | | | | | |
Total North America | | | | | | | | | | | 246,679,975 | |
| | | | | | | | | | | | |
South America — 0.1% | | | | | | | | | | | | |
Integrated Oils — 0.1% | | | | | | | | | | | | |
Petrobras Global Finance BV, | | | | | | | | | | | | |
6.75%, 06/03/50 | | | 2,818,000 | | | | | | | | 3,008,215 | |
6.90%, 03/19/49 (c) | | | 2,352,000 | | | | | | | | 2,575,440 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 5,583,655 | |
| | | | | | | | | | | | |
Metals & Mining — 0.0% | | | | | | | | | | | | |
CSN Islands XI Corp., 6.75%, 01/28/28 (f) | | | 1,972,000 | | | | | | | | 2,089,432 | |
| | | | | | | | | | | | |
Total South America | | | | | | | | 7,673,087 | |
| | | | | | | | | | | | |
TOTAL CORPORATE BONDS & NOTES
(COST $291,954,036) | | | | | | | | 306,362,334 | |
| | | | | | | | | | | | |
SOVEREIGN DEBT — 8.8% | | | | | | | | | | | | |
Angolan Government International Bond, MTN, 8.00%, 11/26/29 (e) | | | 1,654,000 | | | | | | | | 1,549,689 | |
Argentine Republic Government International Bond, | | | | | | | | | | | | |
0.13%, 07/09/35 - 07/09/46 (l) | | | 3,679,227 | | | | | | | | 1,113,507 | |
1.00%, 07/09/29 | | | 485,806 | | | | | | | | 174,161 | |
Bahamas Government International Bond, 8.95%, 10/15/32 (f),(c) | | | 2,623,000 | | | | | | | | 2,793,495 | |
Bahrain Government International Bond, 7.00%, 01/26/26 (e) | | | 2,600,000 | | | | | | | | 2,990,000 | |
See Notes to Consolidated Financial Statements.
79
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | |
| | | |
Security Description | | Principal
Amount | | | | | Value | |
Banque Centrale de Tunisie International Bond, | | | | | | | | | | |
5.63%, 02/17/24 (e) | | | 6,800,000 | | | EUR | | $ | 7,026,591 | |
5.75%, 01/30/25 (h),(e) | | $ | 37,200,000 | | | | | | 32,374,118 | |
6.38%, 07/15/26 (e) | | | 15,200,000 | | | EUR | | | 15,648,888 | |
Costa Rica Government International Bond, 7.16%, 03/12/45 (e),(h) | | $ | 16,000,000 | | | | | | 15,536,160 | |
Ecuador Government International Bond, | | | | | | | | | | |
0.00%, 07/31/30 (f),(h) | | | 2,621,419 | | | | | | 1,048,594 | |
0.50%, 07/31/30 - 07/31/40 (f),(h),(l),(m) | | | 29,440,819 | | | | | | 14,002,721 | |
Egypt Government International Bond, | | | | | | | | | | |
5.88%, 02/16/31 (f) | | | 1,584,000 | | | | | | 1,482,782 | |
7.90%, 02/21/48 (e) | | | 16,500,000 | | | | | | 15,513,003 | |
8.15%, 11/20/59 (f) | | | 1,279,000 | | | | | | 1,218,554 | |
8.50%, 01/31/47 (e),(h) | | | 7,300,000 | | | | | | 7,254,740 | |
8.88%, 05/29/50 (f),(e) | | | 8,275,000 | | | | | | 8,438,216 | |
French Republic Government Bond OAT, 0.10%, 03/01/29 (b),(e) | | | 8,077,576 | | | EUR | | | 10,801,387 | |
Gabon Government International Bond, | | | | | | | | | | |
6.38%, 12/12/24 (e) | | $ | 3,000,000 | | | | | | 3,106,500 | |
6.63%, 02/06/31 (c),(f),(h),(e) | | | 43,200,000 | | | | | | 41,688,864 | |
Ghana Government International Bond, 0.00%, 04/07/25 (m) | | | 900,000 | | | | | | 695,250 | |
Iraq International Bond, 5.80%, 01/15/28 (h),(e) | | | 65,756,250 | | | | | | 62,109,408 | |
Ivory Coast Government International Bond, | | | | | | | | | | |
6.13%, 06/15/33 (e) | | | 16,300,000 | | | | | | 16,649,146 | |
6.38%, 03/03/28 (e) | | | 800,000 | | | | | | 867,040 | |
Kingdom Of Jordan, | | | | | | | | | | |
4.95%, 07/07/25 (f) | | | 2,099,000 | | | | | | 2,154,582 | |
5.85%, 07/07/30 (f) | | | 1,404,000 | | | | | | 1,428,472 | |
Nigeria Government International Bond, | | | | | | | | | | |
7.14%, 02/23/30 (e),(h) | | | 14,200,000 | | | | | | 14,468,806 | |
7.63%, 11/21/25 (c),(f),(e) | | | 26,285,000 | | | | | | 29,602,956 | |
Oman Government International Bond, 7.00%, 01/25/51 (f) | | | 911,000 | | | | | | 897,335 | |
Paraguay Government International Bond, 4.63%, 01/25/23 (e) | | | 7,644,000 | | | | | | 8,045,386 | |
Republic of Belarus International Bond, 6.20%, 02/28/30 (e) | | | 9,400,000 | | | | | | 8,710,040 | |
Republic of Belarus Ministry of Finance, | | | | | | | | | | |
5.88%, 02/24/26 (e) | | | 4,800,000 | | | | | | 4,594,675 | |
6.38%, 02/24/31 (e) | | | 20,400,000 | | | | | | 18,852,456 | |
Republic Of Ghana, 7.75%, 04/07/29 (f) | | | 1,203,000 | | | | | | 1,190,970 | |
Republic of South Africa Government Bond, 8.25%, 03/31/32 | | | 45,590,000 | | | ZAR | | | 2,668,600 | |
See Notes to Consolidated Financial Statements.
80
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | | | |
| | | |
Security Description | | Principal
Amount | | | | | | Value | |
Russian Federal Bond—OFZ, | | | | | | | | | | | | |
7.15%, 11/12/25 | | | 326,157,000 | | | | RUB | | | $ | 4,431,962 | |
7.40%, 07/17/24 | | | 380,731,000 | | | | RUB | | | | 5,215,771 | |
Saudi Government International Bond, 3.75%, 01/21/55 (f) | | $ | 1,685,000 | | | | | | | | 1,649,952 | |
Turkey Government International Bond, 6.38%, 10/14/25 | | | 2,656,000 | | | | | | | | 2,627,846 | |
Ukraine Government International Bond, | | | | | | | | | | | | |
0.00%, 05/31/40 (g),(e) | | | 49,350,000 | | | | | | | | 50,830,500 | |
7.25%, 03/15/33 (f),(c),(h) | | | 6,892,000 | | | | | | | | 6,856,162 | |
7.38%, 09/25/32 (e),(h) | | | 12,700,000 | | | | | | | | 12,764,262 | |
| | | | | | | | | | | | |
TOTAL SOVEREIGN DEBT
(COST $448,138,317) | | | | 441,073,547 | |
| | | | | | | | | | | | |
| |
MORTGAGE-BACKED SECURITIES — 8.5% | | | | | |
Europe — 0.2% | | | | | | | | | | | | |
Commercial Mortgage-Backed Securities — 0.2% | | | | | | | | | | | | |
Cold Finance plc, | | | | | | | | | | | | |
Series 1, Class C, 3 mo. GBP LIBOR + 1.95%, 2.01%, 08/20/29 (b),(g),(e) | | | 1,107,651 | | | | GBP | | | | 1,537,858 | |
Series 1, Class D, 3 mo. GBP LIBOR + 2.50%, 2.56%, 08/20/29 (b),(g),(e) | | | 3,647,506 | | | | GBP | | | | 5,002,095 | |
Series 1, Class E, 3 mo. GBP LIBOR + 3.55%, 3.61%, 08/20/29 (b),(g),(e) | | | 3,734,848 | | | | GBP | | | | 5,068,835 | |
| | | | | | | | | | | | |
| | | | 11,608,788 | |
| | | | | | | | | | | | |
Total Europe | | | | 11,608,788 | |
| | | | | | | | | | | | |
North America — 8.3% | | | | | | | | | | | | |
Collateralized Mortgage Obligation (Residential) — 2.2% | | | | | | | | | |
Alternative Loan Trust, | | | | | | | | | | | | |
Series 2006-H, Class 5A1, 1 mo. USD LIBOR + 0.36%, 0.47%, 10/20/36 (b),(g),(h) | | $ | 4,675,605 | | | | | | | | 2,321,952 | |
Series 2006-OA17, Class 1A1D, 1 mo. USD LIBOR + 0.29%, 0.40%, 12/20/46 (b),(c),(g) | | | 320,101 | | | | | | | | 258,612 | |
Series 2006-OA19, Class A1, 1 mo. USD LIBOR + 0.18%, 0.29%, 02/20/47 (b),(c),(g) | | | 517,965 | | | | | | | | 407,378 | |
Series 2006-OA19, Class A4, 1 mo. USD LIBOR + 0.21%, 0.32%, 02/20/47 (b),(c),(g) | | | 494,955 | | | | | | | | 394,203 | |
Series 2006-OA9, Class 2A1A, 1 mo. USD LIBOR + 0.21%, 0.32%, 07/20/46 (b),(g) | | | 331,204 | | | | | | | | 250,719 | |
American Home Mortgage Investment Trust, Series 2005-2, Class 5A4C, 5.91%, 09/25/35 (b),(l),(h) | | | 1,034,797 | | | | | | | | 802,219 | |
See Notes to Consolidated Financial Statements.
81
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | |
| | | |
Security Description | | Principal
Amount | | | | | Value | |
Banc of America Funding Trust, Series 2005-B, Class 3M2, 1 mo. USD LIBOR + 1.05%, 1.16%, 04/20/35 (b),(g),(h) | | $ | 1,501,721 | | | | | $ | 1,367,108 | |
Bellemeade Re Ltd., Series 2019-1A, Class B1, 1 mo. USD LIBOR + 4.00%, 4.11%, 03/25/29 (b),(f),(g),(h) | | | 331,000 | | | | | | 324,193 | |
Chase Mortgage Finance Corp., Series 2007-A2, Class 3A2, 2.89%, 06/25/35 (b),(c),(g) | | | 61,011 | | | | | | 58,933 | |
Connecticut Avenue Securities Trust, | | | | | | | | | | |
Series 2018-R07, Class 1X2, 1.30%, 04/25/31 (b),(c),(f),(i) | | | 1,023,082 | | | | | | 2,622 | |
Series 2019-R01, Class 2X2, 1.30%, 07/25/31 (b),(c),(f),(i) | | | 4,295,547 | | | | | | 16,933 | |
Series 2019-R06, Class 2X2, 1.10%, 09/25/39 (b),(c),(f),(i) | | | 3,798,577 | | | | | | 12,539 | |
Countrywide Alternative Loan Trust, Series 2005-21CB SEQ, Class A17, 6.00%, 06/25/35 (b),(c) | | | 586,044 | | | | | | 571,369 | |
Deephaven Residential Mortgage Trust, Series 2020-2, Class M1, 4.11%, 05/25/65 (b),(f),(g),(h) | | | 699,000 | | | | | | 755,033 | |
Deutsche Alt-A Securities Mortgage Loan Trust, Series 2007-OA3, Class A2, 1 mo. USD LIBOR + 0.25%, 0.36%, 07/25/47 (b),(g) | | | 272,140 | | | | | | 250,121 | |
Eagle RE Ltd., | | | | | | | | | | |
Series 2019-1, Class M2, 1 mo. USD LIBOR + 3.30%, 3.41%, 04/25/29 (b),(f),(g),(h) | | | 8,674,000 | | | | | | 8,643,572 | |
Series 2020-1, Class M2, 1 mo. USD LIBOR + 2.00%, 2.11%, 01/25/30 (b),(f),(g),(h) | | | 10,192,000 | | | | | | 9,764,089 | |
Federal Home Loan Mortgage Corp., | | | | | | | | | | |
Series 2017-DNA2, Class M2AI, 2.50%, 10/25/29 (b),(c),(i) | | | 1,381,500 | | | | | | 38,306 | |
Series 2017-DNA3, Class M2AI, 1.75%, 03/25/30 (b),(c),(i) | | | 1,935,200 | | | | | | 32,540 | |
Series 2017-HQA1, Class M2AI, 2.50%, 08/25/29 (b),(c),(i) | | | 3,857,886 | | | | | | 83,442 | |
Series 2017-HQA2, Class M2AI, 2.00%, 12/25/29 (b),(c),(i) | | | 7,285,775 | | | | | | 145,890 | |
Series 2018-DNA1, Class M2AI, 1.25%, 07/25/30 (b),(c),(i) | | | 6,124,713 | | | | | | 66,674 | |
Series 2018-HQA1, Class M2AI, 1.50%, 09/25/30 (b),(c),(i) | | | 2,105,538 | | | | | | 23,393 | |
Federal National Mortgage Association, | | | | | | | | | | |
2.00%, 04/14/51 (b),(n) | | | 44,500,000 | | | | | | 44,374,866 | |
Series 2017-C01, Class 1X1, 2.30%, 07/25/29 (b),(c),(i) | | | 8,034,722 | | | | | | 162,727 | |
Series 2017-C02, Class 2X3, 2.30%, 09/25/29 (b),(c),(i) | | | 8,257,219 | | | | | | 220,336 | |
See Notes to Consolidated Financial Statements.
82
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | |
| | | |
Security Description | | Principal
Amount | | | | | Value | |
Series 2017-C02, Class 2X4, 2.80%, 09/25/29 (b),(c),(i) | | $ | 2,685,386 | | | | | $ | 78,314 | |
Series 2017-C04, Class 2X2, 1.75%, 11/25/29 (b),(c),(i) | | | 21,761,746 | | | | | | 455,038 | |
Series 2017-C05, Class 1X3, 1.00%, 01/25/30 (b),(c),(i) | | | 9,494,038 | | | | | | 86,557 | |
Series 2017-C06, Class 2X1, 1.80%, 02/25/30 (b),(c),(i) | | | 6,474,554 | | | | | | 101,735 | |
Series 2017-C07, Class 1X3, 1.00%, 05/25/30 (b),(c),(i) | | | 2,574,725 | | | | | | 24,609 | |
Series 2018-C02, Class 2X2, 1.30%, 08/25/30 (b),(c),(i) | | | 2,627,532 | | | | | | 31,260 | |
Series 2018-C03, Class 1X2, 1.30%, 10/25/30 (b),(c),(i) | | | 11,758,449 | | | | | | 147,627 | |
Government National Mortgage Association, 4.50%, 10/20/49 (b),(h) | | | 7,200,540 | | | | | | 7,859,555 | |
HarborView Mortgage Loan Trust, | | | | | | | | | | |
Series 2006-4, Class 1A1A, 1 mo. USD LIBOR + 0.36%, 0.47%, 05/19/46 (b),(g) | | | 442,632 | | | | | | 250,154 | |
Series 2006-4, Class 1A2A, 1 mo. USD LIBOR + 0.38%, 0.49%, 05/19/46 (b),(c),(g) | | | 424,223 | | | | | | 250,390 | |
Homeward Opportunities Fund, Series 2019-1, Class B1, 4.80%, 01/25/59 (b),(c),(f),(g) | | | 1,136,000 | | | | | | 1,174,639 | |
Legacy Mortgage Asset Trust, Series 2020-GS4 SEQ, Class A2, 4.00%, 02/25/60 (b),(c),(f),(l) | | | 1,000,000 | | | | | | 1,003,631 | |
LHOME Mortgage Trust, | | | | | | | | | | |
Series 2019-RTL1, Class M, 6.90%, 10/25/23 (b),(c),(f) | | | 571,000 | | | | | | 554,298 | |
Series 2021-RTL1, Class M, 4.46%, 09/25/26 (b),(c),(f),(g) | | | 1,884,000 | | | | | | 1,884,264 | |
Mortgage Insurance-Linked Notes, | | | | | | | | | | |
Series 2019-1, Class M2, 1 mo. USD LIBOR + 2.90%, 3.01%, 11/26/29 (b),(f),(g),(h) | | | 8,540,000 | | | | | | 8,318,361 | |
Series 2020-1, Class M2B, 1 mo. USD LIBOR + 2.25%, 2.36%, 02/25/30 (b),(f),(g),(h) | | | 1,425,000 | | | | | | 1,334,560 | |
New Residential Mortgage Loan Trust, Series 2020-NQM2 SEQ, Class M1, 3.89%, 05/24/60 (b),(f),(g),(h) | | | 376,000 | | | | | | 389,783 | |
PMT Credit Risk Transfer Trust, Series 2019-2R, Class A, 1 mo. USD LIBOR + 2.75%, 2.86%, 05/27/23 (b),(f),(g),(h) | | | 4,179,121 | | | | | | 4,092,233 | |
Residential Funding Mortgage Securities, Series 2006-S12, Class 3A4, 5.75%, 12/25/36 (b),(c) | | | 704,152 | | | | | | 675,695 | |
See Notes to Consolidated Financial Statements.
83
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | |
| | | |
Security Description | | Principal
Amount | | | | | Value | |
Sequoia Mortgage Trust, | | | | | | | | | | |
Series 2017-3, Class B4, 3.78%, 04/25/47 (b),(c),(f),(g) | | $ | 291,000 | | | | | $ | 299,459 | |
Series 2017-7, Class B4, 3.74%, 10/25/47 (b),(c),(f),(g) | | | 773,000 | | | | | | 794,752 | |
Series 2018-2, Class B4, 3.75%, 02/25/48 (b),(c),(f),(g) | | | 810,523 | | | | | | 793,391 | |
Series 2018-3, Class B4, 3.78%, 03/25/48 (b),(c),(f),(g) | | | 642,000 | | | | | | 646,294 | |
Series 2018-5, Class B4, 3.92%, 05/25/48 (b),(c),(f),(g) | | | 649,000 | | | | | | 662,111 | |
Series 2018-8, Class B4, 4.27%, 11/25/48 (b),(c),(f),(g) | | | 693,000 | | | | | | 702,354 | |
Series 2019-1, Class B4, 4.42%, 02/25/49 (b),(c),(f),(g) | | | 319,000 | | | | | | 327,879 | |
Series 2019-2, Class B4, 4.27%, 06/25/49 (b),(c),(f),(g) | | | 306,000 | | | | | | 313,331 | |
Series 2019-3, Class B4, 4.08%, 09/25/49 (b),(c),(f),(g) | | | 356,000 | | | | | | 365,186 | |
STACR Trust, | | | | | | | | | | |
Series 2018-DNA2, Class M2AI, 1.50%, 12/25/30 (b),(c),(f),(i) | | | 7,780,200 | | | | | | 123,355 | |
Series 2018-HRP2, Class M3AI, 1.75%, 02/25/47 (b),(c),(f),(i) | | | 1,358,000 | | | | | | 34,918 | |
Series 2018-HRP2, Class B1, 1 mo. USD LIBOR + 4.20%, 4.31%, 02/25/47 (b),(c),(f),(g) | | | 1,198,000 | | | | | | 1,199,498 | |
Starwood Mortgage Residential, Series 2019-IMC1, Class B1, 5.05%, 02/25/49 (b),(c),(f),(g) | | | 930,000 | | | | | | 936,411 | |
Verus Securitization Trust, Series 2019-INV1 SEQ, Class B1, 4.99%, 12/25/59 (b),(c),(f) | | | 271,000 | | | | | | 271,673 | |
WaMu Mortgage Pass-Through Certificates Series, | | | | | | | | | | |
1.33%, 01/25/46 (b),(g) | | | 384,915 | | | | | | 337,665 | |
Series 2005-AR19, Class B1, 1 mo. USD LIBOR + 1.05%, 1.16%, 12/25/45 (b),(g),(h) | | | 1,727,400 | | | | | | 1,454,588 | |
WaMu Mortgage Pass-Through Certificates Trust, Series 2006-AR17, Class 1A, 12 mo. MTA + 0.82%, 1.20%, 12/25/46 (b),(g),(h) | | | 2,266,746 | | | | | | 2,086,565 | |
Washington Mutual Mortgage Pass-Through Certificates, Series 2006-AR10, Class A1, 1 mo. USD LIBOR + 0.10%, 0.21%, 12/25/36 (b),(c),(g) | | | 485,884 | | | | | | 321,428 | |
| | | | | | | | | | |
| | | | | | 111,733,330 | |
| | | | | | | | | | |
See Notes to Consolidated Financial Statements.
84
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | |
| | | |
Security Description | | Principal
Amount | | | | | Value | |
Commercial Mortgage-Backed Securities — 5.2% | | | | | | | | | | |
Ashford Hospitality Trust, | | | | | | | | | | |
Series 2018-ASHF, Class E, 1 mo. USD LIBOR + 3.10%, 3.21%, 04/15/35 (b),(c),(f),(g) | | $ | 5,900,000 | | | | | $ | 5,326,166 | |
Series 2018-KEYS, Class D, 1 mo. USD LIBOR + 2.75%, 2.86%, 06/15/35 (b),(c),(f),(g) | | | 90,000 | | | | | | 85,629 | |
BAMLL Commercial Mortgage Securities Trust, | | | | | | | | | | |
Series 2019-BPR, Class EMP, 3.89%, 11/05/32 (b),(f),(g),(h) | | | 8,817,000 | | | | | | 7,600,386 | |
Series 2019-BPR, Class FMP, 3.89%, 11/05/32 (b),(f),(g),(h) | | | 4,408,000 | | | | | | 3,552,213 | |
Bancorp Commercial Mortgage Trust, Series 2018-CRE4, Class D, 1 mo. USD LIBOR + 2.10%, 2.21%, 09/15/35 (b),(c),(f),(g) | | | 2,132,000 | | | | | | 2,110,757 | |
BANK, Series 2017-BNK8 SEQ, Class A4, 3.49%, 11/15/50 (b) | | | 4,200,000 | | | | | | 4,581,486 | |
Bear Stearns Commercial Mortgage Securities Trust, | | | | | | | | | | |
Series 2006-PW13, Class D, 5.75%, 09/11/41 (f),(g),(c) | | | 797,050 | | | | | | 699,090 | |
Series 2007-PW18, Class B, 6.48%, 06/11/50 (f),(g),(c) | | | 6,394,786 | | | | | | 5,851,230 | |
BX Commercial Mortgage Trust, | | | | | | | | | | |
Series 2020-VIVA, Class D, 3.67%, 03/11/44 (b),(c),(f),(g) | | | 100,000 | | | | | | 98,843 | |
Series 2020-VIVA, Class E, 3.67%, 03/11/44 (b),(c),(g) | | | 1,000,000 | | | | | | 924,742 | |
BX Trust, Series 2018-GW, Class F, 1 mo. USD LIBOR + 2.42%, 2.53%, 05/15/35 (b),(c),(f),(g) | | | 106,000 | | | | | | 105,335 | |
CFCRE Commercial Mortgage Trust, | | | | | | | | | | |
Series 2016-C6, Class D, 4.20%, 11/10/49 (b),(f),(g),(h) | | | 3,266,000 | | | | | | 2,700,881 | |
Series 2017-C8, Class E, 3.22%, 06/15/50 (b),(c),(f) | | | 3,110,000 | | | | | | 1,800,379 | |
Citigroup Commercial Mortgage Trust, | | | | | | | | | | |
Series 2006-C4, Class C, 5.93%, 03/15/49 (g),(c) | | | 183,517 | | | | | | 183,125 | |
Series 2012-GC8, Class D, 4.88%, 09/10/45 (b),(c),(f),(g) | | | 926,000 | | | | | | 741,121 | |
Series 2015-GC29, Class D, 3.11%, 04/10/48 (b),(f),(h) | | | 1,918,000 | | | | | | 1,821,937 | |
Series 2015-GC31, Class D, 4.19%, 06/10/48 (b),(g),(h) | | | 1,850,000 | | | | | | 1,833,061 | |
Series 2016-C3, Class D, 3.00%, 11/15/49 (b),(f),(h) | | | 1,826,000 | | | | | | 1,351,362 | |
Series 2018-B2 SEQ, Class A4, 4.01%, 03/10/51 (b) | | | 2,060,000 | | | | | | 2,297,570 | |
See Notes to Consolidated Financial Statements.
85
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | |
| | | |
Security Description | | Principal
Amount | | | | | Value | |
Series 2019-C7, Class E, 2.75%, 12/15/72 (b),(c),(f) | | $ | 697,000 | | | | | $ | 587,705 | |
COBALT CMBS Commercial Mortgage Trust, Series 2007-C3, Class B, 5.62%, 05/15/46 (g),(c) | | | 6,250,538 | | | | | | 6,213,659 | |
COMM Mortgage Trust, | | | | | | | | | | |
Series 2014-CR14, Class D, 4.62%, 02/10/47 (b),(c),(f),(g) | | | 591,000 | | | | | | 541,556 | |
Series 2014-CR18, Class D, 4.74%, 07/15/47 (b),(c),(f),(g) | | | 2,111,000 | | | | | | 2,062,656 | |
Series 2014-CR21, Class E, 3.00%, 12/10/47 (f),(c) | | | 1,686,000 | | | | | | 1,071,615 | |
Series 2015-CR27, Class E, 3.25%, 10/10/48 (b),(c),(f) | | | 1,906,000 | | | | | | 1,495,543 | |
Series 2019-GC44, Class 180C, 3.40%, 08/15/57 (b),(c),(f),(g) | | | 334,000 | | | | | | 280,392 | |
Series 2019-GC44, Class 180D, 3.40%, 08/15/57 (b),(c),(f),(g) | | | 227,000 | | | | | | 186,903 | |
Commercial Mortgage Trust, | | | | | | | | | | |
Series 2015-CR22, Class E, 3.00%, 03/10/48 (b),(c),(f) | | | 239,000 | | | | | | 165,622 | |
Series 2015-CR23, Class E, 3.23%, 05/10/48 (b),(c),(f) | | | 4,668,000 | | | | | | 3,388,595 | |
Series 2015-CR23, Class D, 4.29%, 05/10/48 (b),(c),(g) | | | 502,000 | | | | | | 511,524 | |
Series 2015-CR25, Class D, 3.78%, 08/10/48 (b),(c),(g) | | | 432,000 | | | | | | 395,187 | |
Series 2015-CR27, Class D, 3.45%, 10/10/48 (b),(c),(f),(g) | | | 2,955,000 | | | | | | 2,762,869 | |
Series 2015-LC21, Class D, 4.34%, 07/10/48 (b),(c),(g) | | | 1,010,000 | | | | | | 964,002 | |
Series 2016-CD1, Class D, 2.81%, 08/10/49 (b),(c),(f),(g) | | | 2,075,000 | | | | | | 1,682,869 | |
Crescent Capital Trust, 2.66%, 04/15/36 (b),(g) | | | 1,000,000 | | | | | | 1,000,000 | |
CSAIL Commercial Mortgage Trust, | | | | | | | | | | |
Series 2015-C2, Class D, 4.19%, 06/15/57 (b),(g),(h) | | | 843,000 | | | | | | 664,667 | |
Series 2015-C3, Class D, 3.38%, 08/15/48 (b),(g),(h) | | | 3,139,000 | | | | | | 1,653,437 | |
Series 2015-C4, Class F, 3.50%, 11/15/48 (b),(c),(f),(g) | | | 5,568,000 | | | | | | 4,446,733 | |
Series 2018-CX11, Class D, 2.75%, 04/15/51 (b),(c),(f),(g) | | | 604,000 | | | | | | 485,168 | |
Series 2019-C17, Class D, 2.50%, 09/15/52 (b),(c),(f) | | | 1,409,000 | | | | | | 1,148,825 | |
See Notes to Consolidated Financial Statements.
86
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | |
| | | |
Security Description | | Principal
Amount | | | | | Value | |
DBWF Mortgage Trust, Series 2018-GLKS, Class F, 1 mo. USD LIBOR + 3.49%, 3.60%, 12/19/30 (b),(c),(f),(g) | | $ | 2,202,000 | | | | | $ | 2,127,636 | |
Federal Home Loan Mortgage Corp., | | | | | | | | | | |
Series K-1519, Class X3, 2.80%, 12/25/38 (b),(c),(g),(i) | | | 1,000,000 | | | | | | 295,687 | |
Series K124, Class X3, 2.62%, 02/25/49 (b),(c),(g),(i) | | | 100,000 | | | | | | 20,804 | |
FREMF Mortgage Trust, Series 2017-KL1P, Class BP, 3.37%, 10/25/25 (b),(c),(f),(g) | | | 1,000,000 | | | | | | 974,362 | |
GS Mortgage Securities Corp. II, | | | | | | | | | | |
Series 2012-TMSQ, Class D, 3.46%, 12/10/30 (b),(c),(f),(g) | | | 1,000,000 | | | | | | 900,649 | |
Series 2013-GC10, Class E, 4.40%, 02/10/46 (b),(c),(f),(g) | | | 3,900,000 | | | | | | 3,246,383 | |
Series 2017-GS8 SEQ, Class A4, 3.47%, 11/10/50 (b) | | | 1,100,000 | | | | | | 1,194,031 | |
Series 2017-SLP, Class E, 4.59%, 10/10/32 (b),(c),(f),(g) | | | 3,300,000 | | | | | | 3,271,079 | |
Series 2018-GS10, Class E, 3.00%, 07/10/51 (b),(c),(f),(g) | | | 1,393,000 | | | | | | 1,198,061 | |
GS Mortgage Securities Trust, | | | | | | | | | | |
Series 2014-GC20, Class D, 4.96%, 04/10/47 (b),(c),(f),(g) | | | 1,199,911 | | | | | | 658,149 | |
Series 2014-GC20, Class C, 4.96%, 04/10/47 (b),(c),(g) | | | 1,358,000 | | | | | | 1,253,388 | |
Series 2014-GC24, Class C, 4.53%, 09/10/47 (b),(c),(g) | | | 303,000 | | | | | | 257,393 | |
Series 2016-GS2, Class D, 2.75%, 05/10/49 (b),(c),(f) | | | 1,415,000 | | | | | | 1,292,748 | |
Series 2017-GS8, Class D, 2.70%, 11/10/50 (b),(c),(f) | | | 1,593,000 | | | | | | 1,474,831 | |
Harvest Commercial Capital Loan Trust, | | | | | | | | | | |
Series 2019-1, Class M4, 4.64%, 09/25/46 (b),(f),(g),(h) | | | 1,290,000 | | | | | | 1,157,102 | |
Series 2019-1, Class M5, 5.73%, 09/25/46 (b),(f),(g),(h) | | | 1,944,000 | | | | | | 1,661,550 | |
Hilton USA Trust, Series 2016-HHV, Class F, 4.19%, 11/05/38 (b),(c),(f),(g) | | | 20,139,000 | | | | | | 19,782,600 | |
IMT Trust, Series 2017-APTS, Class FFX, 3.50%, 06/15/34 (b),(c),(f),(g) | | | 625,000 | | | | | | 577,663 | |
J.P. Morgan Chase Commercial Mortgage SecuritiesTrust, Series 2018-MINN, Class E, 1 mo. USD LIBOR + 2.50%, 3.50%, 11/15/35 (b),(c),(f),(g) | | | 6,000,000 | | | | | | 4,736,022 | |
See Notes to Consolidated Financial Statements.
87
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | |
| | | |
Security Description | | Principal
Amount | | | | | Value | |
JP Morgan Chase Commercial Mortgage Securities Corp., | | | | | | | | | | |
Series 2019-MARG, Class E, 1 mo. USD LIBOR + 2.50%, 2.61%, 05/15/34 (b),(c),(f),(g) | | $ | 3,258,000 | | | | | $ | 3,152,376 | |
Series 2020-NNNZ SEQ, Class M, 8.54%, 01/16/37 (f),(c) | | | 2,769,894 | | | | | | 1,981,660 | |
JP Morgan Chase Commercial Mortgage Securities Trust, | | | | | | | | | | |
Series 2018-ASH8, Class E, 1 mo. USD LIBOR + 3.00%, 3.26%, 02/15/35 (b),(c),(f),(g) | | | 16,190,000 | | | | | | 15,153,694 | |
Series 2018-WPT, Class FFX, 5.54%, 07/05/33 (b),(c),(f),(g) | | | 4,570,000 | | | | | | 4,600,349 | |
JPMBB Commercial Mortgage Securities Trust, | | | | | | | | | | |
Series 2015-C28, Class D, 3.65%, 10/15/48 (b),(f),(g),(h) | | | 5,074,000 | | | | | | 4,155,885 | |
Series 2015-C29, Class D, 3.70%, 05/15/48 (b),(c),(g) | | | 112,000 | | | | | | 89,100 | |
Series 2015-C30, Class D, 3.77%, 07/15/48 (b),(c),(g),(h) | | | 4,924,500 | | | | | | 4,507,804 | |
Series 2015-C31, Class E, 4.62%, 08/15/48 (b),(c),(f),(g) | | | 1,093,000 | | | | | | 753,854 | |
Series 2016-C1, Class E, 4.74%, 03/15/49 (b),(c),(f),(g) | | | 3,126,000 | | | | | | 2,632,858 | |
JPMDB Commercial Mortgage Securities Trust, Series 2017-C7 SEQ, Class A5, 3.41%, 10/15/50 (b) | | | 4,950,000 | | | | | | 5,377,294 | |
KKR Industrial Portfolio Trust, | | | | | | | | | | |
Series 2020-AIP, Class F, 1 mo. USD LIBOR + 3.43%, 3.54%, 03/15/37 (b),(c),(f),(g) | | | 4,828,742 | | | | | | 4,839,283 | |
Series 2021-KDIP, Class G, 1 mo. USD LIBOR + 3.75%, 3.86%, 12/15/37 (b),(c),(f),(g) | | | 1,000,000 | | | | | | 1,013,728 | |
LB-UBS Commercial Mortgage Trust, | | | | | | | | | | |
Series 2005-C3, Class G, 5.11%, 07/15/40 (f),(g),(c) | | | 3,878,926 | | | | | | 3,461,860 | |
Series 2006-C1, Class C, 5.34%, 02/15/41 (g),(c) | | | 5,200,821 | | | | | | 2,614,973 | |
LSTAR Commercial Mortgage Trust, Series 2017-5, Class C, 4.87%, 03/10/50 (b),(c),(f),(g) | | | 967,000 | | | | | | 960,552 | |
Morgan Stanley Bank of America Merrill Lynch Trust, | | | | | | | | | | |
Series 2012-C5 SEQ, Class G, 4.50%, 08/15/45 (b),(c),(f) | | | 8,330,000 | | | | | | 7,762,377 | |
Series 2014-C15, Class D, 4.90%, 04/15/47 (b),(c),(f),(g) | | | 2,270,000 | | | | | | 2,247,046 | |
Series 2015-C20, Class D, 3.07%, 02/15/48 (b),(c),(f) | | | 153,000 | | | | | | 147,857 | |
Series 2015-C21, Class D, 4.14%, 03/15/48 (b),(f),(g),(h) | | | 3,575,000 | | | | | | 2,502,918 | |
See Notes to Consolidated Financial Statements.
88
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | |
| | | |
Security Description | | Principal
Amount | | | | | Value | |
Series 2015-C22, Class D, 4.22%, 04/15/48 (b),(c),(f),(g) | | $ | 870,000 | | | | | $ | 653,884 | |
Series 2016-C29, Class D, 3.00%, 05/15/49 (b),(f),(h) | | | 2,517,000 | | | | | | 1,809,914 | |
Series 2016-C30, Class D, 3.00%, 09/15/49 (b),(f),(g),(h) | | | 1,323,000 | | | | | | 815,282 | |
Series 2016-C31, Class D, 3.00%, 11/15/49 (b),(c),(f),(g) | | | 2,354,000 | | | | | | 1,735,764 | |
Series 2016-C32, Class D, 3.40%, 12/15/49 (b),(f),(g),(h) | | | 991,000 | | | | | | 642,121 | |
Series 2017-C34 SEQ, Class A4, 3.54%, 11/15/52 (b) | | | 2,907,303 | | | | | | 3,177,208 | |
Morgan Stanley Capital I Trust, | | | | | | | | | | |
Series 2016-UB11, Class E, 2.63%, 08/15/49 (b),(c),(f),(g) | | | 3,200,500 | | | | | | 1,697,235 | |
Series 2016-UB12, Class D, 3.31%, 12/15/49 (b),(f),(h) | | | 1,761,000 | | | | | | 867,819 | |
Motel 6 Trust, Series 2017-MTL6, Class E, 1 mo. USD LIBOR + 3.25%, 3.36%, 08/15/34 (b),(c),(f),(g) | | | 379,558 | | | | | | 380,030 | |
Natixis Commercial Mortgage Securities Trust, | | | | | | | | | | |
Series 2018-RIVA, Class D, 1 mo. USD LIBOR + 2.05%, 2.16%, 02/15/33 (b),(c),(f),(g) | | | 250,000 | | | | | | 234,389 | |
Series 2019-MILE, Class D, 1 mo. USD LIBOR + 2.75%, 2.86%, 07/15/36 (b),(c),(f),(g) | | | 102,000 | | | | | | 102,006 | |
Series 2019-MILE, Class E, 1 mo. USD LIBOR + 3.50%, 3.61%, 07/15/36 (b),(c),(f),(g) | | | 105,000 | | | | | | 101,990 | |
New Orleans Hotel Trust, Series 2019-HNLA, Class E, 1 mo. USD LIBOR + 2.69%, 2.79%, 04/15/32 (b),(c),(f),(g) | | | 1,301,000 | | | | | | 1,229,459 | |
Prima Capital CRE Securitization Ltd., | | | | | | | | | | |
Series 2019-1S, Class C, 5.50%, 10/01/33 (b),(c),(f) | | | 1,000,000 | | | | | | 1,057,351 | |
Series 2019-RK1, Class DD, 3.50%, 04/15/38 (b),(c),(f) | | | 1,648,000 | | | | | | 1,633,906 | |
Series 2019-RK1, Class CG, 4.00%, 04/15/38 (b),(c),(f) | | | 339,000 | | | | | | 322,699 | |
Series 2019-RK1, Class BT, 4.45%, 04/15/38 (b),(c),(f) | | | 1,173,000 | | | | | | 1,145,639 | |
Series 2019-RK1, Class CT, 4.45%, 04/15/38 (b),(c),(f) | | | 121,000 | | | | | | 114,581 | |
ReadyCap Commercial Mortgage Trust, | | | | | | | | | | |
Series 2019-6, Class C, 4.13%, 10/25/52 (b),(c),(f),(g) | | | 1,691,000 | | | | | | 1,664,252 | |
See Notes to Consolidated Financial Statements.
89
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | |
| | | |
Security Description | | Principal
Amount | | | | | Value | |
Series 2019-6, Class D, 4.77%, 10/25/52 (b),(c),(f),(g) | | $ | 227,000 | | | | | $ | 198,532 | |
Series RR Trust, Series 2015-1, Class B, 0.00%, 04/26/48 (b),(c),(f),(m) | | | 3,595,000 | | | | | | 3,208,056 | |
SG Commercial Mortgage Securities Trust, | | | | | | | | | | |
Series 2016-C5, Class D, 4.84%, 10/10/48 (b),(c),(f),(g) | | | 295,000 | | | | | | 234,321 | |
Series 2019-PREZ, Class E, 3.48%, 09/15/39 (b),(c),(f),(g) | | | 1,720,000 | | | | | | 1,593,305 | |
UBS Commercial Mortgage Trust, | | | | | | | | | | |
Series 2018-C9, Class D, 4.88%, 03/15/51 (b),(c),(f),(g) | | | 308,000 | | | | | | 271,756 | |
Series 2018-NYCH, Class F, 1 mo. USD LIBOR + 3.82%, 3.93%, 02/15/32 (b),(f),(g),(h) | | | 798,000 | | | | | | 719,584 | |
UBS-Citigroup Commercial Mortgage Trust, Series 2011-C1, Class E, 6.05%, 01/10/45 (f),(g),(c) | | | 4,327,496 | | | | | | 1,788,987 | |
Wachovia Bank Commercial Mortgage Trust, Series 2006-C28, Class D, 5.72%, 10/15/48 (g),(c) | | | 6,447,259 | | | | | | 5,906,334 | |
Waldorf Astoria Boca Raton Trust, Series 2019-WBM, Class E, 1 mo. USD LIBOR + 2.68%, 2.79%, 12/15/33 (b),(c),(f),(g) | | | 5,000,000 | | | | | | 4,530,575 | |
Wells Fargo Commercial Mortgage Trust, | | | | | | | | | | |
Series 2014-LC18, Class D, 3.96%, 12/15/47 (b),(c),(f),(g) | | | 992,000 | | | | | | 881,911 | |
Series 2015-C26, Class D, 3.59%, 02/15/48 (b),(c),(f) | | | 4,512,000 | | | | | | 4,301,168 | |
Series 2015-C27, Class D, 3.77%, 02/15/48 (b),(f),(h) | | | 5,146,000 | | | | | | 3,854,426 | |
Series 2015-C31, Class D, 3.85%, 11/15/48 (b),(h) | | | 3,546,000 | | | | | | 3,070,637 | |
Series 2015-NXS4, Class E, 3.70%, 12/15/48 (b),(f),(g),(h) | | | 2,629,000 | | | | | | 2,194,311 | |
Series 2016-C34, Class C, 5.01%, 06/15/49 (g),(c) | | | 4,661,495 | | | | | | 4,222,466 | |
Series 2016-LC24, Class D, 3.21%, 10/15/49 (b),(c),(f) | | | 4,253,000 | | | | | | 3,822,171 | |
Series 2019-JWDR, Class E, 3.86%, 09/15/31 (b),(c),(f),(g) | | | 1,983,000 | | | | | | 1,944,228 | |
Series 2019-JWDR, Class F, 4.56%, 09/15/31 (b),(c),(f),(g) | | | 2,291,000 | | | | | | 1,976,888 | |
Series 2019-JWDR, Class G, 5.38%, 09/15/31 (b),(c),(f),(g) | | | 2,067,000 | | | | | | 1,760,768 | |
Series 2019-JWDR SEQ, Class D, 3.33%, 09/15/31 (b),(c),(f),(g) | | | 100,000 | | | | | | 98,633 | |
See Notes to Consolidated Financial Statements.
90
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | |
| | | |
Security Description | | Principal
Amount | | | | | Value | |
WFRBS Commercial Mortgage Trust, | | | | | | | | | | |
Series 2014-C19, Class D, 4.23%, 03/15/47 (b),(c),(f) | | $ | 325,000 | | | | | $ | 314,209 | |
Series 2014-C22, Class C, 3.76%, 09/15/57 (b),(c),(g) | | | 1,525,000 | | | | | | 1,587,772 | |
Series 2014-C22, Class D, 3.90%, 09/15/57 (b),(c),(f),(g) | | | 4,635,000 | | | | | | 4,063,087 | |
Worldwide Plaza Trust, Series 2017-WWP, Class F, 3.60%, 11/10/36 (b),(c),(f),(g) | | | 129,000 | | | | | | 113,714 | |
| | | | | | | | | | |
| | | | | | 261,453,814 | |
| | | | | | | | | | |
Interest Only Commercial Mortgage-Backed Securities — 0.9% | | | | | | | |
CFK Trust, Series 2020-MF2, Class X, 0.77%, 03/15/39 (b),(c),(f),(g),(i) | | | 19,612,000 | | | | | | 815,957 | |
Citigroup Commercial Mortgage Trust, | | | | | | | | | | |
Series 2019-C7, Class XD, 1.20%, 12/15/72 (b),(c),(f),(g),(i) | | | 5,347,000 | | | | | | 469,713 | |
Series 2019-GC43, Class XD, 0.62%, 11/10/52 (b),(c),(f),(g),(i) | | | 5,918,000 | | | | | | 273,915 | |
Commercial Mortgage Trust, Series 2014-UBS4, Class XA, 1.11%, 08/10/47 (b),(g),(i) | | | 16,195,549 | | | | | | 475,987 | |
CSAIL Commercial Mortgage Trust, | | | | | | | | | | |
Series 2015-C2, Class XA, 0.75%, 06/15/57 (b),(c),(g),(i) | | | 36,667,402 | | | | | | 925,485 | |
Series 2015-C3, Class XA, 0.72%, 08/15/48 (b),(c),(g),(i) | | | 98,914,018 | | | | | | 2,518,054 | |
Series 2019-C18, Class XD, 1.45%, 12/15/52 (b),(c),(f),(g),(i) | | | 4,452,333 | | | | | | 458,199 | |
DC Office Trust, Series 2019-MTC, Class X, 0.11%, 09/15/45 (b),(c),(f),(g),(i) | | | 64,579,000 | | | | | | 670,266 | |
Federal Home Loan Mortgage Corp., | | | | | | | | | | |
Series K-1514, Class X3, 2.77%, 10/25/34 (b),(c),(g),(i) | | | 13,043,739 | | | | | | 3,569,132 | |
Series K049, Class X3, 1.55%, 10/25/43 (b),(c),(g),(i) | | | 2,177,000 | | | | | | 125,922 | |
Series K061, Class X1, 0.18%, 11/25/26 (b),(c),(g),(i) | | | 17,805,028 | | | | | | 173,528 | |
Series K071, Class X1, 0.29%, 11/25/27 (b),(c),(g),(i) | | | 88,953,200 | | | | | | 1,521,900 | |
Series K089, Class X3, 2.30%, 01/25/46 (b),(c),(g),(i) | | | 7,963,000 | | | | | | 1,232,840 | |
Series K095, Class X3, 2.10%, 08/25/47 (b),(c),(g),(i) | | | 9,297,000 | | | | | | 1,309,324 | |
Series K102, Class X3, 1.89%, 12/25/46 (b),(c),(g),(i) | | | 20,880,337 | | | | | | 2,753,553 | |
See Notes to Consolidated Financial Statements.
91
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | | | |
| | | |
Security Description | | Principal
Amount | | | | | | Value | |
Series K105, Class X3, 1.92%, 06/25/30 (b),(c),(g),(i) | | $ | 8,413,000 | | | | | | | $ | 1,182,035 | |
Series K154, Class X1, 0.31%, 11/25/32 (b),(c),(g),(i) | | | 32,966,871 | | | | | | | | 866,633 | |
Series K725, Class X1, 0.70%, 01/25/24 (b),(c),(g),(i) | | | 140,661,979 | | | | | | | | 2,350,321 | |
Series KG01, Class X3, 3.12%, 05/25/29 (b),(c),(g),(i) | | | 9,477,000 | | | | | | | | 1,959,540 | |
Series KG04, Class X3, 2.63%, 11/25/30 (b),(c),(g),(i) | | | 1,000,000 | | | | | | | | 194,449 | |
Series KLU1, Class X3, 3.97%, 01/25/31 (b),(c),(g),(i) | | | 25,016,288 | | | | | | | | 4,152,329 | |
Series KLU2, Class X1, 1.03%, 08/25/29 (b),(c),(g),(i) | | | 63,707,223 | | | | | | | | 4,234,109 | |
Series KLU2, Class X3, 3.97%, 08/25/29 (b),(c),(g),(i) | | | 9,462,040 | | | | | | | | 2,104,471 | |
Series KS11, Class XFX, 1.60%, 06/25/29 (b),(c),(g),(i) | | | 25,265,000 | | | | | | | | 2,611,618 | |
Series KW08, Class X3, 3.18%, 10/25/31 (b),(c),(g),(i) | | | 6,701,000 | | | | | | | | 1,290,043 | |
Series KW09, Class X3, 3.01%, 06/25/29 (b),(c),(g),(i) | | | 6,654,000 | | | | | | | | 1,313,267 | |
Series KW10, Class X3, 2.72%, 10/25/32 (b),(c),(g),(i) | | | 5,935,000 | | | | | | | | 1,068,294 | |
Federal National Mortgage Association, | | | | | | | | | | | | |
Series 2017-C03, Class 1X2, 1.80%, 10/25/29 (b),(c),(i) | | | 12,169,327 | | | | | | | | 235,574 | |
Series 2018-C01, Class 1X2, 1.40%, 07/25/30 (b),(c),(i) | | | 28,549,326 | | | | | | | | 373,882 | |
GS Mortgage Securities Corp. Trust, Series 2020-DUNE, Class XCP, 0.93%, 12/15/36 (b),(c),(f),(g),(i) | | | 15,243,000 | | | | | | | | 152 | |
GS Mortgage Securities Trust, Series 2019-GC40, Class XD, 1.16%, 07/10/52 (b),(c),(f),(g),(i) | | | 2,219,000 | | | | | | | | 189,733 | |
JPMDB Commercial Mortgage Securities Trust, Series 2019-COR6, Class XD, 1.43%, 11/13/52 (b),(c),(f),(g),(i) | | | 4,231,000 | | | | | | | | 425,131 | |
MFT Trust, Series 2020-ABC, Class XA, 0.12%, 02/10/42 (b),(f),(g),(i) | | | 20,401,000 | | | | | | | | 242,976 | |
STACR Trust, Series 2018-DNA3, Class M2AI, 1.50%, 09/25/48 (b),(c),(f),(i) | | | 7,351,600 | | | | | | | | 114,163 | |
| | | | | | | | | | | | |
| | | | | | | | 42,202,495 | |
| | | | | | | | | | | | |
Total North America | | | | | | | | 415,389,639 | |
| | | | | | | | | | | | |
TOTAL MORTGAGE-BACKED SECURITIES
(COST $442,184,164) | | | | | | | | 426,998,427 | |
| | | | | | | | | | | | |
See Notes to Consolidated Financial Statements.
92
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | | | |
| | | |
Security Description | | Principal
Amount | | | | | | Value | |
| |
U.S. GOVERNMENT SPONSORED AGENCY SECURITIES — 0.2% | | | | | |
North America — 0.2% | | | | | | | | | | | | |
Inverse Interest Only Collateralized Mortgage Obligations — 0.2% | | | | | | | | | |
Government National Mortgage Association, | | | | | | | | | | | | |
Series 2015-151, Class SC, 1 mo. USD LIBOR + 6.15%, 6.04%, 10/20/45 (b),(g),(i) | | $ | 5,321,267 | | | | | | | $ | 1,020,773 | |
Series 2015-161, Class AS, 1 mo. USD LIBOR + 6.20%, 6.09%, 11/20/45 (b),(g),(i) | | | 5,573,476 | | | | | | | | 1,166,451 | |
Series 2017-114, Class SP, 1 mo. USD LIBOR + 6.20%, 6.09%, 07/20/47 (b),(g),(i) | | | 4,791,615 | | | | | | | | 828,892 | |
Series 2017-117, Class SA, 1 mo. USD LIBOR + 6.20%, 6.09%, 08/20/47 (b),(g),(i) | | | 5,746,891 | | | | | | | | 1,214,491 | |
Series 2017-156, Class SB, 1 mo. USD LIBOR + 6.20%, 6.09%, 10/20/47 (b),(g),(i) | | | 5,987,118 | | | | | | | | 1,154,747 | |
Series 2017-56, Class AS, 1 mo. USD LIBOR + 6.15%, 6.04%, 04/20/47 (b),(g),(i) | | | 5,089,012 | | | | | | | | 970,459 | |
Series 2017-73, Class SM, 1 mo. USD LIBOR + 6.20%, 6.09%, 05/20/47 (b),(g),(i) | | | 5,290,653 | | | | | | | | 1,039,566 | |
Series 2018-48, Class SA, 1 mo. USD LIBOR + 6.20%, 6.09%, 04/20/48 (b),(g),(i) | | | 7,360,165 | | | | | | | | 1,506,957 | |
Series 2018-65, Class PS, 1 mo. USD LIBOR + 6.15%, 6.04%, 05/20/48 (b),(g),(i) | | | 5,229,490 | | | | | | | | 796,833 | |
Series 2018-93, Class SA, 1 mo. USD LIBOR + 6.20%, 6.09%, 07/20/48 (b),(g),(i) | | | 4,453,411 | | | | | | | | 596,552 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 10,295,721 | |
| | | | | | | | | | | | |
Total North America | | | | | | | | 10,295,721 | |
| | | | | | | | | | | | |
TOTAL U.S. GOVERNMENT SPONSORED AGENCY SECURITIES
(COST $10,314,272) | | | | | | | | 10,295,721 | |
| | | | | | | | | | | | |
| | | |
MUNICIPALS — 0.6% | | | | | | | | | | | | |
North America — 0.6% | | | | | | | | | | | | |
California Housing Finance, Rev., Series 2019 X, (SER X),, 0.29%, 01/15/35 (b),(c),(g) | | | 15,163,091 | | | | | | | | 302,178 | |
Puerto Rico, | |
GO, Series 2012 A, (REF-PUBLIC IMPT-SER A),, 5.00%, 07/01/41 (c),(k) | | | 5,505,000 | | | | | | | | 4,445,287 | |
GO, Series 2012 A, (REF-PUBLIC IMPT-SER A),, 5.50%, 07/01/39 (c),(k) | | | 3,740,000 | | | | | | | | 3,132,250 | |
GO, Series 2014 A, (SER A),, 8.00%, 07/01/35 (c),(k) | | | 25,250,000 | | | | | | | | 19,821,250 | |
| | | | | | | | | | | | |
Total North America | | | | | | | | 27,700,965 | |
| | | | | | | | | | | | |
TOTAL MUNICIPALS
(COST $17,953,038) | | | | | | | | 27,700,965 | |
| | | | | | | | | | | | |
See Notes to Consolidated Financial Statements.
93
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | | | |
| | | |
Security Description | | Shares | | | | | | Value | |
| | | |
EXCHANGE-TRADED FUNDS — 0.1% | | | | | | | | | | | | |
Invesco Emerging Markets Sovereign Debt ETF (b) | | | 4,662 | | | | | | | $ | 124,802 | |
SPDR Dow Jones International Real Estate ETF (b),(c) | | | 69,250 | | | | | | | | 2,385,662 | |
Vanguard Emerging Markets Government Bond ETF (b) | | | 1,375 | | | | | | | | 106,563 | |
Vanguard Real Estate ETF (b),(c) | | | 7,077 | | | | | | | | 650,093 | |
| | | | | | | | | | | | |
TOTAL EXCHANGE-TRADED FUNDS
(COST $3,434,797) | | | | | | | | | | | 3,267,120 | |
| | | | | | | | | | | | |
| | | |
WARRANTS — 0.1% | | | | | | | | | | | | |
Amplitude Healthcare Acquisition Corp. (a),(b),(c) | | | 150,000 | | | | | | | | 123,000 | |
Ascendant Digital Acquisition Corp. (a),(b),(c) | | | 266,000 | | | | | | | | 268,660 | |
Capstar Special Purpose Acquisition Corp. (a),(b),(c) | | | 268,650 | | | | | | | | 190,742 | |
CC Neuberger Principal Holdings II, A Shares(a),(b),(c) | | | 130,450 | | | | | | | | 143,573 | |
Chardan Healthcare Acquisition 2 Corp. (a),(b),(c) | | | 297,500 | | | | | | | | 279,650 | |
CHP Merger Corp., Class A(a),(b),(c) | | | 291,000 | | | | | | | | 218,570 | |
Crescent Acquisition Corp. (a),(b),(c) | | | 375,000 | | | | | | | | 427,500 | |
DFP Healthcare Acquisitions Corp., A Shares(a),(b),(c) | | | 206,351 | | | | | | | | 247,621 | |
E.Merge Technology Acquisition Corp. (a),(b),(c) | | | 213,333 | | | | | | | | 202,667 | |
Executive Network Partnering Corp. (a),(b),(c) | | | 116,250 | | | | | | | | 97,941 | |
Foley Trasimene Acquisition Corp., Class A(a),(b),(c) | | | 194,000 | | | | | | | | 310,400 | |
GigCapital2, Inc. (a),(b),(c) | | | 500,000 | | | | | | | | 375,000 | |
GO Acquisition Corp., A Shares(a),(b),(c) | | | 188,000 | | | | | | | | 169,200 | |
Isleworth Healthcare Acquisi (b),(a) | | | 114,434 | | | | | | | | 53,784 | |
LIV Capital Acquisition Corp. (a),(b),(c) | | | 210,000 | | | | | | | | 119,721 | |
McLaren Racing Ltd. (b),(a) | | | 22,935 | | | | | | | | 0 | |
North Mountain Merger Corp. (a),(b) | | | 232,500 | | | | | | | | 255,750 | |
RedBall Acquisition Corp. (a),(b),(c) | | | 181,700 | | | | | | | | 247,112 | |
SC Health Corp. (a),(b),(c) | | | 96,534 | | | | | | | | 182,449 | |
SCVX Corp., Class A(a),(b),(c) | | | 214,286 | | | | | | | | 214,286 | |
Trebia Acquisition Corp. (a),(b),(c) | | | 209,746 | | | | | | | | 314,619 | |
TWC Tech Holdings II Corp. (a),(b),(c) | | | 238,400 | | | | | | | | 250,320 | |
Union Acquisition Corp. II (a),(b),(c) | | | 525,000 | | | | | | | | 357,000 | |
Yucaipa Acquisition Corp. (a),(b),(c) | | | 177,833 | | | | | | | | 248,966 | |
| | | | | | | | | | | | |
TOTAL WARRANTS
(COST $5,350,779) | | | | | | | | | | | 5,298,531 | |
| | | | | | | | | | | | |
| | | |
INVESTMENTS IN INVESTEE FUNDS — 10.4% | | | | | | | | | | | | |
North America — 10.4% | | | | | | | | | | | | |
Aeolus Property Catastrophe Keystone PF Fund LP
(cost $ 145,083,353) (a),(o) | | | 4 | | | | | | | | 145,928,321 | |
EJF Debt Opportunities Offshore Fund, Ltd.
(cost $49,200,658) (a),(o) | | | 492,007 | | | | | | | | 51,631,111 | |
Islet Offshore Fund Ltd.
(cost $ 167,000,000) (a),(o) | | | 1 | | | | | | | | 207,495,695 | |
Islet Onshore Fund LP
(cost $ 23,000,000) (a),(o) | | | 1 | | | | | | | | 28,585,908 | |
See Notes to Consolidated Financial Statements.
94
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | | | |
| | | |
Security Description | | Shares | | | | | | Value | |
PIMCO ILS Fund SP II
(cost $ 22,327,163) (a),(o) | | | 3 | | | | | | | $ | 22,080,148 | |
Saba Capital Carry Neutral Tail Hedge Offshore Fund Ltd.
(cost $ 42,250,000) (a),(o) | | | 1 | | | | | | | | 42,760,699 | |
Saba Capital Carry Neutral Tail Hedge Partners, L.P.
(cost $ 22,750,000) (a),(o) | | | 1 | | | | | | | | 23,022,176 | |
| | | | | | | | | | | | |
Total North America | | | | | | | | | | | 521,504,058 | |
| | | | | | | | | | | | |
TOTAL INVESTMENTS IN INVESTEE FUNDS
(COST $471,611,174) | | | | | | | | | | | 521,504,058 | |
| | | | | | | | | | | | |
| | | |
RIGHTS — 0.0% | | | | | | | | | | | | |
GigCapital2, Inc. (a),(b),(c) | | | 500,000 | | | | | | | | 165,000 | |
| | | | | | | | | | | | |
TOTAL RIGHTS
(COST $0) | | | | | | | | | | | 165,000 | |
| | | | | | | | | | | | |
TOTAL LONG-TERM INVESTMENTS
(COST $3,153,461,973) | | | | | | | | | | | 3,249,377,295 | |
| | | | | | | | | | | | |
| | | |
Security Description | | Contracts | | | | | | Value | |
| | | |
COMMODITIES — 5.1% | | | | | | | | | | | | |
California Carbon Allowance Vintage Specific 2017 (a),(b) | | | 1,265,940 | | | | | | | | 22,685,645 | |
California Carbon Allowance Vintage Specific 2018 (a),(b) | | | 16,515 | | | | | | | | 295,949 | |
California Carbon Allowance Vintage Specific 2019 (a),(b) | | | 395,865 | | | | | | | | 7,093,901 | |
California Carbon Allowance Vintage Specific 2020 (a),(b) | | | 9,454,680 | | | | | | | | 169,427,865 | |
California Carbon Allowance Vintage Specific 2021 (a),(b) | | | 137,000 | | | | | | | | 2,455,040 | |
California Carbon Allowance Vintage Specific 2022 (a),(b) | | | 900,000 | | | | | | | | 16,398,000 | |
California Carbon Allowance Vintage Specific 2023 (a),(b) | | | 525,000 | | | | | | | | 9,576,000 | |
California Carbon Allowance Vintage Specific 2024 (a),(b) | | | 1,606,000 | | | | | | | | 29,598,580 | |
| | | | | | | | | | | | |
TOTAL COMMODITIES
(COST $252,179,430) | | | | | | | | 257,530,980 | |
| | | | | | | | | | | | |
See Notes to Consolidated Financial Statements.
95
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Strike | | | Expiration
Date | | Contracts | | | Notional
Amount | | | Premium
Paid | | | Market
Value | | | Unrealized
Appreciation
(Depreciation) | |
| | | | |
PURCHASED OPTIONS —0.6% | | | | | | | | | | | | | | | | | |
| | | |
Exchange-Traded Call Options — 0.4% | | | | | | | | | | | | | |
340327959 BLACKSTONE | | | 0.01 USD | | | 03/31/22 | | | 800,000,000 | | | | 800,000,000 | | | $ | 1,700,000 | | | $ | 1,384,896 | | | $ | (315,104 | ) |
CRUDE OIL FUTURE DEC21 | | | 70.00 USD | | | 11/16/21 | | | 125 | | | | 7,527,500 | | | | 62,690 | | | | 231,250 | | | | 168,560 | |
CRUDE OIL FUTURE DEC22 | | | 80.00 USD | | | 11/16/22 | | | 300 | | | | 17,148,000 | | | | 435,456 | | | | 459,000 | | | | 23,544 | |
CRUDE OIL FUTURE DEC22 | | | 98.00 USD | | | 11/16/22 | | | 11,999 | | | | 685,862,840 | | | | 4,997,848 | | | | 6,959,420 | | | | 1,961,572 | |
CRUDE OIL FUTURE JUN21 | | | 50.00 USD | | | 05/17/21 | | | 50 | | | | 3,052,084 | | | | 66,576 | | | | 507,000 | | | | 440,424 | |
NAT GAS EURO FUTURE MAR22 | | | 6.00 USD | | | 02/23/22 | | | 172 | | | | 4,485,760 | | | | 202,129 | | | | 157,380 | | | | (44,749 | ) |
NATURAL GAS FUTURE APR22 | | | 3.00 USD | | | 03/28/22 | | | 150 | | | | 3,724,500 | | | | 194,838 | | | | 180,600 | | | | (14,238 | ) |
NATURAL GAS FUTURE APR22 | | | 2.50 USD | | | 03/28/22 | | | 307 | | | | 7,622,810 | | | | 977,175 | | | | 837,496 | | | | (139,679 | ) |
NATURAL GAS FUTURE APR23 | | | 4.00 USD | | | 03/28/23 | | | 21 | | | | 499,380 | | | | 16,856 | | | | 5,607 | | | | (11,249 | ) |
NATURAL GAS FUTURE APR23 | | | 3.00 USD | | | 03/28/23 | | | 139 | | | | 3,305,420 | | | | 272,349 | | | | 168,051 | | | | (104,298 | ) |
NATURAL GAS FUTURE AUG21 | | | 3.50 USD | | | 07/27/21 | | | 598 | | | | 16,462,940 | | | | 451,289 | | | | 104,052 | | | | (347,237 | ) |
NATURAL GAS FUTURE AUG21 | | | 3.00 USD | | | 07/27/21 | | | 425 | | | | 11,700,250 | | | | 898,470 | | | | 371,025 | | | | (527,445 | ) |
NATURAL GAS FUTURE AUG21 | | | 3.25 USD | | | 07/27/21 | | | 714 | | | | 19,656,420 | | | | 711,157 | | | | 271,320 | | | | (439,837 | ) |
NATURAL GAS FUTURE AUG21 | | | 4.00 USD | | | 07/27/21 | | | 75 | | | | 2,064,750 | | | | 22,700 | | | | 4,050 | | | | (18,650 | ) |
NATURAL GAS FUTURE AUG22 | | | 3.00 USD | | | 07/26/22 | | | 168 | | | | 4,223,520 | | | | 218,466 | | | | 183,288 | | | | (35,178 | ) |
NATURAL GAS FUTURE AUG23 | | | 4.00 USD | | | 07/26/23 | | | 21 | | | | 513,450 | | | | 16,856 | | | | 4,158 | | | | (12,698 | ) |
NATURAL GAS FUTURE AUG23 | | | 3.00 USD | | | 07/26/23 | | | 139 | | | | 3,398,550 | | | | 272,349 | | | | 152,205 | | | | (120,144 | ) |
NATURAL GAS FUTURE DEC23 | | | 4.00 USD | | | 11/27/23 | | | 21 | | | | 577,290 | | | | 16,856 | | | | 19,593 | | | | 2,737 | |
NATURAL GAS FUTURE DEC23 | | | 3.00 USD | | | 11/27/23 | | | 139 | | | | 3,821,110 | | | | 272,349 | | | | 395,594 | | | | 123,245 | |
NATURAL GAS FUTURE FEB23 | | | 4.00 USD | | | 01/26/23 | | | 21 | | | | 591,990 | | | | 16,856 | | | | 49,455 | | | | 32,599 | |
NATURAL GAS FUTURE FEB23 | | | 3.00 USD | | | 01/26/23 | | | 139 | | | | 3,918,410 | | | | 272,349 | | | | 579,074 | | | | 306,725 | |
NATURAL GAS FUTURE JAN22 | | | 3.50 USD | | | 12/28/21 | | | 375 | | | | 11,433,750 | | | | 1,569,439 | | | | 936,750 | | | | (632,689 | ) |
NATURAL GAS FUTURE JAN23 | | | 3.00 USD | | | 12/22/22 | | | 50 | | | | 357,875 | | | | 375 | | | | 9,863 | | | | 9,488 | |
See Notes to Consolidated Financial Statements.
96
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Strike | | | Expiration
Date | | Contracts | | | Notional
Amount | | | Premium
Paid | | | Market
Value | | | Unrealized
Appreciation
(Depreciation) | |
NATURAL GAS FUTURE JAN23 | | | 4.00 USD | | | 12/27/22 | | | 21 | | | | 601,230 | | | $ | 16,856 | | | $ | 41,286 | | | $ | 24,430 | |
NATURAL GAS FUTURE JAN23 | | | 3.00 USD | | | 12/27/22 | | | 139 | | | | 3,979,570 | | | | 272,349 | | | | 521,667 | | | | 249,318 | |
NATURAL GAS FUTURE JUL21 | | | 3.50 USD | | | 06/25/21 | | | 1,131 | | | | 30,898,920 | | | | 163,982 | | | | 96,135 | | | | (67,847 | ) |
NATURAL GAS FUTURE JUL21 | | | 3.75 USD | | | 06/25/21 | | | 477 | | | | 13,031,640 | | | | 111,136 | | | | 20,511 | | | | (90,625 | ) |
NATURAL GAS FUTURE JUL21 | | | 3.25 USD | | | 06/25/21 | | | 628 | | | | 17,156,960 | | | | 647,287 | | | | 135,020 | | | | (512,267 | ) |
NATURAL GAS FUTURE JUL21 | | | 3.00 USD | | | 06/25/21 | | | 425 | | | | 11,611,000 | | | | 898,470 | | | | 249,050 | | | | (649,420 | ) |
NATURAL GAS FUTURE JUL21 | | | 4.00 USD | | | 06/25/21 | | | 75 | | | | 2,049,000 | | | | 22,700 | | | | 2,025 | | | | (20,675 | ) |
NATURAL GAS FUTURE SEP21 | | | 4.00 USD | | | 08/26/21 | | | 75 | | | | 2,049,000 | | | | 22,700 | | | | 6,600 | | | | (16,100 | ) |
NATURAL GAS FUTURE JUL22 | | | 3.00 USD | | | 06/27/22 | | | 168 | | | | 4,213,440 | | | | 218,466 | | | | 175,560 | | | | (42,906 | ) |
NATURAL GAS FUTURE JUL23 | | | 4.00 USD | | | 06/27/23 | | | 21 | | | | 510,930 | | | | 16,856 | | | | 3,885 | | | | (12,971 | ) |
NATURAL GAS FUTURE JUL23 | | | 3.00 USD | | | 06/27/23 | | | 139 | | | | 3,381,870 | | | | 272,349 | | | | 145,672 | | | | (126,677 | ) |
NATURAL GAS FUTURE JUN21 | | | 3.50 USD | | | 05/25/21 | | | 232 | | | | 6,187,440 | | | | 110,510 | | | | 6,496 | | | | (104,014 | ) |
NATURAL GAS FUTURE JUN21 | | | 4.00 USD | | | 05/25/21 | | | 957 | | | | 25,523,190 | | | | 352,886 | | | | 10,527 | | | | (342,359 | ) |
NATURAL GAS FUTURE JUN21 | | | 3.25 USD | | | 05/25/21 | | | 1,156 | | | | 30,830,520 | | | | 748,497 | | | | 76,296 | | | | (672,201 | ) |
NATURAL GAS FUTURE JUN22 | | | 3.00 USD | | | 05/25/22 | | | 168 | | | | 4,154,640 | | | | 218,466 | | | | 152,376 | | | | (66,090 | ) |
NATURAL GAS FUTURE JUN23 | | | 4.00 USD | | | 05/25/23 | | | 21 | | | | 501,900 | | | | 16,856 | | | | 3,591 | | | | (13,265 | ) |
NATURAL GAS FUTURE JUN23 | | | 3.00 USD | | | 05/25/23 | | | 139 | | | | 3,322,100 | | | | 272,349 | | | | 133,857 | | | | (138,492 | ) |
NATURAL GAS FUTURE MAR23 | | | 4.00 USD | | | 02/23/23 | | | 21 | | | | 559,440 | | | | 16,856 | | | | 46,053 | | | | 29,197 | |
NATURAL GAS FUTURE MAR23 | | | 3.00 USD | | | 02/23/23 | | | 139 | | | | 3,702,960 | | | | 272,349 | | | | 526,115 | | | | 253,766 | |
NATURAL GAS FUTURE MAY21 | | | 2.75 USD | | | 04/27/21 | | | 708 | | | | 18,974,400 | | | | 407,396 | | | | 222,312 | | | | (185,084 | ) |
NATURAL GAS FUTURE MAY21 | | | 3.00 USD | | | 04/27/21 | | | 1,654 | | | | 44,327,200 | | | | 1,206,961 | | | | 62,852 | | | | (1,144,109 | ) |
NATURAL GAS FUTURE MAY21 | | | 3.25 USD | | | 04/27/21 | | | 999 | | | | 26,773,200 | | | | 333,008 | | | | 11,988 | | | | (321,020 | ) |
NATURAL GAS FUTURE MAY21 | | | 4.00 USD | | | 04/27/21 | | | 75 | | | | 2,010,000 | | | | 22,700 | | | | 75 | | | | (22,625 | ) |
NATURAL GAS FUTURE SEP21 | | | 3.00 USD | | | 04/26/22 | | | 168 | | | | 4,102,560 | | | | 218,466 | | | | 137,088 | | | | (81,378 | ) |
NATURAL GAS FUTURE MAY23 | | | 4.00 USD | | | 04/25/23 | | | 21 | | | | 493,710 | | | | 16,856 | | | | 3,801 | | | | (13,055 | ) |
See Notes to Consolidated Financial Statements.
97
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Strike | | | Expiration
Date | | Contracts | | | Notional
Amount | | | Premium
Paid | | | Market
Value | | | Unrealized
Appreciation
(Depreciation) | |
NATURAL GAS FUTURE MAY23 | | | 3.00 USD | | | 04/25/23 | | | 139 | | | | 3,267,890 | | | $ | 272,349 | | | $ | 133,301 | | | $ | (139,048 | ) |
NATURAL GAS FUTURE NOV23 | | | 4.00 USD | | | 10/26/23 | | | 21 | | | | 534,240 | | | | 16,856 | | | | 10,248 | | | | (6,608 | ) |
NATURAL GAS FUTURE NOV23 | | | 3.00 USD | | | 10/26/23 | | | 139 | | | | 3,536,160 | | | | 272,349 | | | | 238,941 | | | | (33,408 | ) |
NATURAL GAS FUTURE OCT21 | | | 3.25 USD | | | 09/27/21 | | | 927 | | | | 25,538,850 | | | | 1,134,708 | | | | 686,907 | | | | (447,801 | ) |
NATURAL GAS FUTURE OCT21 | | | 4.00 USD | | | 09/27/21 | | | 1,966 | | | | 54,163,300 | | | | 1,019,618 | | | | 304,730 | | | | (714,888 | ) |
NATURAL GAS FUTURE OCT21 | | | 3.50 USD | | | 09/27/21 | | | 586 | | | | 16,144,300 | | | | 582,225 | | | | 240,260 | | | | (341,965 | ) |
NATURAL GAS FUTURE OCT22 | | | 3.00 USD | | | 09/27/22 | | | 168 | | | | 4,238,640 | | | | 218,466 | | | | 202,944 | | | | (15,522 | ) |
NATURAL GAS FUTURE OCT23 | | | 4.00 USD | | | 09/26/23 | | | 21 | | | | 516,390 | | | | 16,856 | | | | 5,229 | | | | (11,627 | ) |
NATURAL GAS FUTURE OCT23 | | | 3.00 USD | | | 09/26/23 | | | 139 | | | | 3,418,010 | | | | 272,349 | | | | 173,194 | | | | (99,155 | ) |
NATURAL GAS FUTURE SEP21 | | | 3.50 USD | | | 08/26/21 | | | 169 | | | | 4,630,600 | | | | 94,074 | | | | 43,433 | | | | (50,641 | ) |
NATURAL GAS FUTURE SEP21 | | | 3.25 USD | | | 08/26/21 | | | 628 | | | | 17,207,200 | | | | 647,287 | | | | 320,280 | | | | (327,007 | ) |
NATURAL GAS FUTURE SEP22 | | | 3.00 USD | | | 08/26/22 | | | 168 | | | | 4,196,640 | | | | 218,466 | | | | 179,760 | | | | (38,706 | ) |
NATURAL GAS FUTURE SEP23 | | | 4.00 USD | | | 08/28/23 | | | 21 | | | | 509,670 | | | | 16,856 | | | | 4,242 | | | | (12,614 | ) |
NATURAL GAS FUTURE SEP23 | | | 3.00 USD | | | 08/28/23 | | | 139 | | | | 3,373,530 | | | | 272,349 | | | | 150,815 | | | | (121,534 | ) |
USD vs PLN | | | 3.91 USD | | | 04/13/21 | | | 19,300,000 | | | | 19,300,000 | | | | 104,220 | | | | 280,468 | | | | 176,248 | |
USD vs PLN | | | 4.02 USD | | | 09/13/21 | | | 19,300,000 | | | | 19,300,000 | | | | 232,565 | | | | 385,131 | | | | 152,566 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | $ | 25,934,328 | | | $ | 20,121,848 | | | $ | (5,812,480 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | |
Exchange-Traded Put Options — 0.2% | | | | | | | | | | | | | | | | | |
CRUDE OIL FUTURE DEC21 | | | 40.00 USD | | | 11/16/21 | | | 22 | | | | 1,324,840 | | | $ | 38,094 | | | $ | 27,720 | | | $ | (10,374 | ) |
CRUDE OIL FUTURE JUN21 | | | 30.00 USD | | | 05/17/21 | | | 240 | | | | 14,650,003 | | | | 74,765 | | | | 14,400 | | | | (60,365 | ) |
CRUDE OIL FUTURE MAY21 | | | 56.00 USD | | | 04/15/21 | | | 120 | | | | 7,251,751 | | | | 211,382 | | | | 150,000 | | | | (61,382 | ) |
CRUDE OIL FUTURE MAY21 | | | 59.50 USD | | | 04/15/21 | | | 514 | | | | 31,061,668 | | | | 1,475,231 | | | | 1,290,140 | | | | (185,091 | ) |
NATURAL GAS FUTURE APR23 | | | 2.00 USD | | | 03/28/23 | | | 21 | | | | 499,380 | | | | 25,309 | | | | 29,463 | | | | 4,154 | |
NATURAL GAS FUTURE APR23 | | | 1.50 USD | | | 03/28/23 | | | 76 | | | | 1,807,280 | | | | 16,640 | | | | 21,280 | | | | 4,640 | |
NATURAL GAS FUTURE AUG21 | | | 2.25 USD | | | 07/27/21 | | | 260 | | | | 7,157,800 | | | | 104,694 | | | | 72,020 | | | | (32,674 | ) |
NATURAL GAS FUTURE AUG23 | | | 2.00 USD | | | 07/26/23 | | | 21 | | | | 513,450 | | | | 25,309 | | | | 20,979 | | | | (4,330 | ) |
See Notes to Consolidated Financial Statements.
98
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Strike | | | Expiration
Date | | Contracts | | | Notional
Amount | | | Premium
Paid | | | Market
Value | | | Unrealized
Appreciation
(Depreciation) | |
NATURAL GAS FUTURE AUG23 | | | 1.50 USD | | | 07/26/23 | | | 76 | | | | 1,858,200 | | | $ | 16,640 | | | $ | 11,932 | | | $ | (4,708 | ) |
NATURAL GAS FUTURE DEC23 | | | 2.00 USD | | | 11/27/23 | | | 21 | | | | 577,290 | | | | 25,309 | | | | 16,611 | | | | (8,698 | ) |
NATURAL GAS FUTURE DEC23 | | | 1.50 USD | | | 11/27/23 | | | 76 | | | | 2,089,240 | | | | 16,640 | | | | 10,184 | | | | (6,456 | ) |
NATURAL GAS FUTURE FEB23 | | | 2.00 USD | | | 01/26/23 | | | 21 | | | | 591,990 | | | | 25,309 | | | | 24,717 | | | | (592 | ) |
NATURAL GAS FUTURE FEB23 | | | 1.50 USD | | | 01/26/23 | | | 76 | | | | 2,142,440 | | | | 16,640 | | | | 22,344 | | | | 5,704 | |
NATURAL GAS FUTURE JAN22 | | | 2.00 USD | | | 12/28/21 | | | 214 | | | | 6,524,860 | | | | 64,771 | | | | 48,792 | | | | (15,979 | ) |
NATURAL GAS FUTURE JAN22 | | | 2.25 USD | | | 12/28/21 | | | 128 | | | | 3,902,720 | | | | 64,342 | | | | 73,088 | | | | 8,746 | |
NATURAL GAS FUTURE JAN22 | | | 2.50 USD | | | 12/28/21 | | | 214 | | | | 6,524,860 | | | | 279,306 | | | | 257,014 | | | | (22,292 | ) |
NATURAL GAS FUTURE JAN23 | | | 2.00 USD | | | 12/27/22 | | | 21 | | | | 601,230 | | | | 25,309 | | | | 16,506 | | | | (8,803 | ) |
NATURAL GAS FUTURE JAN23 | | | 1.50 USD | | | 12/27/22 | | | 76 | | | | 2,175,880 | | | | 16,640 | | | | 11,552 | | | | (5,088 | ) |
NATURAL GAS FUTURE JUL21 | | | 2.25 USD | | | 06/25/21 | | | 1,142 | | | | 31,199,440 | | | | 341,949 | | | | 212,412 | | | | (129,537 | ) |
NATURAL GAS FUTURE JUL23 | | | 2.00 USD | | | 06/27/23 | | | 21 | | | | 510,930 | | | | 25,309 | | | | 21,210 | | | | (4,099 | ) |
NATURAL GAS FUTURE JUL23 | | | 1.50 USD | | | 06/27/23 | | | 76 | | | | 1,849,080 | | | | 16,640 | | | | 12,008 | | | | (4,632 | ) |
NATURAL GAS FUTURE JUN21 | | | 2.75 USD | | | 05/25/21 | | | 301 | | | | 8,027,670 | | | | 383,074 | | | | 508,389 | | | | 125,315 | |
NATURAL GAS FUTURE JUN23 | | | 2.00 USD | | | 05/25/23 | | | 21 | | | | 501,900 | | | | 25,309 | | | | 23,604 | | | | (1,705 | ) |
NATURAL GAS FUTURE JUN23 | | | 1.50 USD | | | 05/25/23 | | | 76 | | | | 1,816,400 | | | | 16,640 | | | | 13,984 | | | | (2,656 | ) |
NATURAL GAS FUTURE MAR23 | | | 2.00 USD | | | 02/23/23 | | | 21 | | | | 559,440 | | | | 25,309 | | | | 33,705 | | | | 8,396 | |
NATURAL GAS FUTURE MAR23 | | | 1.50 USD | | | 02/23/23 | | | 76 | | | | 2,024,640 | | | | 16,640 | | | | 34,732 | | | | 18,092 | |
NATURAL GAS FUTURE MAY21 | | | 2.00 USD | | | 04/27/21 | | | 1,157 | | | | 31,007,600 | | | | 101,639 | | | | 18,512 | | | | (83,127 | ) |
NATURAL GAS FUTURE MAY21 | | | 2.25 USD | | | 04/27/21 | | | 1,158 | | | | 31,034,400 | | | | 183,642 | | | | 64,848 | | | | (118,794 | ) |
NATURAL GAS FUTURE MAY21 | | | 2.50 USD | | | 04/27/21 | | | 707 | | | | 18,947,600 | | | | 315,653 | | | | 301,182 | | | | (14,471 | ) |
NATURAL GAS FUTURE MAY23 | | | 2.00 USD | | | 04/25/23 | | | 21 | | | | 493,710 | | | | 25,309 | | | | 27,342 | | | | 2,033 | |
NATURAL GAS FUTURE MAY23 | | | 1.50 USD | | | 04/25/23 | | | 76 | | | | 1,786,760 | | | | 16,640 | | | | 17,784 | | | | 1,144 | |
NATURAL GAS FUTURE NOV23 | | | 2.00 USD | | | 10/26/23 | | | 21 | | | | 534,240 | | | | 25,309 | | | | 19,362 | | | | (5,947 | ) |
NATURAL GAS FUTURE NOV23 | | | 1.50 USD | | | 10/26/23 | | | 76 | | | | 1,933,440 | | | | 16,640 | | | | 10,944 | | | | (5,696 | ) |
See Notes to Consolidated Financial Statements.
99
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Strike | | | Expiration
Date | | Contracts | | | Notional
Amount | | | Premium
Paid | | | Market
Value | | | Unrealized
Appreciation
(Depreciation) | |
NATURAL GAS FUTURE OCT21 | | | 2.75 USD | | | 09/27/21 | | | 189 | | | | 5,206,950 | | | $ | 437,095 | | | $ | 433,755 | | | $ | (3,340 | ) |
NATURAL GAS FUTURE OCT21 | | | 2.25 USD | | | 09/27/21 | | | 1,071 | | | | 27,021,330 | | | | 592,875 | | | | 600,831 | | | | 7,956 | |
NATURAL GAS FUTURE OCT21 | | | 2.50 USD | | | 09/27/21 | | | 548 | | | | 13,826,040 | | | | 905,408 | | | | 671,300 | | | | (234,108 | ) |
NATURAL GAS FUTURE OCT21 | | | 2.00 USD | | | 09/27/21 | | | 493 | | | | 12,438,390 | | | | 232,796 | | | | 109,446 | | | | (123,350 | ) |
NATURAL GAS FUTURE OCT23 | | | 2.00 USD | | | 09/26/23 | | | 21 | | | | 516,390 | | | | 25,309 | | | | 22,323 | | | | (2,986 | ) |
NATURAL GAS FUTURE OCT23 | | | 1.50 USD | | | 09/26/23 | | | 76 | | | | 1,868,840 | | | | 16,640 | | | | 13,832 | | | | (2,808 | ) |
NATURAL GAS FUTURE SEP23 | | | 2.00 USD | | | 08/28/23 | | | 21 | | | | 509,670 | | | | 25,309 | | | | 22,470 | | | | (2,839 | ) |
NATURAL GAS FUTURE SEP23 | | | 1.50 USD | | | 08/28/23 | | | 76 | | | | 1,844,520 | | | | 16,640 | | | | 13,452 | | | | (3,188 | ) |
US 10YR FUTURE MAY21 | | | 131.00 USD | | | 04/23/21 | | | 1,313 | | | | 170,690,000 | | | | 1,198,656 | | | | 861,656 | | | | (337,000 | ) |
US 10YR FUTURE MAY21 | | | 133.00 USD | | | 04/23/21 | | | 534 | | | | 69,420,000 | | | | 534,000 | | | | 1,051,313 | | | | 517,313 | |
US 10YR FUTURE MAY21 | | | 134.00 USD | | | 04/23/21 | | | 548 | | | | 71,240,000 | | | | 188,375 | | | | 1,703,937 | | | | 1,515,562 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | $ | 8,231,135 | | | $ | 8,943,075 | | | $ | 711,940 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Purchased Options Outstanding | | | $ | 34,165,463 | | | $ | 29,064,923 | | | $ | (5,100,540 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | |
TOTAL INVESTMENTS IN SECURITIES — 70.7%
(COST $3,439,806,866) | | | | | | | | 3,535,973,198 | |
| | | | | | | | | | | | |
TOTAL SECURITIES SOLD SHORT— (6.8)%
(PROCEEDS $302,664,593) | | | | | | | | (337,365,053 | ) |
| | | | | | | | | | | | |
Other Assets (p) — 36.1% | | | | | | | | | | | 1,806,879,454 | |
| | | | | | | | | | | | |
Net Assets — 100.0% | | | | | | | | | | $ | 5,005,487,599 | |
| | | | | | | | | | | | |
| | | |
Security Description | | Shares | | | | | | Value | |
| | | |
SECURITIES SOLD SHORT — (6.8)% | | | | | | | | | | | | |
COMMON STOCK — (6.7)% | | | | | | | | | | | | |
Africa — (0.0)% | | | | | | | | | | | | |
Materials — (0.0)% | | | | | | | | | | | | |
AngloGold Ashanti Ltd., ADR | | | 300 | | | | | | | | (6,591 | ) |
Harmony Gold Mining Co. Ltd., ADR | | | 15,600 | | | | | | | | (68,016 | ) |
| | | | | | | | | | | | |
| | | | | | | | | | | (74,607 | ) |
| | | | | | | | | | | | |
See Notes to Consolidated Financial Statements.
100
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | | | |
Security Description | | Shares | | | | | | Value | |
Metals & Mining — (0.0)% | | | | | | | | | | | | |
Gold Fields Ltd., ADR | | | 200 | | | | | | | $ | (1,898 | ) |
| | | | | | | | | | | | |
Total Africa | | | | | | | | | | | (76,505 | ) |
| | | | | | | | | | | | |
Asia — (0.5)% | | | | | | | | | | | | |
Banking — (0.0)% | | | | | | | | | | | | |
HDFC Bank Ltd., ADR | | | 13,100 | | | | | | | | (1,017,739 | ) |
ICICI Bank Ltd., ADR | | | 7,900 | | | | | | | | (126,637 | ) |
KB Financial Group, Inc., ADR | | | 2,900 | | | | | | | | (143,347 | ) |
Mitsubishi UFJ Financial Group, Inc., ADR | | | 26,400 | | | | | | | | (142,032 | ) |
Mizuho Financial Group, Inc., ADR | | | 1,200 | | | | | | | | (3,492 | ) |
Shinhan Financial Group Co. Ltd., ADR | | | 1,500 | | | | | | | | (50,310 | ) |
Sumitomo Mitsui Financial Group, Inc., ADR | | | 24,100 | | | | | | | | (174,725 | ) |
| | | | | | | | | | | | |
| | | | | | | | | | | (1,658,282 | ) |
| | | | | | | | | | | | |
Consumer Discretionary Products — (0.2)% | | | | | | | | | | | | |
Honda Motor Co. Ltd., ADR | | | 5,300 | | | | | | | | (160,060 | ) |
Li Auto, Inc., ADR | | | 122,400 | | | | | | | | (3,060,000 | ) |
Tata Motors Ltd., ADR | | | 900 | | | | | | | | (18,711 | ) |
Toyota Motor Corp., ADR | | | 5,600 | | | | | | | | (873,936 | ) |
XPeng, Inc., ADR | | | 94,300 | | | | | | | | (3,442,893 | ) |
| | | | | | | | | | | | |
| | | | | | | | | | | (7,555,600 | ) |
| | | | | | | | | | | | |
Consumer Discretionary Services — (0.0)% | | | | | | | | | | | | |
Ambow Education Holding Ltd., ADR | | | 2,900 | | | | | | | | (6,351 | ) |
Bright Scholar Education Holdings Ltd., ADR | | | 200 | | | | | | | | (1,160 | ) |
China Liberal Education Holdings Ltd. | | | 1,900 | | | | | | | | (7,638 | ) |
iHuman, Inc., ADR | | | 300 | | | | | | | | (3,753 | ) |
Melco Resorts & Entertainment Ltd., ADR | | | 24,500 | | | | | | | | (487,795 | ) |
Meten EdtechX Education Group Ltd. | | | 100 | | | | | | | | (241 | ) |
OneSmart International Education Group Ltd., ADR | | | 200 | | | | | | | | (464 | ) |
Puxin Ltd., ADR | | | 300 | | | | | | | | (1,200 | ) |
TAL Education Group, ADR | | | 1,500 | | | | | | | | (80,775 | ) |
Tarena International, Inc., ADR | | | 700 | | | | | | | | (2,198 | ) |
| | | | | | | | | | | | |
| | | | | | | | | | | (591,575 | ) |
| | | | | | | | | | | | |
Consumer Products — (0.0)% | | | | | | | | | | | | |
Viomi Technology Co. Ltd., ADR | | | 1,900 | | | | | | | | (17,100 | ) |
| | | | | | | | | | | | |
Consumer Services — (0.0)% | | | | | | | | | | | | |
RISE Education Cayman Ltd., ADR | | | 299 | | | | | | | | (1,211 | ) |
| | | | | | | | | | | | |
Consumer Staple Products — (0.0)% | | | | | | | | | | | | |
China Xiangtai Food Co. Ltd. | | | 2,300 | | | | | | | | (2,415 | ) |
RLX Technology, Inc., ADR | | | 7,300 | | | | | | | | (75,628 | ) |
| | | | | | | | | | | | |
| | | | | | | | | | | (78,043 | ) |
| | | | | | | | | | | | |
See Notes to Consolidated Financial Statements.
101
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | |
Security Description | | Shares | | | | | Value | |
Financial Services — (0.0)% | | | | | | | | | | |
Dunxin Financial Holdings Ltd., ADR | | | 1,900 | | | | | $ | (2,527 | ) |
Hudson Capital, Inc. | | | 380 | | | | | | (1,106 | ) |
Jiayin Group, Inc., ADR | | | 100 | | | | | | (825 | ) |
Lion Group Holding Ltd., ADR | | | 2,900 | | | | | | (12,818 | ) |
MMTEC, Inc. | | | 500 | | | | �� | | (1,285 | ) |
ORIX Corp., ADR | | | 300 | | | | | | (25,437 | ) |
Up Fintech Holding Ltd., ADR | | | 700 | | | | | | (12,453 | ) |
| | | | | | | | | | |
| | | | | | (56,451 | ) |
| | | | | | | | | | |
Gaming, Lodging & Restaurants — (0.0)% | | | | | | | | | | |
Huazhu Group Ltd., ADR | | | 17,300 | | | | | | (949,770 | ) |
| | | | | | | | | | |
Health Care — (0.0)% | | | | | | | | | | |
111, Inc., ADR | | | 1,500 | | | | | | (20,700 | ) |
Aslan Pharmaceuticals Ltd., ADR | | | 5,100 | | | | | | (17,085 | ) |
China SXT Pharmaceuticals, Inc. | | | 4,725 | | | | | | (8,741 | ) |
Dr Reddy’s Laboratories Ltd., ADR | | | 500 | | | | | | (30,695 | ) |
SOS Ltd., ADR | | | 37,600 | | | | | | (187,248 | ) |
Takeda Pharmaceutical Co. Ltd., ADR | | | 12,091 | | | | | | (220,782 | ) |
| | | | | | | | | | |
| | | | | | (485,251 | ) |
| | | | | | | | | | |
Industrial Services — (0.0)% | | | | | | | | | | |
EHang Holdings Ltd., ADR | | | 800 | | | | | | (29,632 | ) |
ZTO Express Cayman, Inc., ADR | | | 4,000 | | | | | | (116,600 | ) |
| | | | | | | | | | |
| | | | | | (146,232 | ) |
| | | | | | | | | | |
Institutional Financial Services — (0.0)% | | | | | | | | | | |
Nomura Holdings, Inc., ADR | | | 2,200 | | | | | | (11,792 | ) |
| | | | | | | | | | |
Insurance — (0.0)% | | | | | | | | | | |
China Life Insurance Co. Ltd., ADR | | | 1,800 | | | | | | (18,738 | ) |
Fanhua, Inc., ADR | | | 800 | | | | | | (11,144 | ) |
| | | | | | | | | | |
| | | | | | | | | (29,882 | ) |
| | | | | | | | | | |
Materials — (0.0)% | | | | | | | | | | |
Antelope Enterprise Holdings Ltd. | | | 1,100 | | | | | | (3,421 | ) |
POSCO, ADR | | | 100 | | | | | | (7,220 | ) |
Vedanta Ltd., ADR | | | 6,200 | | | | | | (77,934 | ) |
ZK International Group Co. Ltd. | | | 6,600 | | | | | | (61,512 | ) |
| | | | | | | | | | |
| | | | | | | | | (150,087 | ) |
| | | | | | | | | | |
Media — (0.1)% | | | | | | | | | | |
Autohome, Inc., ADR | | | 100 | | | | | | (9,327 | ) |
Baidu, Inc., ADR | | | 10,500 | | | | | | (2,284,275 | ) |
Dada Nexus Ltd., ADR | | | 7,100 | | | | | | (192,694 | ) |
See Notes to Consolidated Financial Statements.
102
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | |
Security Description | | Shares | | | | | Value | |
Dragon Victory International Ltd. | | | 1,000 | | | | | $ | (1,600 | ) |
iQIYI, Inc., ADR | | | 24,800 | | | | | | (412,176 | ) |
KE Holdings, Inc., ADR | | | 6,500 | | | | | | (370,370 | ) |
LINE Corp., ADR | | | 100 | | | | | | (5,198 | ) |
Lufax Holding Ltd., ADR | | | 1,900 | | | | | | (27,588 | ) |
MakeMyTrip Ltd. | | | 4,700 | | | | | | (148,426 | ) |
Momo, Inc., ADR | | | 700 | | | | | | (10,318 | ) |
Phoenix New Media Ltd., ADR | | | 1,400 | | | | | | (2,478 | ) |
Tencent Music Entertainment Group, ADR | | | 400 | | | | | | (8,196 | ) |
Trip.com Group Ltd., ADR | | | 16,500 | | | | | | (653,895 | ) |
Uxin Ltd., ADR | | | 28,200 | | | | | | (32,994 | ) |
Weibo Corp., ADR | | | 100 | | | | | | (5,046 | ) |
Zhongchao, Inc., Class A | | | 3,600 | | | | | | (7,128 | ) |
| | | | | | | | | | |
| | | | | | | | | (4,171,709 | ) |
| | | | | | | | | | |
Oil, Gas & Coal — (0.0)% | | | | | | | | | | |
China Petroleum & Chemical Corp., ADR | | | 1,000 | | | | | | (52,730 | ) |
Recon Technology Ltd. | | | 4,000 | | | | | | (25,920 | ) |
| | | | | | | | | | |
| | | | | | | | | (78,650 | ) |
| | | | | | | | | | |
Renewable Energy — (0.0)% | | | | | | | | | | |
Jinksolar Holding Co., ADR | | | 1,800 | | | | | | (75,042 | ) |
| | | | | | | | | | |
Retail & Wholesale—Staples — (0.0)% | | | | | | | | | | |
China Jo-Jo Drugstores, Inc. | | | 100 | | | | | | (112 | ) |
Wunong Net Technology Co. Ltd. | | | 1,900 | | | | | | (19,190 | ) |
| | | | | | | | | | |
| | | | | | | | | (19,302 | ) |
| | | | | | | | | | |
Retail—Discretionary — (0.1)% | | | | | | | | | | |
Alibaba Group Holding Ltd., ADR | | | 2,300 | | | | | | (521,479 | ) |
Boqii Holding Ltd., ADR | | | 1,900 | | | | | | (10,583 | ) |
JD.com, Inc., ADR | | | 28,200 | | | | | | (2,378,106 | ) |
LightInTheBox Holding Co. Ltd., ADR | | | 1,700 | | | | | | (4,658 | ) |
MINISO Group Holding Ltd., ADR | | | 3,400 | | | | | | (81,668 | ) |
Oriental Culture Holding Ltd. | | | 5,800 | | | | | | (45,820 | ) |
Pinduoduo, Inc., ADR | | | 6,000 | | | | | | (803,280 | ) |
Yatsen Holding Ltd., ADR | | | 200 | | | | | | (2,470 | ) |
Yunji, Inc., ADR | | | 300 | | | | | | (645 | ) |
| | | | | | | | | | |
| | | | | | (3,848,709 | ) |
| | | | | | | | | | |
Software — (0.0)% | | | | |
GSX Techedu, Inc., ADR | | | 4,100 | | | | | | (138,908 | ) |
Kingsoft Cloud Holdings Ltd., ADR | | | 1,600 | | | | | | (62,912 | ) |
Link Motion, Inc., ADR | | | 11,000 | | | | | | 0 | |
NetEase, Inc., ADR | | | 600 | | | | | | (61,956 | ) |
| | | | | | | | | | |
| | | | | | (263,776 | ) |
| | | | | | | | | | |
See Notes to Consolidated Financial Statements.
103
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | |
Security Description | | Shares | | | | | Value | |
Software & Technology Services — (0.0)% | | | | |
Agora, Inc., ADR | | | 1,900 | | | | | $ | (95,513 | ) |
Cloopen Group Holding Ltd., ADR | | | 300 | | | | | | (4,119 | ) |
CooTek Cayman, Inc., ADR | | | 200 | | | | | | (554 | ) |
Future FinTech Group, Inc. | | | 6,200 | | | | | | (38,440 | ) |
Infosys Ltd., ADR | | | 23,100 | | | | | | (432,432 | ) |
Lizhi, Inc., ADR | | | 10,700 | | | | | | (97,905 | ) |
Mercury Fintech Holding, Inc., ADR | | | 2,500 | | | | | | (16,750 | ) |
Molecular Data, Inc., ADR | | | 34,500 | | | | | | (37,260 | ) |
Qutoutiao, Inc., ADR | | | 47,500 | | | | | | (108,775 | ) |
Taoping, Inc. | | | 3,100 | | | | | | (29,171 | ) |
WiMi Hologram Cloud, Inc., ADR | | | 1,300 | | | | | | (8,580 | ) |
| | | | | | | | | | |
| | | | | | (869,499 | ) |
| | | | | | | | | | |
Tech Hardware & Semiconductors — (0.1)% | | | | |
Allegro MicroSystems, Inc. | | | 200 | | | | | | (5,070 | ) |
ASE Technology Holding Co. Ltd., ADR | | | 1,200 | | | | | | (9,240 | ) |
Canaan, Inc., ADR | | | 41,600 | | | | | | (859,872 | ) |
Canon, Inc., ADR | | | 500 | | | | | | (11,385 | ) |
Ebang International Holdings, Inc., A Shares | | | 38,800 | | | | | | (308,460 | ) |
SemiLEDs Corp. | | | 700 | | | | | | (3,192 | ) |
Sony Corp., ADR | | | 18,400 | | | | | | (1,950,584 | ) |
Taiwan Semiconductor Manufacturing Co. Ltd., ADR | | | 16,500 | | | | | | (1,951,620 | ) |
United Microelectronics Corp., ADR | | | 3,500 | | | | | | (31,885 | ) |
| | | | | | | | | | |
| | | | | | (5,131,308 | ) |
| | | | | | | | | | |
Technology Services — (0.0)% | | | | |
Baozun, Inc., ADR | | | 4,500 | | | | | | (171,630 | ) |
Wipro Ltd., ADR | | | 3,566 | | | | | | (22,608 | ) |
| | | | | | | | | | |
| | | | | | (194,238 | ) |
| | | | | | | | | | |
Telecommunications — (0.0)% | | | | |
21Vianet Group, Inc., ADR | | | 1,700 | | | | | | (54,910 | ) |
Chindata Group Holdings Ltd., ADR | | | 5,200 | | | | | | (86,008 | ) |
Chunghwa Telecom Co. Ltd., ADR | | | 400 | | | | | | (15,656 | ) |
GDS Holdings Ltd., ADR | | | 100 | | | | | | (8,109 | ) |
KT Corp., ADR | | | 300 | | | | | | (3,732 | ) |
PLDT, Inc., ADR | | | 1,200 | | | | | | (31,392 | ) |
PT Telekomunikasi Indonesia Persero Tbk, ADR | | | 2,500 | | | | | | (59,100 | ) |
SK Telecom Co. Ltd., ADR | | | 2,600 | | | | | | (70,798 | ) |
| | | | | | | | | | |
| | | | | | (329,705 | ) |
| | | | | | | | | | |
Transportation & Logistics — (0.0)% | | | | |
BEST, Inc., ADR | | | 1,100 | | | | | | (2,068 | ) |
| | | | | | | | | | |
See Notes to Consolidated Financial Statements.
104
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | | | |
Security Description | | Shares | | | | | | Value | |
Utilities — (0.0)% | | | | | |
Azure Power Global Ltd. | | | 200 | | | | | | | $ | (5,438 | ) |
Korea Electric Power Corp., ADR | | | 2,900 | | | | | | | | (29,754 | ) |
| | | | | | | | | | | | |
| | | | | | | | | | | (35,192 | ) |
| | | | | | | | | | | | |
Total Asia | | | | | | | | | | | (26,750,474 | ) |
| | | | | | | | | | | | |
Europe — (0.2)% | | | | | | | | | | | | |
Asset Management — (0.0)% | | | | | | | | | | | | |
UBS Group AG | | | 30,000 | | | | | | | | (465,900 | ) |
| | | | | | | | | | | | |
Banking — (0.1)% | | | | | | | | | | | | |
Barclays plc, ADR | | | 41,581 | | | | | | | | (425,373 | ) |
Deutsche Bank AG | | | 1,600 | | | | | | | | (19,200 | ) |
HSBC Holdings plc, ADR | | | 40,526 | | | | | | | | (1,180,928 | ) |
ING Groep NV, ADR | | | 1,800 | | | | | | | | (22,014 | ) |
Lloyds Banking Group plc, ADR | | | 15,300 | | | | | | | | (35,496 | ) |
Natwest Group plc, ADR | | | 2,000 | | | | | | | | (10,740 | ) |
| | | | | | | | | | | | |
| | | | | | | | | | | (1,693,751 | ) |
| | | | | | | | | | | | |
Biotechnology & Pharmaceuticals — (0.0)% | | | | | | | | | | | | |
BioNTech SE, ADR | | | 3,600 | | | | | | | | (393,084 | ) |
| | | | | | | | | | | | |
Construction Materials — (0.0)% | | | | | | | | | | | | |
CRH plc, ADR | | | 8,400 | | | | | | | | (394,632 | ) |
| | | | | | | | | | | | |
Consumer Discretionary Products — (0.0)% | | | | | | | | | | | | |
Faurecia SE | | | 315 | | | | | | | | (16,782 | ) |
| | | | | | | | | | | | |
Consumer Discretionary Services — (0.0)% | | | | | | | | | | | | |
Esports Entertainment Group, Inc. | | | 4,800 | | | | | | | | (72,048 | ) |
GAN Ltd. | | | 6,200 | | | | | | | | (112,840 | ) |
InterContinental Hotels Group plc, ADR | | | 400 | | | | | | | | (27,560 | ) |
Manchester United plc, Class A | | | 900 | | | | | | | | (14,166 | ) |
| | | | | | | | | | | | |
| | | | | | | | | | | (226,614 | ) |
| | | | | | | | | | | | |
Consumer Products — (0.1)% | | | | | | | | | | | | |
Anheuser-Busch InBev NV, ADR | | | 16,600 | | | | | | | | (1,043,310 | ) |
Coca-Cola European Partners PLC | | | 3,500 | | | | | | | | (182,560 | ) |
| | | | | | | | | | | | |
| | | | | | | | | | | (1,225,870 | ) |
| | | | | | | | | | | | |
Financial Services — (0.0)% | | | | | | | | | | | | |
Credit Suisse Group AG, ADR | | | 49 | | | | | | | | (520 | ) |
| | | | | | | | | | | | |
Health Care — (0.0)% | | | | | | | | | | | | |
ADC Therapeutics SA | | | 100 | | | | | | | | (2,441 | ) |
Auris Medical Holding Ltd. | | | 500 | | | | | | | | (1,740 | ) |
Calliditas Therapeutics AB, ADR | | | 100 | | | | | | | | (2,763 | ) |
See Notes to Consolidated Financial Statements.
105
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | |
Security Description | | Shares | | | | | Value | |
Centogene NV | | | 800 | | | | | $ | (9,704 | ) |
Koninklijke Philips NV | | | 8,338 | | | | | | (475,516 | ) |
ProQR Therapeutics NV | | | 400 | | | | | | (2,644 | ) |
Tiziana Life Sciences plc, ADR | | | 100 | | | | | | (277 | ) |
Verona Pharma plc, ADR | | | 300 | | | | | | (2,508 | ) |
| | | | | | | | | | |
| | | | | | | | | (497,593 | ) |
| | | | | | | | | | |
Industrial Products — (0.0)% | | | | | | | | | | |
ABB Ltd., ADR | | | 14,700 | | | | | | (447,909 | ) |
| | | | | | | | | | |
Industrial Services — (0.0)% | | | | | | | | | | |
Ardmore Shipping Corp. | | | 2,000 | | | | | | (9,080 | ) |
Globus Maritime Ltd. | | | 400 | | | | | | (1,880 | ) |
Ryanair Holdings plc, ADR | | | 10,400 | | | | | | (1,196,000 | ) |
| | | | | | | | | | |
| | | | | | | | | (1,206,960 | ) |
| | | | | | | | | | |
Insurance — (0.0)% | | | | | | | | | | |
Prudential plc, ADR | | | 5,200 | | | | | | (221,988 | ) |
| | | | | | | | | | |
Materials — (0.0)% | | | | | | | | | | |
Linde plc | | | 1,000 | | | | | | (280,140 | ) |
| | | | | | | | | | |
Media — (0.0)% | | | | | | | | | | |
WISeKey International Holding Ltd., ADR | | | 600 | | | | | | (8,598 | ) |
WPP plc, ADR | | | 2,300 | | | | | | (146,970 | ) |
| | | | | | | | | | |
| | | | | | | | | (155,568 | ) |
| | | | | | | | | | |
Medical Equipment & Devices — (0.0)% | | | | | | | | | | |
Alcon, Inc. | | | 8,700 | | | | | | (610,566 | ) |
| | | | | | | | | | |
Metals & Mining — (0.0)% | | | | | | | | | | |
Ferroglobe PLC | | | 400 | | | | | | 0 | |
| | | | | | | | | | |
Oil, Gas & Coal — (0.0)% | | | | | | | | | | |
Equinor ASA, ADR | | | 4,000 | | | | | | (77,840 | ) |
| | | | | | | | | | |
Semiconductors — (0.0)% | | | | | | | | | | |
ASML Holding NV | | | 400 | | | | | | (246,944 | ) |
NXP Semiconductors NV | | | 3,168 | | | | | | (637,845 | ) |
| | | | | | | | | | |
| | | | | | | | | (884,789 | ) |
| | | | | | | | | | |
Software & Technology Services — (0.0)% | | | | | | | | | | |
RELX plc, ADR | | | 300 | | | | | | (7,548 | ) |
| | | | | | | | | | |
Specialty Finance — (0.0)% | | | | | | | | | | |
Fly Leasing Ltd., ADR | | | 300 | | | | | | (5,055 | ) |
| | | | | | | | | | |
Tech Hardware & Semiconductors — (0.0)% | | | | | | | | | | |
Telefonaktiebolaget LM Ericsson, ADR | | | 1,200 | | | | | | (15,828 | ) |
| | | | | | | | | | |
See Notes to Consolidated Financial Statements.
106
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | | | |
Security Description | | Shares | | | | | | Value | |
Telecommunications — (0.0)% | | | | | | | | | | | | |
Vodafone Group plc, ADR | | | 21,600 | | | | | | | $ | (398,088 | ) |
| | | | | | | | | | | | |
Transportation & Logistics — (0.0)% | | | | | | | | | | | | |
Euronav SA | | | 7,100 | | | | | | | | (64,965 | ) |
Frontline Ltd. | | | 25,840 | | | | | | | | (184,756 | ) |
GasLog Ltd. | | | 11,200 | | | | | | | | (64,624 | ) |
Scorpio Tankers, Inc. | | | 742 | | | | | | | | (13,697 | ) |
| | | | | | | | | | | | |
| | | | | | | | | | | (328,042 | ) |
| | | | | | | | | | | | |
Utilities — (0.0)% | | | | | | | | | | | | |
National Grid plc, ADR | | | 4,200 | | | | | | | | (248,808 | ) |
| | | | | | | | | | | | |
Total Europe | | | | | | | | | | | (9,803,875 | ) |
| | | | | | | | | | | | |
Middle East — (0.0)% | | | | | | | | | | | | |
Consumer Discretionary Products — (0.0)% | | | | | | | | | | | | |
Foresight Autonomous Holdings Ltd., ADR | | | 15,600 | | | | | | | | (97,500 | ) |
| | | | | | | | | | | | |
Hardware — (0.0)% | | | | | | | | | | | | |
Ceragon Networks Ltd. | | | 2,200 | | | | | | | | (8,294 | ) |
| | | | | | | | | | | | |
Health Care — (0.0)% | | | | | | | | | | | | |
Biondvax Pharmaceuticals Ltd., ADR | | | 1,100 | | | | | | | | (4,180 | ) |
Cellect Biotechnology Ltd., ADR | | | 849 | | | | | | | | (2,666 | ) |
Entera Bio Ltd. | | | 349 | | | | | | | | (1,330 | ) |
Intec Pharma Ltd. | | | 115 | | | | | | | | (502 | ) |
Nano-X Imaging Ltd. | | | 2,800 | | | | | | | | (116,060 | ) |
Teva Pharmaceutical Industries Ltd., ADR | | | 30,900 | | | | | | | | (356,586 | ) |
| | | | | | | | | | | | |
| | | | | | | | | | | (481,324 | ) |
| | | | | | | | | | | | |
Industrial Services — (0.0)% | | | | | | | | | | | | |
Castor Maritime, Inc. | | | 29,900 | | | | | | | | (22,754 | ) |
| | | | | | | | | | | | |
Materials — (0.0)% | | | | | | | | | | | | |
Evogene Ltd. | | | 4,300 | | | | | | | | (21,672 | ) |
ICL Group Ltd. | | | 700 | | | | | | | | (4,067 | ) |
| | | | | | | | | | | | |
| | | | | | | | | | | (25,739 | ) |
| | | | | | | | | | | | |
Media — (0.0)% | | | | | | | | | | | | |
Eros STX Global Corp. | | | 1,600 | | | | | | | | (2,896 | ) |
| | | | | | | | | | | | |
Oil, Gas & Coal — (0.0)% | | | | | | | | | | | | |
Borr Drilling Ltd. | | | 12,400 | | | | | | | | (11,956 | ) |
| | | | | | | | | | | | |
Software & Technology Services — (0.0)% | | | | | | | | | | | | |
CYREN Ltd. | | | 1,500 | | | | | | | | (1,225 | ) |
JFrog Ltd. | | | 1,000 | | | | | | | | (44,370 | ) |
My Size, Inc. | | | 500 | | | | | | | | (580 | ) |
| | | | | | | | | | | | |
| | | | | | | | | | | (46,175 | ) |
| | | | | | | | | | | | |
See Notes to Consolidated Financial Statements.
107
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | | | |
Security Description | | Shares | | | | | | Value | |
Tech Hardware & Semiconductors — (0.0)% | | | | | |
Nano Dimension Ltd., ADR | | | 22,200 | | | | | | | $ | (190,698 | ) |
SuperCom Ltd. | | | 1,900 | | | | | | | | (3,059 | ) |
| | | | | | | | | | | | |
| | | | | | | | | | | (193,757 | ) |
| | | | | | | | | | | | |
Telecommunications — (0.0)% | | | | | |
Turkcell Iletisim Hizmetleri AS, ADR | | | 1,700 | | | | | | | | (7,939 | ) |
| | | | | | | | | | | | |
Total Middle East | | | | | | | | | | | (898,334 | ) |
| | | | | | | | | | | | |
North America — (5.8)% | | | | | | | | | | | | |
Apparel & Textile Products — (0.0)% | | | | | |
Capri Holdings Ltd. | | | 27,800 | | | | | | | | (1,417,800 | ) |
Fossil Group, Inc. | | | 5,500 | | | | | | | | (68,200 | ) |
| | | | | | | | | | | | |
| | | | | | | | | | | (1,486,000 | ) |
| | | | | | | | | | | | |
Asset Management — (0.0)% | | | | | |
Artisan Partners Asset Management, Inc., Class A | | | 2,900 | | | | | | | | (151,293 | ) |
BrightSphere Investment Group PLC | | | 1,000 | | | | | | | | (20,380 | ) |
Carlyle Group, Inc. (The) | | | 1,400 | | | | | | | | (51,464 | ) |
| | | | | | | | | | | | |
| | | | | | | | | | | (223,137 | ) |
| | | | | | | | | | | | |
Automotive — (0.1)% | | | | | |
Aptiv plc | | | 21,000 | | | | | | | | (2,895,900 | ) |
General Motors Co. | | | 21,800 | | | | | | | | (1,252,628 | ) |
| | | | | | | | | | | | |
| | | | | | | | | | | (4,148,528 | ) |
| | | | | | | | | | | | |
Banking — (0.3)% | | | | | |
Allegiance Bancshares, Inc. | | | 500 | | | | | | | | (20,270 | ) |
Ameris Bancorp | | | 5,399 | | | | | | | | (283,501 | ) |
Atlantic Union Bankshares Corp. | | | 400 | | | | | | | | (15,344 | ) |
Banc of California, Inc. | | | 1,600 | | | | | | | | (28,928 | ) |
Banco Latinoamericano de Comercio Exterior SA, Class E | | | 1,400 | | | | | | | | (21,182 | ) |
Bank of America Corp. | | | 14,500 | | | | | | | | (561,005 | ) |
BankUnited, Inc. | | | 3,600 | | | | | | | | (158,220 | ) |
Berkshire Hills Bancorp, Inc. | | | 800 | | | | | | | | (17,856 | ) |
Byline Bancorp, Inc. | | | 200 | | | | | | | | (4,230 | ) |
Canadian Imperial Bank of Commerce | | | 200 | | | | | | | | (19,574 | ) |
Capitol Federal Financial, Inc. | | | 5,300 | | | | | | | | (70,198 | ) |
Cathay General Bancorp | | | 300 | | | | | | | | (12,234 | ) |
Columbia Banking System, Inc. | | | 100 | | | | | | | | (4,309 | ) |
Credicorp Ltd. | | | 1,400 | | | | | | | | (191,198 | ) |
Customers Bancorp, Inc. | | | 2,500 | | | | | | | | (79,550 | ) |
CVB Financial Corp. | | | 300 | | | | | | | | (6,627 | ) |
East West Bancorp, Inc. | | | 1,200 | | | | | | | | (88,560 | ) |
Eastern Bankshares, Inc. | | | 900 | | | | | | | | (17,361 | ) |
See Notes to Consolidated Financial Statements.
108
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | |
Security Description | | Shares | | | | | Value | |
FB Financial Corp. | | | 1,600 | | | | | $ | (71,136 | ) |
Fifth Third Bancorp | | | 8,700 | | | | | | (325,815 | ) |
First Financial Bankshares, Inc. | | | 500 | | | | | | (23,365 | ) |
First Hawaiian, Inc. | | | 700 | | | | | | (19,159 | ) |
First Horizon National Corp. | | | 3,031 | | | | | | (51,254 | ) |
First Merchants Corp. | | | 300 | | | | | | (13,950 | ) |
First Republic Bank | | | 10,300 | | | | | | (1,717,525 | ) |
Fulton Financial Corp. | | | 300 | | | | | | (5,109 | ) |
Glacier Bancorp, Inc. | | | 1,900 | | | | | | (108,452 | ) |
Great Western Bancorp, Inc. | | | 300 | | | | | | (9,087 | ) |
Hilltop Holdings, Inc. | | | 1,100 | | | | | | (37,543 | ) |
Home BancShares, Inc. | | | 400 | | | | | | (10,820 | ) |
Independent Bank Corp. | | | 100 | | | | | | (8,419 | ) |
Independent Bank Group, Inc. | | | 700 | | | | | | (50,568 | ) |
Investors Bancorp, Inc. | | | 1,000 | | | | | | (14,690 | ) |
JPMorgan Chase & Co. | | | 13,000 | | | | | | (1,978,990 | ) |
Meta Financial Group, Inc. | | | 300 | | | | | | (13,593 | ) |
Old National Bancorp | | | 200 | | | | | | (3,868 | ) |
Pacific Premier Bancorp, Inc. | | | 220 | | | | | | (9,557 | ) |
Park National Corp. | | | 100 | | | | | | (12,930 | ) |
Pinnacle Financial Partners, Inc. | | | 5,900 | | | | | | (523,094 | ) |
PNC Financial Services Group, Inc. | | | 12,800 | | | | | | (2,245,248 | ) |
Renasant Corp. | | | 1,100 | | | | | | (45,518 | ) |
Signature Bank | | | 1,000 | | | | | | (226,100 | ) |
Silvergate Capital Corp., Class A | | | 300 | | | | | | (42,651 | ) |
Simmons First National Corp., Class A | | | 2,100 | | | | | | (62,307 | ) |
South State Corp. | | | 2,000 | | | | | | (157,020 | ) |
Sterling Bancorp | | | 20,708 | | | | | | (476,698 | ) |
SVB Financial Group | | | 200 | | | | | | (98,732 | ) |
Synovus Financial Corp. | | | 37 | | | | | | (1,693 | ) |
TCF Financial Corp. | | | 12,247 | | | | | | (568,996 | ) |
Texas Capital Bancshares, Inc. | | | 300 | | | | | | (21,276 | ) |
TFS Financial Corp. | | | 200 | | | | | | (4,074 | ) |
Triumph Bancorp, Inc. | | | 1,300 | | | | | | (100,607 | ) |
Truist Financial Corp. | | | 30,000 | | | | | | (1,749,600 | ) |
United Bankshares, Inc. | | | 400 | | | | | | (15,432 | ) |
US Bancorp | | | 800 | | | | | | (44,248 | ) |
Valley National Bancorp | | | 8,300 | | | | | | (114,042 | ) |
Webster Financial Corp. | | | 1,600 | | | | | | (88,176 | ) |
Wells Fargo & Co. | | | 14,600 | | | | | | (570,422 | ) |
Western Alliance Bancorp | | | 1,000 | | | | | | (94,440 | ) |
WSFS Financial Corp. | | | 600 | | | | | | (29,874 | ) |
| | | | | | | | | | |
| | | | | | | | | (13,366,225 | ) |
| | | | | | | | | | |
Biotechnology & Pharmaceuticals — (0.3)% | | | | | | | | | | |
Ampio Pharmaceuticals, Inc. | | | 55,912 | | | | | | (94,491 | ) |
Anixa Biosciencies, Inc. | | | 2,062 | | | | | | (9,650 | ) |
See Notes to Consolidated Financial Statements.
109
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | |
Security Description | | Shares | | | | | Value | |
Assertio Holdings, Inc. | | | 51,700 | | | | | $ | (35,285 | ) |
Athersys, Inc. | | | 300 | | | | | | (540 | ) |
Aurinia Pharmaceuticals, Inc. | | | 36,200 | | | | | | (470,057 | ) |
Biogen Idec, Inc. | | | 7,900 | | | | | | (2,210,025 | ) |
BioMarin Pharmaceutical, Inc. | | | 7,500 | | | | | | (566,325 | ) |
Coherus Biosciences, Inc. | | | 1,000 | | | | | | (14,610 | ) |
Elanco Animal Health, Inc. | | | 53,500 | | | | | | (1,575,575 | ) |
Evoke Pharma, Inc. | | | 400 | | | | | | (732 | ) |
Evolus, Inc. | | | 7,700 | | | | | | (100,023 | ) |
Horizon Therapeutics plc | | | 100 | | | | | | (9,204 | ) |
Inovio Pharmaceuticals, Inc. | | | 24,500 | | | | | | (227,360 | ) |
Lumos Pharma, Inc. | | | 222 | | | | | | (2,597 | ) |
Moderna, Inc. | | | 2,150 | | | | | | (281,543 | ) |
Neurobo Pharmaceuticals, Inc. | | | 92 | | | | | | (29 | ) |
Neurocrine Biosciences, Inc. | | | 1,700 | | | | | | (165,325 | ) |
Novan, Inc. | | | 6,400 | | | | | | (9,984 | ) |
PDL BioPharma, Inc. | | | 4,500 | | | | | | (11,115 | ) |
SELLAS Life Sciences Group, Inc. | | | 1,167 | | | | | | (9,966 | ) |
Sorrento Therapeutics, Inc. | | | 11,100 | | | | | | (91,797 | ) |
TG Therapeutics, Inc. | | | 1,200 | | | | | | (57,840 | ) |
TransMedics Group, Inc. | | | 1,400 | | | | | | (58,086 | ) |
Trillium Therapeutics, Inc. | | | 29,200 | | | | | | (313,608 | ) |
UroGen Pharma Ltd. | | | 900 | | | | | | (17,532 | ) |
Vaxart, Inc. | | | 24,200 | | | | | | (146,410 | ) |
Vertex Pharmaceuticals, Inc. | | | 25,500 | | | | | | (5,479,695 | ) |
Veru, Inc. | | | 7,800 | | | | | | (84,045 | ) |
Vir Biotechnology, Inc. | | | 13,900 | | | | | | (712,653 | ) |
Zosano Pharma Corp. | | | 29,996 | | | | | | (37,195 | ) |
| | | | | | | | | | |
| | | | | | | | | (12,793,297 | ) |
| | | | | | | | | | |
Chemicals — (0.0)% | | | | | | | | | | |
Amyris, Inc. | | | 26,800 | | | | | | (511,880 | ) |
Avient Corp. | | | 500 | | | | | | (23,635 | ) |
GCP Applied Technologies, Inc. | | | 500 | | | | | | (12,270 | ) |
Nutrien Ltd. | | | 5,601 | | | | | | (301,838 | ) |
Tronox Holdings PLC, Class A | | | 8,200 | | | | | | (150,060 | ) |
| | | | | | | | | | |
| | | | | | | | | (999,683 | ) |
| | | | | | | | | | |
Commercial Services — (0.0)% | | | | | | | | | | |
GP Strategies Corp. | | | 100 | | | | | | (1,745 | ) |
NV5 Global, Inc. | | | 900 | | | | | | (86,913 | ) |
Willdan Group, Inc. | | | 500 | | | | | | (20,525 | ) |
| | | | | | | | | | |
| | | | | | | | | (109,183 | ) |
| | | | | | | | | | |
Construction Materials — (0.0)% | | | | | | | | | | |
Advanced Drainage Systems, Inc. | | | 500 | | | | | | (51,695 | ) |
See Notes to Consolidated Financial Statements.
110
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | |
Security Description | | Shares | | | | | Value | |
Summit Materials, Inc., Class A | | | 19 | | | | | $ | (532 | ) |
Trex Co., Inc. | | | 13,600 | | | | | | (1,244,944 | ) |
| | | | | | | | | | |
| | | | | | | | | (1,297,171 | ) |
| | | | | | | | | | |
Consumer Discretionary Products — (0.2)% | | | | | | | | | | |
American Woodmark Corp. | | | 1,400 | | | | | | (138,012 | ) |
Axon Enterprise, Inc. | | | 100 | | | | | | (14,242 | ) |
AYRO, Inc. | | | 10,800 | | | | | | (69,984 | ) |
BorgWarner, Inc. | | | 740 | | | | | | (34,306 | ) |
Carter’s, Inc. | | | 5,600 | | | | | | (498,008 | ) |
CBAK Energy Technology, Inc. | | | 100 | | | | | | (510 | ) |
Cooper Tire & Rubber Co. | | | 3,200 | | | | | | (179,136 | ) |
Deckers Outdoor Corp. | | | 2,200 | | | | | | (726,924 | ) |
DR Horton, Inc. | | | 4,400 | | | | | | (392,128 | ) |
ElectraMeccanica Vehicles Corp. | | | 10,400 | | | | | | (48,880 | ) |
Hanesbrands, Inc. | | | 17,900 | | | | | | (352,093 | ) |
Harley-Davidson, Inc. | | | 8,300 | | | | | | (332,830 | ) |
Hasbro, Inc. | | | 100 | | | | | | (9,612 | ) |
HNI Corp. | | | 600 | | | | | | (23,736 | ) |
Hooker Furniture Corp. | | | 600 | | | | | | (21,876 | ) |
Hovnanian Enterprises, Class A | | | 416 | | | | | | (43,988 | ) |
Iconix Brand Group, Inc. | | | 710 | | | | | | (1,427 | ) |
Lakeland Industries, Inc. | | | 2,400 | | | | | | (66,864 | ) |
Lear Corp. | | | 4,700 | | | | | | (851,875 | ) |
Lennar Corp., Class A | | | 24 | | | | | | (2,430 | ) |
Magna International, Inc. | | | 100 | | | | | | (8,804 | ) |
Mattel, Inc. | | | 39,200 | | | | | | (780,864 | ) |
Methode Electronics, Inc. | | | 300 | | | | | | (12,594 | ) |
Mohawk Industries, Inc. | | | 4,500 | | | | | | (865,395 | ) |
Motorcar Parts of America, Inc. | | | 1,000 | | | | | | (22,500 | ) |
Newell Brands, Inc. | | | 30,318 | | | | | | (811,916 | ) |
Nike, Inc., Class B | | | 1,500 | | | | | | (199,335 | ) |
Oxford Industries, Inc. | | | 100 | | | | | | (8,742 | ) |
PGT Innovations, Inc. | | | 100 | | | | | | (2,525 | ) |
PVH Corp. | | | 8,000 | | | | | | (845,600 | ) |
QuantumScape Corp. | | | 20,100 | | | | | | (899,475 | ) |
Sequential Brands Group, Inc. | | | 415 | | | | | | (9,495 | ) |
Smith & Wesson Brands, Inc. | | | 13,700 | | | | | | (239,065 | ) |
Stellantis NV | | | 22,200 | | | | | | (394,938 | ) |
Steven Madden Ltd. | | | 5,350 | | | | | | (199,341 | ) |
Tupperware Brands Corp. | | | 1,900 | | | | | | (50,179 | ) |
Vista Outdoor, Inc. | | | 2,000 | | | | | | (64,140 | ) |
Visteon Corp. | | | 400 | | | | | | (48,780 | ) |
XPEL, Inc. | | | 300 | | | | | | (15,579 | ) |
| | | | | | | | | | |
| | | | | | | | | (9,288,128 | ) |
| | | | | | | | | | |
See Notes to Consolidated Financial Statements.
111
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | |
Security Description | | Shares | | | | | Value | |
Consumer Discretionary Services — (0.3)% | | | | | | | | | | |
Bally’s Corp. | | | 800 | | | | | $ | (51,984 | ) |
BJ’s Restaurants, Inc. | | | 4,700 | | | | | | (272,976 | ) |
Brinker International, Inc. | | | 2,200 | | | | | | (156,332 | ) |
Cheesecake Factory, Inc. (The) | | | 400 | | | | | | (23,404 | ) |
Choice Hotels International, Inc. | | | 2,500 | | | | | | (268,225 | ) |
Darden Restaurants, Inc. | | | 6,000 | | | | | | (852,000 | ) |
Dave & Buster’s Entertainment, Inc. | | | 7,300 | | | | | | (349,670 | ) |
Domino’s Pizza, Inc. | | | 300 | | | | | | (110,337 | ) |
El Pollo Loco Holdings, Inc. | | | 3,600 | | | | | | (58,032 | ) |
Hall of Fame Resort & Entertainment Co. | | | 8,200 | | | | | | (41,164 | ) |
Hilton Worldwide Holdings, Inc. | | | 4,200 | | | | | | (507,864 | ) |
Hyatt Hotels Corp., Class A | | | 300 | | | | | | (24,810 | ) |
Kura Sushi USA, Inc., Class A | | | 800 | | | | | | (25,312 | ) |
Las Vegas Sands Corp. | | | 109,000 | | | | | | (6,622,840 | ) |
Liberty Media Corp-Liberty Braves, Class C | | | 1,500 | | | | | | (41,730 | ) |
Live Nation Entertainment, Inc. | | | 3,300 | | | | | | (279,345 | ) |
Luby’s, Inc. | | | 1,200 | | | | | | (3,960 | ) |
Madison Square Garden Entertainment Corp. | | | 300 | | | | | | (24,540 | ) |
Madison Square Garden Sports Corp. | | | 300 | | | | | | (53,838 | ) |
Marriott International, Inc., Class A | | | 6,100 | | | | | | (903,471 | ) |
Potbelly Corp. | | | 2,300 | | | | | | (13,593 | ) |
RCI Hospitality Holdings, Inc. | | | 100 | | | | | | (6,359 | ) |
Regis Corp. | | | 3,700 | | | | | | (46,472 | ) |
SCWorx Corp. | | | 400 | | | | | | (792 | ) |
Starbucks Corp. | | | 600 | | | | | | (65,562 | ) |
Super League Gaming, Inc. | | | 6,600 | | | | | | (46,464 | ) |
Target Hospitality Corp. | | | 100 | | | | | | (251 | ) |
Wynn Resorts Ltd. | | | 33,300 | | | | | | (4,174,821 | ) |
XpresSpa Group, Inc. | | | 29,100 | | | | | | (53,544 | ) |
| | | | | | | | | | |
| | | | | | | | | (15,079,692 | ) |
| | | | | | | | | | |
Consumer Products — (0.0)% | | | | | | | | | | |
22nd Century Group, Inc. | | | 6,400 | | | | | | (21,056 | ) |
Alkaline Water Co., Inc. (The) | | | 24,000 | | | | | | (26,160 | ) |
B&G Foods, Inc. | | | 6,200 | | | | | | (192,572 | ) |
Cronos Group, Inc. | | | 14,000 | | | | | | (132,440 | ) |
Fresh Del Monte Produce, Inc. | | | 2,100 | | | | | | (60,123 | ) |
Helen of Troy Ltd. | | | 2,000 | | | | | | (421,320 | ) |
Pilgrim’s Pride Corp. | | | 2,300 | | | | | | (54,717 | ) |
Primo Water Corp. | | | 400 | | | | | | (6,504 | ) |
Vector Group Ltd. | | | 10,528 | | | | | | (146,866 | ) |
| | | | | | | | | | |
| | | | | | | | | (1,061,758 | ) |
| | | | | | | | | | |
Consumer Services — (0.0)% | | | | | | | | | | |
Strategic Education, Inc. | | | 25 | | | | | | (2,298 | ) |
| | | | | | | | | | |
See Notes to Consolidated Financial Statements.
112
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | |
Security Description | | Shares | | | | | Value | |
Consumer Staple Products — (0.1)% | | | | | | | | | | |
Aurora Cannabis, Inc. | | | 39,600 | | | | | $ | (368,676 | ) |
Beyond Meat, Inc. | | | 9,000 | | | | | | (1,171,080 | ) |
Cadiz, Inc. | | | 900 | | | | | | (8,631 | ) |
Cal-Maine Foods, Inc. | | | 400 | | | | | | (15,368 | ) |
Campbell Soup Co. | | | 300 | | | | | | (15,081 | ) |
Celsius Holdings, Inc. | | | 20,400 | | | | | | (980,220 | ) |
Coty, Inc., Class A | | | 138,485 | | | | | | (1,247,750 | ) |
Darling Ingredients, Inc. | | | 5,900 | | | | | | (434,122 | ) |
Edgewell Personal Care Co. | | | 6,300 | | | | | | (249,480 | ) |
Estee Lauder Cos., Inc. (The), Class A | | | 1,300 | | | | | | (378,105 | ) |
FSD Pharma, Inc., Class B | | | 3,400 | | | | | | (6,494 | ) |
Greenlane Holdings, Inc., Class A | | | 1,600 | | | | | | (8,488 | ) |
Hershey Co. | | | 200 | | | | | | (31,632 | ) |
Inter Parfums, Inc. | | | 300 | | | | | | (21,279 | ) |
Limoneira Co. | | | 200 | | | | | | (3,500 | ) |
Mission Produce, Inc. | | | 1,500 | | | | | | (28,515 | ) |
National Beverage Corp. | | | 100 | | | | | | (4,891 | ) |
NewAge, Inc. | | | 37,400 | | | | | | (106,964 | ) |
Ocean Bio-Chem, Inc. | | | 600 | | | | | | (7,212 | ) |
Post Holdings, Inc. | | | 900 | | | | | | (95,148 | ) |
Reed’s, Inc. | | | 300 | | | | | | (351 | ) |
Revlon, Inc., Class A | | | 2,200 | | | | | | (27,126 | ) |
Reynolds Consumer Products, Inc. | | | 200 | | | | | | (5,956 | ) |
Simply Good Foods Co. (The) | | | 6,700 | | | | | | (203,814 | ) |
Universal Corp. | | | 2,100 | | | | | | (123,879 | ) |
Village Farms International, Inc. | | | 400 | | | | | | (5,292 | ) |
| | | | | | | | | | |
| | | | | | | | | (5,549,054 | ) |
| | | | | | | | | | |
Containers & Packaging — (0.0)% | | | | | | | | | | |
Amcor plc | | | 19,300 | | | | | | (225,424 | ) |
| | | | | | | | | | |
Design, Manufacturing & Distribution — (0.0)% | | | | | | | | | | |
Flex Ltd. | | | 48,500 | | | | | | (888,035 | ) |
SYNNEX Corp. | | | 3,300 | | | | | | (378,972 | ) |
| | | | | | | | | | |
| | | | | | | | | (1,267,007 | ) |
| | | | | | | | | | |
Distributors—Consumer Staples — (0.0)% | | | | | | | | | | |
Bunge Ltd. | | | 18,700 | | | | | | (1,482,349 | ) |
Grocery Outlet Holding Corp. | | | 4,800 | | | | | | (177,072 | ) |
Performance Food Group Co. | | | 7,300 | | | | | | (420,553 | ) |
| | | | | | | | | | |
| | | | | | | | | (2,079,974 | ) |
| | | | | | | | | | |
Distributors—Discretionary — (0.0)% | | | | | | | | | | |
Pool Corp. | | | 400 | | | | | | (138,096 | ) |
| | | | | | | | | | |
See Notes to Consolidated Financial Statements.
113
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | |
Security Description | | Shares | | | | | Value | |
Electrical Equipment — (0.0)% | | | | | | | | | | |
Energous Corp. | | | 19,100 | | | | | $ | (77,546 | ) |
IntriCon Corp. | | | 500 | | | | | | (12,820 | ) |
Mesa Laboratories, Inc. | | | 100 | | | | | | (24,350 | ) |
Novanta, Inc. | | | 1,200 | | | | | | (158,268 | ) |
| | | | | | | | | | |
| | | | | | | | | (272,984 | ) |
| | | | | | | | | | |
Financial Services — (0.2)% | | | | | | | | | | |
Ally Financial, Inc. | | | 800 | | | | | | (36,168 | ) |
Altus Midstream | | | 710 | | | | | | (37,254 | ) |
Apollo Global Management, Inc. | | | 400 | | | | | | (18,804 | ) |
Ares Management Corp., Class A | | | 500 | | | | | | (28,015 | ) |
Ault Global Holdings, Inc. | | | 3,100 | | | | | | (10,199 | ) |
Brookfield Asset Management, Inc., Class A | | | 32,475 | | | | | | (1,445,138 | ) |
Cboe Global Markets, Inc. | | | 2,400 | | | | | | (236,856 | ) |
Charles Schwab Corp. | | | 95,097 | | | | | | (6,198,422 | ) |
CME Group, Inc. | | | 4,500 | | | | | | (919,035 | ) |
Columbia Financial, Inc. | | | 1,700 | | | | | | (29,716 | ) |
Credit Acceptance Corp. | | | 400 | | | | | | (144,092 | ) |
KKR & Co., Inc., Class A | | | 6,300 | | | | | | (307,755 | ) |
Marathon Digital Holdings, Inc. | | | 30,600 | | | | | | (1,469,412 | ) |
Morgan Stanley | | | 10,900 | | | | | | (846,494 | ) |
Owl Rock Capital Corp. | | | 200 | | | | | | (2,754 | ) |
PHENIXFIN Corp. | | | 20 | | | | | | (658 | ) |
Rocket Cos., Inc., Class A | | | 3,100 | | | | | | (71,579 | ) |
StepStone Group, Inc., Class A | | | 500 | | | | | | (17,635 | ) |
Stifel Financial Corp. | | | 600 | | | | | | (38,436 | ) |
T Rowe Price Group, Inc. | | | 300 | | | | | | (51,480 | ) |
Upstart Holdings, Inc. | | | 1,200 | | | | | | (154,632 | ) |
US Global Investors, Inc., Class A | | | 300 | | | | | | (2,094 | ) |
World Acceptance Corp. | | | 400 | | | | | | (51,904 | ) |
| | | | | | | | | | |
| | | | | | | | | (12,118,532 | ) |
| | | | | | | | | | |
Gaming, Lodging & Restaurants — (0.1)% | | | | | | | | | | |
Caesars Entertainment, Inc. | | | 17,576 | | | | | | (1,537,021 | ) |
DraftKings, Inc., Class A | | | 30,400 | | | | | | (1,864,432 | ) |
Fiesta Restaurant Group, Inc. | | | 2,000 | | | | | | (25,180 | ) |
Marriott Vacations Worldwide Corp. | | | 4,400 | | | | | | (766,392 | ) |
Red Robin Gourmet Burgers, Inc. | | | 3,600 | | | | | | (143,604 | ) |
| | | | | | | | | | |
| | | | | | | | | (4,336,629 | ) |
| | | | | | | | | | |
Hardware — (0.0)% | | | | | | | | | | |
CommScope Holding Co., Inc. | | | 500 | | | | | | (7,680 | ) |
GoPro, Inc., Class A | | | 5,500 | | | | | | (64,020 | ) |
Lumentum Holdings, Inc. | | | 800 | | | | | | (73,080 | ) |
PCTEL, Inc. | | | 200 | | | | | | (1,390 | ) |
See Notes to Consolidated Financial Statements.
114
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | |
Security Description | | Shares | | | | | Value | |
Ubiquiti, Inc. | | | 500 | | | | | $ | (149,150 | ) |
| | | | | | | | | | |
| | | | | | | | | (295,320 | ) |
| | | | | | | | | | |
Health Care — (0.6)% | | | | | | | | | | |
Abeona Therapeutics, Inc. | | | 24,400 | | | | | | (45,872 | ) |
Accolade, Inc. | | | 5,100 | | | | | | (231,387 | ) |
Achieve Life Sciences, Inc. | | | 100 | | | | | | (1,158 | ) |
Acorda Therapeutics, Inc. | | | 766 | | | | | | (3,730 | ) |
Actinium Pharmaceuticals, Inc. | | | 586 | | | | | | (4,465 | ) |
ADMA Biologics, Inc. | | | 29,800 | | | | | | (52,448 | ) |
Advaxis, Inc. | | | 29,700 | | | | | | (21,865 | ) |
Aerpio Pharmaceuticals, Inc. | | | 4,800 | | | | | | (6,192 | ) |
Aeterna Zentaris, Inc. | | | 18,524 | | | | | | (21,117 | ) |
AgeX Therapeutics, Inc. | | | 400 | | | | | | (648 | ) |
Akouos, Inc. | | | 1,000 | | | | | | (13,870 | ) |
Alpha Pro Tech Ltd. | | | 4,200 | | | | | | (40,992 | ) |
ALX Oncology Holdings, Inc. | | | 100 | | | | | | (7,374 | ) |
American Well Corp., Class A | | | 9,000 | | | | | | (156,330 | ) |
Annovis Bio, Inc. | | | 400 | | | | | | (11,160 | ) |
Applied Molecular Transport, Inc. | | | 900 | | | | | | (39,609 | ) |
Aptose Biosciences, Inc. | | | 4,500 | | | | | | (26,888 | ) |
Asensus Surgical, Inc. | | | 40,930 | | | | | | (133,023 | ) |
Aspira Women’s Health, Inc. | | | 6,300 | | | | | | (42,525 | ) |
Athira Pharma, Inc. | | | 200 | | | | | | (3,680 | ) |
Atossa Genetics, Inc. | | | 26,600 | | | | | | (56,126 | ) |
AtriCure, Inc. | | | 700 | | | | | | (45,864 | ) |
aTyr Pharma, Inc. | | | 1,300 | | | | | | (5,785 | ) |
Avalon GloboCare Corp. | | | 1,400 | | | | | | (1,498 | ) |
Avanos Medical, Inc. | | | 1,300 | | | | | | (56,862 | ) |
Avenue Therapeutics, Inc. | | | 700 | | | | | | (4,249 | ) |
Avinger, Inc. | | | 14,548 | | | | | | (21,967 | ) |
Aytu BioScience, Inc. | | | 924 | | | | | | (7,022 | ) |
Beam Therapeutics, Inc. | | | 3,100 | | | | | | (248,124 | ) |
Bellicum Pharmaceuticals, Inc. | | | 1,470 | | | | | | (5,527 | ) |
BioAtla, Inc. | | | 1,200 | | | | | | (61,008 | ) |
BioCardia, Inc. | | | 600 | | | | | | (2,604 | ) |
Biocept, Inc. | | | 1,710 | | | | | | (8,704 | ) |
Biolase, Inc. | | | 38,500 | | | | | | (32,452 | ) |
Biomerica, Inc. | | | 500 | | | | | | (2,730 | ) |
BioNano Genomics, Inc. | | | 32,100 | | | | | | (259,368 | ) |
Blueprint Medicines Corp. | | | 100 | | | | | | (9,723 | ) |
Bristol-Myers Squibb Co. | | | 77,600 | | | | | | (4,898,888 | ) |
Brooklyn ImmunoTherapeutics, Inc. | | | 450 | | | | | | (1,674 | ) |
Bruker Corp. | | | 300 | | | | | | (19,284 | ) |
Capital Senior Living Corp. | | | 246 | | | | | | (9,471 | ) |
Cassava Sciences, Inc. | | | 1,300 | | | | | | (58,435 | ) |
See Notes to Consolidated Financial Statements.
115
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | |
Security Description | | Shares | | | | | Value | |
Catalent, Inc. | | | 300 | | | | | $ | (31,593 | ) |
Celsion Corp. | | | 22,400 | | | | | | (30,912 | ) |
Charles River Laboratories International, Inc. | | | 300 | | | | | | (86,949 | ) |
Check Cap Ltd. | | | 14,400 | | | | | | (25,344 | ) |
Chembio Diagnostics, Inc. | | | 6,100 | | | | | | (21,411 | ) |
CHF Solutions, Inc. | | | 20 | | | | | | (118 | ) |
Chiasma, Inc. | | | 100 | | | | | | (313 | ) |
China Pharma Holdings, Inc. | | | 3,000 | | | | | | (2,520 | ) |
ChromaDex Corp. | | | 8,700 | | | | | | (81,258 | ) |
Cigna Corp. | | | 5,100 | | | | | | (1,232,874 | ) |
Citius Pharmaceuticals, Inc. | | | 8,000 | | | | | | (14,240 | ) |
Clovis Oncology, Inc. | | | 32,400 | | | | | | (227,448 | ) |
Co-Diagnostics, Inc. | | | 4,200 | | | | | | (40,068 | ) |
Cocrystal Pharma, Inc. | | | 21,100 | | | | | | (29,329 | ) |
Cogent Biosciences, Inc. | | | 28 | | | | | | (246 | ) |
Congent Biosciences, Inc. | | | 1,000 | | | | | | 0 | |
ContraFect Corp. | | | 400 | | | | | | (1,920 | ) |
Corcept Therapeutics, Inc. | | | 100 | | | | | | (2,379 | ) |
Curis, Inc. | | | 5,900 | | | | | | (66,788 | ) |
CVS Health Corp. | | | 42,700 | | | | | | (3,212,321 | ) |
Deciphera Pharmaceuticals, Inc. | | | 200 | | | | | | (8,968 | ) |
DermTech, Inc. | | | 4,700 | | | | | | (238,713 | ) |
Dyadic International, Inc. | | | 300 | | | | | | (1,647 | ) |
Dynavax Technologies Corp. | | | 30 | | | | | | (295 | ) |
Eargo, Inc. | | | 500 | | | | | | (24,975 | ) |
Electromed, Inc. | | | 600 | | | | | | (6,324 | ) |
Emergent BioSolutions, Inc. | | | 6,800 | | | | | | (631,788 | ) |
Ensign Group, Inc. | | | 500 | | | | | | (46,920 | ) |
Enveric Biosciences, Inc. | | | 5,975 | | | | | | (18,343 | ) |
Enzo Biochem, Inc. | | | 1,500 | | | | | | (5,160 | ) |
Equillium, Inc. | | | 4,100 | | | | | | (29,315 | ) |
Evofem Biosciences, Inc. | | | 24,100 | | | | | | (42,175 | ) |
Fennec Pharmaceuticals, Inc. | | | 1,500 | | | | | | (9,315 | ) |
Foghorn Therapeutics, Inc. | | | 300 | | | | | | (3,954 | ) |
Forma Therapeutics Holdings, Inc. | | | 200 | | | | | | (5,604 | ) |
Forte Biosciences, Inc. | | | 100 | | | | | | (3,427 | ) |
Fulgent Genetics, Inc. | | | 6,600 | | | | | | (637,692 | ) |
Generation Bio Co. | | | 700 | | | | | | (19,922 | ) |
Genprex, Inc. | | | 13,400 | | | | | | (57,754 | ) |
Gilead Sciences, Inc. | | | 1,800 | | | | | | (116,334 | ) |
Glaukos Corp. | | | 1,100 | | | | | | (92,323 | ) |
Global Blood Therapeutics, Inc. | | | 2,200 | | | | | | (89,650 | ) |
GoodRx Holdings, Inc., Class A | | | 10,300 | | | | | | (401,906 | ) |
Guardion Health Sciences, Inc. | | | 133 | | | | | | (319 | ) |
Hancock Jaffe Laboratories, Inc. | | | 760 | | | | | | (5,062 | ) |
HCA Healthcare, Inc. | | | 300 | | | | | | (56,502 | ) |
Heat Biologics, Inc. | | | 7,228 | | | | | | (52,620 | ) |
See Notes to Consolidated Financial Statements.
116
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | |
Security Description | | Shares | | | | | Value | |
Heron Therapeutics, Inc. | | | 3,000 | | | | | $ | (48,630 | ) |
Histogen, Inc. | | | 3,200 | | | | | | (4,160 | ) |
HTG Molecular Diagnostics, Inc. | | | 133 | | | | | | (728 | ) |
Humanigen, Inc. | | | 5,200 | | | | | | (99,320 | ) |
iBio, Inc. | | | 41,800 | | | | | | (64,372 | ) |
IGM Biosciences, Inc. | | | 600 | | | | | | (46,014 | ) |
ImmunityBio, Inc. | | | 12,600 | | | | | | (299,124 | ) |
Inari Medical, Inc. | | | 4,000 | | | | | | (428,000 | ) |
Inmune Bio, Inc. | | | 900 | | | | | | (10,692 | ) |
Innoviva, Inc. | | | 1,800 | | | | | | (21,510 | ) |
iRhythm Technologies, Inc. | | | 800 | | | | | | (111,088 | ) |
Jaguar Health, Inc. | | | 8,500 | | | | | | (15,300 | ) |
Jupiter Wellness, Inc. | | | 800 | | | | | | (3,792 | ) |
KemPharm, Inc. | | | 200 | | | | | | (1,840 | ) |
Kronos Bio, Inc. | | | 1,300 | | | | | | (38,051 | ) |
Krystal Biotech, Inc. | | | 500 | | | | | | (38,520 | ) |
Lexicon Pharmaceuticals, Inc. | | | 1,600 | | | | | | (9,392 | ) |
Liquidia Corp. | | | 700 | | | | | | (1,883 | ) |
McKesson Corp. | | | 1,800 | | | | | | (351,072 | ) |
MediciNova, Inc. | | | 100 | | | | | | (505 | ) |
Milestone Scientific, Inc. | | | 7,800 | | | | | | (27,846 | ) |
ModivCare, Inc. | | | 400 | | | | | | (59,248 | ) |
Moleculin Biotech, Inc. | | | 50 | | | | | | (204 | ) |
Motus GI Holdings, Inc. | | | 11,900 | | | | | | (14,399 | ) |
Nabriva Therapeutics plc | | | 10,900 | | | | | | (18,094 | ) |
NanoViricides, Inc. | | | 3,300 | | | | | | (15,576 | ) |
Nkarta, Inc. | | | 700 | | | | | | (23,030 | ) |
Novavax, Inc. | | | 5,200 | | | | | | (942,812 | ) |
Nurix Therapeutics, Inc. | | | 200 | | | | | | (6,218 | ) |
Nymox Pharmaceutical Corp. | | | 599 | | | | | | (1,330 | ) |
Oak Street Health, Inc. | | | 700 | | | | | | (37,989 | ) |
Ocugen, Inc. | | | 37,200 | | | | | | (252,588 | ) |
OpGen, Inc. | | | 5,700 | | | | | | (14,250 | ) |
Option Care Health, Inc. | | | 200 | | | | | | (3,548 | ) |
Oragenics, Inc. | | | 19,200 | | | | | | (17,411 | ) |
Organovo Holdings, Inc. | | | 2,105 | | | | | | (20,292 | ) |
ORIC Pharmaceuticals, Inc. | | | 400 | | | | | | (9,800 | ) |
Osmotica Pharmaceuticals plc | | | 600 | | | | | | (1,956 | ) |
Patterson Cos., Inc. | | | 3,800 | | | | | | (121,410 | ) |
PerkinElmer, Inc. | | | 3,800 | | | | | | (487,502 | ) |
PhaseBio Pharmaceuticals, Inc. | | | 1,100 | | | | | | (3,806 | ) |
Pliant Therapeutics, Inc. | | | 200 | | | | | | (7,866 | ) |
PolarityTE, Inc. | | | 20,999 | | | | | | (23,309 | ) |
Prelude Therapeutics, Inc. | | | 500 | | | | | | (21,665 | ) |
Prestige Brands Holdings, Inc. | | | 400 | | | | | | (17,632 | ) |
Progyny, Inc. | | | 2,700 | | | | | | (120,177 | ) |
See Notes to Consolidated Financial Statements.
117
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | |
Security Description | | Shares | | | | | Value | |
Pulmatrix, Inc. | | | 1,200 | | | | | $ | (1,596 | ) |
Pulmonx Corp. | | | 300 | | | | | | (13,722 | ) |
QIAGEN NV | | | 200 | | | | | | (9,738 | ) |
RA Medical Systems, Inc. | | | 8 | | | | | | (37 | ) |
Regeneron Pharmaceuticals, Inc. | | | 4,100 | | | | | | (1,939,874 | ) |
Relay Therapeutics, Inc. | | | 400 | | | | | | (13,828 | ) |
ResMed, Inc. | | | 3,900 | | | | | | (756,678 | ) |
Retractable Technologies, Inc. | | | 300 | | | | | | (3,846 | ) |
Rockwell Medical, Inc. | | | 1,200 | | | | | | (1,392 | ) |
Royalty Pharma plc, Class A | | | 7,200 | | | | | | (314,064 | ) |
Salarius Pharmaceuticals, Inc. | | | 5,400 | | | | | | (7,992 | ) |
Sana Biotechnology, Inc. | | | 100 | | | | | | (3,347 | ) |
Sarepta Therapeutics, Inc. | | | 3,900 | | | | | | (290,667 | ) |
Scholar Rock Holding Corp. | | | 200 | | | | | | (10,132 | ) |
Senestech, Inc. | | | 3,500 | | | | | | (5,810 | ) |
Shattuck Labs, Inc. | | | 200 | | | | | | (5,848 | ) |
SmileDirectClub, Inc. | | | 18,900 | | | | | | (194,859 | ) |
Soligenix, Inc. | | | 9,700 | | | | | | (14,841 | ) |
STERIS plc | | | 500 | | | | | | (95,240 | ) |
Sundial Growers, Inc. | | | 514,600 | | | | | | (581,498 | ) |
SunLink Health Systems, Inc. | | | 1,400 | | | | | | (3,808 | ) |
Synthetic Biologics, Inc. | | | 500 | | | | | | (341 | ) |
Tactile Systems Technology, Inc. | | | 100 | | | | | | (5,449 | ) |
Taro Pharmaceutical Industries Ltd. | | | 300 | | | | | | (22,125 | ) |
Teligent, Inc. | | | 2,000 | | | | | | (1,244 | ) |
Thermo Fisher Scientific, Inc. | | | 15,600 | | | | | | (7,119,528 | ) |
Titan Pharmaceuticals, Inc. | | | 3,000 | | | | | | (8,940 | ) |
Tonix Pharmaceuticals Holding Corp. | | | 17,400 | | | | | | (22,272 | ) |
Tyme Technologies, Inc. | | | 8,800 | | | | | | (15,664 | ) |
UnitedHealth Group, Inc. | | | 200 | | | | | | (74,414 | ) |
Vaccinex, Inc. | | | 6,900 | | | | | | (20,562 | ) |
Viatris, Inc. | | | 83,401 | | | | | | (1,165,112 | ) |
Viracta Therapeutics, Inc. | | | 1,782 | | | | | | (16,483 | ) |
VolitionRX Ltd. | | | 600 | | | | | | (2,268 | ) |
VYANT BIO, Inc. | | | 3,200 | | | | | | (14,848 | ) |
XBiotech, Inc. | | | 1,200 | | | | | | (20,604 | ) |
Xeris Pharmaceuticals, Inc. | | | 200 | | | | | | (902 | ) |
Xtant Medical Holdings, Inc. | | | 100 | | | | | | (236 | ) |
Yumanity Therapeutics, Inc. | | | 1,200 | | | | | | (21,720 | ) |
Zomedica Corp. | | | 142,500 | | | | | | (225,150 | ) |
| | | | | | | | | | |
| | | | | | | | | (31,287,366 | ) |
| | | | | | | | | | |
Health Care Facilities & Services — (0.1)% | | | | | | | | | | |
Acasti Pharma, Inc. | | | 49,000 | | | | | | (29,400 | ) |
Centene Corp. | | | 6,700 | | | | | | (428,197 | ) |
DaVita, Inc. | | | 2,000 | | | | | | (215,540 | ) |
See Notes to Consolidated Financial Statements.
118
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | |
Security Description | | Shares | | | | | Value | |
Elanco Animal Health, Inc. | | | 6,500 | | | | | $ | 0 | |
HealthEquity, Inc. | | | 4,800 | | | | | | (326,400 | ) |
LHC Group, Inc. | | | 1,583 | | | | | | (302,685 | ) |
NeoGenomics, Inc. | | | 8,200 | | | | | | (395,486 | ) |
Surgery Partners, Inc. | | | 2,300 | | | | | | (101,798 | ) |
Teladoc Health, Inc. | | | 9,600 | | | | | | (1,744,800 | ) |
| | | | | | | | | | |
| | | | | | | | | (3,544,306 | ) |
| | | | | | | | | | |
Home & Office Products — (0.0)% | | | | | | | | | | |
LGI Homes, Inc. | | | 2,600 | | | | | | (388,206 | ) |
| | | | | | | | | | |
Industrial Products — (0.2)% | | | | | | | | | | |
3M Co. | | | 1,400 | | | | | | (269,752 | ) |
AAON, Inc. | | | 400 | | | | | | (28,004 | ) |
Advanced Energy Industries, Inc. | | | 3,100 | | | | | | (338,427 | ) |
AeroVironment, Inc. | | | 500 | | | | | | (58,030 | ) |
AgEagle Aerial Systems, Inc. | | | 8,900 | | | | | | (55,714 | ) |
Air Industries Group | | | 800 | | | | | | (1,176 | ) |
Alamo Group, Inc. | | | 400 | | | | | | (62,460 | ) |
Allied Motion Technologies, Inc. | | | 100 | | | | | | (5,133 | ) |
AMETEK, Inc. | | | 100 | | | | | | (12,773 | ) |
AMMO, Inc. | | | 200 | | | | | | (1,184 | ) |
Amphenol Corp., Class A | | | 400 | | | | | | (26,388 | ) |
Argan, Inc. | | | 700 | | | | | | (37,345 | ) |
Astec Industries, Inc. | | | 1,800 | | | | | | (135,756 | ) |
Astrotech Corp. | | | 100 | | | | | | (219 | ) |
Badger Meter, Inc. | | | 300 | | | | | | (27,921 | ) |
Bloom Energy Corp. | | | 1,400 | | | | | | (37,870 | ) |
BWX Technologies, Inc. | | | 400 | | | | | | (26,376 | ) |
Caterpillar, Inc. | | | 7,400 | | | | | | (1,715,838 | ) |
Chart Industries, Inc. | | | 1,600 | | | | | | (227,760 | ) |
Colfax Corp. | | | 500 | | | | | | (21,905 | ) |
Deere & Co. | | | 4,100 | | | | | | (1,533,974 | ) |
Dover Corp. | | | 100 | | | | | | (13,713 | ) |
Dynatronics Corp. | | | 100 | | | | | | (115 | ) |
Eastman Kodak Co. | | | 24,300 | | | | | | (191,241 | ) |
Electro-Sensors, Inc. | | | 300 | | | | | | (1,440 | ) |
Energy Focus, Inc. | | | 600 | | | | | | (2,760 | ) |
Enerpac Tool Group Corp. | | | 4,100 | | | | | | (107,092 | ) |
Fuel Tech, Inc. | | | 2,900 | | | | | | (9,106 | ) |
Generac Holdings, Inc. | | | 1,600 | | | | | | (523,920 | ) |
General Electric Co. | | | 92,200 | | | | | | (1,210,586 | ) |
Hillenbrand, Inc. | | | 1,084 | | | | | | (51,718 | ) |
Howmet Aerospace, Inc. | | | 395 | | | | | | (12,691 | ) |
Hubbell, Inc. | | | 200 | | | | | | (37,378 | ) |
Illinois Tool Works, Inc. | | | 100 | | | | | | (22,152 | ) |
John Bean Technologies Corp. | | | 1,900 | | | | | | (253,346 | ) |
See Notes to Consolidated Financial Statements.
119
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | |
Security Description | | Shares | | | | | Value | |
Kelso Technologies, Inc. | | | 1,800 | | | | | $ | (2,106 | ) |
L3Harris Technologies, Inc. | | | 1,900 | | | | | | (385,092 | ) |
Luna Innovations, Inc. | | | 100 | | | | | | (1,053 | ) |
Mercury Systems, Inc. | | | 1,200 | | | | | | (84,780 | ) |
Middleby Corp. | | | 9,300 | | | | | | (1,541,475 | ) |
MSA Safety, Inc. | | | 400 | | | | | | (60,008 | ) |
Navistar International Corp. | | | 9,100 | | | | | | (400,673 | ) |
Parker-Hannifin Corp. | | | 300 | | | | | | (94,629 | ) |
Raven Industries, Inc. | | | 100 | | | | | | (3,833 | ) |
Raytheon Technologies Corp. | | | 2,026 | | | | | | (156,549 | ) |
Rekor Systems, Inc. | | | 1,000 | | | | | | (19,990 | ) |
Research Frontiers, Inc. | | | 500 | | | | | | (1,420 | ) |
Rexnord Corp. | | | 200 | | | | | | (9,418 | ) |
Rockwell Automation, Inc. | | | 1,300 | | | | | | (345,072 | ) |
Stoneridge, Inc. | | | 700 | | | | | | (22,267 | ) |
Sypris Solutions, Inc. | | | 6,112 | | | | | | (20,353 | ) |
Terex Corp. | | | 1,300 | | | | | | (59,891 | ) |
Textron, Inc. | | | 600 | | | | | | (33,648 | ) |
Timken Co. (The) | | | 800 | | | | | | (64,936 | ) |
Toughbuilt Industries, Inc. | | | 100 | | | | | | (94 | ) |
Tredegar Corp. | | | 500 | | | | | | (7,505 | ) |
Trimble, Inc. | | | 2,100 | | | | | | (163,359 | ) |
Vontier Corp. | | | 1,500 | | | | | | (45,405 | ) |
Wabtec Corp. | | | 175 | | | | | | (13,853 | ) |
Wrap Technologies, Inc. | | | 700 | | | | | | (3,892 | ) |
| | | | | | | | | | |
| | | | | | | | | (10,602,564 | ) |
| | | | | | | | | | |
Industrial Services — (0.1)% | | | | | | | | | | |
ADT, Inc. | | | 2,200 | | | | | | (18,568 | ) |
AECOM | | | 200 | | | | | | (12,822 | ) |
Air Transport Services Group, Inc. | | | 1,200 | | | | | | (35,112 | ) |
ASGN, Inc. | | | 2,500 | | | | | | (238,600 | ) |
BioHiTech Global, Inc. | | | 6,100 | | | | | | (9,577 | ) |
Centrus Energy Corp., Class A | | | 200 | | | | | | (4,744 | ) |
Comfort Systems USA, Inc. | | | 900 | | | | | | (67,293 | ) |
Copa Holdings SA, Class A | | | 4,500 | | | | | | (363,555 | ) |
Cross Country Healthcare, Inc. | | | 100 | | | | | | (1,249 | ) |
Denison Mines Corp. | | | 90,800 | | | | | | (98,972 | ) |
Diamond S Shipping, Inc. | | | 5,600 | | | | | | (56,168 | ) |
Eneti, Inc. | | | 2,210 | | | | | | (46,476 | ) |
EVI Industries, Inc. | | | 200 | | | | | | (5,754 | ) |
Expeditors International of Washington, Inc. | | | 1,700 | | | | | | (183,073 | ) |
GFL Environmental, Inc. | | | 6,200 | | | | | | (216,690 | ) |
Granite Construction, Inc. | | | 600 | | | | | | (24,150 | ) |
Harsco Corp. | | | 800 | | | | | | (13,720 | ) |
International Seaways, Inc. | | | 2,300 | | | | | | (44,574 | ) |
See Notes to Consolidated Financial Statements.
120
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | |
Security Description | | Shares | | | | | Value | |
Jacobs Engineering Group, Inc. | | | 100 | | | | | $ | (12,927 | ) |
JB Hunt Transport Services, Inc. | | | 100 | | | | | | (16,807 | ) |
Korn Ferry | | | 100 | | | | | | (6,237 | ) |
MSC Industrial Direct Co., Inc., Class A | | | 1,500 | | | | | | (135,285 | ) |
Nordic American Tankers Ltd. | | | 2,800 | | | | | | (9,100 | ) |
Old Dominion Freight Line, Inc. | | | 100 | | | | | | (24,041 | ) |
Orbital Energy Group, Inc. | | | 400 | | | | | | (2,440 | ) |
Primoris Services Corp. | | | 800 | | | | | | (26,504 | ) |
Quanta Services, Inc. | | | 5,900 | | | | | | (519,082 | ) |
Rollins, Inc. | | | 8,700 | | | | | | (299,454 | ) |
Ryder System, Inc. | | | 100 | | | | | | (7,565 | ) |
Schnitzer Steel Industries, Inc., Class A | | | 1,400 | | | | | | (58,506 | ) |
SEACOR Marine Holdings, Inc. | | | 2,100 | | | | | | (11,193 | ) |
SkyWest, Inc. | | | 100 | | | | | | (5,448 | ) |
Southwest Airlines Co. | | | 13,200 | | | | | | (805,992 | ) |
Team, Inc. | | | 2,600 | | | | | | (29,978 | ) |
TOMI Environmental Solutions, Inc. | | | 400 | | | | | | (1,620 | ) |
TOP Ships, Inc. | | | 12,300 | | | | | | (23,247 | ) |
United Rentals, Inc. | | | 5,500 | | | | | | (1,811,205 | ) |
Vivint Smart Home, Inc. | | | 200 | | | | | | (2,864 | ) |
WESCO International, Inc. | | | 500 | | | | | | (43,265 | ) |
| | | | | | | | | | |
| | | | | | | | | (5,293,857 | ) |
| | | | | | | | | | |
Institutional Financial Services — (0.1)% | | | | | | | | | | |
Goldman Sachs Group, Inc. | | | 21,100 | | | | | | (6,899,700 | ) |
Intercontinental Exchange, Inc. | | | 4,300 | | | | | | (480,224 | ) |
Moelis & Co., Class A | | | 600 | | | | | | (32,928 | ) |
| | | | | | | | | | |
| | | | | | | | | (7,412,852 | ) |
| | | | | | | | | | |
Insurance — (0.2)% | | | | | | | | | | |
Ambac Financial Group, Inc. | | | 5,200 | | | | | | (87,048 | ) |
American International Group, Inc. | | | 42,200 | | | | | | (1,950,062 | ) |
Arthur J Gallagher & Co. | | | 200 | | | | | | (24,954 | ) |
Atlantic American Corp. | | | 1,200 | | | | | | (4,416 | ) |
Axis Capital Holdings Ltd. | | | 1,800 | | | | | | (89,226 | ) |
Berkshire Hathaway, Inc., Class B | | | 11,800 | | | | | | (3,014,546 | ) |
Chubb Ltd. | | | 3,400 | | | | | | (537,098 | ) |
Cincinnati Financial Corp. | | | 700 | | | | | | (72,163 | ) |
CNA Financial Corp. | | | 100 | | | | | | (4,463 | ) |
CNO Financial Group, Inc. | | | 1,100 | | | | | | (26,719 | ) |
eHealth, Inc. | | | 7,800 | | | | | | (567,294 | ) |
Enstar Group Ltd. | | | 100 | | | | | | (24,673 | ) |
Erie Indemnity Co., Class A | | | 400 | | | | | | (88,364 | ) |
GoHealth, Inc., Class A | | | 100 | | | | | | (1,169 | ) |
HCI Group, Inc. | | | 300 | | | | | | (23,046 | ) |
Lemonade, Inc. | | | 8,600 | | | | | | (800,918 | ) |
See Notes to Consolidated Financial Statements.
121
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | |
Security Description | | Shares | | | | | Value | |
Marsh & McLennan Cos., Inc. | | | 500 | | | | | $ | (60,900 | ) |
Mercury General Corp. | | | 1,000 | | | | | | (60,810 | ) |
MetLife, Inc. | | | 4,600 | | | | | | (279,634 | ) |
Palomar Holdings, Inc. | | | 500 | | | | | | (33,520 | ) |
ProAssurance Corp. | | | 100 | | | | | | (2,676 | ) |
RenaissanceRe Holdings Ltd. | | | 100 | | | | | | (16,025 | ) |
| | | | | | | | | | |
| | | | | | | | | (7,769,724 | ) |
| | | | | | | | | | |
Iron & Steel — (0.0)% | | | | | | | | | | |
Warrior Met Coal, Inc. | | | 7,700 | | | | | | (131,901 | ) |
| | | | | | | | | | |
Leisure Products — (0.0)% | | | | | | | | | | |
Fox Factory Holding Corp. | | | 3,200 | | | | | | (406,592 | ) |
LCI Industries | | | 1,300 | | | | | | (171,964 | ) |
| | | | | | | | | | |
| | | | | | | | | (578,556 | ) |
| | | | | | | | | | |
Machinery — (0.0)% | | | | | | | | | | |
Altra Industrial Motion Corp. | | | 1,500 | | | | | | (82,980 | ) |
CIRCOR International, Inc. | | | 400 | | | | | | (13,928 | ) |
Helios Technologies, Inc. | | | 700 | | | | | | (51,009 | ) |
Ingersoll Rand, Inc. | | | 9,852 | | | | | | (484,817 | ) |
SPX FLOW, Inc. | | | 100 | | | | | | (6,333 | ) |
| | | | | | | | | | |
| | | | | | | | | (639,067 | ) |
| | | | | | | | | | |
Manufactured Goods — (0.0)% | | | | | | | | | | |
RBC Bearings, Inc. | | | 300 | | | | | | (59,031 | ) |
| | | | | | | | | | |
Materials — (0.1)% | | | | | | | | | | |
Albemarle Corp. | | | 6,400 | | | | | | (935,104 | ) |
Almaden Minerals Ltd., Class B | | | 2,500 | | | | | | (1,329 | ) |
American Resources Corp. | | | 15,700 | | | | | | (59,660 | ) |
Avery Dennison Corp. | | | 700 | | | | | | (128,555 | ) |
Barrick Gold Corp. | | | 10,848 | | | | | | (214,791 | ) |
Berry Global Group, Inc. | | | 1,500 | | | | | | (92,100 | ) |
Boise Cascade Co. | | | 100 | | | | | | (5,983 | ) |
Century Aluminum Co. | | | 15,100 | | | | | | (266,666 | ) |
Commercial Metals Co. | | | 800 | | | | | | (24,672 | ) |
Compass Minerals International, Inc. | | | 900 | | | | | | (56,448 | ) |
Comstock Mining, Inc. | | | 7,700 | | | | | | (35,266 | ) |
CPS Technologies Corp. | | | 4,100 | | | | | | (53,669 | ) |
Eastman Chemical Co. | | | 100 | | | | | | (11,012 | ) |
Element Solutions, Inc. | | | 300 | | | | | | (5,487 | ) |
Energy Fuels, Inc. | | | 26,600 | | | | | | (151,088 | ) |
Equinox Gold Corp. | | | 1,700 | | | | | | (13,583 | ) |
Gatos Silver, Inc. | | | 1,800 | | | | | | (17,946 | ) |
Greif, Inc., Class A | | | 2,600 | | | | | | (148,200 | ) |
International Flavors & Fragrances, Inc. | | | 7,500 | | | | | | (1,047,075 | ) |
See Notes to Consolidated Financial Statements.
122
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | |
Security Description | | Shares | | | | | Value | |
International Tower Hill Mines Ltd. | | | 900 | | | | | $ | (963 | ) |
Intrepid Potash, Inc. | | | 100 | | | | | | (3,256 | ) |
IT Tech Packaging, Inc. | | | 13,400 | | | | | | (8,849 | ) |
Kronos Worldwide, Inc. | | | 1,300 | | | | | | (19,890 | ) |
LSB Industries, Inc. | | | 300 | | | | | | (1,539 | ) |
Martin Marietta Materials, Inc. | | | 800 | | | | | | (268,656 | ) |
Mercer International, Inc. | | | 500 | | | | | | (7,195 | ) |
Methanex Corp. | | | 400 | | | | | | (14,720 | ) |
Minerals Technologies, Inc. | | | 100 | | | | | | (7,532 | ) |
North American Construction Group Ltd. | | | 900 | | | | | | (9,675 | ) |
Novagold Resources, Inc. | | | 33,800 | | | | | | (296,088 | ) |
Owens Corning | | | 300 | | | | | | (27,627 | ) |
Packaging Corp. of America | | | 200 | | | | | | (26,896 | ) |
Pactiv Evergreen, Inc. | | | 1,700 | | | | | | (23,358 | ) |
Pan American Silver Corp. | | | 1,900 | | | | | | (57,057 | ) |
PQ Group Holdings, Inc. | | | 200 | | | | | | (3,340 | ) |
Quaker Chemical Corp. | | | 900 | | | | | | (219,393 | ) |
Sealed Air Corp. | | | 600 | | | | | | (27,492 | ) |
SiNtx Technologies, Inc. | | | 7,600 | | | | | | (14,212 | ) |
Solitario Zinc Corp. | | | 17,600 | | | | | | (14,633 | ) |
SSR Mining, Inc. | | | 3,500 | | | | | | (49,980 | ) |
Steel Dynamics, Inc. | | | 1,900 | | | | | | (96,444 | ) |
Turquoise Hill Resources Ltd. | | | 3,070 | | | | | | (49,396 | ) |
United States Antimony Corp. | | | 3,600 | | | | | | (4,356 | ) |
Uranium Energy Corp. | | | 5,700 | | | | | | (16,302 | ) |
Valvoline, Inc. | | | 5,600 | | | | | | (145,992 | ) |
WD-40 Co. | | | 500 | | | | | | (153,090 | ) |
Westrock Co. | | | 600 | | | | | | (31,230 | ) |
Westwater Resources, Inc. | | | 3,900 | | | | | | (20,943 | ) |
Worthington Industries, Inc. | | | 1,900 | | | | | | (127,471 | ) |
| | | | | | | | | | |
| | | | | | | | | (5,016,209 | ) |
| | | | | | | | | | |
Media — (0.7)% | | | | | | | | | | |
Airbnb, Inc., Class A | | | 10,400 | | | | | | (1,954,576 | ) |
AutoWeb, Inc. | | | 2,400 | | | | | | (6,384 | ) |
Booking Holdings, Inc. | | | 2,100 | | | | | | (4,892,664 | ) |
Boston Omaha Corp., Class A | | | 1,600 | | | | | | (47,296 | ) |
Cardlytics, Inc. | | | 3,300 | | | | | | (362,010 | ) |
Cinedigm Corp. | | | 51,400 | | | | | | (85,838 | ) |
DHI Group, Inc. | | | 900 | | | | | | (3,015 | ) |
Discovery, Inc., Class A | | | 37,900 | | | | | | (1,647,134 | ) |
Dolphin Entertainment, Inc. | | | 1,980 | | | | | | (25,166 | ) |
DoorDash, Inc., Class A | | | 5,700 | | | | | | (747,441 | ) |
EW Scripps Co., Class A | | | 36 | | | | | | (694 | ) |
Expedia, Inc. | | | 18,916 | | | | | | (3,255,822 | ) |
fuboTV, Inc. | | | 33,700 | | | | | | (745,444 | ) |
See Notes to Consolidated Financial Statements.
123
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | |
Security Description | | Shares | | | | | Value | |
Gannett Co., Inc. | | | 6,814 | | | | | $ | (36,659 | ) |
Gray Television, Inc. | | | 5,300 | | | | | | (97,520 | ) |
Groupon, Inc. | | | 6,475 | | | | | | (327,279 | ) |
Houghton Mifflin Harcourt Co. | | | 20,000 | | | | | | (152,400 | ) |
IAC/InterActiveCorp | | | 2,700 | | | | | | (584,037 | ) |
Interpublic Group of Cos., Inc. (The) | | | 27,600 | | | | | | (805,920 | ) |
Inuvo, Inc. | | | 36,700 | | | | | | (37,434 | ) |
IZEA Worldwide, Inc. | | | 16,900 | | | | | | (63,713 | ) |
Liberty Broadband Corp., Class C | | | 4,900 | | | | | | (735,735 | ) |
Liberty Media Corp-Liberty SiriusXM, Class C | | | 100 | | | | | | (4,411 | ) |
Liberty Media Group, Class A | | | 892 | | | | | | (34,092 | ) |
Lyft, Inc., Class A | | | 27,823 | | | | | | (1,757,857 | ) |
Magnite, Inc. | | | 7,300 | | | | | | (303,753 | ) |
Match Group, Inc. | | | 17,200 | | | | | | (2,362,936 | ) |
Media General, Inc. | | | 12,100 | | | | | | 0 | |
Monaker Group, Inc. | | | 600 | | | | | | (2,022 | ) |
Netflix, Inc. | | | 3,300 | | | | | | (1,721,478 | ) |
Nexstar Media Group, Inc., Class A | | | 4,511 | | | | | | (633,480 | ) |
Remark Holdings, Inc. | | | 30,800 | | | | | | (70,224 | ) |
Social Reality | | | 200 | | | | | | 0 | |
Spotify Technology SA | | | 800 | | | | | | (214,360 | ) |
Stamps.com, Inc. | | | 300 | | | | | | (59,853 | ) |
TEGNA, Inc. | | | 400 | | | | | | (7,532 | ) |
Trade Desk, Inc. (The), Class A | | | 3,400 | | | | | | (2,215,644 | ) |
Uber Technologies, Inc. | | | 200 | | | | | | (10,902 | ) |
ViacomCBS, Inc., Class B | | | 23,929 | | | | | | (1,079,198 | ) |
Walt Disney Co. | | | 35,200 | | | | | | (6,495,104 | ) |
| | | | | | | | | | |
| | | | | | | | | (33,587,027 | ) |
| | | | | | | | | | |
Medical Equipment & Devices — (0.1)% | | | | | | | | | | |
Apyx Medical Corp. | | | 700 | | | | | | (6,762 | ) |
DENTSPLY SIRONA, Inc. | | | 13,800 | | | | | | (880,578 | ) |
Exact Sciences Corp. | | | 10,000 | | | | | | (1,317,800 | ) |
Microbot Medical, Inc. | | | 100 | | | | | | (851 | ) |
OPKO Health, Inc. | | | 3,599 | | | | | | (15,440 | ) |
Pacific Biosciences of California, Inc. | | | 15,300 | | | | | | (509,643 | ) |
Penumbra, Inc. | | | 1,600 | | | | | | (432,928 | ) |
Pulse Biosciences, Inc. | | | 549 | | | | | | (13,000 | ) |
Quidel Corp. | | | 8,100 | | | | | | (1,036,233 | ) |
Second Sight Medical Products, Inc. | | | 5,923 | | | | | | (48,865 | ) |
Shockwave Medical, Inc. | | | 4,600 | | | | | | (599,196 | ) |
Venus Concept, Inc. | | | 100 | | | | | | (235 | ) |
Zynex, Inc. | | | 10,800 | | | | | | (164,916 | ) |
| | | | | | | | | | |
| | | | | | | | | (5,026,447 | ) |
| | | | | | | | | | |
Metals & Mining — (0.0)% | | | | | | | | | | |
Livent Corp. | | | 3,500 | | | | | | (60,620 | ) |
| | | | | | | | | | |
See Notes to Consolidated Financial Statements.
124
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | |
Security Description | | Shares | | | | | Value | |
Oil, Gas & Coal — (0.2)% | | | | | | | | | | |
Abraxas Petroleum Corp. | | | 1,945 | | | | | $ | (6,107 | ) |
APA Corp. | | | 1,100 | | | | | | (19,690 | ) |
Archrock, Inc. | | | 700 | | | | | | (6,643 | ) |
Cabot Oil & Gas Corp. | | | 12,400 | | | | | | (232,872 | ) |
Cheniere Energy, Inc. | | | 100 | | | | | | (7,201 | ) |
Chevron Corp. (b) | | | 5,970 | | | | | | (625,596 | ) |
Clean Energy Fuels Corp. | | | 38,800 | | | | | | (533,112 | ) |
ConocoPhillips | | | 11,823 | | | | | | (626,264 | ) |
Contango Oil & Gas Co. | | | 500 | | | | | | (1,950 | ) |
Delek US Holdings, Inc. | | | 4,939 | | | | | | (107,572 | ) |
Denbury, Inc. | | | 1,300 | | | | | | (62,257 | ) |
Dril-Quip, Inc. | | | 3,400 | | | | | | (112,982 | ) |
Enbridge, Inc. | | | 22 | | | | | | (801 | ) |
Equitrans Midstream Corp. | | | 33,400 | | | | | | (272,544 | ) |
Exterran Corp. | | | 100 | | | | | | (336 | ) |
Exxon Mobil Corp. | | | 64,600 | | | | | | (3,606,618 | ) |
Forum Energy Technologies, Inc. | | | 550 | | | | | | (10,197 | ) |
Frank’s International NV | | | 14,500 | | | | | | (51,475 | ) |
Geospace Technologies Corp. | | | 200 | | | | | | (1,824 | ) |
Hess Corp. | | | 900 | | | | | | (63,684 | ) |
Independence Contract Drilling, Inc. | | | 200 | | | | | | (660 | ) |
ION Geophysical Corp. | | | 100 | | | | | | (214 | ) |
KLX Energy Services Holdings, Inc. | | | 1,400 | | | | | | (22,442 | ) |
Liberty Oilfield Services, Inc., Class A | | | 5,800 | | | | | | (65,482 | ) |
National Energy Services Reunited Corp. | | | 500 | | | | | | (6,185 | ) |
New Fortress Energy LLC | | | 2,300 | | | | | | (105,593 | ) |
Par Pacific Holdings, Inc. | | | 2,300 | | | | | | (32,476 | ) |
Phillips 66 | | | 4,300 | | | | | | (350,622 | ) |
ProPetro Holding Corp. | | | 100 | | | | | | (1,066 | ) |
SilverBow Resources, Inc. | | | 200 | | | | | | (1,556 | ) |
Smart Sand, Inc. | | | 4,300 | | | | | | (10,879 | ) |
Solaris Oilfield Infrastructure, Inc., Class A | | | 2,200 | | | | | | (26,994 | ) |
Southwestern Energy Co. | | | 36,212 | | | | | | (168,386 | ) |
Superior Drilling Products, Inc. | | | 200 | | | | | | (177 | ) |
Talos Energy, Inc. | | | 2,400 | | | | | | (28,896 | ) |
Tellurian, Inc. | | | 12,000 | | | | | | (28,080 | ) |
Tidewater, Inc. | | | 800 | | | | | | (10,024 | ) |
Torchlight Energy Resources, Inc. | | | 26,300 | | | | | | (48,129 | ) |
Valero Energy Corp. | | | 1,100 | | | | | | (78,760 | ) |
Vertex Energy, Inc. | | | 700 | | | | | | (987 | ) |
World Fuel Services Corp. | | | 6,300 | | | | | | (221,760 | ) |
| | | | | | | | | | |
| | | | | | | | | (7,559,093 | ) |
| | | | | | | | | | |
Pharmaceuticals — (0.0)% | | | | | | | | | | |
Flex Pharma, Inc. | | | 1,000 | | | | | | 0 | |
| | | | | | | | | | |
See Notes to Consolidated Financial Statements.
125
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | |
Security Description | | Shares | | | | | Value | |
Real Estate — (0.3)% | | | | | | | | | | |
Alexandria Real Estate Equities, Inc. | | | 1,000 | | | | | $ | (164,300 | ) |
Alset EHome International, Inc. | | | 1,300 | | | | | | (15,041 | ) |
American Campus Communities, Inc. | | | 8,300 | | | | | | (358,311 | ) |
Americold Realty Trust | | | 18,400 | | | | | | (707,848 | ) |
Apartment Income REIT Corp. | | | 100 | | | | | | (4,276 | ) |
Apple Hospitality REIT, Inc. | | | 7,900 | | | | | | (115,103 | ) |
Ashford Hospitality Trust, Inc. | | | 8,700 | | | | | | (25,665 | ) |
Boston Properties, Inc. | | | 600 | | | | | | (60,756 | ) |
Brixmor Property Group, Inc. | | | 4,500 | | | | | | (91,035 | ) |
BRT Apartments Corp. | | | 500 | | | | | | (8,420 | ) |
CBRE Group, Inc., Class A | | | 3,200 | | | | | | (253,152 | ) |
Chatham Lodging Trust | | | 3,200 | | | | | | (42,112 | ) |
Clipper Realty, Inc. | | | 300 | | | | | | (2,376 | ) |
Cousins Properties, Inc. | | | 15,298 | | | | | | (540,784 | ) |
Crown Castle International Corp. | | | 1,400 | | | | | | (240,982 | ) |
DiamondRock Hospitality Co. | | | 33,100 | | | | | | (340,930 | ) |
Digital Realty Trust, Inc. | | | 10,100 | | | | | | (1,422,484 | ) |
Douglas Emmett, Inc. | | | 600 | | | | | | (18,840 | ) |
Empire State Realty Trust, Inc., Class A | | | 2,100 | | | | | | (23,373 | ) |
Equity Commonwealth | | | 10,100 | | | | | | (280,780 | ) |
Equity Residential | | | 3,100 | | | | | | (222,053 | ) |
Essential Properties Realty Trust, Inc. | | | 4,900 | | | | | | (111,867 | ) |
Farmland Partners, Inc. | | | 800 | | | | | | (8,968 | ) |
Fathom Holdings, Inc. | | | 400 | | | | | | (14,652 | ) |
Federal Realty Investment Trust | | | 800 | | | | | | (81,160 | ) |
Five Point Holdings LLC, Class A | | | 1,100 | | | | | | (8,316 | ) |
Healthcare Realty Trust, Inc. | | | 900 | | | | | | (27,288 | ) |
Hersha Hospitality Trust | | | 900 | | | | | | (9,495 | ) |
Highwoods Properties, Inc. | | | 1,100 | | | | | | (47,234 | ) |
Host Hotels & Resorts, Inc. | | | 64,800 | | | | | | (1,091,880 | ) |
Iron Mountain, Inc. | | | 20,900 | | | | | | (773,509 | ) |
JBG SMITH Properties | | | 2,400 | | | | | | (76,296 | ) |
Jones Lang LaSalle, Inc. | | | 1,200 | | | | | | (214,848 | ) |
Kite Realty Group Trust | | | 7,700 | | | | | | (148,533 | ) |
Life Storage, Inc. | | | 2,400 | | | | | | (206,280 | ) |
Mack-Cali Realty Corp. | | | 8,600 | | | | | | (133,128 | ) |
NETSTREIT Corp. | | | 1,400 | | | | | | (25,886 | ) |
New Senior Investment Group, Inc. | | | 1,501 | | | | | | (9,351 | ) |
NexPoint Residential Trust, Inc. | | | 1,300 | | | | | | (59,917 | ) |
Office Properties Income Trust | | | 3,773 | | | | | | (103,833 | ) |
Pebblebrook Hotel Trust | | | 20,000 | | | | | | (485,800 | ) |
Physicians Realty Trust | | | 1,300 | | | | | | (22,971 | ) |
Piedmont Office Realty Trust, Inc., Class A | | | 3,200 | | | | | | (55,584 | ) |
PotlatchDeltic Corp. | | | 4,721 | | | | | | (249,836 | ) |
Rayonier, Inc. | | | 3,300 | | | | | | (106,425 | ) |
See Notes to Consolidated Financial Statements.
126
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | |
Security Description | | Shares | | | | | Value | |
Regency Centers Corp. | | | 3,300 | | | | | $ | (187,143 | ) |
Retail Properties of America, Inc. | | | 100 | | | | | | (1,048 | ) |
RLJ Lodging Trust | | | 7,800 | | | | | | (120,744 | ) |
Seritage Growth Properties | | | 1,200 | | | | | | (22,020 | ) |
Sunstone Hotel Investors, Inc. | | | 5,300 | | | | | | (66,038 | ) |
Urban Edge Properties | | | 1,700 | | | | | | (28,084 | ) |
Ventas, Inc. | | | 5,700 | | | | | | (304,038 | ) |
Vornado Realty Trust | | | 22,600 | | | | | | (1,025,814 | ) |
Washington Real Estate Investment Trust | | | 5,900 | | | | | | (130,390 | ) |
Weingarten Realty Investors | | | 4,900 | | | | | | (131,859 | ) |
Welltower, Inc. | | | 27,500 | | | | | | (1,969,825 | ) |
Weyerhaeuser Co. | | | 600 | | | | | | (21,360 | ) |
Whitestone REIT | | | 200 | | | | | | (1,940 | ) |
Xenia Hotels & Resorts, Inc. | | | 4,800 | | | | | | (93,600 | ) |
| | | | | | | | | | |
| | | | | | | | | (13,115,581 | ) |
| | | | | | | | | | |
Renewable Energy — (0.0)% | | | | | | | | | | |
Alto Ingredients, Inc. | | | 6,900 | | | | | | (37,467 | ) |
Array Technologies, Inc. | | | 14,300 | | | | | | (426,426 | ) |
Ballard Power Systems, Inc. | | | 26,800 | | | | | | (652,312 | ) |
Beam Global | | | 700 | | | | | | (30,352 | ) |
Broadwind, Inc. | | | 1,500 | | | | | | (9,900 | ) |
Canadian Solar, Inc. | | | 2,000 | | | | | | (99,260 | ) |
Cleanspark, Inc. | | | 2,600 | | | | | | (61,932 | ) |
EnerSys | | | 300 | | | | | | (27,240 | ) |
Enphase Energy, Inc. | | | 1,300 | | | | | | (210,808 | ) |
First Solar, Inc. | | | 800 | | | | | | (69,840 | ) |
Flux Power Holdings, Inc. | | | 3,300 | | | | | | (42,735 | ) |
FuelCell Energy, Inc. | | | 129 | | | | | | (1,859 | ) |
FutureFuel Corp. | | | 1,200 | | | | | | (17,436 | ) |
Gevo, Inc. | | | 2,600 | | | | | | (25,506 | ) |
Maxeon Solar Technologies Ltd. | | | 200 | | | | | | (6,312 | ) |
Renewable Energy Group, Inc. | | | 9,400 | | | | | | (620,776 | ) |
| | | | | | | | | | |
| | | | | | | | | (2,340,161 | ) |
| | | | | | | | | | |
Retail & Wholesale—Staples — (0.1)% | | | | |
Albertsons Cos., Inc., Class A | | | 700 | | | | | | (13,349 | ) |
Archer-Daniels-Midland Co. | | | 3,600 | | | | | | (205,200 | ) |
Big Lots, Inc. | | | 4,300 | | | | | | (293,690 | ) |
Dollar General Corp. | | | 800 | | | | | | (162,096 | ) |
Dollar Tree, Inc. | | | 2,900 | | | | | | (331,934 | ) |
HF Foods Group, Inc. | | | 1,900 | | | | | | (13,718 | ) |
Kroger Co. (The) | | | 39,800 | | | | | | (1,432,402 | ) |
Laird Superfood, Inc. | | | 300 | | | | | | (11,241 | ) |
Natural Grocers by Vitamin Cottage, Inc. | | | 400 | | | | | | (7,020 | ) |
PriceSmart, Inc. | | | 1,300 | | | | | | (125,775 | ) |
Rite Aid Corp. | | | 888 | | | | | | (18,169 | ) |
See Notes to Consolidated Financial Statements.
127
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | |
Security Description | | Shares | | | | | Value | |
United Natural Foods, Inc. | | | 600 | | | | | $ | (19,764 | ) |
Walmart, Inc. (b) | | | 8,780 | | | | | | (1,192,587 | ) |
| | | | | | | | | | |
| | | | | | | | | (3,826,945 | ) |
| | | | | | | | | | |
Retail—Consumer Staples — (0.0)% | | | | |
BJ’s Wholesale Club Holdings, Inc. | | | 300 | | | | | | (13,458 | ) |
Costco Wholesale Corp. | | | 1,200 | | | | | | (422,976 | ) |
Five Below, Inc. | | | 1,602 | | | | | | (305,646 | ) |
Sprouts Farmers Market, Inc. | | | 3,600 | | | | | | (95,832 | ) |
| | | | | | | | | | |
| | | | | | | | | (837,912 | ) |
| | | | | | | | | | |
Retail—Discretionary — (0.3)% | | | | |
Academy Sports & Outdoors, Inc. | | | 2,800 | | | | | | (75,572 | ) |
ADDvantage Technologies Group, Inc. | | | 800 | | | | | | (2,080 | ) |
Advance Auto Parts, Inc. | | | 2,300 | | | | | | (422,027 | ) |
Asbury Automotive Group, Inc. | | | 100 | | | | | | (19,650 | ) |
Aspen Aerogels, Inc. | | | 300 | | | | | | (6,102 | ) |
Big 5 Sporting Goods Corp. | | | 6,017 | | | | | | (94,467 | ) |
Buckle, Inc. | | | 1,100 | | | | | | (43,208 | ) |
Builders FirstSource, Inc. | | | 3,300 | | | | | | (153,021 | ) |
Burlington Stores, Inc. | | | 3,900 | | | | | | (1,165,320 | ) |
CarMax, Inc. | | | 200 | | | | | | (26,532 | ) |
CarParts.com, Inc. | | | 14,900 | | | | | | (212,772 | ) |
Carvana Co. | | | 14,600 | | | | | | (3,831,040 | ) |
Cato Corp., Class A | | | 1,800 | | | | | | (21,600 | ) |
Chico’s FAS, Inc. | | | 4,400 | | | | | | (14,564 | ) |
Copart, Inc. | | | 13,700 | | | | | | (1,487,957 | ) |
Driven Brands Holdings, Inc. | | | 100 | | | | | | (2,542 | ) |
Express, Inc. | | | 6,500 | | | | | | (26,130 | ) |
Freshpet, Inc. | | | 900 | | | | | | (142,929 | ) |
Genesco, Inc. | | | 100 | | | | | | (4,750 | ) |
GrowGeneration Corp. | | | 3,000 | | | | | | (149,070 | ) |
La-Z-Boy, Inc. | | | 500 | | | | | | (21,240 | ) |
Leslie’s, Inc. | | | 1,400 | | | | | | (34,286 | ) |
Lithia Motors, Inc., Class A | | | 2,500 | | | | | | (975,225 | ) |
LKQ Corp. | | | 7,100 | | | | | | (300,543 | ) |
Lululemon Athletica, Inc. | | | 13,200 | | | | | | (4,048,572 | ) |
MarineMax, Inc. | | | 1,500 | | | | | | (74,040 | ) |
Monro, Inc. | | | 3,200 | | | | | | (210,560 | ) |
Net Element, Inc. | | | 1,500 | | | | | | (16,380 | ) |
NovaBay Pharmaceuticals, Inc. | | | 12,300 | | | | | | (11,193 | ) |
ODP Corp. (The) | | | 2,800 | | | | | | (121,212 | ) |
Overstock.com, Inc. | | | 11,500 | | | | | | (761,990 | ) |
Petco Health & Wellness Co., Inc. | | | 100 | | | | | | (2,216 | ) |
PetIQ, Inc. | | | 1,200 | | | | | | (42,312 | ) |
Sally Beauty Holdings, Inc. | | | 1,200 | | | | | | (24,156 | ) |
See Notes to Consolidated Financial Statements.
128
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | |
Security Description | | Shares | | | | | Value | |
Vroom, Inc. | | | 24,800 | | | | | $ | (966,952 | ) |
Vuzix Corp. | | | 300 | | | | | | (7,632 | ) |
| | | | | | | | | | |
| | | | | | | | | (15,519,842 | ) |
| | | | | | | | | | |
Semiconductors — (0.2)% | | | | | | | | | | |
Marvell Technology Group Ltd. | | | 124,070 | | | | | | (6,076,949 | ) |
MKS Instruments, Inc. | | | 800 | | | | | | (148,336 | ) |
NVIDIA Corp. | | | 4,200 | | | | | | (2,242,506 | ) |
| | | | | | | | | | |
| | | | | | | | | (8,467,791 | ) |
| | | | | | | | | | |
Software — (0.1)% | | | | | | | | | | |
ANSYS, Inc. | | | 600 | | | | | | (203,736 | ) |
Appian Corp. | | | 4,900 | | | | | | (651,455 | ) |
BlackBerry Ltd. | | | 37,500 | | | | | | (316,125 | ) |
Cloudflare, Inc., Class A | | | 16,200 | | | | | | (1,138,212 | ) |
Coupa Software, Inc. | | | 10,400 | | | | | | (2,646,592 | ) |
MTBC, Inc. | | | 600 | | | | | | (4,986 | ) |
Nuance Communications, Inc. | | | 7,100 | | | | | | (309,844 | ) |
Ping Identity Holding Corp. | | | 1,600 | | | | | | (35,088 | ) |
salesforce.com, Inc. | | | 504 | | | | | | (106,782 | ) |
Smartsheet, Inc., Class A | | | 7,400 | | | | | | (473,008 | ) |
Twilio, Inc., Class A | | | 39 | | | | | | (13,290 | ) |
VirnetX Holding Corp. | | | 8,900 | | | | | | (49,573 | ) |
Workday, Inc., Class A | | | 300 | | | | | | (74,529 | ) |
Yext, Inc. | | | 200 | | | | | | (2,896 | ) |
| | | | | | | | | | |
| | | | | | | | | (6,026,116 | ) |
| | | | | | | | | | |
Software & Technology Services — (0.4)% | | | | | | | | | | |
Affirm Holdings, Inc. | | | 1,300 | | | | | | (91,936 | ) |
Akerna Corp. | | | 6,600 | | | | | | (32,604 | ) |
Asana, Inc., Class A | | | 300 | | | | | | (8,574 | ) |
Bentley Systems, Inc., Class B | | | 1,400 | | | | | | (65,702 | ) |
BM Technologies, Inc. | | | 384 | | | | | | (4,474 | ) |
Boxlight Corp., Class A | | | 15,400 | | | | | | (38,962 | ) |
BSQUARE Corp. | | | 1,200 | | | | | | (4,104 | ) |
C3.ai, Inc., Class A | | | 400 | | | | | | (26,364 | ) |
CDK Global, Inc. | | | 1,900 | | | | | | (102,714 | ) |
CDW Corp. | | | 200 | | | | | | (33,150 | ) |
Cloudera, Inc. | | | 1,400 | | | | | | (17,038 | ) |
Computer Programs & Systems, Inc. | | | 300 | | | | | | (9,180 | ) |
Datto Holding Corp. | | | 3,564 | | | | | | (81,651 | ) |
Duck Creek Technologies, Inc. | | | 1,000 | | | | | | (45,140 | ) |
Dun & Bradstreet Holdings, Inc. | | | 2,500 | | | | | | (59,525 | ) |
Fair Isaac Corp. | | | 300 | | | | | | (145,815 | ) |
Fiserv, Inc. | | | 14,300 | | | | | | (1,702,272 | ) |
Genius Brands International, Inc. | | | 92,400 | | | | | | (179,256 | ) |
See Notes to Consolidated Financial Statements.
129
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | |
Security Description | | Shares | | | | | Value | |
Ideanomics, Inc. | | | 115,100 | | | | | $ | (336,092 | ) |
Inovalon Holdings, Inc., Class A | | | 100 | | | | | | (2,878 | ) |
Intrusion, Inc. | | | 500 | | | | | | (11,685 | ) |
Jamf Holding Corp. | | | 600 | | | | | | (21,192 | ) |
John Wiley & Sons, Inc., Class A | | | 1,100 | | | | | | (59,620 | ) |
Kubient, Inc. | | | 900 | | | | | | (6,570 | ) |
Leidos Holdings, Inc. | | | 4,400 | | | | | | (423,632 | ) |
Lightspeed POS, Inc. | | | 2,500 | | | | | | (157,025 | ) |
McAfee Corp., Class A | | | 1,400 | | | | | | (31,836 | ) |
MSCI, Inc. | | | 200 | | | | | | (83,856 | ) |
NantHealth, Inc. | | | 7,400 | | | | | | (23,754 | ) |
nCino, Inc. | | | 1,600 | | | | | | (106,752 | ) |
NortonLifeLock, Inc. | | | 4,600 | | | | | | (97,796 | ) |
Outset Medical, Inc. | | | 200 | | | | | | (10,878 | ) |
Palantir Technologies, Inc., Class A | | | 157,100 | | | | | | (3,658,859 | ) |
Pluralsight, Inc., Class A | | | 2,400 | | | | | | (53,616 | ) |
Rackspace Technology, Inc. | | | 2,300 | | | | | | (54,694 | ) |
RealNetworks, Inc. | | | 800 | | | | | | (3,400 | ) |
Riot Blockchain, Inc. | | | 20,900 | | | | | | (1,113,343 | ) |
Root, Inc., Class A | | | 6,800 | | | | | | (86,564 | ) |
Seachange International, Inc. | | | 14,900 | | | | | | (23,095 | ) |
Shift4 Payments, Inc., Class A | | | 500 | | | | | | (41,005 | ) |
ShiftPixy, Inc. | | | 1,000 | | | | | | (2,300 | ) |
Shopify, Inc., Class A | | | 1,200 | | | | | | (1,327,800 | ) |
SilverSun Technologies, Inc. | | | 1,500 | | | | | | (11,460 | ) |
Snowflake, Inc., Class A | | | 23,900 | | | | | | (5,479,792 | ) |
SolarWinds Corp. | | | 2,200 | | | | | | (38,368 | ) |
Sphere 3D Corp. | | | 2,400 | | | | | | (6,264 | ) |
Sumo Logic, Inc. | | | 4,900 | | | | | | (92,414 | ) |
Tabula Rasa HealthCare, Inc. | | | 5,300 | | | | | | (244,065 | ) |
Unity Software, Inc. | | | 14,500 | | | | | | (1,454,495 | ) |
Verb Technology Co., Inc. | | | 2,000 | | | | | | (2,800 | ) |
VerifyMe, Inc. | | | 100 | | | | | | (412 | ) |
Vislink Technologies, Inc. | | | 10,666 | | | | | | (31,251 | ) |
| | | | | | | | | | |
| | | | | | | | | (17,748,024 | ) |
| | | | | | | | | | |
Specialty Finance — (0.1)% | | | | | | | | | | |
Fidelity National Information Services, Inc. | | | 800 | | | | | | (112,488 | ) |
Global Payments, Inc. | | | 18,200 | | | | | | (3,668,756 | ) |
MoneyGram International, Inc. | | | 300 | | | | | | (1,971 | ) |
Santander Consumer USA Holdings, Inc. | | | 2,500 | | | | | | (67,650 | ) |
| | | | | | | | | | |
| | | | | | | | | (3,850,865 | ) |
| | | | | | | | | | |
Tech Hardware & Semiconductors — (0.1)% | | | | | | | | | | |
3D Systems Corp. | | | 900 | | | | | | (24,696 | ) |
ADTRAN, Inc. | | | 1,100 | | | | | | (18,348 | ) |
See Notes to Consolidated Financial Statements.
130
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | |
Security Description | | Shares | | | | | Value | |
Apple, Inc. (b) | | | 8,580 | | | | | $ | (1,048,047 | ) |
Applied Materials, Inc. | | | 100 | | | | | | (13,360 | ) |
Applied UV, Inc. | | | 100 | | | | | | (999 | ) |
Arista Networks, Inc. | | | 500 | | | | | | (150,945 | ) |
Arrow Electronics, Inc. | | | 400 | | | | | | (44,328 | ) |
Atomera, Inc. | | | 5,300 | | | | | | (129,850 | ) |
Bio-key International, Inc. | | | 2,399 | | | | | | (8,373 | ) |
Broadcom, Inc. | | | 200 | | | | | | (92,732 | ) |
Ciena Corp. | | | 3,300 | | | | | | (180,576 | ) |
ComSovereign Holding Corp. | | | 1,900 | | | | | | (5,073 | ) |
Corsair Gaming, Inc. | | | 600 | | | | | | (19,974 | ) |
Cubic Corp. | | | 400 | | | | | | (29,828 | ) |
Digital Ally, Inc. | | | 12,500 | | | | | | (20,375 | ) |
ExOne Co. | | | 2,100 | | | | | | (65,856 | ) |
F5 Networks, Inc. | | | 2,600 | | | | | | (542,412 | ) |
Garmin Ltd. | | | 3,900 | | | | | | (514,215 | ) |
II-VI, Inc. | | | 4,400 | | | | | | (300,828 | ) |
Insignia Systems, Inc. | | | 505 | | | | | | (2,873 | ) |
KLA Corp. | | | 200 | | | | | | (66,080 | ) |
Kopin Corp. | | | 17,500 | | | | | | (183,575 | ) |
MicroVision, Inc. | | | 9,700 | | | | | | (179,935 | ) |
MICT, Inc. | | | 4,200 | | | | | | (8,694 | ) |
NetScout Systems, Inc. | | | 600 | | | | | | (16,896 | ) |
NXT-ID, Inc. | | | 800 | | | | | | (1,128 | ) |
Seagate Technology plc | | | 600 | | | | | | (46,050 | ) |
| | | | | | | | | | |
| | | | | | | | | (3,716,046 | ) |
| | | | | | | | | | |
Technology Services — (0.0)% | | | | | | | | | | |
Insight Enterprises, Inc. | | | 2,300 | | | | | | (219,466 | ) |
Nielsen Holdings plc | | | 7,500 | | | | | | (188,625 | ) |
| | | | | | | | | | |
| | | | | | | | | (408,091 | ) |
| | | | | | | | | | |
Telecommunications — (0.1)% | | | | |
BCE, Inc. | | | 200 | | | | | | (9,028 | ) |
Cincinnati Bell, Inc. | | | 7,749 | | | | | | (118,947 | ) |
Consolidated Communications Holdings, Inc. | | | 6,876 | | | | | | (49,507 | ) |
Globalstar, Inc. | | | 26,300 | | | | | | (35,505 | ) |
GTT Communications, Inc. | | | 18,200 | | | | | | (33,306 | ) |
Lumen Technologies, Inc. | | | 44,100 | | | | | | (588,735 | ) |
Shenandoah Telecommunications Co. | | | 1,900 | | | | | | (92,739 | ) |
T-Mobile US, Inc. | | | 17,132 | | | | | | (2,146,469 | ) |
United States Cellular Corp. | | | 300 | | | | | | (10,944 | ) |
| | | | | | | | | | |
| | | | | | | | | (3,085,180 | ) |
| | | | | | | | | | |
Transportation & Logistics — (0.0)% | | | | |
Golar LNG Ltd. | | | 24,900 | | | | | | (254,727 | ) |
See Notes to Consolidated Financial Statements.
131
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | | | |
Security Description | | Shares | | | | | | Value | |
Matson, Inc. | | | 1,800 | | | | | | | $ | (120,060 | ) |
Saia, Inc. | | | 600 | | | | | | | | (138,348 | ) |
Seanergy Maritime Holdings Corp. | | | 35,943 | | | | | | | | (38,100 | ) |
Teekay Corp. | | | 3,000 | | | | | | | | (9,600 | ) |
Teekay Tankers Ltd., Class A | | | 8,737 | | | | | | | | (121,444 | ) |
| | | | | | | | | | | | |
| | | | | | | | | | | (682,279 | ) |
| | | | | | | | | | | | |
Transportation Equipment — (0.0)% | | | | | | | | | | | | |
Meritor, Inc. | | | 7,800 | | | | | | | | (229,476 | ) |
Workhorse Group, Inc. | | | 23,600 | | | | | | | | (324,972 | ) |
| | | | | | | | | | | | |
| | | | | | | | | | | (554,448 | ) |
| | | | | | | | | | | | |
Utilities — (0.1)% | | | | | | | | | | | | |
Algonquin Power & Utilities Corp. | | | 600 | | | | | | | | (9,504 | ) |
Alliant Energy Corp. | | | 300 | | | | | | | | (16,248 | ) |
Avangrid, Inc. | | | 5,000 | | | | | | | | (249,050 | ) |
Avista Corp. | | | 400 | | | | | | | | (19,100 | ) |
Brookfield Infrastructure Corp., Class A | | | 700 | | | | | | | | (53,459 | ) |
Brookfield Renewable Corp., Class A | | | 3,750 | | | | | | | | (175,500 | ) |
California Water Service Group | | | 1,400 | | | | | | | | (78,876 | ) |
Clearway Energy, Inc., Class C | | | 1,700 | | | | | | | | (47,838 | ) |
Edison International | | | 300 | | | | | | | | (17,580 | ) |
Essential Utilities, Inc. | | | 1,600 | | | | | | | | (71,600 | ) |
Fortis, Inc. | | | 200 | | | | | | | | (8,674 | ) |
Genie Energy Ltd., Class B | | | 1,100 | | | | | | | | (6,974 | ) |
NRG Energy, Inc. | | | 11,800 | | | | | | | | (445,214 | ) |
Ormat Technologies, Inc. | | | 1,500 | | | | | | | | (117,795 | ) |
PG&E Corp. | | | 111,200 | | | | | | | | (1,302,152 | ) |
SJW Group | | | 1,100 | | | | | | | | (69,289 | ) |
South Jersey Industries, Inc. | | | 4,000 | | | | | | | | (90,320 | ) |
TransAlta Corp. | | | 700 | | | | | | | | (6,622 | ) |
Vistra Energy Corp. | | | 4,300 | | | | | | | | (76,024 | ) |
| | | | | | | | | | | | |
| | | | | | | | | | | (2,861,819 | ) |
| | | | | | | | | | | | |
Waste & Environmental Services & Equipment — (0.0)% | | | | | | | | | |
Aqua Metals, Inc. | | | 8,800 | | | | | | | | (35,640 | ) |
Energy Recovery, Inc. | | | 500 | | | | | | | | (9,170 | ) |
Lightbridge Corp. | | | 1,690 | | | | | | | | (10,799 | ) |
LiqTech International, Inc. | | | 400 | | | | | | | | (3,236 | ) |
Pentair PLC | | | 200 | | | | | | | | (12,464 | ) |
| | | | | | | | | | | | |
| | | | | | | | | | | (71,309 | ) |
| | | | | | | | | | | | |
Total North America | | | | | | | | | | | (288,207,355 | ) |
| | | | | | | | | | | | |
See Notes to Consolidated Financial Statements.
132
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | | | |
Security Description | | Shares | | | | | | Value | |
Oceania — (0.0)% | | | | | | | | | | | | |
Apparel & Textile Products — (0.0)% | | | | | | | | | | | | |
Naked Brand Group Ltd. | | | 57,100 | | | | | | | $ | (40,827 | ) |
| | | | | | | | | | | | |
Banking — (0.0)% | | | | | | | | | | | | |
Westpac Banking Corp., ADR | | | 3,000 | | | | | | | | (55,680 | ) |
| | | | | | | | | | | | |
Health Care — (0.0)% | | | | | | | | | | | | |
Benitec Biopharma, Inc. | | | 100 | | | | | | | | (517 | ) |
| | | | | | | | | | | | |
Materials — (0.0)% | | | | | | | | | | | | |
Piedmont Lithium Ltd., ADR | | | 4,800 | | | | | | | | (333,552 | ) |
| | | | | | | | | | | | |
Tech Hardware & Semiconductors — (0.0)% | | | | | | | | | | | | |
Integrated Media Technology Ltd. | | | 2,200 | | | | | | | | (12,342 | ) |
| | | | | | | | | | | | |
Total Oceania | | | | | | | | | | | (442,918 | ) |
| | | | | | | | | | | | |
South America — (0.2)% | | | | | | | | | | | | |
Aerospace & Defense — (0.0)% | | | | | | | | | | | | |
Embraer SA, ADR | | | 10,300 | | | | | | | | (103,103 | ) |
| | | | | | | | | | | | |
Asset Management — (0.0)% | | | | | | | | | | | | |
XP, Inc., Class A | | | 6,200 | | | | | | | | (233,554 | ) |
| | | | | | | | | | | | |
Banking — (0.0)% | | | | | | | | | | | | |
Banco BBVA Argentina SA, ADR | | | 8,400 | | | | | | | | (22,932 | ) |
Banco de Chile, ADR | | | 2,200 | | | | | | | | (51,964 | ) |
Banco Santander Brasil SA, ADR | | | 21,500 | | | | | | | | (151,575 | ) |
Banco Santander Chile, ADR | | | 7,500 | | | | | | | | (186,225 | ) |
Bancolombia SA, ADR | | | 300 | | | | | | | | (9,597 | ) |
| | | | | | | | | | | | |
| | | | | | | | | | | (422,293 | ) |
| | | | | | | | | | | | |
Consumer Products — (0.0)% | | | | | | | | | | | | |
AMBEV SA, ADR | | | 2,200 | | | | | | | | (6,028 | ) |
| | | | | | | | | | | | |
Consumer Services — (0.0)% | | | | | | | | | | | | |
Afya Ltd., Class A | | | 1,800 | | | | | | | | (33,462 | ) |
| | | | | | | | | | | | |
Consumer Staple Products — (0.0)% | | | | | | | | | | | | |
Adecoagro SA | | | 7,300 | | | | | | | | (57,378 | ) |
Natura & Co. Holding SA, ADR | | | 3,000 | | | | | | | | (50,970 | ) |
| | | | | | | | | | | | |
| | | | | | | | | | | (108,348 | ) |
| | | | | | | | | | | | |
Engineering & Construction Services — (0.0)% | | | | | | | | | | | | |
Corporacion America Airports SA | | | 5,800 | | | | | | | | (28,478 | ) |
| | | | | | | | | | | | |
Gaming, Lodging & Restaurants — (0.0)% | | | | | | | | | | | | |
Arcos Dorados Holdings, Inc., A Shares | | | 6,500 | | | | | | | | (33,085 | ) |
| | | | | | | | | | | | |
See Notes to Consolidated Financial Statements.
133
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | |
Security Description | | Shares | | | | | Value | |
Industrial Services — (0.0)% | | | | | | | | | | |
Azul SA, ADR | | | 1,300 | | | | | $ | (26,247 | ) |
| | | | | | | | | | |
Materials — (0.0)% | | | | | | | | | | |
Braskem SA, ADR | | | 100 | | | | | | (1,422 | ) |
Sociedad Quimica y Minera de Chile SA, ADR | | | 4,300 | | | | | | (228,201 | ) |
| | | | | | | | | | |
| | | | | | | | | (229,623 | ) |
| | | | | | | | | | |
Media — (0.0)% | | | | | | | | | | |
Despegar.com Corp. | | | 4,100 | | | | | | (55,883 | ) |
Liberty Latin America Ltd., Class C | | | 16,000 | | | | | | (207,680 | ) |
| | | | | | | | | | |
| | | | | | | | | (263,563 | ) |
| | | | | | | | | | |
Metals & Mining — (0.0)% | | | | | | | | | | |
Nexa Resources SA | | | 500 | | | | | | (5,125 | ) |
Southern Copper Corp. | | | 2,900 | | | | | | (196,823 | ) |
| | | | | | | | | | |
| | | | | | | | | (201,948 | ) |
| | | | | | | | | | |
Oil, Gas & Coal — (0.0)% | | | | | | | | | | |
Ecopetrol SA, ADR | | | 800 | | | | | | (10,256 | ) |
Petroleo Brasileiro SA, ADR | | | 79,900 | | | | | | (677,552 | ) |
Transportadora de Gas del Sur SA, ADR | | | 2,900 | | | | | | (14,007 | ) |
Ultrapar Participacoes SA, ADR | | | 1,200 | | | | | | (4,584 | ) |
| | | | | | | | | | |
| | | | | | | | | (706,399 | ) |
| | | | | | | | | | |
Passenger Transportation — (0.0)% | | | | | | | | | | |
Gol Linhas Aereas Inteligentes SA, ADR | | | 28,500 | | | | | | (218,025 | ) |
| | | | | | | | | | |
Retail & Wholesale—Staples — (0.0)% | | | | | | | | | | |
IRSA Inversiones y Representaciones SA, ADR | | | 100 | | | | | | (389 | ) |
| | | | | | | | | | |
Retail—Discretionary — (0.1)% | | | | | | | | | | |
MercadoLibre, Inc. | | | 2,000 | | | | | | (2,944,280 | ) |
| | | | | | | | | | |
Software & Technology Services — (0.0)% | | | | | | | | | | |
Vasta Platform Ltd. | | | 800 | | | | | | (7,880 | ) |
| | | | | | | | | | |
Specialty Finance — (0.1)% | | | | | | | | | | |
Pagseguro Digital Ltd., Class A | | | 12,900 | | | | | | (597,270 | ) |
StoneCo Ltd., Class A | | | 5,200 | | | | | | (318,344 | ) |
| | | | | | | | | | |
| | | | | | | | | (915,614 | ) |
| | | | | | | | | | |
Technology Services — (0.0)% | | | | | | | | | | |
Globant SA | | | 2,600 | | | | | | (539,786 | ) |
| | | | | | | | | | |
Telecommunications — (0.0)% | | | | | | | | | | |
Millicom International Cellular SA | | | 300 | | | | | | (11,463 | ) |
See Notes to Consolidated Financial Statements.
134
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | | | |
Security Description | | Shares | | | | | | Value | |
Telefonica Brasil SA, ADR | | | 3,400 | | | | | | | $ | (26,758 | ) |
TIM SA, ADR | | | 2,100 | | | | | | | | (23,835 | ) |
| | | | | | | | | | | | |
| | | | | | | | | | | (62,056 | ) |
| | | | | | | | | | | | |
Utilities — (0.0)% | | | | | | | | | | | | |
Central Puerto SA, ADR | | | 2,600 | | | | | | | | (5,876 | ) |
Cia de Saneamento Basico do Estado de Sao Paulo, ADR | | | 7,100 | | | | | | | | (52,043 | ) |
Cia Energetica de Minas Gerais, ADR | | | 800 | | | | | | | | (1,816 | ) |
Cia Paranaense de Energia, ADR | | | 31,300 | | | | | | | | (39,438 | ) |
Enel Americas SA, ADR | | | 24,100 | | | | | | | | (204,368 | ) |
Pampa Energia SA, ADR | | | 3,400 | | | | | | | | (50,456 | ) |
| | | | | | | | | | | | |
| | | | | | | | | | | (353,997 | ) |
| | | | | | | | | | | | |
Total South America | | | | | | | | | | | (7,438,158 | ) |
| | | | | | | | | | | | |
TOTAL COMMON STOCK
(PROCEEDS $298,804,523) | | | | | | | | | | | (333,617,619 | ) |
| | | | | | | | | | | | |
| | | |
EXCHANGE-TRADED FUNDS — (0.1)% | | | | | | | | | | | | |
Energy Select Sector SPDR Fund (b) | | | 35,710 | | | | | | | | (1,751,933 | ) |
iShares iBoxx $ Investment Grade Corporate Bond ETF (b) | | | 15,325 | | | | | | | | (1,993,016 | ) |
| | | | | | | | | | | | |
TOTAL EXCHANGE-TRADED FUNDS
(PROCEEDS $3,860,070) | | | | | | | | | | | (3,744,949 | ) |
| | | | | | | | | | | | |
| | | |
RIGHTS — (0.0)% | | | | | | | | | | | | |
Sociedad Quimica y Minera de Chile SA | | | 802 | | | | | | | | (2,485 | ) |
| | | | | | | | | | | | |
TOTAL RIGHTS
(PROCEEDS $0) | | | | | | | | | | | (2,485 | ) |
| | | | | | | | | | | | |
| | | |
WARRANTS — (0.0)% | | | | | | | | | | | | |
FTS International, Inc. | | | 698 | | | | | | | | 0 | |
Galectin Therapeutics, Inc. | | | 1,340 | | | | | | | | 0 | |
| | | | | | | | | | | | |
TOTAL WARRANTS
(PROCEEDS $0) | | | | | | | | | | | 0 | |
| | | | | | | | | | | | |
TOTAL SECURITIES SOLD SHORT — (6.8)%
(PROCEEDS $302,664,593) | | | | | | | | | | $ | (337,365,053 | ) |
| | | | | | | | | | | | |
Footnote Legend:
| | (b) | Security is held by a consolidated wholly-owned subsidiary of Blackstone Alternative Multi-Strategy Fund. |
| | (c) | Security (or a portion thereof) has been pledged to cover collateral requirements on open derivative contracts and/or securities sold short. |
See Notes to Consolidated Financial Statements.
135
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | (d) | Security is valued using significant unobservable inputs. |
| | (e) | Security is exempt from registration pursuant to Regulation S under the Securities Act of 1933, as amended. Security may only be offered or sold outside of the United 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, 2021. |
| | (h) | All or a portion of this security is pledged as collateral in connection with reverse repurchase agreements. |
| | (i) | Security is an Interest Only (IO) bond, which represents the “interest only” portion of payments on a pool of underlying mortgages or mortgage-backed securities. IO securities are subject to prepayment risk of the pool of underlying mortgages. |
| | (j) | All or a portion of the security represents an unsettled loan commitment at March 31, 2021 where the rate will be determined at time of settlement. |
| | (k) | Security is currently in default due to bankruptcy or failure to make payment of principal or interest. |
| | (l) | Represents a step-up bond. Coupon rate increases in increments to maturity. Rate presented is as of March 31, 2021. Maturity date presented is the ultimate maturity. |
| | (m) | Non-interest bearing bond. |
| | (n) | When issued or delayed delivery security included. |
| | (o) | Security is restricted per Rule 12-12.8 of Regulation S-X. First acquisition dates of EJF Debt Opportunities Offshore Fund, Ltd., Aeolus Property Catastrophe Keystone PF Fund LP, PIMCO ILS Fund SP II, Saba Capital Carry Neutral Tail Hedge Offshore Fund Ltd., Saba Capital Carry Neutral Tail Hedge Partners, L.P., Islet Offshore Fund Ltd. And Islet Onshore Fund LP are 9/4/2018, 1/2/2019 and 12/30/2019, 10/20/2020, 10/20/2020, 02/01/2021 and 02/01/2021. |
| | (p) | Assets, other than investments in securities, less liabilities other than securities sold short. |
Options Written Contracts Outstanding at March 31, 2021
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | Strike | | Expiration
Date | | Contracts | | | Notional
Amount | | | Premium
Received | | | Market
Value | | | Unrealized
Appreciation
(Depreciation) | |
|
Exchange-Traded Call Options Written | |
CRUDE OIL FUTURE DEC22 | | 100.00 USD | | 11/16/22 | | | 12,299 | | | | (703,010,840 | ) | | $ | (4,489,105 | ) | | $ | (6,518,470 | ) | | $ | (2,029,365 | ) |
CRUDE OIL FUTURE JUN21 | | 55.00 USD | | 05/17/21 | | | 50 | | | | (3,052,084 | ) | | | (34,076 | ) | | | (310,000 | ) | | | (275,924 | ) |
NAT GAS EURO FUTURE FEB22 | | 6.00 USD | | 01/26/22 | | | 150 | | | | (4,488,000 | ) | | | (143,276 | ) | | | (121,500 | ) | | | 21,776 | |
See Notes to Consolidated Financial Statements.
136
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | Strike | | Expiration
Date | | Contracts | | | Notional
Amount | | | Premium
Received | | | Market
Value | | | Unrealized
Appreciation
(Depreciation) | |
NATURAL GAS FUTURE APR22 | | 2.50 USD | | 03/28/22 | | | 182 | | | | (4,519,060 | ) | | $ | (540,029 | ) | | $ | (496,496 | ) | | $ | 43,533 | |
NATURAL GAS FUTURE APR22 | | 3.00 USD | | 03/28/22 | | | 178 | | | | (4,419,740 | ) | | | (226,920 | ) | | | (214,312 | ) | | | 12,608 | |
NATURAL GAS FUTURE APR23 | | 3.00 USD | | 03/28/23 | | | 21 | | | | (499,380 | ) | | | (39,326 | ) | | | (25,389 | ) | | | 13,937 | |
NATURAL GAS FUTURE APR23 | | 3.50 USD | | 03/28/23 | | | 63 | | | | (1,498,140 | ) | | | (79,946 | ) | | | (35,217 | ) | | | 44,729 | |
NATURAL GAS FUTURE APR23 | | 4.00 USD | | 03/28/23 | | | 76 | | | | (1,807,280 | ) | | | (61,841 | ) | | | (20,292 | ) | | | 41,549 | |
NATURAL GAS FUTURE AUG21 | | 3.50 USD | | 07/27/21 | | | 204 | | | | (5,616,120 | ) | | | (117,845 | ) | | | (35,496 | ) | | | 82,349 | |
NATURAL GAS FUTURE AUG21 | | 3.00 USD | | 07/27/21 | | | 424 | | | | (11,672,720 | ) | | | (744,022 | ) | | | (370,152 | ) | | | 373,870 | |
NATURAL GAS FUTURE AUG21 | | 3.25 USD | | 07/27/21 | | | 500 | | | | (13,765,000 | ) | | | (741,618 | ) | | | (190,000 | ) | | | 551,618 | |
NATURAL GAS FUTURE AUG22 | | 3.00 USD | | 07/26/22 | | | 178 | | | | (4,474,920 | ) | | | (226,920 | ) | | | (194,198 | ) | | | 32,722 | |
NATURAL GAS FUTURE AUG23 | | 3.00 USD | | 07/26/23 | | | 21 | | | | (513,450 | ) | | | (39,326 | ) | | | (22,995 | ) | | | 16,331 | |
NATURAL GAS FUTURE AUG23 | | 3.50 USD | | 07/26/23 | | | 63 | | | | (1,540,350 | ) | | | (79,946 | ) | | | (28,728 | ) | | | 51,218 | |
NATURAL GAS FUTURE AUG23 | | 4.00 USD | | 07/26/23 | | | 76 | | | | (1,858,200 | ) | | | (61,840 | ) | | | (15,048 | ) | | | 46,792 | |
NATURAL GAS FUTURE DEC23 | | 3.00 USD | | 11/27/23 | | | 21 | | | | (577,290 | ) | | | (39,326 | ) | | | (59,766 | ) | | | (20,440 | ) |
NATURAL GAS FUTURE DEC23 | | 3.50 USD | | 11/27/23 | | | 63 | | | | (1,731,870 | ) | | | (79,946 | ) | | | (100,926 | ) | | | (20,980 | ) |
NATURAL GAS FUTURE DEC23 | | 4.00 USD | | 11/27/23 | | | 76 | | | | (2,089,240 | ) | | | (61,841 | ) | | | (70,908 | ) | | | (9,067 | ) |
See Notes to Consolidated Financial Statements.
137
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | Strike | | Expiration
Date | | Contracts | | | Notional
Amount | | | Premium
Received | | | Market
Value | | | Unrealized
Appreciation
(Depreciation) | |
NATURAL GAS FUTURE FEB23 | | 3.00 USD | | 01/26/23 | | | 21 | | | | (591,990 | ) | | $ | (39,326 | ) | | $ | (87,486 | ) | | $ | (48,160 | ) |
NATURAL GAS FUTURE FEB23 | | 3.50 USD | | 01/26/23 | | | 63 | | | | (1,775,970 | ) | | | (79,946 | ) | | | (195,048 | ) | | | (115,102 | ) |
NATURAL GAS FUTURE FEB23 | | 4.00 USD | | 01/26/23 | | | 76 | | | | (2,142,440 | ) | | | (61,841 | ) | | | (178,980 | ) | | | (117,139 | ) |
NATURAL GAS FUTURE JAN23 | | 3.50 USD | | 12/22/22 | | | 50 | | | | (357,875 | ) | | | — | | | | (2,762 | ) | | | (2,762 | ) |
NATURAL GAS FUTURE JAN23 | | 3.00 USD | | 12/27/22 | | | 21 | | | | (601,230 | ) | | | (39,326 | ) | | | (78,813 | ) | | | (39,487 | ) |
NATURAL GAS FUTURE JAN23 | | 3.50 USD | | 12/27/22 | | | 63 | | | | (1,803,690 | ) | | | (79,946 | ) | | | (169,218 | ) | | | (89,272 | ) |
NATURAL GAS FUTURE JAN23 | | 4.00 USD | | 12/27/22 | | | 76 | | | | (2,175,880 | ) | | | (61,841 | ) | | | (149,416 | ) | | | (87,575 | ) |
NATURAL GAS FUTURE JUL21 | | 3.50 USD | | 06/25/21 | | | 203 | | | | (5,545,960 | ) | | | (117,267 | ) | | | (17,255 | ) | | | 100,012 | |
NATURAL GAS FUTURE JUL21 | | 3.75 USD | | 06/25/21 | | | 347 | | | | (9,480,040 | ) | | | (25,217 | ) | | | (14,921 | ) | | | 10,296 | |
NATURAL GAS FUTURE JUL21 | | 3.00 USD | | 06/25/21 | | | 1,388 | | | | (37,920,160 | ) | | | (1,297,619 | ) | | | (813,368 | ) | | | 484,251 | |
NATURAL GAS FUTURE JUL21 | | 3.25 USD | | 06/25/21 | | | 500 | | | | (13,660,000 | ) | | | (741,618 | ) | | | (107,500 | ) | | | 634,118 | |
NATURAL GAS FUTURE JUL22 | | 3.00 USD | | 06/27/22 | | | 178 | | | | (4,464,240 | ) | | | (226,920 | ) | | | (186,010 | ) | | | 40,910 | |
NATURAL GAS FUTURE JUL23 | | 3.00 USD | | 06/27/23 | | | 21 | | | | (510,930 | ) | | | (39,326 | ) | | | (22,008 | ) | | | 17,318 | |
NATURAL GAS FUTURE JUL23 | | 3.50 USD | | 06/27/23 | | | 63 | | | | (1,532,790 | ) | | | (79,946 | ) | | | (27,216 | ) | | | 52,730 | |
NATURAL GAS FUTURE JUL23 | | 4.00 USD | | 06/27/23 | | | 76 | | | | (1,849,080 | ) | | | (61,840 | ) | | | (14,060 | ) | | | 47,780 | |
See Notes to Consolidated Financial Statements.
138
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | Strike | | Expiration
Date | | Contracts | | | Notional
Amount | | | Premium
Received | | | Market
Value | | | Unrealized
Appreciation
(Depreciation) | |
NATURAL GAS FUTURE JUN21 | | 2.75 USD | | 05/25/21 | | | 86 | | | | (2,293,620 | ) | | $ | (80,210 | ) | | $ | (73,874 | ) | | $ | 6,336 | |
NATURAL GAS FUTURE JUN21 | | 3.50 USD | | 05/25/21 | | | 460 | | | | (12,268,200 | ) | | | (135,943 | ) | | | (12,880 | ) | | | 123,063 | |
NATURAL GAS FUTURE JUN21 | | 4.00 USD | | 05/25/21 | | | 314 | | | | (8,374,380 | ) | | | (45,143 | ) | | | (3,454 | ) | | | 41,689 | |
NATURAL GAS FUTURE JUN21 | | 3.25 USD | | 05/25/21 | | | 899 | | | | (23,976,330 | ) | | | (1,270,456 | ) | | | (59,334 | ) | | | 1,211,122 | |
NATURAL GAS FUTURE JUN22 | | 3.00 USD | | 05/25/22 | | | 178 | | | | (4,401,940 | ) | | | (226,920 | ) | | | (161,446 | ) | | | 65,474 | |
NATURAL GAS FUTURE JUN23 | | 3.00 USD | | 05/25/23 | | | 21 | | | | (501,900 | ) | | | (39,326 | ) | | | (20,223 | ) | | | 19,103 | |
NATURAL GAS FUTURE JUN23 | | 3.50 USD | | 05/25/23 | | | 63 | | | | (1,505,700 | ) | | | (79,946 | ) | | | (25,074 | ) | | | 54,872 | |
NATURAL GAS FUTURE JUN23 | | 4.00 USD | | 05/25/23 | | | 76 | | | | (1,816,400 | ) | | | (61,841 | ) | | | (12,996 | ) | | | 48,845 | |
NATURAL GAS FUTURE MAR23 | | 3.00 USD | | 02/23/23 | | | 21 | | | | (559,440 | ) | | | (39,326 | ) | | | (79,485 | ) | | | (40,159 | ) |
NATURAL GAS FUTURE MAR23 | | 3.50 USD | | 02/23/23 | | | 63 | | | | (1,678,320 | ) | | | (79,946 | ) | | | (180,495 | ) | | | (100,549 | ) |
NATURAL GAS FUTURE MAR23 | | 4.00 USD | | 02/23/23 | | | 76 | | | | (2,024,640 | ) | | | (61,841 | ) | | | (166,668 | ) | | | (104,827 | ) |
NATURAL GAS FUTURE MAY21 | | 2.90 USD | | 04/27/21 | | | 430 | | | | (11,524,000 | ) | | | (44,148 | ) | | | (36,550 | ) | | | 7,598 | |
NATURAL GAS FUTURE MAY21 | | 3.25 USD | | 04/27/21 | | | 1,172 | | | | (31,409,600 | ) | | | (778,217 | ) | | | (14,064 | ) | | | 764,153 | |
NATURAL GAS FUTURE MAY21 | | 3.00 USD | | 04/27/21 | | | 683 | | | | (18,304,400 | ) | | | (599,591 | ) | | | (25,954 | ) | | | 573,637 | |
NATURAL GAS FUTURE MAY22 | | 3.00 USD | | 04/26/22 | | | 178 | | | | (4,346,760 | ) | | | (226,920 | ) | | | (145,248 | ) | | | 81,672 | |
See Notes to Consolidated Financial Statements.
139
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | Strike | | Expiration
Date | | Contracts | | | Notional
Amount | | | Premium
Received | | | Market
Value | | | Unrealized
Appreciation
(Depreciation) | |
NATURAL GAS FUTURE MAY23 | | 3.00 USD | | 04/25/23 | | | 21 | | | | (493,710 | ) | | $ | (39,326 | ) | | $ | (20,139 | ) | | $ | 19,187 | |
NATURAL GAS FUTURE MAY23 | | 3.50 USD | | 04/25/23 | | | 63 | | | | (1,481,130 | ) | | | (79,946 | ) | | | (25,767 | ) | | | 54,179 | |
NATURAL GAS FUTURE MAY23 | | 4.00 USD | | 04/25/23 | | | 76 | | | | (1,786,760 | ) | | | (61,840 | ) | | | (13,756 | ) | | | 48,084 | |
NATURAL GAS FUTURE NOV23 | | 3.00 USD | | 10/26/23 | | | 21 | | | | (534,240 | ) | | | (39,326 | ) | | | (36,099 | ) | | | 3,227 | |
NATURAL GAS FUTURE NOV23 | | 3.50 USD | | 10/26/23 | | | 63 | | | | (1,602,720 | ) | | | (79,946 | ) | | | (55,125 | ) | | | 24,821 | |
NATURAL GAS FUTURE NOV23 | | 4.00 USD | | 10/26/23 | | | 76 | | | | (1,933,440 | ) | | | (61,840 | ) | | | (37,088 | ) | | | 24,752 | |
NATURAL GAS FUTURE OCT21 | | 5.00 USD | | 09/27/21 | | | 1,500 | | | | (41,325,000 | ) | | | (139,005 | ) | | | (67,500 | ) | | | 71,505 | |
NATURAL GAS FUTURE OCT21 | | 4.00 USD | | 09/27/21 | | | 278 | | | | (7,658,900 | ) | | | (88,197 | ) | | | (43,090 | ) | | | 45,107 | |
NATURAL GAS FUTURE OCT21 | | 3.50 USD | | 09/27/21 | | | 453 | | | | (12,480,150 | ) | | | (581,397 | ) | | | (185,730 | ) | | | 395,667 | |
NATURAL GAS FUTURE OCT21 | | 3.25 USD | | 09/27/21 | | | 918 | | | | (25,290,900 | ) | | | (1,117,636 | ) | | | (680,238 | ) | | | 437,398 | |
NATURAL GAS FUTURE OCT22 | | 3.00 USD | | 09/27/22 | | | 178 | | | | (4,490,940 | ) | | | (226,920 | ) | | | (215,024 | ) | | | 11,896 | |
NATURAL GAS FUTURE OCT23 | | 3.00 USD | | 09/26/23 | | | 21 | | | | (516,390 | ) | | | (39,326 | ) | | | (26,166 | ) | | | 13,160 | |
NATURAL GAS FUTURE OCT23 | | 4.00 USD | | 09/26/23 | | | 76 | | | | (1,868,840 | ) | | | (61,840 | ) | | | (18,924 | ) | | | 42,916 | |
NATURAL GAS FUTURE OCT23 | | 3.50 USD | | 09/26/23 | | | 63 | | | | (1,549,170 | ) | | | (79,946 | ) | | | (34,398 | ) | | | 45,548 | |
NATURAL GAS FUTURE SEP21 | | 3.50 USD | | 08/26/21 | | | 203 | | | | (5,562,200 | ) | | | (117,267 | ) | | | (52,171 | ) | | | 65,096 | |
See Notes to Consolidated Financial Statements.
140
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | Strike | | Expiration
Date | | Contracts | | | Notional
Amount | | | Premium
Received | | | Market
Value | | | Unrealized
Appreciation
(Depreciation) | |
NATURAL GAS FUTURE SEP21 | | 3.25 USD | | 08/26/21 | | | 500 | | | | (13,700,000 | ) | | $ | (741,618 | ) | | $ | (255,000 | ) | | $ | 486,618 | |
NATURAL GAS FUTURE SEP22 | | 3.00 USD | | 08/26/22 | | | 178 | | | | (4,446,440 | ) | | | (226,920 | ) | | | (190,460 | ) | | | 36,460 | |
NATURAL GAS FUTURE SEP23 | | 3.00 USD | | 08/28/23 | | | 21 | | | | (509,670 | ) | | | (39,326 | ) | | | (22,785 | ) | | | 16,541 | |
NATURAL GAS FUTURE SEP23 | | 3.50 USD | | 08/28/23 | | | 63 | | | | (1,529,010 | ) | | | (79,946 | ) | | | (28,854 | ) | | | 51,092 | |
NATURAL GAS FUTURE SEP23 | | 4.00 USD | | 08/28/23 | | | 76 | | | | (1,844,520 | ) | | | (61,840 | ) | | | (15,352 | ) | | | 46,488 | |
NYME Natural Gas CAL 3M Spread OCT21 | | (0.20) USD | | 09/27/21 | | | 668 | | | | (18,403,400 | ) | | | (333,601 | ) | | | (233,800 | ) | | | 99,801 | |
PHE FUTURE APR22 | | 2.50 USD | | 03/28/22 | | | 857 | | | | (5,356,250 | ) | | | (686,153 | ) | | | (584,474 | ) | | | 101,679 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | $ | (19,512,064 | ) | | $ | (14,753,639 | ) | | $ | 4,758,425 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
|
Exchange-Traded Put Options Written | |
CRUDE OIL FUTURE DEC21 | | 40.00 USD | | 11/16/21 | | | 90 | | | | (5,419,800 | ) | | $ | (441,847 | ) | | $ | (113,400 | ) | | $ | 328,447 | |
CRUDE OIL FUTURE JUN21 | | 40.00 USD | | 05/17/21 | | | 120 | | | | (7,325,002 | ) | | | (116,582 | ) | | | (27,600 | ) | | | 88,982 | |
CRUDE OIL FUTURE MAY21 | | 56.00 USD | | 04/15/21 | | | 514 | | | | (31,061,668 | ) | | | (807,061 | ) | | | (642,500 | ) | | | 164,561 | |
CRUDE OIL FUTURE MAY21 | | 59.50 USD | | 04/15/21 | | | 120 | | | | (7,251,751 | ) | | | (387,782 | ) | | | (301,200 | ) | | | 86,582 | |
NAT GAS EURO FUTURE MAR22 | | 2.25 USD | | 02/23/22 | | | 128 | | | | (3,338,240 | ) | | | (159,382 | ) | | | (166,656 | ) | | | (7,274 | ) |
NAT GAS EURO FUTURE MAR22 | | 2.50 USD | | 02/23/22 | | | 214 | | | | (5,581,120 | ) | | | (557,506 | ) | | | (512,102 | ) | | | 45,404 | |
See Notes to Consolidated Financial Statements.
141
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | Strike | | Expiration
Date | | Contracts | | | Notional
Amount | | | Premium
Received | | | Market
Value | | | Unrealized
Appreciation
(Depreciation) | |
NATURAL GAS FUTURE APR23 | | 1.50 USD | | 03/28/23 | | | 21 | | | | (499,380 | ) | | $ | (4,256 | ) | | $ | (5,880 | ) | | $ | (1,624 | ) |
NATURAL GAS FUTURE APR23 | | 2.00 USD | | 03/28/23 | | | 76 | | | | (1,807,280 | ) | | | (82,136 | ) | | | (106,628 | ) | | | (24,492 | ) |
NATURAL GAS FUTURE AUG21 | | 2.25 USD | | 07/27/21 | | | 255 | | | | (7,020,150 | ) | | | (176,958 | ) | | | (70,635 | ) | | | 106,323 | |
NATURAL GAS FUTURE AUG23 | | 1.50 USD | | 07/26/23 | | | 21 | | | | (513,450 | ) | | | (4,256 | ) | | | (3,297 | ) | | | 959 | |
NATURAL GAS FUTURE AUG23 | | 2.00 USD | | 07/26/23 | | | 76 | | | | (1,858,200 | ) | | | (82,136 | ) | | | (75,924 | ) | | | 6,212 | |
NATURAL GAS FUTURE DEC23 | | 1.50 USD | | 11/27/23 | | | 21 | | | | (577,290 | ) | | | (4,256 | ) | | | (2,814 | ) | | | 1,442 | |
NATURAL GAS FUTURE DEC23 | | 2.00 USD | | 11/27/23 | | | 76 | | | | (2,089,240 | ) | | | (82,136 | ) | | | (60,116 | ) | | | 22,020 | |
NATURAL GAS FUTURE FEB23 | | 1.50 USD | | 01/26/23 | | | 21 | | | | (591,990 | ) | | | (4,256 | ) | | | (6,174 | ) | | | (1,918 | ) |
NATURAL GAS FUTURE FEB23 | | 2.00 USD | | 01/26/23 | | | 76 | | | | (2,142,440 | ) | | | (82,136 | ) | | | (89,452 | ) | | | (7,316 | ) |
NATURAL GAS FUTURE MAR22 | | 2.00 USD | | 02/23/22 | | | 214 | | | | (6,524,860 | ) | | | (177,656 | ) | | | (132,252 | ) | | | 45,404 | |
NATURAL GAS FUTURE JAN23 | | 1.50 USD | | 12/27/22 | | | 21 | | | | (601,230 | ) | | | (4,256 | ) | | | (3,192 | ) | | | 1,064 | |
NATURAL GAS FUTURE JAN23 | | 2.00 USD | | 12/27/22 | | | 76 | | | | (2,175,880 | ) | | | (82,136 | ) | | | (59,736 | ) | | | 22,400 | |
NATURAL GAS FUTURE JUL21 | | 2.25 USD | | 06/25/21 | | | 169 | | | | (4,617,080 | ) | | | (111,154 | ) | | | (31,434 | ) | | | 79,720 | |
NATURAL GAS FUTURE JUL21 | | 2.50 USD | | 06/25/21 | | | 477 | | | | (11,963,160 | ) | | | (296,446 | ) | | | (301,464 | ) | | | (5,018 | ) |
NATURAL GAS FUTURE JUL23 | | 1.50 USD | | 06/27/23 | | | 21 | | | | (510,930 | ) | | | (4,256 | ) | | | (3,318 | ) | | | 938 | |
See Notes to Consolidated Financial Statements.
142
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | Strike | | Expiration
Date | | Contracts | | | Notional
Amount | | | Premium
Received | | | Market
Value | | | Unrealized
Appreciation
(Depreciation) | |
NATURAL GAS FUTURE JUL23 | | 2.00 USD | | 06/27/23 | | | 76 | | | | (1,849,080 | ) | | $ | (82,136 | ) | | $ | (76,760 | ) | | $ | 5,376 | |
NATURAL GAS FUTURE JUN21 | | 2.75 USD | | 05/25/21 | | | 214 | | | | (5,707,380 | ) | | | (318,486 | ) | | | (361,446 | ) | | | (42,960 | ) |
NATURAL GAS FUTURE JUN23 | | 1.50 USD | | 05/25/23 | | | 21 | | | | (501,900 | ) | | | (4,256 | ) | | | (3,864 | ) | | | 392 | |
NATURAL GAS FUTURE JUN23 | | 2.00 USD | | 05/25/23 | | | 76 | | | | (1,816,400 | ) | | | (82,136 | ) | | | (85,424 | ) | | | (3,288 | ) |
NATURAL GAS FUTURE MAR23 | | 1.50 USD | | 02/23/23 | | | 21 | | | | (559,440 | ) | | | (4,256 | ) | | | (9,597 | ) | | | (5,341 | ) |
NATURAL GAS FUTURE MAR23 | | 2.00 USD | | 02/23/23 | | | 76 | | | | (2,024,640 | ) | | | (82,135 | ) | | | (121,980 | ) | | | (39,845 | ) |
NATURAL GAS FUTURE MAY21 | | 2.00 USD | | 04/27/21 | | | 1,158 | | | | (31,034,400 | ) | | | (33,657 | ) | | | (18,528 | ) | | | 15,129 | |
NATURAL GAS FUTURE MAY21 | | 2.25 USD | | 04/27/21 | | | 557 | | | | (14,927,600 | ) | | | (86,400 | ) | | | (31,192 | ) | | | 55,208 | |
NATURAL GAS FUTURE MAY21 | | 2.50 USD | | 04/27/21 | | | 1,245 | | | | (33,366,000 | ) | | | (1,149,277 | ) | | | (530,370 | ) | | | 618,907 | |
NATURAL GAS FUTURE MAY21 | | 2.75 USD | | 04/27/21 | | | 278 | | | | (7,450,400 | ) | | | (321,137 | ) | | | (482,052 | ) | | | (160,915 | ) |
NATURAL GAS FUTURE MAY23 | | 1.50 USD | | 04/25/23 | | | 21 | | | | (493,710 | ) | | | (4,256 | ) | | | (4,914 | ) | | | (658 | ) |
NATURAL GAS FUTURE MAY23 | | 2.00 USD | | 04/25/23 | | | 76 | | | | (1,786,760 | ) | | | (82,135 | ) | | | (98,952 | ) | | | (16,817 | ) |
NATURAL GAS FUTURE NOV23 | | 1.50 USD | | 10/26/23 | | | 21 | | | | (534,240 | ) | | | (4,256 | ) | | | (3,024 | ) | | | 1,232 | |
NATURAL GAS FUTURE NOV23 | | 2.00 USD | | 10/26/23 | | | 76 | | | | (1,933,440 | ) | | | (82,135 | ) | | | (70,072 | ) | | | 12,063 | |
NATURAL GAS FUTURE OCT21 | | 2.75 USD | | 09/27/21 | | | 687 | | | | (18,926,850 | ) | | | (1,620,937 | ) | | | (1,576,665 | ) | | | 44,272 | |
See Notes to Consolidated Financial Statements.
143
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | Strike | | Expiration
Date | | Contracts | | | Notional
Amount | | | Premium
Received | | | Market
Value | | | Unrealized
Appreciation
(Depreciation) | |
NATURAL GAS FUTURE OCT21 | | 2.00 USD | | 09/27/21 | | | 536 | | | | (13,523,280 | ) | | $ | (120,799 | ) | | $ | (118,992 | ) | | $ | 1,807 | |
NATURAL GAS FUTURE OCT21 | | 2.50 USD | | 09/27/21 | | | 535 | | | | (13,498,050 | ) | | | (618,016 | ) | | | (655,375 | ) | | | (37,359 | ) |
NATURAL GAS FUTURE OCT21 | | 2.25 USD | | 09/27/21 | | | 128 | | | | (3,229,440 | ) | | | (182,422 | ) | | | (71,808 | ) | | | 110,614 | |
NATURAL GAS FUTURE OCT23 | | 1.50 USD | | 09/26/23 | | | 21 | | | | (516,390 | ) | | | (4,256 | ) | | | (3,822 | ) | | | 434 | |
NATURAL GAS FUTURE OCT23 | | 2.00 USD | | 09/26/23 | | | 76 | | | | (1,868,840 | ) | | | (82,135 | ) | | | (80,788 | ) | | | 1,347 | |
NATURAL GAS FUTURE SEP21 | | 2.25 USD | | 08/26/21 | | | 169 | | | | (4,630,600 | ) | | | (111,154 | ) | | | (71,318 | ) | | | 39,836 | |
NATURAL GAS FUTURE SEP23 | | 1.50 USD | | 08/28/23 | | | 21 | | | | (509,670 | ) | | | (4,256 | ) | | | (3,717 | ) | | | 539 | |
NATURAL GAS FUTURE SEP23 | | 2.00 USD | | 08/28/23 | | | 76 | | | | (1,844,520 | ) | | | (82,135 | ) | | | (81,320 | ) | | | 815 | |
S+P 500 INDEX | | 3,640.00 USD | | 04/30/21 | | | 136 | | | | (50,596,250 | ) | | | (1,597,587 | ) | | | (179,112 | ) | | | 1,418,475 | |
S+P 500 INDEX | | 3,500.00 USD | | 05/21/21 | | | 132 | | | | (49,108,125 | ) | | | (990,919 | ) | | | (219,648 | ) | | | 771,271 | |
S+P 500 INDEX | | 3,700.00 USD | | 05/28/21 | | | 135 | | | | (50,224,218 | ) | | | (2,065,090 | ) | | | (532,710 | ) | | | 1,532,380 | |
US 10YR FUTURE MAY21 | | 130.50 USD | | 04/23/21 | | | 534 | | | | (69,420,000 | ) | | | (191,906 | ) | | | (258,656 | ) | | | (66,750 | ) |
US 10YR FUTURE MAY21 | | 131.50 USD | | 04/23/21 | | | 548 | | | | (71,240,000 | ) | | | (42,813 | ) | | | (522,313 | ) | | | (479,500 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | $ | (13,719,673 | ) | | $ | (8,990,193 | ) | | $ | 4,729,480 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total Options Written Outstanding | | | $ | (33,231,737 | ) | | $ | (23,743,832 | ) | | $ | 9,487,905 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
See Notes to Consolidated Financial Statements.
144
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
At March 31, 2021, the Fund had the following unfunded loan commitment(s) for the loan agreement(s) noted, which could be extended at the option of the borrower:
| | | | | | | | | | | | | | | |
Borrower | | Unfunded
Loan
Commitment | | Value | | Unrealized
Appreciation
(Depreciation) |
Latam Airlines Group S.A., PIK DIP Delayed Draw Term Loan A, 0.50%, 03/29/22 | | | $ | 1,222,626 | | | | $ | 1,248,691 | | | | $ | 26,065 | |
Latam Airlines Group S.A., PIK DIP Delayed Draw Term Loan C, 0.50%, 04/08/22 | | | | 911,551 | | | | | 957,129 | | | | | 45,578 | |
National Mentor Holdings, Inc., 2021 Delayed Draw Term Loan, 0.50%, 02/18/28 | | | | 97,897 | | | | | 97,236 | | | | | (661 | ) |
OneDigital Borrower LLC, 2020 Delayed Draw Term Loan, 5.25%, 11/16/27 | | | | 4,836 | | | | | 4,773 | | | | | (63 | ) |
AOT Packaging Products Acquisition, 2021 Delayed Draw Term Loan, 0.50%, 03/03/28 | | | | 46,943 | | | | | 46,454 | | | | | (489 | ) |
| | | | | | | | | | | | | | | |
Total Unfunded Loan Commitment | | | $ | 2,283,853 | | | | $ | 2,354,283 | | | | $ | 70,430 | |
| | | | | | | | | | | | | | | |
Reverse Repurchase Agreements Outstanding at March 31, 2021
| | | | | | | | | | | | | | | | |
Counterparty | | Interest
Rate | | Trade
Date | | Maturity
Date | | | Face
Value | | | Face Value
Including
Accrued
Interest | |
Barclays Bank plc | | 0.25% | | 02/09/21 | | | 07/07/22 | | | $ | 622,680 | | | $ | 622,896 | |
Barclays Bank plc | | 0.25% | | 03/10/21 | | | 08/05/22 | | | | 2,389,138 | | | | 2,389,486 | |
Barclays Bank plc | | 0.40% | | 02/05/21 | | | 07/05/22 | | | | 8,033,069 | | | | 8,037,710 | |
Barclays Bank plc | | 0.45% | | 02/10/21 | | | 07/08/22 | | | | 8,195,176 | | | | 8,200,196 | |
Barclays Bank plc | | 0.50% | | 03/25/21 | | | 08/22/22 | | | | 2,179,682 | | | | 2,179,864 | |
BNP Paribas Securities Corp. | | 1.68% | | 01/11/21 | | | 04/12/21 | | | | 6,523,000 | | | | 6,547,391 | |
Goldman Sachs Bank USA | | 1.64% | | 03/17/21 | | | 04/14/21 | | | | 2,411,000 | | | | 2,412,644 | |
Goldman Sachs Bank USA | | 1.69% | | 03/17/21 | | | 04/14/21 | | | | 918,000 | | | | 918,645 | |
Goldman Sachs Bank USA | | 1.69% | | 03/17/21 | | | 04/14/21 | | | | 1,581,000 | | | | 1,582,111 | |
Goldman Sachs Bank USA | | 1.69% | | 03/17/21 | | | 04/14/21 | | | | 791,000 | | | | 791,556 | |
Goldman Sachs Bank USA | | 1.69% | | 03/17/21 | | | 04/14/21 | | | | 1,471,000 | | | | 1,472,034 | |
Goldman Sachs Bank USA | | 1.76% | | 03/17/21 | | | 04/14/21 | | | | 6,396,000 | | | | 6,400,691 | |
Goldman Sachs Bank USA | | 1.76% | | 03/17/21 | | | 04/14/21 | | | | 5,289,000 | | | | 5,292,879 | |
Goldman Sachs Bank USA | | 1.79% | | 03/17/21 | | | 04/14/21 | | | | 939,000 | | | | 939,699 | |
Goldman Sachs Bank USA | | 1.96% | | 03/16/21 | | | 04/16/21 | | | | 265,000 | | | | 265,230 | |
Goldman Sachs Bank USA | | 1.96% | | 03/18/21 | | | 04/16/21 | | | | 276,000 | | | | 276,210 | |
Goldman Sachs Bank USA | | 1.96% | | 03/18/21 | | | 04/16/21 | | | | 519,000 | | | | 519,396 | |
Goldman Sachs Bank USA | | 1.96% | | 03/18/21 | | | 04/16/21 | | | | 225,000 | | | | 225,172 | |
Goldman Sachs Bank USA | | 2.11% | | 03/16/21 | | | 04/16/21 | | | | 420,000 | | | | 420,393 | |
Goldman Sachs Bank USA | | 2.11% | | 03/16/21 | | | 04/16/21 | | | | 1,047,000 | | | | 1,047,980 | |
Goldman Sachs Bank USA | | 2.26% | | 03/16/21 | | | 04/16/21 | | | | 604,000 | | | | 604,606 | |
Goldman Sachs Bank USA | | 2.26% | | 03/16/21 | | | 04/16/21 | | | | 164,000 | | | | 164,164 | |
Goldman Sachs Bank USA | | 2.26% | | 03/16/21 | | | 04/16/21 | | | | 165,000 | | | | 165,165 | |
Goldman Sachs Bank USA | | 2.26% | | 03/17/21 | | | 04/14/21 | | | | 1,720,000 | | | | 1,721,618 | |
See Notes to Consolidated Financial Statements.
145
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | | | | | | | |
Counterparty | | Interest
Rate | | Trade
Date | | Maturity
Date | | | Face
Value | | | Face Value
Including
Accrued
Interest | |
Goldman Sachs Bank USA | | 2.26% | | 03/17/21 | | | 04/14/21 | | | $ | 890,000 | | | $ | 890,837 | |
Goldman Sachs Bank USA | | 2.26% | | 03/17/21 | | | 04/14/21 | | | | 2,721,000 | | | | 2,723,559 | |
Goldman Sachs Bank USA | | 2.26% | | 03/17/21 | | | 04/14/21 | | | | 1,573,000 | | | | 1,574,480 | |
Goldman Sachs Bank USA | | 2.36% | | 03/17/21 | | | 04/14/21 | | | | 1,631,000 | | | | 1,632,602 | |
Goldman Sachs Bank USA | | 2.41% | | 03/16/21 | | | 04/16/21 | | | | 736,000 | | | | 736,787 | |
Goldman Sachs Bank USA | | 2.41% | | 03/16/21 | | | 04/16/21 | | | | 477,000 | | | | 477,510 | |
Goldman Sachs Bank USA | | 2.41% | | 03/16/21 | | | 04/16/21 | | | | 771,000 | | | | 771,825 | |
Goldman Sachs Bank USA | | 2.46% | | 03/17/21 | | | 04/14/21 | | | | 4,497,000 | | | | 4,501,605 | |
Goldman Sachs Bank USA | | 2.51% | | 03/16/21 | | | 04/16/21 | | | | 2,576,000 | | | | 2,578,869 | |
Goldman Sachs Bank USA | | 2.56% | | 03/16/21 | | | 04/16/21 | | | | 151,000 | | | | 151,172 | |
Goldman Sachs Bank USA | | 2.56% | | 03/16/21 | | | 04/16/21 | | | | 1,011,000 | | | | 1,012,149 | |
Goldman Sachs Bank USA | | 2.76% | | 03/16/21 | | | 04/16/21 | | | | 405,000 | | | | 405,496 | |
Goldman Sachs Bank USA | | 2.96% | | 03/17/21 | | | 04/14/21 | | | | 1,653,000 | | | | 1,655,037 | |
JPMorgan Chase Bank, N.A. | | 0.35% | | 02/10/21 | | | 07/08/22 | | | | 2,693,002 | | | | 2,694,285 | |
JPMorgan Chase Bank, N.A. | | 0.40% | | 02/10/21 | | | 07/08/22 | | | | 4,572,867 | | | | 4,575,357 | |
JPMorgan Chase Bank, N.A. | | 0.40% | | 02/10/21 | | | 07/08/22 | | | | 3,866,328 | | | | 3,868,433 | |
JPMorgan Chase Bank, N.A. | | 0.40% | | 03/01/21 | | | 07/27/22 | | | | 5,278,404 | | | | 5,280,163 | |
JPMorgan Chase Bank, N.A. | | 0.40% | | 03/10/21 | | | 08/05/22 | | | | 4,044,553 | | | | 4,045,497 | |
JPMorgan Chase Bank, N.A. | | 0.40% | | 03/10/21 | | | 08/05/22 | | | | 1,182,649 | | | | 1,182,925 | |
JPMorgan Chase Bank, N.A. | | 0.40% | | 03/10/21 | | | 08/05/22 | | | | 7,250,099 | | | | 7,251,791 | |
JPMorgan Chase Bank, N.A. | | 0.40% | | 02/10/21 | | | 07/08/22 | | | | 817,736 | | | | 818,181 | |
JPMorgan Chase Bank, N.A. | | 0.40% | | 03/10/21 | | | 08/05/22 | | | | 8,418,572 | | | | 8,420,536 | |
JPMorgan Chase Bank, N.A. | | 0.40% | | 03/10/21 | | | 08/05/22 | | | | 4,205,028 | | | | 4,206,009 | |
JPMorgan Chase Bank, N.A. | | 0.45% | | 01/06/21 | | | 06/06/22 | | | | 4,488,330 | | | | 4,492,987 | |
RBC (Barbados) Trading Bank Corporation | | 1.98% | | 03/11/21 | | | 05/11/21 | | | | 1,176,000 | | | | 1,177,356 | |
RBC (Barbados) Trading Bank Corporation | | 2.13% | | 03/11/21 | | | 05/11/21 | | | | 362,000 | | | | 362,449 | |
RBC (Barbados) Trading Bank Corporation | | 2.18% | | 03/11/21 | | | 05/11/21 | | | | 524,000 | | | | 524,666 | |
RBC (Barbados) Trading Bank Corporation | | 2.18% | | 03/11/21 | | | 05/11/21 | | | | 280,000 | | | | 280,356 | |
RBC (Barbados) Trading Bank Corporation | | 2.18% | | 03/11/21 | | | 05/11/21 | | | | 1,523,000 | | | | 1,524,934 | |
RBC (Barbados) Trading Bank Corporation | | 2.18% | | 03/11/21 | | | 05/11/21 | | | | 2,154,000 | | | | 2,156,736 | |
RBC (Barbados) Trading Bank Corporation | | 2.28% | | 03/11/21 | | | 05/11/21 | | | | 2,524,000 | | | | 2,527,353 | |
RBC (Barbados) Trading Bank Corporation | | 2.33% | | 03/11/21 | | | 05/11/21 | | | | 565,000 | | | | 565,767 | |
RBC (Barbados) Trading Bank Corporation | | 2.38% | | 03/11/21 | | | 05/11/21 | | | | 329,000 | | | | 329,456 | |
RBC (Barbados) Trading Bank Corporation | | 2.38% | | 03/11/21 | | | 05/11/21 | | | | 1,046,000 | | | | 1,047,451 | |
See Notes to Consolidated Financial Statements.
146
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | | | | | | | |
Counterparty | | Interest
Rate | | Trade
Date | | Maturity
Date | | | Face
Value | | | Face Value
Including
Accrued
Interest | |
RBC (Barbados) Trading Bank Corporation | | 2.58% | | 03/11/21 | | | 05/11/21 | | | $ | 463,000 | | | $ | 463,696 | |
Royal Bank of Canada | | 0.12% | | 03/17/21 | | | 04/21/21 | | | | 7,587,000 | | | | 7,587,354 | |
| | | | | | | | | | | | | | | | |
Total Reverse Repurchase Agreements Outstanding | | | | | | $ | 137,586,313 | | | $ | 137,693,402 | |
| | | | | | | | | | | | | | | | |
Futures Contracts Outstanding at March 31, 2021
| | | | | | | | | | | | | | | | | | | | |
Description | | Contracts | | | Exchange | | | Notional
Amount | | | Expiration
Date | | | Value/
Unrealized
Appreciation
(Depreciation) | |
| | | | | |
Long Futures | | | | | | | | | | | | | | | | | | | | |
3 Month Eurodollar | | | 63 | | | | ICE | | | | 15,835,961 EUR | | | | 09/13/21 | | | $ | (1,068 | ) |
3 Month Eurodollar | | | 977 | | | | ICE | | | | 245,553,390 EUR | | | | 03/14/22 | | | | 3,926 | |
3 Month Eurodollar | | | 116 | | | | ICE | | | | 29,158,227 EUR | | | | 06/13/22 | | | | (5,308 | ) |
3 Month Eurodollar | | | 84 | | | | ICE | | | | 21,113,020 EUR | | | | 09/19/22 | | | | (3,248 | ) |
90 Day Eurodollar | | | 730 | | | | CME | | | | 182,166,741 USD | | | | 09/13/21 | | | | (13,491 | ) |
90 Day Eurodollar | | | 1,705 | | | | CME | | | | 425,242,763 USD | | | | 12/13/21 | | | | (122,325 | ) |
90 Day Eurodollar | | | 4 | | | | CME | | | | 997,960 USD | | | | 03/14/22 | | | | (310 | ) |
90 Day Eurodollar | | | 1,178 | | | | CME | | | | 293,737,435 USD | | | | 06/13/22 | | | | (91,485 | ) |
90 Day Eurodollar | | | 2,510 | | | | CME | | | | 625,716,326 USD | | | | 09/19/22 | | | | (538,076 | ) |
90 Day Eurodollar | | | 4 | | | | CME | | | | 993,110 USD | | | | 06/19/23 | | | | (910 | ) |
90 Day Eurodollar | | | 16 | | | | CME | | | | 3,970,267 USD | | | | 09/18/23 | | | | (11,467 | ) |
90 Day Eurodollar | | | 7 | | | | CME | | | | 1,731,931 USD | | | | 12/18/23 | | | | (3,018 | ) |
90 Day Eurodollar | | | 6 | | | | CME | | | | 1,483,153 USD | | | | 03/18/24 | | | | (3,853 | ) |
90 Day Eurodollar | | | 1 | | | | CME | | | | 245,940 USD | | | | 12/16/24 | | | | (615 | ) |
90 Day Sterling | | | 650 | | | | ICE | | | | 81,185,081 GBP | | | | 09/15/21 | | | | (16,913 | ) |
90 Day Sterling | | | 1,825 | | | | ICE | | | | 227,712,995 GBP | | | | 03/16/22 | | | | (76,720 | ) |
90 Day Sterling | | | 933 | | | | ICE | | | | 116,280,990 GBP | | | | 09/21/22 | | | | (16,124 | ) |
Aluminum | | | 9 | | | | LME | | | | 474,274 USD | | | | 06/16/21 | | | | 22,695 | |
Amsterdam Index | | | 5 | | | | Euronext | | | | 681,309 EUR | | | | 04/16/21 | | | | 20,911 | |
Argus Eurobob Oxy FOB Rotterdam Barges | | | 21 | | | | ICE | | | | 69,076 USD | | | | 04/30/21 | | | | 147,224 | |
Argus Eurobob Oxy FOB Rotterdam Barges | | | 21 | | | | ICE | | | | 69,076 USD | | | | 05/31/21 | | | | 160,391 | |
Argus Eurobob Oxy FOB Rotterdam Barges | | | 21 | | | | ICE | | | | 69,076 USD | | | | 06/30/21 | | | | 161,294 | |
Argus Eurobob Oxy FOB Rotterdam Barges | | | 21 | | | | ICE | | | | 69,076 USD | | | | 07/30/21 | | | | 154,574 | |
Argus Eurobob Oxy FOB Rotterdam Barges | | | 21 | | | | ICE | | | | 69,076 USD | | | | 08/31/21 | | | | 146,132 | |
Argus Eurobob Oxy FOB Rotterdam Barges | | | 21 | | | | ICE | | | | 69,076 USD | | | | 09/30/21 | | | | 129,752 | |
See Notes to Consolidated Financial Statements.
147
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | | | | | | | | | | | |
Description | | Contracts | | | Exchange | | | Notional
Amount | | | Expiration
Date | | | Value/
Unrealized
Appreciation
(Depreciation) | |
Argus Eurobob Oxy FOB Rotterdam Barges | | | 21 | | | | ICE | | | | 69,076 USD | | | | 10/29/21 | | | $ | 63,308 | |
Argus Eurobob Oxy FOB Rotterdam Barges | | | 21 | | | | ICE | | | | 69,076 USD | | | | 11/30/21 | | | | 41,867 | |
Argus Eurobob Oxy FOB Rotterdam Barges | | | 21 | | | | ICE | | | | 69,076 USD | | | | 12/31/21 | | | | 31,178 | |
Australian 10-Year Bond | | | 97 | | | | SFE | | | | 13,448,263 AUD | | | | 06/15/21 | | | | (38,866 | ) |
Australian dollar Currency | | | 27 | | | | CME | | | | 2,090,895 USD | | | | 06/14/21 | | | | (38,490 | ) |
Brent 1st Line | | | 40 | | | | ICE | | | | 38,114 USD | | | | 07/30/21 | | | | 41,086 | |
Brent 1st Line | | | 40 | | | | ICE | | | | 38,114 USD | | | | 08/31/21 | | | | 39,086 | |
Brent 1st Line | | | 40 | | | | ICE | | | | 38,114 USD | | | | 09/30/21 | | | | 37,886 | |
Brent 1st Line | | | 40 | | | | ICE | | | | 38,114 USD | | | | 10/29/21 | | | | 35,886 | |
Brent 1st Line | | | 40 | | | | ICE | | | | 38,114 USD | | | | 11/30/21 | | | | 37,886 | |
Brent 1st Line | | | 40 | | | | ICE | | | | 38,114 USD | | | | 12/31/21 | | | | 35,086 | |
Brent Crude | | | 105 | | | | ICE | | | | 6,644,009 USD | | | | 04/30/21 | | | | (56,309 | ) |
Brent Crude | | | 15 | | | | ICE | | | | 951,143 USD | | | | 06/30/21 | | | | (22,343 | ) |
Brent Crude | | | 32 | | | | ICE | | | | 2,005,587 USD | | | | 07/30/21 | | | | (37,907 | ) |
Brent Crude | | | 50 | | | | ICE | | | | 200,001 USD | | | | 10/26/21 | | | | 429,499 | |
Brent Crude | | | 550 | | | | ICE | | | | 1,170,136 USD | | | | 10/26/21 | | | | 2,234,364 | |
British Pound Currency | | | 27 | | | | CME | | | | 2,344,393 USD | | | | 06/14/21 | | | | (18,849 | ) |
CAC40 Index | | | 3 | | | | Euronext | | | | 181,105 EUR | | | | 04/16/21 | | | | 1,027 | |
California Carbon Allowance Vintage Specific 2021 | | | 1,300 | | | | ICE | | | | 24,151,750 USD | | | | 12/27/21 | | | | (88,750 | ) |
California Carbon Allowance Vintage Specific 2022 | | | 261 | | | | ICE | | | | 4,764,758 USD | | | | 06/25/21 | | | | 8,932 | |
California Carbon Allowance Vintage Specific 2022 | | | 227 | | | | ICE | | | | 4,213,188 USD | | | | 12/27/21 | | | | (13,688 | ) |
California Carbon Allowance Vintage Specific 2023 | | | 575 | | | | ICE | | | | 10,702,673 USD | | | | 12/27/21 | | | | (76,673 | ) |
California Carbon Allowance Vintage Specific 2024 | | | 544 | | | | ICE | | | | 9,982,563 USD | | | | 06/25/21 | | | | 65,117 | |
Canadian 10-Year Bond | | | 37 | | | | CDE | | | | 5,262,991 CAD | | | | 06/21/21 | | | | (102,252 | ) |
Canadian Dollar Currency | | | 19 | | | | CME | | | | 1,520,490 USD | | | | 06/15/21 | | | | (8,660 | ) |
Cocoa | | | 188 | | | | ICE | | | | 4,841,703 USD | | | | 07/15/21 | | | | (357,903 | ) |
Coffee ‘C’ | | | 49 | | | | ICE | | | | 2,493,393 USD | | | | 07/20/21 | | | | (189,168 | ) |
Copper | | | 4 | | | | COMEX | | | | 431,760 USD | | | | 05/26/21 | | | | (32,210 | ) |
Copper | | | 214 | | | | COMEX | | | | 22,460,317 USD | | | | 07/28/21 | | | | (1,057,642 | ) |
Corn | | | 589 | | | | CBOT | | | | 15,900,365 USD | | | | 07/14/21 | | | | 223,510 | |
Cotton No.2 | | | 2 | | | | ICE | | | | 78,607 USD | | | | 05/06/21 | | | | 2,273 | |
Crude Palm Oil | | | 12 | | | | MYX | | | | 1,169,983 MYR | | | | 06/15/21 | | | | (20,833 | ) |
DAX Index | | | 8 | | | | Eurex | | | | 2,909,247 EUR | | | | 06/18/21 | | | | 113,227 | |
DJIA mini E-CBOT | | | 3 | | | | CBOT | | | | 487,325 USD | | | | 06/18/21 | | | | 6,145 | |
Dominion SP | | | 120 | | | | ICE | | | | 219,083 USD | | | | 03/31/21 | | | | 49,882 | |
E-mini Russell 2000 | | | 27 | | | | CME | | | | 3,141,262 USD | | | | 06/18/21 | | | | (140,887 | ) |
See Notes to Consolidated Financial Statements.
148
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | | | | | | | | | | | |
Description | | Contracts | | | Exchange | | | Notional
Amount | | | Expiration
Date | | | Value/
Unrealized
Appreciation
(Depreciation) | |
Euro BOBL | | | 229 | | | | Eurex | | | | 30,974,412 EUR | | | | 06/08/21 | | | $ | (48,188 | ) |
Euro BTP | | | 16 | | | | Eurex | | | | 2,378,200 EUR | | | | 06/08/21 | | | | 12,618 | |
Euro OAT | | | 3 | | | | Eurex | | | | 488,442 EUR | | | | 06/08/21 | | | | (3,039 | ) |
Euro Stoxx 50 | | | 298 | | | | Eurex | | | | 11,348,770 EUR | | | | 06/18/21 | | | | 201,599 | |
Euro-Bund | | | 135 | | | | Eurex | | | | 23,175,366 EUR | | | | 06/08/21 | | | | (61,644 | ) |
Euro-Schatz | | | 741 | | | | Eurex | | | | 83,081,508 EUR | | | | 06/08/21 | | | | (18,069 | ) |
FTSE 100 Index | | | 11 | | | | ICE | | | | 735,408 GBP | | | | 06/18/21 | | | | (914 | ) |
FTSE Taiwan Index | | | 16 | | | | SGX | | | | 923,602 USD | | | | 04/28/21 | | | | 3,438 | |
FTSE/MIB Index | | | 5 | | | | IDEM | | | | 600,636 EUR | | | | 06/18/21 | | | | 10,805 | |
Gasoline RBOB | | | 8 | | | | NYMEX | | | | 707,178 USD | | | | 04/30/21 | | | | (48,719 | ) |
Gasoline RBOB | | | 93 | | | | NYMEX | | | | 6,858,047 USD | | | | 05/28/21 | | | | 772,714 | |
Globex Natural Gas | | | 107 | | | | NYMEX | | | | 3,012,584 USD | | | | 05/25/21 | | | | (158,894 | ) |
Globex Natural Gas | | | 1 | | | | NYMEX | | | | 32,002 USD | | | | 12/28/21 | | | | (1,512 | ) |
Globex Natural Gas | | | 32 | | | | NYMEX | | | | 794,855 USD | | | | 04/26/22 | | | | (13,415 | ) |
Globex Natural Gas | | | 32 | | | | NYMEX | | | | 794,855 USD | | | | 05/25/22 | | | | (3,495 | ) |
Globex Natural Gas | | | 32 | | | | NYMEX | | | | 794,855 USD | | | | 06/27/22 | | | | 7,705 | |
Globex Natural Gas | | | 32 | | | | NYMEX | | | | 794,855 USD | | | | 07/26/22 | | | | 9,625 | |
Globex Natural Gas | | | 32 | | | | NYMEX | | | | 794,855 USD | | | | 08/26/22 | | | | 4,505 | |
Globex Natural Gas | | | 32 | | | | NYMEX | | | | 794,855 USD | | | | 09/27/22 | | | | 12,505 | |
Gold 100 OZ | | | 7 | | | | COMEX | | | | 1,214,097 USD | | | | 06/28/21 | | | | (13,177 | ) |
Henry Hub | | | 900 | | | | ICE | | | | 4,613 USD | | | | 03/31/21 | | | | (682,763 | ) |
Henry Hub | | | 900 | | | | ICE | | | | 8,550 USD | | | | 03/31/21 | | | | 4,950 | |
Henry Hub | | | 682 | | | | ICE | | | | 4,455,515 USD | | | | 04/28/21 | | | | (8,875 | ) |
Henry Hub | | | 1,153 | | | | NYMEX | | | | 7,754,778 USD | | | | 06/25/21 | | | | 120,212 | |
Henry Hub | | | 434 | | | | ICE | | | | 3,071,879 USD | | | | 06/28/21 | | | | (107,659 | ) |
Henry Hub | | | 124 | | | | ICE | | | | 886,692 USD | | | | 09/28/21 | | | | (32,642 | ) |
Henry Hub | | | 150 | | | | ICE | | | | 1,133,984 USD | | | | 10/27/21 | | | | (72,734 | ) |
Henry Hub | | | 124 | | | | ICE | | | | 934,237 USD | | | | 11/26/21 | | | | (16,327 | ) |
Henry Hub | | | 124 | | | | ICE | | | | 940,360 USD | | | | 12/29/21 | | | | 4,830 | |
Henry Hub | | | 112 | | | | ICE | | | | 849,357 USD | | | | 01/27/22 | | | | (11,597 | ) |
Henry Hub | | | 155 | | | | ICE | | | | 1,151,484 USD | | | | 02/24/22 | | | | (59,509 | ) |
Henry Hub | | | 121 | | | | NYMEX | | | | 748,254 USD | | | | 03/28/22 | | | | 2,854 | |
Henry Hub | | | 60 | | | | ICE | | | | 404,653 USD | | | | 10/27/22 | | | | (16,003 | ) |
Henry Hub | | | 62 | | | | ICE | | | | 418,142 USD | | | | 11/28/22 | | | | 9,503 | |
Henry Hub | | | 467 | | | | ICE | | | | 3,240,884 USD | | | | 12/28/22 | | | | 101,668 | |
Henry Hub | | | 112 | | | | ICE | | | | 727,201 USD | | | | 01/27/23 | | | | 62,119 | |
Henry Hub | | | 124 | | | | ICE | | | | 805,116 USD | | | | 02/24/23 | | | | 20,724 | |
Henry Hub | | | 30 | | | | ICE | | | | 187,358 USD | | | | 03/29/23 | | | | (9,008 | ) |
Henry Hub | | | 31 | | | | ICE | | | | 193,603 USD | | | | 04/26/23 | | | | (11,401 | ) |
Henry Hub | | | 30 | | | | ICE | | | | 187,358 USD | | | | 05/26/23 | | | | (8,108 | ) |
Henry Hub | | | 31 | | | | ICE | | | | 193,603 USD | | | | 06/28/23 | | | | (5,046 | ) |
Henry Hub | | | 31 | | | | ICE | | | | 193,603 USD | | | | 07/27/23 | | | | (4,116 | ) |
Henry Hub | | | 30 | | | | ICE | | | | 187,358 USD | | | | 08/29/23 | | | | (5,333 | ) |
Henry Hub | | | 31 | | | | ICE | | | | 193,603 USD | | | | 09/27/23 | | | | (3,031 | ) |
See Notes to Consolidated Financial Statements.
149
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | | | | | | | | | | | |
Description | | Contracts | | | Exchange | | | Notional
Amount | | | Expiration
Date | | | Value/
Unrealized
Appreciation
(Depreciation) | |
Henry Hub | | | 60 | | | | ICE | | | | 374,491 USD | | | | 10/27/23 | | | $ | 7,109 | |
Henry Hub | | | 62 | | | | ICE | | | | 386,974 USD | | | | 11/28/23 | | | | 39,121 | |
Henry Hub | | | 124 | | | | ICE | | | | 785,864 USD | | | | 12/29/25 | | | | 119,956 | |
Henry Hub | | | 112 | | | | ICE | | | | 709,813 USD | | | | 01/28/26 | | | | 96,307 | |
Henry Hub | | | 124 | | | | ICE | | | | 785,864 USD | | | | 02/25/26 | | | | 61,676 | |
Henry Hub | | | 120 | | | | ICE | | | | 760,514 USD | | | | 03/27/26 | | | | (27,314 | ) |
Henry Hub | | | 124 | | | | ICE | | | | 785,864 USD | | | | 04/28/26 | | | | (34,424 | ) |
Henry Hub | | | 120 | | | | ICE | | | | 760,514 USD | | | | 05/27/26 | | | | (21,914 | ) |
Henry Hub | | | 124 | | | | ICE | | | | 785,864 USD | | | | 06/26/26 | | | | (10,244 | ) |
Henry Hub | | | 124 | | | | ICE | | | | 785,864 USD | | | | 07/29/26 | | | | (6,834 | ) |
Henry Hub | | | 120 | | | | ICE | | | | 760,514 USD | | | | 08/27/26 | | | | (7,514 | ) |
Henry Hub | | | 124 | | | | ICE | | | | 785,864 USD | | | | 09/28/26 | | | | 1,846 | |
Henry Hub | | | 120 | | | | ICE | | | | 760,514 USD | | | | 10/28/26 | | | | 32,086 | |
Henry Hub | | | 124 | | | | ICE | | | | 785,864 USD | | | | 11/25/26 | | | | 98,876 | |
Henry Penultimate Fixed Price | | | 471 | | | | ICE | | | | 2,920,421 USD | | | | 03/28/22 | | | | 3,311 | |
HSC Index | | | 31 | | | | ICE | | | | 4,503 USD | | | | 12/31/21 | | | | 7,703 | |
HSC Index | | | 28 | | | | ICE | | | | 4,067 USD | | | | 01/31/22 | | | | 7,308 | |
HSC Index | | | 31 | | | | ICE | | | | 4,503 USD | | | | 02/18/22 | | | | (3,340 | ) |
HSC Index | | | 30 | | | | ICE | | | | 4,358 USD | | | | 03/31/22 | | | | 1,080 | |
HSC Index | | | 31 | | | | ICE | | | | 4,503 USD | | | | 04/29/22 | | | | 1,310 | |
HSC Index | | | 30 | | | | ICE | | | | 4,358 USD | | | | 05/31/22 | | | | (420 | ) |
HSC Index | | | 31 | | | | ICE | | | | 4,503 USD | | | | 06/30/22 | | | | (3,922 | ) |
HSC Index | | | 31 | | | | ICE | | | | 4,503 USD | | | | 07/29/22 | | | | (3,922 | ) |
HSC Index | | | 30 | | | | ICE | | | | 4,358 USD | | | | 08/31/22 | | | | (983 | ) |
HSC Index | | | 31 | | | | ICE | | | | 4,503 USD | | | | 09/30/22 | | | | 1,310 | |
HSC Index | | | 30 | | | | ICE | | | | 4,358 USD | | | | 10/31/22 | | | | (4,170 | ) |
HSC Index | | | 31 | | | | ICE | | | | 4,503 USD | | | | 11/30/22 | | | | (2,178 | ) |
KOSPI 200 Index | | | 7 | | | | KRX FM | | | | 711,228,000 KRW | | | | 06/10/21 | | | | 12,732 | |
Lean Hogs | | | 552 | | | | CME | | | | 22,579,389 USD | | | | 07/15/21 | | | | 532,851 | |
Live Cattle | | | 202 | | | | CME | | | | 9,764,923 USD | | | | 06/30/21 | | | | 165,397 | |
Long Gilt | | | 18 | | | | ICE | | | | 2,319,313 GBP | | | | 06/28/21 | | | | (31,284 | ) |
Low Sulphar Gasoil | | | 191 | | | | ICE | | | | 9,740,052 USD | | | | 05/12/21 | | | | (46,802 | ) |
Low Sulphar Gasoil 1st Line | | | 21 | | | | ICE | | | | 107,604 USD | | | | 04/30/21 | | | | 4,000 | |
Low Sulphar Gasoil 1st Line | | | 21 | | | | ICE | | | | 107,604 USD | | | | 05/31/21 | | | | 19,427 | |
Low Sulphar Gasoil 1st Line | | | 21 | | | | ICE | | | | 107,604 USD | | | | 06/30/21 | | | | 32,739 | |
Low Sulphar Gasoil 1st Line | | | 21 | | | | ICE | | | | 107,604 USD | | | | 07/30/21 | | | | 45,740 | |
Low Sulphar Gasoil 1st Line | | | 21 | | | | ICE | | | | 107,604 USD | | | | 08/31/21 | | | | 58,321 | |
Low Sulphar Gasoil 1st Line | | | 21 | | | | ICE | | | | 107,604 USD | | | | 09/30/21 | | | | 70,826 | |
Low Sulphar Gasoil 1st Line | | | 21 | | | | ICE | | | | 107,604 USD | | | | 10/29/21 | | | | 79,577 | |
Low Sulphar Gasoil 1st Line | | | 21 | | | | ICE | | | | 107,604 USD | | | | 11/30/21 | | | | 84,403 | |
Low Sulphar Gasoil 1st Line | | | 21 | | | | ICE | | | | 107,604 USD | | | | 12/31/21 | | | | 90,703 | |
MSCI Singapore Index | | | 24 | | | | SGX | | | | 854,482 SGD | | | | 04/29/21 | | | | 3,418 | |
NASDAQ 100 E-Mini | | | 10 | | | | CME | | | | 2,605,132 USD | | | | 06/18/21 | | | | 12,818 | |
Natural Gas | | | 214 | | | | NYMEX | | | | 5,821,168 USD | | | | 04/28/21 | | | | (240,048 | ) |
See Notes to Consolidated Financial Statements.
150
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | | | | | | | | | | | |
Description | | Contracts | | | Exchange | | | Notional
Amount | | | Expiration
Date | | | Value/
Unrealized
Appreciation
(Depreciation) | |
Natural Gas | | | 137 | | | | NYMEX | | | | 3,541,179 USD | | | | 04/28/21 | | | $ | 31,781 | |
Natural Gas | | | 27 | | | | NYMEX | | | | 764,416 USD | | | | 06/28/21 | | | | (26,776 | ) |
Natural Gas | | | 192 | | | | NYMEX | | | | 5,481,230 USD | | | | 06/28/21 | | | | (235,790 | ) |
Natural Gas | | | 187 | | | | NYMEX | | | | 5,754,508 USD | | | | 12/29/21 | | | | (52,878 | ) |
Natural Gas | | | 70 | | | | NYMEX | | | | 2,087,224 USD | | | | 02/24/22 | | | | (114,624 | ) |
Natural Gas | | | 4 | | | | NYMEX | | | | 99,207 USD | | | | 04/27/22 | | | | (1,527 | ) |
Natural Gas | | | 1 | | | | NYMEX | | | | 24,192 USD | | | | 06/28/22 | | | | 888 | |
Natural Gas | | | 89 | | | | NYMEX | | | | 2,273,238 USD | | | | 07/27/22 | | | | (35,778 | ) |
Natural Gas | | | 402 | | | | NYMEX | | | | 10,153,182 USD | | | | 09/28/22 | | | | (10,722 | ) |
Natural Gas | | | 214 | | | | NYMEX | | | | 6,013,768 USD | | | | 12/28/22 | | | | 113,052 | |
Natural Gas | | | 11 | | | | NYMEX | | | | 68,595 USD | | | | 12/28/22 | | | | 10,138 | |
Natural Gas | | | 10 | | | | NYMEX | | | | 286,718 USD | | | | 12/28/22 | | | | (418 | ) |
Natural Gas | | | 8 | | | | NYMEX | | | | 49,887 USD | | | | 01/27/23 | | | | 6,493 | |
Natural Gas | | | 11 | | | | NYMEX | | | | 68,595 USD | | | | 02/24/23 | | | | 4,665 | |
Natural Gas | | | 10 | | | | NYMEX | | | | 62,359 USD | | | | 03/29/23 | | | | (2,909 | ) |
Natural Gas | | | 11 | | | | NYMEX | | | | 68,595 USD | | | | 04/26/23 | | | | (3,942 | ) |
Natural Gas | | | 10 | | | | NYMEX | | | | 62,359 USD | | | | 05/26/23 | | | | (2,609 | ) |
Natural Gas | | | 11 | | | | NYMEX | | | | 68,595 USD | | | | 06/28/23 | | | | (1,687 | ) |
Natural Gas | | | 11 | | | | NYMEX | | | | 68,595 USD | | | | 07/27/23 | | | | (1,357 | ) |
Natural Gas | | | 10 | | | | NYMEX | | | | 62,359 USD | | | | 08/29/23 | | | | (1,684 | ) |
Natural Gas | | | 11 | | | | NYMEX | | | | 68,595 USD | | | | 09/28/23 | | | | (972 | ) |
Natural Gas | | | 10 | | | | NYMEX | | | | 62,359 USD | | | | 10/27/23 | | | | 1,241 | |
Natural Gas | | | 11 | | | | NYMEX | | | | 68,595 USD | | | | 11/28/23 | | | | 7,003 | |
New Zealand Dollar Currency | | | 28 | | | | CME | | | | 2,012,572 USD | | | | 06/14/21 | | | | (57,332 | ) |
Nickel | | | 6 | | | | LME | | | | 619,792 USD | | | | 06/14/21 | | | | (41,596 | ) |
NY Harbor ULSD | | | 139 | | | | NYMEX | | | | 10,578,213 USD | | | | 04/30/21 | | | | (246,120 | ) |
NY Harbor ULSD | | | 239 | | | | NYMEX | | | | 17,859,772 USD | | | | 05/28/21 | | | | (64,406 | ) |
NY Harbor ULSD | | | 221 | | | | NYMEX | | | | 16,965,056 USD | | | | 11/30/21 | | | | (336,353 | ) |
OMXS30 Index | | | 24 | | | | Nasdaq OMX | | | | 5,163,880 SEK | | | | 04/16/21 | | | | 9,792 | |
S&P/TSX 60 Index | | | 6 | | | | CDE | | | | 1,337,751 CAD | | | | 06/17/21 | | | | (3,526 | ) |
Silver | | | 3 | | | | COMEX | | | | 411,907 USD | | | | 05/26/21 | | | | (43,927 | ) |
Soyabean | | | 209 | | | | CBOT | | | | 14,347,647 USD | | | | 07/14/21 | | | | 572,340 | |
Soyabean Meal | | | 164 | | | | CBOT | | | | 6,925,237 USD | | | | 07/14/21 | | | | 41,483 | |
Soyabean Oil | | | 226 | | | | CBOT | | | | 7,263,080 USD | | | | 07/14/21 | | | | (380,024 | ) |
SPI 200 | | | 5 | | | | SFE | | | | 841,905 AUD | | | | 06/17/21 | | | | 2,920 | |
Sugar 11 | | | 580 | | | | ICE | | | | 10,503,436 USD | | | | 06/30/21 | | | | (908,844 | ) |
Swiss Franc Currency | | | 31 | | | | CME | | | | 4,184,986 USD | | | | 06/14/21 | | | | (79,423 | ) |
Swiss Market Index | | | 15 | | | | Eurex | | | | 1,605,628 CHF | | | | 06/18/21 | | | | 35,520 | |
Topix | | | 38 | | | | OSE | | | | 722,245,129 JPY | | | | 06/10/21 | | | | 183,110 | |
U.S. Treasury 10-Year Note | | | 89 | | | | CBOT | | | | 11,707,700 USD | | | | 06/21/21 | | | | (54,262 | ) |
U.S. Treasury 2-Year Note | | | 308 | | | | CBOT | | | | 68,022,207 USD | | | | 06/30/21 | | | | (38,426 | ) |
U.S. Treasury 5-Year Note | | | 7 | | | | CBOT | | | | 866,218 USD | | | | 06/30/21 | | | | (2,429 | ) |
Wheat | | | 379 | | | | CBOT | | | | 12,242,853 USD | | | | 07/14/21 | | | | (574,391 | ) |
WTI Crude | | | 61 | | | | NYMEX | | | | 3,754,705 USD | | | | 04/20/21 | | | | (145,945 | ) |
See Notes to Consolidated Financial Statements.
151
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | | | | | | | | | | | |
Description | | Contracts | | | Exchange | | | Notional
Amount | | | Expiration
Date | | | Value/
Unrealized
Appreciation
(Depreciation) | |
WTI Crude | | | 4 | | | | NYMEX | | | | 256,310 USD | | | | 06/22/21 | | | $ | (20,190 | ) |
WTI Crude | | | 71 | | | | NYMEX | | | | 4,334,402 USD | | | | 07/20/21 | | | | (167,412 | ) |
WTI Crude | | | 155 | | | | NYMEX | | | | 7,651,879 USD | | | | 11/19/21 | | | | 1,159,871 | |
WTI Crude | | | 460 | | | | NYMEX | | | | 23,530,714 USD | | | | 11/21/22 | | | | 904,486 | |
XICE JNB | | | 8 | | | | ICE | | | | 43,600 USD | | | | 07/31/21 | | | | 5,096 | |
XICE JNB | | | 8 | | | | ICE | | | | 43,600 USD | | | | 08/31/21 | | | | 12,104 | |
XICE JNB | | | 8 | | | | ICE | | | | 43,600 USD | | | | 09/30/21 | | | | 18,320 | |
XICE JNB | | | 158 | | | | ICE | | | | 1,542,245 USD | | | | 10/29/21 | | | | (213,465 | ) |
XICE JNB | | | 158 | | | | ICE | | | | 1,542,245 USD | | | | 11/30/21 | | | | (151,055 | ) |
XICE JNB | | | 158 | | | | ICE | | | | 1,542,245 USD | | | | 12/31/21 | | | | (78,059 | ) |
Zinc | | | 6 | | | | LME | | | | 412,075 USD | | | | 06/14/21 | | | | 10,437 | |
| | | | | | | | | | | | | | | | | | | | |
| | | $ | 1,451,459 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Short Futures | | | | | | | | | | | | | | | | | | | | |
3 Month Eurodollar | | | 833 | | | | ICE | | | | 209,392,555 EUR | | | | 12/13/21 | | | | 8,903 | |
90 Day Eurodollar | | | 16 | | | | CME | | | | 3,993,221 USD | | | | 06/14/21 | | | | 221 | |
90 Day Eurodollar | | | 6 | | | | CME | | | | 1,497,197 USD | | | | 09/13/21 | | | | 47 | |
90 Day Eurodollar | | | 2,718 | | | | CME | | | | 678,062,693 USD | | | | 03/14/22 | | | | 159,518 | |
90 Day Eurodollar | | | 1 | | | | CME | | | | 249,347 USD | | | | 06/13/22 | | | | 72 | |
90 Day Eurodollar | | | 7 | | | | CME | | | | 1,745,882 USD | | | | 09/19/22 | | | | 2,357 | |
90 Day Eurodollar | | | 14 | | | | CME | | | | 3,488,963 USD | | | | 12/19/22 | | | | 6,463 | |
90 Day Eurodollar | | | 4 | | | | CME | | | | 996,740 USD | | | | 03/13/23 | | | | 2,789 | |
90 Day Eurodollar | | | 6 | | | | CME | | | | 1,483,609 USD | | | | 06/17/24 | | | | 6,934 | |
90 Day Eurodollar | | | 2 | | | | CME | | | | 494,295 USD | | | | 09/16/24 | | | | 2,895 | |
90 Day Eurodollar | | | 3 | | | | CME | | | | 739,755 USD | | | | 03/17/25 | | | | 4,755 | |
90 Day Eurodollar | | | 3 | | | | CME | | | | 739,005 USD | | | | 06/16/25 | | | | 4,867 | |
90 Day Sterling | | | 29 | | | | ICE | | | | 3,621,077 GBP | | | | 12/15/21 | | | | 1,088 | |
90 Day Sterling | | | 108 | | | | ICE | | | | 13,467,902 GBP | | | | 06/15/22 | | | | 1,348 | |
Brent 1st Line | | | 43 | | | | ICE | | | | 41,680 USD | | | | 04/30/21 | | | | (6,420 | ) |
Brent 1st Line | | | 43 | | | | ICE | | | | 41,680 USD | | | | 05/31/21 | | | | (30,070 | ) |
Brent 1st Line | | | 43 | | | | ICE | | | | 41,680 USD | | | | 06/30/21 | | | | (34,800 | ) |
Brent 1st Line | | | 43 | | | | ICE | | | | 41,680 USD | | | | 07/30/21 | | | | (39,960 | ) |
Brent 1st Line | | | 43 | | | | ICE | | | | 41,680 USD | | | | 08/31/21 | | | | (40,820 | ) |
Brent 1st Line | | | 43 | | | | ICE | | | | 41,680 USD | | | | 09/30/21 | | | | (40,820 | ) |
Brent 1st Line | | | 43 | | | | ICE | | | | 41,680 USD | | | | 10/29/21 | | | | (40,390 | ) |
Brent 1st Line | | | 43 | | | | ICE | | | | 41,680 USD | | | | 11/30/21 | | | | (40,390 | ) |
Brent 1st Line | | | 43 | | | | ICE | | | | 41,680 USD | | | | 12/31/21 | | | | (39,100 | ) |
Brent Crude | | | 29 | | | | ICE | | | | 1,226,107 USD | | | | 04/30/21 | | | | (593,353 | ) |
Brent Crude | | | 81 | | | | ICE | | | | 5,107,528 USD | | | | 05/28/21 | | | | 60,418 | |
Brent Crude | | | 200 | | | | ICE | | | | 80,004 USD | | | | 10/26/21 | | | | (105,996 | ) |
Brent Crude | | | 400 | | | | ICE | | | | 107,892 USD | | | | 10/26/21 | | | | (132,108 | ) |
Brent Crude | | | 236 | | | | NYMEX | | | | 14,111,472 USD | | | | 10/29/21 | | | | (100,448 | ) |
Canadian Dollar Currency | | | 7 | | | | CME | | | | 558,697 USD | | | | 06/15/21 | | | | 1,707 | |
CBOE Volatility Index | | | 33 | | | | CFE | | | | 905,802 USD | | | | 04/21/21 | | | | 221,580 | |
See Notes to Consolidated Financial Statements.
152
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | | | | | | | | | | | |
Description | | Contracts | | | Exchange | | | Notional
Amount | | | Expiration
Date | | | Value/
Unrealized
Appreciation
(Depreciation) | |
CBOE Volatility Index | | | 27 | | | | CFE | | | | 726,393 USD | | | | 05/19/21 | | | $ | 114,146 | |
CBOE Volatility Index | | | 13 | | | | CFE | | | | 328,785 USD | | | | 06/16/21 | | | | 21,378 | |
Cocoa | | | 164 | | | | ICE | | | | 4,202,440 USD | | | | 05/13/21 | | | | 351,720 | |
Coffee ‘C’ | | | 49 | | | | ICE | | | | 2,447,734 USD | | | | 05/18/21 | | | | 178,422 | |
Copper | | | 205 | | | | COMEX | | | | 21,525,409 USD | | | | 05/26/21 | | | | 1,048,471 | |
Corn | | | 569 | | | | CBOT | | | | 15,662,200 USD | | | | 05/14/21 | | | | (390,713 | ) |
Cotton No.2 | | | 2 | | | | ICE | | | | 79,649 USD | | | | 07/08/21 | | | | (2,521 | ) |
Dominion SP | | | 120 | | | | ICE | | | | 1,605 USD | | | | 03/31/21 | | | | 11,235 | |
Dominion SP | | | 124 | | | | ICE | | | | 226,385 USD | | | | 04/30/21 | | | | 17,135 | |
Dominion SP | | | 120 | | | | ICE | | | | 219,082 USD | | | | 05/28/21 | | | | 18,832 | |
Dominion SP | | | 124 | | | | ICE | | | | 226,385 USD | | | | 06/30/21 | | | | 12,485 | |
Dominion SP | | | 124 | | | | ICE | | | | 226,385 USD | | | | 07/30/21 | | | | (6,115 | ) |
Dominion SP | | | 120 | | | | ICE | | | | 219,082 USD | | | | 08/31/21 | | | | (68,918 | ) |
Dominion SP | | | 124 | | | | ICE | | | | 226,385 USD | | | | 09/30/21 | | | | (100,665 | ) |
Euro FX Currency | | | 111 | | | | CME | | | | 16,511,861 USD | | | | 06/14/21 | | | | 219,836 | |
Euro Stoxx 50 | | | 41 | | | | Eurex | | | | 1,551,584 EUR | | | | 06/18/21 | | | | (39,257 | ) |
Gasoline RBOB | | | 61 | | | | NYMEX | | | | 5,044,353 USD | | | | 04/30/21 | | | | 23,602 | |
Gasoline RBOB | | | 60 | | | | NYMEX | | | | 4,452,423 USD | | | | 11/30/21 | | | | 181,527 | |
Globex Natural Gas | | | 570 | | | | NYMEX | | | | 14,964,320 USD | | | | 04/27/21 | | | | 98,720 | |
Globex Natural Gas | | | 97 | | | | NYMEX | | | | 2,844,233 USD | | | | 06/25/21 | | | | 194,193 | |
Globex Natural Gas | | | 111 | | | | NYMEX | | | | 3,236,209 USD | | | | 07/27/21 | | | | 180,379 | |
Globex Natural Gas | | | 8 | | | | NYMEX | | | | 228,786 USD | | | | 08/26/21 | | | | 9,586 | |
Globex Natural Gas | | | 177 | | | | NYMEX | | | | 5,066,796 USD | | | | 09/27/21 | | | | 190,446 | |
Globex Natural Gas | | | 92 | | | | NYMEX | | | | 2,690,042 USD | | | | 02/23/22 | | | | 97,482 | |
Globex Natural Gas | | | 94 | | | | NYMEX | | | | 2,359,003 USD | | | | 03/28/22 | | | | 24,983 | |
Globex Natural Gas | | | 8 | | | | NYMEX | | | | 200,398 USD | | | | 12/27/22 | | | | (28,642 | ) |
Globex Natural Gas | | | 8 | | | | NYMEX | | | | 200,398 USD | | | | 01/26/23 | | | | (25,122 | ) |
Globex Natural Gas | | | 8 | | | | NYMEX | | | | 200,398 USD | | | | 02/23/23 | | | | (12,722 | ) |
Globex Natural Gas | | | 8 | | | | NYMEX | | | | 200,398 USD | | | | 03/28/23 | | | | 10,158 | |
Globex Natural Gas | | | 8 | | | | NYMEX | | | | 200,398 USD | | | | 04/25/23 | | | | 12,318 | |
Globex Natural Gas | | | 8 | | | | NYMEX | | | | 200,398 USD | | | | 05/25/23 | | | | 9,198 | |
Globex Natural Gas | | | 8 | | | | NYMEX | | | | 200,398 USD | | | | 06/27/23 | | | | 5,758 | |
Globex Natural Gas | | | 8 | | | | NYMEX | | | | 200,398 USD | | | | 07/26/23 | | | | 4,798 | |
Globex Natural Gas | | | 8 | | | | NYMEX | | | | 200,398 USD | | | | 08/28/23 | | | | 6,238 | |
Globex Natural Gas | | | 8 | | | | NYMEX | | | | 200,398 USD | | | | 09/26/23 | | | | 3,678 | |
Globex Natural Gas | | | 8 | | | | NYMEX | | | | 200,398 USD | | | | 10/26/23 | | | | (3,122 | ) |
Globex Natural Gas | | | 8 | | | | NYMEX | | | | 200,398 USD | | | | 11/27/23 | | | | (19,522 | ) |
Gold 100 OZ | | | 1 | | | | COMEX | | | | 173,248 USD | | | | 06/28/21 | | | | 1,688 | |
Henry Hub | | | 197 | | | | NYMEX | | | | 1,351,057 USD | | | | 04/27/21 | | | | 66,617 | |
Henry Hub | | | 197 | | | | NYMEX | | | | 1,351,057 USD | | | | 05/25/21 | | | | 37,560 | |
Henry Hub | | | 60 | | | | ICE | | | | 423,556 USD | | | | 05/26/21 | | | | 23,506 | |
Henry Hub | | | 197 | | | | NYMEX | | | | 1,351,057 USD | | | | 07/27/21 | | | | (4,795 | ) |
Henry Hub | | | 558 | | | | ICE | | | | 3,973,865 USD | | | | 07/28/21 | | | | 133,430 | |
Henry Hub | | | 197 | | | | NYMEX | | | | 1,351,057 USD | | | | 08/26/21 | | | | 1,607 | |
See Notes to Consolidated Financial Statements.
153
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | | | | | | | | | | | |
Description | | Contracts | | | Exchange | | | Notional
Amount | | | Expiration
Date | | | Value/
Unrealized
Appreciation
(Depreciation) | |
Henry Hub | | | 60 | | | | ICE | | | | 423,556 USD | | | | 08/27/21 | | | $ | 12,556 | |
Henry Hub | | | 161 | | | | NYMEX | | | | 1,127,903 USD | | | | 09/27/21 | | | | 19,015 | |
Henry Hub | | | 414 | | | | NYMEX | | | | 3,467,138 USD | | | | 12/28/21 | | | | 311,423 | |
Henry Hub | | | 103 | | | | NYMEX | | | | 736,374 USD | | | | 02/23/22 | | | | 10,739 | |
Henry Hub | | | 30 | | | | ICE | | | | 186,811 USD | | | | 03/29/22 | | | | 586 | |
Henry Hub | | | 115 | | | | NYMEX | | | | 716,791 USD | | | | 04/26/22 | | | | 14,716 | |
Henry Hub | | | 31 | | | | ICE | | | | 193,038 USD | | | | 04/27/22 | | | | 3,783 | |
Henry Hub | | | 115 | | | | NYMEX | | | | 716,791 USD | | | | 05/25/22 | | | | 5,803 | |
Henry Hub | | | 30 | | | | ICE | | | | 186,811 USD | | | | 05/26/22 | | | | 1,336 | |
Henry Hub | | | 115 | | | | NYMEX | | | | 716,791 USD | | | | 06/27/22 | | | | (4,259 | ) |
Henry Hub | | | 31 | | | | ICE | | | | 193,038 USD | | | | 06/28/22 | | | | (1,332 | ) |
Henry Hub | | | 115 | | | | NYMEX | | | | 716,791 USD | | | | 07/26/22 | | | | (5,984 | ) |
Henry Hub | | | 31 | | | | ICE | | | | 193,038 USD | | | | 07/27/22 | | | | (1,797 | ) |
Henry Hub | | | 115 | | | | NYMEX | | | | 716,791 USD | | | | 08/26/22 | | | | (1,384 | ) |
Henry Hub | | | 30 | | | | ICE | | | | 186,811 USD | | | | 08/29/22 | | | | (539 | ) |
Henry Hub | | | 115 | | | | NYMEX | | | | 716,791 USD | | | | 09/27/22 | | | | (8,572 | ) |
Henry Hub | | | 374 | | | | ICE | | | | 2,379,195 USD | | | | 09/28/22 | | | | 20,190 | |
Henry Hub | | | 86 | | | | NYMEX | | | | 537,769 USD | | | | 12/27/22 | | | | (77,776 | ) |
Henry Hub | | | 86 | | | | NYMEX | | | | 537,769 USD | | | | 01/26/23 | | | | (68,316 | ) |
Henry Hub | | | 86 | | | | NYMEX | | | | 537,769 USD | | | | 02/23/23 | | | | (34,991 | ) |
Henry Hub | | | 86 | | | | NYMEX | | | | 537,769 USD | | | | 03/28/23 | | | | 26,499 | |
Henry Hub | | | 86 | | | | NYMEX | | | | 537,769 USD | | | | 04/25/23 | | | | 32,304 | |
Henry Hub | | | 86 | | | | NYMEX | | | | 537,769 USD | | | | 05/25/23 | | | | 23,919 | |
Henry Hub | | | 86 | | | | NYMEX | | | | 537,769 USD | | | | 06/27/23 | | | | 14,674 | |
Henry Hub | | | 86 | | | | NYMEX | | | | 537,769 USD | | | | 07/26/23 | | | | 12,094 | |
Henry Hub | | | 86 | | | | NYMEX | | | | 537,769 USD | | | | 08/28/23 | | | | 15,964 | |
Henry Hub | | | 86 | | | | NYMEX | | | | 537,769 USD | | | | 09/26/23 | | | | 9,084 | |
Henry Hub | | | 86 | | | | NYMEX | | | | 537,769 USD | | | | 10/26/23 | | | | (9,191 | ) |
Henry Hub | | | 86 | | | | NYMEX | | | | 537,769 USD | | | | 11/27/23 | | | | (53,266 | ) |
Henry Hub | | | 124 | | | | ICE | | | | 780,256 USD | | | | 12/27/23 | | | | (107,894 | ) |
Henry Hub | | | 116 | | | | ICE | | | | 729,917 USD | | | | 01/29/24 | | | | (89,623 | ) |
Henry Hub | | | 124 | | | | ICE | | | | 780,256 USD | | | | 02/27/24 | | | | (50,854 | ) |
Henry Hub | | | 120 | | | | ICE | | | | 755,086 USD | | | | 03/26/24 | | | | 36,286 | |
Henry Hub | | | 124 | | | | ICE | | | | 780,256 USD | | | | 04/26/24 | | | | 45,866 | |
Henry Hub | | | 120 | | | | ICE | | | | 755,086 USD | | | | 05/29/24 | | | | 32,686 | |
Henry Hub | | | 124 | | | | ICE | | | | 780,256 USD | | | | 06/26/24 | | | | 19,206 | |
Henry Hub | | | 124 | | | | ICE | | | | 780,256 USD | | | | 07/29/24 | | | | 15,486 | |
Henry Hub | | | 120 | | | | ICE | | | | 755,086 USD | | | | 08/28/24 | | | | 18,886 | |
Henry Hub | | | 124 | | | | ICE | | | | 780,256 USD | | | | 09/26/24 | | | | 8,356 | |
Henry Hub | | | 120 | | | | ICE | | | | 755,086 USD | | | | 10/29/24 | | | | (22,514 | ) |
Henry Hub | | | 124 | | | | ICE | | | | 780,256 USD | | | | 11/26/24 | | | | (86,504 | ) |
HHD 03312021 | | | 2 | | | | ICE | | | | 13,159 USD | | | | 04/01/21 | | | | 859 | |
Japanese Yen Currency | | | 21 | | | | CME | | | | 2,418,009 USD | | | | 06/14/21 | | | | 46,190 | |
Lean Hogs | | | 419 | | | | CME | | | | 17,187,944 USD | | | | 06/14/21 | | | | (460,336 | ) |
See Notes to Consolidated Financial Statements.
154
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | | | | | | | | | | | |
Description | | Contracts | | | Exchange | | | Notional
Amount | | | Expiration
Date | | | Value/
Unrealized
Appreciation
(Depreciation) | |
Live Cattle | | | 211 | | | | CME | | | | 10,103,049 USD | | | | 08/31/21 | | | $ | (191,641 | ) |
Low Sulphar Gasoil | | | 219 | | | | ICE | | | | 11,205,096 USD | | | | 06/10/21 | | | | 41,571 | |
Low Sulphar Gasoil | | | 2 | | | | ICE | | | | 101,998 USD | | | | 07/12/21 | | | | (302 | ) |
Low Sulphar Gasoil | | | 4 | | | | ICE | | | | 205,069 USD | | | | 08/12/21 | | | | (31 | ) |
Natural Gas | | | 492 | | | | NYMEX | | | | 13,652,880 USD | | | | 05/26/21 | | | | 531,240 | |
Natural Gas | | | 27 | | | | NYMEX | | | | 769,724 USD | | | | 07/28/21 | | | | 26,414 | |
Natural Gas | | | 120 | | | | NYMEX | | | | 3,399,408 USD | | | | 07/28/21 | | | | 95,808 | |
Natural Gas | | | 20 | | | | NYMEX | | | | 567,065 USD | | | | 08/27/21 | | | | 19,065 | |
Natural Gas | | | 34 | | | | NYMEX | | | | 943,470 USD | | | | 09/28/21 | | | | 6,770 | |
Natural Gas | | | 212 | | | | NYMEX | | | | 6,341,395 USD | | | | 10/27/21 | | | | 341,795 | |
Natural Gas | | | 8 | | | | NYMEX | | | | 260,866 USD | | | | 11/26/21 | | | | 23,986 | |
Natural Gas | | | 3 | | | | NYMEX | | | | 90,625 USD | | | | 01/27/22 | | | | 865 | |
Natural Gas | | | 18 | | | | NYMEX | | | | 445,783 USD | | | | 03/29/22 | | | | (1,157 | ) |
Natural Gas | | | 380 | | | | NYMEX | | | | 9,369,277 USD | | | | 05/26/22 | | | | (28,123 | ) |
Natural Gas | | | 4 | | | | NYMEX | | | | 100,273 USD | | | | 08/29/22 | | | | 353 | |
Natural Gas | | | 214 | | | | NYMEX | | | | 5,392,432 USD | | | | 09/28/22 | | | | (6,788 | ) |
NY Harbor ULSD | | | 126 | | | | NYMEX | | | | 9,532,740 USD | | | | 05/28/21 | | | | 151,083 | |
NY Harbor ULSD | | | 161 | | | | NYMEX | | | | 11,865,631 USD | | | | 11/30/22 | | | | (186,282 | ) |
S&P 500 E-mini | | | 55 | | | | CME | | | | 10,813,224 USD | | | | 06/18/21 | | | | (97,126 | ) |
Soyabean | | | 202 | | | | CBOT | | | | 13,989,161 USD | | | | 05/14/21 | | | | (522,014 | ) |
Soyabean Meal | | | 153 | | | | CBOT | | | | 6,482,064 USD | | | | 05/14/21 | | | | 7,104 | |
Soyabean Oil | | | 201 | | | | CBOT | | | | 6,791,612 USD | | | | 05/14/21 | | | | 409,460 | |
Sugar 11 | | | 448 | | | | ICE | | | | 8,433,230 USD | | | | 04/30/21 | | | | 1,022,235 | |
Swiss Franc Currency | | | 3 | | | | CME | | | | 406,168 USD | | | | 06/14/21 | | | | 8,855 | |
U.S. Treasury 10-Year Note | | | 660 | | | | CBOT | | | | 86,843,878 USD | | | | 06/21/21 | | | | 425,128 | |
U.S. Treasury Long Bond | | | 497 | | | | CBOT | | | | 79,458,111 USD | | | | 06/21/21 | | | | 2,625,018 | |
U.S. Treasury Ultra Bond | | | 1 | | | | CBOT | | | | 188,327 USD | | | | 06/21/21 | | | | 7,108 | |
Wheat | | | 328 | | | | CBOT | | | | 10,796,642 USD | | | | 05/14/21 | | | | 661,442 | |
WTI Crude | | | 311 | | | | NYMEX | | | | 19,118,890 USD | | | | 05/20/21 | | | | 713,910 | |
WTI Crude | | | 300 | | | | NYMEX | | | | 13,712,979 USD | | | | 11/20/23 | | | | (1,539,021 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | $ | 6,070,404 | |
| | | | | | | | | | | | | | | | | | | | |
Total Futures Contracts Outstanding | | | $ | 7,521,863 | |
| | | | | | | | | | | | | | | | | | | | |
Forward Foreign Currency Exchange Contracts Outstanding at March 31, 2021
| | | | | | | | | | | | | | | | | | | | |
Currency
Purchased | | Amount in
Currency
Purchased | | | Currency
Sold | | Amount in
Currency
Sold | | | Counterparty | | Settlement
Date | | | Unrealized
Appreciation
(Depreciation) | |
AUD | | | 1,700,000 | | | USD | | | 1,312,385 | | | State Street Bank and Trust
Company | | | 06/15/21 | | | $ | (20,772 | ) |
BRL | | | 15,527,160 | | | USD | | | 2,866,985 | | | Morgan Stanley Capital
Services, Inc. | | | 04/05/21 | | | | (108,391 | ) |
BRL | | | 15,486,698 | | | USD | | | 2,747,817 | | | Morgan Stanley Capital
Services, Inc. | | | 04/05/21 | | | | 3,588 | |
See Notes to Consolidated Financial Statements.
155
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | | | | | | | | | | | |
Currency
Purchased | | Amount in
Currency
Purchased | | | Currency
Sold | | Amount in
Currency
Sold | | | Counterparty | | Settlement
Date | | | Unrealized
Appreciation
(Depreciation) | |
BRL | | | 3,140,000 | | | USD | | | 540,876 | | | State Street Bank and Trust
Company | | | 06/02/21 | | | $ | 14,934 | |
CHF | | | 7,400,000 | | | USD | | | 7,968,451 | | | State Street Bank and Trust
Company | | | 06/15/21 | | | | (123,978 | ) |
CNH | | | 20,543,026 | | | USD | | | 3,152,947 | | | Morgan Stanley Capital
Services, Inc. | | | 06/16/21 | | | | (39,981 | ) |
EUR | | | 22,974,708 | | | USD | | | 27,415,535 | | | State Street Bank and Trust
Company | | | 06/15/21 | | | | (433,945 | ) |
GBP | | | 9,500,000 | | | USD | | | 13,214,378 | | | State Street Bank and Trust
Company | | | 06/15/21 | | | | (115,082 | ) |
HKD | | | 4,950,000 | | | USD | | | 637,825 | | | State Street Bank and Trust
Company | | | 06/15/21 | | | | (971 | ) |
IDR | | | 3,800,000,000 | | | USD | | | 260,007 | | | State Street Bank and Trust
Company | | | 06/15/21 | | | | 285 | |
INR | | | 2,853,859,200 | | | USD | | | 37,920,000 | | | HSBC Bank plc | | | 06/09/21 | | | | 783,702 | |
INR | | | 1,476,993,600 | | | USD | | | 19,620,000 | | | JPMorgan Chase Bank, N.A. | | | 06/10/21 | | | | 408,121 | |
MXN | | | 620,090,000 | | | USD | | | 29,832,816 | | | Goldman Sachs International | | | 04/05/21 | | | | 499,074 | |
MXN | | | 60,305,507 | | | USD | | | 2,814,726 | | | Morgan Stanley Capital
Services, Inc. | | | 06/16/21 | | | | 113,147 | |
MXN | | | 11,600,000 | | | USD | | | 547,738 | | | State Street Bank and Trust
Company | | | 06/15/21 | | | | 15,511 | |
MXN | | | 459,171,000 | | | USD | | | 22,184,960 | | | Goldman Sachs International | | | 05/05/21 | | | | 204,596 | |
NOK | | | 15,996,666 | | | USD | | | 1,892,514 | | | State Street Bank and Trust
Company | | | 06/15/21 | | | | (22,122 | ) |
RUB | | | 1,749,820,030 | | | USD | | | 23,600,000 | | | Goldman Sachs International | | | 04/12/21 | | | | (464,974 | ) |
RUB | | | 428,085,557 | | | USD | | | 5,702,903 | | | Morgan Stanley Capital
Services, Inc. | | | 06/16/21 | | | | (89,746 | ) |
RUB | | | 39,000,000 | | | USD | | | 521,895 | | | State Street Bank and Trust
Company | | | 06/15/21 | | | | (10,866 | ) |
RUB | | | 119,778,873 | | | USD | | | 1,623,414 | | | Morgan Stanley Capital
Services, Inc. | | | 06/16/21 | | | | (52,845 | ) |
RUB | | | 45,345,409 | | | USD | | | 607,579 | | | Morgan Stanley Capital
Services, Inc. | | | 06/16/21 | | | | (13,000 | ) |
RUB | | | 549,610,113 | | | USD | | | 7,359,536 | | | Morgan Stanley Capital
Services, Inc. | | | 06/16/21 | | | | (152,920 | ) |
SEK | | | 15,728 | | | USD | | | 1,852 | | | State Street Bank and Trust
Company | | | 06/15/21 | | | | (50 | ) |
SGD | | | 940,001 | | | USD | | | 698,882 | | | State Street Bank and Trust
Company | | | 06/15/21 | | | | (327 | ) |
TRY | | | 55,347,834 | | | USD | | | 7,149,179 | | | Barclays Bank plc | | | 06/16/21 | | | | (756,546 | ) |
USD | | | 1,621,181 | | | AUD | | | 2,100,000 | | | State Street Bank and Trust
Company | | | 06/15/21 | | | | 25,660 | |
USD | | | 2,824,073 | | | BRL | | | 16,443,168 | | | Morgan Stanley Capital
Services, Inc. | | | 04/05/21 | | | | (97,261 | ) |
See Notes to Consolidated Financial Statements.
156
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | | | | | | | | | | | |
Currency
Purchased | | Amount in
Currency
Purchased | | | Currency
Sold | | Amount in
Currency
Sold | | | Counterparty | | Settlement
Date | | | Unrealized
Appreciation
(Depreciation) | |
USD | | | 2,597,503 | | | BRL | | | 14,570,691 | | | Morgan Stanley Capital
Services, Inc. | | | 04/05/21 | | | $ | 8,837 | |
USD | | | 7,037,004 | | | CHF | | | 6,535,000 | | | State Street Bank and Trust
Company | | | 06/15/21 | | | | 109,486 | |
USD | | | 6,605,486 | | | EUR | | | 5,440,000 | | | State Street Bank and Trust
Company | | | 04/22/21 | | | | 223,881 | |
USD | | | 36,398,637 | | | EUR | | | 30,502,708 | | | State Street Bank and Trust
Company | | | 06/15/21 | | | | 576,133 | |
USD | | | 13,595,445 | | | GBP | | | 9,773,954 | | | State Street Bank and Trust
Company | | | 06/15/21 | | | | 118,400 | |
USD | | | 28,010,662 | | | GBP | | | 20,120,000 | | | State Street Bank and Trust
Company | | | 06/16/21 | | | | 267,280 | |
USD | | | 11,297,095 | | | GBP | | | 8,533,000 | | | Citibank N.A. | | | 05/20/21 | | | | (468,097 | ) |
USD | | | 199,594 | | | HKD | | | 1,549,000 | | | State Street Bank and Trust
Company | | | 06/15/21 | | | | 304 | |
USD | | | 10,940,203 | | | IDR | | | 158,939,265,966 | | | Morgan Stanley Capital
Services, Inc. | | | 06/16/21 | | | | 114,752 | |
USD | | | 7,040,000 | | | INR | | | 528,211,200 | | | JPMorgan Chase Bank, N.A. | | | 06/10/21 | | | | (122,575 | ) |
USD | | | 768,328 | | | KRW | | | 870,900,000 | | | State Street Bank and Trust
Company | | | 06/15/21 | | | | (2,068 | ) |
USD | | | 30,057,683 | | | MXN | | | 620,090,000 | | | Goldman Sachs International | | | 04/05/21 | | | | (274,207 | ) |
USD | | | 1,268,871 | | | NOK | | | 10,730,000 | | | State Street Bank and Trust
Company | | | 06/15/21 | | | | 14,277 | |
USD | | | 18,342,057 | | | RUB | | | 1,376,167,835 | | | Morgan Stanley Capital
Services, Inc. | | | 06/16/21 | | | | 297,425 | |
USD | | | 1,690,130 | | | RUB | | | 125,982,280 | | | Morgan Stanley & Co. LLC | | | 06/16/21 | | | | 38,221 | |
USD | | | 5,711,650 | | | RUB | | | 421,882,150 | | | Morgan Stanley Capital
Services, Inc. | | | 06/16/21 | | | | 179,833 | |
USD | | | 23,614,305 | | | RUB | | | 1,749,820,030 | | | Goldman Sachs International | | | 04/12/21 | | | | 479,279 | |
USD | | | 471,745 | | | SGD | | | 634,501 | | | State Street Bank and Trust
Company | | | 06/15/21 | | | | 221 | |
USD | | | 6,550,519 | | | TRY | | | 55,347,834 | | | JPMorgan Chase Bank, N.A. | | | 06/16/21 | | | | 157,886 | |
USD | | | 2,703,754 | | | ZAR | | | 41,426,103 | | | Morgan Stanley Capital
Services, Inc. | | | 06/17/21 | | | | (76,779 | ) |
USD | | | 2,943,804 | | | ZAR | | | 45,000,000 | | | State Street Bank and Trust
Company | | | 06/15/21 | | | | (77,345 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total Forward Foreign Currency Exchange Contracts Outstanding | | | | | | $ | 1,129,985 | |
| | | | | | | | | | | | | | | | | | | | |
See Notes to Consolidated Financial Statements.
157
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
Centrally Cleared Credit Default Swaps on Single-Name Issuer (Buy Protection) — Outstanding at March 31, 2021
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Reference
Obligation | | Financing
Fee | | | Payment
Frequency | | | Maturity
Date | | Counterparty | | Notional
Amount | | | Market
Value | | | Upfront
Premium
Paid
(Received) | | | Unrealized
Appreciation
(Depreciation) | |
Republic of South Africa | | | (1.00 | )% | | | 3M | | | 12/21/2024 | | Credit Suisse Securities (USA) LLC | | | 14,543,000 | | | | USD | | | $ | 440,504 | | | $ | 27,470 | | | $ | 413,034 | |
Republic of Turkey | | | (1.00 | )% | | | 3M | | | 12/21/2022 | | Credit Suisse Securities (USA) LLC | | | 2,816,000 | | | | USD | | | | 168,594 | | | | 87,706 | | | | 80,888 | |
Republic Of Turkey | | | (1.00 | )% | | | 3M | | | 6/21/2025 | | Credit Suisse Securities (USA) LLC | | | 291,000 | | | | USD | | | | 40,389 | | | | 66,010 | | | | (25,621 | ) |
United Mexican States | | | (1.00 | )% | | | 3M | | | 6/21/2023 | | Credit Suisse Securities (USA) LLC | | | 8,000,000 | | | | USD | | | | (90,736 | ) | | | 907 | | | | (91,643 | ) |
United Mexican States | | | (1.00 | )% | | | 3M | | | 12/21/2023 | | Credit Suisse Securities (USA) LLC | | | 12,069,000 | | | | USD | | | | (132,886 | ) | | | 1,676 | | | | (134,562 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Centrally Cleared Credit Default Swaps on Single-Name Issuer (Buy Protection) | | | $ | 425,865 | | | $ | 183,769 | | | $ | 242,096 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Centrally Cleared Credit Default Swaps on Index (Buy Protection) — Outstanding at March 31, 2021
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Reference
Obligation | | Financing
Fee | | | Payment
Frequency | | | Maturity
Date | | Counterparty | | Notional
Amount | | | Market
Value | | | Upfront
Premium
Paid
(Received) | | | Unrealized
Appreciation
(Depreciation) | |
iTraxx Europe Crossover series 32 | | | (5.00 | )% | | | 3M | | | 12/20/2024 | | Merrill Lynch, Pierce, Fenner & Smith, Inc. | | | 32,186,780 | | | | EUR | | | $ | (4,301,924 | ) | | $ | 2,446,666 | | | $ | (6,748,590 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Centrally Cleared Credit Default Swaps on Index (Buy Protection) | | | $ | (4,301,924 | ) | | $ | 2,446,666 | | | $ | (6,748,590 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Centrally Cleared Credit Default Swaps on Index (Sell Protection) — Outstanding at March 31, 2021
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Reference
Obligation | | Financing
Fee | | | Payment
Frequency | | | Maturity
Date | | Counterparty | | Rating(1) | | Notional
Amount(2) | | | Market
Value | | | Upfront
Premium
Paid
(Received) | | | Unrealized
Appreciation
(Depreciation) | |
CDX.EM.35 | | | 1.00% | | | | 3M | | | 06/21/26 | | Merrill Lynch, Pierce, Fenner & Smith, Inc. | | NR | | | 11,880,000 | | | | USD | | | $ | (495,130 | ) | | $ | (418,140 | ) | | $ | (76,990 | ) |
CDX.NA.HY.34 | | | 5.00% | | | | 3M | | | 06/20/25 | | Merrill Lynch, Pierce, Fenner & Smith, Inc. | | BBB- | | | 368 | | | | USD | | | | 34 | | | | 9 | | | | 25 | |
CDX.NA.HY.36 | | | 5.00% | | | | 3M | | | 06/21/26 | | Merrill Lynch, Pierce, Fenner & Smith, Inc. | | NR | | | 4,550,000 | | | | USD | | | | 404,788 | | | | 387,433 | | | | 17,355 | |
iTraxx Europe Crossover Series 31 | | | 5.00% | | | | 3M | | | 06/20/24 | | Merrill Lynch, Pierce, Fenner & Smith, Inc. | | BBB- | | | 8,026,724 | | | | EUR | | | | 968,430 | | | | 990,894 | | | | (22,464 | ) |
iTraxx Europe Crossover series 35 | | | 5.00% | | | | 3M | | | 06/21/26 | | Merrill Lynch, Pierce, Fenner & Smith, Inc. | | NR | | | 21,368,367 | | | | EUR | | | | 2,972,875 | | | | 2,778,719 | | | | 194,156 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Centrally Cleared Credit Default Swaps on Index (Sell Protection) | | | $ | 3,850,997 | | | $ | 3,738,915 | | | $ | 112,082 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
See Notes to Consolidated Financial Statements.
158
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
OTC Credit Default Swaps on Single-Name Issuers (Buy Protection) — Outstanding at March 31, 2021
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Reference
Obligation | | Financing
Fee | | | Payment
Frequency | | | Maturity
Date | | Counterparty | | Notional
Amount | | | Market
Value | | | Upfront
Premium
Paid
(Received) | | | Unrealized
Appreciation
(Depreciation) | |
Republic Of South Africa | | | (1.00 | )% | | | 3M | | | 6/21/2022 | | Morgan Stanley Capital Services LLC | | | 9,000,000 | | | | USD | | | $ | (26,997 | ) | | $ | 520,876 | | | $ | (547,873 | ) |
Republic Of South Africa | | | (1.00 | )% | | | 3M | | | 6/21/2022 | | Morgan Stanley Capital Services LLC | | | 300,000 | | | | USD | | | | (900 | ) | | | 17,362 | | | | (18,262 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total OTC Credit Default Swaps on Single-Name Issuer (Buy Protection) | | | $ | (27,897 | ) | | $ | 538,238 | | | $ | (566,135 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
OTC Credit Default Swaps on Index (Buy Protection) — Outstanding at March 31, 2021
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Reference
Obligation | | Financing
Fee | | | Payment
Frequency | | | Maturity
Date | | Counterparty | | Notional
Amount | | | Market
Value | | | Upfront
Premium
Paid
(Received) | | | Unrealized
Appreciation
(Depreciation) | |
CMBX.NA.BBB-.10 | | | (3.00 | )% | | | 1M | | | 11/18/2059 | | Morgan Stanley Capital Services LLC | | | 1,102,000 | | | | USD | | | $ | 138,136 | | | $ | 374,805 | | | $ | (236,669 | ) |
CMBX.NA.BBB-.10 | | | (3.00 | )% | | | 1M | | | 11/18/2059 | | J.P. Morgan Securities LLC | | | 7,363,000 | | | | USD | | | | 922,955 | | | | 71,578 | | | | 851,377 | |
CMBX.NA.BBB-.10 | | | (3.00 | )% | | | 1M | | | 11/18/2059 | | Morgan Stanley Capital Services LLC | | | 5,645,000 | | | | USD | | | | 707,603 | | | | 453,500 | | | | 254,103 | |
CMBX.NA.BBB-.8 | | | (3.00 | )% | | | 1M | | | 10/18/2057 | | Morgan Stanley Capital Services LLC | | | 69,000 | | | | USD | | | | 10,800 | | | | 14,170 | | | | (3,370 | ) |
CMBX.NA.BBB-.9 | | | (3.00 | )% | | | 1M | | | 9/18/2058 | | Goldman Sachs International | | | 177,000 | | | | USD | | | | 19,526 | | | | 5,121 | | | | 14,405 | |
CMBX.NA.BBB-.9 | | | (3.00 | )% | | | 1M | | | 9/18/2058 | | Credit Suisse International | | | 10,000 | | | | USD | | | | 1,103 | | | | 594 | | | | 509 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total OTC Credit Default Swaps on Index (Buy Protection) | | | $ | 1,800,123 | | | $ | 919,768 | | | $ | 880,355 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
OTC Credit Default Swaps on Index (Sell Protection) — Outstanding at March 31, 2021
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Reference
Obligation | | Financing
Fee | | | Payment
Frequency | | | Maturity
Date | | Counterparty | | Rating(1) | | Notional
Amount(2) | | | Market
Value | | | Upfront
Premium
Paid
(Received) | | | Unrealized
Appreciation
(Depreciation) | |
CMBX.NA.BBB-.10 | | | 3.00% | | | | 1M | | | 11/18/59 | | Goldman Sachs Bank USA | | BBB- | | | 1,096,000 | | | | USD | | | $ | (137,384 | ) | | $ | (30,005 | ) | | $ | (107,379 | ) |
CMBX.NA.BBB-.10 | | | 3.00% | | | | 1M | | | 11/18/59 | | Goldman Sachs International | | BBB- | | | 18,066,000 | | | | USD | | | | (2,264,580 | ) | | | (682,643 | ) | | | (1,581,937 | ) |
CMBX.NA.BBB-.11 | | | 3.00% | | | | 1M | | | 11/19/54 | | J.P. Morgan Securities LLC | | BBB- | | | 7,500,000 | | | | USD | | | | (443,459 | ) | | | (620,026 | ) | | | 176,567 | |
CMBX.NA.BBB-.8 | | | 3.00% | | | | 1M | | | 10/18/57 | | Credit Suisse International | | BBB- | | | 286,000 | | | | USD | | | | (44,765 | ) | | | (20,492 | ) | | | (24,273 | ) |
See Notes to Consolidated Financial Statements.
159
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Reference
Obligation | | Financing
Fee | | | Payment
Frequency | | | Maturity
Date | | Counterparty | | Rating(1) | | Notional
Amount(2) | | | Market
Value | | | Upfront
Premium
Paid
(Received) | | | Unrealized
Appreciation
(Depreciation) | |
CMBX.NA.BBB-.8 | | | 3.00% | | | | 1M | | | 10/18/57 | | Goldman Sachs International | | BBB- | | | 1,294,000 | | | | USD | | | $ | (202,536 | ) | | $ | (72,380 | ) | | $ | (130,156 | ) |
CMBX.NA.BBB-.8 | | | 3.00% | | | | 1M | | | 10/18/57 | | Goldman Sachs International | | BBB- | | | 232,000 | | | | USD | | | | (36,312 | ) | | | (5,855 | ) | | | (30,457 | ) |
CMBX.NA.BBB-.8 | | | 3.00% | | | | 1M | | | 10/18/57 | | J.P. Morgan Securities LLC | | BBB- | | | 2,160,000 | | | | USD | | | | (338,082 | ) | | | (114,150 | ) | | | (223,932 | ) |
CMBX.NA.BBB-.9 | | | 3.00% | | | | 1M | | | 09/18/58 | | J.P. Morgan Securities LLC | | BBB- | | | 187,000 | | | | USD | | | | (20,629 | ) | | | (962 | ) | | | (19,667 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total OTC Credit Default Swaps on Index (Sell Protection) | | | $ | (3,487,747 | ) | | $ | (1,546,513 | ) | | $ | (1,941,234 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| (1) | Using the higher of the S&P’s or Moody’s ratings. NR represents a security that is not rated. |
| (2) | The maximum potential amount the Fund may pay should a negative credit event take place as defined under the terms of the agreement. |
OTC Total Return Swaps Outstanding at March 31, 2021
| | | | | | | | | | | | | | | | | | | | | | |
Reference
Instrument | | Termination
Date | | | Payment
Frequency | | | Financing
Rate | | | Counterparty | | Notional
Amount | | | Unrealized
Appreciation
(Depreciation) | |
| | | | | | |
Buys | | | | | | | | | | | | | | | | | | | | | | |
ABT Networks | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 21,557 USD | | | $ | (1,195 | ) |
ABT Networks | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 21,564 USD | | | | (1,188 | ) |
Aerojet Rocketdyne Holdings, Inc. | | | 01/25/23 | | | | M | | | | 0.36 | % | | Goldman Sachs International | | | 677,964 USD | | | | (6,577 | ) |
Aerojet Rocketdyne Holdings, Inc. | | | 12/23/22 | | | | M | | | | 0.61 | % | | JPMorgan Chase Bank, N.A. | | | 24,279,704 USD | | | | (235,526 | ) |
AIER Eye Hospital Group Co. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 197,209 USD | | | | (2,873 | ) |
AIER Eye Hospital Group Co. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 192,776 USD | | | | (2,959 | ) |
Alexion Pharmaceuticals, Inc. | | | 12/16/22 | | | | M | | | | 0.61 | % | | JPMorgan Chase Bank, N.A. | | | 24,766,722 USD | | | | (373,296 | ) |
Aluminum Corp of China Ltd. | | | 03/06/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 107,560 USD | | | | (10,535 | ) |
Aluminum Corp of China Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 106,442 USD | | | | (10,395 | ) |
Amethystum Storage Technology Co. Ltd. | | | 03/21/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 52,440 USD | | | | (2,175 | ) |
Amethystum Storage Technology Co. Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 51,312 USD | | | | (2,109 | ) |
Angel Yeast Co. Ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 6,628 USD | | | | 113 | |
Angel Yeast Co. Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 5,799 USD | | | | 100 | |
Anhui Conch Cement Co. Ltd. | | | 03/17/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 34,339 USD | | | | (740 | ) |
Anhui Conch Cement Co. Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 37,522 USD | | | | (797 | ) |
Anhui Expressway Co. Ltd. | | | 04/11/23 | | | | M | | | | 0.00 | % | | JPMorgan Chase Bank, N.A. | | | 3,460 USD | | | | (17 | ) |
Anhui Expressway Co. Ltd. | | | 07/12/22 | | | | M | | | | 0.00 | % | | Credit Suisse International | | | 3,236 USD | | | | (20 | ) |
Anhui Jiuhuashan Tourism Development Co. Ltd. | | | 03/01/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 4,141 USD | | | | (193 | ) |
Anhui Jiuhuashan Tourism Development Co. Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 3,795 USD | | | | (175 | ) |
Anhui Wanwei Updated High-Tech Materal Industry Co. Ltd. | | | 02/03/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 164,187 USD | | | | (13,587 | ) |
Anhui Wanwei Updated High-Tech Materal Industry Co. Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 163,855 USD | | | | (13,522 | ) |
Anhui Yingjia Distillery Co. Ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 17,646 USD | | | | 3,333 | |
See Notes to Consolidated Financial Statements.
160
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | | | | | | | | | | | | | |
Reference
Instrument | | Termination
Date | | | Payment
Frequency | | | Financing
Rate | | | Counterparty | | Notional
Amount | | | Unrealized
Appreciation
(Depreciation) | |
Anhui Yingjia Distillery Co. Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 16,735 USD | | | $ | 3,167 | |
Anhui Zhongding Sealing Parts Co. Ltd. | | | 02/03/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 2,398 USD | | | | (275 | ) |
Anhui Zhongding Sealing Parts Co. Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 2,397 USD | | | | (275 | ) |
Anhui Zhonghuan Environmental Protectional Technology | | | 03/14/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 12,087 USD | | | | (504 | ) |
Anhui Zhonghuan Environmental Protectional Technology | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 9,857 USD | | | | (408 | ) |
Anji Microelectronics Technology Shanghai Co. Ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 1,173 USD | | | | (60 | ) |
Anshan Heavy Duty Mining Machinery Co., Ltd. | | | 03/29/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 5,286 USD | | | | 146 | |
Anshan Heavy Duty Mining Machinery Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 5,282 USD | | | | 150 | |
Aofei Data International Co., Ltd. | | | 01/20/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 304 USD | | | | (12 | ) |
Aofu Environmental Technology Co. ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 82,962 USD | | | | (2,669 | ) |
Aofu Environmental Technology Co. ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 83,061 USD | | | | (2,691 | ) |
Apeloa Pharmaceutical Co. Ltd. | | | 02/22/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 50 USD | | | | 2 | |
Appotronics Corporation Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 699 USD | | | | (76 | ) |
Arcsoft Corp Ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 2,610 USD | | | | (122 | ) |
Arcsoft Corp Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 2,402 USD | | | | (111 | ) |
Arcvideo Tech | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 2,036 USD | | | | (67 | ) |
Arcvideo Tech | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 327 USD | | | | (11 | ) |
Asia Cuanon Technology Shanghai Co., Ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 887 USD | | | | (56 | ) |
Asymchem Laboratories Tianjin Co., Ltd. | | | 03/03/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 16,079 USD | | | | 1,548 | |
Asymchem Laboratories Tianjin Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 16,074 USD | | | | 1,553 | |
Athene Holding Ltd. | | | 03/10/23 | | | | M | | | | 0.36 | % | | Goldman Sachs International | | | 23,983,271 USD | | | | (610,523 | ) |
Autel Intelligent Technology Corp. Ltd. | | | 03/08/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 91,090 USD | | | | 1,563 | |
Autel Intelligent Technology Corp. Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 90,439 USD | | | | 1,471 | |
Avic Jonhon Optronic Technology Co., Ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 25,157 USD | | | | 624 | |
Avic Jonhon Optronic Technology Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 26,156 USD | | | | 658 | |
Avit Ltd. | | | 02/22/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 480 USD | | | | (50 | ) |
Avit Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 480 USD | | | | (50 | ) |
Balance Medical | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 43,748 USD | | | | 5,195 | |
Balance Medical | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 37,325 USD | | | | 4,447 | |
Bank of Chengdu Co., Ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 46,857 USD | | | | (1,731 | ) |
Bank of Chengdu Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 46,406 USD | | | | (1,701 | ) |
Bank of Nanjing Co., Ltd. | | | 03/15/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 168,450 USD | | | | (2,331 | ) |
Bank of Nanjing Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 166,781 USD | | | | (2,256 | ) |
Baoshan Iron + Steel Co. | | | 02/01/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 22,850 USD | | | | 214 | |
Baoshan Iron + Steel Co. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 21,699 USD | | | | 119 | |
Baoxiniao Holding Co. Ltd. | | | 02/01/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 52,461 USD | | | | (508 | ) |
Baoxiniao Holding Co. Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 51,909USD | | | | (491 | ) |
See Notes to Consolidated Financial Statements.
161
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | | | | | | | | | | | | | |
Reference
Instrument | | Termination
Date | | | Payment
Frequency | | | Financing
Rate | | | Counterparty | | Notional
Amount | | | Unrealized
Appreciation
(Depreciation) | |
Befar Group Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 28,606 USD | | | $ | (2,392 | ) |
Befar Group Co., Ltd. | | | 03/03/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 28,982 USD | | | | (2,432 | ) |
Beijing Advanced Digital Technology Co. Ltd. | | | 04/04/23 | | | | M | | | | 0.00 | % | | JPMorgan Chase Bank, N.A. | | | 170,708 USD | | | | 7,474 | |
Beijing Advanced Digital Technology Co. Ltd. | | | 07/12/22 | | | | M | | | | 0.00 | % | | Credit Suisse International | | | 168,840 USD | | | | 7,280 | |
Beijing Bashi Media Co., Ltd. | | | 03/28/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 19,526 USD | | | | (83 | ) |
Beijing Bashi Media Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 19,303 USD | | | | (77 | ) |
Beijing Beetech, Inc. | | | 02/22/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 5,308 USD | | | | (31 | ) |
Beijing Beetech, Inc. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 5,306 USD | | | | (29 | ) |
Beijing Capital Development Co., Ltd. | | | 03/01/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 3,337 USD | | | | (63 | ) |
Beijing Capital Development Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 3,155 USD | | | | (59 | ) |
Beijing Chieftain Control Engineering Technology Co. Ltd. | | | 01/30/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 465 USD | | | | (25 | ) |
Beijing Chieftain Control Engineering Technology Co. Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 465 USD | | | | (25 | ) |
Beijing Compass Technology Development Co., Ltd | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 319 USD | | | | (27 | ) |
Beijing E-Hualu Information Technology Co., Ltd. | | | 04/05/23 | | | | M | | | | 0.00 | % | | JPMorgan Chase Bank, N.A. | | | 172,280 USD | | | | 3,234 | |
Beijing E-Hualu Information Technology Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.00 | % | | Credit Suisse International | | | 170,725 USD | | | | 2,965 | |
Beijing Easpring Material Technology Co., Ltd. | | | 03/28/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 276,579 USD | | | | 2,365 | |
Beijing Easpring Material Technology Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 273,864 USD | | | | 2,190 | |
Beijing Etrol Technologies Co., Ltd. | | | 03/22/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 22,966 USD | | | | (2,272 | ) |
Beijing Etrol Technologies Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 22,739 USD | | | | (2,243 | ) |
Beijing Hezong Science & Technology Co., Ltd. | | | 03/15/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 10,342 USD | | | | 215 | |
Beijing Hezong Science & Technology Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 10,197 USD | | | | 216 | |
Beijing Hotgen Biotech Co., Ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 543 USD | | | | — | |
Beijing Hotgen Biotech Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 281 USD | | | | — | |
Beijing Jetsen Technology Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 25 USD | | | | (2 | ) |
Beijing Kingee Culture Development Co., Ltd. | | | 02/10/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 3,890 USD | | | | (161 | ) |
Beijing Kingee Culture Development Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 3,889 USD | | | | (159 | ) |
Beijing Kingsoft office Software Inc. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 9,121 USD | | | | 567 | |
Beijing Kingsoft office Software Inc. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 9,118 USD | | | | 570 | |
Beijing LongRuan Technologies Inc. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 858 USD | | | | (51 | ) |
See Notes to Consolidated Financial Statements.
162
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | | | | | | | | | | | | | |
Reference
Instrument | | Termination
Date | | | Payment
Frequency | | | Financing
Rate | | | Counterparty | | Notional
Amount | | | Unrealized
Appreciation
(Depreciation) | |
Beijing New Building Materrial Group Co., Ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 23,843 USD | | | $ | (140 | ) |
Beijing New Building Materrial Group Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 26,484 USD | | | | (147 | ) |
Beijing Oriental Yuhong Waterproof Technology Co., Ltd. | | | 01/30/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 340,973 USD | | | | 12,581 | |
Beijing Oriental Yuhong Waterproof Technology Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 340,767 USD | | | | 12,787 | |
Beijing Shougang Co., Ltd. | | | 03/03/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 231,612 USD | | | | (16,409 | ) |
Beijing Shougang Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 230,799 USD | | | | (16,299 | ) |
Beijing Strong Biotechnologies, Inc. | | | 04/05/23 | | | | M | | | | 0.00 | % | | JPMorgan Chase Bank, N.A. | | | 52,954 USD | | | | 50 | |
Beijing Strong Biotechnologies, Inc. | | | 07/12/22 | | | | M | | | | 0.00 | % | | Credit Suisse International | | | 52,390 USD | | | | (59 | ) |
Beijing Tianyishangjia New Material Corp. Ltd. | | | 03/08/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 32,528 USD | | | | (2,161 | ) |
Beijing Tianyishangjia New Material Corp. Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 31,739 USD | | | | (2,098 | ) |
Beijing Traffic Control Technology Co., Ltd. | | | 03/03/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 11,536 USD | | | | (68 | ) |
Beijing Traffic Control Technology Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 9,477 USD | | | | (52 | ) |
Beijing Tricolor Technology Co., Ltd. | | | 03/22/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 41,136 USD | | | | (99 | ) |
Beijing Tricolor Technology Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 40,534 USD | | | | (68 | ) |
Beijing Ultrapower Software Co., Ltd. | | | 02/08/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 114,483 USD | | | | (1,769 | ) |
Beijing Ultrapower Software Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 113,282 USD | | | | (1,715 | ) |
Beijing Unistrong Science & Technology Co., Ltd. | | | 02/28/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 12,906 USD | | | | 2,111 | |
Beijing Unistrong Science & Technology Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 12,738 USD | | | | 2,089 | |
Beijing United Information Technology Co., Ltd. | | | 02/07/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 6,920 USD | | | | 72 | |
Beijing United Information Technology Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 6,595 USD | | | | 64 | |
Beijing Urban Construction Group Co., Ltd. | | | 03/01/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 78 USD | | | | (2 | ) |
Beijing Urban Construction Group Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 78 USD | | | | (2 | ) |
Beijing Worldia Diamond Tools Co., Ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 31,295 USD | | | | (2,536 | ) |
Beijing Worldia Diamond Tools Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 33,747 USD | | | | (2,724 | ) |
Beijing Yanjing Brewery Co. | | | 02/24/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 2,670 USD | | | | 18 | |
Beijing Yanjing Brewery Co. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 2,558 USD | | | | 18 | |
Beijing Yuanliu Hongyuan Electronic Technology Co., Ltd. | | | 02/13/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 241,608 USD | | | | 8,550 | |
See Notes to Consolidated Financial Statements.
163
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | | | | | | | | | | | | | |
Reference
Instrument | | Termination
Date | | | Payment
Frequency | | | Financing
Rate | | | Counterparty | | Notional
Amount | | | Unrealized
Appreciation
(Depreciation) | |
Beijing Yuanliu Hongyuan Electronic Technology Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 236,936 USD | | | $ | 8,473 | |
Bengang Steel Plates Co., Ltd. | | | 03/20/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 9,293 USD | | | | (506 | ) |
Bengang Steel Plates Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 9,238 USD | | | | (500 | ) |
Betta Pharmaceuticals Co., Ltd. | | | 03/08/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 301,636 USD | | | | (3,610 | ) |
Betta Pharmaceuticals Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 299,906 USD | | | | (3,500 | ) |
Beyondsoft Corp. | | | 02/03/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 151,012 USD | | | | (2,584 | ) |
Beyondsoft Corp. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 150,801 USD | | | | (2,529 | ) |
Bgi Genomics Co., Ltd. | | | 03/22/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 154,439 USD | | | | 6,684 | |
Bgi Genomics Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 152,603 USD | | | | 6,648 | |
Biem.L.Fdlkk Garment | | | 04/04/23 | | | | M | | | | 0.00 | % | | JPMorgan Chase Bank, N.A. | | | 3,832 USD | | | | 234 | |
Biem.L.Fdlkk Garment | | | 07/12/22 | | | | M | | | | 0.00 | % | | Credit Suisse International | | | 3,539 USD | | | | 214 | |
Bloomage Biotechnology Corp. Ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 1,657 USD | | | | 13 | |
Bloomage Biotechnology Corp. Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 467 USD | | | | 4 | |
Blue Sail Medical Co., Ltd. | | | 02/24/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 153,469 USD | | | | 1,314 | |
Blue Sail Medical Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 153,157 USD | | | | 1,309 | |
Boe Technology Group Co., Ltd. | | | 04/04/23 | | | | M | | | | 0.00 | % | | JPMorgan Chase Bank, N.A. | | | 174,376 USD | | | | (2 | ) |
Boe Technology Group Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.00 | % | | Credit Suisse International | | | 172,528 USD | | | | 29 | |
Boya Bio Pharmaceutical Group Co., Ltd. | | | 03/15/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 7,215 USD | | | | (407 | ) |
Boya Bio Pharmaceutical Group Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 7,212 USD | | | | (405 | ) |
Brightgene Bio Medical Technology Co., Ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 172 USD | | | | (19 | ) |
Brightgene Bio Medical Technology Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 1,110 USD | | | | (119 | ) |
Broadex Technologies Co., Ltd. | | | 01/27/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 201 USD | | | | (5 | ) |
Btg Hotels Group Co., Ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 33 USD | | | | — | |
Btg Hotels Group Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 141 USD | | | | — | |
By Health Co., Ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 184,531 USD | | | | 1,030 | |
By Health Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 182,250 USD | | | | 1,128 | |
Bybon Group Co., Ltd. | | | 02/01/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 9,193 USD | | | | (559 | ) |
Bybon Group Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 9,071 USD | | | | (549 | ) |
C&S Paper Co., Ltd. | | | 03/15/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 225,350 USD | | | | 922 | |
C&S Paper Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 222,926 USD | | | | 587 | |
Cabio | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 737 USD | | | | (36 | ) |
Caixabank SA | | | 03/31/23 | | | | M | | | | 0.05 | % | | JPMorgan Chase Bank, N.A. | | | 5,525 EUR | | | | 314 | |
Cardtronics PLC | | | 01/27/23 | | | | M | | | | 0.36 | % | | Goldman Sachs International | | | 13,638,732 USD | | | | 7,034 | |
Cashway Fintech | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 3,313 USD | | | | 246 | |
Cashway Fintech Co., Ltd. | | | 03/07/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 3,418 USD | | | | 252 | |
CCS Supply Chain Management Co., Ltd. | | | 02/10/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 1,362 USD | | | | (29 | ) |
CCS Supply Chain Management Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 1,276 USD | | | | (27 | ) |
Cecep Guozhen Environment Protection Technology Co., Ltd. | | | 03/15/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 47,798 USD | | | | (4,324 | ) |
Cecep Guozhen Environment Protection Technology Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 47,364 USD | | | | (4,268 | ) |
Chang Lan Electric Technology Co., Ltd. | | | 03/27/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 9,726 USD | | | | (63 | ) |
See Notes to Consolidated Financial Statements.
164
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | | | | | | | | | | | | | |
Reference
Instrument | | Termination
Date | | | Payment
Frequency | | | Financing
Rate | | | Counterparty | | Notional
Amount | | | Unrealized
Appreciation
(Depreciation) | |
Chang Lan Electric Technology Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 9,723 USD | | | $ | (60 | ) |
Changchun Faway Autombile Components Co., Ltd. | | | 02/22/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 93,481 USD | | | | (9,471 | ) |
Changchun Faway Autombile Components Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 92,722 USD | | | | (9,368 | ) |
Changchun High & New Technology Co., Ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 17,849 USD | | | | 2,871 | |
Changchun High & New Technology Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 17,843 USD | | | | 2,877 | |
Change Healthcare, Inc. | | | 01/19/23 | | | | M | | | | 0.61 | % | | JPMorgan Chase Bank, N.A. | | | 8,428,736USD | | | | (201,039 | ) |
Change Healthcare, Inc. | | | 01/10/23 | | | | M | | | | 0.36 | % | | Goldman Sachs International | | | 17,161,505 USD | | | | (409,329 | ) |
Changhong Meiling Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 23 USD | | | | — | |
Changzhou Tenglong Auto Parts Co., Ltd. | | | 04/06/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 50,123 USD | | | | (313 | ) |
Changzhou Tenglong Auto Parts Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 49,956 USD | | | | (146 | ) |
Changzhou Xingyu Automotive | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 91,405 USD | | | | (2,022 | ) |
Changzhou Xingyu Automotive | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 91,376 USD | | | | (1,994 | ) |
Chaozhou Three Circle Group Co., Ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 170,079USD | | | | 17,758 | |
Chaozhou Three Circle Group Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 167,655 USD | | | | 17,627 | |
Chengdu Fusen Noble House Industrial Co., Ltd. | | | 03/03/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 446 USD | | | | 4 | |
Chengdu Fusen Noble House Industrial Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 446 USD | | | | 4 | |
Chengdu Haoneng Technology Co., Ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 43,569 USD | | | | 1,552 | |
Chengdu Haoneng Technology Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 42,969 USD | | | | 1,546 | |
Chengdu Wintrue Holding Co., Ltd. | | | 03/08/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 31,816 USD | | | | (375 | ) |
Chengdu Wintrue Holding Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 29,988 USD | | | | (363 | ) |
Chengzhi Co., Ltd. | | | 03/22/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 28,304 USD | | | | (1,525 | ) |
Chengzhi Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 28,090 USD | | | | (1,505 | ) |
China Construction Bank | | | 02/10/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 305,745 USD | | | | (1,317 | ) |
China Construction Bank | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 299,654 USD | | | | (1,197 | ) |
China Cyts Tours Holdings Co., Ltd. | | | 02/24/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 226,936 USD | | | | (7,256 | ) |
China Cyts Tours Holdings Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 224,444 USD | | | | (7,108 | ) |
China Eastern Airlines Co., Ltd. | | | 03/20/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 291,841 USD | | | | (7,971 | ) |
China Eastern Airlines Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 289,018 USD | | | | (7,980 | ) |
China Film Co., Ltd. A | | | 03/20/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 54,992 USD | | | | (2,030 | ) |
China Film Co., Ltd. A | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 54,526 USD | | | | (1,997 | ) |
China Galaxy Securities Co., Ltd. | | | 03/15/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 73,197 USD | | | | (724 | ) |
China Galaxy Securities Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 72,696 USD | | | | (696 | ) |
China Gezhouba Group Co., Ltd. | | | 03/27/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 154,319 USD | | | | 3,526 | |
China Gezhouba Group Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 149,943 USD | | | | 3,391 | |
China Hainan Rubber Indust Group Co., Ltd. | | | 03/24/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 193,772 USD | | | | 1,145 | |
See Notes to Consolidated Financial Statements.
165
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | | | | | | | | | | | | | |
Reference
Instrument | | Termination
Date | | | Payment
Frequency | | | Financing
Rate | | | Counterparty | | Notional
Amount | | | Unrealized
Appreciation
(Depreciation) | |
China Hainan Rubber Indust Group Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 191,716 USD | | | $ | 1,213 | |
China Jushi Co., Ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 470,189 USD | | | | (54,145 | ) |
China Jushi Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 465,373 USD | | | | (53,547 | ) |
China Kings Resources Group Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 78 USD | | | | (1 | ) |
China Marine Information Electronics Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 351 USD | | | | (11 | ) |
China Merchants Bank Co., Ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 62,794 USD | | | | (3,548 | ) |
China Merchants Bank Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 57,819 USD | | | | (3,250 | ) |
China Merchants Expressway Network & Technology Holdings Co., Ltd. | | | 03/20/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 10,140 USD | | | | 412 | |
China Merchants Expressway Network & Technology Holdings Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 10,137 USD | | | | 415 | |
China Merchants Property Development Co., Ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 12,227 USD | | | | 2,106 | |
China Merchants Property Development Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 12,077 USD | | | | 2,084 | |
China National Accord Medicines Co., Ltd. | | | 03/28/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 66,062 USD | | | | 733 | |
China National Accord Medicines Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 65,422 USD | | | | 731 | |
China Oilfield Services Ltd. | | | 03/31/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 230 USD | | | | (4 | ) |
China Oilfield Services Ltd. | | | 07/12/22 | | | | M | | | | 0.00 | % | | Credit Suisse International | | | 230 USD | | | | (4 | ) |
China Petroleum & Chemical Corp. | | | 04/04/23 | | | | M | | | | 0.00 | % | | JPMorgan Chase Bank, N.A. | | | 289,417 USD | | | | 1,363 | |
China Petroleum & Chemical Corp. | | | 07/12/22 | | | | M | | | | 0.00 | % | | Credit Suisse International | | | 286,552 USD | | | | 1,256 | |
China Petroleum Engineering Corp. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 203,916 USD | | | | 51,444 | |
China Petroleum Engineering Corp. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 201,905 USD | | | | 51,026 | |
China Resource And Envirornment Co., Ltd. | | | 03/27/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 352,479 USD | | | | (16,058 | ) |
China Resource And Envirornment Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 349,907 USD | | | | (15,591 | ) |
China Shenhua Energy Co., Ltd. | | | 04/11/23 | | | | M | | | | 0.00 | % | | JPMorgan Chase Bank, N.A. | | | 3,039 USD | | | | 27 | |
China Shenhua Energy Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.00 | % | | Credit Suisse International | | | 2,735 USD | | | | 21 | |
China South Publishing & Media Group Co., Ltd. | | | 03/01/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 3,384 USD | | | | (24 | ) |
China South Publishing & Media Group Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 3,222 USD | | | | (22 | ) |
China Southern Airlines Co., Ltd. | | | 03/27/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 285,249 USD | | | | (12,755 | ) |
China Southern Airlines Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 285,198 USD | | | | (12,704 | ) |
China Tourism Group Duty Free Corp. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 199,563 USD | | | | (4,942 | ) |
China Tourism Group Duty Free Corp. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 195,997 USD | | | | (4,551 | ) |
China Vanke Co., Ltd. | | | 02/24/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 60,257 USD | | | | (3,506 | ) |
China Vanke Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 60,238 USD | | | | (3,487 | ) |
China Yangtze Power Co., Ltd. | | | 02/06/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 270,836 USD | | | | 3,256 | |
See Notes to Consolidated Financial Statements.
166
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | | | | | | | | | | | | | |
Reference
Instrument | | Termination
Date | | | Payment
Frequency | | | Financing
Rate | | | Counterparty | | Notional
Amount | | | Unrealized
Appreciation
(Depreciation) | |
China Yangtze Power Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 274,480 USD | | | $ | 3,210 | |
China Zhenhua Group Scienc & Technology Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 250,860 USD | | | | 17,750 | |
China Zhenhua Group Scienc & Technology Co., Ltd. | | | 02/07/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 255,102 USD | | | | 17,965 | |
Chongqing Brewery Co., Ltd. | | | 02/14/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 240,108 USD | | | | 17,956 | |
Chongqing Brewery Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 235,295 USD | | | | 17,675 | |
Chongqing Department Store Co., Ltd. | | | 02/22/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 1,358 USD | | | | 24 | |
Chongqing Department Store Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 905 USD | | | | 17 | |
Chongqing Rural Commercial Bank Co., Ltd. | | | 03/01/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 27,196 USD | | | | (934 | ) |
Chongqing Rural Commercial Bank Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 26,852 USD | | | | (914 | ) |
Chongqing Sansheng Industrial Co., Ltd. | | | 03/20/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 5,542 USD | | | | 112 | |
Chongqing Sansheng Industrial Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 5,540 USD | | | | 114 | |
Chongqing Three Gorges Bank Co., Ltd. | | | 03/29/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 151,250 USD | | | | (4,034 | ) |
Chongqing Three Gorges Bank Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.00 | % | | Credit Suisse International | | | 150,413 USD | | | | (3,505 | ) |
Chow Tai Seng Jewellery Co., Ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 347,914 USD | | | | 1,353 | |
Chow Tai Seng Jewellery Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 343,819 USD | | | | 1,445 | |
Cinda Real Estate Co., Ltd. | | | 03/01/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 62 USD | | | | (4 | ) |
Cinda Real Estate Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 62 USD | | | | (4 | ) |
Cineplex, Inc. | | | 03/07/22 | | | | M | | | | 0.96 | % | | JPMorgan Chase Bank, N.A. | | | 802,000 CAD | | | | (90,577 | ) |
Cineplex, Inc. | | | 12/20/21 | | | | M | | | | 0.66 | % | | Goldman Sachs International | | | 1,882,475 CAD | | | | (212,605 | ) |
Cit Group, Inc. | | | 10/19/22 | | | | M | | | | 0.61 | % | | JPMorgan Chase Bank, N.A. | | | 1,439,238 USD | | | | 53,316 | |
Citychamp Dartong Co., Ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 14 USD | | | | (1 | ) |
Cmst Development Co., Ltd. | | | 02/24/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 156,104 USD | | | | 809 | |
Cmst Development Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 155,664 USD | | | | 858 | |
Cngr Advanced Material Co. | | | 03/29/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 2,453 USD | | | | (44 | ) |
Cngr Advanced Material Co. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 2,454 USD | | | | (45 | ) |
Cnooc Energy Technology & Service Ltd. | | | 03/29/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 187,512 USD | | | | (358 | ) |
Cnooc Energy Technology & Service Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 185,284 USD | | | | 3 | |
Coca-Cola Amatil Ltd. | | | 11/09/22 | | | | M | | | | 0.36 | % | | JPMorgan Chase Bank, N.A. | | | 26,017,488 AUD | | | | (14,704 | ) |
Coherent, Inc. | | | 01/23/23 | | | | M | | | | 0.61 | % | | JPMorgan Chase Bank, N.A. | | | 30,070,400 USD | | | | (656,005 | ) |
Contemporary Amperex Technology Co. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 23,644 USD | | | | 930 | |
Contemporary Amperex Technology Co. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 29,310 USD | | | | 1,163 | |
Cooper Tire & Rubber Co., Ltd. | | | 02/24/23 | | | | M | | | | 0.36 | % | | Goldman Sachs International | | | 16,395,800 USD | | | | (49,640 | ) |
Cosco Shipping Holdings | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 184,517 USD | | | | 7,162 | |
Cosco Shipping Holdings Co., Ltd. | | | 03/21/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 186,440 USD | | | | 7,233 | |
CTS International Logistic Corp. Ltd. | | | 03/22/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 30 USD | | | | (4 | ) |
See Notes to Consolidated Financial Statements.
167
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | | | | | | | | | | | | | |
Reference
Instrument | | Termination
Date | | | Payment
Frequency | | | Financing
Rate | | | Counterparty | | Notional
Amount | | | Unrealized
Appreciation
(Depreciation) | |
CTS International Logistic Corp. Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 207 USD | | | $ | (30 | ) |
Da An Gene Co., Ltd. | | | 03/27/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 156,239 USD | | | | 14,132 | |
Da An Gene Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 155,467 USD | | | | 13,975 | |
Dalian Zhiyun Automation Equipment Co., Ltd. | | | 03/01/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 10,804 USD | | | | 272 | |
Dalian Zhiyun Automation Equipment Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 10,663 USD | | | | 272 | |
Dazzle Fashion Co., Ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 31,660 USD | | | | (596 | ) |
Dazzle Fashion Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 31,365 USD | | | | (581 | ) |
Dehua Tb New Decoration Material | | | 03/21/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 159,611 USD | | | | (3,130 | ) |
Dehua Tb New Decoration Material | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 159,227 USD | | | | (3,076 | ) |
Dialog Semiconductor PLC | | | 02/10/23 | | | | M | | | | 0.15 | % | | Goldman Sachs International | | | 23,007,706 EUR | | | | 245,900 | |
Digital China Information Service Co., Ltd. | | | 03/31/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 158,416 USD | | | | 3,273 | |
Digital China Information Service Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.00 | % | | Credit Suisse International | | | 157,514 USD | | | | 3,277 | |
Digiwin Software Co., Ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 95,462 USD | | | | 50 | |
Digiwin Software Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 94,160 USD | | | | 83 | |
Dingli Communications Corp. | | | 02/08/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 42,854 USD | | | | (475 | ) |
Dingli Communications Corp. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 42,292 USD | | | | (454 | ) |
Dongguan Aohai Technology Co., Ltd. | | | 02/22/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 814 USD | | | | (29 | ) |
Dongguan Chitwing Technology Co., Ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 39,413 USD | | | | (1,236 | ) |
Dongguan Chitwing Technology Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 38,769 USD | | | | (1,203 | ) |
Donghua Testing Technology Co., Ltd. | | | 04/04/23 | | | | M | | | | 0.00 | % | | JPMorgan Chase Bank, N.A. | | | 32,024 USD | | | | 104 | |
Donghua Testing Technology Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.00 | % | | Credit Suisse International | | | 31,424 USD | | | | 87 | |
Dongxing Securities Co., Ltd. | | | 02/22/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 38,268 USD | | | | (849 | ) |
Dongxing Securities Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 37,915 USD | | | | (830 | ) |
Doushen Beijing Education & Technology, Inc. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 200,163 USD | | | | (43,335 | ) |
Doushen Beijing Education & Technology, Inc. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 198,438 USD | | | | (42,956 | ) |
Duolun Technology Co., Ltd. | | | 03/13/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 8,196 USD | | | | 57 | |
Duolun Technology Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 8,074 USD | | | | 59 | |
Eastern Pioneer Driving School Co., Ltd. | | | 02/28/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 81,582 USD | | | | (237 | ) |
Eastern Pioneer Driving School Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 80,353 USD | | | | (205 | ) |
Ecovacs Robotics Co., Ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 256,567 USD | | | | 53,708 | |
Ecovacs Robotics Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 249,600 USD | | | | 52,345 | |
Eging Photovoltaic Technology Co., Ltd. | | | 02/22/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 112,231 USD | | | | (6,376 | ) |
Eging Photovoltaic Technology Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 111,024 USD | | | | (6,270 | ) |
Egypt Treasury Bill | | | 02/03/22 | | | | 3M | | | | 0.00 | % | | J.P. Morgan Securities LLC | | | 18,408,840 USD | | | | 271,054 | |
Egypt Treasury Bill | | | 10/19/21 | | | | 3M | | | | 0.00 | % | | J.P. Morgan Securities LLC | | | 7,091,046 USD | | | | 138,981 | |
See Notes to Consolidated Financial Statements.
168
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | | | | | | | | | | | | | |
Reference
Instrument | | Termination
Date | | | Payment
Frequency | | | Financing
Rate | | | Counterparty | | Notional
Amount | | | Unrealized
Appreciation
(Depreciation) | |
Enn Natural Gas Co., Ltd. | | | 03/29/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 142,740 USD | | | $ | 2,723 | |
Enn Natural Gas Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 142,685 USD | | | | 2,778 | |
Espressif Systems Shanghai Co., Ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 767 USD | | | | (24 | ) |
Espressif Systems Shanghai Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 639 USD | | | | (19 | ) |
Euskaltel SA | | | 03/31/23 | | | | M | | | | 0.05 | % | | JPMorgan Chase Bank, N.A. | | | 6,200,674 EUR | | | | (16,431 | ) |
Fangda Special Steel Technology Co., Ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 21 USD | | | | (1 | ) |
Faw Jiefang Group Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 44 USD | | | | (1 | ) |
Financial Street Holdings Co., Ltd. | | | 03/01/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 108 USD | | | | (4 | ) |
Financial Street Holdings Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 108 USD | | | | (4 | ) |
Five Prime Therapeutics, Inc. | | | 03/08/23 | | | | M | | | | 0.36 | % | | Goldman Sachs International | | | 15,879,462 USD | | | | (33,652 | ) |
Flat Glass Group Co., Ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 7,384 USD | | | | 6 | |
Flat Glass Group Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 7,037 USD | | | | 8 | |
Flir Systems, Inc. | | | 01/06/23 | | | | M | | | | 0.61 | % | | JPMorgan Chase Bank, N.A. | | | 28,378,097 USD | | | | 716,150 | |
Flying Technology Co., Ltd. | | | 02/01/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 11,142 USD | | | | (939 | ) |
Flying Technology Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 10,885 USD | | | | (914 | ) |
Focus Media Information Technology Co., Ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 394,270 USD | | | | (39,351 | ) |
Focus Media Information Technology Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 389,325 USD | | | | (38,936 | ) |
Focused Photonics (Hangzhou), Inc. | | | 03/08/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 37,108 USD | | | | (8,659 | ) |
Focused Photonics (Hangzhou), Inc. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 36,595 USD | | | | (8,531 | ) |
Foryou, Inc. | | | 02/07/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 5,893 USD | | | | 16 | |
Foryou, Inc. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 5,892 USD | | | | 18 | |
Foshan Haitian Flavouring & Food Co., Ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 1,142 USD | | | | 53 | |
Foshan Haitian Flavouring & Food Co., Ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 390,020 USD | | | | 17,237 | |
Fu Jian Anjoy Foods Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 386,509 USD | | | | 17,566 | |
Fuda Alloy Materials Co., Ltd. | | | 02/22/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 11,349 USD | | | | (1,354 | ) |
Fuda Alloy Materials Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 11,156 USD | | | | (1,327 | ) |
Fujian Boss Software Development Co., Ltd. | | | 03/08/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 74 USD | | | | (2 | ) |
Fujian Forecam Optics Co., Ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 440 USD | | | | (89 | ) |
Fujian Fynex Textile Science & Technology Co., Ltd. | | | 04/06/23 | | | | M | | | | 0.00 | % | | JPMorgan Chase Bank, N.A. | | | 4,541 USD | | | | (18 | ) |
Fujian Fynex Textile Science & Technology Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.00 | % | | Credit Suisse International | | | 4,468 USD | | | | (20 | ) |
Fujian Longking Co., Ltd. | | | 03/22/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 64,283 USD | | | | (2,747 | ) |
Fujian Longking Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 63,802 USD | | | | (2,707 | ) |
Fujian Raynen Technology Co., Ltd. | | | 03/17/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 2,100 USD | | | | (86 | ) |
Fujian Raynen Technology Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 2,099 USD | | | | (85 | ) |
Fujian Sunner Development Co., Ltd. | | | 03/10/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 3,065 USD | | | | (315 | ) |
See Notes to Consolidated Financial Statements.
169
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | | | | | | | | | | | | | |
Reference
Instrument | | Termination
Date | | | Payment
Frequency | | | Financing
Rate | | | Counterparty | | Notional
Amount | | | Unrealized
Appreciation
(Depreciation) | |
Fujian Sunner Development Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 3,064 USD | | | $ | (314 | ) |
Fujian Torch Electron Technology Co., Ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 262,401 USD | | | | 4,312 | |
Fujian Torch Electron Technology Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 258,035 USD | | | | 4,291 | |
Fuyao Glass Industry Group Co., Ltd. | | | 04/04/23 | | | | M | | | | 0.00 | % | | JPMorgan Chase Bank, N.A. | | | 94,795 USD | | | | 809 | |
Fuyao Glass Industry Group Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.00 | % | | Credit Suisse International | | | 91,606 USD | | | | 2,592 | |
Ganfeng Lithium Co., Ltd. | | | 03/31/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 155,113 USD | | | | (7,000 | ) |
Ganfeng Lithium Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.00 | % | | Credit Suisse International | | | 153,586 USD | | | | (6,911 | ) |
Gem Year Industrial Co., Ltd. | | | 02/28/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 9 USD | | | | — | |
Gemdale Corp. | | | 03/22/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 108,382 USD | | | | (7,245 | ) |
Gemdale Corp. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 107,759 USD | | | | (7,171 | ) |
Genmark Diagnostics, Inc. | | | 03/17/23 | | | | M | | | | 0.61 | % | | JPMorgan Chase Bank, N.A. | | | 18,248,888 USD | | | | (73,129 | ) |
Georgian Government Bonds | | | 09/22/21 | | | | M | | | | 0.00 | % | | Credit Suisse International | | | 19,496,205 USD | | | | 667,997 | |
Ggfpbnd1 Swap | | | 01/30/23 | | | | M | | | | 0.00 | % | | Goldman Sachs International | | | 298,507,849 USD | | | | (789,032 | ) |
Ght Co., Ltd. | | | 03/31/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 159,756 USD | | | | (5,229 | ) |
Ght Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.00 | % | | Credit Suisse International | | | 159,209 USD | | | | (5,314 | ) |
Giant Network Group Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 191 USD | | | | (3 | ) |
Gigadevice Semiconductor, Inc. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 78,132 USD | | | | 74 | |
Gigadevice Semiconductor, Inc. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 77,587 USD | | | | 98 | |
Glarun Technology Co., Ltd. | | | 02/01/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 257,901 USD | | | | (3,976 | ) |
Glarun Technology Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 255,204 USD | | | | (3,855 | ) |
Goertek, Inc. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 176,477 USD | | | | 4,937 | |
Goertek, Inc. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 174,014 USD | | | | 4,915 | |
Goldenmax International Technology Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 135 USD | | | | 1 | |
Greattown Holdings Ltd. | | | 02/24/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 6,268 USD | | | | (371 | ) |
Greattown Holdings Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 6,205 USD | | | | (365 | ) |
Greenland Holdings Corp. Ltd. | | | 03/27/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 155,650 USD | | | | (1,914 | ) |
Greenland Holdings Corp. Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 155,275 USD | | | | (1,944 | ) |
Grubhub, Inc. | | | 06/15/22 | | | | M | | | | 0.36 | % | | Goldman Sachs International | | | 10,314,476 USD | | | | (478,676 | ) |
GS Custom 499 Basket Swap | | | 06/22/21 | | | | M | | | | 10.71 | % | | Goldman Sachs International | | | 148,023,221 USD | | | | (2,577,057 | ) |
GSENREU0 Swap | | | 10/05/22 | | | | M | | | | 0.36 | % | | Goldman Sachs International | | | 20,520,498 USD | | | | 155,551 | |
GSISMES4 Swap | | | 11/03/22 | | | | M | | | | 0.00 | % | | Goldman Sachs International | | | 24,239,077 USD | | | | (10,772 | ) |
GSISMNQ4 Swap | | | 11/03/22 | | | | M | | | | 0.00 | % | | Goldman Sachs International | | | 26,874,688 USD | | | | (93,590 | ) |
GSISMRT4 Swap | | | 11/03/22 | | | | M | | | | 0.00 | % | | Goldman Sachs International | | | 3,200,083 USD | | | | 25,734 | |
Guangdong Baolihua New Energy Stock Co., Ltd. | | | 02/22/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 81 USD | | | | (4 | ) |
Guangdong Baolihua New Energy Stock Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 69 USD | | | | (3 | ) |
Guangdong Chant Group, Inc. | | | 02/01/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 179,562 USD | | | | (968 | ) |
Guangdong Chant Group, Inc. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 177,756 USD | | | | (973 | ) |
Guangdong Dongpeng Holdings Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 1,045 USD | | | | (75 | ) |
Guangdong Dongpeng Holdings Co., Ltd. | | | 02/28/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 1,045 USD | | | | (76 | ) |
Guangdong Ellington Electronics Technology Co., Ltd. | | | 03/01/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 4,151 USD | | | | (168 | ) |
Guangdong Ellington Electronics Technology Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 4,057 USD | | | | (163 | ) |
See Notes to Consolidated Financial Statements.
170
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | | | | | | | | | | | | | |
Reference
Instrument | | Termination
Date | | | Payment
Frequency | | | Financing
Rate | | | Counterparty | | Notional
Amount | | | Unrealized
Appreciation
(Depreciation) | |
Guangdong Fenghua Advanced A | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 75 USD | | | $ | 6 | |
Guangdong Haid Group Co Co., Ltd. | | | 03/08/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 23,673 USD | | | | 1,316 | |
Guangdong Haid Group Co Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 20,264 USD | | | | 1,155 | |
Guangdong Jia Yuan Technology Co., Ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 177,057 USD | | | | 4,517 | |
Guangdong Jia Yuan Technology Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 175,280 USD | | | | 4,535 | |
Guangdong Jingyi Metal Co Co., Ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 6,929 USD | | | | (428 | ) |
Guangdong Jingyi Metal Co Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 6,926 USD | | | | (425 | ) |
Guangdong Jinma Entertainment corp. Ltd. | | | 02/22/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 9,028 USD | | | | (907 | ) |
Guangdong Jinma Entertainment corp. Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 9,024 USD | | | | (904 | ) |
Guangdong Kinlong Hardware Products Co., Ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 199,305 USD | | | | 551 | |
Guangdong Kinlong Hardware Products Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 199,286 USD | | | | 570 | |
GuangDong PaiSheng Intelligent Technology Co., Ltd. | | | 03/22/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 10,771 USD | | | | (902 | ) |
GuangDong PaiSheng Intelligent Technology Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 10,663 USD | | | | (890 | ) |
Guangdong Sirio Pharma Co Co., Ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 97,696 USD | | | | 1,912 | |
Guangdong Sirio Pharma Co Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 96,675 USD | | | | 2,477 | |
Guangdong South New Media Co., Ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 185 USD | | | | (8 | ) |
Guangdong South New Media Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 746 USD | | | | (33 | ) |
Guangdong Tapai Group Co Co., Ltd. | | | 03/01/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 3,004 USD | | | | 8 | |
Guangdong Tapai Group Co Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 3,003 USD | | | | 9 | |
Guangdong Wencan Die Casting Co., Ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 41,839 USD | | | | (281 | ) |
Guangdong Wencan Die Casting Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 41,160 USD | | | | (262 | ) |
Guangdong Xianglu Tungsten Co., Ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 16,721 USD | | | | (805 | ) |
Guangdong Xianglu Tungsten Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 16,552 USD | | | | (792 | ) |
Guangdong Zhongsheng Pharmaceutical Co. | | | 03/01/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 37 USD | | | | (1 | ) |
Guangxi Liugong Machinery Co., Ltd. | | | 03/10/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 1,300 USD | | | | 57 | |
Guangxi Liugong Machinery Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 1,299 USD | | | | 57 | |
Guangxi Wuzhou Communication Co., Ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 25,806 USD | | | | 314 | |
See Notes to Consolidated Financial Statements.
171
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | | | | | | | | | | | | | |
Reference
Instrument | | Termination
Date | | | Payment
Frequency | | | Financing
Rate | | | Counterparty | | Notional
Amount | | | Unrealized
Appreciation
(Depreciation) | |
Guangxi Wuzhou Communication Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 25,464 USD | | | $ | 318 | |
Guangzhou Baiyun International | | | 03/15/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 12,415 USD | | | | (612 | ) |
Guangzhou Baiyun International | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 11,345 USD | | | | (559 | ) |
Guangzhou GRG Metrology & Test Co., Ltd. | | | 03/22/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 8,996 USD | | | | 423 | |
Guangzhou GRG Metrology & Test Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 7,994 USD | | | | 378 | |
Guangzhou Guangri Stock Co Co., Ltd. | | | 02/03/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 130,847 USD | | | | (1,956 | ) |
Guangzhou Guangri Stock Co Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 130,540 USD | | | | (1,912 | ) |
Guangzhou Holike Creative Home Co., Ltd. | | | 02/22/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 3,576 USD | | | | (135 | ) |
Guangzhou Holike Creative Home Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 3,574 USD | | | | (133 | ) |
Guangzhou Jiacheng International | | | 02/06/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 141,600 USD | | | | (24,901 | ) |
Guangzhou Jiacheng International | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 140,966 USD | | | | (24,749 | ) |
Guangzhou Kingmed Diagnostics Group Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 239,701 USD | | | | 6,453 | |
Guangzhou Restaurant Group Co., Ltd. | | | 03/13/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 166,538 USD | | | | 4,165 | |
Guangzhou Restaurant Group Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 164,181 USD | | | | 4,204 | |
Guangzhou Shiyuan Electronics Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 1,936 USD | | | | 52 | |
Guangzhou Shiyuan Electronics Co., Ltd. | | | 02/07/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 1,937 USD | | | | 51 | |
Guangzhou Sie Consulting Co., Ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 145,642 USD | | | | 16,436 | |
Guangzhou Sie Consulting Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 144,891 USD | | | | 16,289 | |
Guangzhou Tech-Long Packaging Machinery Co Ltd | | | 02/24/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 11,274 USD | | | | 7 | |
Guangzhou Tech-Long Packaging Machinery Co Ltd | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 11,074 USD | | | | 11 | |
Guangzhou Tinci Materials Technology Co., Ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 11,681 USD | | | | (476 | ) |
Guangzhou Tinci Materials Technology Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 12,975 USD | | | | (525 | ) |
Guangzhou Yuexiu Financial Holdings Group Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 117 USD | | | | (4 | ) |
Guangzhou Zhiguang Electric Co., Ltd. | | | 03/08/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 212,042 USD | | | | (518 | ) |
Guangzhou Zhiguang Electric Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 211,064 USD | | | | (468 | ) |
Guizhou Bailing Group Pharmaceutical Co., Ltd. | | | 03/24/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 53 USD | | | | (5 | ) |
Guomai Technologies, Inc. | | | 02/24/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 3,523 USD | | | | (74 | ) |
Guomai Technologies, Inc. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 3,424 USD | | | | (71 | ) |
Guosen Securities Co., Ltd. | | | 02/22/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 87 USD | | | | 1 | |
Guotai Junan Securities Co Co., Ltd. | | | 02/22/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 217,176 USD | | | | (3,121 | ) |
See Notes to Consolidated Financial Statements.
172
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | | | | | | | | | | | | | |
Reference
Instrument | | Termination
Date | | | Payment
Frequency | | | Financing
Rate | | | Counterparty | | Notional
Amount | | | Unrealized
Appreciation
(Depreciation) | |
Guotai Junan Securities Co Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 215,133 USD | | | $ | (3,059 | ) |
Guoyuan Securities Co., Ltd. | | | 03/06/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 5,864 USD | | | | (101 | ) |
Guoyuan Securities Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 5,743 USD | | | | (97 | ) |
GW Pharmaceuticals plc | | | 02/07/23 | | | | M | | | | 0.61 | % | | JPMorgan Chase Bank, N.A. | | | 21,902,722 USD | | | | 159,696 | |
Hainan Development Holding Co., Ltd. | | | 04/04/23 | | | | M | | | | 0.00 | % | | JPMorgan Chase Bank, N.A. | | | 167,672 USD | | | | 2,207 | |
Hainan Development Holding Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.00 | % | | Credit Suisse International | | | 165,769 USD | | | | 2,388 | |
Hangcha Group Co., Ltd. | | | 03/21/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 144,168 USD | | | | 955 | |
Hangcha Group Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 143,934 USD | | | | 999 | |
Hangzhou Advance Gearbox A Co., Ltd. | | | 03/15/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 3,084 USD | | | | 57 | |
Hangzhou Advance Gearbox A Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 3,083 USD | | | | 58 | |
Hangzhou Binjiang Real Estate | | | 03/15/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 119,419 USD | | | | (5,104 | ) |
Hangzhou Binjiang Real Estate | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 119,139 USD | | | | (5,054 | ) |
Hangzhou Boiler Group Co Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 5 USD | | | | — | |
Hangzhou Everfine Photo-E-Info Co., Ltd. | | | 02/27/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 10,756 USD | | | | (590 | ) |
Hangzhou Everfine Photo-E-Info Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 10,618 USD | | | | (579 | ) |
Hangzhou First Applied Material Co., Ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 325,949 USD | | | | 30,535 | |
Hangzhou First Applied Material Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 319,856 USD | | | | 30,075 | |
Hangzhou Gaoxin Rubber & Plastic Materials Co., Ltd. | | | 04/06/23 | | | | M | | | | 0.00 | % | | JPMorgan Chase Bank, N.A. | | | 14,457 USD | | | | (158 | ) |
Hangzhou Gaoxin Rubber & Plastic Materials Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.00 | % | | Credit Suisse International | | | 14,321 USD | | | | (146 | ) |
Hangzhou Hopechart IoT Technology Co., Ltd. | | | 01/30/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 37,338 USD | | | | 2,087 | |
Hangzhou Hopechart IoT Technology Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 37,235 USD | | | | 2,095 | |
Hangzhou Innover Technology Co., Ltd. | | | 03/29/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 4,434 USD | | | | (120 | ) |
Hangzhou Innover Technology Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 4,439 USD | | | | (125 | ) |
Hangzhou Iron & Steel Co., Ltd. | | | 02/22/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 38,555 USD | | | | (2,356 | ) |
Hangzhou Iron & Steel Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 38,179 USD | | | | (2,320 | ) |
Hangzhou Nbond Nonwovens Co., Ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 47,512 USD | | | | (50 | ) |
Hangzhou Nbond Nonwovens Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 47,286 USD | | | | 4 | |
Hangzhou Oxygen Plant Group Co., Ltd. | | | 03/20/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 31,306 USD | | | | 1,048 | |
Hangzhou Oxygen Plant Group Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 31,296 USD | | | | 1,057 | |
Hangzhou Robam Appliances Co., Ltd. | | | 03/14/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 125,809 USD | | | | (3,462 | ) |
See Notes to Consolidated Financial Statements.
173
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | | | | | | | | | | | | | |
Reference
Instrument | | Termination
Date | | | Payment
Frequency | | | Financing
Rate | | | Counterparty | | Notional
Amount | | | Unrealized
Appreciation
(Depreciation) | |
Hangzhou Robam Appliances Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 124,280 USD | | | $ | (3,382 | ) |
Hangzhou Todaytec Digital Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 2,741 USD | | | | (213 | ) |
Hangzhou Todaytec Digital Co., Ltd. | | | 02/22/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 2,970 USD | | | | (232 | ) |
Hangzhou Xzb Tech Co., Ltd. | | | 02/03/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 31,425 USD | | | | (2,257 | ) |
Hangzhou Xzb Tech Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 31,045 USD | | | | (2,219 | ) |
Hangzhou Youngsun Intelligent Equipment Co. Ltd | | | 03/10/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 27,380 USD | | | | (2,115 | ) |
Hangzhou Youngsun Intelligent Equipment Co. Ltd | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 27,001 USD | | | | (2,077 | ) |
Hans Laser Technology, Inc. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 129 USD | | | | 7 | |
Hanshang Group Co Co., Ltd. | | | 03/24/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 17,994 USD | | | | 125 | |
Hanshang Group Co Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 17,991 USD | | | | 128 | |
Harbin Electric Corporation Jiamusi Electric Machine Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 115 USD | | | | 1 | |
Harbin Xinguang Optic-Electronics Technology Co., Ltd | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 104,661 USD | | | | (9,099 | ) |
Harbin Xinguang Optic-Electronics Technology Co., Ltd | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 102,822 USD | | | | (8,906 | ) |
Hbis Resources Co., Ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 339,412 USD | | | | (15,288 | ) |
Hbis Resources Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 338,759 USD | | | | (14,989 | ) |
Healthcare Co., Ltd. | | | 03/31/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 149,260 USD | | | | (2,385 | ) |
Healthcare Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.00 | % | | Credit Suisse International | | | 148,948 USD | | | | (2,591 | ) |
Healthcor 40 Act | | | 08/16/21 | | | | 1M | | | | 0.00 | % | | Morgan Stanley Capital Services LLC | | | 1,700,000 USD | | | | (450,587 | ) |
Heilongjiang Agriculture Co., Ltd. | | | 03/10/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 1,723 USD | | | | (52 | ) |
Heilongjiang Agriculture Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 1,722 USD | | | | (51 | ) |
Henan Mingtai Aluminum Industry Co.,Ltd | | | 03/29/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 285,404 USD | | | | (99 | ) |
Henan Mingtai Aluminum Industry Co.,Ltd | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 282,317 USD | | | | 43 | |
Henan Qing Shui Yuan Technology Co Ltd | | | 03/06/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 22,453 USD | | | | (1,893 | ) |
Henan Qing Shui Yuan Technology Co Ltd | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 22,311 USD | | | | (1,874 | ) |
Henan Yuguang Gold & Lead Co Co., Ltd. | | | 04/11/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 146,190 USD | | | | 40 | |
Henan Yuguang Gold & Lead Co Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 145,842 USD | | | | (50 | ) |
Hengdian Group DMEGC Magnetics Co., Ltd | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 26 USD | | | | (1 | ) |
Hengyi Petrochemical Co Co., Ltd. | | | 01/31/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 226,044 USD | | | | (20,653 | ) |
See Notes to Consolidated Financial Statements.
174
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | | | | | | | | | | | | | |
Reference
Instrument | | Termination
Date | | | Payment
Frequency | | | Financing
Rate | | | Counterparty | | Notional
Amount | | | Unrealized
Appreciation
(Depreciation) | |
Hengyi Petrochemical Co Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 223,514 USD | | | $ | (20,358 | ) |
Hexing Electrical Co., Ltd. | | | 04/11/23 | | | | M | | | | 0.00 | % | | JPMorgan Chase Bank, N.A. | | | 12,977 USD | | | | 114 | |
Hexing Electrical Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.00 | % | | Credit Suisse International | | | 12,762 USD | | | | 97 | |
Hiecise Precision Equipment Co.,Ltd. | | | 02/01/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 18,687 USD | | | | (1,348 | ) |
Hiecise Precision Equipment Co.,Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 18,425 USD | | | | (1,323 | ) |
Hisense Visual Tech Co., Ltd. | | | 02/03/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 4,259 USD | | | | (74 | ) |
Hisense Visual Tech Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 6,209 USD | | | | (106 | ) |
Hithink RoyalFlush Information Network Co., Ltd. | | | 01/25/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 336,765 USD | | | | (5,924 | ) |
Hithink RoyalFlush Information Network Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 331,466 USD | | | | (5,725 | ) |
HMS Holdings Corp. | | | 01/19/23 | | | | M | | | | 0.61 | % | | JPMorgan Chase Bank, N.A. | | | 2,373,545 USD | | | | 8,051 | |
HMS Holdings Corp. | | | 12/23/22 | | | | M | | | | 0.36 | % | | Goldman Sachs International | | | 21,115,640 USD | | | | 71,627 | |
Hongfa Technology Co., Ltd. | | | 04/04/23 | | | | M | | | | 0.00 | % | | JPMorgan Chase Bank, N.A. | | | 195,297 USD | | | | 2,901 | |
Hongfa Technology Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.00 | % | | Credit Suisse International | | | 194,559 USD | | | | 2,810 | |
Huafa Industrial Co., Ltd. | | | 03/01/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 2,858 USD | | | | (43 | ) |
Huafa Industrial Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 2,857 USD | | | | (42 | ) |
Huafon Chemical Co., Ltd. | | | 02/07/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 6,324 USD | | | | (76 | ) |
Huafon Chemical Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 7,405 USD | | | | (87 | ) |
Huaibei Mining Holdings Co Co., Ltd. | | | 03/01/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 2,923 USD | | | | (165 | ) |
Huaibei Mining Holdings Co Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 2,922 USD | | | | (164 | ) |
Hualan Biological Engineering, Inc. | | | 03/29/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 94,552 USD | | | | (1,166 | ) |
Hualan Biological Engineering, Inc. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 93,959 USD | | | | (1,179 | ) |
Huaneng Power International, Inc. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 16 USD | | | | (1 | ) |
Huapont Life Sciences Co Co., Ltd. | | | 03/01/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 167 USD | | | | (2 | ) |
Huapont Life Sciences Co Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 166 USD | | | | (2 | ) |
Huaxin Cement Co., Ltd. | | | 03/10/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 2,398 USD | | | | 137 | |
Huaxin Cement Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 2,397 USD | | | | 138 | |
Huayu Automotive Systems Co., Ltd. | | | 03/29/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 125,091 USD | | | | 3,611 | |
Huayu Automotive Systems Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 123,867 USD | | | | 3,573 | |
Hubei Century Network Technology Co. Ltd. | | | 03/01/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 11,534 USD | | | | (247 | ) |
Hubei Century Network Technology Co. Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 11,529 USD | | | | (243 | ) |
Hubei Jumpcan Pharmaceutical Co.,Ltd. | | | 03/10/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 2,213 USD | | | | (81 | ) |
Hubei Jumpcan Pharmaceutical Co.,Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 2,213 USD | | | | (80 | ) |
Hubei Kaile Science and Technology Co., Ltd. | | | 03/01/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 108 USD | | | | (2 | ) |
Hubei TKD Crystal Electronic Science & Technology Co. Ltd. | | | 02/01/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 12,127 USD | | | | 308 | |
See Notes to Consolidated Financial Statements.
175
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | | | | | | | | | | | | | |
Reference
Instrument | | Termination
Date | | | Payment
Frequency | | | Financing
Rate | | | Counterparty | | Notional
Amount | | | Unrealized
Appreciation
(Depreciation) | |
Hubei TKD Crystal Electronic Science & Technology Co. Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 11,795 USD | | | $ | 304 | |
Hubei Xingfa Chemicals Group Co.,Ltd | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 437,637 USD | | | | 1,466 | |
Hubei Xingfa Chemicals Group Co.,Ltd | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 434,831 USD | | | | 1,144 | |
Huizhou Desay Sv Automotive Co., Ltd. | | | 02/01/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 371,944 USD | | | | 6,787 | |
Huizhou Desay Sv Automotive Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 369,911 USD | | | | 6,883 | |
Hunan Chendian International Development co.,ltd | | | 03/29/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 13,039 USD | | | | 1,489 | |
Hunan Chendian International Development co.,ltd | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 12,934 USD | | | | 1,480 | |
Hunan Haili Chemical Industry Co.,Ltd | | | 01/30/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 167,298 USD | | | | (1,484 | ) |
Hunan Haili Chemical Industry Co.,Ltd | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 166,090 USD | | | | (1,271 | ) |
Hunan Jiudian Pharmaceutical Co., Ltd. | | | 03/03/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 386 USD | | | | 21 | |
Hunan Jiudian Pharmaceutical Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 386 USD | | | | 21 | |
Hunan Oil Pump Co., Ltd. | | | 03/29/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 41,896 USD | | | | 218 | |
Hunan Oil Pump Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 41,426 USD | | | | 199 | |
Hunan Sunday Science and Technology Co., Ltd. | | | 02/03/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 36,990 USD | | | | (2,080 | ) |
Hunan Sunday Science and Technology Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 36,872 USD | | | | (2,062 | ) |
Hunan TV & Broadcast Intermediary Co. Ltd. | | | 02/27/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 53,993 USD | | | | (845 | ) |
Hunan TV & Broadcast Intermediary Co. Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 53,199 USD | | | | (816 | ) |
Hunan Zhenghong Science & Technology Development Co. Ltd. | | | 03/31/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 51,205 USD | | | | 427 | |
Hunan Zhenghong Science & Technology Development Co. Ltd. | | | 07/12/22 | | | | M | | | | 0.00 | % | | Credit Suisse International | | | 50,478 USD | | | | 429 | |
Hundsun Technologies, Inc. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 25,509 USD | | | | (1,162 | ) |
Hundsun Technologies, Inc. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 25,770 USD | | | | (1,166 | ) |
Huolinhe Opencut Coal Ind Corp. Ltd. | | | 03/01/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 161 USD | | | | (8 | ) |
Huolinhe Opencut Coal Ind Corp. Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 161 USD | | | | (8 | ) |
Hvsen Biotechnology Co., Ltd. | | | 03/20/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 626 USD | | | | 3 | |
Ind & Comm Bank of China | | | 03/08/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 4,663 USD | | | | 70 | |
Ind & Comm Bank of China | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 4,578 USD | | | | 70 | |
Indonesian Government Bond | | | 05/18/21 | | | | 3M | | | | 0.00 | % | | Bank of America, N.A. | | | 7,344,615 USD | | | | 517,966 | |
Indonesian Government Bond | | | 05/21/21 | | | | 3M | | | | 0.00 | % | | Bank of America, N.A. | | | 2,331,507 USD | | | | 298,929 | |
Indonesian Government Bond | | | 02/18/22 | | | | 3M | | | | 0.00 | % | | Bank of America, N.A. | | | 80,241 USD | | | | (4,544 | ) |
Industrial Bank Co., Ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 135,775 USD | | | | 1,672 | |
Industrial Bank Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 131,378 USD | | | | 1,659 | |
Inner Mongolia Furui Medical Science Co., Ltd. | | | 02/22/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 21,272 USD | | | | (1,336 | ) |
See Notes to Consolidated Financial Statements.
176
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | | | | | | | | | | | | | |
Reference
Instrument | | Termination
Date | | | Payment
Frequency | | | Financing
Rate | | | Counterparty | | Notional
Amount | | | Unrealized
Appreciation
(Depreciation) | |
Inner Mongolia Furui Medical Science Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 21,006 USD | | | $ | (1,312 | ) |
Inner Mongolia Xingye Mining Co., Ltd. | | | 02/08/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 103 USD | | | | (10 | ) |
Inphi Corp. | | | 11/02/22 | | | | M | | | | 0.61 | % | | JPMorgan Chase Bank, N.A. | | | 26,919,295 USD | | | | 2,136,736 | |
Inventronics (Hangzhou), Inc. | | | 03/31/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 159,029 USD | | | | (2,721 | ) |
Inventronics (Hangzhou), Inc. | | | 07/12/22 | | | | M | | | | 0.00 | % | | Credit Suisse International | | | 157,960 USD | | | | (2,672 | ) |
Jafron Biomedical Co., Ltd. | | | 03/21/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 354,864 USD | | | | 12,475 | |
Jafron Biomedical Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 350,536 USD | | | | 12,363 | |
Jason Furniture (Hangzhou) Co., Ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 135,619 USD | | | | 1,438 | |
Jason Furniture (Hangzhou) Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 134,324 USD | | | | 1,454 | |
Jiangshan Oupai Door Industry Co., Ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 197,125 USD | | | | 9,305 | |
Jiangshan Oupai Door Industry Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 193,805 USD | | | | 9,212 | |
Jiangsu Beiren Robot System Co., Ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 3,261 USD | | | | (178 | ) |
Jiangsu Beiren Robot System Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 2,381 USD | | | | (129 | ) |
Jiangsu Canlon Building Materials Co.,Ltd. | | | 03/31/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 157,336 USD | | | | 7,972 | |
Jiangsu Canlon Building Materials Co.,Ltd. | | | 07/12/22 | | | | M | | | | 0.00 | % | | Credit Suisse International | | | 156,672 USD | | | | 7,983 | |
Jiangsu Changshu Rural Commercial Bank Co., Ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 114,452 USD | | | | (5,119 | ) |
Jiangsu Changshu Rural Commercial Bank Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 101,215 USD | | | | (4,496 | ) |
Jiangsu Cnano Technology Co Co., Ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 24,923 USD | | | | (2,060 | ) |
Jiangsu Cnano Technology Co Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 22,715 USD | | | | (1,870 | ) |
Jiangsu Dongzhu Landscape Co Ltd | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 124 USD | | | | (10 | ) |
Jiangsu Eazytec Co., Ltd. | | | 02/01/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 207 USD | | | | (9 | ) |
Jiangsu Fengshan Group Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 170 USD | | | | 1 | |
Jiangsu Gaoke Petrochemical Co Co., Ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 78,783 USD | | | | (1,105 | ) |
Jiangsu Gaoke Petrochemical Co Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 78,422 USD | | | | (1,075 | ) |
Jiangsu Guomao Reducer Co Co., Ltd. | | | 02/01/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 231,091 USD | | | | 664 | |
Jiangsu Guomao Reducer Co Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 228,736 USD | | | | 730 | |
Jiangsu Hengli Hydraulic Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 182,056 USD | | | | 5,946 | |
Jiangsu Hongda New Material CO., Ltd | | | 04/06/23 | | | | M | | | | 0.00 | % | | JPMorgan Chase Bank, N.A. | | | 26,043 USD | | | | (43 | ) |
Jiangsu Hongda New Material CO., Ltd | | | 07/12/22 | | | | M | | | | 0.00 | % | | Credit Suisse International | | | 25,787 USD | | | | (38 | ) |
Jiangsu King’s Luck Brewery JSC Ltd | | | 03/27/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 21,785 USD | | | | 1,412 | |
Jiangsu King’s Luck Brewery JSC Ltd | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 24,607 USD | | | | 1,583 | |
See Notes to Consolidated Financial Statements.
177
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | | | | | | | | | | | | | |
Reference
Instrument | | Termination
Date | | | Payment
Frequency | | | Financing
Rate | | | Counterparty | | Notional
Amount | | | Unrealized
Appreciation
(Depreciation) | |
Jiangsu Lidao New Material Co., Ltd. | | | 03/17/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 13,511 USD | | | $ | (572 | ) |
Jiangsu Lidao New Material Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 13,355 USD | | | | (561 | ) |
Jiangsu Lopal Tech Co., Ltd. | | | 02/07/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 1,376 USD | | | | (5 | ) |
Jiangsu Lopal Tech Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 1,376 USD | | | | (5 | ) |
Jiangsu Pacific Precision Forging Co., Ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 10 USD | | | | (2 | ) |
Jiangsu Rainbow Heavy Industries Co ., Ltd. | | | 03/01/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 24,508 USD | | | | (1,490 | ) |
Jiangsu Rainbow Heavy Industries Co ., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 24,116 USD | | | | (1,458 | ) |
Jiangsu Shuangxing Color Plastic New Materials Co., Ltd. | | | 03/27/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 150,428 USD | | | | (4,573 | ) |
Jiangsu Shuangxing Color Plastic New Materials Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 149,964 USD | | | | (4,459 | ) |
Jiangsu Tianmu Lake Tourism Co.,Ltd. | | | 03/07/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 48,040 USD | | | | (178 | ) |
Jiangsu Tianmu Lake Tourism Co.,Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 47,945 USD | | | | (161 | ) |
Jiangsu Xinri E-Vehicle Co., Ltd. | | | 02/27/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 45,738 USD | | | | (12 | ) |
Jiangsu Xinri E-Vehicle Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 45,060 USD | | | | 4 | |
Jiangsu Yuyue Medical Equipment & Supply Co., Ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 184 USD | | | | (4 | ) |
Jiangsu Zhongnan Construction Group Co. Ltd. | | | 01/24/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 223,621 USD | | | | (6,701 | ) |
Jiangsu Zhongnan Construction Group Co. Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 221,369 USD | | | | (6,622 | ) |
Jiangsu Zhongtian Technology Co., Ltd. | | | 03/07/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 192,971 USD | | | | (7,990 | ) |
Jiangsu Zhongtian Technology Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 190,405 USD | | | | (7,869 | ) |
Jiangsu Zitian Media Technology Co., Ltd. | | | 02/01/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 21,973 USD | | | | (2,087 | ) |
Jiangsu Zitian Media Technology Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 21,087 USD | | | | (1,996 | ) |
Jiangxi Ganyue Expressway Co Co., Ltd. | | | 02/03/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 43 USD | | | | — | |
Jiangxi Hongcheng Environm A | | | 02/06/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 38,035 USD | | | | 86 | |
Jiangxi Hongcheng Environm A | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 37,711 USD | | | | 91 | |
Jiangxi Selmon Industrial Co Co., Ltd. | | | 02/22/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 5,827 USD | | | | (420 | ) |
Jiangxi Selmon Industrial Co Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 5,738 USD | | | | (412 | ) |
Jiangyin Hengrun Heavy Industries Co., Ltd | | | 04/06/23 | | | | M | | | | 0.00 | % | | JPMorgan Chase Bank, N.A. | | | 105,595 USD | | | | 656 | |
Jiangyin Hengrun Heavy Industries Co., Ltd | | | 07/12/22 | | | | M | | | | 0.00 | % | | Credit Suisse International | | | 104,426 USD | | | | 648 | |
Jiayou International Logistics Co.,Ltd | | | 02/24/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 83,800 USD | | | | 842 | |
Jiayou International Logistics Co.,Ltd | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 83,450 USD | | | | 857 | |
Jingjin Environmental Protection Co., Ltd. | | | 03/08/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 47,418 USD | | | | (2,204 | ) |
See Notes to Consolidated Financial Statements.
178
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | | | | | | | | | | | | | |
Reference
Instrument | | Termination
Date | | | Payment
Frequency | | | Financing
Rate | | | Counterparty | | Notional
Amount | | | Unrealized
Appreciation
(Depreciation) | |
Jingjin Environmental Protection Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 46,739 USD | | | $ | (2,144 | ) |
Jinhua Chunguang Technology Co., Ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 65,219 USD | | | | 1,828 | |
Jinhua Chunguang Technology Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 64,618 USD | | | | 1,830 | |
Jinhui Liquor Co., Ltd. | | | 03/29/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 2,112 USD | | | | (13 | ) |
Jinhui Liquor Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 2,113 USD | | | | (14 | ) |
Jinke Properties Group Co. Ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 87,051 USD | | | | (6,021 | ) |
Jinke Properties Group Co. Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 86,052 USD | | | | (5,927 | ) |
Jinyu Bio-Technology Co., Ltd. | | | 02/01/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 224,091 USD | | | | (12,146 | ) |
Jinyu Bio-Technology Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 221,877 USD | | | | (11,973 | ) |
Jl Mag Rare Earth Co., Ltd. | | | 03/27/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 176,669 USD | | | | (4,056 | ) |
Jl Mag Rare Earth Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 173,854 USD | | | | (3,981 | ) |
Joeone Co., Ltd. | | | 04/06/23 | | | | M | | | | 0.00 | % | | JPMorgan Chase Bank, N.A. | | | 10,171 USD | | | | 62 | |
Joeone Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.00 | % | | Credit Suisse International | | | 10,171 USD | | | | 62 | |
Joinn Laboratories (China) Co., Ltd. | | | 02/06/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 4,757 USD | | | | 426 | |
Joinn Laboratories (China) Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 4,093 USD | | | | 356 | |
Jones Tech PLC | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 30,389 USD | | | | (1,739 | ) |
Jones Tech PLC | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 29,772 USD | | | | (1,695 | ) |
Jonjee Hi-Tech Industrial and Commercial Holding Co., Ltd. | | | 03/08/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 455,179 USD | | | | (4,495 | ) |
Jonjee Hi-Tech Industrial and Commercial Holding Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 452,818 USD | | | | (4,351 | ) |
Joyoung Co., Ltd. | | | 03/03/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 115,981 USD | | | | 2,388 | |
Joyoung Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 114,476 USD | | | | 2,484 | |
Juewei Food Co., Ltd. | | | 03/21/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 269,624 USD | | | | 8,774 | |
Juewei Food Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 266,128 USD | | | | 8,747 | |
Juneyao Airlines Co., Ltd. | | | 03/15/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 161,656 USD | | | | (1,505 | ) |
Juneyao Airlines Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 159,560 USD | | | | (1,474 | ) |
Kaiser (China) Culture Co., Ltd. | | | 04/05/23 | | | | M | | | | 0.00 | % | | JPMorgan Chase Bank, N.A. | | | 2,442 USD | | | | (13 | ) |
Kaiser (China) Culture Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.00 | % | | Credit Suisse International | | | 2,320 USD | | | | (16 | ) |
Kaiyuan Education Technology Group Co., Ltd. | | | 02/13/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 9,819 USD | | | | (742 | ) |
Kaiyuan Education Technology Group Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 9,651 USD | | | | (726 | ) |
Kansas City Southern | | | 03/24/23 | | | | M | | | | 0.61 | % | | JPMorgan Chase Bank, N.A. | | | 28,523,591 USD | | | | 1,652,494 | |
KBC Corp Ltd. | | | 03/03/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 5,126 USD | | | | 27 | |
KBC Corp Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 2,562 USD | | | | 15 | |
Keshun Waterproof Technologies Co., Ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 14,665 USD | | | | (184 | ) |
Keshun Waterproof Technologies Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 14,661 USD | | | | (179 | ) |
Kingclean Electric Co., Ltd. | | | 03/10/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 2,862 USD | | | | 275 | |
Kingclean Electric Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 2,861 USD | | | | 276 | |
Kingfa Sci.+ Tech Co., Ltd. | | | 03/17/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 88,070 USD | | | | (5,271 | ) |
Kingfa Sci.+ Tech Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 87,690 USD | | | | (5,222 | ) |
Kingsemi Co., Ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 900 USD | | | | (58 | ) |
Kuaijishan Shaoxing Rice Wine Co., Ltd. | | | 03/20/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 78 USD | | | | — | |
Kunshan Kersen Science & Technology co., Ltd. | | | 03/17/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 58,212 USD | | | | (601 | ) |
See Notes to Consolidated Financial Statements.
179
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | | | | | | | | | | | | | |
Reference
Instrument | | Termination
Date | | | Payment
Frequency | | | Financing
Rate | | | Counterparty | | Notional
Amount | | | Unrealized
Appreciation
(Depreciation) | |
Kunshan Kersen Science & Technology co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 57,640 USD | | | $ | (577 | ) |
Kweichow Moutai Co., Ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 46,471 USD | | | | 115 | |
Kweichow Moutai Co., Ltd. A | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 30,563 USD | | | | 85 | |
Lafang China Co., Ltd. | | | 03/28/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 29,259 USD | | | | (1,076 | ) |
Lafang China Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 29,018 USD | | | | (1,075 | ) |
Ledman Optoelectronic Co., Ltd. | | | 03/03/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 10,031 USD | | | | (786 | ) |
Ledman Optoelectronic Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 9,860 USD | | | | (769 | ) |
Leon Technology Co., Ltd. | | | 02/28/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 1 USD | | | | — | |
Lianhe Chemical Technology Co., Ltd. | | | 02/22/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 1,479 USD | | | | 34 | |
Lianhe Chemical Technology Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 1,479 USD | | | | 34 | |
Lier Chemical Co., Ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 68,275 USD | | | | (3,298 | ) |
Lier Chemical Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 64,375 USD | | | | (3,091 | ) |
LingNan Eco and Culture-Tourism Co., Ltd. | | | 03/31/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 29,782 USD | | | | (827 | ) |
LingNan Eco and Culture-Tourism Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.00 | % | | Credit Suisse International | | | 29,479 USD | | | | (816 | ) |
Lingyi Itech Guangdong Co Co., Ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 21,887 USD | | | | (1,546 | ) |
Lingyi Itech Guangdong Co Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 20,242 USD | | | | (1,424 | ) |
Liuzhou Iron & Steel Co., Ltd. | | | 03/01/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 6,254 USD | | | | (440 | ) |
Liuzhou Iron & Steel Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 6,252 USD | | | | (438 | ) |
Livzon Pharmaceutical Group | | | 02/24/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 4,382 USD | | | | 65 | |
Livzon Pharmaceutical Group | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 3,765 USD | | | | 57 | |
Loncin Motor Co., Ltd. | | | 03/10/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 9,768 USD | | | | (468 | ) |
Loncin Motor Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 9,661 USD | | | | (460 | ) |
LONGi Green Energy Technology Co., Ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 34,793 USD | | | | 2,797 | |
LONGi Green Energy Technology Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 38,554 USD | | | | 3,063 | |
Longjian Road & Bridge Co., Ltd. | | | 02/22/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 4,513 USD | | | | 118 | |
Longjian Road & Bridge Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 4,466 USD | | | | 119 | |
Longyan Zhuoyue New Energy Co., Ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 5,396 USD | | | | (702 | ) |
Longyan Zhuoyue New Energy Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 5,649 USD | | | | (734 | ) |
Lucky Harvest Co., Ltd. | | | 03/29/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 59,775 USD | | | | (1,484 | ) |
Lucky Harvest Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 59,196 USD | | | | (1,450 | ) |
Luoyang Glass Co., Ltd. | | | 03/29/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 156,958 USD | | | | 1,809 | |
Luoyang Glass Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 156,022 USD | | | | 1,941 | |
Luoyang Jalon Micro-nano New Materials Co., Ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 9,314 USD | | | | 250 | |
Luoyang Jalon Micro-nano New Materials Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 6,892 USD | | | | 192 | |
Luoyang Xinqianglian Slew Bearing Co. Ltd. | | | 03/29/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 151,964 USD | | | | (13,007 | ) |
Luoyang Xinqianglian Slew Bearing Co. Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 151,984 USD | | | | (13,026 | ) |
See Notes to Consolidated Financial Statements.
180
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | | | | | | | | | | | | | |
Reference
Instrument | | Termination
Date | | | Payment
Frequency | | | Financing
Rate | | | Counterparty | | Notional
Amount | | | Unrealized
Appreciation
(Depreciation) | |
Luxi Chemical Group Co., Ltd. | | | 03/10/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 120,600 USD | | | $ | 3,782 | |
Luxi Chemical Group Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 119,622 USD | | | | 3,813 | |
Maanshan Iron & Steel Co., Ltd. | | | 03/01/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 3,749 USD | | | | 157 | |
Maanshan Iron & Steel Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 3,747 USD | | | | 158 | |
Maccura Biotech Co., Ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 196,744 USD | | | | 5,191 | |
Maccura Biotech Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 194,395 USD | | | | 5,191 | |
Macrolink Culturaltainment Development Co., Ltd. | | | 02/28/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 51,051 USD | | | | (3,365 | ) |
Macrolink Culturaltainment Development Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 50,745 USD | | | | (3,330 | ) |
Magellan Health, Inc. | | | 01/19/23 | | | | M | | | | 0.61 | % | | JPMorgan Chase Bank, N.A. | | | 10,042,873 USD | | | | (11,834 | ) |
Magellan Health, Inc. | | | 01/06/23 | | | | M | | | | 0.36 | % | | Goldman Sachs International | | | 11,577,454 USD | | | | (13,642 | ) |
Mango Excellent Media Co.,Ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 186,455 USD | | | | 7,083 | |
Mango Excellent Media Co.,Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 182,374 USD | | | | 6,988 | |
Masterwork Group Co., Ltd. | | | 03/08/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 2,182 USD | | | | (214 | ) |
Masterwork Group Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 2,181 USD | | | | (213 | ) |
Maxim Integrated Products | | | 07/15/22 | | | | M | | | | 0.36 | % | | Goldman Sachs International | | | 26,736,178 USD | | | | 209,383 | |
Maxscend Microelectronics Co., Ltd. | | | 03/29/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 151,536 USD | | | | 6,405 | |
Maxscend Microelectronics Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 151,488 USD | | | | 6,453 | |
Meinian Onehealth Healthcare Holdings Co., Ltd. | | | 02/07/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 20,022 USD | | | | 443 | |
Meinian Onehealth Healthcare Holdings Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 18,176 USD | | | | 408 | |
Metro Land Corp. Ltd. | | | 04/06/23 | | | | M | | | | 0.00 | % | | JPMorgan Chase Bank, N.A. | | | 62,943 USD | | | | 668 | |
Metro Land Corp. Ltd. | | | 07/12/22 | | | | M | | | | 0.00 | % | | Credit Suisse International | | | 62,143 USD | | | | 652 | |
Ming Yang Smart Energy Group Ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 209,748 USD | | | | (9,125 | ) |
Ming Yang Smart Energy Group Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 207,608 USD | | | | (9,001 | ) |
Mingchen Health Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 345 USD | | | | 14 | |
Montage Technology Co., Ltd. | | | 02/27/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 4,002 USD | | | | (267 | ) |
Montage Technology Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 4,001 USD | | | | (266 | ) |
Montage Technology Co., Ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 58,606 USD | | | | (3,923 | ) |
Montage Technology Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 58,865 USD | | | | (3,921 | ) |
Ms Intraday Trend Swap | | | 10/25/22 | | | | M | | | | 0.15 | % | | Morgan Stanley Capital Services LLC | | | 240,373,191 USD | | | | 276,470 | |
Mts Systems Corp. | | | 12/13/22 | | | | M | | | | 0.36 | % | | Goldman Sachs International | | | 2,737,415 USD | | | | (4,227 | ) |
Mys Group Co., Ltd. | | | 03/22/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 9,379 USD | | | | (242 | ) |
Mys Group Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 9,320 USD | | | | (238 | ) |
Nanjing Chervon Auto Precision Technology Co., Ltd | | | 03/31/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 63,743 USD | | | | 1,184 | |
Nanjing Chervon Auto Precision Technology Co., Ltd | | | 07/12/22 | | | | M | | | | 0.00 | % | | Credit Suisse International | | | 63,494 USD | | | | 1,190 | |
Nanjing Gaoke Co., Ltd. | | | 03/10/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 2,037 USD | | | | (40 | ) |
Nanjing Gaoke Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 1,880 USD | | | | (37 | ) |
Nanjing Hanrui Cobalt Co., Ltd. | | | 03/22/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 193,722 USD | | | | 809 | |
Nanjing Hanrui Cobalt Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 191,377 USD | | | | 836 | |
Nanjing Iron and Steel Group Co., Ltd. | | | 02/24/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 29,332 USD | | | | 2,069 | |
Nanjing Iron and Steel Group Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 29,046 USD | | | | 2,008 | |
See Notes to Consolidated Financial Statements.
181
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | | | | | | | | | | | | | |
Reference
Instrument | | Termination
Date | | | Payment
Frequency | | | Financing
Rate | | | Counterparty | | Notional
Amount | | | Unrealized
Appreciation
(Depreciation) | |
Nanjing Julong Science & Technology Co.,Ltd. | | | 03/29/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 53,933 USD | | | $ | (4,257 | ) |
Nanjing Julong Science & Technology Co.,Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 53,405 USD | | | | (4,221 | ) |
Nanjing King-Friend Biochemical Pharmaceutical Co., Ltd. | | | 03/20/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 5,748 USD | | | | (30 | ) |
Nanjing King-Friend Biochemical Pharmaceutical Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 5,519 USD | | | | (27 | ) |
Nari Technology Co., Ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 273 USD | | | | (7 | ) |
Navistar International Corp. | | | 11/14/22 | | | | M | | | | 0.36 | % | | Goldman Sachs International | | | 22,120,760 USD | | | | (20,078 | ) |
Navtech, Inc. | | | 02/24/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 201 USD | | | | 3 | |
Neway Valve Suzhou Co., Ltd. | | | 03/15/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 47,566 USD | | | | (4,132 | ) |
Neway Valve Suzhou Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 47,113 USD | | | | (4,078 | ) |
Ninestar Corp. | | | 03/22/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 6,814 USD | | | | (367 | ) |
Ninestar Corp. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 6,411 USD | | | | (343 | ) |
Ningbo Henghe Mould Co., Ltd. | | | 02/01/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 19,361 USD | | | | (1,340 | ) |
Ningbo Henghe Mould Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 19,133 USD | | | | (1,318 | ) |
Ningbo Huaxiang Electronic Co., Ltd. | | | 04/05/23 | | | | M | | | | 0.00 | % | | JPMorgan Chase Bank, N.A. | | | 72,177 USD | | | | 88 | |
Ningbo Huaxiang Electronic Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.00 | % | | Credit Suisse International | | | 71,248 USD | | | | 1 | |
Ningbo Lehui International Engineering Equipment Co., Ltd. | | | 03/08/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 26,065 USD | | | | 154 | |
Ningbo Lehui International Engineering Equipment Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 26,056 USD | | | | 163 | |
Ningbo Ligong Environment And Energy Technology Co., Ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 19,646 USD | | | | (706 | ) |
Ningbo Ligong Environment And Energy Technology Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 19,279 USD | | | | (686 | ) |
Ningbo Peacebird Fashion Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 379 USD | | | | 75 | |
Ningbo Ronbay New Energy Technology Co., Ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 118,311 USD | | | | 5,502 | |
Ningbo Ronbay New Energy Technology Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 119,484 USD | | | | 5,600 | |
Ningbo Tuopu Group Co., Ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 184,420 USD | | | | (258 | ) |
Ningbo Tuopu Group Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 181,853 USD | | | | (242 | ) |
Ningxia Baofeng Energy Group Co., Ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 9,917 USD | | | | 356 | |
Ningxia Baofeng Energy Group Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 11,134 USD | | | | 334 | |
NKY Medical Holdings Ltd. | | | 02/13/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 11,619 USD | | | | (561 | ) |
NKY Medical Holdings Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 11,444 USD | | | | (548 | ) |
NWI Basmf | | | 08/16/21 | | | | 1M | | | | 0.00 | % | | Morgan Stanley Capital Services LLC | | | 1,629,464 USD | | | | (3,100,535 | ) |
Ob Telecom Electronics Co., Ltd. | | | 02/22/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 7,140 USD | | | | (427 | ) |
Ob Telecom Electronics Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 7,056 USD | | | | (420 | ) |
Ocean’s King Lighting Science & Technology Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 6,590 USD | | | | (235 | ) |
Ocean’s King Lighting Science & Technology Co., Ltd. | | | 03/22/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 6,592 USD | | | | (238 | ) |
See Notes to Consolidated Financial Statements.
182
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | | | | | | | | | | | | | |
Reference
Instrument | | Termination
Date | | | Payment
Frequency | | | Financing
Rate | | | Counterparty | | Notional
Amount | | | Unrealized
Appreciation
(Depreciation) | |
Oceanwide Holdings Co., Ltd. | | | 02/22/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 67,940 USD | | | $ | (5,263 | ) |
Oceanwide Holdings Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 67,555 USD | | | | (5,214 | ) |
Offshore Oil Engineering Co., Ltd. | | | 02/28/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 21,475 USD | | | | (1,434 | ) |
Offshore Oil Engineering Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 21,172 USD | | | | (1,407 | ) |
Oppein Home Group Inc. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 454,477 USD | | | | (6,076 | ) |
Oppein Home Group Inc. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 448,277 USD | | | | (5,863 | ) |
Opple Lighting Co., Ltd. | | | 02/07/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 424 USD | | | | 2 | |
Org Technology Co., Ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 157,731 USD | | | | (7,239 | ) |
Org Technology Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 156,439 USD | | | | (7,145 | ) |
Orient Securities Co., Ltd. | | | 01/20/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 55,735 USD | | | | (4,710 | ) |
Orient Securities Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 55,222 USD | | | | (4,671 | ) |
Ovctek China Inc. | | | 02/06/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 6,092 USD | | | | 784 | |
Ovctek China Inc. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 3,654 USD | | | | 472 | |
PCI-SUNTEK Payment Technology Co., Ltd. | | | 03/01/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 2 USD | | | | — | |
People’s United Financial, Inc. | | | 02/24/23 | | | | M | | | | 0.61 | % | | JPMorgan Chase Bank, N.A. | | | 22,556,225 USD | | | | 568,427 | |
Perspecta Inc. | | | 01/31/23 | | | | M | | | | 0.36 | % | | Goldman Sachs International | | | 28,162,447 USD | | | | (67,698 | ) |
PharmaBlock Sciences (Nanjing), Inc. | | | 03/27/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 11,648 USD | | | | 132 | |
PharmaBlock Sciences (Nanjing), Inc. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 11,648 USD | | | | 132 | |
Pharmaron Beijing Co., Ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 241,069 USD | | | | 52,262 | |
Pharmaron Beijing Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 239,810 USD | | | | 52,081 | |
Ping An Bank Co., Ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 14,568 USD | | | | 207 | |
Ping An Bank Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 13,570 USD | | | | 197 | |
Ping An Health Insurance Company of China, Ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 58,863 USD | | | | (1,233 | ) |
Ping An Health Insurance Company of China, Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 57,618 USD | | | | (1,189 | ) |
Pnc Process Systems Co., Ltd. | | | 04/04/23 | | | | M | | | | 0.00 | % | | JPMorgan Chase Bank, N.A. | | | 169,411 USD | | | | 323 | |
Pnc Process Systems Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.00 | % | | Credit Suisse International | | | 167,604 USD | | | | 249 | |
Pnm Resources, Inc. | | | 10/25/22 | | | | M | | | | 0.61 | % | | JPMorgan Chase Bank, N.A. | | | 26,753,996 USD | | | | 49,180 | |
Poly Union Chemical Holding Group Co., Ltd. | | | 02/22/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 19,557 USD | | | | (81 | ) |
Poly Union Chemical Holding Group Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 19,347 USD | | | | (73 | ) |
Porton Pharma Solutions Ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 198,424 USD | | | | 31,990 | |
Porton Pharma Solutions Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 189,860 USD | | | | 30,887 | |
Pra Health Sciences, Inc. | | | 02/28/23 | | | | M | | | | 0.61 | % | | JPMorgan Chase Bank, N.A. | | | 29,539,438 USD | | | | 754,737 | |
Primeton Information Technologies, Inc. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 5,867 USD | | | | (194 | ) |
Primeton Information Technologies, Inc. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 6,854 USD | | | | (229 | ) |
Proya Cosmetics Co., Ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 1,532 USD | | | | 24 | |
Pulike Biological Engineering, Inc. | | | 03/21/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 84,150 USD | | | | (3,586 | ) |
Pulike Biological Engineering, Inc. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 83,797 USD | | | | (3,544 | ) |
Pylon Technologies Co., Ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 86,601 USD | | | | (5,897 | ) |
Pylon Technologies Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 107,663 USD | | | | (7,296 | ) |
Qi An Xin Technology Group, Inc. | | | 02/06/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 252 USD | | | | (35 | ) |
See Notes to Consolidated Financial Statements.
183
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | | | | | | | | | | | | | |
Reference
Instrument | | Termination
Date | | | Payment
Frequency | | | Financing
Rate | | | Counterparty | | Notional
Amount | | | Unrealized
Appreciation
(Depreciation) | |
Qianhe Condiment and Food Co., Ltd. | | | 02/01/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 2,243 USD | | | $ | 15 | |
Qianhe Condiment and Food Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 2,242 USD | | | | 15 | |
QITIAN Technology Group Co., Ltd. | | | 02/22/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 13,536 USD | | | | (1,571 | ) |
QITIAN Technology Group Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 13,472 USD | | | | (1,559 | ) |
QuakeSafe Technologies Co. Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 237 USD | | | | 16 | |
Quectel Wireless Solutions Co., Ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 254,394 USD | | | | (14,852 | ) |
Quectel Wireless Solutions Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 254,314 USD | | | | (14,771 | ) |
QuMei Home Furnishings Group Co., Ltd. | | | 03/31/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 93,881 USD | | | | 2,878 | |
QuMei Home Furnishings Group Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.00 | % | | Credit Suisse International | | | 92,936 USD | | | | 2,831 | |
Raytron Technology Co., Ltd. A | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 1,323 USD | | | | 3 | |
Raytron Technology Co., Ltd. A | | | 02/22/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 2,646 USD | | | | 7 | |
Raytron Technology Co., Ltd. A | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 2,267 USD | | | | 6 | |
Realcan Pharmaceutical Group Co., Ltd. | | | 02/24/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 416 USD | | | | (3 | ) |
Realcan Pharmaceutical Group Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 416 USD | | | | (3 | ) |
Red Avenue New Materials Group Co., Ltd. | | | 02/28/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 138,871 USD | | | | 1,110 | |
Red Avenue New Materials Group Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 137,785 USD | | | | 1,834 | |
Renhe Pharmacy Co., Ltd. | | | 03/27/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 55,332 USD | | | | (2,355 | ) |
Renhe Pharmacy Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 54,926 USD | | | | (2,359 | ) |
Repsol S.A | | | 05/25/22 | | | | M | | | | 0.19 | % | | Morgan Stanley Capital Services LLC | | | 260,832 EUR | | | | — | |
Rongsheng Petrochemical Co., Ltd. | | | 01/23/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 411,171 USD | | | | (11,494 | ) |
Rongsheng Petrochemical Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 410,865 USD | | | | (11,315 | ) |
Rongyu Group Co., Ltd. | | | 02/27/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 15,945 USD | | | | (1,179 | ) |
Rongyu Group Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 15,720 USD | | | | (1,157 | ) |
RSA Insurance Group PLC | | | 02/07/23 | | | | M | | | | 0.60 | % | | JPMorgan Chase Bank, N.A. | | | 559,891 GBP | | | | — | |
RSA Insurance Group PLC | | | 11/22/22 | | | | M | | | | 0.45 | % | | Goldman Sachs International | | | 12,798,680 GBP | | | | — | |
Ruida Futures Co., Ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 60,741 USD | | | | (1,812 | ) |
Ruida Futures Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 60,420 USD | | | | (1,809 | ) |
Sailun Group Co., Ltd. | | | 02/01/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 26 USD | | | | (1 | ) |
Sanquan Food Co., Ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 182,505 USD | | | | 1,423 | |
Sanquan Food Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 179,726 USD | | | | 1,441 | |
Sansteel Minguang Co., Ltd. | | | 03/01/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 277,136 USD | | | | (8,046 | ) |
Sansteel Minguang Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 276,273 USD | | | | (8,091 | ) |
Sanxiang Impression Co., Ltd. | | | 03/17/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 7,629 USD | | | | (320 | ) |
Sanxiang Impression Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 7,495 USD | | | | (312 | ) |
Sany Heavy Industry Co., Ltd. | | | 02/01/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 24,883 USD | | | | (1,960 | ) |
Sany Heavy Industry Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 27,702 USD | | | | (2,174 | ) |
Sdic Capital Co., Ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 31,056 USD | | | | (465 | ) |
Sdic Capital Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 30,662 USD | | | | (461 | ) |
See Notes to Consolidated Financial Statements.
184
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | | | | | | | | | | | | | |
Reference
Instrument | | Termination
Date | | | Payment
Frequency | | | Financing
Rate | | | Counterparty | | Notional
Amount | | | Unrealized
Appreciation
(Depreciation) | |
Seazen Holdings Co., Ltd. | | | 02/01/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 280,000 USD | | | $ | 4,387 | |
Seazen Holdings Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 279,912 USD | | | | 4,475 | |
Seiga Mix | | | 12/27/21 | | | | 1M | | | | 0.00 | % | | Morgan Stanley Capital Services LLC | | | 1,500,000 USD | | | | (3,285,602 | ) |
Sg Micro Corp. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 19,883 USD | | | | 1,288 | |
Sg Micro Corp. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 19,214 USD | | | | 1,251 | |
Shaanxi Construction Machinery Co., Ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 117 USD | | | | (22 | ) |
Shan Xi Hua Yang Group New Energy Co.,Ltd. | | | 03/01/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 3,091 USD | | | | (3 | ) |
Shan Xi Hua Yang Group New Energy Co.,Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 2,936 USD | | | | (2 | ) |
Shandong Bohui Paper Industry Co., Ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 165,121 USD | | | | 14,866 | |
Shandong Bohui Paper Industry Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.00 | % | | Credit Suisse International | | | 164,196 USD | | | | 14,759 | |
Shandong Buchang Pharmaceuticals Co., Ltd. | | | 03/01/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 3,547 USD | | | | (65 | ) |
Shandong Buchang Pharmaceuticals Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 3,192 USD | | | | (57 | ) |
Shandong Chenming Paper Holdings Ltd. | | | 03/01/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 160 USD | | | | (5 | ) |
Shandong Chenming Paper Holdings Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 160 USD | | | | (5 | ) |
Shandong Donghong Pipe Industry Co., Ltd. | | | 03/08/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 128,860 USD | | | | (5,284 | ) |
Shandong Donghong Pipe Industry Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 128,584 USD | | | | (5,243 | ) |
Shandong Head Co., Ltd. | | | 02/28/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 55,745 USD | | | | 3,787 | |
Shandong Head Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 51,284 USD | | | | 3,503 | |
Shandong Hi Speed Co., Ltd. | | | 03/01/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 3,484 USD | | | | (121 | ) |
Shandong Hi Speed Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 3,284 USD | | | | (113 | ) |
Shandong Hualu-Hengsheng Chemical Co., Ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 81,198 USD | | | | 2,437 | |
Shandong Hualu-Hengsheng Chemical Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 80,617 USD | | | | 2,446 | |
Shandong Jinjing Science & Technology Stock Co., Ltd. | | | 04/04/23 | | | | M | | | | 0.00 | % | | JPMorgan Chase Bank, N.A. | | | 168,958 USD | | | | (400 | ) |
Shandong Jinjing Science & Technology Stock Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.00 | % | | Credit Suisse International | | | 167,304 USD | | | | (372 | ) |
Shandong Linglong Tyre Co., Ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 386 USD | | | | (7 | ) |
Shandong Longda Meat Foodstuff Co., Ltd. | | | 01/27/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 21,112 USD | | | | (1,187 | ) |
Shandong Longda Meat Foodstuff Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 19,817 USD | | | | (1,109 | ) |
Shandong Lubei Chemical Co., Ltd. | | | 03/31/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 49,631 USD | | | | (19 | ) |
Shandong Lubei Chemical Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.00 | % | | Credit Suisse International | | | 49,133 USD | | | | (47 | ) |
Shandong Pharmaceutical Glass Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 373 USD | | | | 2 | |
Shandong Shida Shenghua Chemical Group Co., Ltd. | | | 02/07/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 7,172 USD | | | | (60 | ) |
See Notes to Consolidated Financial Statements.
185
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | | | | | | | | | | | | | |
Reference
Instrument | | Termination
Date | | | Payment
Frequency | | | Financing
Rate | | | Counterparty | | Notional
Amount | | | Unrealized
Appreciation
(Depreciation) | |
Shandong Shida Shenghua Chemical Group Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 3,073 USD | | | $ | (25 | ) |
Shandong Sunway Petrochemical Engineering Co., Ltd. | | | 02/28/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 147,518 USD | | | | 1,873 | |
Shandong Sunway Petrochemical Engineering Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.00 | % | | Credit Suisse International | | | 147,194 USD | | | | 1,928 | |
Shandong Yanggu Huatai Chemical Co., Ltd. | | | 03/24/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 34,665 USD | | | | (4,252 | ) |
Shandong Yanggu Huatai Chemical Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 32,704 USD | | | | (4,001 | ) |
Shanghai Aiko Solar Energy Co., Ltd. | | | 03/22/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 150,433 USD | | | | (3,007 | ) |
Shanghai Aiko Solar Energy Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 150,196 USD | | | | (2,955 | ) |
Shanghai Bailian Group Co.,Ltd. | | | 02/06/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 39 USD | | | | (1 | ) |
Shanghai Bailian Group Co.,Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 83 USD | | | | (2 | ) |
Shanghai Bairun Investment Holding Group Co., Ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 2,075 USD | | | | 170 | |
Shanghai Bairun Investment Holding Group Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 1,551 USD | | | | 129 | |
Shanghai Baosight Software Co., Ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 91,630 USD | | | | 6,422 | |
Shanghai Baosight Software Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 89,936 USD | | | | 6,333 | |
Shanghai Belling Co., Ltd. | | | 02/06/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 24,553 USD | | | | 983 | |
Shanghai Belling Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 24,023 USD | | | | 970 | |
Shanghai Bright Power Semiconductor Co., Ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 3,082 USD | | | | 202 | |
Shanghai CDXJ Digital Technology Co., Ltd. | | | 03/03/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 11,840 USD | | | | (194 | ) |
Shanghai CDXJ Digital Technology Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 11,608 USD | | | | (187 | ) |
Shanghai Daimay Automotive Interior Co., Ltd. | | | 03/15/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 22,474 USD | | | | (90 | ) |
Shanghai Daimay Automotive Interior Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 22,467 USD | | | | (83 | ) |
Shanghai Fengyuzhu Culture Technology Co., Ltd. | | | 03/08/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 74,034 USD | | | | (3,567 | ) |
Shanghai Fengyuzhu Culture Technology Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 73,990 USD | | | | (3,522 | ) |
Shanghai Haishun New Pharmaceutical Packaging Co., Ltd. | | | 03/08/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 36,607 USD | | | | (197 | ) |
Shanghai Haishun New Pharmaceutical Packaging Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 36,594 USD | | | | (184 | ) |
Shanghai Haohai Biological Technology Co., Ltd. | | | 04/11/23 | | | | M | | | | 0.00 | % | | JPMorgan Chase Bank, N.A. | | | 41,065 USD | | | | (249 | ) |
Shanghai Haohai Biological Technology Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.00 | % | | Credit Suisse International | | | 39,192 USD | | | | (233 | ) |
Shanghai Haohai Biological Technology Co., Ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 684 USD | | | | 45 | |
Shanghai Haohai Biological Technology Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 1,925 USD | | | | 127 | |
See Notes to Consolidated Financial Statements.
186
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | | | | | | | | | | | | | |
Reference
Instrument | | Termination
Date | | | Payment
Frequency | | | Financing
Rate | | | Counterparty | | Notional
Amount | | | Unrealized
Appreciation
(Depreciation) | |
Shanghai Huace Navigation Technology Ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 21,010 USD | | | $ | 124 | |
Shanghai Huace Navigation Technology Ltd. | | | 07/12/22 | | | | M | | | | 0.00 | % | | Credit Suisse International | | | 19,818 USD | | | | 82 | |
Shanghai Jahwa United Co., Ltd. | | | 02/10/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 155,625 USD | | | | (3,250 | ) |
Shanghai Jahwa United Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 152,584 USD | | | | (3,139 | ) |
Shanghai Jinjiang International Investment Management Co., Ltd. | | | 02/01/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 94,753 USD | | | | 2,616 | |
Shanghai Jinjiang International Investment Management Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 93,075 USD | | | | 2,600 | |
Shanghai Kehua Bio-Engineering co., Ltd. | | | 03/17/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 130,231 USD | | | | 52 | |
Shanghai Kehua Bio-Engineering co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 130,048 USD | | | | 92 | |
Shanghai Kelai Mechatronics Engineeering Co. Ltd. | | | 03/15/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 220 USD | | | | (8 | ) |
Shanghai Kinetic Co., Ltd. | | | 02/14/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 29,385 USD | | | | (466 | ) |
Shanghai Kinetic Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 28,910 USD | | | | (449 | ) |
Shanghai LongYun Media Group Co., Ltd. | | | 02/22/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 27,369 USD | | | | (757 | ) |
Shanghai LongYun Media Group Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 27,172 USD | | | | (751 | ) |
Shanghai Mechanical & Electrical Industry Co., Ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 293 USD | | | | 2 | |
Shanghai Mechanical & Electrical Industry Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 293 USD | | | | 2 | |
Shanghai Medicilon, Inc. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 7,856 USD | | | | 1,177 | |
Shanghai Medicilon, Inc. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 6,422 USD | | | | 964 | |
Shanghai Moons’ Electric Co,. Ltd. | | | 03/08/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 10,233 USD | | | | (360 | ) |
Shanghai Moons’ Electric Co,. Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 9,992 USD | | | | (349 | ) |
Shanghai Nar Industrial Co Ltd | | | 01/20/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 6,620 USD | | | | (785 | ) |
Shanghai Nar Industrial Co Ltd | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 6,363 USD | | | | (753 | ) |
Shanghai Pudong Construction Co., Ltd. | | | 02/10/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 37 USD | | | | — | |
Shanghai Pudong International Airport | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 21,322 USD | | | | (1,006 | ) |
Shanghai Pudong International Airport | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 19,461 USD | | | | (912 | ) |
Shanghai Runda Medical Technology Co., Ltd | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 50 USD | | | | 3 | |
Shanghai Shen Lian Biomedical Corp. | | | 02/22/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 6,125 USD | | | | (594 | ) |
Shanghai Shen Lian Biomedical Corp. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 5,605 USD | | | | (542 | ) |
Shanghai Shenqi Pharmaceutical Investment Management Co., Ltd. | | | 03/22/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 5,232 USD | | | | (186 | ) |
Shanghai Shenqi Pharmaceutical Investment Management Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 5,160 USD | | | | (182 | ) |
See Notes to Consolidated Financial Statements.
187
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | | | | | | | | | | | | | |
Reference
Instrument | | Termination
Date | | | Payment
Frequency | | | Financing
Rate | | | Counterparty | | Notional
Amount | | | Unrealized
Appreciation
(Depreciation) | |
Shanghai Shimao Co., Ltd. | | | 02/22/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 923 USD | | | $ | (62 | ) |
Shanghai Shimao Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 922 USD | | | | (62 | ) |
Shanghai Sinyang Semiconductor Materials Co., Ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 27,370 USD | | | | (645 | ) |
Shanghai Sinyang Semiconductor Materials Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 27,361 USD | | | | (636 | ) |
Shanghai Smith Adhesive New Material Co., Ltd. | | | 04/06/23 | | | | M | | | | 0.00 | % | | JPMorgan Chase Bank, N.A. | | | 81,413 USD | | | | 53 | |
Shanghai Smith Adhesive New Material Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.00 | % | | Credit Suisse International | | | 80,378 USD | | | | 66 | |
Shanghai Taisheng Wind Power Equipment Co., Ltd. | | | 02/01/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 160,605 USD | | | | (13,538 | ) |
Shanghai Taisheng Wind Power Equipment Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 160,341 USD | | | | (13,461 | ) |
Shanghai Weaver Network Co., Ltd. | | | 02/07/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 69,818 USD | | | | 5,164 | |
Shanghai Weaver Network Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 72,398 USD | | | | 5,362 | |
Shanghai Weihong Electronic Technology Co., Ltd. | | | 03/08/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 7,757 USD | | | | (50 | ) |
Shanghai Weihong Electronic Technology Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 7,461 USD | | | | (50 | ) |
Shanghai Welltech Automation Co., Ltd. | | | 04/06/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 8,997 USD | | | | 45 | |
Shanghai Welltech Automation Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 9,095 USD | | | | 49 | |
Shanghai Wondertek Software. Co., Ltd. | | | 02/28/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 93,428 USD | | | | (7,170 | ) |
Shanghai Wondertek Software. Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 93,222 USD | | | | (7,203 | ) |
Shanghai Xintonglian Packaging Co., Ltd. | | | 02/22/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 23,018 USD | | | | (955 | ) |
Shanghai Xintonglian Packaging Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 22,681 USD | | | | (934 | ) |
Shanghai Yahong Moulding Co., Ltd. | | | 03/20/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 40 USD | | | | (2 | ) |
Shanghai Yongli Belting Co., Ltd. | | | 03/08/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 20,685 USD | | | | (1,170 | ) |
Shanghai Yongli Belting Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 20,418 USD | | | | (1,148 | ) |
Shanghai Zhangjiang Hi-Tech Park Development Co.,Ltd. | | | 04/11/23 | | | | M | | | | 0.00 | % | | JPMorgan Chase Bank, N.A. | | | 171,839 USD | | | | 687 | |
Shanghai Zhangjiang Hi-Tech Park Development Co.,Ltd. | | | 07/12/22 | | | | M | | | | 0.00 | % | | Credit Suisse International | | | 170,196 USD | | | | 542 | |
Shanxi C&Y Pharmaceutical Group Co., Ltd. | | | 02/01/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 110,188 USD | | | | (5,697 | ) |
Shanxi C&Y Pharmaceutical Group Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 109,113 USD | | | | (5,604 | ) |
Shanxi Xinghuacun Fen Wine Factory Co., Ltd. | | | 03/07/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 237,961 USD | | | | 10,814 | |
Shanxi Xinghuacun Fen Wine Factory Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 237,837 USD | | | | 10,938 | |
Shanxi Yongdong Chemistry Industry Co., Ltd. | | | 03/28/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 44,999 USD | | | | (1,637 | ) |
See Notes to Consolidated Financial Statements.
188
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | | | | | | | | | | | | | |
Reference
Instrument | | Termination
Date | | | Payment
Frequency | | | Financing
Rate | | | Counterparty | | Notional
Amount | | | Unrealized
Appreciation
(Depreciation) | |
Shanxi Yongdong Chemistry Industry Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 44,900 USD | | | $ | (1,640 | ) |
Shanying Intl Hldg Co., Ltd. | | | 03/03/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 47,814 USD | | | | (75 | ) |
Shanying Intl Hldg Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 47,519 USD | | | | (59 | ) |
Shaw Communications, Inc. | | | 03/17/23 | | | | M | | | | 0.96 | % | | JPMorgan Chase Bank, N.A. | | | 23,293,590 CAD | | | | (461,872 | ) |
Shenergy Group Co., Ltd. | | | 03/01/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 76,216 USD | | | | (28 | ) |
Shenergy Group Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 75,465 USD | | | | 14 | |
Shenma Industry Co., Ltd. | | | 03/07/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 115,049 USD | | | | (11,640 | ) |
Shenma Industry Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 113,699 USD | | | | (11,467 | ) |
Shenwan Hongyuan Group Co., Ltd. | | | 03/01/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 79,325 USD | | | | (895 | ) |
Shenwan Hongyuan Group Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 78,227 USD | | | | (858 | ) |
Shenzhen Aisidi Co., Ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 23,326 USD | | | | (4,301 | ) |
Shenzhen Aisidi Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 22,192 USD | | | | (4,086 | ) |
Shenzhen Capchem Technology Co., Ltd. | | | 02/08/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 456 USD | | | | 45 | |
Shenzhen Cau Technology Co., Ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 18,515 USD | | | | (786 | ) |
Shenzhen Cau Technology Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 18,236 USD | | | | (768 | ) |
Shenzhen Chipscreen Biosciences Co., Ltd. | | | 03/01/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 158 USD | | | | — | |
Shenzhen Comix Group Co., Ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 66,675 USD | | | | (3,085 | ) |
Shenzhen Comix Group Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 66,288 USD | | | | (3,047 | ) |
Shenzhen Cotran New Material Co., Ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 271 USD | | | | (22 | ) |
Shenzhen Desay Battery Technology Co., Ltd. | | | 02/07/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 159,246 USD | | | | (10,269 | ) |
Shenzhen Desay Battery Technology Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 159,440 USD | | | | (10,452 | ) |
Shenzhen Desay Battery Technology Co., Ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 30,261 USD | | | | 939 | |
Shenzhen Desay Battery Technology Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 28,608 USD | | | | 897 | |
Shenzhen Expressway Co., Ltd. | | | 03/31/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 5,126 USD | | | | 200 | |
Shenzhen Expressway Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.00 | % | | Credit Suisse International | | | 4,969 USD | | | | 196 | |
Shenzhen Fine Made Electronics Group Co., Ltd. | | | 04/04/23 | | | | M | | | | 0.00 | % | | JPMorgan Chase Bank, N.A. | | | 168,248 USD | | | | 7,518 | |
Shenzhen Fine Made Electronics Group Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.00 | % | | Credit Suisse International | | | 166,031 USD | | | | 7,565 | |
Shenzhen Friendcom Technology Development Co., Ltd. | | | 03/01/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 8,805 USD | | | | (815 | ) |
Shenzhen Friendcom Technology Development Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 8,650 USD | | | | (798 | ) |
Shenzhen Gas Corp. Ltd. | | | 03/31/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 26,793 USD | | | | (27 | ) |
Shenzhen Gas Corp. Ltd. | | | 07/12/22 | | | | M | | | | 0.00 | % | | Credit Suisse International | | | 26,569 USD | | | | (33 | ) |
Shenzhen H&T Intelligent Control Co.,Ltd. | | | 03/10/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 651 USD | | | | (25 | ) |
Shenzhen H&T Intelligent Control Co.,Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 651 USD | | | | (25 | ) |
Shenzhen Infinova Ltd. | | | 03/13/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 47,573 USD | | | | (31 | ) |
Shenzhen Infinova Ltd. | | | 07/12/22 | | | | M | | | | 0.00 | % | | Credit Suisse International | | | 47,449 USD | | | | (21 | ) |
See Notes to Consolidated Financial Statements.
189
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | | | | | | | | | | | | | |
Reference
Instrument | | Termination
Date | | | Payment
Frequency | | | Financing
Rate | | | Counterparty | | Notional
Amount | | | Unrealized
Appreciation
(Depreciation) | |
Shenzhen Inovance Technology Co., Ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 406,093 USD | | | $ | (17,352 | ) |
Shenzhen Inovance Technology Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 405,148 USD | | | | (17,189 | ) |
Shenzhen Jiang Assoc Co., Ltd. | | | 02/01/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 1,827 USD | | | | (109 | ) |
Shenzhen Jiang Assoc Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 1,826 USD | | | | (109 | ) |
Shenzhen Jinjia Group Co., Ltd. | | | 03/10/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 1,278 USD | | | | (93 | ) |
Shenzhen Jinjia Group Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 1,118 USD | | | | (81 | ) |
Shenzhen Kaifa Technology Co., Ltd. | | | 02/06/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 152 USD | | | | (3 | ) |
Shenzhen Longood Intelligent Electric Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 45 USD | | | | (3 | ) |
Shenzhen Maxonic Automation Control Co., Ltd. | | | 03/15/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 124 USD | | | | (10 | ) |
Shenzhen Mindray Bio-Medical Electronics Co., Ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 16,648 USD | | | | 1,618 | |
Shenzhen Mindray Bio-Medical Electronics Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 16,706 USD | | | | 1,559 | |
Shenzhen MINE Technology CO.,Ltd. | | | 03/15/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 12,529 USD | | | | (776 | ) |
Shenzhen MINE Technology CO.,Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 12,386 USD | | | | (763 | ) |
Shenzhen Neoway Technology Co., Ltd. | | | 02/14/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 9,430 USD | | | | (1,003 | ) |
Shenzhen Neoway Technology Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 8,294 USD | | | | (879 | ) |
Shenzhen New Nanshan Holding (Group) Co.,Ltd, | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 113,238 USD | | | | (1,277 | ) |
Shenzhen New Nanshan Holding (Group) Co.,Ltd, | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 112,361 USD | | | | (1,247 | ) |
Shenzhen Overseas Chinese Town Co.,Ltd. | | | 03/01/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 261,549 USD | | | | 32,259 | |
Shenzhen Overseas Chinese Town Co.,Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 258,789 USD | | | | 32,066 | |
Shenzhen Prince New Materials Co., Ltd. | | | 03/22/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 119,971 USD | | | | 7,257 | |
Shenzhen Prince New Materials Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 119,820 USD | | | | 7,274 | |
Shenzhen SC New Energy Technology Corp. | | | 03/03/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 266,620 USD | | | | 11,023 | |
Shenzhen SC New Energy Technology Corp. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 262,544 USD | | | | 10,140 | |
Shenzhen Sunnypol Optoelectronics Co., Ltd. | | | 03/14/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 17,603 USD | | | | 1,595 | |
Shenzhen Sunnypol Optoelectronics Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 15,397 USD | | | | 1,401 | |
Shenzhen Sunshine Laser & Electronics Technology Co., Ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 133 USD | | | | (1 | ) |
Shenzhen Sunxing Light Alloys Materials Co., Ltd. | | | 02/27/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 4,109 USD | | | | (138 | ) |
Shenzhen Sunxing Light Alloys Materials Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 4,107 USD | | | | (137 | ) |
See Notes to Consolidated Financial Statements.
190
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | | | | | | | | | | | | | |
Reference
Instrument | | Termination
Date | | | Payment
Frequency | | | Financing
Rate | | | Counterparty | | Notional
Amount | | | Unrealized
Appreciation
(Depreciation) | |
Shenzhen Tagen Group Co., Ltd. | | | 03/01/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 191 USD | | | $ | 5 | |
Shenzhen Tagen Group Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 190 USD | | | | 5 | |
Shenzhen Topband Co., Ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 10,424 USD | | | | (436 | ) |
Shenzhen Topband Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 10,512 USD | | | | (439 | ) |
Shenzhen Transsion Holdings Co., Ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 2,620 USD | | | | 63 | |
Shenzhen Transsion Holdings Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 3,243 USD | | | | 79 | |
Shenzhen TXD Technology Co., Ltd. | | | 02/01/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 106,375 USD | | | | (141 | ) |
Shenzhen TXD Technology Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 105,982 USD | | | | (104 | ) |
Shenzhen Urovo Technology Co., Ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 2 USD | | | | — | |
Shenzhen VTdrive Technologies Co., Ltd. | | | 03/20/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 7,050 USD | | | | (592 | ) |
Shenzhen VTdrive Technologies Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 7,047 USD | | | | (590 | ) |
Shenzhen World Union Group, Inc. | | | 03/14/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 71,546 USD | | | | (2,113 | ) |
Shenzhen World Union Group, Inc. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 70,914 USD | | | | (2,073 | ) |
Shenzhen YUTO Packaging Technology Co., Ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 288 USD | | | | (4 | ) |
Shijiazhuang Changshan Beiming Technology Co., Ltd. | | | 02/24/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 63,623 USD | | | | (1,561 | ) |
Shijiazhuang Changshan Beiming Technology Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 62,741 USD | | | | (1,520 | ) |
Shijiazhuang Tonhe Electronics Technologies Co., Ltd. | | | 03/15/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 61,254 USD | | | | (1,199 | ) |
Shijiazhuang Tonhe Electronics Technologies Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 60,620 USD | | | | (1,170 | ) |
Shijiazhuang Yiling Pharmaceutical Co.,Ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 216,911 USD | | | | (659 | ) |
Shijiazhuang Yiling Pharmaceutical Co.,Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 215,910 USD | | | | (609 | ) |
SI-TECH Information Technology Co., Ltd. | | | 02/22/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 4,429 USD | | | | (207 | ) |
SI-TECH Information Technology Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 4,251 USD | | | | (197 | ) |
Sichuan Chuanhuan Technology Co., Ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 13,748 USD | | | | (1,145 | ) |
Sichuan Chuanhuan Technology Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 13,715 USD | | | | (1,138 | ) |
Sichuan Chuantou Energy Co Ltd. | | | 03/31/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 2,987 USD | | | | 73 | |
Sichuan Chuantou Energy Co Ltd. | | | 07/12/22 | | | | M | | | | 0.00 | % | | Credit Suisse International | | | 2,974 USD | | | | 87 | |
Sichuan Dowell Science & Technology, Inc. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 139,328 USD | | | | (8,059 | ) |
Sichuan Dowell Science & Technology, Inc. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 136,440 USD | | | | (7,846 | ) |
Sichuan Huiyuan Optical Communications Co., Ltd. | | | 04/04/23 | | | | M | | | | 0.00 | % | | JPMorgan Chase Bank, N.A. | | | 38,067 USD | | | | 888 | |
See Notes to Consolidated Financial Statements.
191
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | | | | | | | | | | | | | |
Reference
Instrument | | Termination
Date | | | Payment
Frequency | | | Financing
Rate | | | Counterparty | | Notional
Amount | | | Unrealized
Appreciation
(Depreciation) | |
Sichuan Huiyuan Optical Communications Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.00 | % | | Credit Suisse International | | | 37,508 USD | | | $ | 884 | |
Sichuan Kelun Pharmaceutical Co., Ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 388,330 USD | | | | (2,906 | ) |
Sichuan Kelun Pharmaceutical Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 385,590 USD | | | | (2,764 | ) |
Sichuan Languang Development Co., Ltd. | | | 03/01/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 134 USD | | | | (6 | ) |
Sichuan Languang Development Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 134 USD | | | | (6 | ) |
Sichuan Road & Bridge Co., Ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 92,019 USD | | | | (15,623 | ) |
Sichuan Road & Bridge Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 90,763 USD | | | | (15,386 | ) |
Sichuan Xichang Electric Power Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 111 USD | | | | (24 | ) |
Sichuan Xunyou Network Technology Co., Ltd. | | | 02/14/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 45,141 USD | | | | (2,199 | ) |
Sichuan Xunyou Network Technology Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 44,564 USD | | | | (2,156 | ) |
Sichuan Zhenjing Co., Ltd. | | | 03/31/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 166,358 USD | | | | 1,995 | |
Sichuan Zhenjing Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.00 | % | | Credit Suisse International | | | 164,592 USD | | | | 2,537 | |
Sieyuan Electric Co., Ltd. | | | 03/24/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 65,684 USD | | | | (417 | ) |
Sieyuan Electric Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 62,015 USD | | | | (374 | ) |
Siltronic AG-Tend | | | 02/24/23 | | | | M | | | | 0.05 | % | | JPMorgan Chase Bank, N.A. | | | 22,910,999 EUR | | | | (270,805 | ) |
Sino Medical Sciences Technology, Inc. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 57,966 USD | | | | (5,339 | ) |
Sino Medical Sciences Technology, Inc. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 57,590 USD | | | | (5,286 | ) |
Sinolink Securities Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 43 USD | | | | 2 | |
Sinoma International Engineering Co., Ltd. | | | 03/01/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 3,464 USD | | | | (306 | ) |
Sinoma International Engineering Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 3,306 USD | | | | (291 | ) |
Sinoma Science & Technology Co., Ltd. | | | 02/10/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 9,265 USD | | | | (1,086 | ) |
Sinoma Science & Technology Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 8,859 USD | | | | (1,036 | ) |
Sinopec Shanghai Petrochemical Co., Ltd. | | | 04/11/23 | | | | M | | | | 0.00 | % | | JPMorgan Chase Bank, N.A. | | | 70,114 USD | | | | 379 | |
Sinopec Shanghai Petrochemical Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.00 | % | | Credit Suisse International | | | 69,408 USD | | | | 278 | |
Sinosoft Co., Ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 82,947 USD | | | | (690 | ) |
Sinosoft Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 82,322 USD | | | | (624 | ) |
Slack Technologies, Inc., Class A | | | 12/06/22 | | | | M | | | | 0.36 | % | | Goldman Sachs International | | | 17,724,336 USD | | | | (73,851 | ) |
Solareast Holdings Co., Ltd. | | | 04/06/23 | | | | M | | | | 0.00 | % | | JPMorgan Chase Bank, N.A. | | | 100,880 USD | | | | 632 | |
Solareast Holdings Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.00 | % | | Credit Suisse International | | | 100,646 USD | | | | 648 | |
Songcheng Performance Development Co., Ltd. | | | 02/01/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 141 USD | | | | (1 | ) |
Songz Automobile Air Conditioning Co., Ltd. | | | 03/08/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 8,098 USD | | | | (758 | ) |
Songz Automobile Air Conditioning Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 8,000 USD | | | | (747 | ) |
SonoScape Medical Corp. | | | 04/05/23 | | | | M | | | | 0.00 | % | | JPMorgan Chase Bank, N.A. | | | 68,851 USD | | | | (85 | ) |
SonoScape Medical Corp. | | | 07/12/22 | | | | M | | | | 0.00 | % | | Credit Suisse International | | | 68,155 USD | | | | (220 | ) |
See Notes to Consolidated Financial Statements.
192
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | | | | | | | | | | | | | |
Reference
Instrument | | Termination
Date | | | Payment
Frequency | | | Financing
Rate | | | Counterparty | | Notional
Amount | | | Unrealized
Appreciation
(Depreciation) | |
Soochow Securities Co., Ltd. | | | 03/29/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 138,908 USD | | | $ | (1,261 | ) |
Soochow Securities Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 137,415 USD | | | | (1,240 | ) |
South Huiton Co., Ltd. | | | 02/22/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 22,201 USD | | | | (443 | ) |
South Huiton Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 21,979 USD | | | | (431 | ) |
Spring Airlines Co., Ltd. | | | 02/03/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 9,292 USD | | | | (1,114 | ) |
Spring Airlines Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 9,289 USD | | | | (1,111 | ) |
State Grid Information &Telecommunication Group Co., Ltd. | | | 02/24/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 189,998 USD | | | | (16,147 | ) |
State Grid Information &Telecommunication Group Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 188,299 USD | | | | (15,969 | ) |
Strait Innovation Internet Co., Ltd. | | | 02/22/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 169,637 USD | | | | (22,317 | ) |
Strait Innovation Internet Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 164,466 USD | | | | (21,586 | ) |
Sundy Land Investment Co., Ltd | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 5,991 USD | | | | (306 | ) |
Sundy Land Investment Co., Ltd | | | 02/24/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 6,076 USD | | | | (313 | ) |
Sungrow Power Supply Co., Ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 17,634 USD | | | | 390 | |
Sungrow Power Supply Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 18,366 USD | | | | 436 | |
Suning Universal Co., Ltd. | | | 03/01/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 6,497 USD | | | | (608 | ) |
Suning Universal Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 6,161 USD | | | | (575 | ) |
Sunsea AIoT Technology Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 19,026 USD | | | | (872 | ) |
Sunsea AIoT Technology Co., Ltd. | | | 02/24/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 19,192 USD | | | | (885 | ) |
Sunstone Development Co., Ltd. | | | 03/13/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 168,585 USD | | | | (19,412 | ) |
Sunstone Development Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 168,383 USD | | | | (19,360 | ) |
Suofeiya Home Collection Co., Ltd. | | | 02/03/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 11,005 USD | | | | (1,460 | ) |
Suofeiya Home Collection Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 10,422 USD | | | | (1,380 | ) |
Suplet Power Co., Ltd. | | | 02/01/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 174,235 USD | | | | (1,600 | ) |
Suplet Power Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 172,382 USD | | | | (1,603 | ) |
Suzhou Architecture Research Institute Group Co., Ltd. | | | 04/04/23 | | | | M | | | | 0.00 | % | | JPMorgan Chase Bank, N.A. | | | 82,065 USD | | | | 623 | |
Suzhou Architecture Research Institute Group Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.00 | % | | Credit Suisse International | | | 81,052 USD | | | | 635 | |
Suzhou Dongshan Precision Manufacturing Co., Ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 191,427 USD | | | | (5,572 | ) |
Suzhou Dongshan Precision Manufacturing Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 189,085 USD | | | | (5,466 | ) |
Suzhou Electrical Apparatus Science A CAD emy Co., Ltd. | | | 03/29/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 28,203 USD | | | | (246 | ) |
Suzhou Electrical Apparatus Science A CAD emy Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 27,899 USD | | | | (237 | ) |
Suzhou Etron Technologies Co.,Ltd. | | | 03/29/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 57,852 USD | | | | (911 | ) |
Suzhou Etron Technologies Co.,Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 57,038 USD | | | | (780 | ) |
Suzhou Harmontronics Automation Technology Co., Ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 133,283 USD | | | | (7,191 | ) |
See Notes to Consolidated Financial Statements.
193
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | | | | | | | | | | | | | |
Reference
Instrument | | Termination
Date | | | Payment
Frequency | | | Financing
Rate | | | Counterparty | | Notional
Amount | | | Unrealized
Appreciation
(Depreciation) | |
Suzhou Harmontronics Automation Technology Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 133,069 USD | | | $ | (7,135 | ) |
Suzhou Huayuan Packaging Co. Ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 18,931 USD | | | | (960 | ) |
Suzhou Huayuan Packaging Co. Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 18,640 USD | | | | (939 | ) |
Suzhou Hyc Technology Co., Ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 17,862 USD | | | | (372 | ) |
Suzhou Hyc Technology Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 17,073 USD | | | | (349 | ) |
Suzhou Industrial Park Heshun Electric Co., Ltd. | | | 03/22/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 12,002 USD | | | | 658 | |
Suzhou Industrial Park Heshun Electric Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 11,867 USD | | | | 655 | |
Suzhou Maxwell Technologies Co., Ltd. | | | 04/04/23 | | | | M | | | | 0.00 | % | | JPMorgan Chase Bank, N.A. | | | 168,213 USD | | | | 7,988 | |
Suzhou Maxwell Technologies Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.00 | % | | Credit Suisse International | | | 168,676 USD | | | | 7,525 | |
Suzhou New District Hi-Tech Industrial Co., Ltd. | | | 02/10/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 33 USD | | | | (1 | ) |
Suzhou Secote Precision Electronic Co., Ltd. | | | 03/29/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 53,062 USD | | | | 417 | |
Suzhou Secote Precision Electronic Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 52,633 USD | | | | 462 | |
Suzhou TFC Optical Communication Co., Ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 112,037 USD | | | | 6,413 | |
Suzhou TFC Optical Communication Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 110,811 USD | | | | 6,379 | |
Suzhou THVOW TechnologyCo., Ltd. | | | 03/22/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 78,787 USD | | | | 1,333 | |
Suzhou THVOW TechnologyCo., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 77,910 USD | | | | 1,391 | |
Suzhou TZTEK Technology Co., Ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 24 USD | | | | (2 | ) |
Suzhou TZTEK Technology Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 614 USD | | | | (42 | ) |
Syoung Group Co., Ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 294,941 USD | | | | (21,591 | ) |
Syoung Group Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 294,191 USD | | | | (21,724 | ) |
Tangshan Jidong Equipment and Engineering Co., Ltd. | | | 03/01/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 2,699 USD | | | | 241 | |
Tangshan Jidong Equipment and Engineering Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 2,519 USD | | | | 225 | |
Tangshan Port Group Co., Ltd. | | | 03/01/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 118 USD | | | | 8 | |
Tangshan Port Group Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 117 USD | | | | 8 | |
TCF Financial Corp. | | | 12/16/22 | | | | M | | | | 0.36 | % | | Goldman Sachs International | | | 15,199,978 USD | | | | (84,589 | ) |
TCL Technology Group Corp. | | | 01/30/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 339,047 USD | | | | (5,059 | ) |
TCL Technology Group Corp. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 338,423 USD | | | | (4,719 | ) |
Tech Bank Food Co., Ltd. | | | 04/05/23 | | | | M | | | | 0.00 | % | | JPMorgan Chase Bank, N.A. | | | 151,028 USD | | | | 1,079 | |
Tech Bank Food Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.00 | % | | Credit Suisse International | | | 150,779 USD | | | | 831 | |
Tesiro Jewellery, Inc. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 12,863 USD | | | | 650 | |
Tesiro Jewellery, Inc. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 12,657 USD | | | | 644 | |
Thinkingdom Media Group Ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 9,090 USD | | | | 557 | |
Thinkingdom Media Group Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 9,087 USD | | | | 560 | |
Three’s Company Media Group Co., Ltd. | | | 04/11/23 | | | | M | | | | 0.00 | % | | JPMorgan Chase Bank, N.A. | | | 172,738 USD | | | | 1,850 | |
See Notes to Consolidated Financial Statements.
194
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | | | | | | | | | | | | | |
Reference
Instrument | | Termination
Date | | | Payment
Frequency | | | Financing
Rate | | | Counterparty | | Notional
Amount | | | Unrealized
Appreciation
(Depreciation) | |
Three’s Company Media Group Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.00 | % | | Credit Suisse International | | | 170,253 USD | | | $ | 1,681 | |
Thunder Software Technology Co., Ltd. | | | 03/10/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 11,320 USD | | | | (166 | ) |
Thunder Software Technology Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 11,316 USD | | | | (163 | ) |
Tiandi Science & Technology Co., Ltd. | | | 03/08/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 31,997 USD | | | | (1,755 | ) |
Tiandi Science & Technology Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 31,553 USD | | | | (1,721 | ) |
Tianjin 712 Communication & Broadcasting Co., Ltd. | | | 02/01/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 1,103 USD | | | | (57 | ) |
Tianjin 712 Communication & Broadcasting Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 1,103 USD | | | | (57 | ) |
Tianjin Ringpu Bio-Technology Co., Ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 161,214 USD | | | | (10,293 | ) |
Tianjin Ringpu Bio-Technology Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 160,315 USD | | | | (10,203 | ) |
Tianma Microelectronics Co., Ltd. | | | 01/20/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 9,633 USD | | | | (235 | ) |
Tianma Microelectronics Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 11,162 USD | | | | (269 | ) |
Tianqi Lithium Corp. | | | 02/22/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 7,650 USD | | | | (734 | ) |
Tianqi Lithium Corp. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 8,922 USD | | | | (853 | ) |
Tianze Information Industry, Inc. | | | 02/22/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 79,751 USD | | | | (5,509 | ) |
Tianze Information Industry, Inc. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 78,999 USD | | | | (5,434 | ) |
Tibet Tianlu Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 52 USD | | | | 4 | |
Tikkurila Oyj | | | 12/21/22 | | | | M | | | | 0.15 | % | | Goldman Sachs International | | | 4,622,333 EUR | | | | (7,995 | ) |
Tilray, Inc., Class 2 | | | 12/20/22 | | | | M | | | | 0.61 | % | | JPMorgan Chase Bank, N.A. | | | 1,169,587 USD | | | | (55,476 | ) |
Titan Wind Energy (Suzhou) Co., Ltd. | | | 03/17/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 4,843 USD | | | | (317 | ) |
Titan Wind Energy (Suzhou) Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 4,538 USD | | | | (296 | ) |
Tonghua Dongbao Pharmaceutical Co., Ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 213,028 USD | | | | (5,180 | ) |
Tonghua Dongbao Pharmaceutical Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 212,698 USD | | | | (4,980 | ) |
Topchoice Medical Corp. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 26,448 USD | | | | 2,175 | |
Topchoice Medical Corp. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 24,711 USD | | | | 2,039 | |
Troy Information Technology Co., Ltd. | | | 02/03/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 84 USD | | | | 8 | |
TRS Information Technology Co., Ltd. | | | 01/24/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 293,838 USD | | | | 9,695 | |
TRS Information Technology Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 290,999 USD | | | | 10,102 | |
Tunghsu Azure Renewable Energy Co., Ltd. | | | 02/28/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 42 USD | | | | 3 | |
Ucloud Technology Co., Ltd. | | | 02/03/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 29,577 USD | | | | (1,362 | ) |
Ucloud Technology Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 28,571 USD | | | | (1,306 | ) |
Ue Furniture Co., Ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 275,718 USD | | | | (15,024 | ) |
Ue Furniture Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 272,740 USD | | | | (14,781 | ) |
Universal Scientific Industrial Co., Ltd. | | | 02/27/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 174,081 USD | | | | 10,870 | |
See Notes to Consolidated Financial Statements.
195
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | | | | | | | | | | | | | |
Reference
Instrument | | Termination
Date | | | Payment
Frequency | | | Financing
Rate | | | Counterparty | | Notional
Amount | | | Unrealized
Appreciation
(Depreciation) | |
Universal Scientific Industrial Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 172,250 USD | | | $ | 10,803 | |
Varian Medical Systems, Inc. | | | 08/05/22 | | | | M | | | | 0.61 | % | | JPMorgan Chase Bank, N.A. | | | 16,616,980 USD | | | | 21,678 | |
Varian Medical Systems, Inc. | | | 08/08/22 | | | | M | | | | 0.36 | % | | Goldman Sachs International | | | 11,042,727 USD | | | | 14,406 | |
VCANBIO Cell & Gene Engineering Corp. Ltd. | | | 02/22/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 160 USD | | | | (9 | ) |
Visionox Technology, Inc. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 310 USD | | | | (23 | ) |
Visionox Technology, Inc. | | | 03/17/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 310 USD | | | | (23 | ) |
Waddell & Reed Financial, Class A | | | 12/07/22 | | | | M | | | | 0.36 | % | | Goldman Sachs International | | | 1,236,400 USD | | | | 494 | |
Wangfujing Group Co., Ltd. | | | 03/10/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 938 USD | | | | (22 | ) |
Wangfujing Group Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 937 USD | | | | (22 | ) |
Wangsu Science & Technology Co., Ltd. | | | 02/24/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 129,096 USD | | | | (104 | ) |
Wangsu Science & Technology Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 127,976 USD | | | | (62 | ) |
Wanhua Chemical Group Co.,Ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 318,284 USD | | | | (13,808 | ) |
Wanhua Chemical Group Co.,Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 314,864 USD | | | | (13,610 | ) |
Weifu High-Technology Group Co., Ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 100,532 USD | | | | 619 | |
Weifu High-Technology Group Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 99,782 USD | | | | 646 | |
Western Superconducting Technologies Co.,Ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 8,361 USD | | | | (208 | ) |
Western Superconducting Technologies Co.,Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 6,326 USD | | | | (155 | ) |
Western Superconducting Technologies Co.,Ltd. | | | 02/06/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 267,982 USD | | | | (6,636 | ) |
Western Superconducting Technologies Co.,Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 265,558 USD | | | | (6,494 | ) |
Will Semiconductor Co., Ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 70,670 USD | | | | (175 | ) |
Will Semiconductor Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 74,572 USD | | | | (161 | ) |
Willfar Information Technology Co.,Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 11,263 USD | | | | (400 | ) |
Willfar Information Technology Co.,Ltd. | | | 03/06/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 11,405 USD | | | | (409 | ) |
Willis Towers Watson Plc | | | 03/04/22 | | | | M | | | | 0.42 | % | | Morgan Stanley Capital Services LLC | | | 16,560,000 USD | | | | 606,000 | |
Willis Towers Watson Plc | | | 03/11/22 | | | | M | | | | 0.61 | % | | JPMorgan Chase Bank, N.A. | | | 12,493,747 USD | | | | 457,199 | |
Winner Information Technology Inc. | | | 03/22/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 38,113 USD | | | | (3,596 | ) |
Winner Information Technology Inc. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 37,860 USD | | | | (3,560 | ) |
Wonders Information Co., Ltd. | | | 03/24/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 3,375 USD | | | | (93 | ) |
Wonders Information Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 2,937 USD | | | | (80 | ) |
Worldline S.A | | | 09/23/22 | | | | M | | | | 0.05 | % | | JPMorgan Chase Bank, N.A. | | | 64,359 EUR | | | | 596 | |
Wuchan Zhongda Group Co.,Ltd. | | | 03/01/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 3,463 USD | | | | (52 | ) |
Wuchan Zhongda Group Co.,Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 3,311 USD | | | | (49 | ) |
Wuhan DDMC Culture & Sports Co., Ltd. | | | 02/07/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 50,154 USD | | | | (2,305 | ) |
Wuhan DDMC Culture & Sports Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 49,841 USD | | | | (2,274 | ) |
See Notes to Consolidated Financial Statements.
196
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | | | | | | | | | | | | | |
Reference
Instrument | | Termination
Date | | | Payment
Frequency | | | Financing
Rate | | | Counterparty | | Notional
Amount | | | Unrealized
Appreciation
(Depreciation) | |
Wuhan DR Laser Technology Corp., Ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 60,053 USD | | | $ | (2,923 | ) |
Wuhan DR Laser Technology Corp., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 60,034 USD | | | | (2,905 | ) |
Wuhan Jingce Electronic Gr A | | | 03/08/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 151,817 USD | | | | (5,383 | ) |
Wuhan Jingce Electronic Gr A | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 150,953 USD | | | | (5,356 | ) |
Wuhan P+S Information Tech A | | | 02/24/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 59,730 USD | | | | (4,047 | ) |
Wuhan P+S Information Tech A | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 58,908 USD | | | | (3,974 | ) |
Wuhan Sante Cableways Group Co. | | | 03/24/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 22,911 USD | | | | (263 | ) |
Wuhan Sante Cableways Group Co. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 22,717 USD | | | | (253 | ) |
Wuliangye Yibin Co., Ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 27,858 USD | | | | 759 | |
Wuliangye Yibin Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 23,873 USD | | | | 656 | |
Wuxi Apptec Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 37,693 USD | | | | 5,083 | |
Wuxi Apptec Co., Ltd. | | | 03/27/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 41,464 USD | | | | 5,590 | |
Wuxi Best Precision Machinery Co., Ltd. | | | 03/20/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 6,564 USD | | | | (322 | ) |
Wuxi Best Precision Machinery Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 6,562 USD | | | | (319 | ) |
Wuxi Delinhai Environmental Technology Co., Ltd. | | | 03/03/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 2,340 USD | | | | (247 | ) |
Wuxi Delinhai Environmental Technology Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 1,169 USD | | | | (123 | ) |
Wuxi Honghui New Materials Technology Co.,Ltd. | | | 03/08/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 33,889 USD | | | | 776 | |
Wuxi Honghui New Materials Technology Co.,Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 33,871 USD | | | | 794 | |
Wuxi Lead Intelligent Equipment Co., Ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 145,684 USD | | | | 6,596 | |
Wuxi Lead Intelligent Equipment Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 145,988 USD | | | | 6,618 | |
Wuxi Longsheng Technology Co.,Ltd. | | | 02/01/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 268 USD | | | | 16 | |
Wuxi Taiji Indus Co., Ltd. A | | | 03/03/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 206,396 USD | | | | (10,476 | ) |
Wuxi Taiji Indus Co., Ltd. A | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 204,230 USD | | | | (10,317 | ) |
Wuxi Xinje Electric Co., Ltd. A | | | 02/07/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 125,153 USD | | | | (1,403 | ) |
Wuxi Xinje Electric Co., Ltd. A | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 124,012 USD | | | | (1,398 | ) |
Wuxi Xuelang Environmental Technology Co., Ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 33 USD | | | | (1 | ) |
Wuxi Xuelang Environmental Technology Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 82 USD | | | | (2 | ) |
Xi An Global Printing Co., Ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 67 USD | | | | (4 | ) |
Xi’an Bright Laser Technologies Co.,Ltd. | | | 01/31/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 536 USD | | | | (41 | ) |
Xiamen 35.Com Technology Co. Ltd. | | | 03/22/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 21,202 USD | | | | (1,938 | ) |
Xiamen 35.Com Technology Co. Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 21,057 USD | | | | (1,918 | ) |
Xiamen C & D, Inc. | | | 03/01/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 3,219 USD | | | | (7 | ) |
Xiamen C & D, Inc. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 2,703 USD | | | | (5 | ) |
Xiamen Comfort Science & Technology Group Co., Ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 27,482 USD | | | | 2,255 | |
See Notes to Consolidated Financial Statements.
197
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | | | | | | | | | | | | | |
Reference
Instrument | | Termination
Date | | | Payment
Frequency | | | Financing
Rate | | | Counterparty | | Notional
Amount | | | Unrealized
Appreciation
(Depreciation) | |
Xiamen Comfort Science & Technology Group Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 26,501 USD | | | $ | 2,184 | |
Xiamen Faratronic Co., Ltd. | | | 03/06/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 1,533 USD | | | | (18 | ) |
Xiamen Faratronic Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 1,533 USD | | | | (17 | ) |
Xiamen Intretech, Inc. | | | 03/29/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 3,891 USD | | | | 19 | |
Xiamen Intretech, Inc. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 3,890 USD | | | | 19 | |
Xiamen Kingdomway Group Co. | | | 03/31/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 147,824 USD | | | | (1,727 | ) |
Xiamen Kingdomway Group Co. | | | 07/12/22 | | | | M | | | | 0.00 | % | | Credit Suisse International | | | 147,335 USD | | | | (1,719 | ) |
Xiamen Tungsten Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 166 USD | | | | (7 | ) |
Xiamen XindeCo., Ltd. | | | 02/22/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 2,325 USD | | | | (97 | ) |
Xiamen XindeCo., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 2,249 USD | | | | (93 | ) |
Xiamen Zhongchuang Environmental Technology Co. Ltd. | | | 03/29/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 5,922 USD | | | | (357 | ) |
Xiamen Zhongchuang Environmental Technology Co. Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 5,922 USD | | | | (357 | ) |
Xiangpiaopiao Food Co., Ltd. | | | 02/07/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 69,660 USD | | | | 646 | |
Xiangpiaopiao Food Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 69,347 USD | | | | 636 | |
Xianhe Co., Ltd. | | | 03/31/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 158,041 USD | | | | (3,877 | ) |
Xianhe Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.00 | % | | Credit Suisse International | | | 156,932 USD | | | | (3,592 | ) |
Xilinmen Furniture Co., Ltd. | | | 03/14/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 117,463 USD | | | | 1,795 | |
Xilinmen Furniture Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 116,633 USD | | | | 1,819 | |
Xilinx, Inc. | | | 10/31/22 | | | | M | | | | 0.61 | % | | JPMorgan Chase Bank, N.A. | | | 23,995,876 USD | | | | (277,575 | ) |
Xinjiang GuoTong Pipeline Co., Ltd. | | | 03/08/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 45 USD | | | | 8 | |
Xinjiang Zhongtai Chemical Co., Ltd. | | | 02/07/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 20,097 USD | | | | (1,450 | ) |
Xinjiang Zhongtai Chemical Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 22,130 USD | | | | (1,590 | ) |
Xinxing Ductile Iron Pipes Co.,Ltd. | | | 03/01/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 188 USD | | | | (4 | ) |
Xinxing Ductile Iron Pipes Co.,Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 188 USD | | | | (4 | ) |
Xuelong Group Co., Ltd. | | | 02/28/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 503 USD | | | | (21 | ) |
Xuelong Group Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 503 USD | | | | (21 | ) |
Xuji Electric Co., Ltd. | | | 03/31/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 198,753 USD | | | | (4,227 | ) |
Xuji Electric Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.00 | % | | Credit Suisse International | | | 196,795 USD | | | | (4,148 | ) |
Xuzhou Handler Special Vehicle Co., Ltd. | | | 02/06/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 16,691 USD | | | | (1,265 | ) |
Xuzhou Handler Special Vehicle Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 16,432 USD | | | | (1,240 | ) |
Yanan Bicon Pharmaceutical | | | 02/24/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 56,435 USD | | | | (3,400 | ) |
Yanan Bicon Pharmaceutical | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 55,657 USD | | | | (3,334 | ) |
Yangmei Chemical Co., Ltd. | | | 03/08/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 117,918 USD | | | | (8,064 | ) |
Yangmei Chemical Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 117,666 USD | | | | (8,013 | ) |
Yangzhou Chenhua New Material Co., Ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 91,342 USD | | | | (8,998 | ) |
Yangzhou Chenhua New Material Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 90,576 USD | | | | (8,894 | ) |
Yangzhou Yangjie Electronic Technology Co., Ltd | | | 03/17/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 4,172 USD | | | | 34 | |
Yangzhou Yangjie Electronic Technology Co., Ltd | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 3,575 USD | | | | 30 | |
See Notes to Consolidated Financial Statements.
198
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | | | | | | | | | | | | | |
Reference
Instrument | | Termination
Date | | | Payment
Frequency | | | Financing
Rate | | | Counterparty | | Notional
Amount | | | Unrealized
Appreciation
(Depreciation) | |
Yankershop Food Co., Ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 162,841 USD | | | $ | 2,370 | |
Yankershop Food Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 159,234 USD | | | | 2,228 | |
Yantai Changyu Pioneer Wine Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 139 USD | | | | 5 | |
Yantai China Pet Foods Co., Ltd. | | | 03/24/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 1,975 USD | | | | 65 | |
Yantai China Pet Foods Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 1,975 USD | | | | 65 | |
Yantai Dongcheng Pharmaceutical Co. Ltd. | | | 02/22/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 67,583 USD | | | | (49 | ) |
Yantai Dongcheng Pharmaceutical Co. Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 66,323 USD | | | | (27 | ) |
Yantai Shuangta Food Co. Ltd. | | | 04/04/23 | | | | M | | | | 0.00 | % | | JPMorgan Chase Bank, N.A. | | | 147,553 USD | | | | (1,112 | ) |
Yantai Shuangta Food Co. Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 147,085 USD | | | | (866 | ) |
Yantai Tayho Advanced materials Co.,Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 18 USD | | | | (1 | ) |
Yantai Zhenghai Bio Tech Co., Ltd. | | | 03/07/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 91,207 USD | | | | (386 | ) |
Yantai Zhenghai Bio Tech Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 90,523 USD | | | | (354 | ) |
Yanzhou Coal Mining Co., Ltd. | | | 03/01/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 5,932 USD | | | | 123 | |
Yanzhou Coal Mining Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 5,930 USD | | | | 125 | |
Yechiu Metal Recycling (China) Ltd. | | | 04/06/23 | | | | M | | | | 0.00 | % | | JPMorgan Chase Bank, N.A. | | | 165,368 USD | | | | (243 | ) |
Yechiu Metal Recycling (China) Ltd. | | | 07/12/22 | | | | M | | | | 0.00 | % | | Credit Suisse International | | | 163,718 USD | | | | (217 | ) |
Yibin Tianyuan Group Co,Ltd. | | | 03/24/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 79,758 USD | | | | (8,072 | ) |
Yibin Tianyuan Group Co,Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 79,235 USD | | | | (7,994 | ) |
Yingkou Jinchen Machinery Co., Ltd. | | | 03/22/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 12,736 USD | | | | (321 | ) |
Yingkou Jinchen Machinery Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 12,732 USD | | | | (317 | ) |
Yintai Gold Co., Ltd. | | | 02/22/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 46 USD | | | | (2 | ) |
Yonggao Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 66 USD | | | | (2 | ) |
Yonyou Network Technology Co., Ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 34,210 USD | | | | 1,364 | |
Yonyou Network Technology Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 34,178 USD | | | | 1,374 | |
Youngor Group Co., Ltd. | | | 04/04/23 | | | | M | | | | 0.00 | % | | JPMorgan Chase Bank, N.A. | | | 147,531 USD | | | | (1,359 | ) |
Youngor Group Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.00 | % | | Credit Suisse International | | | 147,321 USD | | | | (1,397 | ) |
Youzu Interactive Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 91 USD | | | | (8 | ) |
Yunda Holding Co., Ltd. | | | 03/01/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 120 USD | | | | (13 | ) |
Yunnan Aluminium Co., Ltd. | | | 03/13/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 101,647 USD | | | | (17,855 | ) |
Yunnan Aluminium Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 100,533 USD | | | | (17,626 | ) |
Yunnan Yuntianhua Co., Ltd. | | | 03/14/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 155,842 USD | | | | (11,170 | ) |
Yunnan Yuntianhua Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 154,711 USD | | | | (11,038 | ) |
Yusys Technologies Co., Ltd. | | | 03/14/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 147,494 USD | | | | 11,467 | |
Yusys Technologies Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 146,880 USD | | | | 11,465 | |
Zanyu Technology Group Co., Ltd. | | | 03/31/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 146,042 USD | | | | 226 | |
Zanyu Technology Group Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.00 | % | | Credit Suisse International | | | 145,817 USD | | | | 213 | |
Zbom Home Collection Co., Ltd. | | | 03/29/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 137,476 USD | | | | 9,524 | |
Zbom Home Collection Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 137,352 USD | | | | 9,473 | |
Zhefu Holding Group Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 54 USD | | | | (4 | ) |
See Notes to Consolidated Financial Statements.
199
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | | | | | | | | | | | | | |
Reference
Instrument | | Termination
Date | | | Payment
Frequency | | | Financing
Rate | | | Counterparty | | Notional
Amount | | | Unrealized
Appreciation
(Depreciation) | |
Zhejiang Baida Precision Manufacturing Corp. | | | 02/03/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 18,878 USD | | | $ | 149 | |
Zhejiang Baida Precision Manufacturing Corp. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 18,795 USD | | | | 154 | |
Zhejiang Dingli Machinery Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 26,374 USD | | | | 70 | |
Zhejiang Dingli Machinery Co., Ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 23,451 USD | | | | 55 | |
Zhejiang Fenglong Electric Co., Ltd. | | | 01/30/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 188 USD | | | | (4 | ) |
Zhejiang Furun Digital Technology Co.,ltd. | | | 02/28/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 24,505 USD | | | | (1,727 | ) |
Zhejiang Furun Digital Technology Co.,ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 24,394 USD | | | | (1,712 | ) |
Zhejiang HangKe Technology, Inc. | | | 03/03/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 908 USD | | | | 4 | |
Zhejiang HangKe Technology, Inc. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 1,861 USD | | | | 9 | |
Zhejiang Henglin Chair Industry Co. Ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 554 USD | | | | (35 | ) |
Zhejiang Henglin Chair Industry Co. Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 381 USD | | | | (23 | ) |
Zhejiang Huatie Emergency Equipment Science & Technology Co.,Ltd. | | | 03/20/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 144,423 USD | | | | 5,541 | |
Zhejiang Huatie Emergency Equipment Science & Technology Co.,Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 144,110 USD | | | | 5,579 | |
Zhejiang Huayou Cobalt Co., Ltd. | | | 02/06/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 170,080 USD | | | | 1,901 | |
Zhejiang Huayou Cobalt Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 168,761 USD | | | | 2,172 | |
Zhejiang Jiaao Enprotech Stock Co., Ltd. | | | 02/10/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 12,608 USD | | | | (727 | ) |
Zhejiang Jiaao Enprotech Stock Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 12,281 USD | | | | (704 | ) |
Zhejiang Jiecang Linear Motion Technology Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 14,046 USD | | | | 86 | |
Zhejiang Jiecang Linear Motion Technology Co., Ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 13,402 USD | | | | 78 | |
Zhejiang Jiemei Electronic Technology Co., Ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 298 USD | | | | (6 | ) |
Zhejiang Jingsheng Mechanical & Electrical Co., Ltd. | | | 02/07/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 208,526 USD | | | | 1,526 | |
Zhejiang Jingsheng Mechanical & Electrical Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 203,466 USD | | | | 1,561 | |
Zhejiang Jingxin Pharmaceutical Co., Ltd. | | | 03/08/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 146,361 USD | | | | 3,560 | |
Zhejiang Jingxin Pharmaceutical Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 145,973 USD | | | | 3,593 | |
Zhejiang Jiuli Hi-Tech Metals Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 15,451 USD | | | | (1,914 | ) |
Zhejiang Jiuli Hi-Tech Metals Co., Ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 15,680 USD | | | | (1,947 | ) |
Zhejiang Jiuzhou Pharmaceutical Co., Ltd. | | | 02/08/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 119 USD | | | | 4 | |
Zhejiang Medicine Co., Ltd. | | | 02/24/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 170,342 USD | | | | (18,486 | ) |
Zhejiang Medicine Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 168,664 USD | | | | (18,305 | ) |
Zhejiang Orient Gene Biotech Co., Ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 148,686 USD | | | | (4,416 | ) |
See Notes to Consolidated Financial Statements.
200
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | | | | | | | | | | | | | |
Reference
Instrument | | Termination
Date | | | Payment
Frequency | | | Financing
Rate | | | Counterparty | | Notional
Amount | | | Unrealized
Appreciation
(Depreciation) | |
Zhejiang Orient Gene Biotech Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 152,786 USD | | | $ | (4,298 | ) |
Zhejiang Rifa Precision Machinery Co., Ltd. | | | 03/31/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 29,946 USD | | | | (707 | ) |
Zhejiang Rifa Precision Machinery Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.00 | % | | Credit Suisse International | | | 29,654 USD | | | | (709 | ) |
Zhejiang Runtu Co., Ltd. | | | 03/01/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 155 USD | | | | (5 | ) |
Zhejiang Runtu Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 155 USD | | | | (5 | ) |
Zhejiang Satellite Petrochemical Co Ltd. | | | 02/07/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 4,723 USD | | | | (126 | ) |
Zhejiang Satellite Petrochemical Co Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 4,722 USD | | | | (124 | ) |
Zhejiang Semir Garment Co Ltd. | | | 03/15/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 54,805 USD | | | | (1,644 | ) |
Zhejiang Semir Garment Co Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 51,284 USD | | | | (1,523 | ) |
Zhejiang Stary Pharmaceutical Co., Ltd. | | | 02/08/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 126,371 USD | | | | (3,813 | ) |
Zhejiang Stary Pharmaceutical Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 125,409 USD | | | | (3,746 | ) |
Zhejiang Tiantie Industry Co., Ltd. | | | 03/27/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 45,522 USD | | | | 3,551 | |
Zhejiang Tiantie Industry Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 45,222 USD | | | | 3,528 | |
Zhejiang Wansheng Co., Ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 165,824 USD | | | | (11,223 | ) |
Zhejiang Wansheng Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 164,963 USD | | | | (11,112 | ) |
Zhejiang Weiming Environmental Protection Co., Ltd. | | | 02/10/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 176 USD | | | | (8 | ) |
Zhejiang Weiming Environmental Protection Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 316 USD | | | | (14 | ) |
Zhejiang Weixing New Building Materials Co., Ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 341,822 USD | | | | 13,787 | |
Zhejiang Weixing New Building Materials Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 340,574 USD | | | | 13,829 | |
Zhejiang Xinan Chemical Industrial Group Co., Ltd. | | | 04/11/23 | | | | M | | | | 0.00 | % | | JPMorgan Chase Bank, N.A. | | | 170,286 USD | | | | 78 | |
Zhejiang Xinan Chemical Industrial Group Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.00 | % | | Credit Suisse International | | | 168,343 USD | | | | 35 | |
Zhejiang Xinan Chemical Industrial Group Co., Ltd. | | | 03/08/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 59,760 USD | | | | (2,547 | ) |
Zhejiang Xinan Chemical Industrial Group Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 59,739 USD | | | | (2,526 | ) |
See Notes to Consolidated Financial Statements.
201
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | | | | | | | | | | | | | |
Reference
Instrument | | Termination
Date | | | Payment
Frequency | | | Financing
Rate | | | Counterparty | | Notional
Amount | | | Unrealized
Appreciation
(Depreciation) | |
Zhejiang Xinnong Chemical Co., Ltd. | | | 03/08/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 30,165 USD | | | $ | 327 | |
Zhejiang Xinnong Chemical Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 30,165 USD | | | | 327 | |
Zhejiang Yasha Decoration Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 56 USD | | | | (3 | ) |
Zhejiang Yongjin Metal Technology Co., Ltd. | | | 04/06/23 | | | | M | | | | 0.00 | % | | JPMorgan Chase Bank, N.A. | | | 52,731 USD | | | | 271 | |
Zhejiang Yongjin Metal Technology Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.00 | % | | Credit Suisse International | | | 52,282 USD | | | | 242 | |
Zhejiang Zheneng Electric Power Co., Ltd. | | | 03/31/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 273,459 USD | | | | 5,259 | |
Zhejiang Zheneng Electric Power Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.00 | % | | Credit Suisse International | | | 270,466 USD | | | | 5,466 | |
Zhejiang Zhongcheng Packing Material Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 35 USD | | | | (2 | ) |
Zhengzhou Coal Mining Machinery Group Co., Ltd. | | | 02/13/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 195,220 USD | | | | (15,596 | ) |
Zhengzhou Coal Mining Machinery Group Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 193,302 USD | | | | (15,387 | ) |
Zheshang Development Group Co., Ltd. | | | 02/22/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 44,785 USD | | | | 1,863 | |
Zheshang Development Group Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 44,434 USD | | | | 1,868 | |
Zheshang Securities Co., Ltd. | | | 03/22/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 172,915 USD | | | | (9,083 | ) |
Zheshang Securities Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 171,211 USD | | | | (8,941 | ) |
Zhongda Leader | | | 02/22/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 97,708 USD | | | | (6,713 | ) |
Zhongda Leader | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 96,931 USD | | | | (6,638 | ) |
Zhongfu Information, Inc. | | | 01/25/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 317,431 USD | | | | 28,277 | |
Zhongfu Information, Inc. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 314,301 USD | | | | 28,219 | |
Zhongji Innolight Co., Ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 23 USD | | | | (1 | ) |
Zhongji Innolight Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 43,305 USD | | | | (2,447 | ) |
Zhongjin Gold Corp. | | | 03/03/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 28,230 USD | | | | (1,296 | ) |
Zhongjin Gold Corp. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 27,862 USD | | | | (1,271 | ) |
Zhongmin Energy Co., Ltd. | | | 03/29/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 146,218 USD | | | | 3,263 | |
Zhongmin Energy Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 146,052 USD | | | | 3,198 | |
Zhongshan Public Utilities Group Co.,Ltd. | | | 03/10/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 1,428 USD | | | | 49 | |
Zhongshan Public Utilities Group Co.,Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 1,298 USD | | | | 45 | |
See Notes to Consolidated Financial Statements.
202
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | | | | | | | | | | | | | |
Reference
Instrument | | Termination
Date | | | Payment
Frequency | | | Financing
Rate | | | Counterparty | | Notional
Amount | | | Unrealized
Appreciation
(Depreciation) | |
Zhuzhou Hongda Electronics Corp.,Ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 213,548 USD | | | $ | 21,902 | |
Zhuzhou Hongda Electronics Corp.,Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 210,799 USD | | | | 21,694 | |
Zhuzhou Times New Material Technology Co., Ltd. | | | 03/31/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 158,672 USD | | | | (68 | ) |
Zhuzhou Times New Material Technology Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.00 | % | | Credit Suisse International | | | 157,848 USD | | | | (20 | ) |
Zijin Mining Group Co., Ltd. | | | 01/18/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 26,700 USD | | | | (2,774 | ) |
Zijin Mining Group Co., Ltd. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 28,488 USD | | | | (2,952 | ) |
ZJBC Information Technology Co., Ltd. | | | 03/15/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 19 USD | | | | — | |
Zte Corp. | | | 03/22/23 | | | | M | | | | 0.47 | % | | JPMorgan Chase Bank, N.A. | | | 122,577 USD | | | | (2,255 | ) |
Zte Corp. | | | 07/12/22 | | | | M | | | | 0.51 | % | | Credit Suisse International | | | 115,705 USD | | | | (2,093 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
Total Buys | | | | | | $ | (5,670,878 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Sells | | | | | | | | | | | | | | | | | | | | | | |
Advanced Micro Devices | | | 10/31/22 | | | | M | | | | 0.23 | % | | JPMorgan Chase Bank, N.A. | | | 24,113,608 USD | | | | 540,529 | |
Analog Devices, Inc. | | | 07/15/22 | | | | M | | | | 0.33 | % | | Goldman Sachs International | | | 27,345,882 USD | | | | (102,658 | ) |
Aon Plc | | | 03/04/22 | | | | M | | | | 0.18 | % | | Morgan Stanley Capital Services LLC | | | 17,453,348 USD | | | | (524,225 | ) |
Aon Plc | | | 04/05/22 | | | | M | | | | 0.23 | % | | JPMorgan Chase Bank, N.A. | | | 11,475,164 USD | | | | (344,666 | ) |
Aphria, Inc. | | | 12/20/22 | | | | M | | | | 1.26 | % | | JPMorgan Chase Bank, N.A. | | | 1,217,937 USD | | | | 25,320 | |
Apollo Global Management, Inc. | | | 03/10/23 | | | | M | | | | 0.33 | % | | Goldman Sachs International | | | 24,428,223 USD | | | | 1,003,093 | |
Astrazeneca Plc, Adr | | | 12/16/22 | | | | M | | | | 0.23 | % | | JPMorgan Chase Bank, N.A. | | | 16,279,808 USD | | | | 470,588 | |
Canadian Pacific Railway Ltd | | | 03/24/23 | | | | M | | | | 0.23 | % | | JPMorgan Chase Bank, N.A. | | | 18,713,550 USD | | | | (1,221,933 | ) |
First Citizens BancShares, Class A | | | 10/19/22 | | | | M | | | | 0.23 | % | | JPMorgan Chase Bank, N.A. | | | 1,447,717 USD | | | | (54,162 | ) |
Goodyear Tire + Rubber Co. | | | 02/24/23 | | | | M | | | | 0.33 | % | | Goldman Sachs International | | | 4,462,199 USD | | | | (125,328 | ) |
Huntington Bancshares, Inc. | | | 12/16/22 | | | | M | | | | 0.33 | % | | Goldman Sachs International | | | 15,279,259 USD | | | | 19,414 | |
Icon Plc | | | 02/28/23 | | | | M | | | | 0.23 | % | | JPMorgan Chase Bank, N.A. | | | 14,406,656 USD | | | | (797,488 | ) |
II-VI, Inc. | | | 03/29/23 | | | | M | | | | 0.23 | % | | JPMorgan Chase Bank, N.A. | | | 6,431,859 USD | | | | (150,394 | ) |
Jazz Pharmaceuticals Plc | | | 02/07/23 | | | | M | | | | 0.23 | % | | JPMorgan Chase Bank, N.A. | | | 1,333,331 USD | | | | 48,616 | |
Just Eat Takeaway | | | 06/15/22 | | | | M | | | | 0.99 | % | | Goldman Sachs International | | | 8,605,855 EUR | | | | 223,432 | |
M&T Bank | | | 02/24/23 | | | | M | | | | 0.23 | % | | JPMorgan Chase Bank, N.A. | | | 22,784,906 USD | | | | (333,951 | ) |
Marvell Technology Group Ltd. | | | 11/02/22 | | | | M | | | | 0.23 | % | | JPMorgan Chase Bank, N.A. | | | 17,534,220 USD | | | | (512,363 | ) |
Salesforce.Com, Inc. | | | 12/06/22 | | | | M | | | | 0.33 | % | | Goldman Sachs International | | | 7,031,540USD | | | | 107,841 | |
Teledyne Technologies, Inc. | | | 01/06/23 | | | | M | | | | 0.23 | % | | JPMorgan Chase Bank, N.A. | | | 14,063,085USD | | | | (693,879 | ) |
Worldline S.A | | | 02/07/22 | | | | M | | | | 0.99 | % | | Goldman Sachs International | | | 64,359EUR | | | | (596 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
Total Sells | | | | | | | | | | | | | | | | | | | | $ | (2,422,810 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
Total OTC Total Return Swaps Outstanding | | | | | | $ | (8,093,688 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
See Notes to Consolidated Financial Statements.
203
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
Centrally Cleared Interest Rate Swaps Outstanding at March 31, 2021
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
The
Fund
Pays/
Receives
Floating
Rate | | Floating
Rate
Index | | Fixed
Rate | | | Pay/
Receive
Payment
Frequency | | Maturity
Date | | Counterparty | | Notional
Amount | | | Market
Value | | | Upfront
Premium
Paid
(Received) | | | Unrealized
Appreciation
(Depreciation) | |
Pays | | 3-Month
USD
LIBOR | | | 0.21% | | | 3M/6M | | 03/18/2023 | | Merrill Lynch, Pierce, Fenner & Smith, Inc. | | | 14,000,000 USD | | | $ | (19,476) | | | $ | — | | | $ | (19,476) | |
Pays | | 3-Month
USD
LIBOR | | | 0.21% | | | 3M/6M | | 05/5/2023 | | Merrill Lynch, Pierce, Fenner & Smith, Inc. | | | 12,900,000 USD | | | | (22,674) | | | | — | | | | (22,674) | |
Pays | | 3-Month
USD
LIBOR | | | 0.23% | | | 3M/6M | | 12/14/2022 | | Merrill Lynch, Pierce, Fenner & Smith, Inc. | | | 4,700,000 USD | | | | (1,625) | | | | — | | | | (1,625) | |
Pays | | 3-Month
USD
LIBOR | | | 0.25% | | | 3M/6M | | 03/3/2023 | | Merrill Lynch, Pierce, Fenner & Smith, Inc. | | | 27,700,000 USD | | | | (10,080) | | | | — | | | | (10,080) | |
Pays | | 3-Month
USD
LIBOR | | | 0.27% | | | 3M/6M | | 08/3/2022 | | Merrill Lynch, Pierce, Fenner & Smith, Inc. | | | 114,616,000 USD | | | | 75,890 | | | | — | | | | 75,890 | |
Pays | | 3-Month
USD
LIBOR | | | 0.31% | | | 3M/6M | | 07/24/2022 | | Merrill Lynch, Pierce, Fenner & Smith, Inc. | | | 33,588,605 USD | | | | 39,882 | | | | — | | | | 39,882 | |
Pays | | 3-Month
USD
LIBOR | | | 0.31% | | | 3M/6M | | 07/29/2022 | | Merrill Lynch, Pierce, Fenner & Smith, Inc. | | | 9,141,220 USD | | | | 11,092 | | | | — | | | | 11,092 | |
Pays | | 3-Month
USD
LIBOR | | | 0.33% | | | 3M/6M | | 07/16/2022 | | Merrill Lynch, Pierce, Fenner & Smith, Inc. | | | 82,371,000 USD | | | | 117,367 | | | | — | | | | 117,367 | |
Pays | | 3-Month
USD
LIBOR | | | 0.36% | | | 3M/6M | | 06/30/2022 | | Merrill Lynch, Pierce, Fenner & Smith, Inc. | | | 18,347,000 USD | | | | 33,346 | | | | — | | | | 33,346 | |
Pays | | 3-Month
USD
LIBOR | | | 0.37% | | | 3M/6M | | 10/5/2025 | | Merrill Lynch, Pierce, Fenner & Smith, Inc. | | | 1,600,000 USD | | | | (39,953) | | | | — | | | | (39,953) | |
Pays | | 3-Month
USD
LIBOR | | | 0.41% | | | 3M/6M | | 06/29/2022 | | Merrill Lynch, Pierce, Fenner & Smith, Inc. | | | 84,970,800 USD | | | | 205,896 | | | | — | | | | 205,896 | |
Pays | | 3-Month
USD
LIBOR | | | 0.44% | | | 3M/6M | | 07/24/2025 | | Merrill Lynch, Pierce, Fenner & Smith, Inc. | | | 6,032,440 USD | | | | (111,277) | | | | — | | | | (111,277) | |
Pays | | 3-Month
USD
LIBOR | | | 0.46% | | | 3M/6M | | 07/29/2025 | | Merrill Lynch, Pierce, Fenner & Smith, Inc. | | | 2,362,800 USD | | | | (42,623) | | | | — | | | | (42,623) | |
Pays | | 3-Month
USD
LIBOR | | | 0.50% | | | 3M/6M | | 06/30/2025 | | Merrill Lynch, Pierce, Fenner & Smith, Inc. | | | 1,932,800 USD | | | | (29,330) | | | | — | | | | (29,330) | |
Pays | | 3-Month
USD
LIBOR | | | 0.57% | | | 3M/6M | | 06/29/2025 | | Merrill Lynch, Pierce, Fenner & Smith, Inc. | | | 22,060,000 USD | | | | (260,649) | | | | — | | | | (260,649) | |
See Notes to Consolidated Financial Statements.
204
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
The
Fund
Pays/
Receives
Floating
Rate | | Floating
Rate
Index | | Fixed
Rate | | | Pay/
Receive
Payment
Frequency | | Maturity
Date | | Counterparty | | Notional
Amount | | | Market
Value | | | Upfront
Premium
Paid
(Received) | | | Unrealized
Appreciation
(Depreciation) | |
Pays | | 3-Month
USD
LIBOR | | | 0.69% | | | 3M/6M | | 10/5/2030 | | Merrill Lynch, Pierce, Fenner & Smith, Inc. | | | 6,300,000 USD | | | $ | (595,457) | | | $ | — | | | $ | (595,457) | |
Pays | | 3-Month
USD
LIBOR | | | 0.78% | | | 3M/6M | | 06/8/2025 | | Merrill Lynch, Pierce, Fenner & Smith, Inc. | | | 35,000,000 USD | | | | (81,927) | | | | — | | | | (81,927) | |
Pays | | 3-Month
USD
LIBOR | | | 0.98% | | | 3M/6M | | 03/25/2030 | | Morgan Stanley & Co. LLC | | | 3,000,000 USD | | | | (203,173) | | | | — | | | | (203,173) | |
Pays | | 3-Month
USD
LIBOR | | | 0.99% | | | 3M/6M | | 06/8/2030 | | Merrill Lynch, Pierce, Fenner & Smith, Inc. | | | 25,000,000 USD | | | | (1,556,832) | | | | — | | | | (1,556,832) | |
Pays | | 3-Month
USD
LIBOR | | | 1.46% | | | 3M/6M | | 05/11/2025 | | Merrill Lynch, Pierce, Fenner & Smith, Inc. | | | 20,809,000 USD | | | | 544,410 | | | | — | | | | 544,410 | |
Pays | | 3-Month
USD
LIBOR | | | 1.66% | | | 3M/6M | | 02/27/2030 | | Merrill Lynch, Pierce, Fenner & Smith, Inc. | | | 3,221,000 USD | | | | (2,137) | | | | — | | | | (2,137) | |
Pays | | 3-Month
USD
LIBOR | | | 1.67% | | | 3M/6M | | 02/25/2030 | | Merrill Lynch, Pierce, Fenner & Smith, Inc. | | | 10,246,000 USD | | | | 593 | | | | — | | | | 593 | |
Pays | | 3-Month
USD
LIBOR | | | 1.93% | | | 3M/6M | | 07/15/2027 | | Merrill Lynch, Pierce, Fenner & Smith, Inc. | | | 50,000,000 USD | | | | 1,875,012 | | | | — | | | | 1,875,012 | |
Pays | | 3-Month
USD
LIBOR | | | 2.02% | | | 3M/6M | | 06/4/2027 | | Merrill Lynch, Pierce, Fenner & Smith, Inc. | | | 15,000,000 USD | | | | 655,397 | | | | — | | | | 655,397 | |
Pays | | 3-Month
USD
LIBOR | | | 2.17% | | | 3M/6M | | 05/20/2025 | | Merrill Lynch, Pierce, Fenner & Smith, Inc. | | | 40,000,000 USD | | | | 2,213,343 | | | | — | | | | 2,213,343 | |
Pays | | 7-Days
CNRR007 | | | 2.93% | | | 3M/3M | | 06/16/2026 | | Credit Suisse Securities (USA) LLC | | | 1,440,337,782 CNY | | | | 1,371,996 | | | | — | | | | 1,371,996 | |
Pays | | 7-Days
CNRR007 | | | 2.93% | | | 3M/3M | | 06/16/2026 | | Credit Suisse Securities (USA) LLC | | | 1,145,463,620 CNY | | | | 1,091,113 | | | | — | | | | 1,091,113 | |
Pays | | 7-Days
CNRR007 | | | 2.93% | | | 3M/3M | | 06/16/2026 | | Credit Suisse Securities (USA) LLC | | | 1,606,794,807 CNY | | | | 1,530,555 | | | | — | | | | 1,530,555 | |
Pays | | 28-Days
MXN
TIIE | | | 4.79% | | | 28D/28D | | 06/14/2023 | | Credit Suisse Securities (USA) LLC | | | 140,586,105 MXN | | | | (63,116) | | | | — | | | | (63,116) | |
Pays | | 28-Days
MXN
TIIE | | | 5.48% | | | 28D/28D | | 03/6/2024 | | Credit Suisse Securities (USA) LLC | | | 2,271,000,000 MXN | | | | (904,600) | | | | — | | | | (904,600) | |
Pays | | 28-Days
MXN
TIIE | | | 5.55% | | | 28D/28D | | 03/5/2024 | | Credit Suisse Securities (USA) LLC | | | 2,423,800,000 MXN | | | | (889,779) | | | | — | | | | (889,779) | |
See Notes to Consolidated Financial Statements.
205
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
The
Fund
Pays/
Receives
Floating
Rate | | Floating
Rate
Index | | Fixed
Rate | | | Pay/
Receive
Payment
Frequency | | Maturity
Date | | Counterparty | | Notional
Amount | | | Market
Value | | | Upfront
Premium
Paid
(Received) | | | Unrealized
Appreciation
(Depreciation) | |
Pays | | 28-Days
MXN
TIIE | | | 5.58% | | | 28D/28D | | 07/22/2030 | | Credit Suisse Securities (USA) LLC | | | 190,400,000 MXN | | | $ | (785,285) | | | $ | — | | | $ | (785,285) | |
Pays | | 28-Days
MXN
TIIE | | | 5.58% | | | 28D/28D | | 03/4/2024 | | Credit Suisse Securities (USA) LLC | | | 4,787,400,000 MXN | | | | (1,691,444) | | | | — | | | | (1,691,444) | |
Pays | | 28-Days
MXN
TIIE | | | 5.58% | | | 28D/28D | | 07/16/2030 | | Credit Suisse Securities (USA) LLC | | | 187,680,000 MXN | | | | (769,746) | | | | — | | | | (769,746) | |
Pays | | 28-Days
MXN
TIIE | | | 5.70% | | | 28D/28D | | 06/10/2026 | | Credit Suisse Securities (USA) LLC | | | 141,266,367 MXN | | | | (145,800) | | | | — | | | | (145,800) | |
Receives | | 3-Month
USD
LIBOR | | | 0.22% | | | 6M/3M | | 10/5/2022 | | Merrill Lynch, Pierce, Fenner & Smith, Inc. | | | 31,600,000 USD | | | | 5,475 | | | | — | | | | 5,475 | |
Receives | | 3-Month
USD
LIBOR | | | 0.37% | | | 6M/3M | | 12/14/2025 | | Merrill Lynch, Pierce, Fenner & Smith, Inc. | | | 5,300,000 USD | | | | 150,639 | | | | — | | | | 150,639 | |
Receives | | 3-Month
USD
LIBOR | | | 0.40% | | | 6M/3M | | 08/3/2025 | | Merrill Lynch, Pierce, Fenner & Smith, Inc. | | | 24,941,000 USD | | | | 516,074 | | | | — | | | | 516,074 | |
Receives | | 3-Month
USD
LIBOR | | | 0.48% | | | 6M/3M | | 03/22/2026 | | Merrill Lynch, Pierce, Fenner & Smith, Inc. | | | 10,655,000 USD | | | | 292,136 | | | | — | | | | 292,136 | |
Receives | | 3-Month
USD
LIBOR | | | 0.51% | | | 6M/3M | | 03/3/2026 | | Merrill Lynch, Pierce, Fenner & Smith, Inc. | | | 20,650,000 USD | | | | 525,672 | | | | — | | | | 525,672 | |
Receives | | 3-Month
CZK
PRIBOR | | | 0.56% | | | 12M/3M | | 03/9/2022 | | Credit Suisse Securities (USA) LLC | | | 1,797,800,000 USD | | | | (11,103) | | | | — | | | | (11,103) | |
Receives | | 6-Month
PLN
WIBOR | | | 0.61% | | | 12M/6M | | 02/23/2024 | | Credit Suisse Securities (USA) LLC | | | 203,400,000PLN | | | | 214,715 | | | | — | | | | 214,715 | |
Receives | | 3-Month
USD
LIBOR | | | 0.62% | | | 6M/3M | | 08/3/2030 | | Merrill Lynch, Pierce, Fenner & Smith, Inc. | | | 6,512,706 USD | | | | 632,723 | | | | — | | | | 632,723 | |
Receives | | 6-Month
PLN
WIBOR | | | 0.62% | | | 12M/6M | | 02/22/2024 | | Credit Suisse Securities (USA) LLC | | | 128,580,000 PLN | | | | 118,592 | | | | — | | | | 118,592 | |
Receives | | 6-Month
PLN
WIBOR | | | 0.63% | | | 12M/6M | | 02/22/2024 | | Credit Suisse Securities (USA) LLC | | | 253,060,000 PLN | | | | 228,794 | | | | — | | | | 228,794 | |
Receives | | 6-Month
PLN
WIBOR | | | 0.63% | | | 12M/6M | | 02/24/2024 | | Credit Suisse Securities (USA) LLC | | | 127,800,000 PLN | | | | 118,653 | | | | — | | | | 118,653 | |
Receives | | 3-Month
USD
LIBOR | | | 0.63% | | | 6M/3M | | 05/5/2026 | | Merrill Lynch, Pierce, Fenner & Smith, Inc. | | | 2,600,000 USD | | | | 58,497 | | | | — | | | | 58,497 | |
See Notes to Consolidated Financial Statements.
206
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
The
Fund
Pays/
Receives
Floating
Rate | | Floating
Rate
Index | | Fixed
Rate | | | Pay/
Receive
Payment
Frequency | | Maturity
Date | | Counterparty | | Notional
Amount | | | Market
Value | | | Upfront
Premium
Paid
(Received) | | | Unrealized
Appreciation
(Depreciation) | |
Receives | | 6-Month
PLN
WIBOR | | | 0.63% | | | 12M/6M | | 02/19/2024 | | Credit Suisse Securities (USA) LLC | | | 133,900,000 PLN | | | $ | 111,959 | | | $ | — | | | $ | 111,959 | |
Receives | | 6-Month
PLN
WIBOR | | | 0.63% | | | 12M/6M | | 02/19/2024 | | Credit Suisse Securities (USA) LLC | | | 134,700,000 PLN | | | | 112,628 | | | | — | | | | 112,628 | |
Receives | | 3-Month
USD
LIBOR | | | 0.65% | | | 6M/3M | | 06/8/2022 | | Merrill Lynch, Pierce, Fenner & Smith, Inc. | | | 14,000,000 USD | | | | (73,378) | | | | — | | | | (73,378) | |
Receives | | 3-Month
USD
LIBOR | | | 0.66% | | | 6M/3M | | 03/11/2035 | | Morgan Stanley & Co. LLC | | | 1,500,000 USD | | | | 256,029 | | | | — | | | | 256,029 | |
Receives | | 6-Month
PLN
WIBOR | | | 0.66% | | | 12M/6M | | 02/18/2024 | | Credit Suisse Securities (USA) LLC | | | 134,200,000 PLN | | | | 82,917 | | | | — | | | | 82,917 | |
Receives | | 6-Month
PLN
WIBOR | | | 0.67% | | | 12M/6M | | 02/18/2024 | | Credit Suisse Securities (USA) LLC | | | 187,100,000 PLN | | | | 112,205 | | | | — | | | | 112,205 | |
Receives | | 3-Month
USD
LIBOR | | | 0.67% | | | 6M/3M | | 07/24/2030 | | Merrill Lynch, Pierce, Fenner & Smith, Inc. | | | 4,438,980 USD | | | | 411,220 | | | | — | | | | 411,220 | |
Receives | | 3-Month
USD
LIBOR | | | 0.68% | | | 6M/3M | | 07/29/2030 | | Merrill Lynch, Pierce, Fenner & Smith, Inc. | | | 713,880 USD | | | | 65,575 | | | | — | | | | 65,575 | |
Receives | | 3-Month
USD
LIBOR | | | 0.69% | | | 6M/3M | | 12/29/2027 | | Morgan Stanley & Co. LLC | | | 3,000,000 USD | | | | 140,757 | | | | — | | | | 140,757 | |
Receives | | 3-Month
USD
LIBOR | | | 0.70% | | | 6M/3M | | 06/30/2030 | | Merrill Lynch, Pierce, Fenner & Smith, Inc. | | | 3,605,000 USD | | | | 319,342 | | | | — | | | | 319,342 | |
Receives | | 3-Month
USD
LIBOR | | | 0.79% | | | 6M/3M | | 06/29/2030 | | Merrill Lynch, Pierce, Fenner & Smith, Inc. | | | 6,347,000 USD | | | | 511,956 | | | | — | | | | 511,956 | |
Receives | | 3-Month
USD
LIBOR | | | 0.82% | | | 6M/3M | | 07/16/2030 | | Merrill Lynch, Pierce, Fenner & Smith, Inc. | | | 11,975,000 USD | | | | 940,645 | | | | — | | | | 940,645 | |
Receives | | 6-Month
PLN
WIBOR | | | 0.86% | | | 12M/6M | | 03/8/2024 | | Credit Suisse Securities (USA) LLC | | | 263,000,000 PLN | | | | (186,128) | | | | — | | | | (186,128) | |
Receives | | 6-Month
PLN
WIBOR | | | 0.87% | | | 12M/6M | | 03/8/2024 | | Credit Suisse Securities (USA) LLC | | | 263,000,000 PLN | | | | (215,287) | | | | — | | | | (215,287) | |
Receives | | 3-Month
USD
LIBOR | | | 0.94% | | | 6M/3M | | 06/2/2026 | | Merrill Lynch, Pierce, Fenner & Smith, Inc. | | | 4,000,000 USD | | | | 34,492 | | | | — | | | | 34,492 | |
Receives | | 6-Month
CZK
PRIBOR | | | 0.95% | | | 12M/6M | | 03/11/2023 | | Credit Suisse Securities (USA) LLC | |
| 665,064,000
USD |
| | | 24,077 | | | | — | | | | 24,077 | |
See Notes to Consolidated Financial Statements.
207
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
The
Fund
Pays/
Receives
Floating
Rate | | Floating
Rate
Index | | Fixed
Rate | | | Pay/
Receive
Payment
Frequency | | Maturity
Date | | Counterparty | | Notional
Amount | | | Market
Value | | | Upfront
Premium
Paid
(Received) | | | Unrealized
Appreciation
(Depreciation) | |
Receives | | 3-Month
USD
LIBOR | | | 0.95% | | | 6M/3M | | 03/3/2031 | | Merrill Lynch, Pierce, Fenner & Smith, Inc. | | | 719,000 USD | | | $ | 54,851 | | | $ | — | | | $ | 54,851 | |
Receives | | 6-Month
CZK
PRIBOR | | | 0.96% | | | 12M/6M | | 03/10/2023 | | Credit Suisse Securities (USA) LLC | | | 1,362,656,800 USD | | | | 33,390 | | | | — | | | | 33,390 | |
Receives | | 6-Month
CZK
PRIBOR | | | 0.99% | | | 12M/6M | | 03/17/2023 | | Credit Suisse Securities (USA) LLC | | | 1,051,600,000 USD | | | | 4,089 | | | | — | | | | 4,089 | |
Receives | | 3-Month
USD
LIBOR | | | 1.10% | | | 6M/3M | | 03/25/2030 | | Morgan Stanley & Co. LLC | | | 1,500,000 USD | | | | 74,738 | | | | — | | | | 74,738 | |
Receives | | 3-Month
USD
LIBOR | | | 1.24% | | | 6M/3M | | 05/5/2031 | | Merrill Lynch, Pierce, Fenner & Smith, Inc. | | | 2,000,000 USD | | | | 106,178 | | | | — | | | | 106,178 | |
Receives | | 3-Month
USD
LIBOR | | | 1.32% | | | 6M/3M | | 02/28/2027 | | Morgan Stanley Capital Services LLC | | | 5,000,000 USD | | | | (20,521) | | | | — | | | | (20,521) | |
Receives | | T CL
CLICP
Bloomberg | | | 1.40% | | | 1Y/T | | 02/22/2023 | | Credit Suisse Securities (USA) LLC | | | 43,135,300,000 CLP | | | | 434,788 | | | | — | | | | 434,788 | |
Receives | | T CL
CLICP
Bloomberg | | | 1.40% | | | 1Y/T | | 02/21/2023 | | Credit Suisse Securities (USA) LLC | | | 75,700,000,000 CLP | | | | 754,661 | | | | — | | | | 754,661 | |
Receives | | 3-Month
USD
LIBOR | | | 1.46% | | | 6M/3M | | 02/14/2024 | | Morgan Stanley Capital Services LLC | | | 10,000,000 USD | | | | (281,606) | | | | — | | | | (281,606) | |
Receives | | 3-Month
USD
LIBOR | | | 1.48% | | | 6M/3M | | 01/2/2025 | | Merrill Lynch, Pierce, Fenner\ & Smith, Inc. | | | 4,163,000 USD | | | | (117,017) | | | | — | | | | (117,017) | |
Receives | | 3-Month
USD
LIBOR | | | 1.49% | | | 6M/3M | | 08/27/2029 | | Morgan Stanley & Co. LLC | | | 3,140,000 USD | | | | 32,104 | | | | — | | | | 32,104 | |
Receives | | 3-Month
USD
LIBOR | | | 1.52% | | | 6M/3M | | 02/5/2025 | | Merrill Lynch, Pierce, Fenner & Smith, Inc. | | | 6,245,000 USD | | | | (183,684) | | | | — | | | | (183,684) | |
Receives | | 3-Month
USD
LIBOR | | | 1.53% | | | 6M/3M | | 02/25/2022 | | Merrill Lynch, Pierce, Fenner & Smith, Inc. | | | 47,860,000 USD | | | | (568,616) | | | | — | | | | (568,616) | |
Receives | | T CL
CLICP
Bloomberg | | | 1.53% | | | T/T | | 02/23/2023 | | Credit Suisse Securities (USA) LLC | | | 42,726,000,000 CLP | | | | 345,425 | | | | — | | | | 345,425 | |
Receives | | T CL
CLICP
Bloomberg | | | 1.53% | | | T/T | | 02/23/2023 | | Credit Suisse Securities (USA) LLC | | | 14,519,000,000 CLP | | | | 117,381 | | | | — | | | | 117,381 | |
Receives | | 3-Month
USD
LIBOR | | | 1.53% | | | 6M/3M | | 02/5/2022 | | Merrill Lynch, Pierce, Fenner & Smith, Inc. | | | 11,244,800 USD | | | | (126,907) | | | | — | | | | (126,907) | |
See Notes to Consolidated Financial Statements.
208
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
The
Fund
Pays/
Receives
Floating
Rate | | Floating
Rate
Index | | Fixed
Rate | | | Pay/
Receive
Payment
Frequency | | Maturity
Date | | Counterparty | | Notional
Amount | | | Market
Value | | | Upfront
Premium
Paid
(Received) | | | Unrealized
Appreciation
(Depreciation) | |
Receives | | 3-Month
USD
LIBOR | | | 1.54% | | | 6M/3M | | 01/2/2022 | | Merrill Lynch, Pierce, Fenner & Smith, Inc. | | | 80,236,000 USD | | | $ | (816,068) | | | $ | — | | | $ | (816,068) | |
Receives | | 3-Month
USD
LIBOR | | | 1.55% | | | 6M/3M | | 01/28/2025 | | Merrill Lynch, Pierce, Fenner & Smith, Inc. | | | 4,580,000 USD | | | | (139,725) | | | | — | | | | (139,725) | |
Receives | | 3-Month
USD
LIBOR | | | 1.55% | | | 6M/3M | | 02/5/2022 | | Merrill Lynch, Pierce, Fenner & Smith, Inc. | | | 25,106,000 USD | | | | (286,116) | | | | — | | | | (286,116) | |
Receives | | 3-Month
USD
LIBOR | | | 1.55% | | | 6M/3M | | 02/27/2022 | | Merrill Lynch, Pierce, Fenner & Smith, Inc. | | | 14,928,000 USD | | | | (181,527) | | | | — | | | | (181,527) | |
Receives | | 3-Month
USD
LIBOR | | | 1.55% | | | 6M/3M | | 02/27/2022 | | Merrill Lynch, Pierce, Fenner & Smith, Inc. | | | 5,033,000 USD | | | | (61,362) | | | | — | | | | (61,362) | |
Receives | | 3-Month
USD
LIBOR | | | 1.55% | | | 6M/3M | | 01/28/2022 | | Merrill Lynch, Pierce, Fenner & Smith, Inc. | | | 10,000,000 USD | | | | (111,210) | | | | — | | | | (111,210) | |
Receives | | T CL
CLICP
Bloomberg | | | 1.56% | | | T/T | | 02/25/2023 | | Credit Suisse Securities (USA) LLC | | | 43,251,000,000 CLP | | | | 340,038 | | | | — | | | | 340,038 | |
Receives | | 3-Month
USD
LIBOR | | | 1.56% | | | 6M/3M | | 09/26/2026 | | Morgan Stanley & Co. LLC | | | 1,800,000 USD | | | | (37,852) | | | | 6,115 | | | | (43,967) | |
Receives | | T CL
CLICP
Bloomberg | | | 1.56% | | | T/T | | 02/24/2023 | | Credit Suisse Securities (USA) LLC | | | 28,555,000,000 CLP | | | | 219,999 | | | | — | | | | 219,999 | |
Receives | | 3-Month
USD
LIBOR | | | 1.56% | | | 6M/3M | | 06/2/2031 | | Merrill Lynch, Pierce, Fenner & Smith, Inc. | | | 5,500,000 USD | | | | 131,199 | | | | — | | | | 131,199 | |
Receives | | 3-Month
USD
LIBOR | | | 1.57% | | | 6M/3M | | 02/18/2022 | | Merrill Lynch, Pierce, Fenner & Smith, Inc. | | | 25,187,000 USD | | | | (301,295) | | | | — | | | | (301,295) | |
Receives | | T CL
CLICP
Bloomberg | | | 1.57% | | | T/T | | 02/24/2023 | | Credit Suisse Securities (USA) LLC | | | 43,592,000,000 CLP | | | | 329,706 | | | | — | | | | 329,706 | |
Receives | | 3-Month
USD
LIBOR | | | 1.58% | | | 6M/3M | | 05/21/2025 | | Morgan Stanley Capital Services LLC | | | 10,000,000 USD | | | | (310,909) | | | | — | | | | (310,909) | |
Receives | | 3-Month
USD
LIBOR | | | 1.58% | | | 6M/3M | | 02/18/2025 | | Merrill Lynch, Pierce, Fenner & Smith, Inc. | | | 6,253,000 USD | | | | (198,805) | | | | — | | | | (198,805) | |
Receives | | 3-Month
USD
LIBOR | | | 1.59% | | | 6M/3M | | 04/14/2022 | | Merrill Lynch, Pierce, Fenner & Smith, Inc. | | | 15,118,000 USD | | | | (215,443) | | | | — | | | | (215,443) | |
See Notes to Consolidated Financial Statements.
209
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
The
Fund
Pays/
Receives
Floating
Rate | | Floating
Rate
Index | | Fixed
Rate | | | Pay/
Receive
Payment
Frequency | | Maturity
Date | | Counterparty | | Notional
Amount | | | Market
Value | | | Upfront
Premium
Paid
(Received) | | | Unrealized
Appreciation
(Depreciation) | |
Receives | | 3-Month
USD
LIBOR | | | 1.61% | | | 6M/3M | | 03/23/2027 | | Morgan Stanley Capital Services LLC | | | 7,000,000 USD | | | $ | (145,194) | | | $ | — | | | $ | (145,194) | |
Receives | | 3-Month
USD
LIBOR | | | 1.62% | | | 6M/3M | | 03/24/2027 | | Morgan Stanley Capital Services LLC | | | 7,000,000 USD | | | | (147,667) | | | | — | | | | (147,667) | |
Receives | | 3-Month
USD
LIBOR | | | 1.62% | | | 6M/3M | | 07/25/2026 | | Morgan Stanley & Co. LLC | | | 1,900,000 USD | | | | (48,735) | | | | 4,658 | | | | (53,393) | |
Receives | | 3-Month
USD
LIBOR | | | 1.62% | | | 6M/3M | | 04/14/2025 | | Merrill Lynch, Pierce, Fenner & Smith, Inc. | | | 5,222,000 USD | | | | (171,934) | | | | — | | | | (171,934) | |
Receives | | 3-Month
USD
LIBOR | | | 1.63% | | | 6M/3M | | 11/6/2027 | | Merrill Lynch, Pierce, Fenner & Smith, Inc. | | | 40,000,000 USD | | | | (646,380) | | | | — | | | | (646,380) | |
Receives | | 3-Month
USD
LIBOR | | | 1.64% | | | 6M/3M | | 07/22/2022 | | Merrill Lynch, Pierce, Fenner & Smith, Inc. | | | 15,000,000 USD | | | | (277,835) | | | | — | | | | (277,835) | |
Receives | | 6-Month
SGD
SIBOR | | | 1.65% | | | 6M/6M | | 06/16/2031 | | Credit Suisse Securities (USA) LLC | | | 4,763,076 SGD | | | | 51,111 | | | | — | | | | 51,111 | |
Receives | | 3-Month
USD
LIBOR | | | 1.66% | | | 6M/3M | | 06/17/2025 | | Morgan Stanley Capital Services LLC | | | 10,000,000 USD | | | | (340,802) | | | | — | | | | (340,802) | |
Receives | | 3-Month
USD
LIBOR | | | 1.69% | | | 6M/3M | | 07/29/2022 | | Merrill Lynch, Pierce, Fenner & Smith, Inc. | | | 25,000,000 USD | | | | (487,511) | | | | — | | | | (487,511) | |
Receives | | 3-Month
USD
LIBOR | | | 1.72% | | | 6M/3M | | 02/18/2030 | | Merrill Lynch, Pierce, Fenner & Smith, Inc. | | | 1,945,000 USD | | | | (8,574) | | | | — | | | | (8,574) | |
Receives | | 3-Month
USD
LIBOR | | | 1.73% | | | 6M/3M | | 07/15/2023 | | Merrill Lynch, Pierce, Fenner & Smith, Inc. | | | 100,000,000 USD | | | | (3,213,816) | | | | — | | | | (3,213,816) | |
Receives | | 3-Month
USD
LIBOR | | | 1.77% | | | 6M/3M | | 11/25/2029 | | Morgan Stanley & Co. LLC | | | 1,000,000 USD | | | | (10,234) | | | | 43 | | | | (10,277) | |
Receives | | 3-Month
USD
LIBOR | | | 1.77% | | | 6M/3M | | 10/24/2021 | | Merrill Lynch, Pierce, Fenner & Smith, Inc. | | | 18,500,000 USD | | | | (165,675) | | | | — | | | | (165,675) | |
Receives | | 3-Month
USD
LIBOR | | | 1.81% | | | 6M/3M | | 02/1/2024 | | Morgan Stanley Capital Services LLC | | | 2,500,000 USD | | | | (94,690) | | | | — | | | | (94,690) | |
Receives | | 3-Month
USD
LIBOR | | | 1.86% | | | 6M/3M | | 12/21/2023 | | Morgan Stanley Capital Services LLC | | | 8,000,000 USD | | | | (309,343) | | | | — | | | | (309,343) | |
Receives | | 3-Month
USD
LIBOR | | | 1.86% | | | 6M/3M | | 05/25/2022 | | Merrill Lynch, Pierce, Fenner & Smith, Inc. | | | 8,200,000 USD | | | | (155,503) | | | | — | | | | (155,503) | |
See Notes to Consolidated Financial Statements.
210
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
The
Fund
Pays/
Receives
Floating
Rate | | Floating
Rate
Index | | Fixed
Rate | | | Pay/
Receive
Payment
Frequency | | Maturity
Date | | Counterparty | | Notional
Amount | | | Market
Value | | | Upfront
Premium
Paid
(Received) | | | Unrealized
Appreciation
(Depreciation) | |
Receives | | 3-Month
USD
LIBOR | | | 1.88% | | | 6M/3M | | 01/24/2027 | | Morgan Stanley Capital Services LLC | | | 1,500,000 USD | | | $ | (55,894) | | | $ | — | | | $ | (55,894) | |
Receives | | 3-Month
USD
LIBOR | | | 1.90% | | | 6M/3M | | 08/27/2029 | | Morgan Stanley & Co. LLC | | | 1,650,000 USD | | | | (37,576) | | | | — | | | | (37,576) | |
Receives | | 6-Month
PLN
WIBOR | | | 1.91% | | | 12M/
6M | | 06/16/2031 | | Credit Suisse Securities (USA) LLC | | | 52,552,696 PLN | | | | 6,391 | | | | — | | | | 6,391 | |
Receives | | 3-Month
USD
LIBOR | | | 2.05% | | | 6M/3M | | 11/30/2024 | | Morgan Stanley Capital Services LLC | | | 5,000,000 USD | | | | (245,793) | | | | — | | | | (245,793) | |
Receives | | 3-Month
USD
LIBOR | | | 2.18% | | | 6M/3M | | 06/26/2027 | | Morgan Stanley & Co. LLC | | | 2,100,000 USD | | | | (110,175) | | | | 11,201 | | | | (121,376) | |
Receives | | 3-Month
USD
LIBOR | | | 2.22% | | | 6M/3M | | 09/29/2024 | | Morgan Stanley Capital Services LLC | | | 2,000,000 USD | | | | (109,089) | | | | — | | | | (109,089) | |
Receives | | 3-Month
USD
LIBOR | | | 2.27% | | | 6M/3M | | 01/25/2026 | | Morgan Stanley & Co. LLC | | | 2,000,000 USD | | | | (119,421) | | | | — | | | | (119,421) | |
Receives | | 3-Month
USD
LIBOR | | | 2.30% | | | 6M/3M | | 01/26/2025 | | Morgan Stanley & Co. LLC | | | 900,000 USD | | | | (53,492) | | | | 4,800 | | | | (58,292) | |
Receives | | 3-Month
USD
LIBOR | | | 2.33% | | | 6M/3M | | 08/25/2025 | | Morgan Stanley & Co. LLC | | | 5,250,000 USD | | | | (328,369) | | | | 31,222 | | | | (359,591) | |
Receives | | 3-Month
USD
LIBOR | | | 2.34% | | | 6M/3M | | 01/25/2027 | | Morgan Stanley & Co. LLC | | | 1,000,000 USD | | | | (62,737) | | | | — | | | | (62,737) | |
Receives | | 3-Month
USD
LIBOR | | | 2.35% | | | 6M/3M | | 11/8/2024 | | Morgan Stanley Capital Services LLC | | | 4,000,000 USD | | | | (239,547) | | | | — | | | | (239,547) | |
Receives | | 3-Month
USD
LIBOR | | | 2.37% | | | 6M/3M | | 11/1/2024 | | Morgan Stanley Capital Services LLC | | | 2,000,000 USD | | | | (120,698) | | | | — | | | | (120,698) | |
Receives | | 3-Month
USD
LIBOR | | | 2.38% | | | 6M/3M | | 10/5/2023 | | Morgan Stanley Capital Services LLC | | | 3,000,000 USD | | | | (150,052) | | | | — | | | | (150,052) | |
Receives | | 3-Month
USD
LIBOR | | | 2.39% | | | 6M/3M | | 11/16/2028 | | Morgan Stanley Capital Services LLC | | | 4,000,000 USD | | | | (254,682) | | | | — | | | | (254,682) | |
Receives | | 3-Month
USD
LIBOR | | | 2.40% | | | 6M/3M | | 01/25/2027 | | Morgan Stanley & Co. LLC | | | 2,900,000 USD | | | | (191,704) | | | | 24,111 | | | | (215,815) | |
Receives | | 3-Month
USD
LIBOR | | | 2.41% | | | 6M/3M | | 02/27/2027 | | Morgan Stanley & Co. LLC | | | 2,300,000 USD | | | | (153,513) | | | | — | | | | (153,513) | |
Receives | | 3-Month
USD
LIBOR | | | 2.41% | | | 6M/3M | | 12/22/2022 | | Merrill Lynch, Pierce, Fenner & Smith, Inc. | | | 50,000,000 USD | | | | (1,863,593) | | | | — | | | | (1,863,593) | |
See Notes to Consolidated Financial Statements.
211
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
The
Fund
Pays/
Receives
Floating
Rate | | Floating
Rate
Index | | Fixed
Rate | | | Pay/
Receive
Payment
Frequency | | Maturity
Date | | Counterparty | | Notional
Amount | | | Market
Value | | | Upfront
Premium
Paid
(Received) | | | Unrealized
Appreciation
(Depreciation) | |
Receives | | 3-Month
USD
LIBOR | | | 2.42% | | | 6M/3M | | 09/22/2024 | | Morgan Stanley Capital Services LLC | | | 2,000,000 USD | | | $ | (122,678) | | | $ | — | | | $ | (122,678) | |
Receives | | 3-Month
USD
LIBOR | | | 2.42% | | | 6M/3M | | 10/24/2024 | | Morgan Stanley Capital Services LLC | | | 2,000,000 USD | | | | (124,415) | | | | — | | | | (124,415) | |
Receives | | 3-Month
USD
LIBOR | | | 2.43% | | | 6M/3M | | 10/11/2026 | | Morgan Stanley Capital Services LLC | | | 3,000,000 USD | | | | (206,500) | | | | — | | | | (206,500) | |
Receives | | 3-Month
USD
LIBOR | | | 2.45% | | | 6M/3M | | 10/18/2024 | | Morgan Stanley Capital Services LLC | | | 4,000,000 USD | | | | (251,872) | | | | — | | | | (251,872) | |
Receives | | 3-Month
USD
LIBOR | | | 2.53% | | | 6M/3M | | 09/25/2024 | | Morgan Stanley & Co. LLC | | | 2,130,000USD | | | | (140,226) | | | | — | | | | (140,226) | |
Receives | | 3-Month
USD
LIBOR | | | 2.58% | | | 6M/3M | | 08/5/2025 | | Morgan Stanley Capital Services LLC | | | 7,000,000 USD | | | | (510,698) | | | | — | | | | (510,698) | |
Receives | | 3-Month
USD
LIBOR | | | 2.58% | | | 6M/3M | | 03/27/2027 | | Morgan Stanley & Co. LLC | | | 300,000 USD | | | | (23,009) | | | | — | | | | (23,009) | |
Receives | | 3-Month
USD
LIBOR | | | 2.67% | | | 6M/3M | | 09/13/2028 | | Morgan Stanley Capital Services LLC | | | 2,500,000 USD | | | | (211,069) | | | | — | | | | (211,069) | |
Receives | | 3-Month
USD
LIBOR | | | 2.72% | | | 6M/3M | | 09/8/2028 | | Morgan Stanley Capital Services LLC | | | 1,000,000 USD | | | | (87,370) | | | | — | | | | (87,370) | |
Receives | | 3-Month
USD
LIBOR | | | 2.72% | | | 6M/3M | | 08/8/2028 | | Morgan Stanley Capital Services LLC | | | 3,000,000 USD | | | | (262,659) | | | | — | | | | (262,659) | |
Receives | | 3-Month
USD
LIBOR | | | 2.83% | | | 6M/3M | | 07/29/2029 | | Morgan Stanley Capital Services LLC | | | 3,000,000 USD | | | | (294,569) | | | | — | | | | (294,569) | |
Receives | | 3-Month
USD
LIBOR | | | 2.90% | | | 6M/3M | | 03/27/2026 | | Merrill Lynch, Pierce, Fenner & Smith, Inc. | | | 20,000,000 USD | | | | (1,830,013) | | | | — | | | | (1,830,013) | |
Receives | | 3-Month
USD
LIBOR | | | 3.08% | | | 6M/3M | | 04/30/2027 | | Merrill Lynch, Pierce, Fenner & Smith, Inc. | | | 20,000,000 USD | | | | (2,147,050) | | | | — | | | | (2,147,050) | |
Receives | | 3-Month
USD
LIBOR | | | 3.15% | | | 6M/3M | | 05/21/2022 | | Merrill Lynch, Pierce, Fenner & Smith, Inc. | | | 20,000,000 USD | | | | (671,370) | | | | — | | | | (671,370) | |
Receives | | 3-Month
USD
LIBOR | | | 3.21% | | | 6M/3M | | 05/25/2033 | | Morgan Stanley & Co. LLC | | | 2,000,000 USD | | | | (157,908) | | | | (1,053) | | | | (156,855) | |
| | | | | | | | | | | | | | | | | | | | |
Total Centrally Cleared Interest Rate Swaps Outstanding | | | $ | (11,245,463) | | | $ | 81,097 | | | $ | (11,326,560) | |
| | | | | | | | | | | | | | | | | | | | |
See Notes to Consolidated Financial Statements.
212
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
OTC Interest Rate Swaps Outstanding at March 31, 2021
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
The
Fund
Pays/
Receives
Floating
Rate | | Floating
Rate
Index | | Fixed
Rate | | | Pay/
Receive
Payment
Frequency | | Maturity
Date | | Counterparty | | Notional
Amount | | | Market
Value | | | Upfront
Premium
Paid
(Received) | | | Unrealized
Appreciation
(Depreciation) | |
Receives | | 3-Month
RUB
MOSPRIME | | | 5.68% | | | 1Y/3M | | 03/5/2023 | | Goldman Sachs International | | | 2,335,109,363 RUB | | | $ | 456,162 | | | $ | — | | | $ | 456,162 | |
| | | | | | | | | | | | | | | | | | | | |
Total OTC Interest Rate Swaps Outstanding | | | $ | 456,162 | | | $ | — | | | $ | 456,162 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | |
Abbreviation Legend: |
| | M | | Monthly |
| | 1Y | | Yearly |
| | 28D | | 28 Days |
| | 3M | | Quarterly |
| | 6M | | Semi-Annually |
| | ADR | | American Depository Receipt |
| | BADLARPP | | BADLAR Private Banks |
| | CBOT | | Chicago Board of Trade |
| | CDE | | Montreal Exchange |
| | CFE | | CBOE Futures Exchange |
| | CLICP | | Sinacofi Chile Interbank Rate Average |
| | CME | | Chicago Mercantile Exchange |
| | CNRR007 | | China Fixing Rate Repo Rates 7 Day |
| | COMEX | | Commodities Exchange Center |
| | Eurex | | Eurex Exchange |
| | EURIBOR | | Euro Interbank Offered Rate |
| | Euronext | | Euronext Paris |
| | ICE | | Ice Futures Europe |
| | IDEM | | Italian Derivatives Exchange Market |
| | ISE | | Istanbul Stock Exchange |
| | KRX FM | | Korea Exchange (Futures Market) |
| | LIBOR | | London Interbank Offered Rate |
| | LME | | London Metal Exchange |
| | MTN | | Medium Term Note |
| | MOSPRIME | | Moscow Prime Offered Rate |
| | MYX | | Bursa Malaysia |
| | Nasdaq-OMX | | NASDAQ OMX Stockholm |
| | NYMEX | | New York Mercantile Exchange |
| | OSE | | Osaka Exchange |
| | OTC | | Over the Counter |
| | PIK | | Payment in Kind |
| | PRIBOR | | Prague Interbank Offer Rate |
| | REG S | | Regulation-S |
| | REIT | | Real Estate Investment Trust |
| | SFE | | ASX Trade24 |
| | SGX | | Singapore Exchange |
See Notes to Consolidated Financial Statements.
213
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments (Continued)
March 31, 2021
| | | | |
| | T | | At Maturity |
| | TFEX | | Thailand Futures Exchange |
| | TIIE | | TIIE Mexican Interbank Equilibrium Interest Rate |
| | WIBOR | | Poland Warsaw Interbank Offer Rate |
|
Currency Legend: |
| | AUD | | Australian Dollar |
| | BRL | | Brazilian Real |
| | CAD | | Canadian Dollar |
| | CHF | | Swiss Franc |
| | CLP | | Chilean Peso |
| | CNH | | Chinese Renminbi |
| | CNY | | Chinese Yuan |
| | CZK | | Czech Koruna |
| | EGP | | Egyptian Pound |
| | EUR | | Euro |
| | GBP | | British Pound |
| | HKD | | Hong Kong Dollar |
| | IDR | | Indonesian Rupiah |
| | INR | | Indian Rupee |
| | JPY | | Japanese Yen |
| | KRW | | South Korean Won |
| | MXN | | Mexican Peso |
| | MYR | | Malaysian Ringgit |
| | NOK | | Norwegian Krone |
| | PLN | | Polish Zloty |
| | RUB | | Russian Ruble |
| | SEK | | Swedish Krona |
| | SGD | | Singapore Dollar |
| | TRY | | Turkish Lira |
| | USD | | United States Dollar |
| | ZAR | | South African Rand |
See Notes to Consolidated Financial Statements.
214
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Statement of Assets and Liabilities
As of March 31, 2021
| | | | |
Assets: | |
Investments in securities, at fair value (cost $3,439,806,866) | | $ | 3,535,973,198 | |
Cash | | | 1,038,181,645 | |
Cash denominated in foreign currencies (cost of $22,144,525) | | | 22,343,956 | |
Segregated cash balance with broker for securities sold short | | | 339,517,317 | |
Segregated cash balance with custodian for derivative financial instruments | | | 438,570,357 | |
Segregated cash balance with counterparties for futures contracts | | | 24,195,998 | |
Segregated cash balance with counterparties for centrally cleared derivatives | | | 48,323,151 | |
Segregated cash balance with counterparties for OTC derivatives | | | 20,179,628 | |
Segregated cash balance with counterparties for reverse repurchase agreements | | | 3,098,318 | |
Unrealized appreciation on unfunded loan commitments | | | 71,643 | |
Unrealized appreciation on forward foreign currency exchange contracts | | | 4,654,833 | |
Income receivable | | | 17,460,016 | |
Receivable for investments sold | | | 94,093,238 | |
Receivable for Fund shares sold | | | 3,508,586 | |
Receivable for periodic payments from swap contracts | | | 12,497,197 | |
Investment subscriptions paid in advance | | | 100,000,000 | |
Variation margin receivable on futures | | | 41,184,304 | |
Variation margin receivable on centrally cleared swaps | | | 5,674,910 | |
Swap contracts, at fair value (net premiums paid $1,458,006) | | | 16,515,762 | |
Prepaid expenses and other assets | | | 454,433 | |
| | | | |
Total assets | | | 5,766,498,490 | |
| | | | |
Liabilities: | | | | |
Securities sold short, at fair value (proceeds of $302,664,593) | | | 337,365,053 | |
Cash received as collateral from custodian for derivative financial instruments | | | 647,157 | |
Cash received as collateral from counterparty for centrally cleared derivatives | | | 28,558,843 | |
Cash received as collateral from counterparty for futures contracts | | | 259,864 | |
Cash received as collateral for swaps and reverse repurchase agreements | | | 186,000 | |
Cash received as collateral from counterparty for OTC derivatives | | | 570,175 | |
Options written, at fair value (premiums received $33,231,737) | | | 23,743,832 | |
Unrealized depreciation on forward foreign currency exchange contracts | | | 3,524,848 | |
Payable for reverse repurchase agreements | | | 137,693,402 | |
Payable for investments purchased | | | 110,106,800 | |
Payable for Fund shares redeemed | | | 8,483,827 | |
Payable for periodic payments from swap contracts | | | 10,153,809 | |
Variation margin payable on futures | | | 1,537,844 | |
Variation margin payable on centrally cleared swaps | | | 40,647,604 | |
Swap contracts, at fair value (net premiums received $1,546,513) | | | 25,868,809 | |
Unrealized depreciation on unfunded loan commitments | | | 1,213 | |
Dividend and interest income payable on securities sold short | | | 587,566 | |
Management fee payable | | | 23,864,468 | |
Accrued expenses and other liabilities | | | 7,209,777 | |
| | | | |
Total liabilities | | | 761,010,891 | |
| | | | |
Commitments and contingencies (Note 2) | | | | |
Net assets | | $ | 5,005,487,599 | |
| | | | |
See Notes to Consolidated Financial Statements.
215
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Statement of Assets and Liabilities (Continued)
As of March 31, 2021
| | | | |
Net Assets Consist of: | | | | |
Paid-in capital | | $ | 5,449,595,949 | |
Total distributable loss | | | (444,108,350 | ) |
| | | | |
Net assets | | $ | 5,005,487,599 | |
| | | | |
Net Asset Value: | | | | |
Class I Shares | | | | |
Net Assets | | $ | 3,637,017,956 | |
Class I Shares outstanding, no par value, unlimited shares authorized | | | 348,316,502 | |
| | | | |
Net asset value per share | | $ | 10.44 | |
| | | | |
| |
Class D Shares | | | | |
Net Assets | | $ | 27,030,807 | |
Class D Shares outstanding, no par value, unlimited shares authorized | | | 2,580,674 | |
| | | | |
Net asset value per share | | $ | 10.47 | |
| | | | |
| |
Class Y Shares | | | | |
Net Assets | | $ | 1,341,438,836 | |
Class Y Shares outstanding, no par value, unlimited shares authorized | | | 129,503,907 | |
| | | | |
Net asset value per share | | $ | 10.36 | |
| | | | |
See Notes to Consolidated Financial Statements.
216
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Statement of Operations
For the Year Ended March 31, 2021
| | | | |
Investment Income: | | | | |
Interest (including net foreign taxes withheld of $810) | | $ | 183,088,822 | |
Dividends (including net foreign taxes withheld of $28,418) | | | 10,090,452 | |
| | | | |
Total income | | | 193,179,274 | |
| | | | |
Expenses: | | | | |
Management fees | | $ | 104,842,669 | |
Dividends and interest on securities sold short | | | 12,454,559 | |
Professional fees | | | 8,172,311 | |
Interest fees | | | 6,909,521 | |
Administration fees | | | 4,556,715 | |
Shareholder service fees | | | 3,597,893 | |
Financing fees on securities sold short | | | 2,455,052 | |
Line of credit fee | | | 1,512,808 | |
Custodian fees | | | 1,471,439 | |
Trustees’ fees | | | 1,199,988 | |
Printing and postage fees | | | 704,446 | |
Other | | | 538,086 | |
Registration fees | | | 228,126 | |
Distribution fees—Class D | | | 81,462 | |
| | | | |
Net expenses | | | 148,725,075 | |
| | | | |
Net investment income | | | 44,454,199 | |
| | | | |
Net Realized and Unrealized Gain (Loss): | | | | |
Net realized gain on investments in securities | | | 173,292,698 | |
Net realized loss on securities sold short | | | (142,061,381 | ) |
Net realized gain on forward foreign currency exchange contracts | | | 8,438,516 | |
Net realized loss on foreign currency transactions | | | (744,233 | ) |
Net realized loss on futures contracts | | | (25,671,276 | ) |
Net realized gain on options written | | | 83,341,290 | |
Net realized loss on swap contracts | | | (22,334,277 | ) |
Net change in unrealized appreciation on investments in securities | | | 946,747,762 | |
Net change in unrealized depreciation on securities sold short | | | (112,894,188 | ) |
Net change in unrealized depreciation on forward foreign currency exchange contracts | | | (11,469,719 | ) |
Net change in unrealized depreciation on foreign currency translations | | | (4,581,456 | ) |
Net change in unrealized appreciation on futures contracts | | | 17,807,387 | |
Net change in unrealized appreciation on options written | | | 6,204,626 | |
Net change in unrealized appreciation on swap contracts | | | 14,811,021 | |
Net change in unrealized appreciation on unfunded loan commitments | | | 70,430 | |
| | | | |
Net realized and unrealized gain | | | 930,957,200 | |
| | | | |
Net increase in net assets resulting from operations | | $ | 975,411,399 | |
| | | | |
See Notes to Consolidated Financial Statements.
217
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Statement of Changes in Net Assets
| | | | | | | | |
| | | Year
Ended
3/31/2021 | | | Year
Ended
3/31/2020 | |
Increase (Decrease) in Net Assets | | | | | | | | |
Operations: | | | | | | | | |
Net investment income | | $ | 44,454,199 | | | $ | 114,638,097 | |
Net realized gain (loss) | | | 74,261,337 | | | | (135,247,628 | ) |
Net change in unrealized appreciation (depreciation) | | | 856,695,863 | | | | (968,108,839 | ) |
| | | | | | | | |
Net increase (decrease) in net assets resulting from operations | | | 975,411,399 | | | | (988,718,370 | ) |
| | | | | | | | |
Distributions: | | | | | | | | |
Distributions from earnings | | | | | | | | |
Class I Shares | | | (119,292,805 | ) | | | (213,950,691 | ) |
Class D Shares | | | (779,289 | ) | | | (1,248,825 | ) |
Class Y Shares | | | (46,914,714 | ) | | | (78,417,862 | ) |
| | | | | | | | |
Total distributions to shareholders | | | (166,986,808 | ) | | | (293,617,378 | ) |
| | | | | | | | |
Capital Transactions: | | | | | | | | |
Shareholder subscriptions: | | | | | | | | |
Proceeds from sale of Class I Shares | | | 1,047,977,900 | | | | 2,159,651,178 | |
Proceeds from sale of Class D Shares | | | 14,061,374 | | | | 24,881,951 | |
Proceeds from sale of Class Y Shares | | | 75,780,550 | | | | 1,157,789,108 | |
Shareholder reinvestments: | | | | | | | | |
Net asset value of Class I Shares issued to shareholders in payment of distributions declared | | | 90,069,095 | | | | 147,096,547 | |
Net asset value of Class D Shares issued to shareholders in payment of distributions declared | | | 628,531 | | | | 1,173,636 | |
Net asset value of Class Y Shares issued to shareholders in payment of distributions declared | | | 46,756,240 | | | | 78,217,640 | |
Shareholder redemptions: | | | | | | | | |
Cost of Class I Shares redeemed | | | (2,820,623,301 | ) | | | (1,919,545,972 | ) |
Cost of Class D Shares redeemed | | | (33,673,907 | ) | | | (276,004,337 | ) |
Cost of Class Y Shares redeemed | | | (752,185,026 | ) | | | (772,106,834 | ) |
| | | | | | | | |
Net increase (decrease) in net assets resulting from capital transactions | | | (2,331,208,544 | ) | | | 601,152,917 | |
| | | | | | | | |
Net decrease in net assets | | | (1,522,783,953 | ) | | | (681,182,831 | ) |
| | | | | | | | |
Net Assets: | | | | | | | | |
Beginning of period | | | 6,528,271,552 | | | | 7,209,454,383 | |
| | | | | | | | |
End of period | | $ | 5,005,487,599 | | | $ | 6,528,271,552 | |
| | | | | | | | |
See Notes to Consolidated Financial Statements.
218
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Statement of Changes in Net Assets (Continued)
| | | | | | | | |
| | | Year
Ended
3/31/2021 | | | Year
Ended
3/31/2020 | |
Share Transactions: | | | | | | | | |
Class I Shares | | | | | | | | |
Beginning of period | | | 521,138,289 | | | | 491,804,552 | |
Shares issued | | | 105,461,698 | | | | 200,846,060 | |
Reinvestment in Shares | | | 8,873,803 | | | | 13,798,925 | |
Shares redeemed | | | (287,157,288 | ) | | | (185,311,248 | ) |
| | | | | | | | |
Net change in shares resulting from share transactions | | | (172,821,787 | )�� | | | 29,333,737 | |
| | | | | | | | |
End of period | | | 348,316,502 | | | | 521,138,289 | |
| | | | | | | | |
Class D Shares | | | | | | | | |
Beginning of period | | | 4,504,458 | | | | 27,686,086 | |
Shares issued | | | 1,415,160 | | | | 2,332,799 | |
Reinvestment in Shares | | | 61,681 | | | | 109,891 | |
Shares redeemed | | | (3,400,625 | ) | | | (25,624,318 | ) |
| | | | | | | | |
Net change in shares resulting from share transactions | | | (1,923,784 | ) | | | (23,181,628 | ) |
| | | | | | | | |
End of period | | | 2,580,674 | | | | 4,504,458 | |
| | | | | | | | |
Class Y Shares | | | | | | | | |
Beginning of period | | | 194,437,258 | | | | 151,628,621 | |
Shares issued | | | 7,823,515 | | | | 108,074,404 | |
Reinvestment in Shares | | | 4,643,122 | | | | 7,399,966 | |
Shares redeemed | | | (77,399,988 | ) | | | (72,665,733 | ) |
| | | | | | | | |
Net change in shares resulting from share transactions | | | (64,933,351 | ) | | | 42,808,637 | |
| | | | | | | | |
End of period | | | 129,503,907 | | | | 194,437,258 | |
| | | | | | | | |
See Notes to Consolidated Financial Statements.
219
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Statement of Cash Flows
For the Year Ended March 31, 2021
| | | | |
Cash Flows from Operating Activities: | |
Net increase in net assets resulting from operations | | $ | 975,411,399 | |
Adjustments to reconcile net increase (decrease) in net assets resulting from operations to net cash provided by operating activities: | | | | |
Purchases of investments in securities | | | (6,263,515,332 | ) |
Proceeds from disposition of investments in securities | | | 8,658,848,773 | |
Proceeds from securities sold short | | | 1,129,205,288 | |
Payments to cover securities sold short | | | (1,336,620,387 | ) |
Short-term investments, net | | | 330,840,808 | |
Premiums paid on closing options written | | | (19,969,463 | ) |
Proceeds from premiums received from options written | | | 121,077,261 | |
Net realized gain on investments in securities | | | (173,292,698 | ) |
Net realized loss on securities sold short | | | 142,061,381 | |
Net realized gain on options written | | | (83,341,290 | ) |
Net realized gain on reverse repurchase agreements | | | (843,611 | ) |
Net change in accretion of bond discount and amortization of bond and swap premium | | | (11,606,123 | ) |
Net change in unrealized appreciation on investments in securities | | | (946,747,762 | ) |
Net change in unrealized depreciation on securities sold short | | | 112,894,188 | |
Net change in unrealized appreciation on options written | | | (6,204,626 | ) |
Net change in unrealized depreciation on reverse repurchase agreements | | | 4,072,238 | |
Changes in assets and liabilities: | | | | |
(Increase) decrease in assets: | | | | |
Unrealized appreciation on forward foreign currency exchange contracts | | | 19,943,226 | |
Income receivable | | | 18,331,211 | |
Receivable for periodic payments from swap contracts | | | (8,130,983 | ) |
Investment subscriptions paid in advance | | | (100,000,000 | ) |
Variation margin receivable on futures | | | 25,324,500 | |
Variation margin receivable on centrally cleared swaps | | | 663,065 | |
Change in unrealized on unfunded loan | | | (71,643 | ) |
Swap contracts, at fair value | | | 104,288,041 | |
Prepaid expenses and other assets | | | (306,710 | ) |
Increase (decrease) in liabilities: | | | | |
Cash received as collateral for swaps and reverse repurchase agreements | | | (1,534,503 | ) |
Cash received as collateral from custodian for derivative financial instruments | | | (8,402,843 | ) |
Cash received as collateral from counterparty for OTC derivatives | | | (8,464,825 | ) |
Cash received as collateral from counterparty for centrally cleared derivatives | | | 9,683,998 | |
Cash received as collateral from counterparty for futures contracts | | | 259,864 | |
Unrealized depreciation on forward foreign currency exchange contracts | | | (8,473,507 | ) |
Swap contracts, at fair value | | | (93,012,229 | ) |
Variation margin payable on futures | | | (9,866,971 | ) |
Variation margin payable on centrally cleared swaps | | | 3,318,062 | |
Payable for periodic payments from swap contracts | | | (22,784,386 | ) |
Dividend and interest income payable on securities sold short | | | (866,789 | ) |
Interest payable on reverse repurchase agreements | | | (1,336,640 | ) |
Change in unrealized on unfunded loan | | | 1,213 | |
Management fee payable | | | (12,588,823 | ) |
Accrued expenses and other liabilities | | | (5,619,281 | ) |
| | | | |
Net cash provided by operating activities | | $ | 2,532,623,091 | |
| | | | |
Cash Flows from Financing Activities | | | | |
Proceeds from shares sold | | | 1,140,792,509 | |
Cost of shares repurchased | | | (3,636,347,464 | ) |
Proceeds from reverse repurchase agreements | | | 3,698,397,798 | |
Repayment of reverse repurchase agreements | | | (4,728,081,790 | ) |
Distributions paid (net of reinvestment) | | | (29,532,942 | ) |
| | | | |
Net cash used in financing activities | | | (3,554,771,889 | ) |
| | | | |
Net increase (decrease) in unrestricted and restricted cash and foreign currency | | | (1,022,148,798 | ) |
Unrestricted and restricted cash and foreign currency, beginning of period | | | 2,956,559,168 | |
| | | | |
Unrestricted and restricted cash and foreign currency, end of period | | $ | 1,934,410,370 | |
| | | | |
Supplemental disclosure of cash flow information: | | | | |
Cash paid during the period for interest | | $ | 8,246,161 | |
| | | | |
Non-Cash Financing Activities | | | | |
Capital shares issued in reinvestment of distribution | | $ | 137,453,866 | |
| | | | |
See Notes to Consolidated Financial Statements.
220
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Statement of Cash Flows (Continued)
For the Year Ended March 31, 2021
| | |
Reconciliation of unrestricted and restricted cash to the statements of assets and liabilities |
| | | | | | | | |
| | | Year Ended
March 31, 2021 | | | Year Ended
March 31, 2020 | |
Cash | | $ | 1,038,181,645 | | | $ | 2,190,708,712 | |
Foreign currency at value | | | 22,343,956 | | | | 107,676,816 | |
Cash Pledged | | | | | | | | |
Securities sold short | | | 339,517,317 | | | | 266,496,311 | |
Derivative financial instruments | | | 438,570,357 | | | | 80,535,000 | |
Futures contracts | | | 24,195,998 | | | | 42,682,963 | |
Centrally cleared derivatives | | | 48,323,151 | | | | 32,176,492 | |
OTC derivatives | | | 20,179,628 | | | | 47,125,548 | |
TBAs | | | — | | | | 1,770,000 | |
Reverse repurchase agreements | | | 3,098,318 | | | | 187,387,326 | |
| | | | | | | | |
| | $ | 1,934,410,370 | | | $ | 2,956,559,168 | |
| | | | | | | | |
See Notes to Consolidated Financial Statements.
221
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Financial Highlights
(For Shares Outstanding Throughout the Period)
| | | | | | | | | | | | | | | | | | | | |
| | | Class I | |
| | | Year
Ended
3/31/2021
| | | Year
Ended
3/31/2020
| | | Year
Ended
3/31/2019
| | | Year
Ended
3/31/2018
| | | Year
Ended
3/31/2017
| |
Net Asset Value, Beginning of Period | | $ | 9.08 | | | $ | 10.76 | | | $ | 10.67 | | | $ | 10.56 | | | $ | 9.82 | |
Income From Investment Operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | 0.08 | | | | 0.15 | | | | 0.10 | | | | 0.01 | | | | 0.07 | |
Net realized and unrealized gain (loss) | | | 1.60 | | | | (1.44 | ) | | | 0.19 | | | | 0.31 | | | | 0.72 | |
| | | | | | | | | | | | | | | | | | | | |
Total From Investment Operations | | | 1.68 | | | | (1.29 | ) | | | 0.29 | | | | 0.32 | | | | 0.79 | |
| | | | | | | | | | | | | | | | | | | | |
Less Distributions to Shareholders: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.32 | ) | | | (0.21 | ) | | | (0.13 | ) | | | (0.08 | ) | | | (0.05 | ) |
From net realized capital gains | | | — | | | | (0.18 | ) | | | (0.07 | ) | | | (0.13 | ) | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | (0.32 | ) | | | (0.39 | ) | | | (0.20 | ) | | | (0.21 | ) | | | (0.05 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | $ | 10.44 | | | $ | 9.08 | | | $ | 10.76 | | | $ | 10.67 | | | $ | 10.56 | |
| | | | | | | | | | | | | | | | | | | | |
Total Return | | | 18.34 | % | | | (12.32 | )% | | | 2.76 | % | | | 3.06 | % | | | 8.03 | % |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Ratios to Average Net Assets:2 | | | | | | | | | | | | | | | | | | | | |
Expenses other than Management Fees | | | 0.80 | % | | | 0.94 | % | | | 1.33 | % | | | 0.89 | % | | | 1.15 | % |
Management Fees | | | 1.87 | % | | | 1.85 | % | | | 1.86 | % | | | 1.88 | % | | | 1.88 | % |
| | | | | | | | | | | | | | | | | | | | |
Net expenses | | | 2.67 | % | | | 2.79 | % | | | 3.19 | % | | | 2.77 | % | | | 3.03 | % |
Excluded expenses3 | | | (0.42 | )% | | | (0.65 | )% | | | (1.00 | )% | | | (0.57 | )% | | | (0.81 | )% |
| | | | | | | | | | | | | | | | | | | | |
Expenses, net of impact of excluded expenses | | | 2.25 | % | | | 2.14 | % | | | 2.19 | % | | | 2.20 | % | | | 2.22 | % |
| | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 0.77 | % | | | 1.43 | % | | | 0.94 | % | | | 0.13 | % | | | 0.71 | % |
| | | | | | | | | | | | | | | | | | | | |
Supplemental Data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (in thousands) | | $ | 3,637,018 | | | $ | 4,734,372 | | | $ | 5,292,572 | | | $ | 5,088,031 | | | $ | 3,597,704 | |
Portfolio turnover | | | 135 | % | | | 193 | % | | | 203 | % | | | 300 | % | | | 237 | % |
| 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 Funds. |
| 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.
222
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Financial Highlights (Continued)
(For Shares Outstanding Throughout the Period)
| | | | | | | | | | | | | | | | | | | | |
| | | Class D | |
| | | Year
Ended
3/31/2021 | | | Year
Ended
3/31/2020 | | | Year
Ended
3/31/2019 | | | Year
Ended
3/31/2018 | | | Year
Ended
3/31/2017 | |
Net Asset Value, Beginning of Period | | $ | 9.10 | | | $ | 10.73 | | | $ | 10.64 | | | $ | 10.53 | | | $ | 9.81 | |
Income From Investment Operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income (loss)1 | | | 0.05 | | | | 0.13 | | | | 0.06 | | | | (0.03 | ) | | | 0.05 | |
Net realized and unrealized gain (loss) | | | 1.60 | | | | (1.46 | ) | | | 0.20 | | | | 0.30 | | | | 0.70 | |
| | | | | | | | | | | | | | | | | | | | |
Total From Investment Operations | | | 1.65 | | | | (1.33 | ) | | | 0.26 | | | | 0.27 | | | | 0.75 | |
| | | | | | | | | | | | | | | | | | | | |
Less Distributions to Shareholders: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.28 | ) | | | (0.12 | ) | | | (0.10 | ) | | | (0.03 | ) | | | (0.03 | ) |
From net realized capital gains | | | — | | | | (0.18 | ) | | | (0.07 | ) | | | (0.13 | ) | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | (0.28 | ) | | | (0.30 | ) | | | (0.17 | ) | | | (0.16 | ) | | | (0.03 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | $ | 10.47 | | | $ | 9.10 | | | $ | 10.73 | | | $ | 10.64 | | | $ | 10.53 | |
| | | | | | | | | | | | | | | | | | | | |
Total Return | | | 18.07 | % | | | (12.60 | )% | | | 2.50 | % | | | 2.60 | % | | | 7.70 | % |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Ratios to Average Net Assets:2 | | | | | | | | | | | | | | | | | | | | |
Expenses other than Management Fees | | | 1.07 | % | | | 1.18 | % | | | 1.71 | % | | | 1.27 | % | | | 1.40 | % |
Management Fees | | | 1.87 | % | | | 1.85 | % | | | 1.86 | % | | | 1.88 | % | | | 1.88 | % |
| | | | | | | | | | | | | | | | | | | | |
Net expenses | | | 2.94 | % | | | 3.03 | % | | | 3.57 | % | | | 3.15 | % | | | 3.28 | % |
Excluded expenses3 | | | (0.68 | )% | | | (0.90 | )% | | | (1.29 | )% | | | (0.81 | )% | | | (1.06 | )% |
| | | | | | | | | | | | | | | | | | | | |
Expenses, net of impact of excluded expenses | | | 2.26 | % | | | 2.13 | % | | | 2.28 | % | | | 2.34 | % | | | 2.22 | % |
| | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 0.51 | % | | | 1.19 | % | | | 0.57 | % | | | (0.26 | )% | | | 0.48 | % |
| | | | | | | | | | | | | | | | | | | | |
Supplemental Data: | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (in thousands) | | $ | 27,031 | | | $ | 40,987 | | | $ | 297,086 | | | $ | 229,593 | | | $ | 316,243 | |
Portfolio turnover | | | 135 | % | | | 193 | % | | | 203 | % | | | 300 | % | | | 237 | % |
| 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 Funds. |
| 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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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Financial Highlights (Continued)
(For Shares Outstanding Throughout the Period)
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Class Y |
| | | Year
Ended
3/31/2021 | | Year
Ended
3/31/2020 | | Year
Ended
3/31/2019 | | Year
Ended
3/31/2018 | | Year
Ended
3/31/2017 |
Net Asset Value, Beginning of Period | | | $ | 9.02 | | | | $ | 10.68 | | | | $ | 10.59 | | | | $ | 10.48 | | | | $ | 9.75 | |
Income From Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | | 0.08 | | | | | 0.16 | | | | | 0.09 | | | | | 0.02 | | | | | 0.08 | |
Net realized and unrealized gain (loss) | | | | 1.59 | | | | | (1.42 | ) | | | | 0.21 | | | | | 0.31 | | | | | 0.71 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total From Investment Operations | | | | 1.67 | | | | | (1.26 | ) | | | | 0.30 | | | | | 0.33 | | | | | 0.79 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Less Distributions to Shareholders: | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | | (0.33 | ) | | | | (0.22 | ) | | | | (0.14 | ) | | | | (0.09 | ) | | | | (0.06 | ) |
From net realized capital gains | | | | — | | | | | (0.18 | ) | | | | (0.07 | ) | | | | (0.13 | ) | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | | (0.33 | ) | | | | (0.40 | ) | | | | (0.21 | ) | | | | (0.22 | ) | | | | (0.06 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | | $ | 10.36 | | | | $ | 9.02 | | | | $ | 10.68 | | | | $ | 10.59 | | | | $ | 10.48 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | | 18.49 | % | | | | (12.25 | )% | | | | 2.85 | % | | | | 3.17 | % | | | | 8.10 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Ratios to Average Net Assets:2 | | | | | | | | | | | | | | | | | | | | | | | | | |
Expenses other than Management Fees | | | | 0.72 | % | | | | 0.83 | % | | | | 1.39 | % | | | | 0.79 | % | | | | 1.05 | % |
Management Fees | | | | 1.87 | % | | | | 1.85 | % | | | | 1.86 | % | | | | 1.88 | % | | | | 1.88 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Net expenses | | | | 2.59 | % | | | | 2.68 | % | | | | 3.25 | % | | | | 2.67 | % | | | | 2.93 | % |
Excluded expenses3 | | | | (0.42 | )% | | | | (0.62 | )% | | | | (1.13 | )% | | | | (0.57 | )% | | | | (0.81 | )% |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Expenses, net of impact of excluded expenses | | | | 2.17 | % | | | | 2.06 | % | | | | 2.12 | % | | | | 2.10 | % | | | | 2.12 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income (loss) | | | | 0.85 | % | | | | 1.54 | % | | | | 0.89 | % | | | | 0.23 | % | | | | 0.78 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net assets, end of period (in thousands) | | | $ | 1,341,439 | | | | $ | 1,752,913 | | | | $ | 1,619,797 | | | | $ | 686,390 | | | | $ | 432,327 | |
Portfolio turnover | | | | 135 | % | | | | 193 | % | | | | 203 | % | | | | 300 | % | | | | 237 | % |
| 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 Funds. |
| 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.
224
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Notes to Consolidated Financial Statements
For the Year Ended March 31, 2021
1. Organization
Blackstone Alternative Investment Funds (the “Trust”) is a Massachusetts business trust authorized to issue an unlimited number of shares of beneficial interest, which may be divided into different series and classes. The Trust is registered as an open-end management investment company under the Investment Company Act of 1940, as amended (the “1940 Act”). During the year ended March 31, 2021, the Trust consisted of a single series, Blackstone Alternative Multi-Strategy Fund (the “Fund”). The Fund commenced operations offering Class I Shares on June 16, 2014. The Fund also offers Class D Shares, Class Y Shares and Class R Shares. Class D Shares and Class Y Shares commenced operations on November 17, 2014 and January 28, 2015, respectively. As of March 31, 2021, the Fund had not issued any Class R Shares. The Fund operates as a diversified open-end investment company as defined in the 1940 Act.
The investment adviser of the Fund is Blackstone Alternative Investment Advisors LLC (“BAIA” or the “Investment Adviser”), a registered investment adviser under the Investment Advisers Act of 1940, as amended. The Board of Trustees (the “Board” and each member a “Trustee”) of the Trust supervises the conduct of the Fund’s affairs and has engaged BAIA to manage the Fund’s day-to-day investment activities pursuant to an investment management agreement. The Fund’s investment objective is to seek capital appreciation. In pursuing the Fund’s investment objective, the Investment Adviser seeks to maintain an investment portfolio with, on average, lower volatility relative to the broader equity markets. The Investment Adviser seeks to achieve the Fund’s objectives by allocating the Fund’s assets among a variety of non-traditional, or “alternative,” investment strategies. The Investment Adviser determines the allocations of the Fund’s assets and allocates a majority of the Fund’s assets among the sub-advisers (the “Sub-Advisers”) with experience managing alternative investment strategies and among investment funds. The Investment Adviser also manages a portion of the Fund’s assets directly and, from time to time, may instruct Sub-Advisers with respect to particular investments. The Investment Adviser may allocate the Fund’s assets among discretionary and non-discretionary Sub-Advisers. Each discretionary Sub-Adviser is responsible for the day-to-day management of the portion of the Fund’s assets that the Investment Adviser allocates to it. Each non-discretionary Sub-Adviser is responsible for providing the Investment Adviser with a model portfolio for the assets allocated to it to be implemented by the Investment Adviser in its discretion. The Investment Adviser has the ultimate responsibility to oversee each Sub-Adviser (subject to the oversight of the Board). The Adviser also is responsible for recommending the hiring, termination, and replacement of Sub-Advisers.
The Fund’s assets may be invested in three wholly-owned and controlled subsidiaries of the Fund (collectively, the “Subsidiaries”), each of which has the same investment objective as the Fund. One of the Fund’s Subsidiaries, Blackstone Alternative Multi-Strategy Sub Fund II Ltd. (the “Cayman Subsidiary”), is a Cayman Islands exempted company. Both of the other Subsidiaries, Blackstone Alternative Multi-Strategy Sub Fund III L.L.C. (the “Domestic Subsidiary III”) and Blackstone Alternative Multi-Strategy Sub Fund IV L.L.C. (the “Domestic Subsidiary IV”), are Delaware limited liability companies. The Cayman Subsidiary invests, directly or indirectly through the use of derivatives, in securities and commodity interests. The Domestic Subsidiary III and the Domestic Subsidiary IV invest, directly or indirectly through the use of derivatives, almost entirely in securities (with only de minimis exposure to commodity interests). The consolidated financial statements include the financial statements of the Fund and the three Subsidiaries. Except where context otherwise requires, the term “Fund” refers to the Fund together with the applicable Subsidiaries.
The Fund and the Cayman Subsidiary are each a commodity pool under the Commodity Exchange Act (“CEA”) and are subject to regulation by the Commodity Futures Trading Commission (“CFTC”). BAIA, the commodity pool operator of the Fund and the Cayman Subsidiary, is registered as such with the CFTC, but has claimed relief under Rules 4.12(c)(3) and 4.7 under the CEA, respectively, from certain disclosure,
225
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Notes to Consolidated Financial Statements (Continued)
For the Year Ended March 31, 2021
reporting, and recordkeeping requirements otherwise applicable to commodity pools. Neither the Domestic Subsidiary III nor the Domestic Subsidiary IV intends to invest more than a de minimis level of its net assets in “commodity interests” (as defined under the CEA). Accordingly, BAIA is relying on CFTC No-Action Letter 12-38 with respect to the Domestic Subsidiary III and has claimed an exemption under Rule 4.13(a)(3) from registration as a commodity pool operator with respect to the Domestic Subsidiary IV.
Capitalized terms used, but not defined herein, shall have the meaning assigned to them in the Prospectus of the Fund.
2. Basis of Presentation
The Fund’s consolidated financial statements are prepared in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”) and are stated in U.S. dollars, except as otherwise noted. The preparation of consolidated financial statements in accordance with U.S. GAAP requires management to make certain estimates and assumptions that affect the reported amount of assets and liabilities, the disclosure of contingent assets and liabilities, and the reported amounts of income and expenses during the period. Actual results could differ from these estimates and these differences could be material.
The Fund is an investment company in accordance with Accounting Standards Codification 946, Financial Services—Investment Companies (“ASC 946”), which defines investment companies and prescribes specialized accounting and reporting requirements for investment companies.
Consolidation
The Fund consolidates its investment in the Subsidiaries. Accordingly, the consolidated financial statements include the assets and liabilities and the results of operations of the Subsidiaries. All material intercompany balances and transactions have been eliminated.
3. Significant Accounting Policies
Valuation Policy
The net asset value (“NAV”) of the Fund’s shares is calculated as of the close of regular trading on the New York Stock Exchange (“NYSE”) (generally 4:00 pm Eastern Time) on each day that the NYSE is open for business (a “Business Day”).
For purposes of calculating the NAV for each class of shares, the Fund values its investments in securities, securities sold short, derivative financial instruments and other investments at fair value. The Board has established procedures for determining the fair value of securities, including securities sold short, derivative financial instruments and other investments (together, the “investments”) (the “Valuation Procedures”). The Board has delegated to the Investment Adviser day-to-day responsibility for implementing the Valuation Procedures. The Investment Adviser’s management has formed the Fair Value Committee (the “FVC”), to which the Board has delegated responsibility for providing oversight of the valuation and pricing function of the Fund for all investments. Pursuant to the Valuation Procedures, if market quotations are not readily available (or are otherwise not reliable for a particular investment), the fair value will be determined by the FVC in good faith, and such determinations will be reported to the Board. Due to the inherent uncertainty, estimates of fair value may differ from the values that would have been used had a ready market for these investments existed and the differences could be material.
226
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Notes to Consolidated Financial Statements (Continued)
For the Year Ended March 31, 2021
Market quotes are considered not readily available in circumstances where there is an absence of current or reliable market-based data (e.g., trade information, bid/ask information, or broker-dealer quotations), including where events occur after the close of the relevant market, but prior to the close of the NYSE, that materially affect the value of the Fund’s investments. In addition, market quotes are considered not readily available when, due to extraordinary circumstances, the exchanges or markets on which securities trade do not open for trading for the entire day and no other market prices are available. The Board has delegated to the FVC and the Investment Adviser the responsibility for monitoring significant events that may materially affect the values of the Fund’s investments and for determining whether the value of the applicable investments should be re-evaluated in light of such significant events. There were no instances of such determination made during the year ended March 31, 2021.
COVID-19 and Global Economic and Market Conditions
The ongoing novel coronavirus (“COVID-19”) pandemic and restrictions on certain non-essential businesses have caused disruption in the U.S. and global economies. Although an economic recovery is partially underway, it continues to be gradual, uneven, and characterized by meaningful dispersion across sectors and regions. The estimates and assumptions underlying these consolidated financial statements are based on the information available as of March 31, 2021, including judgments about the financial markets and economic conditions which may change over time.
Fair Value Measurements
Fair value guidance defines fair value, establishes a framework for measuring fair value, and expands disclosures about fair value measurements. U.S. GAAP defines fair value as the price that the Fund would receive to sell an asset or pay to transfer a liability (i.e., the exit price) in an orderly transaction between market participants at the measurement date.
The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for investments categorized in Level 3. The inputs or methodology used for valuing an investment are not necessarily an indication of the risk associated with investing in those securities.
Investments measured and reported at fair value are classified and disclosed in one of the following levels within the fair value hierarchy based on the lowest level of input that is significant to the fair value measurement:
Level 1 – quoted prices are available in active markets for identical investments as of the measurement date. The Fund does not adjust the quoted price for these investments.
The types of investments categorized within Level 1 generally include actively traded domestic and certain foreign equity securities, short-term investments and derivative financial instruments actively traded on recognized exchanges.
Level 2 – quoted prices are available in markets that are not active or model inputs are based on inputs that are either directly or indirectly observable as of the measurement date.
227
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Notes to Consolidated Financial Statements (Continued)
For the Year Ended March 31, 2021
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, 2021, the total fair value of Level 3 investments was $64,887,688. 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 significant inputs and assumptions required to determine the change in fair value of the investments of the Fund are discussed in more detail below.
A description of the valuation techniques applied to the Fund’s major categories of investments measured at fair value on a recurring basis are as follows:
Exchange-Traded Securities
Equity securities, including common stock, listed preferred stock, exchange-traded funds, special purpose acquisition companies, and derivative financial instruments, such as futures contracts and option contracts, that are traded on a recognized securities exchange or on the NASDAQ Global Market System (“NASDAQ”) are valued at the last reported sales price (or the official closing price of certain foreign exchanges) or the NASDAQ official closing price, as applicable. For securities traded on more than one exchange, the last reported sales price on the exchange where the security is primarily traded is used. To the extent these securities and derivative financial instruments are actively traded and adjustments are not applied, they are categorized as Level 1 within the fair value hierarchy.
The Fund may use a third-party fair valuation service provider to value foreign equity securities that are primarily traded outside of North America and South America. The third-party fair valuation service provider calculates a factor (“Fair Value Factor”) that is applied to adjust the last price of each such security in the event that there is movement in excess of a specified trigger, as measured by the movement between the prior close and the current close of the U.S. market. Foreign equities for which the last price has been adjusted by such factor will generally be categorized as Level 2 within the fair value hierarchy.
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, 2021, the Fund did not have any investment in short-term investments.
228
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Notes to Consolidated Financial Statements (Continued)
For the Year Ended March 31, 2021
Derivative Financial Instruments
OTC derivative financial instruments, such as Forwards, OTC options contracts, or swap agreements, derive their value from underlying referenced instruments or obligations, indices, reference rates, and other inputs or a combination thereof. These contracts are normally valued by pricing service providers or based on broker-dealer quotations. Depending on the nature of the instruments and the terms of the transaction, the value of OTC derivative financial instruments can be estimated by a pricing service provider using a series of techniques, including industry standard pricing models. The pricing models use inputs that are observed from actively quoted markets such as issuer details, indices, spreads, yield curves, dividends and exchange rates. Derivative financial instruments that use similar valuation techniques and inputs as described above are categorized as Level 2 within the fair value hierarchy.
Centrally cleared swaps listed or traded on a multilateral or trade facility platform, such as a registered exchange, are valued at the daily settlement price determined by the clearing exchange. For centrally cleared credit default swaps, the clearing facility requires its members to provide actionable levels across complete term structures. These levels along with external third-party prices are used to produce daily settlement prices. Centrally cleared interest rate swaps are valued using a pricing model that references the underlying rates to produce the daily settlement price. These securities are categorized as Level 2 within the fair value hierarchy.
Fixed Income Securities
Fixed income securities, including corporate and convertible bonds, U.S. government sponsored agency securities, municipal bonds, U.S. Treasury obligations, foreign debt obligations, and bank debt are normally valued by pricing service providers on the basis of last available bid price or ask price for securities sold short. In determining the value of a particular investment, pricing service providers may use broker-dealer quotations, reported trades, or valuation estimates from their internal pricing models to determine the reported price that consider observable inputs. The pricing service providers’ internal models use observable inputs such as issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar assets. Securities that use similar valuation techniques and inputs as described above are categorized as Level 2 within the fair value hierarchy.
Mortgage-related securities (“MBS”) and asset-backed securities (“ABS”) are usually issued as separate tranches, or classes, of securities within each deal. These securities are also generally valued by pricing service providers that use broker-dealer quotations or valuation estimates from their internal pricing models. The pricing models for these securities usually consider tranche-level attributes, current market data, estimated cash flows and market-based yield spreads for each tranche, and in corporate deal collateral performance, as available. MBS and ABS that use similar valuation techniques and inputs as described above are categorized as Level 2 within the fair value hierarchy.
Investments in Investee Funds
The fair value of investments in unaffiliated hedge funds (collectively, the “Investee Funds”) is generally determined using the reported NAV per share of the Investee Fund, or its equivalent, as a practical expedient for fair value, unless the investment in the Investee Fund is traded on a recognized securities exchange and a quoted price is available as of the measurement date. If the Investee Fund is not traded on an exchange, the Fund may, as a practical expedient, estimate the fair value of an Investee Fund based on the reported NAV per share or its equivalent if the reported NAV per share or its equivalent of the Investee Fund is calculated in a manner consistent with the measurement principles applied to investment companies, in accordance with ASC 946.
229
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Notes to Consolidated Financial Statements (Continued)
For the Year Ended March 31, 2021
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, 2021, the Fund had an outstanding commitment of $2,283,853 related to held unfunded commitments.
Mortgage-Related and Other Asset-Backed Securities
The Fund may invest in MBS (residential and commercial) and other ABS. These securities include mortgage pass-through securities, collateralized mortgage obligations, commercial mortgage-backed securities, residential mortgage-backed securities, collateralized debt obligations, collateralized loan obligations, and other securities that directly or indirectly represent a participation in, or are secured by and payable from, mortgage loans on real property. MBS and other ABS represent interests in pools of mortgages, loans or other assets. MBS are created from pools of residential or commercial mortgage loans, including loans made by savings and loans institutions, mortgage bankers, commercial banks and others. These securities typically provide a monthly payment that consists of principal and/or interest payments. Interest payments may be determined by fixed or adjustable rates. MBS and ABS are subject to credit, interest rate, valuation liquidity, prepayment and extension risks.
Securities Sold Short
The Fund may sell securities short (a “Short Sale”). A Short Sale is a transaction whereby the Fund sells securities it does not own in anticipation of a decline in the market price of those securities, whereby the Fund’s broker will execute a borrow transaction to deliver the securities resulting from the Fund’s Short Sale. The Fund is obligated to repurchase the securities at the market price at the time of replacement. The Fund’s obligations to replace the securities in connection with a Short Sale are secured by collateral.
Upon entering into a Short Sale, the Fund establishes a liability which is recorded as securities sold short on the Consolidated Statement of Assets and Liabilities to represent securities due under the Short Sale agreement. The Fund is liable to pay any dividends declared and/or interest income earned during the period the Short Sale is open. These dividends and interest are recorded as dividend and interest expense on securities sold short in the Consolidated Statement of Operations.
230
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Notes to Consolidated Financial Statements (Continued)
For the Year Ended March 31, 2021
Commodities
Allowances are valued according to their vintage on market price or Allowances delivered during the valuation month. ICE futures U.S., Inc. (ICE) will serve as the primary pricing source. When early vintage Allowances no longer have readily observable market prices from ICE, they will be valued using prices for later vintage Allowances. ICE lists widely-traded futures contracts for the Allowance market. These contracts result in the delivery of an Allowance at expiry. The ICE CCA contracts permits delivery of Allowances issued by California or any linked program (at this time Quebec and Ontario). Trading in these futures contracts are subject to ICEs market rules. ICE lists separate CCA by vintage, (e.g. 2017 Vintage, 2018 Vintage and 2019 Vintage). The most traded ICE CCA contracts allow delivery of the indicated vintage or earlier hence a 2016 Vintage Allowance can be delivered against the 2017 Vintage Contract. This flexibility means futures contracts on earlier vintages are usually more liquid than, and worth at least as much as, later Vintages.
Investment Transactions and Related Investment Income
Investment transactions are recorded as of the trade date. Dividend income is recorded on the ex-dividend date or, for certain foreign securities, as of the date notified. Interest income, which includes amortization of premiums and accretion of discounts on non-defaulted fixed income securities, is recorded on an accrual basis and is accrued daily. Realized gains and losses on investments are determined on the identified cost basis, which is the same basis used for federal income tax purposes. Foreign income and foreign capital gains on some foreign securities may be subject to foreign taxes, which are accrued as applicable.
Allocation of Income and Expenses
The Fund uses the adjusted prior day net assets for each class of shares, adjusted for capital activity, to allocate Fund-level income and expenses and unrealized capital gains and losses pro-rata to each class of shares. Class-specific income and expenses are allocated directly to the applicable class.
Cash
At March 31, 2021, the Fund had $1,038,181,645 in domestic cash and $22,343,956 in foreign cash held at State Street Bank and Trust Company.
Foreign Currency
The functional currency of the Fund is the U.S. dollar. Assets and liabilities denominated in foreign currencies are translated into U.S. dollars at the closing prices of such currencies on each Business Day. Purchases and sales of investments and income and expenses are translated on the respective dates of such transactions or when accrued. The Fund does not isolate the portion of realized or unrealized gains or losses resulting from changes in the foreign exchange rate on investments from fluctuations arising from changes in the fair value of the investments. Such gains and losses are included with net realized and unrealized gain or loss on investments. Net realized gains and losses on foreign currency transactions represent net realized exchange gains or losses on disposition of foreign currencies and currency gains and losses realized between trade and settlement dates on investment transactions. Net unrealized appreciation and depreciation of assets and liabilities, other than investments, attributable to foreign currency fluctuations are recorded as net unrealized appreciation or depreciation on foreign currency translations in the Consolidated Statement of Operations.
Contingencies
Under the Trust’s Amended and Restated Agreement and Declaration of Trust, the Fund’s officers and Trustees are indemnified against certain liabilities that may arise out of the performance of their duties to the
231
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Notes to Consolidated Financial Statements (Continued)
For the Year Ended March 31, 2021
Fund. Additionally, in the normal course of business, the Fund may enter into contracts that contain a variety of representations and indemnifications. To date, the Fund has not had claims or losses pursuant to these contracts, although there is no assurance that it will not incur losses in connection with these indemnifications in the future.
Income Taxes
The Fund’s policy is to comply with the provisions of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to regulated investment companies and to distribute all of its investment company taxable income and net long-term capital gains to its shareholders. Therefore, no federal income tax provision is expected to be required. The Fund plans to file U.S. federal and various state and local tax returns.
For the current open tax years ending on October 31, 2017, October 31, 2018, October 31, 2019 and October 31, 2020, with respect to all major jurisdictions, management of the Fund has concluded that there are no significant uncertain tax positions that would require recognition in the consolidated financial statements. As a result, no income tax liability or expense, including interest and penalties, has been recorded within these consolidated financial statements.
Dividends and Distributions to Shareholders
Dividends from net investment income and distributions of net realized capital gains of the Fund, if any, are generally declared and paid in December; however, the Fund may make additional distributions at other times consistent with Rule 19b-1 under the 1940 Act. Dividends and capital gain distributions paid by the Fund will be reinvested in additional Shares (see Note 6) of the Fund or, if elected by the Shareholder, paid in cash.
Segregation and Collateralization
In cases in which the 1940 Act and the interpretive positions of the Securities and Exchange Commission (“SEC”) and its staff require that the Fund either delivers collateral or segregates assets in connection with certain investments (e.g., futures contracts, forwards, swaps and options written), or transactions considered to reflect borrowings (e.g., reverse repurchase agreements), the Fund will, consistent with SEC rules and/or other guidance issued by the SEC, segregate collateral or designate on its books and records cash or liquid securities having a market value at least equal to the amount that would otherwise be required to be physically segregated. Furthermore, based on requirements and agreements with certain exchanges and third party broker-dealers, the Fund engaging in such transactions may have requirements to deliver/deposit securities to/with an exchange or broker-dealer as collateral for certain investments to the extent consistent with the 1940 Act and interpretive positions of the SEC and its staff. The Fund may mitigate counterparty risk by procuring collateral and through netting provisions included within an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) entered into between the Fund and each of its respective counterparties. An ISDA Master Agreement may contain certain provisions regarding, among other things, the parties’ general obligations, representations, agreements, collateral requirements, events of default and early termination. Certain ISDA Master Agreements, or similar agreements, may allow the Fund to offset certain derivative financial instruments with collateral. At March 31, 2021, the Fund used the gross method of presentation in its consolidated financial statements and did not elect to offset amounts eligible for offset under enforceable master netting arrangements or similar agreements (“MNA”). The segregated cash balance with counterparties for OTC derivatives disclosed 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
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For the Year Ended March 31, 2021
the Fund’s portfolio. Collateral can be in the form of cash or securities as agreed to by the Fund and the applicable counterparty. Typically, the Fund and counterparties are not permitted to sell, repledge or use the collateral they receive unless explicitly permitted by each respective governing agreement.
The Fund manages counterparty risk by entering into agreements only with counterparties that the Investment Adviser believes to have the financial resources to honor its obligations and by monitoring the financial stability of those counterparties. The agreements entered into by the Fund may contain credit risk related contingent features that may be triggered in certain circumstances to protect either party from a deterioration in creditworthiness of the other. Such circumstances may include a decrease in credit rating or, in the case of the Fund, a decrease in NAV. If triggered, the Fund or counterparty may be entitled to additional cash margin and/or to terminate the contract. See Note 9 for a further discussion of the risks of the Fund, including credit and counterparty risk.
Reverse Repurchase Agreements
The Fund may enter into reverse repurchase agreements. In a reverse repurchase agreement, the Fund sells a security in exchange for cash to a financial institution, the counterparty, with a simultaneous agreement to repurchase the same or substantially the same security at an agreed upon price and date, under the terms of a Master Repurchase Agreement (“MRA”). The Fund is entitled to receive principal and interest payments, if any, made on the security delivered to the counterparty during the term of the agreement. Cash received in exchange for securities delivered plus accrued interest payments to be made by the Fund to counterparties is reflected as a liability. Reverse repurchase agreements involve the risk that the market value of the securities purchased with the proceeds from the sale of securities received by the Fund may decline below the price of the securities the Fund is obligated to repurchase. Reverse repurchase agreements also involve credit risk with the counterparty to the extent that the value of securities subject to repurchase 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, 2021, the face value of open reverse repurchase agreements for the Fund was $137,586,313. The weighted average daily balances of reverse repurchase agreements outstanding for the Fund during the year ended March 31, 2021 was approximately $419,479,648, at a weighted average weekly interest rate of 1.64%.
An MRA contains provisions for, among other things, initiation, income payments, events of default and maintenance of securities for repurchase agreements. An MRA also permits offsetting with collateral to create one single net payment in the event of default or similar events, including the bankruptcy or insolvency of a counterparty. The Fund may not use reverse repurchase agreements and related collateral governed by an MRA to offset derivatives contracts and related collateral governed by an ISDA (see Note 4) or securities lending agreements (“SLA”) and related collateral governed by an SLA (see below).
The following tables present the reverse repurchase agreements, which are subject to enforceable MRAs, as well as the collateral delivered related to those reverse repurchase agreements by class of collateral and summarized by the remaining contractual maturity of the transactions.
| | | | | | | | | | | | | | | | | | | | |
Counterparty | | Reverse
Repurchase
Agreements | | Fair Value of
Non-Cash
Collateral(1) | | Cash
Collateral
Pledged(1) | | Net
Amount2) |
Barclays Bank plc | | | $ | (21,430,152 | ) | | | $ | 21,430,152 | | | | $ | — | | | | $ | — | |
BNP Paribas Securities Corp. | | | | (6,547,391 | ) | | | | 6,547,391 | | | | | — | | | | | — | |
Goldman Sachs Bank USA | | | | (44,332,121 | ) | | | | 44,332,121 | | | | | — | | | | | — | |
JPMorgan Chase Bank, N.A. | | | | (46,836,164 | ) | | | | 46,836,164 | | | | | — | | | | | — | |
233
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Notes to Consolidated Financial Statements (Continued)
For the Year Ended March 31, 2021
| | | | | | | | | | | | | | | | | | | | |
Counterparty | | Reverse
Repurchase
Agreements | | Fair Value of
Non-Cash
Collateral(1) | | Cash
Collateral
Pledged(1) | | Net
Amount2) |
RBC (Barbados) Trading Bank Corporation | | | $ | (10,960,220 | ) | | | $ | 10,960,220 | | | | $ | — | | | | $ | — | |
Royal Bank of Canada | | | | (7,587,354 | ) | | | | 7,587,354 | | | | | | | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total | | | | $(137,693,402) | | | | $ | 137,693,402 | | | | $ | — | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
| (1) | Additional required collateral pledged is not shown for financial reporting purposes. The total fair value of non-cash, cash collateral received and cash collateral pledged at March 31, 2021 was $182,038,110, $186,000 and $3,098,318, respectively. |
| (2) | Net amount represents the net receivable (payable) that would be due from/to the counterparty in the event of default. |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Remaining Contractual Maturity of the Agreements
As of March 31, 2021 |
| | | Overnight and Continuous | | <30 days | | Between
30 & 90 days | | >90 days | | Total |
Reverse Repurchase Agreements | | | | | | | | | | | | | | | | | | | | | |
Corporate Bonds & Notes | | | $ | — | | | | $ | — | | | | $ | — | | | | $ | 11,861,998 | | | | $ | 11,861,998 | |
Mortgage-Backed Securities | | | | — | | | | | 59,033,028 | | | | | 12,567,708 | | | | | — | | | | | 71,600,736 | |
Sovereign Debt | | | | — | | | | | — | | | | | — | | | | | 48,387,172 | | | | | 48,387,172 | |
Asset-Backed Securities | | | | — | | | | | 5,843,496 | | | | | — | | | | | — | | | | | 5,843,496 | |
Collateral Cash | | | | — | | | | | — | | | | | — | | | | | — | | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | | $ | — | | | | $ | 64,876,524 | | | | $ | 12,567,708 | | | | $ | 60,249,170 | | | | $ | 137,693,402 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Gross amount of recognized liabilities for reverse repurchase agreements | | | | | | | | | $ | 137,693,402 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
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, 2021, there were no securities on loan.
The SLA entered into by the Fund provides the right, in the event of default, for the non-defaulting party to liquidate the collateral and calculate a net exposure to the defaulting party or request additional collateral. Under the agreement, the Fund can reinvest cash collateral.
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
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Notes to Consolidated Financial Statements (Continued)
For the Year Ended March 31, 2021
delayed-delivery basis are marked-to-market daily and begin earning interest on the settlement date. Losses may occur on these transactions due to changes in market conditions or the failure of counterparties to perform under the contract.
The Fund may transact in To Be Announced Securities (“TBAs”). As with other delayed-delivery transactions, a seller agrees to issue TBAs at a future date. However, the seller does not specify the particular securities to be delivered. Instead, the Fund agrees to accept any security that meets specified terms such as issuer, interest rate and terms of underlying mortgages. The Fund records TBAs on the trade date utilizing information associated with the specified terms of the transaction as opposed to the specific mortgages. TBAs are marked-to-market daily and begin earning interest on the settlement date. Losses may occur due to the fact that the actual underlying mortgages received may be less favorable than those anticipated by the Fund.
Restricted Securities
The Fund may purchase securities which are considered restricted. Restricted securities are securities that cannot be offered for public sale without first being registered under the Securities Act of 1933, as amended, or are subject to contractual restrictions on public sales. Many such restricted securities may be resold in the secondary market in transactions exempt from registration. The Fund will not incur any registration costs upon such resales. The Fund cannot demand registration of restricted securities. The Fund’s restricted securities, like other securities, are priced in accordance with the Valuation Procedures. Restricted securities are identified in the Consolidated Schedule of Investments.
Recent Accounting Pronouncements
In March 2020, the Financial Accounting Standards Board issued guidance providing optional temporary financial reporting relief from the effect of certain types of contract modifications due to the planned discontinuation of the London Interbank Offered Rate (“LIBOR”) or other interbank-offered based reference rates as of the end of December 2021. On March 5, 2021, the FCA and LIBOR’s administrator, ICE Benchmark Administration (IBA), announced that most LIBOR settings will no longer be published after the end of 2021 and a majority of U.S. dollar LIBOR settings will no longer be published after June 30, 2023. Management continues to evaluate the impact of the guidance and may apply other elections, as applicable, as the expected market transition to alternative reference rates evolves.
4. Derivative Financial Instruments
In the normal course of business, the Fund enters into derivative financial instrument contracts for trading and/or economic hedging purposes to increase the returns of the Fund or to protect against exposure to certain risks such as credit risk, equity risk, interest rate risk, foreign currency exchange risk or other risk (e.g., inflation risk). These contracts may be transacted on a recognized exchange or OTC. The following disclosures contain information on how the Fund uses derivative financial instruments. The derivative financial instruments outstanding as of 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 Forwards. When a contract is closed, the Fund recognizes a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
235
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Notes to Consolidated Financial Statements (Continued)
For the Year Ended March 31, 2021
The use of Forwards does not eliminate fluctuations in the underlying prices of the securities of the Fund, but it does establish a rate of exchange that can be achieved in the future. Although Forwards may limit the risk of loss due to a decline in the value of the currency holdings, they also limit any potential gain that might result should the value of the currency increase. In addition, the Fund could be exposed to losses if the counterparties to the contracts are unable to meet the terms of the contracts. The Fund’s maximum potential loss from such contracts is the aggregate face value in U.S. dollars at the time the contract was opened. These contracts involve market and/or credit risk in excess of the amount recognized in the Consolidated Statement of Assets and Liabilities.
Futures Contracts
The Fund may enter into futures contracts to maintain investment exposure to a target asset class or to seek to enhance return. The Fund may be subject to fluctuations in equity prices, interest rates, commodity prices and foreign currency exchange rates in the normal course of pursuing its investment objective. Futures contracts are standardized agreements to buy or sell a security or deliver a final cash settlement price in connection with an index, interest rate, currency, or other asset. The Fund must deposit an amount (“initial margin”) equal to a certain percentage of the face value of the futures contract. The initial margin may be in the form of cash or securities which is returned when the Fund’s obligations under the contract have been satisfied. If cash is deposited as the initial margin, it is shown as segregated cash balance with broker for futures contracts in the Consolidated Statement of Assets and Liabilities. Futures contracts are marked-to-market daily and subsequent payments (“variation margin”) are made or received by the Fund depending on whether unrealized gains or losses are incurred. When the contract is closed or expires, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. The potential risk to the Fund is that the change in value of futures contracts may not correspond to the change in the value of the hedge investments. In addition, losses may arise from changes in the value of the underlying instrument, if interest or exchange rates move unexpectedly or if the counterparty is unable to perform. With futures, there is minimal counterparty credit risk to the Fund since futures are exchange traded and the exchanges’ clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default.
Options Contracts
The Fund may purchase and write call and put options. An option contract purchased by the Fund gives the Fund the right, but not the obligation, to buy (call) or sell (put) an underlying instrument at a fixed exercise price during a specified period. Call options written by the Fund give the holder the right to buy the underlying instrument from the Fund at a fixed exercise price; put options written by the Fund give the holder the right to sell the underlying instrument to the Fund at a fixed exercise price. The Fund may use options to hedge against changes in values of securities or currencies it owns or expects to own, to gain or to maintain exposure to interest rates, currencies or broad equity markets, to generate additional income or to enhance returns.
Options trading involve certain additional risks. Specific market movements of the option and the instruments underlying the option cannot be predicted. No assurance can be given that a liquid secondary market will exist for any particular option or at any particular time. The Fund might not be able to enter into a closing transaction for the option as a result of an illiquid market for the option. To realize any profit in the case of an option, therefore, the option holder would need to exercise the option and comply with margin requirements 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
236
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Notes to Consolidated Financial Statements (Continued)
For the Year Ended March 31, 2021
purchase the underlying contract in the market for substantially more than the exercise price of the option in order to satisfy his delivery obligations. This could result in a large net loss.
Equity, foreign currency or index options that may be purchased or sold by the Fund may include options not traded on a securities exchange. The risk of nonperformance by the counterparty on such option may be greater and the ability of the Fund to enter into a closing transaction with respect to such option may be less than in the case of an exchange traded option.
The Fund may purchase or write interest rate swaption agreements, which are options to enter into a predefined swap agreement by some specific date in the future. The writer of the swaption becomes the counterparty to the swap if the buyer exercises. The interest rate swaption agreement will specify whether the buyer of the swaption will be a fixed-rate receiver or a fixed-rate payer upon exercise.
Purchases of put and call options are recorded as investments, the value of which are marked-to-market daily. When a purchased option expires without being exercised, the Fund will realize a loss equal to the premium paid. When the Fund enters into a closing sale transaction, the Fund will realize a gain or loss depending on whether the sales proceeds from the closing sale transaction are greater or less than the premium initially paid for the option. When the Fund exercises a put option, it will realize a gain or loss from the sale of the underlying instrument and the proceeds from such sale will be decreased by the premium originally paid for the put option. When the Fund exercises a call option, the cost of the security which the Fund purchases upon exercise will be increased by the premium originally paid for the call option. Realized gains and losses on purchased options are included in realized gains and losses on investments.
The premium received for a written option is recorded as an asset and an equivalent liability. The liability is marked-to-market daily in accordance with the option’s valuation policy. When a written option expires without being exercised or the Fund enters into a closing purchase transaction, the Fund realizes a gain (or loss if the cost of the closing purchase transaction exceeds the premium received when the option was sold) without regard to any unrealized gain or loss on the underlying instrument and the liability related to such option is eliminated. When a written call option is exercised, the Fund realizes a gain or loss, as adjusted for the premium received, from the sale of the underlying instrument. When a written put option is exercised, the premium received is offset against the amount paid for the purchase of the underlying instrument.
Swap Agreements
The Fund may enter into total return, interest rate, and credit default swap agreements (“Swaps”). Swaps are bilaterally negotiated agreements between the Fund and a counterparty in which the Fund and counterparty agree to make either periodic net payments on a specified notional amount or a net payment upon termination. Swaps are privately negotiated in the OTC market or may be executed in a multilateral or other trade facility platform, such as a registered exchange or swap execution facility (“centrally cleared swaps”). The Fund may enter into Swaps for the purposes of managing exposure to interest rate, credit or market risk, or for other purposes. In connection with these agreements, securities or cash (“segregated cash” or “collateral”) may be paid or received, as applicable, by the Fund as collateral or margin in accordance with the terms of the respective Swaps to provide assets of value and recourse in the event of default or bankruptcy/insolvency. Securities posted by the Fund as collateral for swaps are identified in the Consolidated Schedule of Investments and segregated cash, if any, is reflected in the Consolidated Statement of Assets and Liabilities.
Swap transactions involve, to varying degrees, elements of interest rate, credit and market risk in excess of the amounts recognized in the Consolidated Statement of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform, or that there may be unfavorable changes in market conditions or interest rates. In addition, entering into Swaps involves documentation risk resulting from the possibility that the parties to a
237
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Notes to Consolidated Financial Statements (Continued)
For the Year Ended March 31, 2021
Swaps may disagree as to the meaning of contractual terms in the agreement. The Fund’s maximum risk of loss from counterparty credit risk is the discounted value of the net cash flows to be received from the counterparty over the contract’s remaining life, to the extent that amount is positive, or the fair value of the contract. The risk may be mitigated by having an MNA between the Fund and the counterparty and by the posting of collateral by the counterparty to cover the Fund’s exposure to the counterparty.
Interest Rate Swaps: The Fund may enter into OTC and/or centrally cleared interest rate swap contracts to hedge interest rate risk, to gain exposure on interest rates and to hedge prepayment risk. The Fund is subject to interest rate risk exposure in the normal course of pursuing their investment objectives. The Fund may hold fixed rate bonds, and the value of these bonds may decrease if interest rates rise. Interest rate swaps are agreements in which one party pays a stream of interest payments, either fixed or floating rate, for another party’s stream of interest payments, either fixed or floating, on the same notional amount for a specified period of time. The Fund’s maximum risk of loss from counterparty credit risk, as opposed to investment and other types of risk, in respect of interest rate swaps is typically the discounted net value of the cash flows to be received from the counterparty over the contracts remaining life, to the extent that amount is positive.
Interest rate swaps can be purchased or sold with an upfront premium. An upfront payment received by the Fund is recorded as a liability on the Fund’s Consolidated Statement of Assets and Liabilities and an upfront payment made by the Fund is recorded as an asset in the Consolidated Statement of Assets and Liabilities. Interest rate swaps are marked-to-market daily and any change is recorded as an unrealized gain or loss on swaps. Daily fluctuations in the value of centrally cleared interest rate swaps are recorded as a receivable or payable for variation margin on the Fund’s Consolidated Statement of Assets and Liabilities. Payments, including upfront premiums, received or made are recorded as realized gains or losses at the closing of the contract.
Total Return Swaps: The Fund may enter into total return swap agreements to obtain exposure to a security, index, market or other basket of securities without owning such security or investing directly in that security, index, market or other basket of securities or to transfer the risk/return of one market (e.g., fixed income) to another market (e.g., equity) (equity risk and/or interest rate risk). Total return swaps are agreements in which one party agrees to make periodic payments to another party based on the change in market value of the underlying instrument, which may include a specified security, index, basket of securities or securities indices during the specific period, in return for periodic payments based on a fixed or floating rate or the total return from other underlying assets. To the extent the total return of the instrument underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the Fund will receive a payment from or make a payment to the counterparty. Total return swaps can also be structured without an interest payment, so that one party pays the other party if the value of the underlying instrument increases and receives payment from the other party if the value of the underlying asset decreases.
The Fund may utilize total return swaps on baskets of securities (“Basket Swaps”) to a significant extent in order to obtain synthetic exposure to investment strategies. For a Basket Swap, the Fund or a Subsidiary makes payments to a counterparty (at either a fixed or variable rate) in exchange for receiving from the counterparty payments that reflect the return of a “basket” of securities, derivatives, and/or commodity interests identified by the Sub-Adviser (or the Adviser). The Fund may also utilize structured notes (“Basket Notes”) in which the Fund or a Subsidiary purchases a note from an issuer in exchange for receiving from the issuer payments that reflect the return of an account through which the Sub-Adviser (or the Adviser) manages a portfolio reflecting a basket of securities, derivatives, and/or commodity interests. The Sub-Adviser (or the Adviser) will select and manage the securities, derivatives, and/or commodity interests underlying the Basket Swap or the Basket Note in a manner consistent with the Fund’s strategies. The Fund’s investment returns on Basket Swaps or Basket Notes generally will correspond to the Fund’s returns had the Sub-Adviser managed the notional equivalent of the Fund’s assets directly (although returns on Basket Swaps or Basket Notes will
238
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Notes to Consolidated Financial Statements (Continued)
For the Year Ended March 31, 2021
be reduced by financing charges and trading costs incurred by the Basket Swap counterparty or Basket Note issuer). The Fund expects to obtain a significant portion of its investment exposure through Basket Swaps and/or Basket Notes.
Credit Default Swaps: The Fund may enter into OTC and/or centrally cleared credit default swap contracts to hedge credit risk, to hedge market risk, or to gain exposure on single-name issuers and/or baskets of securities.
In a credit default swap contract, the protection buyer typically makes an upfront payment and a periodic stream of payments to a counterparty, the protection seller, in exchange for the right to receive a contingent payment upon the occurrence of a credit event on the reference obligation or all other equally ranked obligations of the reference entity. Credit events are contract specific but may include bankruptcy, failure to pay, restructurings and obligation acceleration. An upfront payment received by the Fund or made by the Fund is recorded as a liability or asset, respectively, in the Consolidated Statement of Assets and Liabilities. Periodic payments received or paid by the Fund are recorded as realized gains or losses. Credit default swap contracts are marked-to-market daily and the change is recorded as an unrealized gain or loss on swaps. Upon the occurrence of a credit event, the difference between the par value and the market value of the reference obligation, net of any proportional amount of upfront payment, is recorded as a realized gain or loss on swaps.
Interest rate swaps, total return swaps and credit default swaps outstanding at year end are listed at the end of the Fund’s Consolidated Schedule of Investments.
At March 31, 2021, the Fund had the following derivative financial instruments, presented on a gross basis and categorized by risk exposure:
| | | | | | | | | | | | |
| | | Asset Derivatives | | | Liability Derivatives | |
| | | Consolidated Statement of
Assets &
Liabilities Location | | Fair
Value | | | Consolidated Statement of
Assets &
Liabilities Location | | Fair
Value | |
Interest Rate | | Centrally cleared swaps, at fair value (c) | | $ | 18,787,713 | | | Centrally cleared swaps, at fair value (c) | | $ | (30,033,176 | ) |
| | Swap contracts, at fair value (b) | | | 866,197 | | | Swap contracts, at fair value (b) | | | — | |
| | Unrealized appreciation on futures contracts (c) | | | 3,276,055 | | | Unrealized depreciation on futures contracts (c) | | | (1,303,390 | ) |
| | Purchased options, at fair value (d) | | | 5,001,802 | | | Options written, at value | | | (780,969 | ) |
Equity | | Swap contracts, at fair value (b) | | | 13,849,442 | | | Swap contracts, at fair value (b) | | | (22,353,165 | ) |
| | Unrealized appreciation on futures contracts (c) | | | 1,028,797 | | | Unrealized depreciation on futures contracts (c) | | | (743,224 | ) |
| | Purchased options, at fair value (d) | | | — | | | Options written, at value | | | (1,749,744 | ) |
Commodity | | Unrealized appreciation on futures contracts (c) | | | 17,722,579 | | | Unrealized depreciation on futures contracts (c) | | | (12,532,788 | ) |
| | Purchased options, at fair value (d) | | | 23,397,522 | | | Options written, at value | | | (21,213,119 | ) |
Credit | | Centrally cleared swaps, at fair value (c) | | | 4,995,614 | | | Centrally cleared swaps, at fair value (c) | | | (5,020,676 | ) |
| | Swap contracts, at fair value (b) | | | 1,800,123 | | | Swap contracts, at fair value (b) | | | (3,515,644 | ) |
239
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Notes to Consolidated Financial Statements (Continued)
For the Year Ended March 31, 2021
| | | | | | | | | | | | |
| | | Asset Derivatives | | | Liability Derivatives | |
| | | Consolidated Statement of
Assets &
Liabilities Location | | Fair
Value | | | Consolidated Statement of
Assets &
Liabilities Location | | Fair
Value | |
Foreign Exchange | | Unrealized appreciation on forward foreign currency exchange contracts | | $ | 4,654,833 | | | Unrealized depreciation on forward foreign currency exchange contracts | | $ | (3,524,848 | ) |
| | Unrealized appreciation on futures contracts (c) | | | 276,588 | | | Unrealized depreciation on futures contracts (c) | | | (202,754 | ) |
| | Purchased options, at fair value (d) | | | 665,599 | | | Options written, at value | | | — | |
| | | | | | | | | | | | |
Total | | | | $ | 96,322,864 | | | | | $ | (102,973,497 | ) |
| | | | | | | | | | | | |
Amounts not subject to MNA(1) | | | 75,152,269 | | | | | | (73,579,840 | ) |
| | | | | | | | | | | | |
Total gross amounts subject to MNA | | $ | 21,170,595 | | | | | $ | (29,393,657 | ) |
| | | | | | | | | | | | |
| (1) | See below for disclosure of financial instruments assets and liabilities subject to offset under enforceable MNA. |
The following tables present information about the amount of net realized gain (loss) and net unrealized appreciation (depreciation) on derivative financial instruments for the year ended March 31, 2021:
| | | | | | | | | | | | | | | | | | | | |
Primary Underlying Risk | | Average
Number of
Contracts(a) | | Average
Notional
USD(a) | | Net
Realized
Gain (Loss) | | Net Change in
Unrealized Appreciation
(Depreciation) |
Interest Rate | | | | | | | | | | | | | | | | | | | | |
Swap contracts | | | | — | | | | $ | 2,388,897,136 | | | | $ | 18,612,990 | | | | $ | 13,412,377 | |
Future contracts | | | | — | | | | | 1,511,542,978 | | | | | (2,611,127 | ) | | | | 1,180,670 | |
Purchased options (d) | | | | — | | | | | (3,499 | ) | | | | 3,195,614 | | | | | 1,380,771 | |
Options written | | | | — | | | | | 43,736 | | | | | 247,804 | | | | | (546,250 | ) |
| | | | |
Equity | | | | | | | | | | | | | | | | | | | | |
Swap contracts | | | | — | | | | | 1,592,247,626 | | | | | 40,767,941 | | | | | (53,497,897 | ) |
Future contracts | | | | — | | | | | 118,927,776 | | | | | (36,681,783 | ) | | | | 6,073,546 | |
Purchased options (d) | | | | 2,577 | | | | | (1,010,847 | ) | | | | (13,425,014 | ) | | | | — | |
Options written | | | | (825 | ) | | | | 63,120 | | | | | 34,971,685 | | | | | 640,327 | |
| | | | |
Commodity | | | | | | | | | | | | | | | | | | | | |
Future contracts | | | | — | | | | | 519,325,938 | | | | | 12,846,100 | | | | | 11,171,848 | |
Purchased options (d) | | | | — | | | | | (577,914 | ) | | | | (55,092,384 | ) | | | | (4,484,785 | ) |
Options written | | | | — | | | | | 3,713,132 | | | | | 51,177,711 | | | | | 6,110,549 | |
| | | | |
Credit | | | | | | | | | | | | | | | | | | | | |
Swap contracts | | | | — | | | | | 429,165,304 | | | | | (81,715,208 | ) | | | | 54,896,541 | |
240
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Notes to Consolidated Financial Statements (Continued)
For the Year Ended March 31, 2021
| | | | | | | | | | | | | | | | | | | | |
Primary Underlying Risk | | Average
Number of
Contracts(a) | | Average
Notional
USD(a) | | Net
Realized
Gain (Loss) | | Net Change in
Unrealized Appreciation
(Depreciation) |
| | | | |
Foreign Exchange | | | | | | | | | | | | | | | | | | | | |
Forward foreign currency exchange Contracts | | | | — | | | | $ | 1,380,584,672 | | | | $ | 8,438,516 | | | | $ | (11,469,719 | ) |
Future contracts | | | | — | | | | | 22,891,415 | | | | | 775,534 | | | | | (618,677 | ) |
Purchased options (d) | | | | — | | | | | (4,053,003 | ) | | | | (13,939,566 | ) | | | | 3,024,278 | |
Options written | | | | — | | | | | 3,678,600 | | | | | (3,055,910 | ) | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Total | | | | | | | | | | | | | $ | (35,487,097 | ) | | | $ | 27,273,579 | |
| | | | | | | | | | | | | | | | | | | | |
| (a) | Averages are based on monthly activity levels during the year ended March 31, 2021. |
| (b) | Includes swap contract premiums paid/received and unrealized appreciation/depreciation on swap contracts. |
| (c) | Includes unrealized appreciation/depreciation of futures contracts and centrally cleared swaps as reported in the Notes to Consolidated Schedule of Investments. Only the current day’s variation margin is reported in the Consolidated Statement of Assets and Liabilities. |
| (d) | Includes purchased options that are part of investments in securities as shown in the Consolidated Statement of Assets and Liabilities and net realized gain on investments in securities and net unrealized appreciation on investments in securities as shown in the Consolidated Statement of Operations. |
Netting Arrangements
The Fund enters into ISDA Master Agreements that contain MNAs that provide for payment netting and, in the case of default or similar event with respect to the counterparty to the MNA, can provide for netting across transactions. Generally, upon counterparty default, the Fund can terminate all transactions under the MNA and set-off amounts it owes across all transactions under a particular MNA and against collateral under such MNA. The Fund may not use derivatives contracts and related collateral governed by an ISDA to offset reverse repurchase agreements and related collateral governed by an MRA or SLAs and related collateral governed by an SLA (see Note 3).
The Fund has MNAs, which allows certain derivative financial instruments and collateral with the same counterparty to be offset to minimize counterparty credit exposure. The following table presents information related to derivative financial instruments and collateral related to securities loaned that are subject to an enforceable MNA and are not offset, as shown in the Consolidated Statement of Assets and Liabilities as of March 31, 2021.
241
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Notes to Consolidated Financial Statements (Continued)
For the Year Ended March 31, 2021
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, 2021:
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Gross Amounts Not Offset in the
Consolidated Statement of Assets
and Liabilities | | |
| | | Gross Amount of
Assets Presented
in Consolidated
Statement of
Assets
and Liabilities | | Derivative
Financial
Instruments
Available to
Offset | | Cash
Collateral
Received(4) | | Non-Cash
Collateral | | Net
Amount(2) |
By Counterparty (1) | | | | | | | | | | | | | | | | | | | | | | | | | |
Bank of America, N.A. | | | $ | 816,895 | | | | $ | (4,544 | ) | | | $ | — | | | | $ | — | | | | $ | 812,351 | |
Credit Suisse International | | | | 667,997 | | | | | — | | | | | — | | | | | — | | | | | 667,997 | |
Goldman Sachs International | | | | 1,664,845 | | | | | (1,664,845 | ) | | | | — | | | | | — | | | | | — | |
HSBC Bank plc | | | | 783,702 | | | | | — | | | | | (570,000 | ) | | | | — | | | | | 213,702 | |
J.P. Morgan Securities LLC | | | | 410,035 | | | | | — | | | | | — | | | | | — | | | | | 410,035 | |
JPMorgan Chase Bank, N.A. | | | | 566,007 | | | | | (122,575 | ) | | | | — | | | | | — | | | | | 443,432 | |
Morgan Stanley Capital Services LLC | | | | 276,470 | | | | | (276,470 | ) | | | | — | | | | | — | | | | | — | |
Morgan Stanley Capital Services, Inc. | | | | 717,582 | | | | | (630,923 | ) | | | | — | | | | | — | | | | | 86,659 | |
Morgan Stanley & Co. LLC | | | | 38,221 | | | | | — | | | | | — | | | | | — | | | | | 38,221 | |
| | | | | |
Cayman Subsidiary | | | | | | | | | | | | | | | | | | | | | | | | | |
State Street Bank and Trust Company | | | | 875,211 | | | | | (807,526 | ) | | | | — | | | | | — | | | | | 67,685 | |
| | | | | |
Domestic Subsidiary IV | | | | | | | | | | | | | | | | | | | | | | | | | |
Credit Suisse International | | | | 871,632 | | | | | (871,632 | ) | | | | — | | | | | — | | | | | — | |
Goldman Sachs International | | | | 2,077,701 | | | | | (2,077,701 | ) | | | | — | | | | | — | | | | | — | |
J.P. Morgan Securities LLC | | | | 922,955 | | | | | (358,711 | ) | | | | — | | | | | — | | | | | 564,244 | |
JPMorgan Chase Bank, N.A. | | | | 8,527,642 | | | | | (8,039,155 | ) | | | | — | | | | | — | | | | | 488,487 | |
Morgan Stanley Capital Services LLC | | | | 1,462,539 | | | | | (1,462,539 | ) | | | | — | | | | | — | | | | | — | |
State Street Bank and Trust Company | | | | 491,161 | | | | | — | | | | | (491,161 | ) | | | | — | | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | $ | 21,170,595 | | | | $ | (16,316,621 | ) | | | $ | (1,061,161 | ) | | | $ | — | | | | $ | 3,792,813 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
242
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Notes to Consolidated Financial Statements (Continued)
For the Year Ended March 31, 2021
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Gross Amounts Not Offset in the
Consolidated Statement of Assets
and Liabilities | | |
| | | Gross Amount of
Liability Presented
in Consolidated
Statement of
Assets
and Liabilities | | Derivative
Financial
Instruments
Available to
Offset | | Cash
Collateral
Pledged(5) | | Non-Cash
Collateral | | Net
Amount(3) |
By Counterparty (1) | | | | | | | | | | | | | | | | | | | | | | | | | |
Bank of America, N.A. | | | | $ (4,544) | | | | $ | 4,544 | | | | $ | — | | | | $ | — | | | | $ | — | |
Barclays Bank PLC | | | | (756,546 | ) | | | | — | | | | | 756,546 | | | | | — | | | | | — | |
Goldman Sachs International | | | | (3,420,600 | ) | | | | 1,664,845 | | | | | 1,755,755 | | | | | — | | | | | — | |
JPMorgan Chase Bank, N.A. | | | | (122,575 | ) | | | | 122,575 | | | | | — | | | | | — | | | | | — | |
Morgan Stanley Capital Services LLC | | | | (3,100,535 | ) | | | | 276,470 | | | | | 2,824,065 | | | | | — | | | | | — | |
Morgan Stanley Capital Services, Inc. | | | | (630,923 | ) | | | | 630,923 | | | | | — | | | | | — | | | | | — | |
| | | | | |
Cayman Subsidiary | | | | | | | | | | | | | | | | | | | | | | | | | |
Citibank N.A. | | | | (468,097 | ) | | | | — | | | | | 468,097 | | | | | — | | | | | — | |
J.P. Morgan Securities LLC | | | | (443,459 | ) | | | | — | | | | | 443,459 | | | | | — | | | | | — | |
Morgan Stanley Capital Services LLC | | | | (27,897 | ) | | | | — | | | | | — | | | | | — | | | | | (27,897 | ) |
State Street Bank and Trust Company | | | | (807,526 | ) | | | | 807,526 | | | | | — | | | | | — | | | | | — | |
| | | | | |
Domestic Subsidiary IV | | | | | | | | | | | | | | | | | | | | | | | | | |
Credit Suisse International | | | | (1,221,167 | ) | | | | 871,632 | | | | | 349,535 | | | | | — | | | | | — | |
Goldman Sachs Bank USA | | | | (137,384 | ) | | | | — | | | | | — | | | | | — | | | | | (137,384 | ) |
Goldman Sachs International | | | | (5,594,124 | ) | | | | 2,077,701 | | | | | 3,516,423 | | | | | — | | | | | — | |
J.P. Morgan Securities LLC | | | | (358,711 | ) | | | | 358,711 | | | | | — | | | | | — | | | | | — | |
JPMorgan Chase Bank, N.A. | | | | (8,039,155 | ) | | | | 8,039,155 | | | | | — | | | | | — | | | | | — | |
Morgan Stanley Capital Services LLC | | | | (4,260,414 | ) | | | | 1,462,539 | | | | | 2,797,875 | | | | | — | | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | $ (29,393,657) | | | | $ | 16,316,621 | | | | $ | 12,911,755 | | | | $ | — | | | | | $ (165,281) | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| (1) | The Fund and each Subsidiary are subject to separate MNAs with each individual counterparty. |
| (2) | Net amount represents the net amount receivable from the counterparty in the event of default. |
| (3) | Net amount represents the net amount payable to the individual counterparty in the event of default. |
| (4) | Additional required collateral received from the individual counterparty is not shown for financial reporting purposes. |
| (5) | Additional required collateral pledged to the individual counterparty is not shown for financial reporting purposes. |
243
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Notes to Consolidated Financial Statements (Continued)
For the Year Ended March 31, 2021
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, 2021:
| | | | | | | | | | | | | | | | | | | | |
Assets: | | Level 1 | | Level 2 | | Level 3 | | Total |
Investments in Securities: | |
Common Stock | | | $ | 1,001,198,358 | | | | $ | — | | | | $ | 1,249,313 | | | | $ | 1,002,447,671 | |
Preferred Stock | | | | — | | | | | — | | | | | 4,482,820 | | | | | 4,482,820 | |
Asset-Backed Securities | | | | — | | | | | 193,061,594 | | | | | — | | | | | 193,061,594 | |
Convertible Bonds | | | | — | | | | | 3,405,353 | | | | | — | | | | | 3,405,353 | |
Bank Debt | | | | — | | | | | 244,357,649 | | | | | 58,956,505 | | | | | 303,314,154 | |
Corporate Bonds & Notes | | | | — | | | | | 306,233,714 | | | | | 128,620 | | | | | 306,362,334 | |
Sovereign Debt | | | | — | | | | | 441,073,547 | | | | | — | | | | | 441,073,547 | |
Mortgage-Backed Securities | | | | — | | | | | 426,998,427 | | | | | — | | | | | 426,998,427 | |
U.S. Government Sponsored Agency Securities | | | | — | | | | | 10,295,721 | | | | | — | | | | | 10,295,721 | |
Municipals | | | | — | | | | | 27,700,965 | | | | | — | | | | | 27,700,965 | |
Exchange-Traded Funds | | | | 3,267,120 | | | | | — | | | | | — | | | | | 3,267,120 | |
Warrants | | | | 5,298,531 | | | | | — | | | | | — | | | | | 5,298,531 | |
Rights | | | | 165,000 | | | | | — | | | | | — | | | | | 165,000 | |
Commodities | | | | — | | | | | 257,530,980 | | | | | — | | | | | 257,530,980 | |
Purchased Options | | | | 29,064,923 | | | | | — | | | | | — | | | | | 29,064,923 | |
Subtotal | | | $ | 1,038,993,932 | | | | $ | 1,910,657,950 | | | | $ | 64,817,258 | | | | $ | 3,014,469,140 | |
Investments Valued at NAV | | | | | | | | | | | | | | | | | | | 521,504,058 | |
Total Investments in Securities | | | $ | 1,038,993,932 | | | | $ | 1,910,657,950 | | | | $ | 64,817,258 | | | | $ | 3,535,973,198 | |
Unfunded Loan Commitment (a) | | | | — | | | | | — | | | | | 71,643 | | | | | 71,643 | |
Futures Contracts | | | | 22,304,019 | | | | | — | | | | | — | | | | | 22,304,019 | |
Forward Foreign Currency Exchange Contracts | | | | — | | | | | 4,654,833 | | | | | — | | | | | 4,654,833 | |
Centrally Cleared Credit Default Swaps | | | | — | | | | | 4,995,614 | | | | | — | | | | | 4,995,614 | |
OTC Credit Default Swaps | | | | — | | | | | 1,800,123 | | | | | — | | | | | 1,800,123 | |
OTC Total Return Swaps | | | | — | | | | | 14,259,477 | | | | | — | | | | | 14,259,477 | |
Centrally Cleared Interest Rate Swaps | | | | — | | | | | 18,787,713 | | | | | — | | | | | 18,787,713 | |
OTC Interest Rate Swaps | | | | — | | | | | 456,162 | | | | | — | | | | | 456,162 | |
Total Assets | | | $ | 1,061,297,951 | | | | $ | 1,955,611,872 | | | | $ | 64,888,901 | | | | $ | 3,603,302,782 | |
244
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Notes to Consolidated Financial Statements (Continued)
For the Year Ended March 31, 2021
| | | | | | | | | | | | | | | | | | | | |
Liabilities: | | Level 1 | | Level 2 | | Level 3 | | Total |
Securities Sold Short: | | | | | | | | | | | | | | | | | | | | |
Common Stock | | | $ | 333,617,619 | | | | $ | — | | | | $ | — | | | | $ | 333,617,619 | |
Exchange-Traded Funds | | | | 3,744,949 | | | | | — | | | | | — | | | | | 3,744,949 | |
Rights | | | | 2,485 | | | | | — | | | | | — | | | | | 2,485 | |
Total Securities Sold Short | | | | 337,365,053 | | | | | — | | | | | — | | | | | 337,365,053 | |
Unfunded Loan Commitment (a) | | | | — | | | | | — | | | | | 1,213 | | | | | 1,213 | |
Options Written | | | | 23,743,832 | | | | | — | | | | | — | | | | | 23,743,832 | |
Reverse Repurchase Agreements | | | | — | | | | | 137,693,402 | | | | | — | | | | | 137,693,402 | |
Futures Contracts | | | | 14,782,156 | | | | | — | | | | | — | | | | | 14,782,156 | |
Forward Foreign Currency Exchange Contracts | | | | — | | | | | 3,524,848 | | | | | — | | | | | 3,524,848 | |
Centrally Cleared Credit Default Swaps | | | | — | | | | | 5,020,676 | | | | | — | | | | | 5,020,676 | |
OTC Credit Default Swaps | | | | — | | | | | 3,515,644 | | | | | — | | | | | 3,515,644 | |
OTC Total Return Swaps | | | | — | | | | | 22,353,165 | | | | | — | | | | | 22,353,165 | |
Centrally Cleared Interest Rate Swaps | | | | — | | | | | 30,033,176 | | | | | — | | | | | 30,033,176 | |
Total Liabilities | | | $ | 375,891,041 | | | | $ | 202,140,911 | | | | $ | 1,213 | | | | $ | 578,033,165 | |
| (a) | Represents unrealized appreciation (depreciation). |
Investments in Investee Funds that are measured at fair value using NAV as a practical expedient have not been classified in the fair value hierarchy. The fair value amounts presented in this table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the consolidated financial statements.
Investments in Investee Funds that are non-redeemable or subject to other restrictions such as a lockup at the measurement date or have the ability to limit the individual amount of investor redemptions shall be classified as having a redemption restriction.
The following table summarizes investments in Investee Funds, by investment strategy, the unfunded commitment of each strategy (if applicable), and the amount of the investment in Investee Fund that cannot be redeemed because of redemption restrictions put in place by the Investee Fund.
| | | | | | | | | | | | | | |
| | | | | | |
Investments in
Investee Funds by
Strategy | | Unfunded
Commitment $ | | Non-Redeemable
Investments (A) | | Other Restricted
Investments (B) | | Investments
Subject to No
Restrictions | | Total $ |
| | Amount $ | | Redemption
Restriction Commencement
Date | | Amount $ | | Redemption
Restriction
Term | | Amount $ |
| | | | | | | | |
| Equity(1) | | N/A | | — | | N/A | | 236,081,603 | | 7 days | | — | | 236,081,603 |
| | | | | | | | |
| Equity(1) | | N/A | | — | | N/A | | 65,782,875 | | 1 month | | — | | 65,782,875 |
| | | | | | | | |
Credit- Driven(2) | | N/A | | — | | N/A | | 51,631,111 | | 12 months | | — | | 51,631,111 |
| | | | | | | | |
Event- Driven(3) | | N/A | | — | | N/A | | — | | N/A | | 145,928,321 | | 145,928,321 |
| | | | | | | | |
Event- Driven(3) | | 27,172,837 | | — | | N/A | | 22,080,148 | | 6 months | | — | | 22,080,148 |
245
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Notes to Consolidated Financial Statements (Continued)
For the Year Ended March 31, 2021
| (1) | The Equity strategy generally includes equity-focused Investee Funds with a bottom-up analysis that do not actively trade exposures, with trading strategies focusing on shorter-term dynamics and appreciation for market technicals, top-down thematic/macro views, and technically driven statistical arbitrage with fundamental quantitative long/short strategies. |
| (2) | The Credit-Driven strategy generally includes Investee Funds with a focus on fundamental hedged products or otherwise low net exposure, positional concentration and opportunistic directional exposures, mortgages and non-mortgage asset-backed securities. |
| (3) | The Event-Driven strategy generally includes Investee Funds that seek returns by investing in strategies including catalyst events, share class arbitrage, share buybacks, post re-organization equity, recapitalizations, spin-offs and stub trades. |
(A) Investments in Investee Funds cannot currently be redeemed and the remaining redemption restriction period is not known. The date the redemption restriction commenced is disclosed.
(B) Investments subject to other restrictions include investments in Investee Funds that are subject to a lockup at the measurement date and/or have the ability to limit the individual amount of investor redemptions. The redemption restriction term is based on the restriction period (or range of restriction periods) for Investee Funds as defined in each respective Investee Fund’s governing legal agreement without consideration of the length of time elapsed from the date of investments in Investee Funds. The Fund’s investment in a particular Investee Fund classified within the strategies above may be comprised of investments with differing liquidity terms or investments that were made at differing points in time.
Transfers into and out of Level 3 were primarily related to the availability of broker quotations in accordance with valuation methodology.
The changes in investments measured at fair value for which the Fund used Level 3 inputs to determine fair value are as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Assets: Investments | | Common
Stocks | | Preferred
Stocks | | Bank Debt | | Corporate
Bonds &
Notes | | Sovereign Debt | | Unfunded
Loan
Commitment(a) | | OTC Total Return
Swaps | | Total |
Balance as of March 31, 2020 | | | $ | — | | | | $ | — | | | | $ | 164,166,827 | | | | $ | 135,160 | | | | $ | 91,747,567 | | | | $ | — | | | | $ | 22,581 | | | | $ | 256,072,135 | |
Transfers In | | | | 1,294 | | | | | — | | | | | — | | | | | — | | | | | — | | | | | — | | | | | — | | | | | 1,294 | |
Transfers Out | | | | — | | | | | — | | | | | (51,690,650 | ) | | | | — | | | | | — | | | | | — | | | | | (22,581 | ) | | | | (51,713,231 | ) |
Purchases | | | | 920,795 | | | | | 4,243,806 | | | | | 51,927,372 | | | | | — | | | | | — | | | | | — | | | | | — | | | | | 57,091,973 | |
Sales | | | | — | | | | | — | | | | | (124,281,659 | ) | | | | — | | | | | (93,879,193 | ) | | | | — | | | | | — | | | | | (218,160,852 | ) |
Amortization | | | | — | | | | | — | | | | | 2,468,531 | | | | | — | | | | | 253,530 | | | | | — | | | | | — | | | | | 2,722,061 | |
Net realized gain (loss) | | | | — | | | | | — | | | | | 317,146 | | | | | — | | | | | 447,155 | | | | | — | | | | | — | | | | | 764,301 | |
Net change in unrealized appreciation (depreciation) | | | | 327,224 | | | | | 239,014 | | | | | 16,048,938 | | | | | (6,540 | ) | | | | 1,430,941 | | | | | 70,430 | | | | | — | | | | | 18,110,007 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Balance as of March 31, 2021 | | | $ | 1,249,313 | | | | $ | 4,482,820 | | | | $ | 58,956,505 | | | | $ | 128,620 | | | | $ | — | | | | $ | 70,430 | | | | $ | — | | | | $ | 64,887,688 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
246
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Notes to Consolidated Financial Statements (Continued)
For the Year Ended March 31, 2021
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Assets: Investments | | Common
Stocks | | Preferred
Stocks | | Bank Debt | | Corporate
Bonds &
Notes | | Sovereign Debt | | Unfunded
Loan
Commitment(a) | | OTC Total Return
Swaps | | Total |
Net change in unrealized appreciation (depreciation) related to investments still held as of March 31, 2021 | | | $ | 327,224 | | | | $ | 239,014 | | | | $ | 2,524,093 | | | | $ | (6,540 | ) | | | $ | — | | | | $ | 71,643 | | | | $ | — | | | | $ | 3,155,434 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| (a) | Represents unrealized appreciation (depreciation) |
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, 2021.
| | | | | | | | | | | | | | | | | | | | |
Assets | | Fair Value at
March 31,
2021 | | Valuation Technique | | Unobservable Inputs | | Range of inputs (Weighted
Average) |
Investments in Securities: | | | | | | | | | | | | | | | | | | | | |
Common Stock | | | $ | 1,249,313 | | | |
| Broker-dealer
Quotations |
| | | | Indicative Bid | | | | | N/A | |
Preferred Stock | | | | 4,482,820 | | | |
| Broker-dealer
Quotations |
| | | | Indicative Bid | | | | | N/A | |
Bank Debt | | | | 58,956,505 | | | |
| Broker-dealer
Quotations |
| | | | Indicative Bid | | | | | N/A | |
Corporate Bonds & Notes | | | | 128,620 | | | |
| Broker-dealer
Quotations |
| | | | Indicative Bid | | | | | N/A | |
Unfunded Loan Commitment | | | | 70,430 | | | |
| Broker-dealer
Quotations |
| | | | Indicative Bid | | | | | N/A | |
| | | | | | | | | | | | | | | | | | | | |
Total Investments in Securities | | | $ | 64,887,688 | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
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, 2021, only Class D Shares, Class I Shares and Class Y Shares were outstanding.
The Fund’s Class D Shares are offered primarily through broker-dealers and other financial intermediaries with whom the Distributor has an agreement for the use of the Fund in investment products, programs, or accounts such as mutual fund supermarkets or other no transaction fee platforms. The Fund’s Class I Shares are offered to institutional investors and individual investors who are clients of financial intermediaries, broker-dealers, financial institutions or registered investment advisors that: have entered into an arrangement approved by the Distributor to provide certain administrative services to investors in the Fund’s Class I Shares. Shareholders of Class I Shares may be subject to additional advisory, administrative, servicing, account-level or other fees in addition to those described in the Fund’s Prospectus, which are paid to financial intermediaries to support the additional services they may provide. The Fund’s Class Y Shares are offered for institutional investors and individuals (including through individual retirement accounts) who purchase directly from the Fund. Class Y Shares may also be offered to employees, officers and directors/ trustees of the Investment Adviser, the Fund or their respective affiliates. In addition, Class Y Shares are offered for institutional investors and individuals who are clients of financial intermediaries, broker-dealers, financial institutions, or registered investment advisors that have entered into an arrangement approved by the
247
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Notes to Consolidated Financial Statements (Continued)
For the Year Ended March 31, 2021
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, 2021, the Fund paid the Investment Adviser $104,842,669 in management fees. From this amount, the Investment Adviser paid $37,395,848 in sub-advisory fees to non-affiliated Sub-Advisers with respect to the Fund, which amounted to 0.67% (annualized) of the Fund’s average daily net assets. The Investment Advisor paid $1,835,656 and $930,475 in sub-advisory fees with respect to the Fund to Blackstone Real Estate Special Situations Advisors L.L.C. and Blackstone Liquid Credit Strategies LLC, respectively, both indirect wholly-owned subsidiaries of Blackstone and affiliates of the Investment Adviser, which amounted to 0.03% of the Fund’s average daily net assets
Sub-Advisory Fees
Pursuant to the sub-advisory agreements between the Investment Adviser and the Sub-Advisers, the Sub-Advisers are compensated for the services they provide to the Fund by the Investment Adviser from the Management Fee received by the Investment Adviser.
Distribution and Service Fees
Pursuant to the amended and restated Distribution and Service Plan, the Fund’s Class D Shares bear distribution and service fees at an annual rate of 0.25% of the average daily net assets of the Fund attributable to Class D Shares. Payments of the distribution and service fee may be made without regard to expenses actually incurred. The Distributor may pay all or a portion of the distribution and/or service fee to brokers, dealers, selling agents, other financial institutions, or other industry professionals (collectively, “intermediaries”) for distribution services, sales support services, personal services, and/or the maintenance of shareholder account services provided and related expenses incurred by such intermediaries. The Fund’s Class I Shares, Class Y Shares and Class R Shares are not subject to distribution and service fees.
Expense Limitation and Reimbursement
The Investment Adviser has entered into an Expense Limitation and Reimbursement Agreement with the Fund to limit the amount of Specified Expenses (as defined below) of the Fund to 2.40% per annum of the Fund’s net assets for Class D Shares, Class I Shares and Class Y Shares and 2.55% per annum of the Fund’s
248
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Notes to Consolidated Financial Statements (Continued)
For the Year Ended March 31, 2021
net assets for Class R Shares (collectively, the “Total Expense Cap”) (computed and applied on a monthly basis). Specified Expenses include all expenses incurred by the Fund with the exception of (i) distribution or servicing fees, (ii) acquired fund fees and expenses, (iii) brokerage and trading costs, (iv) interest payments (including any interest expenses, commitment fees, or other expenses related to any line of credit of the Fund), (v) taxes, (vi) dividends and interest on short positions, and (vii) extraordinary expenses (in each case as determined in the sole discretion of BAIA).
To the extent the estimated annualized Specified Expenses for any month exceed the Total Expense Cap, the Investment Adviser will waive its fees and/or reimburse the Fund for expenses to the extent necessary to eliminate such excess. The Investment Adviser may discontinue its obligations under the Expense Limitation and Reimbursement Agreement at any time in its sole discretion after August 31, 2023 upon written notice to the Fund. The Fund has agreed to repay the amounts borne by the Investment Adviser under the Expense Limitation and Reimbursement Agreement within the thirty-six month period after the Investment Adviser bears the expense, to the extent the estimated annualized Specified Expenses for a given month are less than the lower of the Total Expense Cap or any expense limitation agreement then in effect with respect to the Fund. The repayment may not raise the level of estimated annualized Specified Expenses in the month of repayment to exceed the Total Expense Cap or any other expense limitation agreement then in effect. During the year ended March 31, 2021, there were no repayments or potential repayments to the Investment Adviser.
Related Party Transactions
Blackstone Holdings Finance Co. L.L.C. (“FINCO”), an affiliate of the Fund, pays certain expenses on behalf of the Fund. The Fund reimburses FINCO for such expenses paid on behalf of the Fund. FINCO does not charge any fees for providing such administrative services. At year ended March 31, 2021, the Fund does not have an amount payable to FINCO.
The Adviser utilizes technology offered by Arcesium LLC (“Arcesium”) to provide certain middle- and back-office services to the Fund, and the Fund bears the costs for such services. The parent company of a Sub-Adviser owns a controlling, majority interest in Arcesium and the Investment Adviser owns a non-controlling, minority interest in Arcesium.
8. Other Agreements
State Street Bank and Trust Company serves as the administrator, custodian and transfer agent to the Fund. U.S. Bank National Association (“U.S. Bank”) serves as custodian for certain of the Fund’s securities, commodities, cash, and other property. Blackstone Securities Partners L.P., an affiliate of the Investment Adviser, serves as the Fund’s distributor.
9. Financial Instruments and Off-Balance Sheet Risk
Market Risk: In the normal course of business, the Fund invests in securities and enters into transactions where risks exist due to fluctuations in the market (market risk) or failure of the other party to a transaction to perform (credit and counterparty risk). The value of securities held by the Fund may decline in response to certain events, including those directly involving the companies whose securities are owned by the Fund; conditions affecting the general economy; overall market changes; local, regional or global political, social or economic instability; and currency and interest rate and price fluctuations.
Credit and Counterparty Risk: The Fund may be exposed to counterparty risk, or the risk that an entity with which the Fund has unsettled or open transactions may default. The potential loss could exceed the value of the financial assets and liabilities recorded in the consolidated financial statements. Financial assets that
249
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Notes to Consolidated Financial Statements (Continued)
For the Year Ended March 31, 2021
potentially expose the Fund to credit and counterparty risk consist principally of cash due from counterparties and investments. The Fund manages counterparty risk by entering into agreements only with counterparties that it believes has the financial resources to honor its obligations and by monitoring the financial stability of those counterparties. The Fund’s Investment Adviser attempts to mitigate counterparty risk by (i) periodically assessing the creditworthiness of its trading partners, (ii) monitoring and/or limiting the amount of its net exposure to each individual counterparty based on its assessment and (iii) requiring collateral from the counterparty for certain transactions. In order to preserve certain safeguards for non-standard settlement trades, the Fund restricts exposure to credit and counterparty losses by entering into MNAs with counterparties (approved brokers) with whom it undertakes a significant volume of transactions. Collateral requirements may differ by type of derivative or investment, as applicable. Collateral or margin requirements are set by the broker or exchange clearing house for exchange traded derivatives (e.g., futures contracts and exchange traded options) while collateral terms are contract specific for OTC traded derivatives (e.g., Forwards, Swaps and OTC options). For derivatives traded under an ISDA Master Agreement or similar master agreement, the collateral requirements may be netted across all transactions traded under such agreement and certain counterparties may allow one amount to be posted from one party to the other to collateralize such obligations. The ISDA Master Agreement gives each party to the agreement the right to terminate all transactions traded under such agreement if there is a certain deterioration in the credit quality of the other party. The ISDA Master Agreement gives the Fund the right, upon an event of default by the applicable counterparty or a termination of the agreement, to close out all transactions traded under such agreement and may permit net amounts owed under each transaction to be netted to derive one net amount payable by one party to the other. This right to close out and net payments across all transactions traded under the ISDA Master Agreement could result in a reduction of the Fund’s credit risk to such counterparty equal to any amounts payable by the Fund under the applicable transactions, if any. The enforceability of the right to offset may vary by jurisdiction. Cash collateral that has been pledged to cover obligations of the Fund under derivative financial instrument contracts, if any, will be reported separately in the Consolidated Statement of Assets and Liabilities. Securities pledged as collateral, if any, for the same purpose are noted in the Consolidated Schedule of Investments.
At March 31, 2021, the Fund had counterparty concentration of credit risk primarily with State Street Bank and Trust Company, Morgan Stanley & Co. LLC, Morgan Stanley Capital Services LLC, Morgan Stanley & Co. International plc, Credit Suisse Securities (USA) LLC, Credit Suisse Securities (Europe) Limited and Credit Suisse International.
Foreign Investment Risk: The investments by the Fund in foreign securities may involve risks not present in domestic investments. Since securities may be denominated in, require settlement in and pay interest or dividends in foreign currencies, changes in the relationship of these foreign currencies to the U.S. dollar can significantly affect the value of the investments and earnings of the Fund. Foreign investments may also subject the Fund to foreign government exchange restrictions, expropriation, taxation or other political, social or economic developments, all of which could affect the market and/or credit risk of the investments. In addition to the risks described above, risks may arise from Forwards with respect to the potential inability of counterparties to meet the terms of their contracts.
Liquidity Risk: Some securities held by the Fund, including, but not limited to, restricted, distressed, non-exchange traded, and/or privately placed securities, may be difficult to sell, or illiquid, particularly during times of market turmoil. Investments in Investment Funds are generally illiquid and some Investment Funds may not permit withdrawals or may make in-kind distributions of illiquid securities when the Fund desires to divest. Illiquid securities may be difficult to value. If the Fund is forced to sell an illiquid asset to meet redemption requests or other cash needs, the Fund may be forced to sell at a loss.
250
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Notes to Consolidated Financial Statements (Continued)
For the Year Ended March 31, 2021
Money Market Funds Risk: The investments in money market funds are not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. In addition, money market funds are exposed to market risk, credit risk and liquidity risk.
Special Purpose Acquisition Companies Risk: A Fund may invest in stock, warrants, and other securities of special purpose acquisition companies (“SPACs”) or similar special purpose entities that pool funds to seek potential acquisition opportunities. Because SPACs and similar entities are in essence blank check companies without operating history or ongoing business other than seeking acquisitions, the value of their securities is particularly dependent on the ability of the entity’s management to identify and complete a profitable acquisition. An investment in a SPAC is subject to a variety of risks, including that (i) a portion of the monies raised by the SPAC for the purpose of effecting an acquisition or merger may be expended prior to the transaction for payment of taxes and other purposes; (ii) prior to any acquisition or merger, a SPAC’s assets are typically invested in government securities, money market funds and similar investments whose returns or yields may be significantly lower than those of a Fund’s other investments; (iii) a Fund generally will not receive significant income from its investments in SPACs (both prior to and after any acquisition or merger) and, therefore, a Fund’s investments in SPACs will not significantly contribute to a Fund’s distributions to shareholders; (iv) an attractive acquisition or merger target may not be identified at all, in which case the SPAC will be required to return any remaining monies to shareholders; (v) if an acquisition or merger target is identified, a Fund may elect not to participate in the proposed transaction or a Fund may be required to divest its interests in the SPAC due to regulatory or other considerations, in which case the warrants or other rights with respect to the SPAC held by a Fund may expire worthless or may be repurchased or retired by the SPAC at an unfavorable price; (vi) any proposed merger or acquisition may be unable to obtain the requisite approval, if any, of SPAC shareholders; (vii) under any circumstances in which a Fund receives a refund of all or a portion of its original investment (which typically represents a pro rata share of the proceeds of the SPAC’s assets, less any applicable taxes), the returns on that investment may be negligible, and a Fund may be subject to opportunity costs to the extent that alternative investments would have produced higher returns; (viii) to the extent an acquisition or merger is announced or completed, shareholders who redeem their shares prior to that time may not reap any resulting benefits; (ix) a Fund may be delayed in receiving any redemption or liquidation proceeds from a SPAC to which it is entitled; (x) an acquisition or merger once effected may prove unsuccessful and an investment in the SPAC may lose value; (xi) an investment in a SPAC may be diluted by additional later offerings of interests in the SPAC or by other investors exercising existing rights to purchase shares of the SPAC; (xii) only a thinly traded market for shares of or interests in a SPAC may develop, or there may be no market at all, leaving a Fund unable to sell its interest in a SPAC or to sell its interest only at a price below what a Fund believes is the SPAC interest’s intrinsic value; and (xiii) the values of investments in SPACs may be highly volatile and may depreciate significantly over time.
Additional risks associated with each type of investment are described within the respective security type notes. The Fund’s Prospectus includes a discussion of the principal risks of investing in the Fund.
10. Investment Transactions
The aggregate cost of purchases and proceeds of sales of investments in securities (excluding short-term debt securities with maturities at the time of acquisition of one year or less (if applicable)), for the year ended March 31, 2021 were as follows:
| | | | | | |
| Purchases | | Sales |
Long-Term | | U.S Government | | Long-Term | | U.S Government |
| $3,952,482,232 | | $1,394,121,613 | | $3,427,396,421 | | $4,606,911,019 |
251
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Notes to Consolidated Financial Statements (Continued)
For the Year Ended March 31, 2021
11. Income Tax Information
The Fund intends to qualify each tax year as a regulated investment company under Subchapter M of the Code. The Fund has adopted a tax year-end of October 31, therefore the consolidated financial statements, unless otherwise indicated, reflect tax adjusted balances as of October 31, 2020. The Fund intends to distribute substantially all of its net investment income and all of its net realized short-term and long-term capital gain, if any, after giving effect to any available capital loss carryforwards for U.S. federal income tax purposes. Therefore, the Fund makes no provision for U.S. federal income or excise taxes.
The Fund’s policy is to declare and pay distributions from net investment income and from net realized short-term and long-term capital gain, if any, at least annually. All distributions are reinvested in additional shares of the Fund, at NAV, unless the shareholder elects to receive cash distributions. Distributions to shareholders are recorded by the Fund on the ex-dividend date.
The Fund is subject to authoritative guidance related to the accounting and disclosure of uncertain tax positions under U.S. GAAP. This guidance sets forth a minimum threshold for the financial statement recognition of tax positions taken based on the technical merits of such positions. United States and non-U.S. tax rules (including the interpretation and application of tax laws) are subject to change. The Fund files tax returns and/or adopts certain tax positions in various jurisdictions. Non-U.S. taxes are provided for based on the Fund’s understanding of the prevailing tax rules of the non-U.S. markets in which they invest. Recently enacted tax rules, including interpretations of tax laws (e.g., regulations pertaining to the U.S. Foreign Account Tax Compliance Act) and proposed legislation currently under consideration in various jurisdictions, including the U.S., might affect the way the Fund and its investors are taxed prospectively and/or retroactively. Prior to the expiration of the relevant statutes of limitations, if any, the Fund is subject to examination by U.S. federal, state, local and non-U.S. jurisdictions with respect to the tax returns they have filed and the tax positions they have adopted. The Fund’s U.S. federal income tax returns are generally subject to examination by the Internal Revenue Service for a period of three years after they were filed. State, local and/or non-U.S. tax returns and/or other filings may be subject to examination for different periods, depending upon the tax rules of each applicable jurisdiction.
The Fund made the following reclassification at March 31, 2021 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, 2020:
| | |
Paid-in Capital | | Distributable Earnings/(Loss) |
| $395,528 | | $(395,528) |
The tax basis components of distributable earnings of the Fund at their tax year-ended October 31, 2020 were:
| | | | |
Undistributed Ordinary Income | | Undistributed Long-Term Capital Gains | | Capital Loss Carryforward(1) |
| $126,948,212 | | $0 | | $(141,217,954) |
| (1) | Under the Regulated Investment Company Modernization Act of 2010, net capital losses recognized by the Cayman Subsidiary may get carried forward indefinitely, and retain their character as short-term and/or long-term losses. Any such losses, will be deemed to arise on the first day of the next taxable year. For the tax year ended October 31, 2020, short term and long term capital losses of $18,009,403 and $123,208,551 respectively, will be carried forward by the Fund. |
252
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Notes to Consolidated Financial Statements (Continued)
For the Year Ended March 31, 2021
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 |
In addition, the tax character of distributions paid to shareholders for the tax year-ended October 31, 2020 by the Fund is as follows:
| | |
Ordinary Income | | Long-Term Capital Gain |
| $277,657,917 | | $15,959,461 |
The Fund made an ordinary income and capital gains distribution in the amounts of $166,986,808 and $0, respectively to shareholders in December 2020. The final tax character of that distribution will be determined after the Fund’s October 31, 2021 tax year end.
As of March 31, 2021, the approximate cost for U.S. federal income tax purposes and gross and net unrealized appreciation (depreciation) in value of investments, securities sold short, and derivatives were as follows:
| | | | | | |
Aggregate Cost | | Gross Unrealized Appreciation | | Gross Unrealized (Depreciation) | | Net Unrealized Appreciation (Depreciation) |
| $3,318,524,418 | | $104,310,066 | | $(224,452,801) | | $(120,142,735) |
12. Borrowings Under Credit Facility
The Fund has a secured revolving borrowing facility (the “Facility”) with State Street Bank and Trust Company (the “Bank”) in an aggregate principal amount of up to $500,000,000, subject to a maximum loan value of not more than 25% of the Fund’s NAV (the “Aggregate Commitment Amount”). Borrowings under the Facility are used primarily for bridge financing purposes and are secured by the assets of the Fund. Under the terms of the agreement, the Aggregate Commitment Amount may be terminated or reduced from time to time upon written notice from the Fund to the Bank. Outstanding borrowings bear interest at a rate equal to 1.25% plus the One-Month USD LIBOR Rate per annum (1.36% at March 31, 2021). A commitment fee is charged in the amount of 0.25% per annum as well as an upfront underwriting fee equal to 0.10% of the Commitment Amount per annum. Commitment fees accrued through the end of each calendar quarter are due no later than the 15th day of the immediately succeeding calendar month during the term of the Facility. Accrued interest is due no later than April 7, 2022, the termination date of the Facility at which time the Fund and the Bank can agree to extend the existing agreement. For the year ended March 31, 2021, the Fund made no borrowings under the Facility.
13. Subsequent Events
The Investment Adviser has evaluated the impact of subsequent events through the date of financial statement issuance and determined there were no subsequent events outside the normal course of business requiring adjustment to or disclosure in the consolidated financial statements.
253
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, 2021, 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, 2021, 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, 2021, 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 25, 2021
We have served as the auditors of one or more investment companies within the group of investment companies since 2010.
254
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Shareholder Fee Example (Unaudited)
As a shareholder of the Fund, you incur ongoing costs, including management fees and to the extent applicable, distribution (12b-1) fees and/or shareholder services fees and other Fund expenses. This Example is intended to help you to understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
Actual Expenses
The actual expense example is based on an investment of $1,000 invested on October 1, 2020 and held through March 31, 2021. The first line in the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The hypothetical expense example is based on an investment of $1,000 invested on October 1, 2020 and held through March 31, 2021. 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
10/1/2020 | | Ending
Account Value
3/31/2021 | | Expenses Paid
During Period1 | | Annualized
Expense
Ratio |
Class I | | | | | | | | | | | | | | | | | | | | |
Actual | | | | $1,000.00 | | | | | $1,073.57 | | | | | $13.86 | | | | | 2.68% | |
Hypothetical (assuming a 5% return before expenses) | | | | $1,000.00 | | | | | $1,011.57 | | | | | $13.44 | | | | | 2.68% | |
| | | | |
Class D | | | | | | | | | | | | | | | | | | | | |
Actual | | | | $1,000.00 | | | | | $1,073.50 | | | | | $15.25 | | | | | 2.95% | |
Hypothetical (assuming a 5% return before expenses) | | | | $1,000.00 | | | | | $1,010.22 | | | | | $14.78 | | | | | 2.95% | |
| | | | |
Class Y | | | | | | | | | | | | | | | | | | | | |
Actual | | | | $1,000.00 | | | | | $1,074.30 | | | | | $13.45 | | | | | 2.60% | |
Hypothetical (assuming a 5% return before expenses) | | | | $1,000.00 | | | | | $1,011.97 | | | | | $13.04 | | | | | 2.60% | |
| 1 | Expenses are calculated using the annualized expense ratio, multiplied by the average account value over the period, multiplied by 182/365 (to reflect the one-half-year period). |
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Management of the Fund
The Fund’s operations are managed by the Investment Adviser and the Sub-Advisers (defined below), under the direction and oversight of the Board. A majority of the Trustees are not “interested persons” (as defined in the 1940 Act) of the Fund or the Investment Adviser (the “Independent Trustees”). The Trustees and the officers (“Officers”) of the Fund are subject to removal or replacement in accordance with Massachusetts law and the Trust’s Declaration of Trust. All Trustees were elected by the initial shareholder of the Trust, except for Mr. Gilbert who was appointed to serve as Trustee by the Board.
Sub-Advisers
During the period covered by this report, the Investment Adviser engaged the following entities as sub-advisers (each, a “Sub-Adviser”, and together, the “Sub-Advisers”) to provide investment management services to the Fund and/or to one or more Subsidiaries.
Discretionary Sub-Advisers:
| | • | | Bayforest Capital Limited and G10 Capital Limited (effective June 10, 2020) |
| | • | | Bayview Asset Management, LLC |
| | • | | Blackstone Liquid Credit Strategies LLC |
| | • | | Blackstone Real Estate Special Situations Advisors L.L.C. |
| | • | | Cerberus Sub-Advisory I, LLC |
| | • | | D.E. Shaw Investment Management, L.L.C. |
| | • | | Emso Asset Management Limited |
| | • | | Endeavour Capital Advisors Inc. |
| | • | | H2O AM LLP (until May 31, 2020) |
| | • | | HealthCor Management, L.P. |
| | • | | IPM Informed Portfolio Management AB (until May 10, 2021) |
| | • | | Jasper Capital Hong Kong Limited (effective January 1, 2021) |
| | • | | Luminus Management, LLC (effective April 20, 2020) |
| | • | | Magnetar Asset Management LLC |
| | • | | Sage Rock Capital Management LP |
| | • | | Seiga Asset Management Limited (effective December 23, 2020) |
| | • | | Shelter Growth Capital Partners LLC (until March 10, 2021) |
| | • | | TrailStone Commodity Trading US, LLC (effective August 24, 2020) |
| | • | | Waterfall Asset Management, LLC |
Trustees and Officers
The following tables set forth information concerning the Trustees and 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) | | 1 | | None |
Peter M. Gilbert
(1947) | | Trustee | | February 2016 to present | | Retired (2015 – Present) | | 1 | | None |
Paul J. Lawler
(1948) | | Trustee | | March 2013 to present | | Retired (2011 – Present) | | 1 | | Trustee, First Eagle Funds (8 portfolios) |
Kristen Leopold
(1967) | | Trustee | | March 2013 to present | | CFO, WFL Real Estate Services, LLC
(2006 – Present) | | 1 | | Trustee, CPG Funds (6 portfolios) |
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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 | | Retired (January 2021 – Present) Executive Managing Director4, Envestnet, Inc. (Wealth Management Solutions)
(2016 – 2020); CEO, Wheelhouse Analytics, LLC (Technology Solutions)
(2010 – 2016) | | 1 | | None |
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); Chief Compliance Officer, BAAM (2008 – 2012, 2018) and BAIA (2018 – Present); Chief Compliance Officer, Blackstone (2013 – 2016) | | 1 | | None |
| 1 | Term of office of each Trustee is indefinite until his or her resignation, removal, or death. Any Trustee of the Fund may be removed from office in accordance with the provisions of the Trust’s Declaration of Trust and Bylaws. |
| 2 | As of December 31, 2020, the “Fund Complex” consists of the Fund, funds managed by Blackstone Liquid Credit Strategies LLC (Blackstone Floating Rate Enhanced Income Fund, Blackstone Senior Floating Rate Term Fund, Blackstone Long-Short Credit Income Fund, Blackstone Strategic Credit Fund, |
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| | and Blackstone 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 (collectively, the “Real Estate Funds”)). As of July 13, 2020, the Real Estate Funds announced they are in the process of liquidation, dissolution, and termination. |
| 3 | Mr. Coates is being treated as an “interested person” of the Fund, as defined in the 1940 Act, due to his prior employment by Envestnet, Inc., which conducts business with certain Sub-Advisers and may conduct business with the Investment Adviser and/or its affiliates in the future. Mr. Coates retired from his role at Envestnet, Inc. on December 31, 2020. |
| 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 positions with the Investment Adviser and its affiliates. |
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); Anti-Money Laundering Officer (August 2016 to September 2018) | | Chief Compliance Officer, BAIA (2021– Present); Managing Director,2 Blackstone (2018 – Present); Vice President, Blackstone (2014 – 2017) |
Charmagne Kukulka (1989) | | Secretary | | Secretary February 2021 to Present Interim Secretary (March 2020 to February 2021) | | Associate, Blackstone
(2020 – Present); Analyst, (2015 – 2019) |
Hannah Ellis (1981) | | Treasurer (Principal Financial and Accounting Officer) | | February 2021 to Present | | Managing Director2, Blackstone (2021 – Present); Principal, Blackstone
(2019 – 2020); Vice President, Blackstone
(2016 – 2018) |
Sherilene Sibadan
(1976) | | Anti-Money Laundering Officer | | July 2019 to Present | | Senior Vice Present, Blackstone (2016 – Present); Vice President, Blackstone (2013 – 2016) |
| 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 prior employment by Envestnet, Inc., which conducts business with certain Investee Funds and may conduct business with the Investment Adviser and its affiliates in the future) 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. As of November 10, 2020, the Trust adopted a deferred compensation plan (the “Deferred Compensation Plan”) to allow each Independent Trustee to align his or her interest with the Fund and the Fund’s shareholders without purchasing shares of the Fund. Certain of the Independent Trustees currently participate in the Deferred Compensation Plan. Under the Deferred Compensation Plan, each participating Independent Trustee defers receipt of all or a portion of the compensation earned by such Trustee for serving as a member of the Board or as a member of any ad hoc or standing committee (or subcommittee of such committee) of the Board. The deferred compensation is treated as though an equivalent dollar amount had been invested in shares of the Fund and thereby the Independent Trustees share in the investment performance of the Fund alongside the Fund’s shareholders. Deferred amounts continue to be treated as if the amounts were invested in the Fund until distributed in accordance with the provisions of the Deferred Compensation Plan. Pursuant to the Deferred Compensation Plan, payments due under the Deferred Compensation Plan are unsecured obligations of the Trust.
The following tables set forth information covering the total compensation payable by the Fund, during its fiscal year ended March 31, 2021, to the persons who served as Trustees of the Fund during the period:
Independent Trustees:
| | | | | | | | | | |
| Name of Independent Trustee | | Aggregate
Compensation
From the Fund1 | | 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 Fund1 | | Total Compensation
From Fund
Complex1 |
Frank J. Coates | | | $ | 120,718 | | | | $ | 129,000 | |
Peter Koffler | | | | None | | | | | None | |
The Fund Complex 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
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ended March 31, 2021. The following table sets forth information covering the total compensation payable by the Fund, during its fiscal year ended March 31, 2021, to Mr. Hannigan in his role as Chief Compliance Officer of the Fund during the period:
| | | | | | | | | | |
| Name of Compensated Officer | | Aggregate
Compensation
From the Fund1 | | 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. For purposes of this table, the “Fund Complex” includes the Fund and its Subsidiaries. Until liquidated in May 2020, the “Fund Complex” also included Blackstone Alternative Alpha Fund, Blackstone Alternative Alpha Fund II, and Blackstone Alternative Alpha Master Fund. Certain of the Independent Trustees have elected to defer all or part of their total compensation for the year ended March 31, 2021, under the Trust’s Deferred Compensation Plan. Amounts deferred for the fiscal year ended March 31, 2021 by Mssrs. Gilbert and Lawler and by Ms. Leopold were $37,500, $37,500, and $13,749, respectively. |
Form N-PORT Filings
The Fund files a complete schedule of the Fund’s portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. The Fund’s Form N-PORT is available on the SEC’s website at http://www.sec.gov within 60 days after the Fund’s first and third fiscal quarters. Holdings and allocations shown on any Form N-PORT are as of the date indicated in the filing and may not be representative of future investments. Holdings and allocations should not be considered research or investment advice and should not be relied upon in making investment decisions.
Proxy Voting Policies
A description of the policies and procedures used to vote proxies related to the Fund’s portfolio securities and information regarding how the Fund voted proxies relating to its portfolio securities during the 12-month period ended June 30, 2020 will be available (1) without charge, upon request, by calling toll free, 1-855-890-7725 and (2) on the SEC’s website at http://www.sec.gov.
Board Approval of the Sub-Advisory Agreements
At meetings of the Board held virtually on November 10, 2020, February 23-24, 2021, and March 26, 2021, the Board, including a majority of the Independent Trustees, considered and approved for the Fund (i) the continuation of certain investment sub-advisory agreements (“Continued Sub-Advisory Agreements”); (ii) certain amended and restated investment sub-advisory agreements or amendments to investment sub-advisory agreements (“Amended Sub-Advisory Agreements”): and (iii) a new investment sub-advisory agreement (the “New Sub-Advisory Agreement” and together with the Amended Sub-Advisory Agreements and Continued Sub-Advisory Agreements, the “Sub-Advisory Agreements”) between BAIA and each of the following sub-advisers (the “Approved Sub-Advisers”):
Continued Sub-Advisory Agreements (approved at November meeting)
| | • | | Blackstone Real Estate Special Situations Advisors L.L.C. |
| | • | | Cerberus Sub-Advisory I, LLC |
| | • | | Waterfall Asset Management, LLC |
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| | • | | Nephila Capital Ltd. (“Nephila”) |
| | • | | Endeavour Capital Advisors Inc. (“Endeavour”) |
New Sub-Advisory Agreement (approved at November meeting)
| | • | | Jasper Capital Hong Kong Limited (“Jasper”) |
Continued Sub-Advisory Agreement (approved at February meeting)
| | • | | Sage Rock Capital Management LP |
Amended Sub-Advisory Agreements (approved at February meeting)
| | • | | Blackstone Liquid Credit Strategies LLC (amended and restated) |
| | • | | HealthCor Management, L.P. (amended and restated) |
| | • | | Nephila (amended and restated) |
Amended Sub-Advisory Agreements (approved at March meeting)
| | • | | Endeavour (amended and restated) |
| | • | | Emso Asset Management Limited (“Emso”) (amendment) |
The Board held its November, December, and February 2021 meetings virtually by video conference due to the ongoing COVID-19 pandemic and in reliance on the exemptive order from the SEC issued on March 13, 2020 (subsequently modified and extended on March 25, 2020 and June 19, 2020) providing temporary relief from the in person vote requirements of Section 15(c) of the 1940 Act and in compliance with the conditions therein. The Board held its March 2021 meeting virtually by video conference in reliance on the exemptive order from the SEC issued to BAIA and the Fund on February 19, 2020 providing relief from the in person vote requirements of Section 15(c) of the 1940 Act in compliance with the conditions therein. The Board noted that BAIA and the Fund additionally relied on an exemptive order from the SEC that permits the Fund to hire, and make material amendments to sub-advisory agreements with, discretionary or non-discretionary sub-advisers without a shareholder vote, provided that the Board, including a majority of Independent Trustees, approves the new sub-advisers and material amendments, and certain other conditions are met. The Independent Trustees were assisted in their review of the applicable sub-advisory arrangements by their independent legal counsel, and before the meetings, the Board received materials prepared by the Independent Trustees’ independent legal counsel regarding the relevant factors to consider in connection with the approval of the Sub-Advisory Agreements between BAIA and each of the Approved Sub-Advisers. The Board requested and evaluated all the information it deemed reasonably necessary under the circumstances in connection with the approval of the Sub-Advisory Agreements. Prior to the meetings, the Board had requested and received materials prepared by BAIA relating to each Approved Sub-Adviser.
The information the Board received in connection with the consideration of the Sub-Advisory Agreement for each of the Approved Sub-Advisers considered at the November meeting (other than in connection with the New Sub-Advisory Agreement for Jasper) and the February meeting (other than in connection with the Amended Sub-Advisory Agreement for Nephila) generally included, among other things:
| (1) | a Manager Investment Review, which covered, among other things, summary information regarding each Approved Sub-Adviser’s investment thesis, strategy, investment process, and portfolio construction; a risk evaluation; an assessment of business infrastructure, valuation, liquidity monitoring, and compliance; and a summary of the key terms of the applicable Sub-Advisory Agreement; |
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| (2) | a sub-adviser “tear sheet,” which covered in greater detail the performance, returns, and investment exposure of each Approved Sub-Adviser that had, presently or in the past, been allocated Fund assets; and |
| (3) | a completed sub-adviser 15(c) questionnaire, which provided each Approved Sub-Adviser’s responses to the Independent Trustees’ request for information. |
With respect to the New Sub-Advisory Agreement approved in November 2020 for Jasper, the Board considered that it had previously approved a sub-advisory agreement for Jasper at its August 11-12, 2020 meeting, which had not been executed following its approval (the “Unexecuted Sub-Advisory Agreement”), and that the New Sub-Advisory Agreement would reflect certain revisions to the terms of the Unexecuted Sub-Advisory Agreement. The Board reviewed those revisions in light of the information provided in connection with the Board’s approval of the Unexecuted Sub-Advisory Agreement at its August 11-12, 2020 meeting. With respect to the Amended Sub-Advisory Agreement approved in February 2021 for Nephila and the Amended Sub-Advisory Agreements approved in March 2021 for each of Emso and Endeavour, the Board reviewed the proposed amendments to each Sub-Advisory Agreement and considered the amendments in light of the information provided in connection with the Board’s most recent approval of each Approved Sub-Adviser’s prior sub-advisory agreements, which occurred at the Board’s November 10, 2020 meeting for Nephila and Endeavour and its August 11-12, 2020 meeting for Emso. In connection with its review of the Amended Sub-Advisory Agreements for each of Emso and Endeavour, the Board also received an updated Manager Investment Review, which covered, among other things, summary information regarding the relevant Approved Sub-Adviser’s investment thesis, strategy, investment process, and portfolio construction; a risk evaluation; an assessment of business infrastructure, valuation, liquidity monitoring, and compliance; and a summary of the key terms of the applicable Sub-Advisory Agreement.
At the meetings, the Board and BAIA discussed the materials that had been provided to the Board, the terms of the Sub-Advisory Agreements, and other relevant considerations. Additionally, the Board (and separately, the Independent Trustees) conferred with the Independent Trustees’ independent legal counsel to consider the information provided. In evaluating each Sub-Advisory Agreement, the Board took into account the fact that the compensation paid to the relevant Approved Sub-Adviser would be paid by BAIA from the Fund Management Fee it receives from the Fund and would not increase the fees or expenses otherwise incurred by the Fund or its shareholders.
Following this discussion, the Board, including a majority of the Independent Trustees, determined to approve each Continued Sub-Advisory Agreement, each Amended Sub-Advisory Agreement, and the New Sub-Advisory Agreement on the basis of the following factors, among others, for each Approved Sub-Adviser:
Nature, Extent, and Quality of the Services
Except as otherwise noted, the Board considered with respect to each Approved Sub-Adviser (either at the relevant meeting or by reference to the most recent approval of the Approved Sub-Adviser’s prior sub-advisory agreement):
| (1) | the Approved Sub-Adviser’s personnel, operations, and, where available, financial condition; |
| (2) | the Approved Sub-Adviser’s investment expertise and strengths; |
| (3) | the percentage of Fund assets that are, previously were, or potentially would be allocated to the Approved Sub-Adviser; |
| (4) | the investment return on other assets that are managed by the Approved Sub-Adviser and related investment risks or, in the case of Nephila, the Approved Sub-Adviser’s experience managing the assets of a former series of the Trust that had similar investment objectives to those of the Fund ; |
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| (5) | the Sub-Adviser’s experience and performance investing in particular instruments or strategies or managing hedge funds or other products; |
| (6) | where applicable, the extent to which the Sub-Adviser’s strategy for the Fund would overlap with its strategy for hedge funds or other products; |
| (7) | where applicable, the Approved Sub-Adviser’s experience and performance as a sub-adviser to the Fund since its inception or otherwise; |
| (8) | the experience and depth of the Approved Sub-Adviser’s portfolio management team in managing hedge funds or other products, as applicable, and its ability to manage risk; and |
| (9) | any other factors deemed relevant to the determination of whether to approve or continue the Sub-Advisory Agreements. |
The Board concluded that the nature, extent, and quality of the sub-advisory services to be provided by each Approved Sub-Adviser were appropriate and thus supported a decision to approve or continue the Sub-Advisory Agreements.
Investment Performance of the Approved Sub-Advisers
The Board considered the investment performance of each Approved Sub-Adviser to which the Fund currently or previously had allocated assets (the “Existing Approved Sub-Advisers”). With respect to each Existing Approved Sub-Adviser, the Board considered information about the performance record of the Fund’s assets managed by the Approved Sub-Adviser (net of trading expenses but gross of investment management fees and Fund operating expenses over various periods, including in many cases the year-to-date period, recent calendar month and year periods, and the inception-to-date period), all as compared to the investment returns of (i) a custom index defined by BAIA and (ii) in the case of certain Approved Sub-Advisers, the Approved Sub-Adviser’s hedge fund strategy. In addition, for the Existing Approved Sub-Advisers, the Board considered information about performance risk measurements of the assets that are or were managed by the Approved Sub-Adviser, if any, the custom index, and, if applicable, the Approved Sub-Adviser’s hedge fund strategy, such as annualized return, standard deviation (which is a common measure of volatility), Sharpe ratio, and alpha and beta statistics (where available). On the basis of the Board’s assessment, while recognizing that there can be no assurance of any particular investment outcome, the Board concluded that the investment performance generated by the Existing Approved Sub-Advisers was generally satisfactory and that the Approved Sub-Advisers were capable of providing reasonable investment performance to the Fund. The Board noted that, because Jasper and Nephila had not yet managed assets of the Fund, there was no prior performance with respect to Fund assets to consider.
Costs of Services and Profitability
In analyzing the cost of services and profitability of each Approved Sub-Adviser, the Board considered (i) each Approved Sub-Adviser’s sub-advisory fee for managing the allocated Fund assets, including any fee breakpoints; (ii) each Approved Sub-Adviser’s resources devoted or expected to be devoted to the Fund; and (iii) any information provided in response to inquiries regarding the profitability to each Approved Sub-Adviser from providing sub-advisory services to the Fund. The Board considered the specific resources that each Approved Sub-Adviser devoted or expected to devote to the Fund for investment analysis, risk management, compliance, and order execution, and the extent to which each Approved Sub-Adviser’s investment process is or would be scalable.
The Board noted that the compensation paid to each Approved Sub-Adviser was paid by BAIA, not the Fund, and, accordingly, that the retention of each Approved Sub-Adviser did not increase the fees or expenses otherwise incurred by shareholders of the Fund. It also noted that the terms of each Sub-Advisory Agreement were the result of separate arm’s-length negotiations between BAIA and the Approved Sub-Adviser. The
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Board considered information comparing the sub-advisory fees to the fees that each Approved Sub-Adviser charges for providing investment advisory services to certain other clients. The Board also considered information regarding the impact that retaining the Approved Sub-Advisers as sub-advisers to the Fund has or would have on BAIA’s profitability, as well as information about the blended average of all sub-advisory fee rates that BAIA pays the Approved Sub-Advisers based on allocations of Fund assets among all Sub-Advisers.
The Board concluded that the level of investment sub-advisory fees was appropriate in light of the services to be provided.
Economies of Scale
The Board considered various financial and economic considerations relating to the arrangement with each Approved Sub-Adviser, including economies of scale and the current and proposed breakpoints in the sub-advisory fees for certain Approved Sub-Advisers. The Board noted that it would have the opportunity to periodically re-examine whether the Fund had achieved economies of scale, as well as the appropriateness of sub-advisory fees payable to each Approved Sub-Adviser, with respect to different asset sizes of the portfolio, in the future. The Board also noted that although not directly related to the sub-advisory fees payable to the Approved Sub-Advisers, certain Fund expenses were subject to an expense cap, an undertaking by BAIA intended to limit the Fund’s overall expenses at smaller asset levels, although the Fund’s expenses were sufficiently limited at the time of the meetings such that the expense cap did not currently apply.
Other Benefits
The Board considered other potential benefits that each Approved Sub-Adviser may receive from the Fund, including soft dollar arrangements, receipt of brokerage and research services, and the opportunity to offer additional products and services to the Fund’s shareholders and BAIA or BAAM, as applicable. The Board noted that each Approved Sub-Adviser benefited from its relationship with BAIA or BAAM. The Board concluded that other ancillary or “fall out” benefits derived by each Approved Sub-Adviser from its relationship with BAIA, BAAM, or the Fund, to the extent such benefits were identifiable or determinable, were reasonable and fair, resulted from the provision of appropriate services to the Fund and its shareholders, and were consistent with industry practice and the best interests of the Fund and its shareholders.
Other Considerations
The Board reviewed and considered certain terms and conditions of each Sub-Advisory Agreement. After discussion, the Board concluded that the terms of each Sub-Advisory Agreement were reasonable and fair. It was noted that the Board would have the opportunity to periodically re-examine the terms of each Sub-Advisory Agreement in the future.
Conclusion
The Board, including a majority of the Independent Trustees, concluded that the fees payable under each of the Sub-Advisory Agreements were fair and reasonable with respect to the services that each Approved Sub-Adviser provides (and is proposed to provide in the case of Jasper and Nephila) to the Fund and in light of the other factors described above that the Board deemed relevant. The Board noted that both BAIA and the Board had previously determined, or determined at the meetings, that each Approved Sub-Adviser’s compliance program was reasonably designed to prevent the violation of federal securities laws within the meaning of Rule 38a-1 under the 1940 Act and that each Approved Sub-Adviser’s code of ethics was reasonably designed to prevent “access persons” (as defined in Rule 17j-1 under the 1940 Act) from
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engaging in any act, practice, or course of business prohibited by Rule 17j-1 under the 1940 Act. The Board based its approval or continuation of each Approved Sub-Adviser’s Sub-Advisory Agreement on a comprehensive consideration of all relevant information presented to the Board at its meetings throughout the year, as applicable, and not as a result of any single controlling factor. The Board was assisted by the advice of independent legal counsel in approving each Sub-Advisory Agreement.
Board Approval of the Investment Management Agreement for Blackstone Alternative Multi-Strategy Fund, and each of its Wholly Owned Subsidiaries
At a meeting of the Board held virtually on February 23-24, 2021, 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.
The Board also 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.
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, 2022 on the basis of the following factors, among others:
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Supplemental Information (Continued)
March 31, 2021
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 Securities Partners L.P.’s strategic planning for the Fund in the marketplace; and |
| (7) | BAIA’s oversight of and interaction with sub-advisers and other service providers. |
The Board concluded that the nature, extent, and quality of the management services provided were appropriate and thus supported a decision to renew the BAIA Investment Management Agreements. The 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-month performance information of the Fund (net of fees and expenses), each as compared to the HFRX Global Hedge Fund Index, 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) the inception-to-date standard deviation (a measurement of volatility) and Sharpe ratio (a measurement of risk-adjusted return) of the Fund as compared to the Comparative Indices; (iv) information about inception-to-date, one year, 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 four 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’s inception-to-date, one-year, and three-year performance, volatility, Sharpe ratio, and beta ratio versus that of several indices.
With respect to the Fund, the Board noted that, as of December 31, 2020, (i) the inception-to-date performance return was less than the corresponding returns of the MSCI World Total Return Index and Bloomberg Barclays Global Aggregate Bond Index but greater than the corresponding returns of the HFRX Global Hedge Fund Index; (ii) the one-year performance return was less than the corresponding returns of the Bloomberg Barclays Global Aggregate Bond Index, HFRX Global Hedge Fund Index, and the MSCI World Total Return Index; (iii) the inception-to-date performance return was less than the corresponding return for all of the other funds in the Committee-prepared peer group, with the exception of one (which included four funds from the Service Provider -prepared peer group) for which this information was shown; and (iv) the one-year performance return was less than all of other funds in the Committee-prepared peer group (which included four funds from 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.
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Blackstone Alternative Investment Funds and Subsidiaries
Supplemental Information (Continued)
March 31, 2021
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, 2020 against the fee and expense ratios of the Service Provider-prepared peer group. The Board also considered BAIA’s views as to the appropriateness of the Service Provider-prepared peer group. Specifically, the Board considered data based on information provided by the Service Provider indicating that, for the Fund’s Class I shares: (i) the contractual (before waivers) management (including both investment management and administration fees) fee rate was higher than the fee rate of all ten other funds in the Service Provider-prepared peer group; (ii) total net expenses (management fee and expenses after waiver) were higher than all ten other funds in the Service Provider-prepared peer group; and (iii) total fees were higher than all eight other funds in the Service Provider-prepared peer group.
The Board also took into consideration the peer group analysis prepared by BAIA, under the guidance of the Committee, which showed fees and expenses of the Fund’s Class I, Class Y, Class D, and Class R shares and a group of six competitor funds selected by BAIA (including four 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, Class Y, and Class D were higher than five 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, 2020. 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. The Board also took into account the entrepreneurial, business, and other risks BAIA has undertaken as investment adviser of the Fund for which it is entitled to reasonable compensation. 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, BAIA’s entrepreneurial, business, and other risks, and the estimated overhead costs associated with managing the Fund, the Board concluded that the level of investment management fees is appropriate in light of the services provided, 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 Fund Management Fee is calculated at a rate of 1.95%, and for collective net assets greater than or equal to $2.5 billion, the Fund
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Blackstone Alternative Investment Funds and Subsidiaries
Supplemental Information (Continued)
March 31, 2021
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 the Sub Funds’ current and anticipated size. The Board noted that it will have the opportunity to periodically re-examine whether the Fund and the Sub Funds 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 “Liquidity Committee”). BAIA uses a third-party service provider to provide preliminary liquidity classifications for the Fund’s investments. At the February 23-24, 2021 meeting, the Liquidity Committee provided the Board with a report addressing the operation of the program and assessing its adequacy and effectiveness of implementation for the period January 1, 2020 through December 31, 2020. The Liquidity 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; |
| | • | | there were no material changes to the Program, the formula for calculating reasonably anticipated trading sizes, or the methodology for determining 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. |
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Blackstone Alternative Investment Funds and Subsidiaries
Supplemental Information (Continued)
March 31, 2021
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 free 1-855-890-7725.
Copies of this annual shareholder report are available upon request to prior shareholders of the Fund, without charge, by calling toll free 1-855-890-7725.
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Rev January 2020
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FACTS | | WHAT DO BLACKSTONE REGISTERED FUNDS DO WITH YOUR PERSONAL INFORMATION? |
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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. |
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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 |
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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. |
| | | | |
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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 |
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| For joint marketing with other financial companies | | No | | We don’t share |
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For our affiliates’ everyday business purposes— information about your transactions and experiences | | No | | We don’t share |
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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 |
| | |
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| Questions? | | Email us at GLB.privacy@blackstone.com |
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| | |
| Who We Are |
| Who is providing this notice? | | Blackstone Registered Funds include Blackstone Alternative Alpha Fund, Blackstone Alternative Alpha Fund II, Blackstone Real Estate Income Fund, Blackstone Real Estate Income Fund II, Blackstone Real Estate Income Trust, Inc., Blackstone Alternative Investment Funds, on behalf of its series Blackstone Alternative Multi-Strategy Fund, Blackstone Diversified Multi-Strategy Fund, a sub-fund of Blackstone Alternative Investment Funds plc, and the GSO Funds, consisting of Blackstone / GSO Senior Floating Rate Term Fund, Blackstone / GSO Long-Short Credit Income Fund, Blackstone / GSO Strategic Credit Fund, Blackstone / GSO Floating Rate Enhanced Income Fund and Blackstone / GSO Secured Lending Fund and Blackstone / GSO Floating Rate Enhanced Income Fund |
| What We Do |
| How do Blackstone Registered Funds protect my personal information? | | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. |
| How do Blackstone Registered Funds collect my personal information? | | We collect your personal information, for example, when you: ∎ open an account or give us your income information ∎ provide employment information or give us your contact information ∎ tell us about your investment or retirement portfolio We also collect your personal information from others, such as credit bureaus, affiliates, or other companies. |
| Why can’t I limit all sharing? | | Federal law gives you the right to limit only: ∎ sharing for affiliates’ everyday business purposes—information about your creditworthiness ∎ affiliates from using your information to market to you sharing for nonaffiliates to market to you State laws and individual companies may give you additional rights to limit sharing. See below for more on your rights under state law. |
| What happens when I limit sharing for an account I hold jointly with someone else? | | Your choices will apply to everyone on your account—unless you tell us otherwise. |
| Definitions |
| Affiliates | | Companies related by common ownership or control. They can be financial and nonfinancial companies. ∎ Our affiliates include companies with a Blackstone name and financial companies such as GSO Capital Partners LP and Strategic Partners Fund Solutions. |
| Nonaffiliates | | Companies not related by common ownership or control. They can be financial and nonfinancial companies. ∎ Blackstone Registered Funds do not share with nonaffiliates so they can market to you. |
| Joint marketing | | A formal agreement between nonaffiliated financial companies that together market financial products or services to you. ∎ Our joint marketing partners include financial services companies. |
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| Other Important Information |
California Residents—In accordance with California law, we will not share information we collect about California residents with nonaffiliates except as permitted by law, such as with the consent of the customer or to service the customer’s accounts. We will also limit the sharing of information about you with our affiliates to the extent required by applicable California law. Vermont Residents—In accordance with Vermont law, we will not share information we collect about Vermont residents with nonaffiliates except as permitted by law, such as with the consent of the customer or to service the customer’s accounts. We will not share creditworthiness information about Vermont residents among Blackstone Registered Funds’ affiliates except with the authorization or consent of the Vermont resident. |
| Contact Us |
If you have any questions or comments about this Privacy Notice, or if you would like us to update information we have about you or your preferences, please email us at PrivacyQueries@Blackstone.com or access our web form www.blackstone.com/privacy. You also may write to: The Blackstone Group Inc. Attn: Legal & Compliance 345 Park Avenue New York, NY 10154 |
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GDPR PRIVACY STATEMENT
DATA PRIVACY NOTICE FOR INVESTORS
Why are you seeing this notice?
| | • | | You may need to provide Personal Data to us as part of your investment into a fund or other investment vehicle (as applicable, the Fund) managed or advised by investment advisers that are subsidiaries of The Blackstone Group Inc. or its affiliates (and, where applicable, the general partner of the relevant Fund) (collectively, Blackstone). |
| | • | | We want you to understand how and why we use, store and otherwise process your Personal Data when you deal with us or our relevant affiliates (including under applicable data protection laws). If this notice (the Data Privacy Notice) has been made available to you, you may have certain rights with respect to your Personal Data under applicable data protection laws (including as described in this Data Privacy Notice). |
| | • | | “Personal Data” has the meaning given to it under data protection laws that apply to our processing of your personal information, and includes any information that relates to, describes, identifies or can be used, directly or indirectly, to identify an individual (such as name, address, date of birth, personal identification numbers, sensitive personal information, and economic information). |
| | • | | We ask that investors promptly provide the information contained in this Data Privacy Notice to any individuals whose Personal Data they provide to the Fund or its affiliates in connection with ‘know your client’/anti-money laundering requests or otherwise. |
Please read the information below carefully. It explains how and why Personal Data is processed by us.
Who is providing this notice?
Blackstone is committed to protecting and respecting your privacy. Blackstone is a global financial services firm with offices, operations and entities globally, including as described at this link: https://www.blackstone.com/privacy#appendixA.
| | • | | For transparency, the Blackstone entities on whose behalf this privacy statement is made are: (i) the Fund; and (ii) where applicable, the Blackstone general partner and/or investment adviser of the relevant Fund, in each case, with which you contract, transact or otherwise share Personal Data (together, the Fund Parties). |
| | • | | Where we use the terms “we”, “us” and “our” in this Data Privacy Notice, we are referring to the Fund and the Fund Parties. |
| | • | | Please consult your subscription documents, private placement memorandum or other offering documentation provided to you by or on behalf of the Fund Parties which will further specify the entities and contact details of the Fund Parties relevant to our relationship with you. |
| | • | | We welcome investors and their representatives to contact us if they have any queries with respect to the Fund Parties (in particular, which Fund Parties are relevant to their relationship with Blackstone). If you have any queries, our contact details are below. |
When you provide us with your Personal Data, each Fund Party that decides how and why Personal Data is processed acts as a “data controller”. In simple terms, this means that the Fund Party makes certain decisions on how to use and protect your Personal Data – but only to the extent that we have informed you about the use or are otherwise permitted by law.
Where your Personal Data is processed by an entity controlled by, or under common control with, the Blackstone entity/ies managing a Fund for its own purposes, this entity will also be a data controller.
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What Personal Data do we collect about you?
The types of Personal Data that we collect and share depends on the product or service you have with us and the nature of your investment.
The Personal Data collected about you will help us to provide you with a better service and facilitate our business relationship.
We may combine Personal Data that you provide to us with Personal Data that we collect from you, or about you from other sources, in some circumstances. This will include Personal Data collected in an online or offline context.
As a result of our relationship with you as an investor, in the past 12 months we may have collected Personal Data concerning you in the following categories:
| a) | Identifiers (e.g., real name, alias, postal address, email address, social security or driver’s licence number, government ID, signature, telephone number, education, employment, employment history, financial information, including tax-related information/codes and bank account details, information used for monitoring and background checks to comply with laws and regulations, including ‘know your client’, anti-money laundering, and sanctions checks, and other contact information); |
| b) | Sensitive/protected characteristic information (e.g., age/date of birth, nationality, citizenship, country of residence, gender, and other information used to comply with laws and regulations); |
| c) | Commercial information (e.g., assets, income, transaction and investment history, accounts at other institutions, information concerning source of funds and any applicable restrictions on your investment such as political exposure or sanctions); |
| d) | Internet or other network activity (e.g., browsing or search history, information regarding interaction with an internet website, application, or advertisement, online identifiers such as cookies); |
| e) | Sensory and surveillance data (e.g., recordings of telephone calls where permitted or required by law, video surveillance recordings, and other records of your interactions with us or our service providers, including electronic communications); |
| f) | Professional or employment-related information (e.g., current or past job history); and |
| g) | Inferences drawn from other personal information (e.g., profiles reflecting preferences and trends, based on information such as assets, investment experience, risk tolerance, investment activity, and transaction history). |
Where do we obtain your Personal Data?
We collect, and have collected, Personal Data about you from a number of sources, including from you directly:
| | | | |
| | WHAT | | HOW |
| 1 | | Personal Data that you give us | | • from the forms and any associated documentation that you complete when subscribing for an investment, shares and/or opening an account with us. This can include information about your name, address, date of birth, passport details or other national identifier, driving licence, your national insurance or social security number and income, employment information and details about your investment or retirement portfolio(s) • when you provide it to us in correspondence and conversations, including electronic communications such as email and telephone calls • when you make transactions with respect to the Fund • when you interact with our online platforms and websites (such as bxaccess.com) • when you purchase securities from us and/or tell us where to send money • from cookies, web beacons, and similar interactions when you or your devices access our sites |
275
| | | | |
| | 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 is necessary to perform our contract with you to: • administer, manage and set up your investor account(s) to allow you to purchase your holding (of shares) in our Funds • meet the resulting contractual obligations we have to you • facilitate the continuation or termination of the contractual relationship between you and the Fund • facilitate the transfer of funds, and administering and facilitating any other transaction, between you and the Fund |
| 2 | | Compliance with law | | It is necessary for compliance with an applicable legal or regulatory obligation to which we are subject, in order to: • undertake our client and investor due diligence, and on-boarding checks • carry out verification, ‘know your client’, terrorist financing, sanctions, and anti-money laundering checks • verify the identity and addresses of our investors (and, if applicable, their beneficial owners) • comply with requests from regulatory, governmental, tax and law enforcement authorities • carry out surveillance and investigations • carry out audit checks • maintain statutory registers • prevent and detect fraud • comply with sanctions requirements |
| 3 | | Legitimate interests | | For our legitimate interests or those of a third party (such as a transaction counterparty or lender) to: • manage and administer your holding in any Funds in which you are invested, and any related accounts on an ongoing basis • assess and process any applications or requests made by you • open, maintain or close accounts in connection with your investment in, or withdrawal from, the Fund scheme • send updates, information and notices or otherwise correspond with you in connection with your investment in the Fund scheme • address or investigate any complaints, claims, proceedings or disputes • provide you with, and inform you about, our investment products and services • monitor and improve our relationships with investors |
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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 or sub-participant of the partnership’s or Fund vehicles’ rights or obligations to evaluate proposed transactions • facilitate business asset transactions involving the Fund partnership or Fund-related vehicles • monitor communications to/from us using our systems • protect the security and integrity of our information technology systems • manage our financing arrangements with our financiers and financing transaction counterparties, including payment providers, intermediaries, and correspondent/agent banks We only rely on these interests where we have considered that, on balance, the legitimate interests are not overridden by your interests, fundamental rights or freedoms. |
Monitoring as described at (3) above
We monitor communications where the law requires us to do so. We will also monitor where we are required to do so to comply with our regulatory rules and practices and, where we are permitted to do so, to protect our business and the security of our systems.
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Who we share your Personal Data with
Your Personal Data will be shared with:
| | |
| WHO | | WHY |
| Fund Associates | | We share your Personal Data with our associates, related parties and members of our group. This is: • to manage our relationship with you • for the legitimate interests of a third party in carrying out anti-money laundering 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 |
| 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.
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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 transfer agreements or appropriate safeguards, designed to ensure that your Personal Data is protected as required under applicable data protection law (including, where appropriate, under an agreement on terms approved for this purpose by the European Commission or by obtaining your consent).
Please contact us if you would like to know more about these agreements or receive a copy of them. Please see below for our contact details.
Consent – and your right to withdraw it
We do not generally rely on obtaining your consent to process your Personal Data. If we do, you have the right to withdraw this consent at any time. Please contact us or send us an email at PrivacyQueries@Blackstone.com at any time if you wish to do so.
Retention and deletion of your Personal Data
We keep your Personal Data for as long as it is required by us for our legitimate business purposes, to perform our contractual obligations or, where longer, such longer period as is required or permitted by law or regulatory obligations which apply to us. We will generally:
| | • | | retain Personal Data about you throughout the life cycle of any investment you are involved in; and |
| | • | | retain some Personal Data after your relationship with us ends. |
As a general principle, we do not retain your Personal Data for longer than we need it.
We will usually delete your Personal Data (at the latest) after you cease to be an investor in any fund and there is no longer any legal/regulatory requirement, or business purpose, for retaining your Personal Data.
Your rights
You may, subject to certain limitations, have data protection rights depending on the data protection laws that apply to our processing of your Personal Data, including the right to:
| | • | | access your Personal Data, and some related information, including the purpose for processing the Personal Data, the categories of recipients of that Personal Data to the extent that it has been transferred internationally, and, where the Personal Data has not been collected directly from you, the source (the category information) |
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| | • | | restrict the use of your Personal Data in certain circumstances |
| | • | | have incomplete or inaccurate Personal Data corrected |
| | • | | ask us to stop processing your Personal Data |
| | • | | require us to delete your Personal Data in some limited circumstances |
You also have the right in some circumstances to request us to “port” your Personal Data in a portable, re-usable format to other organisations (where this is possible).
California residents may also request certain information about our disclosure of Personal Data during the prior year, including category information (as defined above).
We review and verify requests to protect your Personal Data, and will action data protection requests fairly and in accordance with applicable data protection laws and principles.
If you wish to exercise any of these rights, please contact us (details below).
From 25 May 2018, you also have the right in some circumstances to request for us to “port” your Personal Data in a portable, re-usable format to other organisations (where this is possible).
Concerns or queries
We take your concerns very seriously. We encourage you to bring it to our attention if you have any concerns about our processing of your Personal Data. This Data Privacy Notice was drafted with simplicity and clarity in mind. We are, of course, happy to provide any further information or explanation needed. Our contact details are below.
Please also contact us via any of the below contact methods if you have a disability and require an alternative format of this Data Privacy Notice.
If you want to make a complaint, you can also contact the body regulating data protection in your country, where you live or work, or the location where the data protection issue arose. In particular:
| | |
| Country | | Supervisory Authority |
| Cayman Islands | | Cayman Islands Ombudsman (available at: https://ombudsman.ky) |
| European Union | | A list of the EU data protection authorities and contact details is available by clicking this link: http://ec.europa.eu/newsroom/article29/item-detail.cfm?item_id=612080 |
| United Kingdom | | Information Commissioner’s Office (available at: https://ico.org.uk/global/contact-us/) |
Contact us
Please contact us if you have any questions about this Data Privacy Notice or the Personal Data we hold about you.
Contact us by email or access our web form at PrivacyQueries@Blackstone.com.
Contact us in writing using this address:
| | |
| Address | | For EU/UK related queries: 40 Berkeley Square, London, W1J 5AL, United Kingdom All other queries: The Blackstone Group Inc. Attn: Legal & Compliance 345 Park Avenue, New York, NY 10154 |
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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
State Street Bank and Trust Company
One Lincoln Street
Boston, MA 02111
Custodians
State Street Bank and Trust Company
One Lincoln Street
Boston, MA 02111
U.S. Bank N.A.
U.S. Bank Tower
425 Walnut Street
Cincinnati, OH 45202
Transfer Agent
State Street Bank and Trust Company
One Lincoln Street
Boston, MA 02111
Officers
Brian F. Gavin, President and Principal Executive Officer
Hannah Ellis, Treasurer and Principal Financial and Accounting Officer
James Hannigan, Chief Compliance Officer and Chief Legal Officer
Charmagne Kukulka, Secretary
Sherilene Sibadan, Anti-Money Laundering Officer
Independent Registered Public Accounting Firm
Deloitte & Touche LLP
30 Rockefeller Plaza
New York, New York 10112
Legal Counsel
Ropes & Gray LLP
Prudential Tower
800 Boylston Street
Boston, Massachusetts 02199-3600
This report, including the financial information herein, is transmitted to the shareholders of Blackstone Alternative Multi-Strategy Fund for their information. It is not a prospectus or representation intended for use in the purchase of shares of the Fund or any securities mentioned in this report.
You can find the Fund’s prospectus and other information about the Fund, including the Fund’s statement of additional information, on the Fund’s website at www.bxmix.com. You can also get this information at no cost by calling the Fund at 1-855-890-7725.
(a) The Registrant, as of the end of the period covered by the report, has adopted a code of ethics that applies to the Registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions.
(b) No disclosures are required by this Item 2(b).
(c) The Registrant has not made any amendments to its code of ethics during the reporting period for this Form N-CSR.
(d) There have been no waivers granted by the Registrant to individuals covered by the Registrant’s code of ethics during the reporting period for this form N-CSR.
(e) Not applicable.
(f) A copy of the Registrant’s code of ethics is attached as Exhibit 13(a)(1) to this Form N-CSR.
| Item 3. | Audit Committee Financial Expert. |
(a) (1) The Registrant’s Board of Trustees has determined that the Registrant has at least one audit committee financial expert serving on its Audit Committee (the “Committee”).
(2) The audit committee financial expert is Kristen M. Leopold, who is “independent” for purposes of this Item 3 of Form N-CSR.
(3) Not applicable.
| Item 4. | Principal Accountant Fees and Services. |
| | | | | | | | | | | | |
| | | | | Current Fiscal Year(1) | | Previous Fiscal Year |
(a) | | Audit Fees | | | $ | 230,000 | | | | $ | 230,000 | |
(b) | | Audit-Related Fees | | | $ | 0 | | | | $ | 0 | |
(c) | | Tax Fees(2) | | | $ | 39,000 | | | | $ | 39,000 | |
(d) | | All Other Fees | | | $ | 0 | | | | $ | 0 | |
| (1) | No fees were required to be approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-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’s pre-approval policies and procedures described in paragraph (c)(7) of Rule 2-01 of Regulation S-X.
The charter for the Committee requires that the Committee pre-approve (i) all audit and non-audit services that the Registrant’s independent auditors provide to the Registrant, and (ii) all non-audit services that the Registrant’s independent auditors provide to Blackstone Alternative Investment Advisors LLC (“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 Rule 2-01 of Regulation S-X.
| | | | |
| | | Current Fiscal Year | | Previous Fiscal Year |
| (b) | | 0% | | 0% |
| (c) | | 0% | | 0% |
| (d) | | 0% | | 0% |
(f) Not applicable.
(g) Disclose the aggregate non-audit fees billed by the Registrant’s accountant for services rendered to the Registrant, and rendered to the Registrant’s investment adviser, and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the Registrant for each of the last two fiscal years of the Registrant.
| | |
Current Fiscal Year | | Previous Fiscal Year |
| $0 | | $0 |
(h) Not applicable.
| Item 5. | Audit Committee of Listed Registrants. |
Not applicable.
(a) The Registrant’s Consolidated Schedule of Investments as of the close of the reporting period is included in the Report to Shareholders filed under Item 1 of this form.
(b) Not applicable.
| Item 7. | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies. |
Not applicable.
| Item 8. | Portfolio Managers of Closed-End Management Investment Companies. |
Not applicable.
| Item 9. | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers. |
Not applicable.
| Item 10. | Submission of Matters to a Vote of Security Holders. |
There have been no material changes to the procedures by which the shareholders may recommend nominees to the Registrant’s Board of Trustees.
| Item 11. | Controls and Procedures. |
(a) The Registrant’s principal executive officer and principal financial officers, or persons performing similar functions, have concluded that the Registrant’s disclosure controls and procedures as defined in Rule 30a-3(c) under the 1940 Act, are effective as of the date within 90 days of the filing date of this report based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended.
(b) There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the period covered by this report that have materially affected or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting.
| Item 12. | Disclosure of Securities Lending Activities for Closed-End Management Investment Companies. |
(a) Not applicable.
(b) Not applicable.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
| | |
| (Registrant) | | Blackstone Alternative Investment Funds |
| | | | |
| By (Signature and Title) | | /s/ Brian F. Gavin | | |
| | Brian F. Gavin, President (Principal Executive Officer) | | |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.
| | | | |
| By (Signature and Title) | | /s/ Brian F. Gavin | | |
| | Brian F. Gavin, President (Principal Executive Officer) | | |
| | | | |
| By (Signature and Title) | | /s/ Hannah Ellis | | |
| | Hannah Ellis, Treasurer (Principal Financial and Accounting Officer) | | |
