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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-22743
Blackstone Alternative Investment Funds
(Exact Name of Registrant as Specified in Charter)
345 Park Avenue
28th Floor
New York, NY 10154
(Address of Principal Executive Offices)
Registrant’s telephone number, including area code: (212) 583-5000
Peter Koffler, Esq.
c/o Blackstone Alternative Investment Advisors LLC
345 Park Avenue
28th Floor
New York, NY 10154
(Name and Address of Agent for Service)
With a copy to:
James E. Thomas, Esq.
Ropes & Gray LLP
Prudential Tower
800 Boylston Street
Boston, MA 02199-3600
Date of fiscal year end: March 31
Date of reporting period: September 30, 2022
Table of Contents
Item 1. Reports to Stockholders.
(a) | The following is a copy of the report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940, as amended (the “1940 Act”): |
(b) | Not applicable. |
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Blackstone
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Blackstone Alternative Multi-Strategy Fund
a series of Blackstone Alternative Investment Funds
Semi-Annual Report (Unaudited) For the Six Months Ended September 30, 2022
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Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Portfolio Information
September 30, 2022 (Unaudited)
Geographic Breakdown | Percentage of Total Net Assets | ||||
North America | 65.4 | % | |||
Europe | 1.7 | ||||
South America | 1.2 | ||||
Asia | 0.9 | ||||
Middle East | 0.2 | ||||
Africa | 0.1 | ||||
Oceania | 0.0 | 1 | |||
Other 2, 3 | 17.5 | ||||
Securities Sold Short | (39.5 | ) | |||
Other Assets and Liabilities 4 | 52.5 | ||||
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| ||||
Total | 100.0 | % | |||
|
|
1 | Represents less than 0.1%. |
2 | Includes Sovereign Debt, Exchange-Traded Funds, Warrants, Rights, Commodities, Repurchase Agreements and Purchased Options. |
3 | See the below table for a geographic breakdown of Sovereign Debt. |
4 | Assets, other than investments in securities, net of other liabilities. See Consolidated Statement of Assets and Liabilities. A significant portion of the balance represents cash collateral for derivatives. |
Sovereign Debt Geographic Breakdown | Percentage of Total Net Assets | ||||
Middle East | 0.8 | % | |||
South America | 0.4 | ||||
Asia | 0.4 | ||||
North America | 0.2 | ||||
Europe | 0.1 | ||||
Africa | 0.0 | 1 | |||
|
| ||||
Total | 1.9 | % | |||
|
|
1 | Represents less than 0.1%. |
Portfolio Composition | Percentage of Total Net Assets | ||||
Mortgage-Backed Securities | 27.4 | % | |||
Common Stock | 19.2 | ||||
Investments in Investee Funds | 9.8 | ||||
Corporate Bonds & Notes | 5.2 | ||||
Asset-Backed Securities | 3.7 | ||||
Repurchase Agreement | 3.6 | ||||
Bank Debt | 3.2 | ||||
Sovereign Debt | 1.9 | ||||
U.S. Treasury Notes | 0.6 | ||||
Exchange-Traded Funds | 0.3 | ||||
Preferred Stock | 0.2 |
See Notes to Consolidated Financial Statements.
1
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Portfolio Information (Continued)
September 30, 2022 (Unaudited)
Portfolio Composition | Percentage of Total Net Assets | ||||
Convertible Bonds | 0.1 | % | |||
U.S. Government Sponsored Agency Securities | 0.1 | ||||
Municipals | 0.0 | 2 | |||
Warrants | 0.0 | 2 | |||
Rights | 0.0 | 2 | |||
Other1 | 11.7 | ||||
Securities Sold Short | (39.5 | ) | |||
Other Assets and Liabilities3 | 52.5 | ||||
|
| ||||
Total | 100.0 | % | |||
|
|
1 | Includes Commodities and Purchased Options. |
2 | Represents less than 0.1%. |
3 | Assets, other than investments in securities, net of other liabilities. See Consolidated Statement of Assets and Liabilities. A significant portion of the balance represents cash collateral for derivatives. |
Credit Quality Allocation1 | Percentage of Total Net Assets | ||||
AAA/Aaa2 | 2.6 | % | |||
AA/Aa | 0.1 | ||||
A | 0.3 | ||||
BBB/Baa | 1.3 | ||||
BB/Ba | 2.1 | ||||
B | 3.8 | ||||
CCC/Caa | 3.0 | ||||
CC/Ca | 0.2 | ||||
C | 0.2 | ||||
D | 0.1 | ||||
Not Rated3 | 28.5 | ||||
Other4 | 57.8 | ||||
|
| ||||
Total Net Assets | 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 which are deemed AAA/Aaa by the Investment Adviser. |
3 | Includes all Not Rated Fixed Income Securities held long, including Agency-Guaranteed that are guaranteed by the Federal National Mortgage Association or the Government National Mortgage Association, which represents 22.3% of Total Net Assets. |
4 | Includes all Non-Fixed Income securities and Fixed Income securities held short. |
See Notes to Consolidated Financial Statements.
2
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Portfolio Information (Continued)
September 30, 2022 (Unaudited)
Industry | Percentage of Total Net Assets | ||||
Financial Services | 9.4 | % | |||
Software & Technology Services | 2.6 | ||||
Health Care | 2.0 | ||||
Media | 1.1 | ||||
Tech Hardware & Semiconductors | 0.9 | ||||
Oil & Gas | 0.7 | ||||
Health Care Facilities & Services | 0.7 | ||||
Industrial Services | 0.6 | ||||
Industrial Other | 0.6 | ||||
Industrial Products | 0.5 | ||||
Travel & Lodging | 0.5 | ||||
Airlines | 0.5 | ||||
Machinery Manufacturing | 0.4 | ||||
Consumer Discretionary Services | 0.4 | ||||
Pipeline | 0.4 | ||||
Consumer Discretionary Products | 0.4 | ||||
Banking | 0.4 | ||||
Materials | 0.4 | ||||
Food & Beverage | 0.4 | ||||
Retail - Consumer Discretionary | 0.3 | ||||
Entertainment Resources | 0.3 | ||||
Consumer Services | 0.3 | ||||
Restaurants | 0.3 | ||||
Chemicals | 0.3 | ||||
Retail & Wholesale - Discretionary | 0.3 | ||||
Consumer Staple Products | 0.3 | ||||
Refining & Marketing | 0.2 | ||||
Pharmaceuticals | 0.2 | ||||
Consumer Finance | 0.2 | ||||
Containers & Packaging | 0.2 | ||||
Consumer Products | 0.2 | ||||
Publishing & Broadcasting | 0.2 | ||||
Real Estate | 0.2 | ||||
Renewable Energy | 0.2 | ||||
Integrated Oils | 0.1 | ||||
Exploration & Production | 0.1 | ||||
Automobiles Manufacturing | 0.1 | ||||
Transportation & Logistics | 0.1 | ||||
Utilities | 0.1 | ||||
Internet Media | 0.1 | ||||
Metals & Mining | 0.1 | ||||
Software & Services | 0.1 | ||||
Banks | 0.1 | ||||
Home Improvement | 0.1 | ||||
Property & Casualty Insurance | 0.1 | ||||
Insurance | 0.1 |
See Notes to Consolidated Financial Statements.
3
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Portfolio Information (Continued)
September 30, 2022 (Unaudited)
Industry | Percentage of Total Net Assets | ||||
Leisure Products | 0.1 | % | |||
Commercial Finance | 0.1 | ||||
Apparel & Textile Products | 0.0 | 1 | |||
Telecommunications | 0.0 | 1 | |||
Retail & Wholesale - Staples | 0.0 | 1 | |||
Biotechnology & Pharmaceuticals | 0.0 | 1 | |||
Private Equity | 0.0 | 1 | |||
Retail - Discretionary | 0.0 | 1 | |||
Waste & Environmental Services & Equipment | 0.0 | 1 | |||
Other2 | 59.0 | ||||
Securities Sold Short | (39.5 | ) | |||
Other Assets and Liabilities3 | 52.5 | ||||
|
| ||||
Total Investments | 100.0 | % | |||
|
|
1 | Represents less than 0.1%. |
2 | Includes Asset-Backed Securities, Sovereign Debt, Mortgage-Backed Securities, U.S. Government Sponsored Agency Securities, Exchange-Traded Funds, Warrants, Rights, Investments in Investee Funds, Commodities, Repurchase Agreements and Purchased Options. |
3 | Assets, other than investments in securities, net of other liabilities. See Consolidated Statement of Assets and Liabilities. A significant portion of the balance represents cash collateral for derivatives. |
See Notes to Consolidated Financial Statements.
4
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments ^
September 30, 2022 (Unaudited)
Security Description | Shares | Value | ||||||||||
INVESTMENTS IN SECURITIES — 87.0% | ||||||||||||
COMMON STOCK — 19.2% | ||||||||||||
Africa — 0.0% | ||||||||||||
Materials — 0.0% | ||||||||||||
Gold Fields Ltd., ADR | 45,100 | $ | 364,859 | |||||||||
IAMGOLD Corp. (a) | 21,300 | 22,791 | ||||||||||
|
| |||||||||||
387,650 | ||||||||||||
|
| |||||||||||
Total Africa | 387,650 | |||||||||||
|
| |||||||||||
Asia — 0.3% | ||||||||||||
Banking — 0.0% | ||||||||||||
ICICI Bank Ltd., ADR | 1,600 | 33,552 | ||||||||||
|
| |||||||||||
Consumer Discretionary Products — 0.1% | ||||||||||||
Kandi Technologies Group, Inc. | 300 | 633 | ||||||||||
Li Auto, Inc., ADR (a) | 82,200 | 1,891,422 | ||||||||||
Niu Technologies, ADR (a) | 7,200 | 29,520 | ||||||||||
XPeng, Inc., ADR | 19,400 | 231,830 | ||||||||||
|
| |||||||||||
2,153,405 | ||||||||||||
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| |||||||||||
Consumer Discretionary Services — 0.0% | ||||||||||||
Melco Resorts & Entertainment Ltd., ADR | 1,000 | 6,630 | ||||||||||
New Oriental Education & Technology Group, Inc., ADR (a) | 25,910 | 621,063 | ||||||||||
TAL Education Group, ADR (a) | 28,400 | 140,296 | ||||||||||
|
| |||||||||||
767,989 | ||||||||||||
|
| |||||||||||
Financial Services — 0.1% | ||||||||||||
Bridgetown Holdings Ltd., Class A (a) | 9,406 | 94,342 | ||||||||||
Catcha Investment Corp., Class A (a) | 12,099 | 119,780 | ||||||||||
Futu Holdings Ltd., ADR (a) | 200 | 7,458 | ||||||||||
L Catterton Asia Acquisition Corp., Class A (a),(b),(c) | 310,002 | 3,078,320 | ||||||||||
Noah Holdings Ltd., ADR (a) | 1,700 | 22,457 | ||||||||||
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| |||||||||||
3,322,357 | ||||||||||||
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| |||||||||||
Health Care — 0.0% | ||||||||||||
I-Mab, ADR (a) | 5,400 | 21,654 | ||||||||||
Sinovac Biotech Ltd. (a),(d) | 200 | 1,294 | ||||||||||
|
| |||||||||||
22,948 | ||||||||||||
|
| |||||||||||
Industrial Products — 0.0% | ||||||||||||
China Yuchai International Ltd. | 245 | 1,786 | ||||||||||
Hollysys Automation Technologies Ltd. | 3,400 | 58,140 | ||||||||||
|
| |||||||||||
59,926 | ||||||||||||
|
|
See Notes to Consolidated Financial Statements.
5
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Security Description | Shares | Value | ||||||||||
Industrial Services — 0.0% | ||||||||||||
Euro Tech Holdings Co. Ltd. | 150 | $ | 184 | |||||||||
Grindrod Shipping Holdings Ltd. | 2,200 | 52,646 | ||||||||||
Textainer Group Holdings Ltd. | 1,100 | 29,546 | ||||||||||
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82,376 | ||||||||||||
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| |||||||||||
Media — 0.0% | ||||||||||||
Autohome, Inc., ADR | 8,900 | 255,964 | ||||||||||
GigaMedia Ltd. | 100 | 125 | ||||||||||
Hello Group, Inc., ADR | 800 | 3,696 | ||||||||||
HUYA, Inc., ADR (a) | 1,900 | 4,218 | ||||||||||
Tencent Music Entertainment Group, ADR (a) | 116,600 | 473,396 | ||||||||||
Weibo Corp., ADR (a) | 1,400 | 23,940 | ||||||||||
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| |||||||||||
761,339 | ||||||||||||
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| |||||||||||
Real Estate — 0.0% | ||||||||||||
Nam Tai Property, Inc. (a) | 3,700 | 15,596 | ||||||||||
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| |||||||||||
Retail & Wholesale—Discretionary — 0.0% | ||||||||||||
MINISO Group Holding Ltd., ADR (a) | 100 | 549 | ||||||||||
Pinduoduo, Inc., ADR (a) | 23,100 | 1,445,598 | ||||||||||
|
| |||||||||||
1,446,147 | ||||||||||||
|
| |||||||||||
Software & Technology Services — 0.0% | ||||||||||||
Agora, Inc., ADR (a) | 11,000 | 39,930 | ||||||||||
WNS Holdings Ltd., ADR (a) | 500 | 40,920 | ||||||||||
|
| |||||||||||
80,850 | ||||||||||||
|
| |||||||||||
Tech Hardware & Semiconductors — 0.1% | ||||||||||||
ChipMOS Technologies, Inc., ADR | 600 | 11,118 | ||||||||||
Fabrinet (a) | 100 | 9,545 | ||||||||||
MagnaChip Semiconductor Corp. (a) | 4,600 | 47,104 | ||||||||||
NXP Semiconductors NV | 4,400 | 649,044 | ||||||||||
Taiwan Semiconductor Manufacturing Co. Ltd., ADR | 55,900 | 3,832,504 | ||||||||||
United Microelectronics Corp., ADR | 27,300 | 152,061 | ||||||||||
Zepp Health Corp., ADR | 400 | 548 | ||||||||||
|
| |||||||||||
4,701,924 | ||||||||||||
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| |||||||||||
Total Asia | 13,448,409 | |||||||||||
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| |||||||||||
Europe — 0.4% | ||||||||||||
Biotechnology & Pharmaceuticals — 0.0% | ||||||||||||
Contra Aduro Biotech I (a),(d) | 1,040 | 0 | ||||||||||
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| |||||||||||
Consumer Staple Products — 0.0% | ||||||||||||
Coca-Cola Europacific Partners plc | 8,200 | 349,484 | ||||||||||
Nomad Foods Ltd. | 300 | 4,260 | ||||||||||
|
| |||||||||||
353,744 | ||||||||||||
|
|
See Notes to Consolidated Financial Statements.
6
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Security Description | Shares | Value | ||||||||
Financial Services — 0.1% | ||||||||||
IX Acquisition Corp., Class A (a) | 20,004 | $ | 198,840 | |||||||
ScION Tech Growth I, Class A (a),(b) | 146,939 | 1,465,716 | ||||||||
ScION Tech Growth II, Class A (a),(b),(c) | 300,000 | 2,982,000 | ||||||||
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| |||||||||
4,646,556 | ||||||||||
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| |||||||||
Health Care — 0.1% | ||||||||||
Affimed NV (a) | 500 | 1,030 | ||||||||
Amarin Corp. plc, ADR (a) | 17,000 | 18,530 | ||||||||
Artelo Biosciences, Inc. | 594 | 2,049 | ||||||||
AstraZeneca PLC, ADR | 1,300 | 71,292 | ||||||||
ATAI Life Sciences NV (a) | 5,000 | 16,550 | ||||||||
Bicycle Therapeutics plc, ADR (a) | 5,200 | 120,952 | ||||||||
Compass Pathways plc, ADR (a) | 2,400 | 25,752 | ||||||||
Fresenius Medical Care AG & Co. KGaA, ADR | 4,300 | 60,372 | ||||||||
Galecto, Inc. (a) | 1,600 | 3,024 | ||||||||
Genfit, ADR (a) | 200 | 730 | ||||||||
Koninklijke Philips NV | 4,762 | 73,287 | ||||||||
Merus NV (a) | 1,700 | 34,051 | ||||||||
Novartis AG, ADR | 23,100 | 1,755,831 | ||||||||
ProQR Therapeutics NV (a) | 3,500 | 2,604 | ||||||||
Prothena Corp. plc (a) | 4,500 | 272,835 | ||||||||
Verona Pharma plc, ADR | 3,200 | 32,704 | ||||||||
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2,491,593 | ||||||||||
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Industrial Products — 0.0% | ||||||||||
Arrival SA (a) | 34,400 | 27,768 | ||||||||
Luxfer Holdings plc | 1,500 | 21,750 | ||||||||
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49,518 | ||||||||||
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Industrial Services — 0.1% | ||||||||||
Ardmore Shipping Corp. (a) | 7,400 | 67,562 | ||||||||
Diana Shipping, Inc. | 2,353 | 8,494 | ||||||||
EuroDry Ltd. (a) | 500 | 6,500 | ||||||||
Frontline Ltd. | 62,300 | 680,939 | ||||||||
GasLog Partners LP | 9,100 | 46,956 | ||||||||
Golden Ocean Group Ltd. | 10,120 | 75,597 | ||||||||
Safe Bulkers, Inc. | 1,800 | 4,446 | ||||||||
Scorpio Tankers, Inc. | 16,300 | 685,252 | ||||||||
SFL Corp. Ltd. | 16,500 | 150,315 | ||||||||
Star Bulk Carriers Corp. | 1,600 | 27,968 | ||||||||
StealthGas, Inc. (a) | 1,000 | 2,560 | ||||||||
TORM plc, A Shares | 3,100 | 62,899 | ||||||||
Tsakos Energy Navigation Ltd. | 6,100 | 93,147 | ||||||||
|
| |||||||||
1,912,635 | ||||||||||
|
|
See Notes to Consolidated Financial Statements.
7
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Security Description | Shares | Value | ||||||||||
Materials — 0.0% | ||||||||||||
Amcor plc | 1,900 | $ | 20,387 | |||||||||
ArcelorMittal | 28,700 | 571,417 | ||||||||||
Mercer International, Inc. | 3,800 | 46,740 | ||||||||||
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638,544 | ||||||||||||
|
| |||||||||||
Oil & Gas — 0.1% | ||||||||||||
BP plc (c) | 67,548 | 322,770 | ||||||||||
BP plc, ADR | 19,300 | 551,015 | ||||||||||
Eni SpA (c) | 69,634 | 740,119 | ||||||||||
Equinor ASA (c) | 24,282 | 800,789 | ||||||||||
Shell plc (c) | 95,196 | 2,374,485 | ||||||||||
TechnipFMC plc (a) | 126,600 | 1,071,036 | ||||||||||
TotalEnergies SE (c) | 15,288 | 717,230 | ||||||||||
|
| |||||||||||
6,577,444 | ||||||||||||
|
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Software & Technology Services — 0.0% | ||||||||||||
Endava plc, ADR (a) | 900 | 72,567 | ||||||||||
Materialise NV, ADR (a) | 2,100 | 22,491 | ||||||||||
SAP SE, ADR | 1,200 | 97,500 | ||||||||||
|
| |||||||||||
192,558 | ||||||||||||
|
| |||||||||||
Tech Hardware & Semiconductors — 0.0% | ||||||||||||
Telefonaktiebolaget LM Ericsson, ADR | 200 | 1,148 | ||||||||||
|
| |||||||||||
Total Europe | 16,863,740 | |||||||||||
|
| |||||||||||
Middle East — 0.1% | ||||||||||||
Consumer Discretionary Products — 0.0% | ||||||||||||
Innoviz Technologies Ltd. (a) | 3,700 | 19,277 | ||||||||||
|
| |||||||||||
Consumer Discretionary Services — 0.0% | ||||||||||||
NEOGAMES SA (a) | 1,400 | 18,060 | ||||||||||
|
| |||||||||||
Financial Services — 0.0% | ||||||||||||
ION Acquisition Corp., 3 Ltd., Class A (a),(b),(c) | 209,600 | 2,068,752 | ||||||||||
|
| |||||||||||
Health Care — 0.0% | ||||||||||||
Compugen Ltd. (a) | 24,200 | 15,899 | ||||||||||
Oramed Pharmaceuticals, Inc. (a) | 6,200 | 40,176 | ||||||||||
Teva Pharmaceutical Industries Ltd., ADR (a) | 12,100 | 97,647 | ||||||||||
Vascular Biogenics Ltd. | 2,400 | 373 | ||||||||||
|
| |||||||||||
154,095 | ||||||||||||
|
| |||||||||||
Industrial Products — 0.0% | ||||||||||||
Camtek Ltd. (a) | 100 | 2,317 | ||||||||||
Kornit Digital Ltd. (a) | 13,600 | 361,896 | ||||||||||
|
| |||||||||||
364,213 | ||||||||||||
|
|
See Notes to Consolidated Financial Statements.
8
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Security Description | Shares | Value | ||||||||||
Materials — 0.0% | ||||||||||||
Eldorado Gold Corp. (a) | 17,700 | $ | 106,731 | |||||||||
ICL Group Ltd. | 2,600 | 21,268 | ||||||||||
|
| |||||||||||
127,999 | ||||||||||||
|
| |||||||||||
Software & Technology Services — 0.1% | ||||||||||||
Check Point Software Technologies Ltd. (a) | 11,800 | 1,321,836 | ||||||||||
JFrog Ltd. (a) | 10,200 | 225,522 | ||||||||||
Radware Ltd. (a) | 3,600 | 78,444 | ||||||||||
Sapiens International Corp. NV | 100 | 1,918 | ||||||||||
Wix.com Ltd. (a) | 6,900 | 539,787 | ||||||||||
|
| |||||||||||
2,167,507 | ||||||||||||
|
| |||||||||||
Tech Hardware & Semiconductors — 0.0% | ||||||||||||
Silicom Ltd. (a) | 100 | 3,534 | ||||||||||
|
| |||||||||||
Telecommunications — 0.0% | ||||||||||||
Allot Ltd. (a) | 1,300 | 5,096 | ||||||||||
|
| |||||||||||
Total Middle East | 4,928,533 | |||||||||||
|
| |||||||||||
North America — 18.3% | ||||||||||||
Apparel & Textile Products — 0.0% | ||||||||||||
Brilliant Earth Group, Inc., Class A (a) | 200 | 1,146 | ||||||||||
|
| |||||||||||
Banking — 0.4% | ||||||||||||
1st Source Corp. | 300 | 13,890 | ||||||||||
ACNB Corp. | 200 | 6,008 | ||||||||||
Alerus Financial Corp. | 400 | 8,840 | ||||||||||
Allegiance Bancshares, Inc. | 500 | 20,815 | ||||||||||
Ames National Corp. | 200 | 4,436 | ||||||||||
Arrow Financial Corp. | 101 | 2,911 | ||||||||||
Bank of Marin Bancorp | 400 | 11,980 | ||||||||||
Bank of NT Butterfield & Son Ltd. | 300 | 9,738 | ||||||||||
BankFinancial Corp. | 355 | 3,358 | ||||||||||
Bankwell Financial Group, Inc. | 300 | 8,733 | ||||||||||
Bar Harbor Bankshares | 200 | 5,304 | ||||||||||
BayCom Corp. | 700 | 12,306 | ||||||||||
Blue Ridge Bankshares, Inc. | 400 | 5,084 | ||||||||||
Bridgewater Bancshares, Inc. (a) | 400 | 6,588 | ||||||||||
Brookline Bancorp, Inc. | 3,700 | 43,105 | ||||||||||
Business First Bancshares, Inc. | 400 | 8,612 | ||||||||||
Byline Bancorp, Inc. | 1,200 | 24,300 | ||||||||||
Camden National Corp. | 300 | 12,780 | ||||||||||
Capital Bancorp, Inc. | 300 | 6,930 | ||||||||||
Capital City Bank Group, Inc. | 200 | 6,222 | ||||||||||
Capitol Federal Financial, Inc. | 600 | 4,980 | ||||||||||
Capstar Financial Holdings, Inc. | 400 | 7,412 |
See Notes to Consolidated Financial Statements.
9
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Security Description | Shares | Value | ||||||||
Carter Bankshares, Inc. (a) | 900 | $ | 14,490 | |||||||
CBTX, Inc. | 1,700 | 49,725 | ||||||||
Central Pacific Financial Corp. | 1,100 | 22,759 | ||||||||
Central Valley Community Bancorp | 400 | 7,084 | ||||||||
Citigroup, Inc. | 11,500 | 479,205 | ||||||||
Civista Bancshares, Inc. | 400 | 8,304 | ||||||||
CNB Financial Corp. | 400 | 9,428 | ||||||||
Coastal Financial Corp. (a) | 738 | 29,328 | ||||||||
Codorus Valley Bancorp, Inc. | 100 | 1,884 | ||||||||
Colony Bankcorp, Inc. | 600 | 7,818 | ||||||||
Columbia Banking System, Inc. | 6,600 | 190,674 | ||||||||
Community Trust Bancorp, Inc. | 400 | 16,220 | ||||||||
ConnectOne Bancorp, Inc. | 1,400 | 32,284 | ||||||||
CrossFirst Bankshares, Inc. (a) | 1,300 | 16,965 | ||||||||
Customers Bancorp, Inc. (a) | 1,400 | 41,272 | ||||||||
Eagle Bancorp, Inc. | 1,800 | 80,676 | ||||||||
ECB Bancorp, Inc. | 200 | 2,878 | ||||||||
Equity Bancshares, Inc., Class A | 400 | 11,852 | ||||||||
Esquire Financial Holdings, Inc. | 300 | 11,265 | ||||||||
Farmers National Banc Corp. | 1,100 | 14,399 | ||||||||
Financial Institutions, Inc. | 500 | 12,035 | ||||||||
First Bancorp | 1,100 | 40,238 | ||||||||
First Bancshares, Inc. (The) | 700 | 20,909 | ||||||||
First Busey Corp. | 1,900 | 41,762 | ||||||||
First Business Financial Services, Inc. | 200 | 6,462 | ||||||||
First Commonwealth Financial Corp. | 1,500 | 19,260 | ||||||||
First Community Bankshares, Inc. | 200 | 6,406 | ||||||||
First Community Corp. | 100 | 1,750 | ||||||||
First Financial Bankshares, Inc. | 1,600 | 66,928 | ||||||||
First Financial Corp. | 500 | 22,595 | ||||||||
First Foundation, Inc. | 2,100 | 38,094 | ||||||||
First Internet Bancorp | 200 | 6,772 | ||||||||
First Merchants Corp. | 1 | 39 | ||||||||
First of Long Island Corp. (The) | 700 | 12,068 | ||||||||
Five Star Bancorp | 200 | 5,672 | ||||||||
FS Bancorp, Inc. | 200 | 5,452 | ||||||||
FVCBankcorp, Inc. (a) | 400 | 7,668 | ||||||||
German American Bancorp, Inc. | 300 | 10,713 | ||||||||
Great Southern Bancorp, Inc. | 300 | 17,121 | ||||||||
Guaranty Bancshares, Inc. | 100 | 3,459 | ||||||||
HBT Financial, Inc. | 100 | 1,815 | ||||||||
Heritage Commerce Corp. | 2,100 | 23,814 | ||||||||
Heritage Financial Corp. | 2,200 | 58,234 | ||||||||
Hilltop Holdings, Inc. | 2,400 | 59,640 | ||||||||
Home Bancorp, Inc. | 100 | 3,899 | ||||||||
HomeTrust Bancshares, Inc. | 1,000 | 22,100 | ||||||||
Hope Bancorp, Inc. | 100 | 1,264 |
See Notes to Consolidated Financial Statements.
10
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Security Description | Shares | Value | ||||||||
Horizon Bancorp, Inc. | 1,600 | $ | 28,736 | |||||||
Independent Bank Corp. | 800 | 15,280 | ||||||||
Investar Holding Corp. | 200 | 3,980 | ||||||||
JPMorgan Chase & Co. (b) | 74,300 | 7,764,350 | ||||||||
Kearny Financial Corp. | 2,200 | 23,364 | ||||||||
Lakeland Bancorp, Inc. | 1,935 | 30,979 | ||||||||
Lakeland Financial Corp. | 100 | 7,281 | ||||||||
LCNB Corp. | 200 | 3,172 | ||||||||
Live Oak Bancshares, Inc. | 4,000 | 122,400 | ||||||||
Luther Burbank Corp. | 400 | 4,648 | ||||||||
Macatawa Bank Corp. | 700 | 6,482 | ||||||||
Mercantile Bank Corp. | 400 | 11,884 | ||||||||
Merchants Bancorp | 650 | 14,996 | ||||||||
Meridian Corp. | 100 | 2,917 | ||||||||
Metrocity Bankshares, Inc. | 300 | 5,892 | ||||||||
Metropolitan Bank Holding Corp. (a) | 900 | 57,924 | ||||||||
Midland States Bancorp, Inc. | 800 | 18,856 | ||||||||
MidWestOne Financial Group, Inc. | 200 | 5,458 | ||||||||
National Bank Holdings Corp., Class A | 200 | 7,398 | ||||||||
NBT Bancorp, Inc. | 800 | 30,360 | ||||||||
Northeast Bank | 100 | 3,667 | ||||||||
Northrim BanCorp, Inc. | 200 | 8,312 | ||||||||
OceanFirst Financial Corp. (b) | 416,459 | 7,762,796 | ||||||||
OFG Bancorp | 1,200 | 30,156 | ||||||||
Old Second Bancorp, Inc. | 2,400 | 31,320 | ||||||||
OP Bancorp | 200 | 2,224 | ||||||||
Origin Bancorp, Inc. | 500 | 19,235 | ||||||||
PacWest Bancorp | 500 | 11,300 | ||||||||
PCB Bancorp | 500 | 9,035 | ||||||||
PCSB Financial Corp. | 900 | 16,137 | ||||||||
Peapack Gladstone Financial Corp. | 600 | 20,190 | ||||||||
Peoples Bancorp, Inc. | 1,100 | 31,823 | ||||||||
Preferred Bank | 100 | 6,523 | ||||||||
Premier Financial Corp. | 148 | 3,804 | ||||||||
Primis Financial Corp. | 700 | 8,491 | ||||||||
Professional Holding Corp., Class A (a) | 1,100 | 28,534 | ||||||||
Provident Bancorp, Inc. | 200 | 2,862 | ||||||||
QCR Holdings, Inc. | 400 | 20,376 | ||||||||
RBB Bancorp | 400 | 8,312 | ||||||||
Renasant Corp. | 2,500 | 78,200 | ||||||||
Republic First Bancorp, Inc. (a) | 6,200 | 17,546 | ||||||||
Richmond Mutual BanCorp, Inc. | 100 | 1,343 | ||||||||
Riverview Bancorp, Inc. | 300 | 1,905 | ||||||||
S&T Bancorp, Inc. | 1,500 | 43,965 | ||||||||
Shore Bancshares, Inc. | 800 | 13,856 | ||||||||
Sierra Bancorp | 400 | 7,900 | ||||||||
Silvergate Capital Corp., Class A (a) | 400 | 30,140 |
See Notes to Consolidated Financial Statements.
11
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Security Description | Shares | Value | ||||||||
SmartFinancial, Inc. | 200 | $ | 4,942 | |||||||
South Plains Financial, Inc. | 500 | 13,780 | ||||||||
Southern First Bancshares, Inc. (a) | 100 | 4,166 | ||||||||
Territorial Bancorp, Inc. | 100 | 1,854 | ||||||||
Texas Capital Bancshares, Inc. (a) | 1,100 | 64,933 | ||||||||
Towne Bank | 200 | 5,366 | ||||||||
Trico Bancshares | 700 | 31,255 | ||||||||
Triumph Bancorp, Inc. (a) | 600 | 32,610 | ||||||||
TrustCo Bank Corp. | 720 | 22,622 | ||||||||
Trustmark Corp. | 2,200 | 67,386 | ||||||||
Univest Financial Corp. | 900 | 21,132 | ||||||||
US Bancorp | 1,300 | 52,416 | ||||||||
Veritex Holdings, Inc. | 500 | 13,295 | ||||||||
Waterstone Financial, Inc. | 100 | 1,616 | ||||||||
West BanCorp, Inc. | 500 | 10,405 | ||||||||
Westamerica BanCorp | 500 | 26,145 | ||||||||
Western New England Bancorp, Inc. | 400 | 3,252 | ||||||||
|
| |||||||||
18,562,495 | ||||||||||
|
| |||||||||
Biotechnology & Pharmaceuticals — 0.0% | ||||||||||
Contra StrongBridge (d) | 5,000 | 0 | ||||||||
|
| |||||||||
Consumer Discretionary Products — 0.3% | ||||||||||
ACCO Brands Corp. | 8,200 | 40,180 | ||||||||
Aeva Technologies, Inc. (a) | 9,400 | 17,578 | ||||||||
Allbirds, Inc., Class A (a) | 1,300 | 3,952 | ||||||||
American Outdoor Brands, Inc. (a) | 2,400 | 21,048 | ||||||||
Beazer Homes USA, Inc. (a) | 2,100 | 20,307 | ||||||||
Caesarstone Ltd. | 800 | 7,448 | ||||||||
Canada Goose Holdings, Inc. (a) | 13,300 | 202,692 | ||||||||
Charles & Colvard Ltd. (a) | 1,300 | 1,259 | ||||||||
Clarus Corp. | 300 | 4,041 | ||||||||
Cooper-Standard Holding, Inc. (a) | 3,600 | 21,024 | ||||||||
Crocs, Inc. (a) | 400 | 27,464 | ||||||||
Culp, Inc. (a) | 400 | 1,744 | ||||||||
Delta Apparel, Inc. (a) | 100 | 1,399 | ||||||||
Escalade, Inc. | 300 | 2,985 | ||||||||
Flexsteel Industries, Inc. | 300 | 4,710 | ||||||||
Forestar Group, Inc. (a) | 1,600 | 17,904 | ||||||||
Fortune Brands Home & Security, Inc. | 9,600 | 515,424 | ||||||||
Fossil Group, Inc. (a) | 3,200 | 10,944 | ||||||||
Griffon Corp. | 1,000 | 29,520 | ||||||||
Hooker Furniture Corp. | 1,500 | 20,235 | ||||||||
JAKKS Pacific, Inc. (a) | 2,200 | 42,526 | ||||||||
JELD-WEN Holding, Inc. (a) | 200 | 1,750 | ||||||||
Kimball International, Inc., Class B | 2,000 | 12,580 | ||||||||
Kontoor Brands, Inc. | 3,500 | 117,635 |
See Notes to Consolidated Financial Statements.
12
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Security Description | Shares | Value | ||||||||
Lakeland Industries, Inc. | 400 | $ | 4,612 | |||||||
Landsea Homes Corp. (a) | 1,600 | 7,632 | ||||||||
Malibu Boats, Inc., Class A (a) | 300 | 14,397 | ||||||||
Masonite International Corp. (a) | 100 | 7,129 | ||||||||
Miller Industries, Inc. | 700 | 14,903 | ||||||||
Motorcar Parts of America, Inc. (a) | 100 | 1,522 | ||||||||
Nautilus, Inc. (a) | 6,000 | 9,780 | ||||||||
NIKE, Inc., Class B | 18,800 | 1,562,656 | ||||||||
PVH Corp. | 4,400 | 197,120 | ||||||||
QuantumScape Corp. (a) | 6,800 | 57,188 | ||||||||
Stellantis NV | 1,200 | 14,208 | ||||||||
Steven Madden Ltd. | 7,600 | 202,692 | ||||||||
Superior Group of Cos., Inc. | 200 | 1,776 | ||||||||
Superior Industries International, Inc. (a) | 1,300 | 3,926 | ||||||||
Tenneco, Inc., Class A (a) | 9,200 | 159,988 | ||||||||
Tesla, Inc. (a),(b) | 40,500 | 10,742,625 | ||||||||
TRI Pointe Homes, Inc. (a) | 6,700 | 101,237 | ||||||||
Under Armour, Inc., Class A (a) | 36,300 | 241,395 | ||||||||
Urban Outfitters, Inc. (a) | 17,300 | 339,945 | ||||||||
Velodyne Lidar, Inc. (a) | 54,800 | 51,901 | ||||||||
Westport Fuel Systems, Inc. (a) | 20,800 | 18,130 | ||||||||
|
| |||||||||
14,901,111 | ||||||||||
|
| |||||||||
Consumer Discretionary Services — 0.1% | ||||||||||
2U, Inc. (a) | 12,300 | 76,875 | ||||||||
Accel Entertainment, Inc. (a) | 1,300 | 10,153 | ||||||||
Allied Esports Entertainment, Inc. (a) | 1,100 | 1,287 | ||||||||
American Public Education, Inc. (a) | 1,200 | 10,968 | ||||||||
AZEK Co., Inc. (a) | 400 | 6,648 | ||||||||
BJ’s Restaurants, Inc. (a) | 3,500 | 83,475 | ||||||||
Bluegreen Vacations Holding Corp. | 800 | 13,216 | ||||||||
Bowlero Corp. | 1,500 | 18,465 | ||||||||
Brinker International, Inc. (a) | 600 | 14,988 | ||||||||
Carriage Services, Inc. | 1,300 | 41,808 | ||||||||
Carrols Restaurant Group, Inc. | 600 | 978 | ||||||||
Century Casinos, Inc. (a) | 1,300 | 8,528 | ||||||||
Chegg, Inc. (a) | 30,700 | 646,849 | ||||||||
Chuy’s Holdings, Inc. (a) | 1,200 | 27,816 | ||||||||
Cinemark Holdings, Inc. (a) | 4,700 | 56,917 | ||||||||
Coursera, Inc. (a) | 5,700 | 61,446 | ||||||||
Dave & Buster’s Entertainment, Inc. (a) | 7,800 | 242,034 | ||||||||
Denny’s Corp. (a) | 5,900 | 55,519 | ||||||||
DineEquity, Inc. | 3,000 | 190,680 | ||||||||
El Pollo Loco Holdings, Inc. (a) | 2,100 | 18,732 | ||||||||
Everi Holdings, Inc. (a) | 10,300 | 167,066 | ||||||||
Fiesta Restaurant Group, Inc. (a) | 700 | 4,438 | ||||||||
Full House Resorts, Inc. (a) | 2,200 | 12,364 |
See Notes to Consolidated Financial Statements.
13
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Security Description | Shares | Value | ||||||||
GAN Ltd. (a) | 7,200 | $ | 15,984 | |||||||
Golden Entertainment, Inc. (a) | 1,200 | 41,868 | ||||||||
International Game Technology PLC | 31,400 | 496,120 | ||||||||
Kura Sushi USA, Inc., Class A | 200 | 14,716 | ||||||||
Lincoln Educational Services Corp. (a) | 1,600 | 8,704 | ||||||||
Lindblad Expeditions Holdings, Inc. (a) | 500 | 3,380 | ||||||||
Marcus Corp. | 200 | 2,778 | ||||||||
McDonald’s Corp. | 1,600 | 369,184 | ||||||||
Monarch Casino & Resort, Inc. (a) | 500 | 28,070 | ||||||||
Noodles & Co. (a) | 3,900 | 18,330 | ||||||||
Norwegian Cruise Line Holdings Ltd. (a) | 6,300 | 71,568 | ||||||||
ONE Group Hospitality, Inc. (The) (a) | 2,500 | 16,600 | ||||||||
Planet Fitness, Inc., Class A (a) | 2,700 | 155,682 | ||||||||
Playa Hotels & Resorts NV (a) | 26,300 | 153,066 | ||||||||
Red Robin Gourmet Burgers, Inc. (a) | 3,500 | 23,555 | ||||||||
Ruth’s Hospitality Group, Inc. | 3,000 | 50,580 | ||||||||
SeaWorld Entertainment, Inc. (a) | 10,400 | 473,304 | ||||||||
Shake Shack, Inc., Class A (a) | 6,800 | 305,864 | ||||||||
Target Hospitality Corp. (a) | 11,700 | 147,654 | ||||||||
Universal Technical Institute, Inc. (a) | 3,200 | 17,408 | ||||||||
Wendy’s Co. | 13,900 | 259,791 | ||||||||
WW International, Inc. (a) | 1,100 | 4,323 | ||||||||
XpresSpa Group, Inc. (a) | 600 | 459 | ||||||||
Yoshiharu Global Co., Class A | 100 | 126 | ||||||||
|
| |||||||||
4,450,364 | ||||||||||
|
| |||||||||
Consumer Staple Products — 0.3% | ||||||||||
Alico, Inc. | 200 | 5,648 | ||||||||
Altria Group, Inc. | 111,100 | 4,486,218 | ||||||||
AquaBounty Technologies, Inc. (a) | 13,500 | 10,541 | ||||||||
Cadiz, Inc. (a) | 700 | 1,330 | ||||||||
Cal-Maine Foods, Inc. | 200 | 11,118 | ||||||||
Campbell Soup Co. | 9,700 | 457,064 | ||||||||
Canopy Growth Corp. (a) | 40,100 | 109,473 | ||||||||
Clearwater Paper Corp. (a) | 400 | 15,040 | ||||||||
Clorox Co. (The) | 8,700 | 1,116,993 | ||||||||
Coca-Cola Co. (The) | 5,200 | 291,304 | ||||||||
Colgate-Palmolive Co. | 7,500 | 526,875 | ||||||||
Conagra Brands, Inc. | 400 | 13,052 | ||||||||
Cronos Group, Inc. (a) | 700 | 1,974 | ||||||||
Duckhorn Portfolio, Inc. (The) (a) | 3,300 | 47,619 | ||||||||
Hain Celestial Group, Inc. (a) | 100 | 1,688 | ||||||||
Helen of Troy Ltd. (a) | 300 | 28,932 | ||||||||
Hershey Co. | 200 | 44,094 | ||||||||
Honest Co., Inc. (The) (a) | 9,300 | 32,550 | ||||||||
J. M. Smucker Co. | 2,900 | 398,489 | ||||||||
Kimberly-Clark Corp. | 15,100 | 1,699,354 |
See Notes to Consolidated Financial Statements.
14
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Security Description | Shares | Value | ||||||||
Kraft Heinz Co. | 41,300 | $ | 1,377,355 | |||||||
Limoneira Co. | 600 | 7,908 | ||||||||
Mondelez International, Inc., Class A | 16,600 | 910,178 | ||||||||
Nature’s Sunshine Products, Inc. (a) | 800 | 6,592 | ||||||||
Oatly Group AB, ADR (a) | 100 | 263 | ||||||||
Olaplex Holdings, Inc. | 5,300 | 50,615 | ||||||||
PepsiCo, Inc. | 2,200 | 359,172 | ||||||||
Philip Morris International, Inc. | 100 | 8,301 | ||||||||
Procter & Gamble Co. | 10,800 | 1,363,500 | ||||||||
Quanex Building Products Corp. | 500 | 9,080 | ||||||||
Real Good Food Co., Inc. (The) (a) | 200 | 1,292 | ||||||||
SunOpta, Inc. (a) | 1,800 | 16,380 | ||||||||
Tejon Ranch Co. (a) | 500 | 7,200 | ||||||||
Vital Farms, Inc. (a) | 100 | 1,197 | ||||||||
|
| |||||||||
13,418,389 | ||||||||||
|
| |||||||||
Financial Services — 9.0% | ||||||||||
7GC & Co. Holdings, Inc., Class A (a),(b),(c) | 272,000 | 2,703,680 | ||||||||
ABG Acquisition Corp. (a),(b),(c) | 300,000 | 2,979,000 | ||||||||
Accelerate Acquisition Corp., Class A (a),(b) | 46,849 | 459,589 | ||||||||
Accretion Acquisition Corp. (a) | 22,421 | 222,865 | ||||||||
ACRES Commercial Realty Corp. (a) | 333 | 2,714 | ||||||||
Acropolis Infrastructure Acquisition Corp. (a),(b),(c) | 500,001 | 4,852,510 | ||||||||
Adara Acquisition Corp., Class A (a) | 29,182 | 290,361 | ||||||||
Adit EdTech Acquisition Corp. (a),(b),(c) | 203,364 | 2,011,270 | ||||||||
Aesther Healthcare Acquisition Corp, Class A (a) | 14,500 | 147,755 | ||||||||
AF Acquisition Corp., Class A (a) | 19,467 | 190,777 | ||||||||
AFC Gamma, Inc. | 500 | 7,650 | ||||||||
Agile Growth Corp., Class A (a) | 1,455 | 14,448 | ||||||||
Air Lease Corp. | 10,300 | 319,403 | ||||||||
Alpha Partners Technology Merger Corp., Class A (a),(b),(c) | 500,001 | 4,910,010 | ||||||||
AltC Acquisition Corp., Class A (a),(b),(c) | 375,000 | 3,660,000 | ||||||||
AltEnergy Acquisition Corp. (a) | 12,170 | 122,187 | ||||||||
Altimar Acquisition Corp. III, Class A (a) | 1,006 | 9,980 | ||||||||
Altimeter Growth Corp. 2, Class A (a) | 16,138 | 159,928 | ||||||||
American Express Co. | 1,400 | 188,874 | ||||||||
Anthemis Digital Acquisitions I Corp. (a),(b),(c) | 472,500 | 4,772,250 | ||||||||
Anzu Special Acquisition Corp., Class A (a),(b) | 46,634 | 458,412 | ||||||||
Apeiron Capital Investment Corp., Class A (a) | 507 | 5,080 | ||||||||
Apollo Strategic Growth Capital, Class A (a),(b),(c) | 450,000 | 4,441,500 | ||||||||
Arbor Rapha Capital Bioholdings Corp. I (a) | 57,714 | 585,220 | ||||||||
Arctos NorthStar Acquisition Corp., Class A (a),(b) | 39,804 | 394,458 | ||||||||
Arena Fortify Acquisition Corp., Class A (a),(b) | 87,300 | 877,365 | ||||||||
Ares Acquisition Corp., Class A (a),(b) | 47,736 | 474,018 | ||||||||
Ares Capital Corp. | 45,200 | 762,976 | ||||||||
Argus Capital Corp., Class A (a),(b),(c) | 452,532 | 4,550,209 |
See Notes to Consolidated Financial Statements.
15
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Security Description | Shares | Value | ||||||||
Arlington Asset Investment Corp., Class A (a) | 1,600 | $ | 4,352 | |||||||
Arrowroot Acquisition Corp. (a),(b) | 35,000 | 343,700 | ||||||||
ARYA Sciences Acquisition Corp., Class A (a),(b),(c) | 147,703 | 1,451,920 | ||||||||
ARYA Sciences Acquisition Corp., Class A (a) | 7,600 | 75,316 | ||||||||
AssetMark Financial Holdings, Inc. (a) | 900 | 16,461 | ||||||||
Athena Consumer Acquisition Corp., Class A (a),(b),(c) | 524,114 | 5,272,587 | ||||||||
Athlon Acquisition Corp. (a),(b),(c) | 465,000 | 4,594,200 | ||||||||
Atlantic Avenue Acquisition Corp., Class A (a) | 15,000 | 150,450 | ||||||||
Atlantic Coastal Acquisition Corp. (a) | 55,000 | 551,100 | ||||||||
Atlantic Coastal Acquisition Corp., Class A (a) | 711 | 6,982 | ||||||||
Atlanticus Holdings Corp. (a) | 200 | 5,246 | ||||||||
Austerlitz Acquisition Corp., Class A (a),(b) | 35,631 | 349,540 | ||||||||
Austerlitz Acquisition Corp. II, Class A (a),(b) | 203,700 | 1,998,297 | ||||||||
Authentic Equity Acquisition Corp., Class A (a),(b),(c) | 550,000 | 5,472,500 | ||||||||
Avista Public Acquisition Corp. II, Class A (a),(b),(c) | 458,199 | 4,678,212 | ||||||||
B Riley Principal 250 Merger Corp., Class A (a),(b),(c) | 247,911 | 2,427,049 | ||||||||
Bain Capital Specialty Finance, Inc. | 2,500 | 30,000 | ||||||||
Bank of New York Mellon Corp. | 11,300 | 435,276 | ||||||||
Belong Acquisition Corp., Class A (a) | 34,953 | 344,637 | ||||||||
Berenson Acquisition Corp., Class A (a) | 30,454 | 299,667 | ||||||||
BGC Partners, Inc., Class A | 39,700 | 124,658 | ||||||||
Big Sky Growth Partners, Inc. (a) | 29,359 | 287,131 | ||||||||
Bilander Acquisition Corp., Class A (a),(b),(c) | 365,048 | 3,540,966 | ||||||||
Bite Acquisition Corp. (a) | 12,867 | 126,611 | ||||||||
Black Mountain Acquisition Corp., Class A (a),(b),(c) | 472,500 | 4,739,175 | ||||||||
BlackRock Capital Investment Corp. | 4,581 | 15,530 | ||||||||
BlackRock TCP Capital Corp. | 4,800 | 52,464 | ||||||||
Blockchain Coinvestors Acquisition Corp., Class A (a),(b) | 35,011 | 353,261 | ||||||||
Blucora, Inc. (a) | 3,500 | 67,690 | ||||||||
BlueRiver Acquisition Corp., Class A (a),(b),(c) | 142,902 | 1,414,730 | ||||||||
Bridge Investment Group Holdings, Inc., Class A | 100 | 1,450 | ||||||||
BrightSpire Capital, Inc. | 10,200 | 64,362 | ||||||||
Build Acquisition Corp., Class A (a),(b) | 51,304 | 504,318 | ||||||||
Bullpen Parlay Acquisition Co., Class A (a),(b),(c) | 378,000 | 3,810,240 | ||||||||
Burtech Acquisition Corp., Class A (a) | 34,004 | 340,040 | ||||||||
C5 Acquisition Corp. (a),(b) | 200,100 | 2,007,003 | ||||||||
Capital Southwest Corp. | 3,600 | 60,984 | ||||||||
Carney Technology Acquisition Corp. II, Class A (a) | 34,529 | 343,564 | ||||||||
Cboe Global Markets, Inc. | 2,800 | 328,636 |
See Notes to Consolidated Financial Statements.
16
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Security Description | Shares | Value | ||||||||
CENAQ Energy Corp., Class A (a),(b) | 174,100 | $ | 1,758,410 | |||||||
CF Acquisition Corp. IV, Class A (a),(b),(c) | 465,000 | 4,626,750 | ||||||||
Charles Schwab Corp. | 13,700 | 984,619 | ||||||||
Cherry Hill Mortgage Investment Corp. | 3,900 | 19,149 | ||||||||
Churchill Capital Corp., Class A (a),(b),(c) | 461,695 | 4,538,759 | ||||||||
Churchill Capital Corp. V, Class A (a),(b) | 51,081 | 505,702 | ||||||||
Clarim Acquisition Corp., Class A (a),(b) | 95,051 | 940,054 | ||||||||
Climate Real Impact Solutions II Acquisition Corp., Class A (a),(b),(c) | 256,050 | 2,524,653 | ||||||||
CME Group, Inc. | 3,700 | 655,381 | ||||||||
Coinbase Global, Inc., Class A (a) | 43,300 | 2,792,417 | ||||||||
Colicity, Inc., Class A (a),(b),(c) | 465,000 | 4,575,600 | ||||||||
Compass Digital Acquisition Corp. (a),(b),(c) | 375,018 | 3,663,926 | ||||||||
Compute Health Acquisition Corp., Class A (a),(b),(c) | 465,000 | 4,589,550 | ||||||||
Concord Acquisition Corp. III, Class A (a),(b),(c) | 378,000 | 3,791,340 | ||||||||
Constellation Acquisition Corp. I, Class A (a),(b) | 48,101 | 477,643 | ||||||||
Consumer Portfolio Services, Inc. (a) | 400 | 2,908 | ||||||||
Corsair Partnering Corp. (a),(b),(c) | 375,000 | 3,671,250 | ||||||||
Credit Acceptance Corp. (a) | 200 | 87,600 | ||||||||
Credit Suisse Group AG, ADR | 2,300 | 9,016 | ||||||||
Crescent Capital Bdc, Inc | 1,400 | 21,028 | ||||||||
Crucible Acquisition Corp., Class A (a) | 904 | 9,004 | ||||||||
D & Z Media Acquisition Corp., Class A (a) | 7,400 | 73,038 | ||||||||
Decarbonization Plus Acquisition Corp. IV, Class A (a),(b),(c) | 334,400 | 3,360,720 | ||||||||
DHB Capital Corp., Class A (a) | 9,434 | 92,831 | ||||||||
DHC Acquisition Corp., Class A (a),(b) | 160,795 | 1,591,870 | ||||||||
DiamondHead Holdings Corp., Class A (a) | 14,635 | 144,447 | ||||||||
Digital Transformation Opportunities Corp. (a),(b) | 37,500 | 368,250 | ||||||||
dMY Technology Group, Inc. (a),(b),(c) | 217,060 | 2,161,918 | ||||||||
DP Cap Acquisition Corp., Class A (a),(b),(c) | 472,500 | 4,767,525 | ||||||||
Dragoneer Growth Opportunities Corp., Class A (a),(b),(c) | 270,531 | 2,648,498 | ||||||||
Edify Acquisition Corp., Class A (a) | 900 | 8,901 | ||||||||
Elevate Credit, Inc. (a) | 800 | 880 | ||||||||
Ellington Residential Mortgage REIT | 1,300 | 8,021 | ||||||||
Enact Holdings, Inc. | 200 | 4,434 | ||||||||
Epiphany Technology Acquisition Corp., Class A (a),(b),(c) | 291,000 | 2,875,080 | ||||||||
EQ Health Acquisition Corp., Class A (a) | 10,920 | 107,835 | ||||||||
ESC Pershing Square (d) | 2,020,101 | 0 | ||||||||
Essent Group Ltd. | 100 | 3,487 | ||||||||
ExcelFin Acquisition Corp., Class A (a),(b),(c) | 468,700 | 4,696,374 | ||||||||
EZCORP, Inc., Class A (a) | 6,600 | 50,886 | ||||||||
FG Acquisition Corp., Class A (a),(c) | 189,198 | 1,844,680 | ||||||||
Fidus Investment Corp. | 1,800 | 30,924 |
See Notes to Consolidated Financial Statements.
17
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Security Description | Shares | Value | ||||||||
Fifth Wall Acquisition Corp. III, Class A (a),(b),(c) | 299,136 | $ | 2,943,498 | |||||||
Figure Acquisition Corp. I, Class A (a),(b),(c) | 355,044 | 3,497,183 | ||||||||
Finnovate Acquisition Corp. (a) | 6,701 | 67,613 | ||||||||
Fintech Evolution Acquisition Group, Class A (a),(b),(c) | 310,002 | 3,075,220 | ||||||||
First Reserve Sustainable Growth Corp. (a),(b) | 86,800 | 852,376 | ||||||||
First Western Financial, Inc. (a) | 300 | 7,395 | ||||||||
Flame Acquisition Corp., Class A (a),(b) | 43,746 | 430,023 | ||||||||
Flywire Corp. (a),(b) | 109,362 | 2,510,951 | ||||||||
Focus Impact Acquisition Corp., Class A (a) | 26,955 | 270,089 | ||||||||
Forest Road Acquisition Corp., Class A (a),(b),(c) | 310,000 | 3,047,300 | ||||||||
Fortistar Sustainable Solutions Corp., Class A (a),(b),(c) | 208,700 | 2,064,043 | ||||||||
Fortress Value Acquisition Corp. (a),(b) | 66,343 | 652,815 | ||||||||
Forum Merger IV Corp., Class A (a),(b),(c) | 310,000 | 3,044,200 | ||||||||
Frontier Acquisition Corp., Class A (a),(b),(c) | 310,000 | 3,072,100 | ||||||||
FTAC Athena Acquisition Corp., Class A (a),(b) | 218,692 | 2,169,425 | ||||||||
FTAC Hera Acquisition Corp., Class A (a),(b),(c) | 310,000 | 3,076,750 | ||||||||
FTAC Parnassus Acquisition Corp., Class A (a),(b) | 312,834 | 3,078,287 | ||||||||
Fusion Acquisition Corp. II, Class A (a),(b) | 201,492 | 1,982,681 | ||||||||
G Squared Asend II, Inc., Class A (a),(b),(c) | 276,531 | 2,743,187 | ||||||||
G&P Acquisition Corp., Class A (a) | 115 | 1,149 | ||||||||
Gaming & Hospitality Acquisition Corp., Class A (a) | 700 | 6,902 | ||||||||
GATX Corp. | 1,300 | 110,695 | ||||||||
Gladstone Acquisition Corp., Class A (a) | 55,172 | 561,099 | ||||||||
Gladstone Capital Corp. | 3,300 | 28,017 | ||||||||
Gladstone Investment Corp. | 2,000 | 24,200 | ||||||||
Global Partner Acquisition Corp. II, Class A (a) | 14,462 | 144,042 | ||||||||
Goal Acquisitions Corp. (a),(b) | 90,180 | 888,273 | ||||||||
Golden Arrow Merger Corp. (a),(b) | 105,465 | 1,036,721 | ||||||||
Golub Capital BDC, Inc. | 1,900 | 23,541 | ||||||||
Gores Technology Partners II, Inc., Class A (a),(b) | 250,000 | 2,455,000 | ||||||||
Gores Technology Partners, Inc., Class A (a),(b),(c) | 211,500 | 2,077,987 | ||||||||
Granite Point Mortgage Trust, Inc. | 1,600 | 10,304 | ||||||||
Great Ajax Corp. | 1,800 | 13,518 | ||||||||
Great Elm Capital Corp. | 20 | 186 | ||||||||
Greenhill & Co., Inc. | 2,900 | 17,226 | ||||||||
Growth For Good Acquisition Corp. (a),(b),(c) | 378,000 | 3,723,300 | ||||||||
Healthcare servise Acquisition Corp., Class A (a),(b) | 79,477 | 790,001 | ||||||||
Hercules Capital, Inc. | 9,000 | 104,220 | ||||||||
Horizon Technology Finance Corp. | 4,100 | 41,041 | ||||||||
Innovative International Acquisition Corp., Class A (a) | 3,882 | 39,363 | ||||||||
Insight Acquisition Corp., Class A (a) | 31,634 | 311,911 | ||||||||
Interactive Brokers Group, Inc., Class A | 800 | 51,128 | ||||||||
Intercontinental Exchange, Inc. | 500 | 45,175 | ||||||||
International Money Express, Inc. (a) | 2,900 | 66,091 |
See Notes to Consolidated Financial Statements.
18
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Security Description | Shares | Value | ||||||||
InterPrivate II Acquisition Corp., Class A (a),(b),(c) | 225,195 | $ | 2,216,076 | |||||||
InterPrivate IV InfraTech Partners, Inc., Class A (a),(b) | 91,537 | 901,639 | ||||||||
Invesco Ltd. | 24,000 | 328,800 | ||||||||
Investcorp India Acquisition Corp., Class A (b),(c) | 162,382 | 1,636,811 | ||||||||
Itiquira Acquisition Corp., Class A (a) | 428 | 4,254 | ||||||||
Jaguar Global Growth Corp., Class A (a),(b),(c) | 214,600 | 2,141,708 | ||||||||
Janus Henderson Group plc | 13,200 | 268,092 | ||||||||
Jaws Hurricane Acquisition Corp., Class A (a),(b),(c) | 262,600 | 2,560,350 | ||||||||
Jaws Juggernaut Acquisition Corp., Class A (a),(b),(c) | 328,200 | 3,222,924 | ||||||||
Jefferies Financial Group, Inc. | 2,900 | 85,550 | ||||||||
Jiya Acquisition Corp., Class A (a) | 1 | 10 | ||||||||
JOFF Fintech Acquisition Corp., Class A (a),(b) | 136,274 | 1,342,299 | ||||||||
Kernel Group Holdings, Inc., Class A (a) | 200 | 1,984 | ||||||||
Khosla Ventures Acquisition Co. (a),(b) | 117,412 | 1,150,638 | ||||||||
Khosla Ventures Acquisition Co., Class A (a),(b),(c) | 310,000 | 3,031,800 | ||||||||
Kismet Acquisition Three Corp., Class A (a),(b) | 203,863 | 2,018,244 | ||||||||
Kismet Acquisition Two Corp., Class A (a),(b) | 55,101 | 547,153 | ||||||||
KKR Acquisition Holdings I Corp., Class A (a),(b),(c) | 465,000 | 4,575,600 | ||||||||
KKR Real Estate Finance Trust, Inc. | 4,700 | 76,375 | ||||||||
KL Acquisition Corp., Class A (a),(b) | 54,884 | 543,352 | ||||||||
Ladder Capital Corp. | 3,700 | 33,152 | ||||||||
Landcadia Holdings IV, Inc., Class A (a),(b),(c) | 465,000 | 4,566,300 | ||||||||
Lazard Growth Acquisition Corp. I (a),(b),(c) | 450,000 | 4,464,000 | ||||||||
Lazard Ltd., Class A | 2,700 | 85,941 | ||||||||
LDH Growth Corp., Class A (a),(b),(c) | 310,000 | 3,072,100 | ||||||||
Lead Edge Growth Opportunities Ltd., Class A (a),(b),(c) | 434,624 | 4,311,470 | ||||||||
Learn CW Investment Corp., Class A (a),(b),(c) | 398,000 | 3,928,260 | ||||||||
Legato Merger Corp.II (a),(b) | 87,270 | 866,591 | ||||||||
LendingClub Corp. (a) | 26,100 | 288,405 | ||||||||
LendingTree, Inc. (a) | 3,500 | 83,510 | ||||||||
Leo Holdings Corp. II, Class A (a) | 1 | 10 | ||||||||
LIV Capital Acquisition Corp., Class A (a),(b),(c) | 331,200 | 3,341,808 | ||||||||
Live Oak Mobility Acquisition Corp., Class A (a) | 28,773 | 283,126 | ||||||||
LMF Acquisition Opportunities, Inc., Class A (a) | 2,398 | 24,627 | ||||||||
Logan Ridge Financial Corp. (a) | 83 | 1,500 | ||||||||
Logistics Innovation Technologies Corp., Class A (a),(b),(c) | 305,916 | 2,988,799 | ||||||||
Longview Acquisition Corp., Class A (a) | 28,545 | 280,312 | ||||||||
M3-Brigade Acquisition II Corp., Class A (a) | 200 | 1,962 | ||||||||
Macondray Capital Acquisition Corp. I, Class A (a) | 10,019 | 100,290 | ||||||||
Main Street Capital Corp. | 300 | 10,092 | ||||||||
Marblegate Acquisition Corp., Class A (a),(b) | 86,274 | 859,289 | ||||||||
Marlin Technology Corp., Class A (a),(b),(c) | 408,000 | 4,059,600 |
See Notes to Consolidated Financial Statements.
19
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Security Description | Shares | Value | ||||||||
Medallion Financial Corp. | 900 | $ | 6,318 | |||||||
Medicus Sciences Acquisition Corp., Class A (a) | 5,952 | 58,925 | ||||||||
MedTech Acquisition Corp., Class A (a),(b) | 77,005 | 764,660 | ||||||||
MidCap Financial Investment Corp. | 6,200 | 63,364 | ||||||||
Mission Advancement Corp., Class A (a),(b) | 75,005 | 736,549 | ||||||||
Monroe Capital Corp. | 1,300 | 9,412 | ||||||||
Monument Circle Acquisition Corp., Class A (a) | 14,378 | 142,198 | ||||||||
Moringa Acquisition Corp., Class A (a),(b),(c) | 300,000 | 2,979,000 | ||||||||
Mount Rainier Acquisition Corp. (a) | 600 | 6,060 | ||||||||
MSD Acquisition Corp., Class A (a),(b),(c) | 323,910 | 3,206,709 | ||||||||
Music Acquisition Corp., Class A (a),(b) | 160,509 | 1,579,409 | ||||||||
Nasdaq, Inc. | 20,000 | 1,133,600 | ||||||||
New Mountain Finance Corp. | 6,000 | 69,180 | ||||||||
New Providence Acquisition Corp., Class A (a),(b) | 40,000 | 400,000 | ||||||||
New Vista Acquisition Corp., Class A (a) | 1,501 | 14,920 | ||||||||
Newcourt Acquisition Corp., Class A (a) | 2,104 | 21,356 | ||||||||
Newtek Business Services Corp. | 3,100 | 50,592 | ||||||||
Nexpoint Real Estate Finance, Inc. | 200 | 2,996 | ||||||||
NightDragon Acquisition Corp., Class A (a),(b),(c) | 465,000 | 4,566,300 | ||||||||
Noble Rock Acquisition Corp., Class A (a),(b),(c) | 408,000 | 4,055,520 | ||||||||
Northern Genesis Acquisition Corp. III, Class A (a),(b),(c) | 465,000 | 4,561,650 | ||||||||
Northern Star Investment Corp., Class A (a),(b),(c) | 310,002 | 3,051,970 | ||||||||
Northern Star Investment Corp. II, Class A (a),(b) | 149,300 | 1,473,591 | ||||||||
Northern Star Investment Corp. IV, Class A (a),(b) | 359,160 | 3,526,951 | ||||||||
Oaktree Specialty Lending Corp. | 21,200 | 127,200 | ||||||||
Ocwen Financial Corp. (a) | 594 | 13,822 | ||||||||
OFS Capital Corp. | 1,000 | 8,220 | ||||||||
Omega Alpha SPAC, Class A (a),(b),(c) | 136,000 | 1,353,200 | ||||||||
One Equity Partners Open Water I Corp., Class A (a),(b),(c) | 430,200 | 4,246,074 | ||||||||
Oportun Financial Corp. (a) | 600 | 2,622 | ||||||||
Oppenheimer Holdings, Inc., Class A | 1,200 | 37,176 | ||||||||
OPY Acquisition Corp., Class A (a) | 6,781 | 67,335 | ||||||||
Orion Acquisition Corp., Class A (a),(b),(c) | 249,196 | 2,452,089 | ||||||||
Osiris Acquisition Corp., Class A (a),(b),(c) | 243,900 | 2,390,220 | ||||||||
Oxford Square Capital Corp. | 4,300 | 12,943 | ||||||||
Pacifico Acquistion Corp. (a) | 5,000 | 50,500 | ||||||||
Panacea Acquisition Corp. II, Class A (a),(b),(c) | 310,000 | 3,038,000 | ||||||||
Parabellum Acquisition Corp., Class A (a),(b),(c) | 390,000 | 3,857,100 | ||||||||
Pathfinder Acquisition Corp., Class A (a) | 11,708 | 116,378 | ||||||||
PennantPark Floating Rate Capital Ltd. | 4,900 | 47,040 | ||||||||
PennantPark Investment Corp. | 5,068 | 27,671 | ||||||||
PepperLime Health Acquisition Corp., Class A (a) | 7,443 | 74,356 | ||||||||
Periphas Capital Partnering Corp., Class A (a),(b) | 119,345 | 2,952,595 | ||||||||
Phoenix Biotech Acquisition Corp., Class A (a),(b),(c) | 153,800 | 1,553,380 |
See Notes to Consolidated Financial Statements.
20
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Security Description | Shares | Value | ||||||||
Pine Technology Acquisition Corp., Class A (a) | 233 | $ | 2,293 | |||||||
Pivotal Investment Corp. III, Class A (a),(b),(c) | 300,000 | 2,956,500 | ||||||||
PJT Partners, Inc., Class A | 1,300 | 86,866 | ||||||||
Plum Acquisition Corp. I, Class A (a),(b),(c) | 310,000 | 3,072,100 | ||||||||
Pono Capital Corp., Class A (a) | 60,000 | 612,600 | ||||||||
Pontem Corp., Class A (a),(b),(c) | 465,000 | 4,622,100 | ||||||||
Population Health Investment Co., Inc., Class A (a) | 5,664 | 56,527 | ||||||||
Portage Fintech Acquisition Corp., Class A (a),(b),(c) | 500,001 | 4,925,010 | ||||||||
Portman Ridge Finance Corp. | 400 | 8,400 | ||||||||
PowerUp Acquisition Corp., Class A (a),(b),(c) | 260,216 | 2,638,590 | ||||||||
Priveterra Acquisition Corp., Class A (a),(b) | 40,143 | 395,409 | ||||||||
Property Solutions Acquisition Corp., Class A (a) | 19,835 | 194,581 | ||||||||
PropTech Investment Corp., Class A (a),(b),(c) | 126,993 | 1,263,580 | ||||||||
Prospector Capital Corp., Class A (a),(b) | 117,312 | 1,169,601 | ||||||||
Radian Group, Inc. | 100 | 1,929 | ||||||||
RCF Acquisition Corp., Class A (a),(b) | 140,000 | 1,412,600 | ||||||||
Regional Management Corp. | 200 | 5,608 | ||||||||
Revolution Healthcare Acquisition Corp., Class A (a),(b),(c) | 465,000 | 4,570,950 | ||||||||
ROC Energy Acquisition Corp. (a),(b),(c) | 378,000 | 3,795,120 | ||||||||
Rosecliff Acquisition Corp. I, Class A (a),(b) | 228,933 | 2,252,701 | ||||||||
RXR Acquisition Corp., Class A (a) | 9,762 | 96,058 | ||||||||
Sachem Capital Corp. | 4,900 | 16,317 | ||||||||
Safeguard Scientifics, Inc. (a) | 200 | 746 | ||||||||
Saratoga Investment Corp. | 600 | 12,462 | ||||||||
Schultze Special Purpose Acquisition Corp., Class A (a) | 6,940 | 68,984 | ||||||||
Science Strategic Acquisition Corp. Alpha, Class A (a),(b),(c) | 272,000 | 2,690,080 | ||||||||
Seaport Global Acquisition Corp., Class A (a),(b) | 93,237 | 933,302 | ||||||||
Semper Paratus Acquisition Corp., Class A (a) | 1,600 | 16,256 | ||||||||
Senior Connect Acquisition Corp. I, Class A (a),(b),(c) | 310,000 | 3,084,500 | ||||||||
Shelter Acquisition Corp., Class A (a),(b),(c) | 375,000 | 3,712,500 | ||||||||
Silver Spike Acquisition Corp. II, Class A (a),(b),(c) | 309,256 | 3,067,819 | ||||||||
Silvercrest Asset Management Group, Inc., Class A | 600 | 9,810 | ||||||||
Simon Property Group Acquisition Holdings, Inc., Class A (a),(b) | 44,250 | 435,862 | ||||||||
Sixth Street Specialty Lending, Inc. | 10,000 | 163,400 | ||||||||
Skydeck Acquisition Corp., Class A (a),(b),(c) | 243,900 | 2,399,976 | ||||||||
Slam Corp., Class A (a),(b),(c) | 449,300 | 4,452,563 | ||||||||
SLR Investment Corp. | 1,679 | 20,685 | ||||||||
SportsTek Acquisition Corp., Class A (a),(b) | 125,000 | 1,231,250 | ||||||||
Springwater Special Situation (a),(b) | 84,513 | 841,749 | ||||||||
Sprott, Inc. | 1,200 | 40,212 | ||||||||
ST Energy Transition I Ltd. (a),(b),(c) | 378,000 | 3,791,340 |
See Notes to Consolidated Financial Statements.
21
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Security Description | Shares | Value | ||||||||
Stellus Capital Investment Corp. | 1,200 | $ | 14,316 | |||||||
Stewart Information Services Corp. | 200 | 8,728 | ||||||||
StoneX Group, Inc. (a) | 300 | 24,882 | ||||||||
SuRo Capital Corp. | 4,469 | 17,295 | ||||||||
Sustainable Development Acquistion Corp., Class A (a) | 1,000 | 9,860 | ||||||||
SVF Investment Corp., Class A (a) | 1,100 | 10,956 | ||||||||
SVF Investment Corp. 2 (a),(b),(c) | 310,000 | 3,075,200 | ||||||||
Synchrony Financial | 800 | 22,552 | ||||||||
T Rowe Price Group, Inc. | 900 | 94,509 | ||||||||
Tastemaker Acquisition Corp., Class A (a) | 1,001 | 9,990 | ||||||||
TCG BDC, Inc. | 5,300 | 60,632 | ||||||||
TCV Acquisition Corp., Class A (a),(b),(c) | 326,088 | 3,202,184 | ||||||||
TCW Special Purpose Acquisition Corp., Class A (a),(b) | 80,500 | 789,705 | ||||||||
Tech and Energy Transition Corp., Class A (a),(b) | 41,402 | 408,224 | ||||||||
TG Venture Acquisition Corp. (a) | 3,258 | 32,385 | ||||||||
Thunder Bridge Capital Partners III, Inc., Class A (a),(b) | 200,400 | 1,973,940 | ||||||||
Tishman Speyer Innovation Corp. II, Class A (a) | 743 | 7,319 | ||||||||
TKB Critical Technologies 1, Class A (a) | 21,626 | 219,288 | ||||||||
TLG Acquisition One Corp., Class A (a),(b) | 66,776 | 658,411 | ||||||||
TPG Pace Beneficial II Corp., Class A (a),(b),(c) | 228,473 | 2,234,443 | ||||||||
TPG RE Finance Trust, Inc. | 4,000 | 28,000 | ||||||||
Tradeweb Markets, Inc., Class A | 6,000 | 338,520 | ||||||||
Trinity Capital, Inc. | 5,200 | 65,156 | ||||||||
TriplePoint Venture Growth BDC Corp., Class B | 4,600 | 49,956 | ||||||||
Tristar Acquisition I Corp., Class A (a),(b) | 87,311 | 865,252 | ||||||||
Turmeric Acquisition Corp., Class A (a),(b),(c) | 62,649 | 626,490 | ||||||||
Twelve Seas Investment Co. II, Class A (a),(b) | 266,682 | 2,625,484 | ||||||||
VectoIQ Acquisition Corp., Class A (a),(b) | 78,716 | 776,927 | ||||||||
Vector Acquisition Corp. II, Class A (a),(b),(c) | 515,579 | 5,114,544 | ||||||||
Velocity Acquisition Corp., Class A (a) | 63,664 | 625,817 | ||||||||
VMG Consumer Acquisition Corp., Class A (a),(b),(c) | 356,402 | 3,574,712 | ||||||||
VPC Impact Acquisition Holdings, Class A (a) | 6,495 | 64,495 | ||||||||
Vy Global Growth, Class A (a),(b),(c) | 265,000 | 2,657,950 | ||||||||
Warburg Pincus Capital Corp. I-A, Class A (a),(b),(c) | 310,000 | 3,075,200 | ||||||||
Warburg Pincus Capital Corp. I-B, Class B (a),(b),(c) | 310,000 | 3,075,200 | ||||||||
Waverley Capital Acquisition Corp., Class A (a),(b),(c) | 375,000 | 3,663,750 | ||||||||
Westwood Holdings Group, Inc. | 200 | 1,926 | ||||||||
WhiteHorse Finance, Inc. | 900 | 9,990 | ||||||||
Williams Rowland Acquisition Corp. (a) | 245 | 2,470 | ||||||||
Z-Work Acquisition Corp., Class A (a),(b) | 68,468 | 676,464 | ||||||||
|
| |||||||||
420,642,390 | ||||||||||
|
|
See Notes to Consolidated Financial Statements.
22
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Security Description | Shares | Value | ||||||||
Health Care — 1.9% | ||||||||||
10X Genomics, Inc., Class A | 500 | $ | 14,240 | |||||||
23andMe Holding Co., Class A | 1,300 | 3,718 | ||||||||
89bio, Inc. (a) | 10,900 | 63,111 | ||||||||
9 Meters Biopharma, Inc. (a) | 1,300 | 280 | ||||||||
Abbott Laboratories | 4,000 | 387,040 | ||||||||
AbCellera Biologics, Inc. (a) | 7,600 | 75,164 | ||||||||
ABIOMED, Inc. (a) | 1,300 | 319,358 | ||||||||
Accelerate Diagnostics, Inc. (a) | 3,200 | 4,864 | ||||||||
Accolade, Inc. (a) | 4,300 | 49,106 | ||||||||
Accuray, Inc. (a) | 13,700 | 28,496 | ||||||||
Achieve Life Sciences, Inc. (a) | 100 | 330 | ||||||||
Actinium Pharmaceuticals, Inc. (a) | 1,314 | 9,697 | ||||||||
Adaptive Biotechnologies Corp. | 300 | 2,136 | ||||||||
Adicet Bio, Inc. (a) | 4,842 | 68,853 | ||||||||
Adverum Biotechnologies, Inc. (a) | 14,600 | 13,870 | ||||||||
Aeglea BioTherapeutics, Inc. (a) | 12,200 | 6,417 | ||||||||
Aerie Pharmaceuticals, Inc. (a) | 1,900 | 28,747 | ||||||||
Aethlon Medical, Inc. (a) | 254 | 148 | ||||||||
AIkido Pharma, Inc. | 1,400 | 9,576 | ||||||||
Aldeyra Therapeutics, Inc. (a) | 14,700 | 78,498 | ||||||||
Alector, Inc. (a) | 7,400 | 70,004 | ||||||||
Aligos Therapeutics, Inc. (a) | 1,900 | 2,090 | ||||||||
Alkermes plc (a) | 14,000 | 312,620 | ||||||||
Allakos, Inc. (a) | 3,500 | 21,420 | ||||||||
Allogene Therapeutics, Inc. (a) | 2,900 | 31,320 | ||||||||
Alnylam Pharmaceuticals, Inc. (a) | 900 | 180,144 | ||||||||
Alphatec Holdings, Inc. (a) | 700 | 6,118 | ||||||||
Alpine Immune Sciences, Inc. (a) | 900 | 6,480 | ||||||||
Altimmune, Inc. (a) | 13,700 | 174,949 | ||||||||
ALX Oncology Holdings, Inc. (a) | 2,200 | 21,054 | ||||||||
American Shared Hospital Services (a) | 100 | 259 | ||||||||
AmerisourceBergen Corp. | 1,800 | 243,594 | ||||||||
Amgen, Inc. (b) | 27,100 | 6,108,340 | ||||||||
Amicus Therapeutics, Inc. (a) | 6,100 | 63,684 | ||||||||
Amphastar Pharmaceuticals, Inc. (a) | 1,600 | 44,960 | ||||||||
Ampio Pharmaceuticals, Inc. (a) | 28,988 | 1,754 | ||||||||
AnaptysBio, Inc. (a) | 700 | 17,857 | ||||||||
Anavex Life Sciences Corp. (a) | 300 | 3,096 | ||||||||
AngioDynamics, Inc. (a) | 800 | 16,368 | ||||||||
ANI Pharmaceuticals, Inc. (a) | 1,200 | 38,568 | ||||||||
Anika Therapeutics, Inc. (a) | 1,100 | 26,180 | ||||||||
Annexon, Inc. (a) | 3,600 | 22,248 | ||||||||
Annovis Bio, Inc. (a) | 800 | 10,960 | ||||||||
Applied Genetic Technologies Corp. (a) | 1,800 | 489 | ||||||||
Applied Molecular Transport, Inc. (a) | 5,100 | 4,963 |
See Notes to Consolidated Financial Statements.
23
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Security Description | Shares | Value | ||||||||
Applied Therapeutics, Inc. (a) | 4,800 | $ | 4,465 | |||||||
Aptinyx, Inc. (a) | 5,000 | 1,841 | ||||||||
Aptose Biosciences, Inc. (a) | 2,400 | 1,428 | ||||||||
Aravive, Inc. (a) | 1,300 | 1,062 | ||||||||
Arcus Biosciences, Inc. (a) | 1,700 | 44,472 | ||||||||
Arcutis Biotherapeutics, Inc. (a) | 1,300 | 24,843 | ||||||||
Athira Pharma, Inc. (a) | 5,900 | 17,523 | ||||||||
AtriCure, Inc. (a) | 600 | 23,460 | ||||||||
aTyr Pharma, Inc. (a) | 2,500 | 7,500 | ||||||||
Avadel Pharmaceuticals plc, ADR (a) | 1,700 | 8,517 | ||||||||
Avanos Medical, Inc. (a) | 3,500 | 76,230 | ||||||||
Avid Bioservices, Inc. (a) | 2,300 | 43,976 | ||||||||
Avita Medical, Inc. (a) | 100 | 527 | ||||||||
Avrobio, Inc. (a) | 6,000 | 3,855 | ||||||||
Axogen, Inc. (a) | 500 | 5,960 | ||||||||
Axonics, Inc. | 2,400 | 169,056 | ||||||||
Axsome Therapeutics, Inc. (a) | 500 | 22,310 | ||||||||
Baxter International, Inc. | 39,500 | 2,127,470 | ||||||||
Beam Therapeutics, Inc. (a) | 800 | 38,112 | ||||||||
Berkeley Lights, Inc. (a) | 14,700 | 42,042 | ||||||||
Beyond Air, Inc. (a) | 2,100 | 15,624 | ||||||||
Bio-Rad Laboratories, Inc., Class A (a) | 300 | 125,142 | ||||||||
Bio-Techne Corp. | 700 | 198,800 | ||||||||
BioAtla, Inc. (a) | 8,600 | 66,220 | ||||||||
BioCryst Pharmaceuticals, Inc. (a) | 44,800 | 564,480 | ||||||||
Biogen, Inc. (a) | 12,100 | 3,230,700 | ||||||||
BioMarin Pharmaceutical, Inc. (a) | 3,300 | 279,741 | ||||||||
Bioxcel Therapeutics, Inc. (a) | 2,100 | 24,822 | ||||||||
Black Diamond Therapeutics, Inc. (a) | 3,300 | 5,577 | ||||||||
Blueprint Medicines Corp. (a) | 1,300 | 85,657 | ||||||||
Bolt Biotherapeutics, Inc. (a) | 600 | 888 | ||||||||
Boston Scientific Corp. (a) | 3,200 | 123,936 | ||||||||
Bridgebio Pharma, Inc. | 4,700 | 46,718 | ||||||||
Bristol-Myers Squibb Co. | 44,700 | 3,177,723 | ||||||||
Brookdale Senior Living, Inc. (a) | 6,009 | 25,658 | ||||||||
Bruker Corp. | 500 | 26,530 | ||||||||
C4 Therapeutics, Inc. (a) | 6,300 | 55,251 | ||||||||
Cabaletta Bio, Inc. (a) | 1,300 | 845 | ||||||||
Cardiff Oncology, Inc. (a) | 3,700 | 5,698 | ||||||||
Cardinal Health, Inc. | 2,600 | 173,368 | ||||||||
Cardiovascular Systems, Inc. (a) | 400 | 5,544 | ||||||||
CareDx, Inc. (a) | 12,000 | 204,240 | ||||||||
Castle Biosciences, Inc. (a) | 3,200 | 83,456 | ||||||||
Catalyst Pharmaceuticals, Inc. (a) | 28,200 | 361,806 | ||||||||
Celldex Therapeutics, Inc. (a) | 2,500 | 70,275 | ||||||||
Certara, Inc. | 500 | 6,640 | ||||||||
Charles River Laboratories International, Inc. (a) | 4,900 | 964,320 |
See Notes to Consolidated Financial Statements.
24
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Security Description | Shares | Value | ||||||||
Checkpoint Therapeutics, Inc. (a) | 100 | $ | 104 | |||||||
ChemoCentryx, Inc. (a) | 1,600 | 82,656 | ||||||||
Chimerix, Inc. (a) | 5,200 | 10,036 | ||||||||
Chinook Therapeutics, Inc. (a) | 3,420 | 67,237 | ||||||||
ChromaDex Corp. (a) | 1,000 | 1,230 | ||||||||
Clearside Biomedical, Inc. (a) | 3,500 | 3,955 | ||||||||
Clover Health Investments Corp. (a) | 8,500 | 14,450 | ||||||||
Cogent Biosciences, Inc. | 1,900 | 28,348 | ||||||||
Cohbar, Inc. | 283 | 816 | ||||||||
Coherus Biosciences, Inc. (a) | 1,100 | 10,571 | ||||||||
Community Health Systems, Inc. (a) | 29,100 | 62,565 | ||||||||
Concert Pharmaceuticals, Inc. (a) | 9,800 | 65,660 | ||||||||
ContraFect Corp. (a) | 2,700 | 454 | ||||||||
CorMedix, Inc. (a) | 1,100 | 3,113 | ||||||||
Corvus Pharmaceuticals, Inc. (a) | 7,800 | 6,384 | ||||||||
Crinetics Pharmaceuticals, Inc. (a) | 2,200 | 43,208 | ||||||||
CryoLife, Inc. (a) | 100 | 1,384 | ||||||||
CTI BioPharma Corp. (a) | 22,400 | 130,368 | ||||||||
Cue Biopharma, Inc. (a) | 3,900 | 8,697 | ||||||||
Cumberland Pharmaceuticals, Inc. (a) | 300 | 723 | ||||||||
Curis, Inc. (a) | 24,600 | 17,220 | ||||||||
Cutera, Inc. (a) | 3,400 | 155,040 | ||||||||
Cyclerion Therapeutics, Inc. (a) | 200 | 172 | ||||||||
Cymabay Therapeutics, Inc. (a) | 6,400 | 22,400 | ||||||||
Cyteir Therapeutics, Inc. (a) | 500 | 960 | ||||||||
Cytokinetics, Inc. (a) | 8,100 | 392,445 | ||||||||
CytomX Therapeutics, Inc. (a) | 11,300 | 16,385 | ||||||||
CytoSorbents Corp. (a) | 500 | 680 | ||||||||
Deciphera Pharmaceuticals, Inc. (a) | 5,800 | 107,300 | ||||||||
Denali Therapeutics, Inc. (a) | 2,900 | 89,001 | ||||||||
DENTSPLY SIRONA, Inc. | 5,000 | 141,750 | ||||||||
DermTech, Inc. (a) | 7,600 | 30,096 | ||||||||
DexCom, Inc. (a) | 8,600 | 692,644 | ||||||||
DiaMedica Therapeutics, Inc. (a) | 300 | 372 | ||||||||
Durect Corp. (a) | 10,200 | 5,898 | ||||||||
Dynavax Technologies Corp. (a) | 23,400 | 244,296 | ||||||||
Dyne Therapeutics, Inc. (a) | 100 | 1,270 | ||||||||
Editas Medicine, Inc. (a) | 19,200 | 235,008 | ||||||||
Edwards Lifesciences Corp. (a) | 15,900 | 1,313,817 | ||||||||
Eiger BioPharmaceuticals, Inc. (a) | 200 | 1,506 | ||||||||
Electromed, Inc. (a) | 100 | 1,025 | ||||||||
Eledon Pharmaceuticals, Inc. (a) | 600 | 1,656 | ||||||||
Emergent BioSolutions, Inc. (a) | 3,500 | 73,465 | ||||||||
Enanta Pharmaceuticals, Inc. (a) | 1,100 | 57,057 | ||||||||
Enochian Biosciences, Inc. (a) | 1,700 | 3,077 | ||||||||
Envista Holdings Corp. (a) | 300 | 9,843 | ||||||||
enVVeno Medical Corp. (a) | 600 | 3,768 |
See Notes to Consolidated Financial Statements.
25
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Security Description | Shares | Value | ||||||||
Esperion Therapeutics, Inc. (a) | 18,600 | $ | 124,620 | |||||||
Essa Pharma, Inc. (a) | 4,800 | 8,736 | ||||||||
Establishment Labs Holdings, Inc. (a) | 1,100 | 60,071 | ||||||||
Evelo Biosciences, Inc. (a) | 600 | 1,254 | ||||||||
Exelixis, Inc. (a) | 12,500 | 196,000 | ||||||||
EyePoint Pharmaceuticals, Inc. (a) | 800 | 6,328 | ||||||||
Fate Therapeutics, Inc. (a) | 300 | 6,723 | ||||||||
FibroGen, Inc. (a) | 11,000 | 143,110 | ||||||||
FONAR Corp. (a) | 100 | 1,415 | ||||||||
Forma Therapeutics Holdings, Inc. (a) | 1,200 | 23,940 | ||||||||
Forte Biosciences, Inc. (a) | 2,546 | 2,724 | ||||||||
Fulcrum Therapeutics, Inc. (a) | 2,900 | 23,461 | ||||||||
G1 Therapeutics, Inc. (a) | 400 | 4,996 | ||||||||
Generation Bio Co. (a) | 100 | 531 | ||||||||
Gilead Sciences, Inc. | 88,400 | 5,453,396 | ||||||||
Glaukos Corp. (a) | 100 | 5,324 | ||||||||
Global Blood Therapeutics, Inc. (a) | 18,800 | 1,280,280 | ||||||||
GlycoMimetics, Inc. (a) | 3,200 | 1,765 | ||||||||
GoodRx Holdings, Inc., Class A (a) | 23,100 | 107,877 | ||||||||
Gossamer Bio, Inc. (a) | 15,300 | 183,294 | ||||||||
Graphite Bio, Inc. (a) | 5,200 | 16,484 | ||||||||
GSK plc, ADR | 96,600 | 2,842,938 | ||||||||
Guardant Health, Inc. (a) | 400 | 21,532 | ||||||||
Haemonetics Corp. (a) | 5,900 | 436,777 | ||||||||
Halozyme Therapeutics, Inc. (a) | 7,800 | 308,412 | ||||||||
Hanger, Inc. (a) | 300 | 5,616 | ||||||||
Harmony Biosciences Holdings, Inc. (a) | 6,300 | 279,027 | ||||||||
Harpoon Therapeutics, Inc. (a) | 1,800 | 1,746 | ||||||||
Harrow Health, Inc. (a) | 1,300 | 15,691 | ||||||||
Harvard Bioscience, Inc. (a) | 3,018 | 7,726 | ||||||||
Heska Corp. (a) | 1,200 | 87,504 | ||||||||
Histogen, Inc. | 55 | 74 | ||||||||
Horizon Therapeutics plc (a) | 12,900 | 798,381 | ||||||||
iCAD, Inc. (a) | 2,200 | 4,620 | ||||||||
Ideaya Biosciences, Inc. (a) | 200 | 2,984 | ||||||||
IGM Biosciences, Inc. (a) | 200 | 4,548 | ||||||||
Illumina, Inc. (a) | 16,600 | 3,167,114 | ||||||||
Immunic, Inc. (a) | 3,100 | 9,796 | ||||||||
ImmunoGen, Inc. (a) | 50,500 | 241,390 | ||||||||
Immunovant, Inc. (a) | 5,600 | 31,248 | ||||||||
Imunon, Inc. (a) | 1,613 | 2,710 | ||||||||
Incyte Corp. (a) | 13,200 | 879,648 | ||||||||
Infinity Pharmaceuticals, Inc. (a) | 7,200 | 8,568 | ||||||||
InfuSystem Holdings, Inc. (a) | 1,200 | 8,388 | ||||||||
Inhibrx, Inc. (a) | 2,400 | 43,080 | ||||||||
Inmode Ltd. (a) | 17,400 | 506,514 | ||||||||
Inogen, Inc. (a) | 900 | 21,852 |
See Notes to Consolidated Financial Statements.
26
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Security Description | Shares | Value | ||||||||
Inotiv, Inc. (a) | 200 | $ | 3,370 | |||||||
Inovio Pharmaceuticals, Inc. (a) | 56,200 | 96,945 | ||||||||
Insmed, Inc. (a) | 1,300 | 28,002 | ||||||||
Integer Holdings Corp. (a) | 500 | 31,115 | ||||||||
Integra LifeSciences Holdings Corp. (a) | 7,100 | 300,756 | ||||||||
Intellia Therapeutics, Inc. (a) | 13,900 | 777,844 | ||||||||
Intercept Pharmaceuticals, Inc. (a) | 10,000 | 139,500 | ||||||||
Intuitive Surgical, Inc. (a) | 5,700 | 1,068,408 | ||||||||
Invacare Corp. (a) | 8,151 | 6,360 | ||||||||
Invitae Corp. (a) | 26,100 | 64,206 | ||||||||
Ionis Pharmaceuticals, Inc. (a) | 6,500 | 287,495 | ||||||||
Iovance Biotherapeutics, Inc. (a) | 14,600 | 139,868 | ||||||||
iRadimed Corp. | 400 | 12,024 | ||||||||
iTeos Therapeutics, Inc. (a) | 1,800 | 34,290 | ||||||||
IVERIC bio, Inc. (a) | 17,300 | 310,362 | ||||||||
Jazz Pharmaceuticals plc (a) | 2,000 | 266,580 | ||||||||
Johnson & Johnson (b) | 71,600 | 11,696,576 | ||||||||
Joint Corp. (The) (a) | 2,600 | 40,846 | ||||||||
Jounce Therapeutics, Inc. (a) | 4,800 | 11,232 | ||||||||
KalVista Pharmaceuticals, Inc. (a) | 2,300 | 33,373 | ||||||||
Karuna Therapeutics, Inc. | 1,300 | 292,409 | ||||||||
Karyopharm Therapeutics, Inc. (a) | 20,400 | 111,384 | ||||||||
Kezar Life Sciences, Inc. (a) | 12,400 | 106,764 | ||||||||
Kodiak Sciences, Inc. (a) | 11,500 | 89,010 | ||||||||
Kronos Bio, Inc. (a) | 4,400 | 14,740 | ||||||||
Kura Oncology, Inc. (a) | 6,500 | 88,790 | ||||||||
Kymera Therapeutics, Inc. (a) | 4,100 | 89,257 | ||||||||
Landos Biopharma, Inc. (a) | 200 | 130 | ||||||||
Lannett Co., Inc. (a) | 4,100 | 1,845 | ||||||||
Lantern Pharma, Inc. (a) | 200 | 956 | ||||||||
Lantheus Holdings, Inc. (a) | 2,900 | 203,957 | ||||||||
Larimar Therapeutics, Inc. (a) | 1,733 | 5,546 | ||||||||
Leap Therapeutics, Inc. (a) | 9,200 | 8,096 | ||||||||
LeMaitre Vascular, Inc. | 1,000 | 50,680 | ||||||||
Lineage Cell Therapeutics, Inc. (a) | 1,600 | 1,808 | ||||||||
Lipocine, Inc. (a) | 4,100 | 1,845 | ||||||||
Liquidia Corp. (a) | 18,000 | 97,920 | ||||||||
LivaNova PLC (a) | 200 | 10,154 | ||||||||
Lyra Therapeutics, Inc. (a) | 600 | 3,006 | ||||||||
MacroGenics, Inc. (a) | 16,800 | 58,128 | ||||||||
Magenta Therapeutics, Inc. (a) | 4,400 | 6,204 | ||||||||
Maravai LifeSciences Holdings, Inc., Class A (a) | 8,400 | 214,452 | ||||||||
Masimo Corp. (a) | 7,600 | 1,072,816 | ||||||||
Medtronic plc (b) | 75,000 | 6,056,250 | ||||||||
MEI Pharma, Inc. (a) | 800 | 309 | ||||||||
Merck & Co., Inc. | 48,800 | 4,202,656 | ||||||||
Merrimack Pharmaceuticals, Inc. (a) | 300 | 1,125 |
See Notes to Consolidated Financial Statements.
27
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Security Description | Shares | Value | ||||||||
Mersana Therapeutics, Inc. (a) | 20,400 | $ | 137,904 | |||||||
MiMedx Group, Inc. (a) | 3,800 | 10,906 | ||||||||
Mirum Pharmaceuticals, Inc. (a) | 2,600 | 54,626 | ||||||||
Molecular Templates, Inc. (a) | 3,728 | 2,795 | ||||||||
Morphic Holding, Inc. (a) | 200 | 5,660 | ||||||||
Mustang Bio, Inc. (a) | 2,400 | 1,127 | ||||||||
NanoString Technologies, Inc. (a) | 12,300 | 157,071 | ||||||||
Natera, Inc. (a) | 20,600 | 902,692 | ||||||||
Nektar Therapeutics (a) | 9,900 | 31,680 | ||||||||
Neogen Corp. (a) | 24,500 | 342,265 | ||||||||
NeoGenomics, Inc. (a) | 23,100 | 198,891 | ||||||||
Neoleukin Therapeutics, Inc. (a) | 5,800 | 3,712 | ||||||||
Neurocrine Biosciences, Inc. (a) | 8,700 | 924,027 | ||||||||
Neuronetics, Inc. (a) | 3,700 | 11,766 | ||||||||
Nevro Corp. (a) | 6,900 | 321,540 | ||||||||
Nexgel, Inc. (a) | 300 | 453 | ||||||||
NextCure, Inc. (a) | 2,200 | 6,050 | ||||||||
NGM Biopharmaceuticals, Inc. (a) | 5,400 | 70,632 | ||||||||
Nkarta, Inc. (a) | 4,400 | 57,904 | ||||||||
Novocure Ltd. (a) | 3,800 | 288,724 | ||||||||
NuVasive, Inc. (a) | 1,200 | 52,572 | ||||||||
Nuvation Bio, Inc. (a) | 5,600 | 12,544 | ||||||||
Ocular Therapeutix, Inc. (a) | 7,500 | 31,125 | ||||||||
Olema Pharmaceuticals, Inc. (a) | 5,700 | 15,732 | ||||||||
Omeros Corp. (a) | 8,000 | 25,200 | ||||||||
Omthera Pharmaceutical, Inc. (d) | 700 | 0 | ||||||||
Onconova Therapeutics, Inc. (a) | 2,033 | 1,791 | ||||||||
Oncorus, Inc. (a) | 1,600 | 1,360 | ||||||||
Oncternal Therapeutics, Inc. (a) | 6,400 | 5,706 | ||||||||
Opiant Pharmaceuticals, Inc. (a) | 300 | 3,225 | ||||||||
OPKO Health, Inc. (a) | 31,401 | 59,348 | ||||||||
Option Care Health, Inc. | 2,600 | 81,822 | ||||||||
Organogenesis Holdings, Inc. (a) | 20,000 | 64,800 | ||||||||
ORIC Pharmaceuticals, Inc. (a) | 2,588 | 8,282 | ||||||||
Orthofix Medical, Inc. (a) | 400 | 7,644 | ||||||||
Oscar Health, Inc., Class A (a) | 10,600 | 52,894 | ||||||||
Otonomy, Inc. (a) | 3,600 | 1,062 | ||||||||
Outlook Therapeutics, Inc. (a) | 3,200 | 3,904 | ||||||||
Pacific Biosciences of California, Inc. (a) | 23,300 | 135,257 | ||||||||
Paratek Pharmaceuticals, Inc. (a) | 7,400 | 19,018 | ||||||||
Passage Bio, Inc. (a) | 7,700 | 9,625 | ||||||||
PDS Biotechnology Corp. (a) | 5,728 | 17,012 | ||||||||
Pennant Group, Inc. (The) (a) | 100 | 1,041 | ||||||||
Perrigo Co. plc | 18,500 | 659,710 | ||||||||
Personalis, Inc. (a) | 7,400 | 21,978 | ||||||||
PetIQ, Inc. (a) | 900 | 6,210 | ||||||||
Pfizer, Inc. | 22,900 | 1,002,104 |
See Notes to Consolidated Financial Statements.
28
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Security Description | Shares | Value | ||||||||
Phathom Pharmaceuticals, Inc. (a) | 100 | $ | 1,108 | |||||||
Phibro Animal Health Corp., Class A | 1,300 | 17,277 | ||||||||
Pliant Therapeutics, Inc. (a) | 2,000 | 41,780 | ||||||||
PLx Pharma, Inc. (a) | 4,100 | 2,665 | ||||||||
Praxis Precision Medicines, Inc. (a) | 10,300 | 23,381 | ||||||||
Precigen, Inc. (a) | 4,500 | 9,540 | ||||||||
Precision BioSciences, Inc. (a) | 100 | 130 | ||||||||
Prelude Therapeutics, Inc. (a) | 1,600 | 10,576 | ||||||||
Premier, Inc., Class A | 1,100 | 37,334 | ||||||||
Prestige Consumer Healthcare, Inc. (a) | 2,900 | 144,507 | ||||||||
Progyny, Inc. (a) | 1,500 | 55,590 | ||||||||
Prometheus Biosciences, Inc. | 1,700 | 100,317 | ||||||||
Protagonist Therapeutics, Inc. (a) | 9,900 | 83,457 | ||||||||
Protara Therapeutics, Inc. (a) | 800 | 2,368 | ||||||||
PTC Therapeutics, Inc. (a) | 6,200 | 311,240 | ||||||||
Puma Biotechnology, Inc. (a) | 3,500 | 8,295 | ||||||||
QIAGEN NV (a) | 8,600 | 355,008 | ||||||||
Quanterix Corp. (a) | 9,000 | 99,180 | ||||||||
Quince Therapeutics, Inc. (a) | 7,400 | 9,842 | ||||||||
RadNet, Inc. (a) | 2,000 | 40,700 | ||||||||
RAPT Therapeutics, Inc. (a) | 3,600 | 86,616 | ||||||||
Reata Pharmaceuticals, Inc., Class A (a) | 100 | 2,513 | ||||||||
Regeneron Pharmaceuticals, Inc. (a) | 100 | 68,887 | ||||||||
Relmada Therapeutics, Inc. | 200 | 7,404 | ||||||||
Replimune Group, Inc. (a) | 2,700 | 46,629 | ||||||||
Revance Therapeutics, Inc. (a) | 12,400 | 334,800 | ||||||||
REVOLUTION Medicines, Inc. (a) | 1,900 | 37,468 | ||||||||
Rigel Pharmaceuticals, Inc. (a) | 46,200 | 54,516 | ||||||||
Rocket Pharmaceuticals, Inc. (a) | 8,600 | 137,256 | ||||||||
Royalty Pharma plc, Class A | 4,700 | 188,846 | ||||||||
Rubius Therapeutics, Inc. (a) | 3,900 | 1,692 | ||||||||
Sage Therapeutics, Inc. (a) | 1,200 | 46,992 | ||||||||
Salarius Pharmaceuticals, Inc. (a) | 6,300 | 1,229 | ||||||||
Sangamo BioSciences, Inc. (a) | 22,000 | 107,800 | ||||||||
Sarepta Therapeutics, Inc. (a) | 8,800 | 972,752 | ||||||||
Satsuma Pharmaceuticals, Inc. (a) | 700 | 4,200 | ||||||||
Savara, Inc. (a) | 2,100 | 3,255 | ||||||||
SeaSpine Holdings Corp. (a) | 2,200 | 12,496 | ||||||||
Seelos Therapeutics, Inc. (a) | 4,200 | 4,326 | ||||||||
Selecta Biosciences, Inc. (a) | 19,200 | 31,488 | ||||||||
Sensei Biotherapeutics, Inc. (a) | 400 | 620 | ||||||||
Sensus Healthcare, Inc. (a) | 900 | 11,277 | ||||||||
Seres Therapeutics, Inc. (a) | 1,700 | 10,914 | ||||||||
Shattuck Labs, Inc. (a) | 700 | 1,890 | ||||||||
Silverback Therapeutics, Inc. (a) | 4,400 | 23,232 | ||||||||
Singular Genomics Systems, Inc. (a) | 700 | 1,750 | ||||||||
Soleno Therapeutics, Inc. | 286 | 478 |
See Notes to Consolidated Financial Statements.
29
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Security Description | Shares | Value | ||||||||
Solid Biosciences, Inc. (a) | 2,900 | $ | 1,353 | |||||||
SomaLogic, Inc. | 1,500 | 4,350 | ||||||||
Sotera Health Co. | 4,600 | 31,372 | ||||||||
SpringWorks Therapeutics, Inc. (a) | 3,400 | 97,002 | ||||||||
STAAR Surgical Co. (a) | 2,600 | 183,430 | ||||||||
Star Equity Holdings, Inc. (a) | 400 | 398 | ||||||||
Stereotaxis, Inc. (a) | 5,600 | 10,080 | ||||||||
Stoke Therapeutics, Inc. (a) | 400 | 5,136 | ||||||||
Supernus Pharmaceuticals, Inc. (a) | 1,900 | 64,315 | ||||||||
Surface Oncology, Inc. (a) | 200 | 208 | ||||||||
Surmodics, Inc. (a) | 400 | 12,160 | ||||||||
Sutro Biopharma, Inc. (a) | 5,800 | 32,190 | ||||||||
Syndax Pharmaceuticals, Inc. (a) | 7,400 | 177,822 | ||||||||
Syneos Health, Inc. (a) | 300 | 14,145 | ||||||||
Synlogic, Inc. (a) | 2,700 | 2,565 | ||||||||
Tactile Systems Technology, Inc. (a) | 2,761 | 21,508 | ||||||||
Tandem Diabetes Care, Inc. (a) | 15,000 | 717,750 | ||||||||
Tarsus Pharmaceuticals, Inc. (a) | 200 | 3,424 | ||||||||
Taysha Gene Therapies, Inc. (a) | 2,200 | 4,246 | ||||||||
TCR2 Therapeutics, Inc. (a) | 6,000 | 10,800 | ||||||||
Teladoc Health, Inc. (a) | 39,800 | 1,008,930 | ||||||||
Teleflex, Inc. | 1,300 | 261,898 | ||||||||
TG Therapeutics, Inc. (a) | 5,200 | 30,784 | ||||||||
Theravance Biopharma, Inc. (a) | 12,000 | 121,680 | ||||||||
Thermo Fisher Scientific, Inc. (b),(c) | 2,555 | 1,295,870 | ||||||||
Tracon Pharmaceuticals, Inc. (a) | 1,400 | 2,338 | ||||||||
Travere Therapeutics, Inc. (a) | 3,700 | 91,168 | ||||||||
Tricida, Inc. (a) | 7,400 | 77,552 | ||||||||
Ultragenyx Pharmaceutical, Inc. (a) | 600 | 24,846 | ||||||||
Vanda Pharmaceuticals, Inc. (a) | 5,800 | 57,304 | ||||||||
Vapotherm, Inc. (a) | 2,000 | 3,140 | ||||||||
Venus Concept, Inc. (a) | 200 | 88 | ||||||||
Verastem, Inc. (a) | 20,200 | 17,170 | ||||||||
Vericel Corp. (a) | 3,700 | 85,840 | ||||||||
Viatris, Inc. | 138,600 | 1,180,872 | ||||||||
Viemed Healthcare, Inc. | 700 | 4,200 | ||||||||
ViewRay, Inc. (a) | 19,100 | 69,524 | ||||||||
Viking Therapeutics, Inc. (a) | 14,500 | 39,440 | ||||||||
Vincerx Pharma, Inc. (a) | 100 | 138 | ||||||||
Virios Therapeutics, Inc. (a) | 300 | 114 | ||||||||
VistaGen Therapeutics, Inc. (a) | 6,600 | 1,004 | ||||||||
XBiotech, Inc. (a) | 900 | 3,258 | ||||||||
Xencor, Inc. (a) | 1,700 | 44,166 | ||||||||
Xenon Pharmaceuticals, Inc. (a) | 2,100 | 75,810 | ||||||||
Zentalis Pharmaceuticals, Inc. (a) | 300 | 6,498 | ||||||||
ZIOPHARM Oncology, Inc. (a) | 30,300 | 52,116 | ||||||||
Zoetis, Inc. | 7,500 | 1,112,175 |
See Notes to Consolidated Financial Statements.
30
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Security Description | Shares | Value | ||||||||
Zynerba Pharmaceuticals, Inc. (a) | 3,200 | $ | 2,342 | |||||||
|
| |||||||||
87,328,719 | ||||||||||
|
| |||||||||
Industrial Products — 0.4% | ||||||||||
3M Co. | 4,400 | 486,200 | ||||||||
AAR Corp. (a) | 200 | 7,164 | ||||||||
Advanced Emissions Solutions, Inc. (a) | 1,400 | 3,822 | ||||||||
Aerojet Rocketdyne Holdings, Inc. (a) | 8,600 | 343,914 | ||||||||
AerSale Corp. | 200 | 3,708 | ||||||||
Allegion PLC | 600 | 53,808 | ||||||||
Allied Motion Technologies, Inc. | 400 | 11,448 | ||||||||
Allison Transmission Holdings, Inc. | 2,400 | 81,024 | ||||||||
Altra Industrial Motion Corp. | 300 | 10,086 | ||||||||
Amphenol Corp., Class A | 2,900 | 194,184 | ||||||||
Argan, Inc. | 1,000 | 32,170 | ||||||||
Art’s-Way Manufacturing Co., Inc. (a) | 100 | 183 | ||||||||
Astra Space, Inc. (a) | 5,600 | 3,421 | ||||||||
Astronics Corp. (a) | 1,300 | 10,218 | ||||||||
Atlas Crest Investment Corp. II, Class A (a),(b),(c) | 421,140 | 4,148,987 | ||||||||
Babcock & Wilcox Enterprises, Inc. (a) | 2,200 | 14,036 | ||||||||
Barnes Group, Inc. | 2,200 | 63,536 | ||||||||
Bel Fuse, Inc., Class B | 800 | 20,200 | ||||||||
Bloom Energy Corp., Class A (a) | 32,438 | 648,436 | ||||||||
BWX Technologies, Inc. | 5,900 | 297,183 | ||||||||
Carrier Global Corp. | 3,100 | 110,236 | ||||||||
Caterpillar, Inc. | 1,100 | 180,488 | ||||||||
Chase Corp. | 100 | 8,357 | ||||||||
Cognex Corp. | 3,900 | 161,655 | ||||||||
Columbus McKinnon Corp. | 200 | 5,232 | ||||||||
Commercial Vehicle Group, Inc. (a) | 600 | 2,700 | ||||||||
CVD Equipment Corp. (a) | 200 | 1,040 | ||||||||
CyberOptics Corp. (a) | 600 | 32,268 | ||||||||
Donaldson Co., Inc. | 400 | 19,604 | ||||||||
Douglas Dynamics, Inc. | 100 | 2,802 | ||||||||
Dover Corp. | 8,600 | 1,002,588 | ||||||||
Ducommun, Inc. (a) | 200 | 7,932 | ||||||||
Emerson Electric Co. | 2,400 | 175,728 | ||||||||
Enerpac Tool Group Corp. | 500 | 8,915 | ||||||||
FARO Technologies, Inc. (a) | 200 | 5,488 | ||||||||
Federal Signal Corp. | 1,900 | 70,908 | ||||||||
Flowserve Corp. | 4,400 | 106,920 | ||||||||
Fortive Corp. | 100 | 5,830 | ||||||||
General Dynamics Corp. | 8,400 | 1,782,228 | ||||||||
Gibraltar Industries, Inc. (a) | 1,200 | 49,116 | ||||||||
Gorman-Rupp Co. (The) | 500 | 11,895 | ||||||||
Hayward Holdings, Inc. (a) | 900 | 7,983 | ||||||||
HEICO Corp. | 1,600 | 230,368 |
See Notes to Consolidated Financial Statements.
31
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Security Description | Shares | Value | ||||||||
Helios Technologies, Inc. | 200 | $ | 10,120 | |||||||
Hubbell, Inc. | 100 | 22,300 | ||||||||
Hurco Cos., Inc. | 100 | 2,248 | ||||||||
Hydrofarm Holdings Group, Inc. | 5,500 | 10,670 | ||||||||
Hyliion Holdings Corp. (a) | 9,600 | 27,552 | ||||||||
IDEX Corp. | 200 | 39,970 | ||||||||
Insteel Industries, Inc. | 400 | 10,612 | ||||||||
Intevac, Inc. (a) | 500 | 2,325 | ||||||||
Kaman Corp. | 300 | 8,379 | ||||||||
Kennametal, Inc. | 3,600 | 74,088 | ||||||||
Keysight Technologies, Inc. (a) | 6,400 | 1,007,104 | ||||||||
LB Foster Co., Class A (a) | 100 | 976 | ||||||||
Lincoln Electric Holdings, Inc. | 1,500 | 188,580 | ||||||||
Lockheed Martin Corp. | 9,500 | 3,669,755 | ||||||||
LSI Industries, Inc. | 900 | 6,921 | ||||||||
Manitowoc Co., Inc. (The) (a) | 6,400 | 49,600 | ||||||||
Mayville Engineering Co., Inc. | 1,100 | 7,161 | ||||||||
Modine Manufacturing Co. (a) | 400 | 5,176 | ||||||||
nLight, Inc. (a) | 4,400 | 41,580 | ||||||||
NN, Inc. (a) | 3,300 | 5,643 | ||||||||
Nordson Corp. | 300 | 63,681 | ||||||||
Orion Energy Systems, Inc. (a) | 1,200 | 1,872 | ||||||||
Otis Worldwide Corp. | 15,800 | 1,008,040 | ||||||||
PACCAR, Inc. | 8,100 | 677,889 | ||||||||
Pentair plc | 2,400 | 97,512 | ||||||||
Powell Industries, Inc. | 300 | 6,324 | ||||||||
Proto Labs, Inc. (a) | 2,000 | 72,860 | ||||||||
REV Group, Inc. | 300 | 3,309 | ||||||||
Shyft Group, Inc. (The) | 2,500 | 51,075 | ||||||||
Standex International Corp. | 300 | 24,495 | ||||||||
Stanley Black & Decker, Inc. | 500 | 37,605 | ||||||||
Tennant Co. | 200 | 11,312 | ||||||||
Thermon Group Holdings, Inc. (a) | 2,300 | 35,443 | ||||||||
Timken Co. | 700 | 41,328 | ||||||||
Titan International, Inc. (a) | 5,100 | 61,914 | ||||||||
Triumph Group, Inc. (a) | 1,600 | 13,744 | ||||||||
TuSimple Holdings, Inc., Class A (a) | 14,100 | 107,160 | ||||||||
Valmont Industries, Inc. | 100 | 26,862 | ||||||||
Vishay Precision Group, Inc. (a) | 400 | 11,836 | ||||||||
Wabash National Corp. | 200 | 3,112 | ||||||||
Watts Water Technologies, Inc., Class A | 200 | 25,146 | ||||||||
XL Fleet Corp. (a) | 4,800 | 4,272 | ||||||||
|
| |||||||||
18,001,560 | ||||||||||
|
| |||||||||
Industrial Services — 0.2% | ||||||||||
Acacia Research Corp. (a) | 3,700 | 14,948 | ||||||||
Alta Equipment Group, Inc. | 1,000 | 11,010 |
See Notes to Consolidated Financial Statements.
32
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Security Description | Shares | Value | ||||||||
Atlas Technical Consultants, Inc. (a) | 400 | $ | 2,660 | |||||||
Avalon Holdings Corp., Class A (a) | 200 | 530 | ||||||||
Barrett Business Services, Inc. | 500 | 39,000 | ||||||||
BGSF, Inc. | 300 | 3,333 | ||||||||
Brady Corp., Class A | 1,100 | 45,903 | ||||||||
CBIZ, Inc. (a) | 400 | 17,112 | ||||||||
Cintas Corp. | 300 | 116,457 | ||||||||
Civeo Corp. (a) | 525 | 13,193 | ||||||||
Concrete Pumping Holdings, Inc. (a) | 800 | 5,160 | ||||||||
CoreCivic, Inc. (a) | 9,700 | 85,748 | ||||||||
CorVel Corp. (a) | 300 | 41,529 | ||||||||
Covenant Transportation Group, Inc., Class A | 800 | 22,960 | ||||||||
CRA International, Inc. | 300 | 26,622 | ||||||||
CryoPort, Inc. (a) | 100 | 2,436 | ||||||||
CSX Corp. | 89,500 | 2,384,280 | ||||||||
Daseke, Inc. (a) | 6,400 | 34,624 | ||||||||
DHT Holdings, Inc. | 7,900 | 59,724 | ||||||||
Dorian LPG Ltd. | 300 | 4,071 | ||||||||
DXP Enterprises, Inc. (a) | 300 | 7,104 | ||||||||
Eagle Bulk Shipping, Inc. | 3,797 | 163,955 | ||||||||
Emerald Holding, Inc. (a) | 2,200 | 7,436 | ||||||||
Ennis, Inc. | 1,100 | 22,143 | ||||||||
EVI Industries, Inc. | 100 | 1,814 | ||||||||
Fastenal Co. | 400 | 18,416 | ||||||||
Fluor Corp. (a) | 9,900 | 246,411 | ||||||||
Franklin Covey Co. (a) | 700 | 31,773 | ||||||||
Frontier Group Holdings, Inc. (a) | 7,700 | 74,690 | ||||||||
FTI Consulting, Inc. (a) | 200 | 33,142 | ||||||||
Genco Shipping & Trading Ltd. | 5,800 | 72,674 | ||||||||
Geo Group, Inc. (The) (a) | 34,700 | 267,190 | ||||||||
Great Lakes Dredge & Dock Corp. (a) | 1,400 | 10,612 | ||||||||
H&E Equipment Services, Inc. | 2,500 | 70,850 | ||||||||
Hackett Group, Inc. | 1,500 | 26,580 | ||||||||
Harsco Corp. | 1,500 | 5,610 | ||||||||
Herc Holdings, Inc. | 200 | 20,776 | ||||||||
Hudson Technologies, Inc. (a) | 8,900 | 65,415 | ||||||||
Huron Consulting Group, Inc. (a) | 1,300 | 86,125 | ||||||||
Information Services Group, Inc. | 4,300 | 20,468 | ||||||||
Insperity, Inc. | 1,600 | 163,344 | ||||||||
International Seaways, Inc. | 300 | 10,539 | ||||||||
Iteris, Inc. (a) | 100 | 297 | ||||||||
Kelly Services, Inc., Class A | 1,800 | 24,462 | ||||||||
Kforce, Inc. | 900 | 52,785 | ||||||||
Lawson Products, Inc. (a) | 100 | 2,817 | ||||||||
Limbach Holdings, Inc. (a) | 200 | 1,520 | ||||||||
Marten Transport Ltd. | 5,499 | 105,361 | ||||||||
Mistras Group, Inc. (a) | 1,400 | 6,244 |
See Notes to Consolidated Financial Statements.
33
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Security Description | Shares | Value | ||||||||
Navigator Holdings Ltd. (a) | 1,300 | $ | 14,885 | |||||||
Nordic American Tankers Ltd. | 39,200 | 104,664 | ||||||||
Norfolk Southern Corp. | 3,500 | 733,775 | ||||||||
Orion Group Holdings, Inc. (a) | 500 | 1,320 | ||||||||
Overseas Shipholding Group, Inc., Class A (a) | 9,900 | 29,403 | ||||||||
PAM Transportation Services, Inc. (a) | 100 | 3,096 | ||||||||
Pangaea Logistics Solutions Ltd. | 4,100 | 18,942 | ||||||||
Primoris Services Corp. | 1,400 | 22,750 | ||||||||
PureCycle Technologies, Inc. (a) | 400 | 3,228 | ||||||||
Quad/Graphics, Inc. (a) | 1,100 | 2,816 | ||||||||
Radiant Logistics, Inc. (a) | 2,200 | 12,518 | ||||||||
Resources Connection, Inc. | 1,000 | 18,070 | ||||||||
Schneider National, Inc., Class B | 6,800 | 138,040 | ||||||||
ShotSpotter, Inc. (a) | 400 | 11,504 | ||||||||
SkyWest, Inc. (a) | 700 | 11,382 | ||||||||
SP Plus Corp. (a) | 100 | 3,132 | ||||||||
Sterling Construction Co., Inc. (a) | 100 | 2,147 | ||||||||
Teekay Corp. (a) | 12,700 | 45,593 | ||||||||
Teekay Tankers Ltd., Class A (a) | 8,163 | 224,809 | ||||||||
Titan Machinery, Inc. (a) | 2,500 | 70,650 | ||||||||
Transcat, Inc. (a) | 400 | 30,276 | ||||||||
TriNet Group, Inc. (a) | 3,100 | 220,782 | ||||||||
Triton International Ltd. | 4,400 | 240,812 | ||||||||
Tutor Perini Corp. (a) | 5,300 | 29,256 | ||||||||
Union Pacific Corp. | 12,300 | 2,396,286 | ||||||||
US Xpress Enterprises, Inc., Class A (a) | 3,000 | 7,380 | ||||||||
V2X, Inc. (a) | 100 | 3,540 | ||||||||
Viad Corp. (a) | 500 | 15,790 | ||||||||
Wilhelmina International, Inc. (a) | 100 | 409 | ||||||||
WillScot Mobile Mini Holdings Corp. (a) | 2,900 | 116,957 | ||||||||
Yellow Corp. (a) | 14,400 | 73,008 | ||||||||
|
| |||||||||
9,159,073 | ||||||||||
|
| |||||||||
Insurance — 0.1% | ||||||||||
Argo Group International Holdings Ltd. | 2,600 | 50,076 | ||||||||
Brighthouse Financial, Inc. (a) | 5,400 | 234,468 | ||||||||
Citizens, Inc. (a) | 1,300 | 4,342 | ||||||||
CNO Financial Group, Inc. | 3,000 | 53,910 | ||||||||
Donegal Group, Inc., Class A | 1,800 | 24,282 | ||||||||
eHealth, Inc. (a) | 7,600 | 29,716 | ||||||||
Employers Holdings, Inc. | 400 | 13,796 | ||||||||
Erie Indemnity Co., Class A | 200 | 44,462 | ||||||||
Genworth Financial, Inc., Class A (a) | 13,800 | 48,300 | ||||||||
Greenlight Capital Re Ltd., A Shares (a) | 1,900 | 14,136 | ||||||||
Hallmark Financial Services, Inc. (a) | 900 | 945 | ||||||||
Hartford Financial Services Group, Inc. | 100 | 6,194 | ||||||||
HCI Group, Inc. | 500 | 19,600 |
See Notes to Consolidated Financial Statements.
34
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Security Description | Shares | Value | ||||||||
Heritage Insurance Holdings, Inc. | 3,200 | $ | 7,232 | |||||||
Jackson Financial, Inc., Class A | 13,000 | 360,750 | ||||||||
Kingstone Cos., Inc. | 100 | 266 | ||||||||
Lemonade, Inc. (a) | 4,827 | 102,236 | ||||||||
Maiden Holdings Ltd. (a) | 400 | 860 | ||||||||
MBIA, Inc. (a) | 200 | 1,840 | ||||||||
Mercury General Corp. | 1,200 | 34,104 | ||||||||
Progressive Corp. | 4,900 | 569,429 | ||||||||
Root, Inc., Class A | 883 | 6,958 | ||||||||
Ryan Specialty Holdings, Inc. (a) | 2,100 | 85,302 | ||||||||
SiriusPoint Ltd. (a) | 2,100 | 10,395 | ||||||||
Tiptree, Inc. | 200 | 2,152 | ||||||||
Trean Insurance Group, Inc. (a) | 2,500 | 8,500 | ||||||||
United Insurance Holdings Corp. | 2,200 | 1,409 | ||||||||
Universal Insurance Holdings, Inc. | 2,300 | 22,655 | ||||||||
Unum Group | 22,700 | 880,760 | ||||||||
W. R. Berkley Corp. | 900 | 58,122 | ||||||||
|
| |||||||||
2,697,197 | ||||||||||
|
| |||||||||
Materials — 0.3% | ||||||||||
AdvanSix, Inc. | 600 | 19,260 | ||||||||
Alcoa Corp. | 15,601 | 525,130 | ||||||||
Alpha Metallurgical Resources, Inc. | 2,800 | 383,152 | ||||||||
American Vanguard Corp. | 2,000 | 37,400 | ||||||||
Amyris, Inc. (a) | 7,500 | 21,900 | ||||||||
Arch Resources, Inc. | 300 | 35,580 | ||||||||
B2Gold Corp. | 53,900 | 173,558 | ||||||||
Barrick Gold Corp. | 2,700 | 41,850 | ||||||||
Carpenter Technology Corp. | 1,900 | 59,166 | ||||||||
Century Aluminum Co. (a) | 4,600 | 24,288 | ||||||||
CF Industries Holdings, Inc. | 16,100 | 1,549,625 | ||||||||
Codexis, Inc. (a) | 14,600 | 88,476 | ||||||||
Coeur Mining, Inc. (a) | 69,100 | 236,322 | ||||||||
CONSOL Energy, Inc. | 1,500 | 96,480 | ||||||||
Eagle Materials, Inc. | 300 | 32,154 | ||||||||
Eastman Chemical Co. | 7,600 | 539,980 | ||||||||
Ecolab, Inc. | 1,500 | 216,630 | ||||||||
Ecovyst, Inc. | 8,400 | 70,896 | ||||||||
Franco-Nevada Corp. | 3,100 | 370,388 | ||||||||
Gatos Silver, Inc. (a) | 9,600 | 25,728 | ||||||||
Glatfelter Corp. | 10,000 | 31,100 | ||||||||
Gold Resource Corp. | 7,300 | 12,045 | ||||||||
Hallador Energy Co. (a) | 2,300 | 12,926 | ||||||||
Haynes International, Inc. | 100 | 3,512 | ||||||||
Hecla Mining Co. | 4,660 | 18,360 | ||||||||
Ingevity Corp. (a) | 400 | 24,252 | ||||||||
Innospec, Inc. | 100 | 8,567 |
See Notes to Consolidated Financial Statements.
35
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Security Description | Shares | Value | ||||||||
Intrepid Potash, Inc. (a) | 3,700 | $ | 146,409 | |||||||
Kinross Gold Corp. | 5,600 | 21,056 | ||||||||
Kronos Worldwide, Inc. | 1,200 | 11,208 | ||||||||
Livent Corp. (a) | 5,500 | 168,575 | ||||||||
LSB Industries, Inc. (a) | 8,500 | 121,125 | ||||||||
McEwen Mining, Inc. | 4,700 | 15,322 | ||||||||
Methanex Corp. | 100 | 3,187 | ||||||||
Myers Industries, Inc. | 600 | 9,882 | ||||||||
NACCO Industries, Inc., Class A | 300 | 14,109 | ||||||||
New Gold, Inc. (a) | 63,400 | 55,792 | ||||||||
Newmont Corp. | 74,200 | 3,118,626 | ||||||||
O-I Glass, Inc. (a) | 7,300 | 94,535 | ||||||||
Origin Materials, Inc. | 600 | 3,096 | ||||||||
Osisko Gold Royalties Ltd. | 7,200 | 73,296 | ||||||||
Pactiv Evergreen, Inc. | 300 | 2,619 | ||||||||
Pan American Silver Corp. | 1,000 | 15,880 | ||||||||
Park Aerospace Corp. | 400 | 4,416 | ||||||||
Piedmont Lithium, Inc. | 500 | 26,745 | ||||||||
PolyMet Mining Corp. (a) | 1,400 | 4,032 | ||||||||
Ramaco Resources, Inc. | 10,600 | 97,520 | ||||||||
Ranpak Holdings Corp. (a) | 18,600 | 63,612 | ||||||||
Rayonier Advanced Materials, Inc. (a) | 5,100 | 16,065 | ||||||||
Resolute Forest Products, Inc. (a) | 5,700 | 114,000 | ||||||||
Ryerson Holding Corp. | 1,500 | 38,610 | ||||||||
Sandstorm Gold Ltd. | 21,500 | 111,155 | ||||||||
Seabridge Gold, Inc. (a) | 700 | 8,309 | ||||||||
Sealed Air Corp. | 400 | 17,804 | ||||||||
Sherwin-Williams Co. | 1,600 | 327,600 | ||||||||
Silvercorp Metals, Inc. | 37,300 | 86,909 | ||||||||
Southern Copper Corp. | 200 | 8,968 | ||||||||
SunCoke Energy, Inc. | 11,300 | 65,653 | ||||||||
Sylvamo Corp. | 1,500 | 50,850 | ||||||||
Teck Resources Ltd., Class B | 17,900 | 544,339 | ||||||||
Tecnoglass, Inc. | 700 | 14,693 | ||||||||
Ternium SA, ADR | 400 | 10,956 | ||||||||
TimkenSteel Corp. (a) | 4,900 | 73,451 | ||||||||
Trex Co., Inc. (a) | 9,300 | 408,642 | ||||||||
Tronox Holdings plc, Class A | 15,700 | 192,325 | ||||||||
Unifi, Inc. (a) | 1,900 | 18,069 | ||||||||
United States Steel Corp. | 61,500 | 1,114,380 | ||||||||
Venator Materials plc (a) | 4,700 | 4,136 | ||||||||
Warrior Met Coal, Inc. | 9,000 | 255,960 | ||||||||
WestRock Co. | 7,700 | 237,853 | ||||||||
Westwater Resources, Inc. (a) | 1,300 | 1,482 | ||||||||
Yamana Gold, Inc. | 177,300 | 803,169 | ||||||||
|
| |||||||||
13,255,145 | ||||||||||
|
|
See Notes to Consolidated Financial Statements.
36
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Security Description | Shares | Value | ||||||||
Media — 1.0% | ||||||||||
Activision Blizzard, Inc. (b) | 5,987 | $ | 445,073 | |||||||
Airbnb, Inc., Class A (a) | 52,400 | 5,504,096 | ||||||||
Alphabet, Inc., Class A (a) | 48,300 | 4,619,895 | ||||||||
Angi, Inc., Class A (a) | 22,700 | 66,965 | ||||||||
Bumble, Inc., Class A (a) | 3,500 | 75,215 | ||||||||
Charter Communications, Inc., Class A (a) | 13,440 | 4,077,024 | ||||||||
Clear Channel Outdoor Holdings, Inc. (a) | 39,600 | 54,252 | ||||||||
Comcast Corp., Class A | 51,400 | 1,507,562 | ||||||||
Cumulus Media, Inc., Class A (a) | 600 | 4,218 | ||||||||
DHI Group, Inc. (a) | 4,800 | 25,824 | ||||||||
DoorDash, Inc., Class A (a) | 600 | 29,670 | ||||||||
Electronic Arts, Inc. | 17,600 | 2,036,496 | ||||||||
Entercom Communications Corp. (a) | 10,600 | 4,093 | ||||||||
Eventbrite, Inc., Class A (a) | 22,300 | 135,584 | ||||||||
Facebook, Inc., Class A (a),(b) | 87,200 | 11,831,296 | ||||||||
Fiverr International Ltd. (a) | 10,100 | 308,959 | ||||||||
Fluent, Inc. (a) | 3,000 | 4,050 | ||||||||
GoDaddy, Inc., Class A (a) | 10,800 | 765,504 | ||||||||
Harte Hanks, Inc. (a) | 1,300 | 14,495 | ||||||||
HealthStream, Inc. (a) | 1,000 | 21,260 | ||||||||
IMAX Corp. (a) | 6,400 | 90,368 | ||||||||
Liberty Media Corp-Liberty SiriusXM, Class A (b),(c) | 22,282 | 848,276 | ||||||||
Liberty Media Corp-Liberty SiriusXM, Class C (b) | 33,974 | 1,281,159 | ||||||||
LifeMD, Inc. (a) | 1,000 | 1,970 | ||||||||
Magnite, Inc. (a) | 7,400 | 48,618 | ||||||||
Marqeta, Inc., Class A (a) | 156,541 | 1,114,572 | ||||||||
Netflix, Inc. (a) | 13,300 | 3,131,352 | ||||||||
New York Times Co. (The), Class A | 700 | 20,125 | ||||||||
Nextdoor Holdings, Inc. (a) | 300 | 837 | ||||||||
OptimizeRx Corp. (a) | 5,000 | 74,100 | ||||||||
Pinterest, Inc., Class A (a) | 116,300 | 2,709,790 | ||||||||
Quotient Technology, Inc. (a) | 15,900 | 36,729 | ||||||||
ROBLOX Corp., Class A | 34,100 | 1,222,144 | ||||||||
Roku, Inc. (a) | 2,600 | 146,640 | ||||||||
Sciplay Corp., Class A (a) | 2,100 | 24,696 | ||||||||
Shutterstock, Inc. | 3,800 | 190,646 | ||||||||
Snap, Inc., Class A (a) | 390,500 | 3,834,710 | ||||||||
Spotify Technology SA (a) | 11,400 | 983,820 | ||||||||
TechTarget, Inc. (a) | 700 | 41,440 | ||||||||
TEGNA, Inc. | 4,600 | 95,128 | ||||||||
Townsquare Media, Inc., Class A (a) | 500 | 3,630 | ||||||||
TripAdvisor, Inc. (a) | 7,900 | 174,432 | ||||||||
TrueCar, Inc. (a) | 4,600 | 6,946 | ||||||||
Twitter, Inc. (a) | 200 | 8,768 |
See Notes to Consolidated Financial Statements.
37
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Security Description | Shares | Value | ||||||||
Upwork, Inc. (a) | 20,800 | $ | 283,296 | |||||||
Urban One, Inc. (a) | 600 | 2,550 | ||||||||
VeriSign, Inc. (a) | 3,200 | 555,840 | ||||||||
WideOpenWest, Inc. (a) | 1,000 | 12,270 | ||||||||
World Wrestling Entertainment, Inc., Class A | 2,300 | 161,391 | ||||||||
|
| |||||||||
48,637,774 | ||||||||||
|
| |||||||||
Oil & Gas — 0.5% | ||||||||||
Altus Midstream Co., Class A | 3,980 | 129,668 | ||||||||
Amplify Energy Corp. (a) | 3,566 | 23,429 | ||||||||
Antero Resources Corp. (a) | 77,800 | 2,375,234 | ||||||||
Barnwell Industries, Inc. | 200 | 528 | ||||||||
Berry Corp. | 5,900 | 44,250 | ||||||||
Brigham Minerals, Inc., Class A | 3,700 | 91,279 | ||||||||
Cheniere Energy, Inc. | 12,700 | 2,107,057 | ||||||||
Chesapeake Energy Corp. | 808 | 76,122 | ||||||||
Clean Energy Fuels Corp. (a) | 37,400 | 199,716 | ||||||||
Comstock Resources, Inc. (a) | 30,200 | 522,158 | ||||||||
Crescent Point Energy Corp. | 32,400 | 199,584 | ||||||||
CVR Energy, Inc. | 5,900 | 170,982 | ||||||||
Delek US Holdings, Inc. | 16,400 | 445,096 | ||||||||
Earthstone Energy, Inc., Class A (a) | 1,400 | 17,248 | ||||||||
Enerplus Corp. | 14,400 | 204,048 | ||||||||
EnLink Midstream LLC | 13,200 | 117,348 | ||||||||
EQT Corp. | 100,000 | 4,075,000 | ||||||||
Evolution Petroleum Corp. | 4,400 | 30,624 | ||||||||
Exterran Corp. (a) | 3,300 | 13,728 | ||||||||
Flotek Industries, Inc. (a) | 2,300 | 2,300 | ||||||||
Forum Energy Technologies, Inc. (a) | 500 | 10,620 | ||||||||
Golar LNG Ltd. (a) | 5,300 | 132,076 | ||||||||
Halliburton Co. | 200 | 4,924 | ||||||||
Helix Energy Solutions Group, Inc. (a) | 25,500 | 98,430 | ||||||||
HF Sinclair Corp. | 14,100 | 759,144 | ||||||||
HighPeak Energy, Inc. | 200 | 4,332 | ||||||||
Imperial Oil Ltd. | 1,200 | 51,924 | ||||||||
Independence Contract Drilling, Inc. (a) | 2,400 | 7,200 | ||||||||
Kosmos Energy Ltd. (a) | 118,900 | 614,713 | ||||||||
Magnolia Oil & Gas Corp., Class A | 17,900 | 354,599 | ||||||||
Mammoth Energy Services, Inc. (a) | 4,000 | 13,640 | ||||||||
Marathon Oil Corp. | 74,900 | 1,691,242 | ||||||||
Marathon Petroleum Corp. | 200 | 19,866 | ||||||||
Matrix Service Co. (a) | 2,700 | 11,178 | ||||||||
MRC Global, Inc. (a) | �� | 12,100 | 86,999 | |||||||
Murphy Oil Corp. | 6,500 | 228,605 | ||||||||
Murphy USA, Inc. | 2,300 | 632,293 | ||||||||
Nabors Industries Ltd. (a) | 1,000 | 101,450 | ||||||||
Natural Gas Services Group, Inc. (a) | 600 | 6,024 |
See Notes to Consolidated Financial Statements.
38
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Security Description | Shares | Value | ||||||||
Newpark Resources, Inc. (a) | 10,500 | $ | 26,460 | |||||||
NexTier Oilfield Solutions, Inc. (a) | 46,446 | 343,700 | ||||||||
NOW, Inc. (a) | 10,400 | 104,520 | ||||||||
Occidental Petroleum Corp. | 27,800 | 1,708,310 | ||||||||
Oil States International, Inc. (a) | 13,900 | 54,071 | ||||||||
Ovintiv, Inc. | 34,418 | 1,583,228 | ||||||||
Patterson-UTI Energy, Inc. | 12,500 | 146,000 | ||||||||
PBF Energy, Inc., Class A (a) | 33,800 | 1,188,408 | ||||||||
Penn Virginia Corp. | 3,300 | 103,785 | ||||||||
Permian Resources Corp. | 80,600 | 548,080 | ||||||||
PHX Minerals, Inc. | 6,100 | 19,764 | ||||||||
Plains GP Holdings LP, Class A | 9,500 | 103,645 | ||||||||
Precision Drilling Corp. (a) | 800 | 40,504 | ||||||||
Range Resources Corp. | 14,400 | 363,744 | ||||||||
Ring Energy, Inc. (a) | 30,000 | 69,600 | ||||||||
Select Energy Services, Inc., Class A (a) | 7,200 | 50,184 | ||||||||
Sitio Royalties Corp. | 1,075 | 23,768 | ||||||||
SM Energy Co. | 13,100 | 492,691 | ||||||||
Smart Sand, Inc. (a) | 5,200 | 8,112 | ||||||||
Solaris Oilfield Infrastructure, Inc., Class A | 3,400 | 31,824 | ||||||||
Southwestern Energy Co. (a) | 35,300 | 216,036 | ||||||||
Talos Energy, Inc. (a) | 21,700 | 361,305 | ||||||||
Tellurian, Inc. (a) | 1,900 | 4,541 | ||||||||
TETRA Technologies, Inc. (a) | 100 | 359 | ||||||||
Tidewater, Inc. (a) | 1,000 | 21,700 | ||||||||
Transocean Ltd. (a) | 197,533 | 487,907 | ||||||||
TravelCenters of America, Inc. (a) | 1,640 | 88,445 | ||||||||
US Silica Holdings, Inc. (a) | 900 | 9,855 | ||||||||
VAALCO Energy, Inc. | 1,000 | 4,360 | ||||||||
Valero Energy Corp. | 6,200 | 662,470 | ||||||||
Vermilion Energy, Inc. | 9,400 | 201,348 | ||||||||
W&T Offshore, Inc. (a) | 32,500 | 190,450 | ||||||||
Weatherford International plc (a) | 7,600 | 245,404 | ||||||||
World Fuel Services Corp. | 1,400 | 32,816 | ||||||||
|
| |||||||||
25,212,052 | ||||||||||
|
| |||||||||
Private Equity — 0.0% | ||||||||||
Millennium Equity Private Equity (a),(c),(d) | 60,879 | 791,427 | ||||||||
|
| |||||||||
Real Estate — 0.1% | ||||||||||
Agree Realty Corp. | 8,900 | 601,462 | ||||||||
Alpine Income Property Trust, Inc. | 700 | 11,354 | ||||||||
American Assets Trust, Inc. | 900 | 23,148 | ||||||||
Armada Hoffler Properties, Inc. | 1,100 | 11,418 | ||||||||
Bluerock Residential Growth REIT, Inc. | 4,800 | 128,400 | ||||||||
Braemar Hotels & Resorts, Inc. | 8,000 | 34,400 | ||||||||
Broadstone Net Lease, Inc. | 1,500 | 23,295 |
See Notes to Consolidated Financial Statements.
39
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Security Description | Shares | Value | ||||||||
BRT Apartments Corp. | 300 | $ | 6,093 | |||||||
CareTrust REIT, Inc. | 100 | 1,811 | ||||||||
Centerspace | 200 | 13,464 | ||||||||
Chatham Lodging Trust (a) | 2,200 | 21,714 | ||||||||
CIM Commercial Trust Corp. | 200 | 1,278 | ||||||||
Compass, Inc., Class A | 2,400 | 5,568 | ||||||||
CorEnergy Infrastructure Trust, Inc. | 200 | 318 | ||||||||
CTO Realty Growth, Inc. | 1,900 | 35,606 | ||||||||
CubeSmart | 5,500 | 220,330 | ||||||||
Diversified Healthcare Trust | 35,700 | 35,347 | ||||||||
EastGroup Properties, Inc. | 1,900 | 274,246 | ||||||||
Equity LifeStyle Properties, Inc. | 300 | 18,852 | ||||||||
Essential Properties Realty Trust, Inc. | 5,300 | 103,085 | ||||||||
eXp World Holdings, Inc. | 4,400 | 49,324 | ||||||||
Farmland Partners, Inc. | 10,300 | 130,501 | ||||||||
First Industrial Realty Trust, Inc. | 4,500 | 201,645 | ||||||||
Four Corners Property Trust, Inc. | 4,200 | 101,598 | ||||||||
Gaming and Leisure Properties, Inc. | 3,000 | 132,720 | ||||||||
Getty Realty Corp. | 900 | 24,201 | ||||||||
Gladstone Land Corp. | 1,200 | 21,720 | ||||||||
Global Medical REIT, Inc. | 1,000 | 8,520 | ||||||||
Hersha Hospitality Trust, Class A | 4,500 | 35,910 | ||||||||
Industrial Logistics Properties Trust | 700 | 3,850 | ||||||||
Legacy Housing Corp. (a) | 400 | 6,860 | ||||||||
Lexington Realty Trust | 9,300 | 85,188 | ||||||||
Life Storage, Inc. | 4,100 | 454,116 | ||||||||
McGrath RentCorp | 700 | 58,702 | ||||||||
Medalist Diversified REIT, Inc. | 1,400 | 1,142 | ||||||||
National Retail Properties, Inc. | 5,800 | 231,188 | ||||||||
National Storage Affiliates Trust | 8,700 | 361,746 | ||||||||
NETSTREIT Corp. | 7,700 | 137,137 | ||||||||
NexPoint Residential Trust, Inc. | 100 | 4,621 | ||||||||
Omega Healthcare Investors, Inc. | 400 | 11,796 | ||||||||
Park Hotels & Resorts, Inc. | 3,912 | 44,049 | ||||||||
Pebblebrook Hotel Trust | 100 | 1,451 | ||||||||
Plymouth Industrial REIT, Inc. | 2,800 | 47,068 | ||||||||
Postal Realty Trust, Inc., Class A | 100 | 1,467 | ||||||||
Power REIT (a) | 300 | 3,201 | ||||||||
Presidio Property Trust, Inc., Class A | 500 | 625 | ||||||||
Prologis, Inc. | 7,100 | 721,360 | ||||||||
Radius Global Infrastructure, Inc., Class A (a) | 1,500 | 14,130 | ||||||||
Rafael Holdings, Inc., Class B (a) | 2,300 | 4,140 | ||||||||
RE/MAX Holdings, Inc., Class A | 1,900 | 35,929 | ||||||||
Redfin Corp. (a) | 24,000 | 140,160 | ||||||||
Retail Opportunity Investments Corp. | 10,000 | 137,600 | ||||||||
Rexford Industrial Realty, Inc. | 1,535 | 79,820 | ||||||||
RLJ Lodging Trust | 6,100 | 61,732 |
See Notes to Consolidated Financial Statements.
40
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Security Description | Shares | Value | ||||||||
Safehold, Inc. | 100 | $ | 2,646 | |||||||
SBA Communications Corp. | 600 | 170,790 | ||||||||
Service Properties Trust | 1,400 | 7,266 | ||||||||
Summit Hotel Properties, Inc. | 5,100 | 34,272 | ||||||||
Terreno Realty Corp. | 4,800 | 254,352 | ||||||||
Universal Health Realty Income Trust | 500 | 21,605 | ||||||||
Wheeler Real Estate Investment Trust, Inc. (a) | 300 | 390 | ||||||||
Whitestone REIT | 2,900 | 24,534 | ||||||||
|
| |||||||||
5,442,261 | ||||||||||
|
| |||||||||
Renewable Energy — 0.2% | ||||||||||
Alto Ingredients, Inc. | 100 | 364 | ||||||||
American Superconductor Corp. (a) | 200 | 876 | ||||||||
Ballard Power Systems, Inc. (a) | 5,600 | 34,272 | ||||||||
Canadian Solar, Inc. (a) | 1,000 | 37,250 | ||||||||
Eneti, Inc. | 3,590 | 23,945 | ||||||||
Enphase Energy, Inc. (a),(b) | 37,900 | 10,516,113 | ||||||||
FuelCell Energy, Inc. (a) | 2,471 | 8,426 | ||||||||
FutureFuel Corp. | 3,500 | 21,140 | ||||||||
Gevo, Inc. (a) | 43,700 | 99,636 | ||||||||
Infrastructure and Energy Alternatives, Inc. (a) | 7,800 | 105,612 | ||||||||
Plug Power, Inc. | 3,800 | 79,838 | ||||||||
SunPower Corp. (a) | 4,200 | 96,768 | ||||||||
TPI Composites, Inc. (a) | 7,400 | 83,472 | ||||||||
|
| |||||||||
11,107,712 | ||||||||||
|
| |||||||||
Retail & Wholesale—Discretionary — 0.2% | ||||||||||
1-800-Flowers.com, Inc., Class A (a) | 9,900 | 64,251 | ||||||||
Aspen Aerogels, Inc. (a) | 8,800 | 81,136 | ||||||||
AutoZone, Inc. (a) | 600 | 1,285,158 | ||||||||
Avis Budget Group, Inc. (a) | 9,500 | 1,410,370 | ||||||||
Barnes & Noble Education, Inc. (a) | 6,900 | 16,560 | ||||||||
Bassett Furniture Industries, Inc. | 1,000 | 15,680 | ||||||||
BlueLinx Holdings, Inc. (a) | 2,300 | 142,830 | ||||||||
Build-A-Bear Workshop, Inc. | 1,100 | 14,663 | ||||||||
Chewy, Inc., Class A (a) | 28,600 | 878,592 | ||||||||
Chico’s FAS, Inc. (a) | 32,000 | 154,880 | ||||||||
Conn’s, Inc. (a) | 5,600 | 39,648 | ||||||||
Container Store Group, Inc. (The) (a) | 2,800 | 13,720 | ||||||||
Designer Brands, Inc., Class A | 12,600 | 192,906 | ||||||||
Etsy, Inc. (a) | 25,800 | 2,583,354 | ||||||||
Express, Inc. (a) | 12,600 | 13,734 | ||||||||
Figs, Inc., Class A (a) | 7,800 | 64,350 | ||||||||
Freshpet, Inc. (a) | 200 | 10,018 | ||||||||
G-III Apparel Group Ltd. (a) | 2,400 | 35,880 | ||||||||
Gaia, Inc. (a) | 700 | 1,701 |
See Notes to Consolidated Financial Statements.
41
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Security Description | Shares | Value | ||||||||
Guess?, Inc. | 4,400 | $ | 64,548 | |||||||
Haverty Furniture Cos., Inc. | 1,800 | 44,820 | ||||||||
La-Z-Boy, Inc. | 1,600 | 36,112 | ||||||||
Macy’s, Inc. | 300 | 4,701 | ||||||||
Monro, Inc. | 2,900 | 126,034 | ||||||||
Nordstrom, Inc. | 17,000 | 284,410 | ||||||||
Overstock.com, Inc. | 1,100 | 26,785 | ||||||||
Party City Holdco, Inc. (a) | 23,100 | 36,498 | ||||||||
PC Connection, Inc. | 100 | 4,509 | ||||||||
PetMed Express, Inc. | 1,200 | 23,424 | ||||||||
Poshmark, Inc., Class A (a) | 14,200 | 222,514 | ||||||||
Qurate Retail, Inc., Class A | 3,300 | 6,633 | ||||||||
RealReal, Inc. (The) (a) | 19,100 | 28,650 | ||||||||
Revolve Group, Inc. (a) | 11,400 | 247,266 | ||||||||
Rush Enterprises, Inc., Class A | 900 | 39,474 | ||||||||
ScanSource, Inc. (a) | 100 | 2,641 | ||||||||
Shoe Carnival, Inc. | 4,200 | 90,048 | ||||||||
Stitch Fix, Inc., Class A (a) | 22,900 | 90,455 | ||||||||
Tile Shop Holdings, Inc. (a) | 100 | 352 | ||||||||
Vera Bradley, Inc. (a) | 7,300 | 21,973 | ||||||||
Veritiv Corp. (a) | 300 | 29,331 | ||||||||
Wayfair, Inc., Class A (a) | 15,100 | 491,505 | ||||||||
|
| |||||||||
8,942,114 | ||||||||||
|
| |||||||||
Retail & Wholesale—Staples — 0.0% | ||||||||||
Arko Corp. | 4,100 | 38,499 | ||||||||
Laird Superfood, Inc. (a) | 900 | 1,638 | ||||||||
Ollie’s Bargain Outlet Holdings, Inc. (a) | 2,600 | 134,160 | ||||||||
Rite Aid Corp. (a) | 15,500 | 76,725 | ||||||||
Village Super Market, Inc., Class A | 200 | 3,866 | ||||||||
|
| |||||||||
254,888 | ||||||||||
|
| |||||||||
Retail & Wholesale—Staples — 0.0% | ||||||||||
Grocery Outlet Holding Corp. (a) | 1,700 | 56,593 | ||||||||
Kroger Co. | 35,100 | 1,535,625 | ||||||||
Natural Grocers by Vitamin Cottage, Inc. | 1,000 | 10,790 | ||||||||
PriceSmart, Inc. | 400 | 23,036 | ||||||||
Sprouts Farmers Market, Inc. (a) | 2,200 | 61,050 | ||||||||
|
| |||||||||
1,687,094 | ||||||||||
|
| |||||||||
Retail—Discretionary — 0.0% | ||||||||||
Destination XL Group, Inc. (a) | 9,300 | 50,406 | ||||||||
|
| |||||||||
Software & Technology Services — 2.5% | ||||||||||
Accenture plc, Class A | 8,000 | 2,058,400 | ||||||||
Adobe Systems, Inc. (a),(b) | 43,400 | 11,943,680 | ||||||||
Agilysys, Inc. (a) | 300 | 16,605 |
See Notes to Consolidated Financial Statements.
42
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Security Description | Shares | Value | ||||||||
Allscripts Healthcare Solutions, Inc. (a) | 9,900 | $ | 150,777 | |||||||
Alteryx, Inc., Class A (a) | 4,900 | 273,616 | ||||||||
American Software, Inc., Class A | 1,700 | 26,044 | ||||||||
ANSYS, Inc. (a) | 2,600 | 576,420 | ||||||||
Appian Corp., Class A (a) | 600 | 24,498 | ||||||||
Asana, Inc., Class A (a) | 24,100 | 535,743 | ||||||||
Atlassian Corp. PLC, Class A (a) | 19,100 | 4,022,269 | ||||||||
Autodesk, Inc. (a) | 10,000 | 1,868,000 | ||||||||
Automatic Data Processing, Inc. | 15,500 | 3,505,945 | ||||||||
Avaya Holdings Corp. (a) | 17,000 | 27,030 | ||||||||
Avid Technology, Inc. (a) | 1,400 | 32,564 | ||||||||
Bandwidth, Inc., Class A (a) | 6,500 | 77,350 | ||||||||
Bentley Systems, Inc., Class B | 200 | 6,118 | ||||||||
BigCommerce Holdings, Inc. (a) | 5,300 | 78,440 | ||||||||
BlackBerry Ltd. (a) | 15,700 | 73,790 | ||||||||
Booz Allen Hamilton Holding Corp. | 8,400 | 775,740 | ||||||||
Box, Inc., Class A (a) | 23,400 | 570,726 | ||||||||
Brightcove, Inc. (a) | 2,600 | 16,380 | ||||||||
BTRS Holdings, Inc., Class A (a) | 2,200 | 20,372 | ||||||||
C3.ai, Inc., Class A (a) | 1,900 | 23,750 | ||||||||
CACI International, Inc., Class A (a) | 100 | 26,106 | ||||||||
Cadence Design Systems, Inc. (a) | 17,000 | 2,778,310 | ||||||||
Calix, Inc. (a) | 1,900 | 116,166 | ||||||||
Cardlytics, Inc. (a) | 9,100 | 85,540 | ||||||||
Cass Information Systems, Inc. | 500 | 17,345 | ||||||||
Cerence, Inc. (a) | 8,900 | 140,175 | ||||||||
ChannelAdvisor Corp. (a) | 2,200 | 49,852 | ||||||||
Citrix Systems, Inc. | 27,400 | 2,846,860 | ||||||||
Clear Secure, Inc., Class A | 400 | 9,144 | ||||||||
Cloudflare, Inc., Class A (a) | 46,500 | 2,571,915 | ||||||||
CommVault Systems, Inc. (a) | 200 | 10,608 | ||||||||
Computer Programs & Systems, Inc. (a) | 200 | 5,576 | ||||||||
comScore, Inc. (a) | 6,200 | 10,230 | ||||||||
Conduent, Inc. (a) | 18,600 | 62,124 | ||||||||
Confluent, Inc., Class A (a) | 200 | 4,754 | ||||||||
CoStar Group, Inc. (a) | 6,800 | 473,620 | ||||||||
Coupa Software, Inc. (a) | 18,200 | 1,070,160 | ||||||||
Crowdstrike Holdings, Inc. (a) | 6,300 | 1,038,303 | ||||||||
CSG Systems International, Inc. | 1,200 | 63,456 | ||||||||
CyberArk Software Ltd. (a) | 1,200 | 179,928 | ||||||||
Datadog, Inc., Class A (a) | 21,400 | 1,899,892 | ||||||||
Digi International, Inc. (a) | 2,600 | 89,882 | ||||||||
Digimarc Corp. (a) | 1,200 | 16,260 | ||||||||
Digital Turbine, Inc. (a) | 1,300 | 18,733 | ||||||||
DigitalOcean Holdings, Inc. (a) | 15,400 | 557,018 | ||||||||
DocuSign, Inc. (a) | 56,200 | 3,005,014 | ||||||||
Domo, Inc., Class B (a) | 3,900 | 70,161 |
See Notes to Consolidated Financial Statements.
43
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Security Description | Shares | Value | ||||||||
Donnelley Financial Solutions, Inc. (a) | 100 | $ | 3,697 | |||||||
Dropbox, Inc., Class A (a) | 34,000 | 704,480 | ||||||||
Duck Creek Technologies, Inc. | 2,800 | 33,180 | ||||||||
Duolingo, Inc. (a) | 700 | 66,661 | ||||||||
Dynatrace, Inc. (a) | 32,400 | 1,127,844 | ||||||||
Ebix, Inc. | 1,400 | 26,558 | ||||||||
eGain Corp. (a) | 1,100 | 8,085 | ||||||||
Elastic NV (a) | 300 | 21,522 | ||||||||
Everbridge, Inc. (a) | 600 | 18,528 | ||||||||
EVERTEC, Inc. | 3,700 | 115,995 | ||||||||
Evo Payments, Inc., Class A (a) | 700 | 23,310 | ||||||||
Evolent Health, Inc., Class A (a) | 1,300 | 46,709 | ||||||||
ExlService Holdings, Inc. (a) | 1,200 | 176,832 | ||||||||
Fair Isaac Corp. (a) | 200 | 82,402 | ||||||||
Fastly, Inc., Class A (a) | 34,100 | 312,356 | ||||||||
Forrester Research, Inc. (a) | 500 | 18,005 | ||||||||
Fortinet, Inc. (a) | 41,800 | 2,053,634 | ||||||||
Gartner, Inc. (a) | 1,700 | 470,373 | ||||||||
Green Dot Corp., Class A (a) | 8,200 | 155,636 | ||||||||
Grid Dynamics Holdings, Inc. (a) | 5,100 | 95,523 | ||||||||
Health Catalyst, Inc. (a) | 5,700 | 55,290 | ||||||||
I3 Verticals, Inc., Class A (a) | 100 | 2,003 | ||||||||
ICF International, Inc. | 700 | 76,314 | ||||||||
Immersion Corp. (a) | 6,100 | 33,489 | ||||||||
Inseego Corp. (a) | 9,500 | 19,665 | ||||||||
Integral Ad Science Holding Corp. | 300 | 2,172 | ||||||||
Jack Henry & Associates, Inc. | 700 | 127,589 | ||||||||
KnowBe4, Inc., Class A | 2,100 | 43,701 | ||||||||
Kubient, Inc. (a) | 300 | 294 | ||||||||
Limelight Networks, Inc. (a) | 28,000 | 77,840 | ||||||||
LivePerson, Inc. (a) | 6,400 | 60,288 | ||||||||
LiveRamp Holdings, Inc. | 1,600 | 29,056 | ||||||||
Loyalty Ventures, Inc. | 100 | 121 | ||||||||
Manhattan Associates, Inc. (a) | 2,600 | 345,878 | ||||||||
MarketAxess Holdings, Inc. | 2,900 | 645,221 | ||||||||
MasterCard, Inc., Class A | 3,700 | 1,052,058 | ||||||||
Maximus, Inc. | 1,900 | 109,953 | ||||||||
Microsoft Corp. | 36,200 | 8,430,980 | ||||||||
MicroStrategy, Inc., Class A (a) | 2,600 | 551,876 | ||||||||
Mitek Systems, Inc. (a) | 3,200 | 29,312 | ||||||||
Model N, Inc. (a) | 1,300 | 44,499 | ||||||||
Momentive Global, Inc. (a) | 19,200 | 111,552 | ||||||||
MoneyGram International, Inc. (a) | 8,500 | 88,400 | ||||||||
Moneylion, Inc. (a) | 400 | 357 | ||||||||
MSCI, Inc. | 3,100 | 1,307,549 | ||||||||
NetSol Technologies, Inc. (a) | 200 | 628 | ||||||||
New Relic, Inc. (a) | 6,400 | 367,232 |
See Notes to Consolidated Financial Statements.
44
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Security Description | Shares | Value | ||||||||
NextGen Healthcare, Inc. (a) | 4,300 | $ | 76,110 | |||||||
NortonLifeLock, Inc. | 44,700 | 900,258 | ||||||||
Nutanix, Inc., Class A (a) | 16,900 | 352,027 | ||||||||
Nuvei Corp. | 200 | 5,410 | ||||||||
Okta, Inc. (a) | 7,900 | 449,273 | ||||||||
Olo, Inc., Class A (a) | 5,000 | 39,500 | ||||||||
ON24, Inc. (a) | 2,900 | 25,520 | ||||||||
OneSpan, Inc. (a) | 1,800 | 15,498 | ||||||||
Open Lending Corp., Class A (a) | 14,700 | 118,188 | ||||||||
Open Text Corp. | 400 | 10,576 | ||||||||
Oracle Corp. | 60,900 | 3,719,163 | ||||||||
PagerDuty, Inc. (a) | 12,900 | 297,603 | ||||||||
Palantir Technologies, Inc., Class A | 22,200 | 180,486 | ||||||||
Palo Alto Networks, Inc. (a),(b) | 37,700 | 6,174,883 | ||||||||
Parsons Corp. | 300 | 11,760 | ||||||||
Paychex, Inc. | 8,200 | 920,122 | ||||||||
Paycom Software, Inc. (a) | 3,300 | 1,088,967 | ||||||||
Paylocity Holding Corp. (a) | 2,100 | 507,318 | ||||||||
Paymentus Holdings, Inc., Class A | 200 | 1,944 | ||||||||
Payoneer Global, Inc. (a) | 15,800 | 95,590 | ||||||||
PayPal Holdings, Inc. (a),(b) | 72,300 | 6,222,861 | ||||||||
Paysafe Ltd. (a) | 9,500 | 13,110 | ||||||||
PDF Solutions, Inc. (a) | 1,200 | 29,436 | ||||||||
Pegasystems, Inc. | 600 | 19,284 | ||||||||
Phreesia, Inc. (a) | 3,500 | 89,180 | ||||||||
Ping Identity Holding Corp. (a) | 3,100 | 87,017 | ||||||||
Progress Software Corp. | 100 | 4,255 | ||||||||
Qualys, Inc. (a) | 4,200 | 585,438 | ||||||||
Rapid7, Inc. (a) | 900 | 38,610 | ||||||||
Red Violet, Inc. | 200 | 3,464 | ||||||||
Rimini Street, Inc. (a) | 4,200 | 19,572 | ||||||||
RingCentral, Inc., Class A (a) | 2,000 | 79,920 | ||||||||
Sabre Corp. (a) | 43,900 | 226,085 | ||||||||
Salesforce, Inc. (a) | 2,600 | 373,984 | ||||||||
Schrodinger, Inc. (a) | 1,500 | 37,470 | ||||||||
SecureWorks Corp., Class A (a) | 1,000 | 8,050 | ||||||||
SEMrush Holdings, Inc., Class A (a) | 700 | 7,847 | ||||||||
ServiceNow, Inc. (a) | 100 | 37,761 | ||||||||
ShiftPixy, Inc. | 28 | 386 | ||||||||
Shopify, Inc., Class A (a) | 84,300 | 2,271,042 | ||||||||
Smartsheet, Inc., Class A (a) | 6,500 | 223,340 | ||||||||
Snowflake, Inc., Class A (a) | 500 | 84,980 | ||||||||
SolarWinds Corp. | 1,900 | 14,725 | ||||||||
Sprout Social, Inc., Class A (a) | 6,600 | 400,488 | ||||||||
SPS Commerce, Inc. (a) | 600 | 74,538 | ||||||||
Synopsys, Inc. (a) | 3,300 | 1,008,183 | ||||||||
Tabula Rasa HealthCare, Inc. (a) | 5,346 | 25,661 |
See Notes to Consolidated Financial Statements.
45
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Security Description | Shares | Value | ||||||||
Tenable Holdings, Inc. (a) | 4,500 | $ | 156,600 | |||||||
TTEC Holdings, Inc. | 800 | 35,448 | ||||||||
Twilio, Inc., Class A (a) | 21,800 | 1,507,252 | ||||||||
Tyler Technologies, Inc. (a) | 300 | 104,250 | ||||||||
UiPath, Inc., Class A (a) | 23,400 | 295,074 | ||||||||
Unity Software, Inc. (a) | 27,400 | 872,964 | ||||||||
Varonis Systems, Inc. (a) | 13,000 | 344,760 | ||||||||
Veeva Systems, Inc., Class A (a) | 5,500 | 906,840 | ||||||||
Verra Mobility Corp. (a) | 21,500 | 330,455 | ||||||||
Vimeo, Inc. (a) | 27,800 | 111,200 | ||||||||
VirnetX Holding Corp. (a) | 3,400 | 3,978 | ||||||||
Visa, Inc., Class A (b) | 66,900 | 11,884,785 | ||||||||
VMware, Inc., Class A | 12,800 | 1,362,688 | ||||||||
Western Union Co. (The) | 53,200 | 718,200 | ||||||||
Workday, Inc., Class A (a) | 5,000 | 761,100 | ||||||||
Workiva, Inc. (a) | 3,600 | 280,080 | ||||||||
Yext, Inc. (a) | 23,400 | 104,364 | ||||||||
Zedge, Inc., Class B (a) | 1,500 | 3,540 | ||||||||
Zoom Video Communications, Inc., Class A (a) | 70,200 | 5,166,018 | ||||||||
Zscaler, Inc. (a) | 15,900 | 2,613,483 | ||||||||
Zuora, Inc., Class A (a) | 22,900 | 169,002 | ||||||||
|
| |||||||||
117,805,000 | ||||||||||
|
| |||||||||
Tech Hardware & Semiconductors — 0.8% | ||||||||||
A10 Networks, Inc. | 6,400 | 84,928 | ||||||||
Airgain, Inc. (a) | 400 | 2,884 | ||||||||
Akoustis Technologies, Inc. (a) | 300 | 891 | ||||||||
Alpha & Omega Semiconductor Ltd. (a) | 2,500 | 76,900 | ||||||||
Ambarella, Inc. (a) | 6,000 | 337,080 | ||||||||
Amkor Technology, Inc. | 500 | 8,525 | ||||||||
Amtech Systems, Inc. (a) | 700 | 5,950 | ||||||||
Applied Materials, Inc. | 3,000 | 245,790 | ||||||||
Applied Optoelectronics, Inc. (a) | 6,300 | 17,136 | ||||||||
Arista Networks, Inc. (a) | 20,300 | 2,291,667 | ||||||||
Arlo Technologies, Inc. (a) | 10,800 | 50,112 | ||||||||
Autoscope Technologies Corp. | 200 | 910 | ||||||||
Aviat Networks, Inc. (a) | 1,000 | 27,380 | ||||||||
Axcelis Technologies, Inc. (a) | 50 | 3,028 | ||||||||
AXT, Inc. (a) | 2,800 | 18,760 | ||||||||
Benchmark Electronics, Inc. | 1,000 | 24,780 | ||||||||
Broadcom, Inc. | 2,600 | 1,154,426 | ||||||||
CalAmp Corp. (a) | 10,300 | 39,552 | ||||||||
Cambium Networks Corp. (a) | 1,500 | 25,380 | ||||||||
Casa Systems, Inc. (a) | 4,799 | 15,021 | ||||||||
Celestica, Inc. (a) | 7,600 | 63,916 | ||||||||
CEVA, Inc. (a) | 400 | 10,492 |
See Notes to Consolidated Financial Statements.
46
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Security Description | Shares | Value | ||||||||
Cirrus Logic, Inc. (a) | 1,000 | $ | 68,800 | |||||||
Cisco Systems, Inc. (b) | 212,600 | 8,504,000 | ||||||||
Comtech Telecommunications Corp. | 300 | 3,003 | ||||||||
Corning, Inc. | 200 | 5,804 | ||||||||
Daktronics, Inc. (a) | 4,400 | 11,924 | ||||||||
Diebold Nixdorf, Inc. (a) | 4,800 | 11,712 | ||||||||
Dolby Laboratories, Inc., Class A | 2,400 | 156,360 | ||||||||
EMCORE Corp. (a) | 10,500 | 17,535 | ||||||||
Enovix Corp. (a) | 6,100 | 111,843 | ||||||||
Everspin Technologies, Inc. (a) | 2,300 | 13,317 | ||||||||
Extreme Networks, Inc. (a) | 1,600 | 20,912 | ||||||||
Flex Ltd. | 900 | 14,994 | ||||||||
FormFactor, Inc. (a) | 3,000 | 75,150 | ||||||||
Garmin Ltd. | 10,500 | 843,255 | ||||||||
GoPro, Inc., Class A (a) | 29,100 | 143,463 | ||||||||
Harmonic, Inc. (a) | 9,400 | 122,858 | ||||||||
Identiv, Inc. (a) | 1,100 | 13,794 | ||||||||
Impinj, Inc. (a) | 3,700 | 296,111 | ||||||||
Infinera Corp. (a) | 2,000 | 9,680 | ||||||||
Intel Corp. (b) | 424,900 | 10,949,673 | ||||||||
Intellicheck, Inc. (a) | 1,200 | 3,024 | ||||||||
InterDigital, Inc. | 2,700 | 109,134 | ||||||||
inTEST Corp. (a) | 900 | 6,867 | ||||||||
IPG Photonics Corp. (a) | 4,500 | 379,575 | ||||||||
Juniper Networks, Inc. | 100 | 2,612 | ||||||||
Kopin Corp. (a) | 16,361 | 17,179 | ||||||||
Lattice Semiconductor Corp. (a) | 6,200 | 305,102 | ||||||||
Luna Innovations, Inc. | 1,100 | 4,884 | ||||||||
MaxLinear, Inc., Class A (a) | 6,900 | 225,078 | ||||||||
Microchip Technology, Inc. | 5,800 | 353,974 | ||||||||
NetApp, Inc. | 18,700 | 1,156,595 | ||||||||
NETGEAR, Inc. (a) | 1,600 | 32,064 | ||||||||
Netscout Systems, Inc. (a) | 100 | 3,132 | ||||||||
NVIDIA Corp. | 7,600 | 922,564 | ||||||||
O2Micro International Ltd., ADR (a) | 100 | 423 | ||||||||
Photronics, Inc. (a) | 14,700 | 214,914 | ||||||||
Pixelworks, Inc. (a) | 6,300 | 10,143 | ||||||||
PlayAGS, Inc. (a) | 4,900 | 25,970 | ||||||||
Power Integrations, Inc. | 4,600 | 295,872 | ||||||||
Powerfleet, Inc. (a) | 100 | 308 | ||||||||
Pure Storage, Inc., Class A (a) | 62,500 | 1,710,625 | ||||||||
QUALCOMM, Inc. | 5,100 | 576,198 | ||||||||
Quantum Corp. (a) | 1,800 | 1,944 | ||||||||
Rambus, Inc. (a) | 2,100 | 53,382 | ||||||||
Ribbon Communications, Inc. (a) | 1,500 | 3,330 | ||||||||
Semtech Corp. (a) | 17,700 | 520,557 | ||||||||
SiTime Corp. | 4,300 | 338,539 |
See Notes to Consolidated Financial Statements.
47
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Security Description | Shares | Value | ||||||||
SkyWater Technology, Inc. | 100 | $ | 765 | |||||||
Skyworks Solutions, Inc. | 9,300 | 793,011 | ||||||||
Sonim Technologies, Inc. | 40 | 20 | ||||||||
Sonos, Inc. | 2,400 | 33,360 | ||||||||
Stratasys Ltd. (a) | 11,300 | 162,833 | ||||||||
Super Micro Computer, Inc. (a) | 400 | 22,028 | ||||||||
Synaptics, Inc. (a) | 4,500 | 445,545 | ||||||||
TESSCO Technologies, Inc. (a) | 400 | 1,656 | ||||||||
Universal Electronics, Inc. (a) | 200 | 3,934 | ||||||||
Veeco Instruments, Inc. (a) | 4,030 | 73,830 | ||||||||
Viavi Solutions, Inc. (a) | 2,300 | 30,015 | ||||||||
Vicor Corp. (a) | 700 | 41,398 | ||||||||
VOXX International Corp. (a) | 2,000 | 15,220 | ||||||||
Xerox Holdings Corp. | 23,800 | �� | 311,304 | |||||||
Zebra Technologies Corp., Class A (a) | 500 | 131,005 | ||||||||
|
| |||||||||
35,239,609 | ||||||||||
|
| |||||||||
Telecommunications — 0.0% | ||||||||||
Cogent Communications Holdings, Inc. | 1,900 | 99,104 | ||||||||
EchoStar Corp., Class A (a) | 3,300 | 54,351 | ||||||||
ESC NII Holdings, Inc. (d) | 50,677 | 13,176 | ||||||||
Gogo, Inc. (a) | 10,800 | 130,896 | ||||||||
Iridium Communications, Inc. (a) | 800 | 35,496 | ||||||||
Ooma, Inc. (a) | 1,000 | 12,300 | ||||||||
Planet Labs PBC (a) | 2,200 | 11,946 | ||||||||
Spok Holdings, Inc. | 3,100 | 23,684 | ||||||||
Verizon Communications, Inc. | 13,300 | 505,001 | ||||||||
|
| |||||||||
885,954 | ||||||||||
|
| |||||||||
Transportation & Logistics — 0.0% | ||||||||||
American Airlines Group, Inc. (a) | 77,000 | 927,080 | ||||||||
JetBlue Airways Corp. (a) | 200 | 1,326 | ||||||||
Mesa Air Group, Inc. (a) | 7,900 | 13,035 | ||||||||
Universal Logistics Holdings, Inc. | 800 | 25,376 | ||||||||
|
| |||||||||
966,817 | ||||||||||
|
| |||||||||
Utilities — 0.0% | ||||||||||
Alliant Energy Corp. | 100 | 5,299 | ||||||||
Consolidated Water Co. Ltd. | 1,000 | 15,380 | ||||||||
Eversource Energy | 1,300 | 101,348 | ||||||||
FirstEnergy Corp. | 600 | 22,200 | ||||||||
NextEra Energy Partners LP | 100 | 7,231 | ||||||||
NextEra Energy, Inc. | 7,200 | 564,552 | ||||||||
Northwest Natural Holding Co. | 1,600 | 69,408 | ||||||||
NorthWestern Corp. | 4,800 | 236,544 | ||||||||
ONE Gas, Inc. | 200 | 14,078 |
See Notes to Consolidated Financial Statements.
48
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Security Description | Shares | Value | ||||||||||
PNM Resources, Inc. | 500 | $ | 22,865 | |||||||||
Public Service Enterprise Group, Inc. | 2,500 | 140,575 | ||||||||||
SJW Group | 200 | 11,520 | ||||||||||
Southern Co. | 1,700 | 115,600 | ||||||||||
Unitil Corp. | 300 | 13,935 | ||||||||||
York Water Co. (The) | 600 | 23,058 | ||||||||||
|
| |||||||||||
1,363,593 | ||||||||||||
|
| |||||||||||
Waste & Environmental Services & Equipment — 0.0% |
| |||||||||||
CECO Environmental Corp. (a) | 5,000 | 44,250 | ||||||||||
Energy Recovery, Inc. (a) | 3,700 | 80,438 | ||||||||||
Heritage-Crystal Clean, Inc. (a) | 1,300 | 38,441 | ||||||||||
Republic Services, Inc. | 300 | 40,812 | ||||||||||
|
| |||||||||||
203,941 | ||||||||||||
|
| |||||||||||
Total North America |
| 861,008,231 | ||||||||||
|
| |||||||||||
Oceania — 0.0% | ||||||||||||
Materials — 0.0% | ||||||||||||
BHP Group Ltd., ADR | 2,800 | 140,112 | ||||||||||
|
| |||||||||||
Total Oceania | 140,112 | |||||||||||
|
| |||||||||||
South America — 0.1% | ||||||||||||
Banking — 0.0% | ||||||||||||
Bancolombia SA, ADR | 2,500 | 60,925 | ||||||||||
|
| |||||||||||
Consumer Discretionary Services — 0.0% | ||||||||||||
Arcos Dorados Holdings, Inc., Class A | 14,763 | 107,622 | ||||||||||
|
| |||||||||||
Industrial Products — 0.0% | ||||||||||||
Embraer SA, ADR (a) | 200 | 1,720 | ||||||||||
|
| |||||||||||
Materials — 0.0% | ||||||||||||
Nexa Resources SA | 2,100 | 10,836 | ||||||||||
Sociedad Quimica y Minera de Chile SA, ADR | 15,400 | 1,397,550 | ||||||||||
Wheaton Precious Metals Corp. | 14,800 | 478,928 | ||||||||||
|
| |||||||||||
1,887,314 | ||||||||||||
|
| |||||||||||
Media — 0.0% | ||||||||||||
Liberty Latin America Ltd., Class C | 200 | 1,230 | ||||||||||
|
| |||||||||||
Oil & Gas — 0.1% | ||||||||||||
Geopark Ltd. | 5,200 | 60,996 | ||||||||||
Gran Tierra Energy, Inc. (a) | 103,100 | 124,751 | ||||||||||
Petroleo Brasileiro SA, ADR | 142,200 | 1,754,748 | ||||||||||
|
| |||||||||||
1,940,495 | ||||||||||||
|
|
See Notes to Consolidated Financial Statements.
49
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Security Description | Shares | Value | ||||||||||
Retail & Wholesale—Staples — 0.0% | ||||||||||||
Cia Brasileira de Distribuicao, ADR | 10,700 | $ | 37,878 | |||||||||
|
| |||||||||||
Software & Technology Services — 0.0% | ||||||||||||
StoneCo Ltd., A Shares (a) | 67,100 | 639,463 | ||||||||||
|
| |||||||||||
Total South America | 4,676,647 | |||||||||||
|
| |||||||||||
TOTAL COMMON STOCK | 901,453,322 | |||||||||||
|
| |||||||||||
PREFERRED STOCK — 0.2% | ||||||||||||
North America — 0.2% | ||||||||||||
Consumer Discretionary Services — 0.0% | ||||||||||||
Journey Beyond Preferred Equity (a),(c),(d) | 15,330 | 1,389,319 | ||||||||||
|
| |||||||||||
Financial Services — 0.1% | ||||||||||||
ATI EQUITY (a),(c),(d) | 3,039 | 3,061,793 | ||||||||||
|
| |||||||||||
Retail & Wholesale—Discretionary — 0.1% | ||||||||||||
Guitar Center, Inc. (a),(c),(d) | 38,645 | 4,994,866 | ||||||||||
|
| |||||||||||
Total North America | 9,445,978 | |||||||||||
|
| |||||||||||
TOTAL PREFERRED STOCK | 9,445,978 | |||||||||||
|
| |||||||||||
Security Description | Principal Amount | Value | ||||||||||
ASSET-BACKED SECURITIES — 3.7% | ||||||||||||
North America — 3.7% | ||||||||||||
ACE Securities Corp. Home Equity Loan Trust, Series 2005-AG1, Class M2, 1 mo. USD | $ | 759,728 | 585,523 | |||||||||
Ajax Mortgage Loan Trust, Series 2021-E, Class B2, 4.01%, 12/25/60 (b),(c),(e),(f) | 762,000 | 567,458 | ||||||||||
Allegany Park CLO Ltd., Series 2019-1A, Class AR, 3 mo. TSFR + 1.30%, | 5,300,000 | 5,049,978 | ||||||||||
Allegro CLO XII Ltd., Series 2020-1A, Class E, 3 mo. USD LIBOR + 7.10%, 9.83%, 01/21/32 (b),(c),(e),(f) | 1,000,000 | 843,668 | ||||||||||
AMSR Trust, Series 2022-SFR3, Class E1, | 118,000 | 100,984 | ||||||||||
Arbor Realty Collateralized Loan Obligation Ltd., Series 2020-FL1, Class C, 1 mo. TSFR + 2.16%, 5.01%, 02/15/35 (b),(c),(e),(f) | 1,792,000 | 1,748,488 |
See Notes to Consolidated Financial Statements.
50
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Ares LIV CLO Ltd., Series 2019-54A, Class E, 3 mo. USD LIBOR + 7.34%, | $ | 250,000 | $ | 207,240 | ||||||
Ares LXI CLO Ltd., Series 2021-61A, Class E, 3 mo. USD LIBOR + 6.25%, | 1,000,000 | 821,417 | ||||||||
Ares XLIII CLO Ltd., Series 2017-43A, Class ER, 3 mo. USD LIBOR + 6.86%, | 1,500,000 | 1,243,183 | ||||||||
Bain Capital Credit CLO Ltd., | ||||||||||
Series 2020-3A, Class A1R, 3 mo. USD LIBOR + 1.16%, 3.94%, 10/23/34 (c) | 6,000,000 | 5,711,286 | ||||||||
Series 2022-1A, Class A1, 3 mo. TSFR + 1.32%, 2.22%, 04/18/35 (c) | 7,000,000 | 6,670,125 | ||||||||
Balboa Bay Loan Funding Ltd., Series 2021-1A, Class E, 3 mo. USD LIBOR + 6.16%, | 1,000,000 | 804,025 | ||||||||
Barings CLO Ltd., | ||||||||||
Series 2019-2A, Class DR, 3 mo. USD LIBOR + 6.78%, 9.29%, 04/15/36 (b),(c),(e),(f) | 500,000 | 422,240 | ||||||||
Series 2019-4A, Class E, 3 mo. USD LIBOR + 7.39%, 9.90%, 01/15/33 (c),(e),(f) | 500,000 | 430,701 | ||||||||
Series 2020-4A, Class A, 3 mo. USD LIBOR + 1.22%, 3.93%, 01/20/32 (b),(c) | 10,000,000 | 9,745,190 | ||||||||
Series 2021-2A, Class E, 3 mo. USD LIBOR + 6.25%, 8.76%, 07/15/34 (b),(c),(e),(f) | 1,000,000 | 837,267 | ||||||||
Benefit Street Partners CLO IV Ltd., Series 2014-IVA, Class DRR, 3 mo. USD LIBOR + 7.20%, 9.91%, 01/20/32 (b),(c),(e),(f) | 1,000,000 | 855,017 | ||||||||
Benefit Street Partners CLO XX Ltd., Series 2020-20A, Class ER, 3 mo. USD LIBOR + 6.75%, 9.26%, 07/15/34 (b),(c),(e),(f) | 1,000,000 | 828,584 | ||||||||
Benefit Street Partners CLO XXI Ltd., Series 2020-21A, Class ER, 3 mo. USD | 1,000,000 | 826,583 | ||||||||
BlueMountain CLO XXIX Ltd., Series 2020-29A, Class ER, 3 mo. USD LIBOR + 6.86%, | 1,000,000 | 835,746 | ||||||||
BlueMountain CLO XXVIII Ltd., Series 2021-28A, Class E, 3 mo. USD LIBOR + 6.40%, | 250,000 | 204,779 | ||||||||
BlueMountain CLO XXX Ltd., Series 2020-30A, Class AR, 3 mo. TSFR + 1.37%, | 7,250,000 | 6,913,593 |
See Notes to Consolidated Financial Statements.
51
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
BPCRE 2022-FL2 Ltd., | ||||||||||
Series 2022-FL2, Class AS, 1 mo. TSFR + 3.10%, 6.12%, 01/16/37 (c),(e),(f) | $ | 1,000,000 | $ | 999,999 | ||||||
Series 2022-FL2, Class B, 1 mo. TSFR + 3.80%, 6.82%, 01/16/37 (c),(e),(f) | 1,000,000 | 988,864 | ||||||||
Broad River Bsl Funding CLO Ltd., | 2,000,000 | 1,621,934 | ||||||||
BSPRT 2022-FL9 Issuer Ltd., Series 2022-FL9, Class C, 1 mo. TSFR + 3.92%, | 1,277,000 | 1,251,540 | ||||||||
CARLYLE US CLO Ltd., Series 2020-1A, Class DR, 3 mo. USD LIBOR + 6.25%, 8.96%, 07/20/34 (b),(c),(e),(f) | 1,000,000 | 826,537 | ||||||||
CarVal CLO I Ltd., Series 2018-1A, Class E, | 2,000,000 | 1,666,408 | ||||||||
CarVal CLO II Ltd., Series 2019-1A, Class ER, 3 mo. USD LIBOR + 6.57%, 9.28%, 04/20/32 (b),(c),(e),(f) | 2,500,000 | 2,045,345 | ||||||||
CarVal CLO IV Ltd., Series 2021-1A, Class E, 3 mo. USD LIBOR + 6.60%, 9.31%, 07/20/34 (b),(c),(e),(f) | 1,000,000 | 799,400 | ||||||||
Cedar Funding IV CLO Ltd., Series 2014-4A, Class ERR, 3 mo. USD LIBOR + 6.61%, 9.39%, 07/23/34 (b),(c),(e),(f) | 1,500,000 | 1,224,997 | ||||||||
Cedar Funding VI CLO Ltd., Series 2016-6A, Class ERR, 3 mo. USD LIBOR + 6.72%, 9.43%, 04/20/34 (b),(c),(e),(f) | 1,250,000 | 1,038,445 | ||||||||
Cedar Funding XII CLO Ltd., Series 2020-12A, Class A1R, 3 mo. USD LIBOR + 1.13%, 3.91%, 10/25/34 (b),(c) | 8,325,000 | 7,968,390 | ||||||||
CIFC Funding Ltd., Series 2019-3A, Class DR, 3 mo. USD LIBOR + 6.80%, 9.54%, 10/16/34 (b),(c),(e),(f) | 1,000,000 | 848,732 | ||||||||
CoreVest American Finance Trust, | ||||||||||
Series 2017-2, Class M, | 1,000,000 | 903,180 | ||||||||
Series 2019-2, Class XA, | 4,421,684 | 337,618 | ||||||||
Series 2019-3, Class XA, | 9,156,023 | 450,925 | ||||||||
Series 2020-1, Class E, | 125,000 | 106,686 | ||||||||
Series 2020-4, Class XB, | 1,000,000 | 115,655 |
See Notes to Consolidated Financial Statements.
52
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Series 2020-4, Class XA, | $ | 865,648 | $ | 102,127 | ||||||
Series 2021-1, Class XA, | 836,361 | 69,142 | ||||||||
Series 2021-2, Class XA, | 844,033 | 84,069 | ||||||||
Countrywide Asset-Backed Certificates, Series 2007-3, Class 2A4, 1 mo. USD LIBOR + ..32%, 3.40%, 05/25/47 (c),(e) | 321,698 | 200,920 | ||||||||
Dryden 95 CLO Ltd., Series 2021-95A, Class E, 3 mo. USD LIBOR + 6.15%, | 1,000,000 | 829,710 | ||||||||
FBR Securitization Trust, Series 2005-5, Class M4, 1 mo. USD LIBOR + .98%, 4.06%, 11/25/35 (c),(e) | 512,000 | 298,182 | ||||||||
FFMLT Trust, Series 2005-FF11, Class M3, 1 mo. USD LIBOR + .93%, 4.01%, 11/25/35 (c),(e) | 289,163 | 234,233 | ||||||||
FirstKey Homes 2022-SFR1 Trust, Series 2022-SFR1, Class E1, 5.00%, 05/17/39 (b),(c),(f) | 1,000,000 | 904,322 | ||||||||
Fort Washington CLO Ltd., Series 2021-2A, Class E, 3 mo. USD LIBOR + 6.61%, 9.32%, 10/20/34 (b),(c),(e),(f) | 1,500,000 | 1,239,217 | ||||||||
FS Rialto Issuer Ltd., | ||||||||||
Series 2022-FL4, Class C, SOFR30A + 3.25%, 5.53%, 01/19/39 (b),(c),(e),(f) | 1,000,000 | 963,535 | ||||||||
Series 2022-FL5, Class C, 1 mo. TSFR + 3.92%, 6.94%, 06/19/37 (c),(e),(f) | 1,000,000 | 985,339 | ||||||||
Galaxy 30 CLO Ltd., Series 2022-30A, Class E, 3 mo. TSFR + 6.95%, 7.64%, 04/15/35 (b),(c),(e),(f) | 1,000,000 | 827,474 | ||||||||
Galaxy XXII CLO Ltd., Series 2016-22A, Class ERR, 3 mo. USD LIBOR + 6.50%, 9.24%, 04/16/34 (b),(c),(e),(f) | 500,000 | 395,767 | ||||||||
Galaxy XXVII CLO Ltd., Series 2018-27A, Class E, 3 mo. USD LIBOR + 5.78%, 8.70%, 05/16/31 (b),(c),(e),(f) | 1,000,000 | 843,685 | ||||||||
Goldentree Loan Management US CLO 8 Ltd., Series 2020-8A, Class ER, 3 mo. USD LIBOR + 6.15%, 8.86%, 10/20/34 (b),(c),(e),(f) | 1,000,000 | 816,327 | ||||||||
GoldentTree Loan Management US CLO 1 Ltd., Series 2021-11A, Class A, 3 mo. USD LIBOR + 1.13%, 3.84%, 10/20/34 (b),(c) | 10,000,000 | 9,569,700 | ||||||||
Greywolf CLO II Ltd., Series 2013-1A, Class C1RR, 3 mo. USD LIBOR + 3.35%, 5.86%, 04/15/34 (b),(c),(e),(f) | 1,000,000 | 880,206 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
GSAA Home Equity Trust, Series 2004-5, Class M2, 4.43%, 06/25/34 (c),(h) | $ | 295,260 | $ | 218,091 | ||||||
Gulf Stream Meridian 5 Ltd., Series 2021-5A, Class D, 3 mo. USD LIBOR + 6.33%, 8.84%, 07/15/34 (b),(c),(e),(f) | 1,500,000 | 1,211,652 | ||||||||
Halsey Point CLO I Ltd., Series 2019-1A, Class E, 3 mo. USD LIBOR + 7.70%, 10.41%, 01/20/33 (b),(c),(e),(f) | 1,000,000 | 861,072 | ||||||||
HalseyPoint CLO 4 Ltd., Series 2021-4A, Class E, 3 mo. USD LIBOR + 6.71%, 9.42%, 04/20/34 (b),(c),(e),(f) | 1,500,000 | 1,218,462 | ||||||||
HalseyPoint CLO 5 Ltd., Series 2021-5A, Class E, 3 mo. USD LIBOR + 6.94%, 9.72%, 01/30/35 (b),(c),(e),(f) | 1,000,000 | 809,435 | ||||||||
Jamestown CLO XIV Ltd., Series 2019-14A, Class DR, 3 mo. USD LIBOR + 7.20%, 9.91%, 10/20/34 (b),(c),(e),(f) | 1,500,000 | 1,240,495 | ||||||||
Kayne CLO II Ltd., Series 2018-2A, Class ER, 3 mo. USD LIBOR + 6.00%, 8.51%, 10/15/31 (b),(c),(e),(f) | 416,667 | 351,983 | ||||||||
Kayne CLO III Ltd., Series 2019-3A, Class ER, 3 mo. USD LIBOR + 6.50%, 9.01%, 04/15/32 (b),(c),(e),(f) | 1,000,000 | 841,424 | ||||||||
Lehman XS Trust, Series 2007-9, Class 1A3, 1 mo. USD LIBOR + .60%, 3.68%, 06/25/37 (c) | 734,578 | 586,835 | ||||||||
Long Beach Mortgage Loan Trust, | ||||||||||
Series 2006-10, Class 2A3, 1 mo. USD LIBOR + .16%, 3.24%, 11/25/36 (c),(e) | 3,037,157 | 1,032,251 | ||||||||
Series 2006-4, Class 2A4, 1 mo. USD LIBOR + .52%, 3.60%, 05/25/36 (c),(e) | 6,916,161 | 2,062,883 | ||||||||
Magnetite XII Ltd., Series 2015-12A, Class ARR, 3 mo. USD LIBOR + 1.10%, 3.61%, 10/15/31 (c) | 5,000,000 | 4,875,070 | ||||||||
Magnetite XXVIII Ltd., Series 2020-28A, Class AR, 3 mo. USD LIBOR + 1.13%, 3.84%, 01/20/35 (b),(c) | 10,000,000 | 9,602,150 | ||||||||
Mastr Asset Backed Securities Trust, | ||||||||||
Series 2006-WMC3, Class A4, 1 mo. USD LIBOR + .16%, 3.24%, 08/25/36 (c),(e) | 480,752 | 175,674 | ||||||||
Series 2006-WMC4, Class A5, 1 mo. USD LIBOR + .15%, 3.23%, 10/25/36 (c),(e) | 514,832 | 180,523 | ||||||||
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-H1, Class 2A2, 1 mo. USD LIBOR + 3.50%, 6.58%, 10/25/37 (c),(e) | 706,456 | 469,059 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
MF1 Ltd., | ||||||||||
Series 2021-FL7, Class C, 1 mo. USD LIBOR + 2.05%, 5.04%, 10/16/36 (c),(e),(f) | $ | 310,000 | $ | 290,857 | ||||||
Series 2022-FL9, Class B, 1 mo. TSFR + 3.15%, 6.17%, 06/19/37 (c),(e),(f) | 1,213,000 | 1,203,451 | ||||||||
Series 2022-FL9, Class C, 1 mo. TSFR + 3.70%, 6.72%, 06/19/37 (c),(e),(f) | 1,000,000 | 989,103 | ||||||||
Neuberger Berman Loan Advisers CLO 31 Ltd., Series 2019-31A, Class ER, 3 mo. USD LIBOR + 6.50%, 9.21%, 04/20/31 (c) | 1,000,000 | 855,062 | ||||||||
Neuberger Berman Loan Advisers CLO 38 Ltd., Series 2020-38A, Class ER, 3 mo. USD LIBOR + 6.25%, 8.96%, 10/20/35 (b),(c),(e),(f) | 1,000,000 | 813,831 | ||||||||
New Mountain CLO 2 Ltd., Series CLO-2A, Class E, 3 mo. USD LIBOR + 6.36%, 8.87%, 04/15/34 (b),(c),(e),(f) | 1,000,000 | 828,464 | ||||||||
New Residential Mortgage Loan Trust, Series 2022-SFR2, Class E1, 4.00%, 09/04/39 (c) | 161,000 | 135,754 | ||||||||
OCP CLO Ltd., | ||||||||||
Series 2015-10A, Class DR2, 3 mo. USD LIBOR + 2.95%, 5.72%, 01/26/34 (b),(c),(e),(f) | 1,000,000 | 876,149 | ||||||||
Series 2020-18A, Class ER, 3 mo. USD LIBOR + 6.43%, 9.14%, 07/20/32 (b),(c),(e),(f) | 1,000,000 | 845,464 | ||||||||
Series 2021-22A, Class E, 3 mo. USD LIBOR + 6.60%, 9.31%, 12/02/34 (b),(c),(e),(f) | 2,000,000 | 1,654,536 | ||||||||
Series 2022-25A, Class E1, 3 mo. TSFR + 6.15%, 0.00%, 07/20/35 (c) | 1,000,000 | 882,635 | ||||||||
Octagon Investment Partners XXI Ltd., Series 2014-1A, Class AAR3, 3 mo. USD LIBOR + 1.00%, 3.91%, 02/14/31 (c) | 5,000,000 | 4,849,095 | ||||||||
Palmer Square CLO Ltd., | ||||||||||
Series 2015-1A, Class A1A4, 3 mo. USD LIBOR + 1.13%, 4.11%, 05/21/34 (b),(c) | 10,000,000 | 9,584,680 | ||||||||
Series 2021-4A, Class A, 3 mo. USD LIBOR + 1.17%, 3.68%, 10/15/34 (c) | 8,000,000 | 7,681,048 | ||||||||
Series 2022-3A, Class E, 3 mo. TSFR + 7.98%, 10.47%, 07/20/35 (c),(e),(f) | 1,000,000 | 880,274 | ||||||||
Parallel Ltd., | ||||||||||
Series 2019-1A, Class E, 3 mo. USD LIBOR + 6.72%, 9.43%, 07/20/32 (b),(c),(e),(f) | 666,500 | 544,810 | ||||||||
Series 2021-2A, Class D, 3 mo. USD LIBOR + 7.20%, 9.91%, 10/20/34 (b),(c),(e),(f) | 1,000,000 | 804,097 |
See Notes to Consolidated Financial Statements.
55
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Park Avenue Institutional Advisers CLO Ltd., Series 2022-1A, Class D, 3 mo. TSFR + 7.29%, 7.92%, 04/20/35 (b),(c),(e),(f) | $ | 1,000,000 | $ | 810,711 | ||||||
Pikes Peak CLO 6, Series 2020-6A, Class ER2, 3 mo. USD LIBOR + 6.43%, | 500,000 | 414,760 | ||||||||
Post CLO 2021-1 Ltd., Series 2021-1A, Class E, 3 mo. USD LIBOR + 6.45%, | 1,000,000 | 840,696 | ||||||||
PPM CLO 2 Ltd., Series 2019-2A, Class E, 3 mo. USD LIBOR + 6.55%, 9.29%, 04/16/32 (b),(c),(e),(f) | 1,750,000 | 1,451,282 | ||||||||
PPM CLO 3 Ltd., Series 2019-3A, Class ER, 3 mo. USD LIBOR + 6.61%, 9.35%, 04/17/34 (b),(c),(e),(f) | 500,000 | 405,021 | ||||||||
PRET 2021-NPL3 LLC, Series 2021-NPL3, Class A2, 3.72%, 07/25/51 (b),(c),(f),(h) | 101,000 | 92,405 | ||||||||
Progress Residential Trust, | ||||||||||
Series 2021-SFR11, Class F, | 100,000 | 80,685 | ||||||||
Series 2021-SFR8, Class E1, | 100,000 | 84,306 | ||||||||
Series 2021-SFR9, Class F, | 100,000 | 80,441 | ||||||||
Series 2022-SFR1, Class G, | 100,000 | 82,068 | ||||||||
Series 2022-SFR2, Class E1, | 100,000 | 90,423 | ||||||||
Series 2022-SFR3, Class E1, | 1,000,000 | 928,495 | ||||||||
Series 2022-SFR3, Class E2, | 1,000,000 | 912,343 | ||||||||
Series 2022-SFR4, Class E1, | 100,000 | 93,101 | ||||||||
RASC Trust, | ||||||||||
Series 2006-KS1, Class M4, 1 mo. USD LIBOR + .53%, 3.88%, 02/25/36 (c),(e) | 321,574 | 246,561 | ||||||||
Series 2006-KS8, Class M1, 1 mo. USD LIBOR + .29%, 3.37%, 10/25/36 (c),(e) | 282,953 | 238,584 | ||||||||
Rockford Tower CLO Ltd., Series 2020-1A, Class E, 3 mo. USD LIBOR + 6.90%, | 1,500,000 | 1,273,731 | ||||||||
Romark CLO II Ltd., Series 2018-2A, Class D, 3 mo. USD LIBOR + 6.25%, | 2,250,000 | 1,828,658 |
See Notes to Consolidated Financial Statements.
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Security Description | Principal Amount | Value | ||||||||||
Romark CLO IV Ltd., Series 2021-4A, Class D, 3 mo. USD LIBOR + 6.95%, | $ | 500,000 | $ | 400,233 | ||||||||
RR 2 Ltd., Series 2017-2A, Class DR, 3 mo. USD LIBOR + 5.80%, 8.31%, 04/15/36 (b),(c),(e),(f) | 1,000,000 | 804,329 | ||||||||||
Shackleton XIV CLO Ltd., Series 2019-14A, Class ER, 3 mo. USD LIBOR + 7.32%, | 500,000 | 409,100 | ||||||||||
Sound Point CLO XXIII, Series 2019-2A, Class ER, 3 mo. USD LIBOR + 6.47%, | 2,400,000 | 1,739,551 | ||||||||||
STAR Trust, | ||||||||||||
Series 2022-SFR3, Class E1, 1 mo. TSFR + 3.20%, 6.22%, 05/17/24 (b),(c),(e),(f) | 1,000,000 | 971,234 | ||||||||||
Series 2022-SFR3, Class E2, 1 mo. TSFR + 3.70%, 6.72%, 05/17/24 (b),(c),(e),(f) | 1,000,000 | 966,635 | ||||||||||
TCI-Flatiron CLO Ltd., Series 2017-1A, Class E, 3 mo. USD LIBOR + 6.35%, | 750,000 | 645,452 | ||||||||||
Trinitas CLO IV Ltd., Series 2021-4A, Class E, 3 mo. USD LIBOR + 6.25%, | 1,000,000 | 827,134 | ||||||||||
Trinitas CLO V Ltd., Series 2021-5A, Class E, 3 mo. USD LIBOR + 6.35%, | 1,500,000 | 1,236,265 | ||||||||||
Trinitas CLO VI Ltd., Series 2017-6A, Class ER, 3 mo. USD LIBOR + 6.82%, | 1,000,000 | 842,021 | ||||||||||
Vericrest Opportunity Loan Transferee, Series 2021-NP11, Class A2, | 100,000 | 93,600 | ||||||||||
Vibrant CLO XIII Ltd., Series 2021-13A, Class D, 3 mo. USD LIBOR + 7.06%, | 1,500,000 | 1,220,943 | ||||||||||
VOLT CIII LLC, Series 2021-CF1, Class A2, | 124,000 | 116,756 | ||||||||||
Voya CLO Ltd., | ||||||||||||
Series 2018-3A, Class A1A, 3 mo. USD LIBOR + 1.15%, 3.66%, 10/15/31 (b),(c) | 5,602,000 | 5,482,705 | ||||||||||
Series 2018-3A, Class E, 3 mo. USD LIBOR + 5.75%, 8.26%, 10/15/31 (b),(c),(e),(f) | 1,500,000 | 1,154,640 | ||||||||||
Series 2020-3A, Class DR, 3 mo. USD LIBOR + 3.25%, 5.96%, 10/20/34 (b),(c),(e),(f) | 1,100,000 | 949,895 | ||||||||||
|
| |||||||||||
Total North America | 175,962,818 | |||||||||||
|
| |||||||||||
TOTAL ASSET-BACKED SECURITIES (COST $191,072,407) | 175,962,818 | |||||||||||
|
|
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Security Description | Principal Amount | Value | ||||||||||
CONVERTIBLE BONDS — 0.1% | ||||||||||||
North America — 0.1% | ||||||||||||
Financial Services — 0.1% | ||||||||||||
RWT Holdings, Inc., 5.75%, 10/01/25 (b),(c) | $ | 3,418,000 | $ | 2,903,591 | ||||||||
|
| |||||||||||
Total North America | 2,903,591 | |||||||||||
|
| |||||||||||
TOTAL CONVERTIBLE BONDS | 2,903,591 | |||||||||||
|
| |||||||||||
BANK DEBT — 3.2% | ||||||||||||
Europe — 0.2% | ||||||||||||
Pharmaceuticals — 0.2% | ||||||||||||
Mallinckrodt International Finance S.A., | ||||||||||||
2022 USD Exit Term Loan, 3 mo. LIBOR + 5.50%, 7.50%, 09/30/27 (c) | 1,778,201 | 1,445,908 | ||||||||||
2022 USD Term Loan, 8.73%, 09/30/27 (c) | 13,505,054 | 10,865,897 | ||||||||||
|
| |||||||||||
12,311,805 | ||||||||||||
|
| |||||||||||
Total Europe | 12,311,805 | |||||||||||
|
| |||||||||||
North America — 2.4% | ||||||||||||
Apparel & Textile Products — 0.0% | ||||||||||||
Mad Engine Global, LLC, | ||||||||||||
Term Loan, 6 mo. LIBOR + 7.00%, | 778,113 | 710,029 | ||||||||||
Term Loan, 6 mo. LIBOR + 7.00%, | 775,265 | 707,429 | ||||||||||
|
| |||||||||||
1,417,458 | ||||||||||||
|
| |||||||||||
Consumer Discretionary Services — 0.1% | ||||||||||||
Journey Beyond, AUD Term Loan, | 3,185,569 | AUD | 2,037,649 | |||||||||
|
| |||||||||||
Consumer Services — 0.0% | ||||||||||||
8th Avenue Food & Provisions, Inc. , 2018 1st Lien Term Loan, 6.87%, 10/01/25 (c),(e) | 1,820,113 | 1,587,484 | ||||||||||
|
| |||||||||||
Entertainment Resources — 0.3% | ||||||||||||
Alterra Mountain Company, 2021 Series B-2 Consenting Term Loan, 1 mo. LIBOR + 3.50%, 6.62%, 08/17/28 (c),(d),(e) | 108,900 | 105,361 | ||||||||||
Equinox Holdings, Inc., | ||||||||||||
2017 1st Lien Term Loan, | 14,912,446 | 11,252,633 | ||||||||||
2017 2nd Lien Term Loan, | 3,281,628 | 2,162,527 | ||||||||||
|
| |||||||||||
13,520,521 | ||||||||||||
|
|
See Notes to Consolidated Financial Statements.
58
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Exploration & Production — 0.0% | ||||||||||
Par Pacific Holdings, Inc. , Term Loan B, | $ | 1,640,152 | $ | 1,610,088 | ||||||
|
| |||||||||
Food & Beverage — 0.3% | ||||||||||
HB Acquisitions LLC , 2022 AUD Term Loan, 11.81%, 02/15/25 (c),(d) | 21,079,817 | 13,214,030 | ||||||||
|
| |||||||||
Health Care Facilities & Services — 0.1% | ||||||||||
Team Health Holdings, Inc., | ||||||||||
1st Lien Term Loan, 5.87%, 02/06/24 (c),(e) | 2,481,019 | 2,255,395 | ||||||||
2022 Term Loan B, 8.28%, 03/02/27 (c),(e) | 1,379,605 | 1,171,519 | ||||||||
U.S. Renal Care, Inc., 2019 Term Loan B, | 2,651,683 | 1,898,844 | ||||||||
|
| |||||||||
5,325,758 | ||||||||||
|
| |||||||||
Home Improvement — 0.0% | ||||||||||
Stitch Acquisition Corporation , Term Loan B, | 1,554,321 | 1,339,312 | ||||||||
|
| |||||||||
Industrial Other — 0.3% | ||||||||||
Brand Energy & Infrastructure Services, Inc. , 2017 Term Loan, 6.60%, 06/21/24 (c),(e) | 2,174,565 | 1,887,261 | ||||||||
QualTek USA, LLC, 2018 1st Lien Term Loan, | 12,683,112 | 9,385,503 | ||||||||
|
| |||||||||
11,272,764 | ||||||||||
|
| |||||||||
Industrial Services — 0.3% | ||||||||||
American Auto Auction Group, LLC , 2021 Term Loan B, 8.70%, 12/30/27 (c),(i) | 9,405,403 | 8,652,971 | ||||||||
TKC Holdings, Inc., 2022 PIK Toggle Holdco Term Loan, 6 mo. LIBOR + 12.00%, | 3,597,323 | 3,084,704 | ||||||||
|
| |||||||||
11,737,675 | ||||||||||
|
| |||||||||
Leisure Products — 0.1% | ||||||||||
Bulldog Purchaser, Inc., 2018 Term Loan, 1 mo. LIBOR + 3.75%, 6.88%, 09/05/25 (c),(e) | 4,317,252 | 3,881,209 | ||||||||
|
| |||||||||
Machinery Manufacturing — 0.3% | ||||||||||
Arcline FM Holdings, LLC , 2021 2nd Lien Term Loan, 11.89%, 06/23/29 (c),(d),(e) | 4,416,711 | 4,107,542 | ||||||||
Engineered Machinery Holdings, Inc., | ||||||||||
2021 USD 2nd Lien Incremental Term Loan, 10.17%, 05/21/29 (c),(d),(e) | 1,122,432 | 1,060,698 | ||||||||
2021 USD 2nd Lien Term Loan, 3 mo. LIBOR + 6.00%, 9.67%, 05/21/29 (c),(d),(e) | 5,586,000 | 5,194,980 |
See Notes to Consolidated Financial Statements.
59
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Security Description | Principal Amount | Value | ||||||||||
2021 USD 2nd Lien Term Loan, 3 mo. LIBOR + 6.00%, 9.67%, 05/21/29 (c),(d),(e) | $ | 5,959,028 | $ | 5,541,896 | ||||||||
|
| |||||||||||
15,905,116 | ||||||||||||
|
| |||||||||||
Publishing & Broadcasting — 0.2% | ||||||||||||
A-L Parent LLC , 2016 1st Lien Term Loan, | 11,800,959 | 9,642,327 | ||||||||||
|
| |||||||||||
Refining & Marketing — 0.1% | ||||||||||||
Gulf Finance, LLC , 2021 Term Loan, | 3,853,122 | 3,026,088 | ||||||||||
|
| |||||||||||
Software & Services — 0.1% | ||||||||||||
Constant Contact, Inc. , Second Lien Term Loan, | 2,830,542 | 2,179,518 | ||||||||||
DMT Solutions Global Corporation, | ||||||||||||
2020 Incremental Term Loan, 3 mo. LIBOR + 6.00%, 9.64%, 07/02/24 (c),(d),(e) | 1,898,309 | 1,793,902 | ||||||||||
2020 Incremental Term Loan, 3 mo. LIBOR + 6.00%, 10.38%, 07/02/24 (c),(d),(e) | 1,971,949 | 1,863,491 | ||||||||||
Project Ruby Ultimate Parent Corp., 2021 Term Loan, 1 mo. LIBOR + 3.25%, | 305,679 | 284,511 | ||||||||||
|
| |||||||||||
6,121,422 | ||||||||||||
|
| |||||||||||
Travel & Lodging — 0.2% | ||||||||||||
Hilton Grand Vacations Borrower LLC, 2021 Term Loan B, 1 mo. LIBOR + 3.00%, | 1,396,448 | 1,348,885 | ||||||||||
Hornblower Sub, LLC, | ||||||||||||
2020 Repriced Term Loan B, | 10,512,434 | 7,232,555 | ||||||||||
2020 Term Loan, 11.05%, 11/10/25 (c),(d),(e) | 108,047 | 106,967 | ||||||||||
|
| |||||||||||
8,688,407 | ||||||||||||
|
| |||||||||||
Utilities — 0.0% | ||||||||||||
Brazos Electric Power Cooperative, Inc., Revolver, 3 mo. USD LIBOR, | 1,549,028 | 1,308,929 | ||||||||||
|
| |||||||||||
Total North America | 111,636,237 | |||||||||||
|
| |||||||||||
South America — 0.6% | ||||||||||||
Consumer Discretionary Services — 0.2% | ||||||||||||
Infinity Bidco US LLC , Fixed Term Loan, | 5,715,388 | 5,715,388 |
See Notes to Consolidated Financial Statements.
60
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Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Security Description | Principal Amount | Value | ||||||||||
McLaren Racing Limited, GBP Term Loan, | 1,920,370 | GBP | $ | 2,357,793 | ||||||||
|
| |||||||||||
8,073,181 | ||||||||||||
|
| |||||||||||
Health Care — 0.0% | ||||||||||||
New Millennium HoldCo, Inc. , 2020 Term Loan, 5.65%, 05/01/25 (c),(d) | $ | 2,269,623 | 2,178,838 | |||||||||
|
| |||||||||||
Health Care Facilities & Services — 0.1% | ||||||||||||
Gordian Medical, Inc. , Term Loan B, | 5,794,188 | 4,867,118 | ||||||||||
|
| |||||||||||
Industrial Other — 0.1% | ||||||||||||
Infinity Bidco US LLC , 2021 Incremental Fixed Term Loan, 9.50%, 04/01/28 (c),(d) | 2,449,167 | 2,449,167 | ||||||||||
|
| |||||||||||
Industrial Products — 0.1% | ||||||||||||
Latam Airlines Group S.A. , 2022 PIK DIP Delayed Draw Term Loan C, | 3,340,741 | 3,355,374 | ||||||||||
|
| |||||||||||
Materials — 0.1% | ||||||||||||
Samarco Mineracao S.A., | ||||||||||||
Fixed Rate Term Loan, 1.67%, 08/31/22 (c) | 11,623,127 | 6,363,662 | ||||||||||
Fixed Rate Term Loan 2, 3.47%, 08/31/22 (c) | 730,380 | 399,883 | ||||||||||
Term Loan, 1.67%, 12/31/22 (c) | 719,110 | 393,713 | ||||||||||
|
| |||||||||||
7,157,258 | ||||||||||||
|
| |||||||||||
Publishing & Broadcasting — 0.0% | ||||||||||||
LBI Media, Inc., Exit Term Loan, 3 mo. LIBOR + 7.50%, 10.24%, 10/15/24 (c),(d) | 330,086 | 101,006 | ||||||||||
|
| |||||||||||
Travel & Lodging — 0.0% | ||||||||||||
Hornblower Sub, LLC , 2021 Incremental Term Loan, 11.05%, 11/10/25 (c),(d) | 450,372 | 445,868 | ||||||||||
|
| |||||||||||
Total South America | 28,627,810 | |||||||||||
|
| |||||||||||
TOTAL BANK DEBT | 152,575,852 | |||||||||||
|
| |||||||||||
CORPORATE BONDS & NOTES — 5.2% | ||||||||||||
Africa — 0.1% | ||||||||||||
Chemicals — 0.1% | ||||||||||||
Sasol Financing USA LLC, 5.88%, 03/27/24 (c) | 6,960,000 | 6,748,416 | ||||||||||
|
| |||||||||||
Asia — 0.6% | ||||||||||||
Chemicals — 0.1% | ||||||||||||
GC Treasury Center Co. Ltd., MTN, | 4,145,000 | 3,549,345 | ||||||||||
|
|
See Notes to Consolidated Financial Statements.
61
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Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Security Description | Principal Amount | Value | ||||||||||
Internet Media — 0.1% | ||||||||||||
Prosus NV, 4.99%, 01/19/52 (a),(c),(j) | $ | 5,596,000 | $ | 3,629,790 | ||||||||
Tencent Holdings Ltd., MTN, | 2,981,000 | 1,946,621 | ||||||||||
|
| |||||||||||
5,576,411 | ||||||||||||
|
| |||||||||||
Metals & Mining — 0.1% | ||||||||||||
PT Freeport Indonesia, | ||||||||||||
6.20%, 04/14/52 (a),(c),(j) | 5,300,000 | 4,064,965 | ||||||||||
MTN, 5.32%, 04/14/32 (c),(j) | 6,400,000 | 5,296,000 | ||||||||||
|
| |||||||||||
9,360,965 | ||||||||||||
|
| |||||||||||
Real Estate — 0.0% | ||||||||||||
China Evergrande Group, | ||||||||||||
8.75%, 06/28/25 (a),(c),(j) | 853,000 | 53,645 | ||||||||||
9.50%, 04/11/22 (a),(c),(j),(k) | 1,800,000 | 119,340 | ||||||||||
10.00%, 04/11/23 (a),(c),(j) | 400,000 | 24,552 | ||||||||||
Scenery Journey Ltd., | ||||||||||||
11.50%, 10/24/22 (a),(c),(j) | 3,901,000 | 155,928 | ||||||||||
12.00%, 10/24/23 (a),(c),(j) | 400,000 | 15,458 | ||||||||||
13.00%, 11/06/22 (a),(c),(j) | 800,000 | 30,376 | ||||||||||
|
| |||||||||||
399,299 | ||||||||||||
|
| |||||||||||
Refining & Marketing — 0.1% | ||||||||||||
Thaioil Treasury Center Co., Ltd., | ||||||||||||
MTN, 3.50%, 10/17/49 (c),(j) | 1,650,000 | 949,148 | ||||||||||
MTN, 3.75%, 06/18/50 (c),(j) | 1,180,000 | 702,568 | ||||||||||
MTN, 5.38%, 11/20/48 (c),(j) | 1,970,000 | 1,542,545 | ||||||||||
|
| |||||||||||
3,194,261 | ||||||||||||
|
| |||||||||||
Retail—Consumer Discretionary — 0.1% | ||||||||||||
Alibaba Group Holding Ltd., 3.15%, 02/09/51 (c) | 4,595,000 | 2,687,241 | ||||||||||
|
| |||||||||||
Utilities — 0.1% | ||||||||||||
PT Perusahaan Perseroan Persero Perusahaan Listrik Negara, MTN, 5.25%, 05/15/47 (c),(j) | 3,345,000 | 2,468,349 | ||||||||||
|
| |||||||||||
Total Asia | 27,235,871 | |||||||||||
|
| |||||||||||
Europe — 0.5% | ||||||||||||
Automobiles Manufacturing — 0.1% | ||||||||||||
Mclaren Finance plc, 7.50%, 08/01/26 (c),(f) | 2,523,000 | 2,024,707 | ||||||||||
|
| |||||||||||
Entertainment Resources — 0.0% | ||||||||||||
CPUK Finance Ltd., 6.50%, 08/28/26 (a),(c),(j) | 1,147,000 | GBP | 1,161,477 | |||||||||
|
|
See Notes to Consolidated Financial Statements.
62
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Security Description | Principal Amount | Value | ||||||||||
Food & Beverage — 0.1% | ||||||||||||
Forno d’Asolo SpA, 3 mo. EURIBOR + 5.50%, 6.69%, 04/30/27 (c),(e),(f) | 3,404,000 | EUR | $ | 2,869,038 | ||||||||
MHP Lux SA, | ||||||||||||
6.25%, 09/19/29 (c),(f) | $ | 689,000 | 333,476 | |||||||||
6.95%, 04/03/26 (a),(c),(j) | 2,257,000 | 1,098,030 | ||||||||||
MHP SE, | ||||||||||||
7.75%, 05/10/24 (a),(c),(j) | 2,413,000 | 1,233,960 | ||||||||||
7.75%, 05/10/24 (c),(f) | 400,000 | 204,552 | ||||||||||
|
| |||||||||||
5,739,056 | ||||||||||||
|
| |||||||||||
Restaurants — 0.2% | ||||||||||||
Stonegate Pub Co. Financing 2019 plc, | ||||||||||||
8.25%, 07/31/25 (c),(f) | 215,000 | GBP | 209,451 | |||||||||
8.25%, 07/31/25 (a),(c),(j) | 11,373,000 | GBP | 11,079,461 | |||||||||
|
| |||||||||||
11,288,912 | ||||||||||||
|
| |||||||||||
Transportation & Logistics — 0.1% | ||||||||||||
Heathrow Finance plc, | ||||||||||||
3.88%, 03/01/27 (a),(c),(h),(j) | 2,393,000 | GBP | 2,128,669 | |||||||||
4.13%, 09/01/29 (a),(c),(h),(j) | 1,483,000 | GBP | 1,168,949 | |||||||||
|
| |||||||||||
3,297,618 | ||||||||||||
|
| |||||||||||
Total Europe | 23,511,770 | |||||||||||
|
| |||||||||||
Middle East — 0.1% | ||||||||||||
Banks — 0.1% | ||||||||||||
Bank Hapoalim BM, H15T5Y + 2.16%, | 3,296,000 | 2,735,542 | ||||||||||
|
| |||||||||||
North America — 3.4% | ||||||||||||
Chemicals — 0.1% | ||||||||||||
WR Grace Holdings LLC, 5.63%, 08/15/29 (c),(f) | 3,623,000 | 2,717,250 | ||||||||||
|
| |||||||||||
Commercial Finance — 0.1% | ||||||||||||
Fortress Transportation and Infrastructure Investors LLC, | ||||||||||||
5.50%, 05/01/28 (b),(c),(f) | 620,000 | 495,913 | ||||||||||
9.75%, 08/01/27 (b),(c),(f) | 6,148,000 | 6,011,576 | ||||||||||
|
| |||||||||||
6,507,489 | ||||||||||||
|
| |||||||||||
Consumer Finance — 0.2% | ||||||||||||
Curo Group Holdings Corp., | 14,015,000 | 6,863,146 | ||||||||||
PHH Mortgage Corp., 7.88%, 03/15/26 (b),(c),(f) | 2,002,000 | 1,734,809 | ||||||||||
|
| |||||||||||
8,597,955 | ||||||||||||
|
|
See Notes to Consolidated Financial Statements.
63
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Consumer Products — 0.2% | ||||||||||
Kronos Acquisition Holdings, Inc., | $ | 11,259,000 | $ | 8,613,135 | ||||||
|
| |||||||||
Consumer Services — 0.3% | ||||||||||
TKC Holdings, Inc., | ||||||||||
6.88%, 05/15/28 (b),(c),(f) | 6,816,000 | 5,505,416 | ||||||||
10.50%, 05/15/29 (b),(c),(f) | 9,071,000 | 6,937,849 | ||||||||
|
| |||||||||
12,443,265 | ||||||||||
|
| |||||||||
Containers & Packaging — 0.2% | ||||||||||
LABL, Inc., | ||||||||||
8.25%, 11/01/29 (b),(c),(f) | 1,978,000 | 1,437,741 | ||||||||
10.50%, 07/15/27 (c),(f) | 268,000 | 227,950 | ||||||||
Mauser Packaging Solutions Holding Co., | 6,760,000 | 5,946,569 | ||||||||
|
| |||||||||
7,612,260 | ||||||||||
|
| |||||||||
Exploration & Production — 0.1% | ||||||||||
Par Petroleum LLC/Par Petroleum Finance Corp., | 7,220,000 | 6,859,000 | ||||||||
|
| |||||||||
Financial Services — 0.0% | ||||||||||
MF Global Holdings Ltd., | 436,000 | 125,350 | ||||||||
|
| |||||||||
Health Care Facilities & Services — 0.5% | ||||||||||
Akumin Escrow, Inc., 7.50%, 08/01/28 (b),(c),(f) | 5,577,000 | 4,257,324 | ||||||||
Akumin, Inc., 7.00%, 11/01/25 (b),(c),(f) | 3,344,000 | 2,745,399 | ||||||||
BCPE Cycle Merger Sub II, Inc., | 3,352,000 | 1,537,083 | ||||||||
CAN Community Health, Inc., | 4,230,000 | 4,352,628 | ||||||||
Team Health Holdings, Inc., | 14,454,000 | 10,706,322 | ||||||||
|
| |||||||||
23,598,756 | ||||||||||
|
| |||||||||
Home Improvement — 0.1% | ||||||||||
Werner FinCo LP / Werner FinCo, Inc., | 4,383,000 | 3,725,550 | ||||||||
|
| |||||||||
Industrial Other — 0.2% | ||||||||||
Brand Industrial Services, Inc., | 10,353,000 | 7,480,042 | ||||||||
|
| |||||||||
Integrated Oils — 0.1% | ||||||||||
Petroleos Mexicanos, | ||||||||||
6.35%, 02/12/48 (c) | 1,543,000 | 829,208 |
See Notes to Consolidated Financial Statements.
64
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Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
6.50%, 01/23/29 (c) | $ | 907,000 | $ | 698,300 | ||||||
7.69%, 01/23/50 | 9,470,000 | 5,799,428 | ||||||||
|
| |||||||||
7,326,936 | ||||||||||
|
| |||||||||
Machinery Manufacturing — 0.1% | ||||||||||
Husky III Holding Ltd., PIK, | 5,930,000 | 5,559,375 | ||||||||
|
| |||||||||
Pipeline — 0.4% | ||||||||||
Martin Midstream Partners LP / Martin Midstream Finance Corp., | ||||||||||
10.00%, 02/29/24 (b),(c),(f) | 3,151,352 | 3,151,352 | ||||||||
11.50%, 02/28/25 (b),(c),(f) | 16,547,133 | 16,092,087 | ||||||||
11.50%, 02/28/25 (c) | 69,301 | 67,395 | ||||||||
|
| |||||||||
19,310,834 | ||||||||||
|
| |||||||||
Property & Casualty Insurance — 0.1% | ||||||||||
Highlands Holdings Bond Issuer Ltd. / Highlands Holdings Bond Co-Issuer, Inc., PIK, | 5,023,873 | 4,735,000 | ||||||||
|
| |||||||||
Real Estate — 0.1% | ||||||||||
Kennedy-Wilson, Inc., | ||||||||||
4.75%, 03/01/29 - 02/01/30 (c) | 1,325,000 | 988,923 | ||||||||
5.00%, 03/01/31 (c) | 550,000 | 398,783 | ||||||||
Park Intermediate Holdings LLC / PK Domestic Property LLC / PK Finance Co-Issuer, | ||||||||||
4.88%, 05/15/29 (b),(c),(f) | 904,000 | 732,240 | ||||||||
5.88%, 10/01/28 (b),(c),(f) | 1,189,000 | 1,017,784 | ||||||||
XHR LP, 4.88%, 06/01/29 (b),(c),(f) | 127,000 | 104,713 | ||||||||
|
| |||||||||
3,242,443 | ||||||||||
|
| |||||||||
Restaurants — 0.1% | ||||||||||
GPS Hospitality Holding Co. LLC / GPS Finco, Inc., 7.00%, 08/15/28 (b),(c),(f) | 7,260,000 | 4,568,787 | ||||||||
|
| |||||||||
Retail—Consumer Discretionary — 0.2% | ||||||||||
Carvana Co., | ||||||||||
4.88%, 09/01/29 (b),(c),(f) | 6,098,000 | 2,972,775 | ||||||||
5.63%, 10/01/25 (b),(c),(f) | 6,534,000 | 4,596,832 | ||||||||
5.88%, 10/01/28 (b),(c),(f) | 1,277,000 | 647,574 | ||||||||
Michaels Cos., Inc. (The), | ||||||||||
5.25%, 05/01/28 (c),(f) | 431,000 | 302,554 | ||||||||
7.88%, 05/01/29 (b),(c),(f) | 3,908,000 | 2,256,401 | ||||||||
|
| |||||||||
10,776,136 | ||||||||||
|
|
See Notes to Consolidated Financial Statements.
65
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Security Description | Principal Amount | Value | ||||||||||
Travel & Lodging — 0.3% | ||||||||||||
Hilton Grand Vacations Borrower Escrow LLC / Hilton Grand Vacations Borrower Esc, | ||||||||||||
4.88%, 07/01/31 (c) | $ | 13,000 | $ | 9,926 | ||||||||
5.00%, 06/01/29 (c),(f) | 128,000 | 103,309 | ||||||||||
Marriott Ownership Resorts, Inc., | ||||||||||||
4.50%, 06/15/29 (c),(f) | 204,000 | 161,222 | ||||||||||
4.75%, 01/15/28 (b),(c) | 281,000 | 234,333 | ||||||||||
Travel + Leisure Co., | ||||||||||||
4.50%, 12/01/29 (c) | 100,000 | 77,540 | ||||||||||
4.63%, 03/01/30 (c),(f) | 187,000 | 147,812 | ||||||||||
Viking Cruises Ltd., | ||||||||||||
5.88%, 09/15/27 (b),(c),(f) | 8,462,000 | 6,452,275 | ||||||||||
6.25%, 05/15/25 (b),(c),(f) | 6,284,000 | 5,439,336 | ||||||||||
7.00%, 02/15/29 (b),(c),(f) | 1,740,000 | 1,298,509 | ||||||||||
|
| |||||||||||
13,924,262 | ||||||||||||
|
| |||||||||||
Total North America | 157,723,825 | |||||||||||
|
| |||||||||||
South America — 0.5% | ||||||||||||
Airlines — 0.5% | ||||||||||||
Azul Investments LLP, | ||||||||||||
5.88%, 10/26/24 (a),(b),(c),(j) | 3,394,000 | 2,444,080 | ||||||||||
5.88%, 10/26/24 (b),(c),(f) | 5,542,000 | 3,990,894 | ||||||||||
7.25%, 06/15/26 (a),(b),(c),(j) | 2,711,000 | 1,670,328 | ||||||||||
7.25%, 06/15/26 (b),(c),(f) | 984,000 | 606,272 | ||||||||||
Latam Finance Ltd., | ||||||||||||
6.88%, 04/11/24 (a),(b),(c),(j),(k) | 2,176,000 | 2,090,984 | ||||||||||
6.88%, 04/11/24 (b),(c),(f),(k) | 1,426,000 | 1,370,286 | ||||||||||
7.00%, 03/01/26 (a),(b),(c),(j),(k) | 5,203,000 | 5,040,370 | ||||||||||
7.00%, 03/01/26 (b),(c),(f),(k) | 6,106,000 | 5,915,145 | ||||||||||
|
| |||||||||||
23,128,359 | ||||||||||||
|
| |||||||||||
Metals & Mining — 0.0% | ||||||||||||
Samarco Mineracao SA, | 1,600,000 | 936,000 | ||||||||||
|
| |||||||||||
Total South America | 24,064,359 | |||||||||||
|
| |||||||||||
TOTAL CORPORATE BONDS & NOTES | 242,019,783 | |||||||||||
|
| |||||||||||
SOVEREIGN DEBT — 1.9% | ||||||||||||
Bahrain Government International Bond, | ||||||||||||
6.00%, 09/19/44 (c),(j) | 1,684,000 | 1,161,960 | ||||||||||
MTN, 6.25%, 01/25/51 (c),(j) | 1,079,000 | 747,952 |
See Notes to Consolidated Financial Statements.
66
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Security Description | Principal Amount | Value | ||||||||||
Chile Government International Bond, | $ | 9,475,000 | $ | 7,579,258 | ||||||||
Colombia Government International Bond, | 13,834,000 | 7,058,668 | ||||||||||
Dominican Republic International Bond, | 2,744,000 | 2,062,970 | ||||||||||
Egypt Government International Bond, | ||||||||||||
7.90%, 02/21/48 (a),(j) | 4,348,000 | 2,262,351 | ||||||||||
8.50%, 01/31/47 (j) | 18,892,000 | 10,475,198 | ||||||||||
MTN, 7.50%, 02/16/61 (j) | 8,263,000 | 4,248,422 | ||||||||||
MTN, 8.15%, 11/20/59 (j) | 24,375,000 | 13,104,000 | ||||||||||
MTN, 8.75%, 09/30/51 (c),(j) | 400,000 | 219,344 | ||||||||||
French Republic Government Bond OAT, | 3,386,834 | EUR | 3,292,646 | |||||||||
Indonesia Government International Bond, | ||||||||||||
3.35%, 03/12/71 (c) | 3,591,000 | 2,207,322 | ||||||||||
4.30%, 03/31/52 (c) | 5,263,000 | 4,010,933 | ||||||||||
Iraq International Bond, | ||||||||||||
5.80%, 01/15/28 (a),(c),(j) | 6,349,750 | 5,206,135 | ||||||||||
5.80%, 01/15/28 (c),(f) | 5,552,937 | 4,552,831 | ||||||||||
Jordan Government International Bond, | 1,680,000 | 1,585,836 | ||||||||||
Lebanon Government International Bond, | ||||||||||||
5.80%, 04/14/20 (c),(j),(k) | 3,567,000 | 196,185 | ||||||||||
MTN, 6.38%, 03/09/20 (c),(k) | 23,870,000 | 1,312,850 | ||||||||||
MTN, 8.25%, 04/12/21 (c),(j),(k) | 3,525,000 | 212,205 | ||||||||||
Mexico Government International Bond, | 8,400,000 | 7,383,473 | ||||||||||
Nigeria Government International Bond, MTN, | 2,751,000 | 1,963,114 | ||||||||||
Peruvian Government International Bond, | 2,716,000 | 2,039,327 | ||||||||||
Republic of Sri Lanka, | ||||||||||||
5.75%, 04/18/23 (a),(c),(j) | 2,149,000 | 538,284 | ||||||||||
6.35%, 06/28/24 (a),(c),(j) | 2,753,000 | 681,484 | ||||||||||
6.75%, 04/18/28 (a),(c),(j) | 724,000 | 177,301 | ||||||||||
6.85%, 11/03/25 (a),(c),(j) | 3,860,000 | 992,096 | ||||||||||
7.55%, 03/28/30 (a),(c),(j) | 3,280,000 | 802,641 | ||||||||||
Turkey Government International Bond, | 7,824,000 | 4,687,358 | ||||||||||
|
| |||||||||||
TOTAL SOVEREIGN DEBT | 90,762,144 | |||||||||||
|
|
See Notes to Consolidated Financial Statements.
67
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Security Description | Principal Amount | Value | ||||||||||
MORTGAGE-BACKED SECURITIES — 27.4% | ||||||||||||
Europe — 0.0% | ||||||||||||
Collateralized Mortgage Obligation (Residential) — 0.0% |
| |||||||||||
Mulcair Securities No 3 DAC, 3 mo. EURIBOR + 2.00%, 2.15%, 04/24/65 (c),(e),(j) | 158,000 | EUR | $ | 144,013 | ||||||||
|
| |||||||||||
Commercial Mortgage-Backed Securities — 0.0% | ||||||||||||
Atom Mortgage Securities DAC, Series 1X, | 97,255 | GBP | 101,434 | |||||||||
Magnolia Finance XI DAC, | ||||||||||||
Series 2018-2MGN, Class A, | 95,667 | EUR | 90,696 | |||||||||
Series 2018-2MGN, Class B, | 95,727 | EUR | 89,574 | |||||||||
|
| |||||||||||
281,704 | ||||||||||||
|
| |||||||||||
Total Europe | 425,717 | |||||||||||
|
| |||||||||||
North America — 27.4% | ||||||||||||
Collateralized Mortgage Obligation (Residential) — 1.0% |
| |||||||||||
Ajax Mortgage Loan Trust, Series 2021-E, | $ | 972,000 | 812,825 | |||||||||
Alternative Loan Trust, | ||||||||||||
Series 2004-16CB, Class M, | 337,937 | 280,510 | ||||||||||
Series 2004-2CB, Class M, | 459,521 | 344,429 | ||||||||||
Series 2004-4CB, Class M, | 227,885 | 183,891 | ||||||||||
Series 2005-46CB, Class A9, | 1,805,160 | 1,524,295 | ||||||||||
Series 2005-76, Class 1A2, 12 mo. MTA + 2.00%, 3.10%, 01/25/36 (c) | 265,500 | 230,035 | ||||||||||
Series 2005-AR1, Class 2A3A, 1 mo. USD LIBOR + .70%, 3.78%, 12/25/35 (c) | 287,119 | 250,203 | ||||||||||
Series 2006-29T1, Class 3A1, 6.50%, 10/25/36 (c) | 562,542 | 190,216 | ||||||||||
Series 2006-H, Class 5A1, 1 mo. USD LIBOR + .36%, 3.35%, 10/20/36 (c),(e) | 4,105,046 | 1,466,655 | ||||||||||
Series 2006-13T1 SEQ, Class A15, 6.00%, 05/25/36 (c) | 417,705 | 236,269 | ||||||||||
Series 2006-OA12, Class A2, 1 mo. USD LIBOR + .21%, 3.20%, 09/20/46 (c),(e) | 235,211 | 198,117 |
See Notes to Consolidated Financial Statements.
68
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Series 2006-OA12 SEQ, Class A1C, 1 mo. USD LIBOR + .28%, | $ | 323,756 | $ | 246,413 | ||||||
Series 2006-OA16, Class A4B, 1 mo. USD LIBOR + .50%, 3.58%, 10/25/46 (c),(e) | 2,104 | 8,596 | ||||||||
Series 2006-OA17, Class 1A1D, 1 mo. USD LIBOR + .29%, 3.28%, 12/20/46 (c),(e) | 314,391 | 273,198 | ||||||||
Series 2006-OA19, Class A1, 1 mo. USD LIBOR + .18%, 3.17%, 02/20/47 (c),(e) | 388,748 | 304,147 | ||||||||
Series 2006-OA19, Class A4, 1 mo. USD LIBOR + .21%, 3.20%, 02/20/47 (c),(e) | 373,769 | 299,500 | ||||||||
Series 2006-OA2, Class A1, 1 mo. USD LIBOR + .42%, 3.41%, 05/20/46 (c),(e) | 630,049 | 563,925 | ||||||||
Series 2006-OA8, Class 2A4, 1 mo. USD LIBOR + .52%, 3.60%, 07/25/46 (c),(e) | 373,875 | 256,819 | ||||||||
Series 2006-OA9, Class 2A1A, 1 mo. USD LIBOR + .21%, 3.20%, 07/20/46 (c),(e) | 239,820 | 189,987 | ||||||||
Series 2007-5CB, Class 1A2, | 337,252 | 212,949 | ||||||||
Series 2007-OA2, Class 1A1, 12 mo. MTA + .84%, 1.94%, 03/25/47 (c),(e) | 291,212 | 235,454 | ||||||||
Series 2007-OH2, Class A2B, 1 mo. USD LIBOR + .36%, 3.44%, 08/25/47 (c),(e) | 189,496 | 170,741 | ||||||||
American Home Mortgage Investment Trust, Series 2005-2, Class 5A4C, | 849,070 | 525,543 | ||||||||
Angel Oak Mortgage Trust, Series 2021-8, Class B1, 4.11%, 11/25/66 (c),(e),(f) | 109,000 | 76,720 | ||||||||
Banc of America Funding Trust, | ||||||||||
Series 2005-B, Class 3M2, 1 mo. USD LIBOR + 1.05%, 4.04%, 04/20/35 (c),(e) | 1,536,262 | 1,318,514 | ||||||||
Series 2006-H, Class 6A1, 1 mo. USD LIBOR + .38%, 3.37%, 10/20/36 (c) | 408,571 | 291,339 | ||||||||
Barclays Mortgage Loan Trust, Series 2021-NQM1, Class B2, 5.43%, 09/25/51 (c),(f) | 100,000 | 81,164 | ||||||||
Bear Stearns ARM Trust, Series 2004-3, Class B1, 3.51%, 07/25/34 (c),(e) | 233,387 | 215,569 | ||||||||
BRAVO Residential Funding Trust, Series 2022-NQM, Class B1, 4.73%, 09/25/61 (b),(c),(e),(f) | 1,000,000 | 910,343 | ||||||||
Chase Mortgage Finance Trust, Series 2007-A1, Class 1M, 3.30%, 02/25/37 (c),(e) | 250,118 | 203,117 | ||||||||
CHL Mortgage Pass-Through Trust, Series 2005-3, Class 1A4, 1 mo. USD LIBOR + .72%, | 572,377 | 507,343 | ||||||||
Citigroup Mortgage Loan Trust, Series 2019-E, Class A2, 4.88%, 11/25/70 (b),(c),(f),(h) | 1,000,000 | 962,545 |
See Notes to Consolidated Financial Statements.
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September 30, 2022 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
COLT Mortgage Loan Trust, | ||||||||||
Series 2021-HX1, Class B1, | $ | 118,000 | $ | 96,888 | ||||||
Series 2021-HX1, Class B3A, | 100,000 | 70,989 | ||||||||
Series 2022-1, Class B1, | 100,000 | 75,764 | ||||||||
Series 2022-1, Class B2, | 100,000 | 71,636 | ||||||||
Series 2022-2, Class B1, | 100,000 | 80,381 | ||||||||
Series 2022-5, Class B1, | 1,000,000 | 858,804 | ||||||||
COLT Trust, | ||||||||||
Series 2021-RPL1, Class B1, | 100,000 | 85,283 | ||||||||
Series 2021-RPL1, Class B2, | 446,000 | 367,677 | ||||||||
CSMC, | ||||||||||
Series 2021-NQM3, Class B1, | 211,000 | 147,450 | ||||||||
Series 2021-NQM7, Class B1, | 100,000 | 81,783 | ||||||||
Series 2021-NQM8, Class B2, | 100,000 | 76,080 | ||||||||
Series 2021-NQM8, Class B1, | 226,899 | 162,763 | ||||||||
Deephaven Residential Mortgage Trust, | ||||||||||
Series 2021-2, Class B1, | 117,000 | 91,099 | ||||||||
Series 2021-2, Class B2, | 100,000 | 77,806 | ||||||||
Series 2021-4, Class B2, | 100,000 | 72,811 | ||||||||
Series 2022-1, Class B1, | 100,000 | 80,427 | ||||||||
Series 2022-1, Class B2, | 100,000 | 68,675 | ||||||||
Series 2022-2, Class M1, | 100,000 | 91,489 | ||||||||
Eagle RE Ltd., Series 2020-1, Class M2, 1 mo. USD LIBOR + 2.00%, | 10,192,000 | 9,239,792 | ||||||||
Federal Home Loan Mortgage Corp., | ||||||||||
Series 2017-HQA2, Class M2AI, | 851,843 | 11,229 |
See Notes to Consolidated Financial Statements.
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September 30, 2022 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Series 2018-HQA1, Class M2AI, | $ | 49,068 | $ | 424 | ||||||
Federal National Mortgage Association, | ||||||||||
Series 2017-C02, Class 2X3, | 1,630,931 | 28,569 | ||||||||
Series 2017-C02, Class 2X4, | 1,536,534 | 31,839 | ||||||||
Series 2017-C04, Class 2X2, | 14,480,039 | 266,664 | ||||||||
Series 2017-C07, Class 1X3, | 1,327,518 | 7,896 | ||||||||
Flagstar Mortgage Trust, Series 2018-4, Class B4, 4.23%, 07/25/48 (c),(e),(f) | 230,850 | 190,373 | ||||||||
Freddie Mac Multifamily Structured Pass Through Certificates, | ||||||||||
Series K085, Class X3, | 1,000,000 | 112,987 | ||||||||
Series K142, Class X3, | 1,000,000 | 207,174 | ||||||||
Series K142, Class X3, | 1,000,000 | 219,167 | ||||||||
Series K148, Class X3, | 290,000 | 80,399 | ||||||||
GCAT Trust, | ||||||||||
Series 2022-HX1, Class M1, | 100,000 | 84,721 | ||||||||
Series 2022-HX1, Class B1, | 100,000 | 81,667 | ||||||||
Series 2022-NQM4, Class M1, | 145,000 | 125,542 | ||||||||
HarborView Mortgage Loan Trust, | ||||||||||
Series 2004-10, Class B1, 1 mo. USD LIBOR + .90%, 3.89%, 01/19/35 (c),(e) | 249,580 | 180,537 | ||||||||
Series 2006-4, Class 1A1A, 1 mo. USD LIBOR + .36%, 3.35%, 05/19/46 (c),(e) | 585,273 | 316,319 | ||||||||
Homeward Opportunities Fund Trust, Series 2022-1, Class M1, 5.08%, 07/25/67 (c) | 179,000 | 153,800 | ||||||||
IndyMac INDX Mortgage Loan Trust, Series 2006-AR7, Class 3A1, 2.97%, 05/25/36 (c),(e) | 232,202 | 213,618 | ||||||||
JP Morgan Mortgage Trust, Series 2018-5, Class B4, 3.74%, 10/25/48 (c),(e),(f) | 266,062 | 219,423 | ||||||||
Legacy Mortgage Asset Trust, | ||||||||||
Series 2020-GS4, Class A2, | 1,000,000 | 925,225 | ||||||||
Series 2021-GS3, Class A2, | 556,000 | 497,038 |
See Notes to Consolidated Financial Statements.
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September 30, 2022 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Lehman Mortgage Trust, Series 2007-1, Class 1A2, 5.75%, 02/25/37 (c) | $ | 638,031 | $ | 624,914 | ||||||
Lehman XS Trust, Series 2007-4N, Class 2A, 1 mo. USD LIBOR + .40%, | 526,689 | 469,449 | ||||||||
LHOME Mortgage Trust, | ||||||||||
Series 2021-RTL1, Class M, | 1,884,000 | 1,716,887 | ||||||||
Series 2021-RTL2, Class M, | 684,000 | 633,339 | ||||||||
Merrill Lynch Alternative Note Asset Trust, Series 2007-A2, Class A2A, 1 mo. USD LIBOR + .40%, 3.48%, 03/25/37 (c) | 793,840 | 251,533 | ||||||||
Merrill Lynch Mortgage Investors Trust, Series 2005-A5, Class M1, | 656,137 | 587,304 | ||||||||
MFA Trust, | ||||||||||
Series 2021-INV2, Class B1, | 100,000 | 78,176 | ||||||||
Series 2022-NQM, Class M1, | 1,000,000 | 859,804 | ||||||||
Morgan Stanley Mortgage Loan Trust, Series 2004-7AR, Class B1, 3.55%, 09/25/34 (c),(e) | 286,528 | 238,886 | ||||||||
Mortgage Insurance-Linked Notes, Series 2020-1, Class M2B, 1 mo. USD LIBOR + 2.25%, | 1,425,000 | 1,246,456 | ||||||||
New Residential Mortgage Loan Trust, | ||||||||||
Series 2022-NQM1, Class B1, | 100,000 | 78,629 | ||||||||
Series 2022-NQM1, Class B2, | 100,000 | 72,135 | ||||||||
PMT Credit Risk Transfer Trust, Series 2019-2R, Class A, 1 mo. USD LIBOR + 2.75%, | 1,928,693 | 1,824,659 | ||||||||
PRPM LLC, | ||||||||||
Series 2021-6, Class A2, | 100,000 | 90,036 | ||||||||
Series 2021-7, Class A2, | 207,000 | 193,974 | ||||||||
Series 2021-8, Class A2, | 129,000 | 121,372 | ||||||||
Series 2021-9 SEQ, Class A2, | 244,000 | 221,113 | ||||||||
STACR Trust, Series 2018-HRP2, Class M3AI, | 1,231,273 | 16,349 |
See Notes to Consolidated Financial Statements.
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September 30, 2022 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Starwood Mortgage Residential Trust, | ||||||||||
Series 2021-3, Class B1, 3.35%, 06/25/56 (c) | $ | 100,000 | $ | 73,228 | ||||||
Series 2021-6, Class B1, | 100,000 | 79,267 | ||||||||
Series 2021-6, Class B2, | 100,000 | 68,894 | ||||||||
Series 2022-1, Class B1, | 135,000 | 100,537 | ||||||||
Structured Asset Securities Corp Mortgage Pass-Through CTFS, Series 2003-26A, Class B1II, 3.79%, 09/25/33 (c),(e) | 265,498 | 201,739 | ||||||||
Thornburg Mortgage Securities Trust, Series 2005-3, Class B1, | 572,600 | 464,063 | ||||||||
TRK Trust, | ||||||||||
Series 2021-INV2, Class B1, | 100,000 | 74,962 | ||||||||
Series 2021-INV2, Class B2, | 1,000,000 | 685,989 | ||||||||
Series 2022-INV1, Class B1, | 111,000 | 85,140 | ||||||||
Series 2022-INV1, Class B2, | 100,000 | 68,077 | ||||||||
Verus Securitization Trust, | ||||||||||
Series 2022-1, Class B2, | 1,000,000 | 782,660 | ||||||||
Series 2022-4, Class B1, | 1,000,000 | 652,767 | ||||||||
Series 2022-INV1, Class M1, | 1,000,000 | 914,775 | ||||||||
Series 2022-INV1, Class B1, | 1,000,000 | 855,067 | ||||||||
WaMu Mortgage Pass-Through Certificates Series, | ||||||||||
Series 2005-AR17, Class A1C4, 1 mo. USD LIBOR + .80%, 3.88%, 12/25/45 (c),(e) | 234,949 | 193,161 | ||||||||
Series 2005-AR2, Class B1, 1 mo. USD LIBOR + .80%, 3.88%, 01/25/45 (c),(e) | 287,592 | 218,300 | ||||||||
Series 2005-AR6, Class B1, 1 mo. USD LIBOR + .90%, 3.98%, 04/25/45 (c) | 497,757 | 386,111 | ||||||||
Series 2005-AR9, Class B1, 1 mo. USD LIBOR + .95%, 4.03%, 07/25/45 (c),(e) | 200,134 | 184,016 | ||||||||
Series 2006-AR1, Class 2A1C, 12 mo. MTA + 1.07%, 2.17%, 01/25/46 (c),(e) | 252,278 | 223,805 | ||||||||
WaMu Mortgage Pass-Through Certificates Trust, | ||||||||||
Series 2005-AR1, Class B1, 1 mo. USD LIBOR + .83%, 3.91%, 01/25/45 (c) | 325,666 | 288,826 |
See Notes to Consolidated Financial Statements.
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September 30, 2022 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Series 2006-AR17, Class 1A, 12 mo. MTA + .82%, 1.68%, 12/25/46 (c),(e) | $ | 1,552,966 | $ | 1,282,186 | ||||||
Series 2007-OA5, Class 2A, 12 mo. MTA + .80%, 1.90%, 06/25/47 (c) | 454,186 | 342,576 | ||||||||
Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, | ||||||||||
Series 2005-11, Class A2, | 246,646 | 205,605 | ||||||||
Series 2007-OA3, Class 2A, 12 mo. MTA + .75%, 1.85%, 02/25/47 (c),(e) | 210,484 | 175,960 | ||||||||
|
| |||||||||
47,356,305 | ||||||||||
|
| |||||||||
Commercial Mortgage-Backed Securities — 3.6% | ||||||||||
Arbor Multifamily Mortgage Securities Trust, Series 2022-MF4 SEQ, Class E, | 130,000 | 74,720 | ||||||||
AREIT CRE Trust, | ||||||||||
Series 2020-CRE4, Class AS, SOFR30A + 3.56%, 5.85%, 04/15/37 (c) | 2,547,627 | 2,547,624 | ||||||||
Series 2022-CRE7, Class C, 1 mo. TSFR + 3.84%, 6.86%, 06/17/39 (c),(e),(f) | 1,000,000 | 985,796 | ||||||||
Ashford Hospitality Trust, Series 2018-KEYS, Class D, 1 mo. USD LIBOR + 2.75%, | 90,000 | 86,888 | ||||||||
BAMLL Commercial Mortgage Securities Trust, | ||||||||||
Series 2019-BPR, Class EMP, | 8,817,000 | 7,916,379 | ||||||||
Series 2019-BPR, Class FMP, | 4,408,000 | 3,785,264 | ||||||||
BBCMS Mortgage Trust, Series 2022-C16, Class XD, 2.33%, 06/15/55 (c),(e),(f),(g) | 4,299,000 | 674,199 | ||||||||
Benchmark Mortgage Trust, Series 2018-B7, Class D, 3.00%, 05/15/53 (b),(c),(f) | 290,000 | 211,407 | ||||||||
BHMS Mortgage Trust, | ||||||||||
Series 2018-ATLS, Class C, 1 mo. USD LIBOR + 1.90%, | 525,000 | 500,600 | ||||||||
Series 2018-ATLS, Class E, 1 mo. USD LIBOR + 3.00%, | 2,103,000 | 1,983,619 | ||||||||
BX Commercial Mortgage Trust, | ||||||||||
BX 2021-SOAR, Class F, 1 mo. USD LIBOR + 2.35%, | 1,404,361 | 1,288,652 | ||||||||
Series 2020-VIVA, Class E, | 1,000,000 | 709,973 |
See Notes to Consolidated Financial Statements.
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September 30, 2022 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Series 2021-MC, Class G, 1 mo. USD LIBOR + 3.09%, | $ | 100,000 | $ | 90,276 | ||||||
Series 2022-AHP, Class E, 1 mo. TSFR + 3.04%, 5.89%, 01/17/39 (c) | 118,000 | 110,914 | ||||||||
BX Trust, Series 2018-GW, Class F, 1 mo. USD LIBOR + 2.42%, 5.24%, 05/15/35 (b),(c),(e),(f) | 106,000 | 99,653 | ||||||||
BXSC Commercial Mortgage Trust, Series 2022-WSS, Class E, 1 mo. TSFR + 4.13%, | 148,000 | 138,830 | ||||||||
CAMB Commercial Mortgage Trust, | ||||||||||
Series 2019-LIFE, Class E, 1 mo. USD LIBOR + 2.15%, | 1,000,000 | 943,930 | ||||||||
Series 2019-LIFE, Class F, 1 mo. USD LIBOR + 2.55%, | 1,000,000 | 931,892 | ||||||||
Series 2019-LIFE, Class G, 1 mo. USD LIBOR + 3.25%, | 129,000 | 122,407 | ||||||||
Cascade Funding Mortgage Trust, Series 2021-FRR1, Class BK98, | 1,000,000 | 548,721 | ||||||||
Citigroup Commercial Mortgage Trust, | ||||||||||
Series 2012-GC8, Class C, | 112,000 | 112,000 | ||||||||
Series 2014-GC25, Class D, | 155,000 | 140,270 | ||||||||
Series 2015-GC29, Class D, | 1,000,000 | 860,789 | ||||||||
Series 2015-GC33, Class D, | 100,000 | 77,938 | ||||||||
Series 2016-C3, Class D, | 1,826,000 | 1,265,455 | ||||||||
Series 2016-GC37, Class D, | 100,000 | 80,336 | ||||||||
Series 2019-C7, Class E, | 697,000 | 453,599 | ||||||||
Series 2020-420K, Class E, | 100,000 | 71,363 | ||||||||
Cold Storage Trust, Series 2020-ICE5, Class F, 1 mo. USD LIBOR + 3.49%, | 982,991 | 934,737 | ||||||||
COMM Mortgage Trust, | ||||||||||
Series 2014-CR14, Class D, | 591,000 | 553,216 |
See Notes to Consolidated Financial Statements.
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September 30, 2022 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Series 2014-CR18, Class D, | $ | 2,161,000 | $ | 1,907,584 | ||||||
Series 2014-CR21, Class E, | 1,686,000 | 1,237,693 | ||||||||
Series 2015-CR27, Class E, | 1,439,000 | 1,097,124 | ||||||||
Series 2019-GC44, Class 180B, | 160,000 | 141,561 | ||||||||
Series 2019-GC44, Class 180C, | 386,000 | 346,435 | ||||||||
Series 2019-GC44, Class 180D, | 231,000 | 198,846 | ||||||||
Commercial Mortgage Trust, | ||||||||||
Series 2015-CR22, Class E, | 239,000 | 187,264 | ||||||||
Series 2015-CR23, Class E, | 4,794,000 | 3,648,565 | ||||||||
Series 2015-CR23, Class D, | 502,000 | 438,057 | ||||||||
Series 2015-CR23, Class C, | 123,000 | 113,876 | ||||||||
Series 2015-CR25, Class D, | 479,000 | 391,645 | ||||||||
Series 2015-CR27, Class D, | 3,065,000 | 2,593,710 | ||||||||
Series 2015-LC21, Class C, | 1,113,000 | 1,018,880 | ||||||||
Series 2015-LC21, Class D, | 1,348,000 | 1,128,190 | ||||||||
Series 2016-CD1, Class D, | 2,075,000 | 1,555,092 | ||||||||
Crescent Capital Trust, Series 2021-MOON, Class E, 1 mo. USD LIBOR + 2.55%, | 1,000,000 | 962,427 | ||||||||
CSAIL 2015-C4 Commercial Mortgage Trust, Series 2015-C4, Class E, | 100,000 | 86,189 | ||||||||
CSAIL Commercial Mortgage Trust, | ||||||||||
Series 2015-C2, Class D, | 843,000 | 585,189 | ||||||||
Series 2015-C3, Class D, | 3,139,000 | 1,828,810 | ||||||||
Series 2015-C4, Class F, | 5,568,000 | 4,394,962 | ||||||||
Series 2016-C5, Class C, | 355,000 | 328,148 |
See Notes to Consolidated Financial Statements.
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September 30, 2022 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Series 2018-C14, Class D, | $ | 100,000 | $ | 79,038 | ||||||
Series 2018-CX11, Class D, | 604,000 | 418,325 | ||||||||
Series 2019-C16, Class D, | 163,000 | 111,020 | ||||||||
Series 2019-C17, Class D, | 1,409,000 | 1,000,062 | ||||||||
DBWF Mortgage Trust, | ||||||||||
Series 2018-GLKS, Class E, 1 mo. USD LIBOR + 3.02%, | 45,000 | 42,313 | ||||||||
Series 2018-GLKS, Class F, 1 mo. USD LIBOR + 3.49%, | 2,202,000 | 2,064,331 | ||||||||
EQUS Mortgage Trust, Series 2021-EQAZ, Class E, 1 mo. USD LIBOR + 2.30%, | 124,000 | 115,325 | ||||||||
Federal Home Loan Mortgage Corp., | ||||||||||
Series 2021-MN1, Class M2, SOFR30A + 3.75%, 6.03%, 01/25/51 (b),(c),(e),(f) | 102,000 | 92,687 | ||||||||
Series 2021-MN2, Class M2, SOFR30A + 3.35%, 5.63%, 07/25/41 (c),(e),(f) | 128,000 | 109,932 | ||||||||
Fontainebleau Miami Beach Trust, | ||||||||||
Series 2019-FBLU, Class H, | 100,000 | 88,285 | ||||||||
Series 2019-FBLU, Class G, | 591,000 | 528,024 | ||||||||
Series 2019-FBLU, Class F, | 1,617,000 | 1,454,763 | ||||||||
FREMF Mortgage Trust, | ||||||||||
Series 2017-KGX1, Class CFX, | 1,000,000 | 884,142 | ||||||||
Series 2019-KL4L, Class BCR, 1 mo. USD LIBOR + 3.50%, | 21,164 | 20,983 | ||||||||
Great Wolf Trust, Series 2019-WOLF, Class F, 1 mo. USD LIBOR + 3.13%, | 1,336,000 | 1,262,694 | ||||||||
GS Mortgage Securities Corp., Series 2013-GC10, Class E, 4.54%, 02/10/46 (b),(c),(e),(f) | 3,900,000 | 3,014,415 | ||||||||
GS Mortgage Securities Corp. Trust, | ||||||||||
Series 2021-ROSS, Class F, 1 mo. USD LIBOR + 3.90%, | 1,019,000 | 921,432 |
See Notes to Consolidated Financial Statements.
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September 30, 2022 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Series 2021-ROSS, Class G, 1 mo. USD LIBOR + 4.65%, | $ | 1,000,000 | $ | 951,969 | ||||||
Series 2021-ROSS, Class H, 1 mo. USD LIBOR + 5.90%, | 1,000,000 | 939,615 | ||||||||
GS Mortgage Securities Trust, | ||||||||||
Series 2012-GCJ9, Class D, | 215,000 | 213,657 | ||||||||
Series 2014-GC20, Class D, | 851,911 | 627,007 | ||||||||
Series 2014-GC20, Class C, | 1,874,000 | 1,738,178 | ||||||||
Series 2014-GC24, Class B, | 100,000 | 93,892 | ||||||||
Series 2014-GC24, Class C, | 303,000 | 258,900 | ||||||||
Series 2016-GS2, Class D, | 1,415,000 | 1,097,270 | ||||||||
Series 2016-GS4, Class D, | 200,000 | 154,576 | ||||||||
Series 2017-GS8, Class D, | 1,593,000 | 1,238,030 | ||||||||
Series 2018-HULA, Class G, 1 mo. USD LIBOR + 3.40%, | 974,233 | 888,196 | ||||||||
Series 2019-70P, Class C, 1 mo. USD LIBOR + 1.50%, 4.32%, 10/15/36 (c) | 138,000 | 128,021 | ||||||||
Hawaii Hotel Trust, Series 2019-MAUI, Class G, 1 mo. USD LIBOR + 3.15%, | 1,000,000 | 933,070 | ||||||||
Hilton USA Trust, | ||||||||||
Series 2016-HHV, Class F, | 20,252,000 | 17,055,769 | ||||||||
Series 2016-HHV, Class E, | 982,000 | 818,054 | ||||||||
Series 2016-SFP, Class F, | 1,068,000 | 1,027,975 | ||||||||
IMT Trust, Series 2017-APTS, Class FFX, | 625,000 | 582,860 | ||||||||
JP Morgan Chase Commercial Mortgage Securities Corp., Series 2019-MARG, Class F, 1 mo. USD LIBOR + 3.00%, | 156,000 | 151,133 |
See Notes to Consolidated Financial Statements.
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September 30, 2022 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
JP Morgan Chase Commercial Mortgage Securities Trust, | ||||||||||
Series 2015-JP1, Class C, | $ | 102,000 | $ | 95,187 | ||||||
Series 2016-JP3, Class D, | 100,000 | 76,761 | ||||||||
Series 2020-NNNZ SEQ, Class M, | 709,021 | 604,570 | ||||||||
JPMBB Commercial Mortgage Securities Trust, | ||||||||||
Series 2014-C23, Class D, | 100,000 | 88,173 | ||||||||
Series 2015-C28, Class D, | 2,537,000 | 2,163,011 | ||||||||
Series 2015-C29, Class D, | 112,000 | 79,312 | ||||||||
Series 2015-C30, Class D, | 4,360,000 | 3,711,380 | ||||||||
Series 2015-C31, Class E, | 1,093,000 | 718,261 | ||||||||
Series 2016-C1, Class E, | 3,126,000 | 2,462,747 | ||||||||
KKR Industrial Portfolio Trust, | ||||||||||
Series 2021-KDIP, Class F, 1 mo. USD LIBOR + 2.05%, 4.87%, 12/15/37 (c),(e),(f) | 83,250 | 76,385 | ||||||||
Series 2021-KDIP, Class G, 1 mo. USD LIBOR + 3.75%, | 750,000 | 703,816 | ||||||||
Life 2021-BMR Mortgage Trust, Series 2021-BMR, Class F, 1 mo. USD LIBOR + 2.35%, 5.17%, 03/15/38 (b),(c),(e),(f) | 1,130,416 | 1,036,371 | ||||||||
LSTAR Commercial Mortgage Trust, | ||||||||||
Series 2015-3, Class E, | 121,000 | 103,089 | ||||||||
Series 2017-5, Class C, | 967,000 | 827,864 | ||||||||
Series 2017-5, Class D, | 1,125,000 | 918,110 | ||||||||
LUXE Trust, | ||||||||||
Series 2021-TRIP, Class F, 1 mo. USD LIBOR + 3.25%, | 1,019,000 | 956,937 | ||||||||
Series 2021-TRIP, Class G, 1 mo. USD LIBOR + 4.25%, | 1,114,000 | 1,050,610 |
See Notes to Consolidated Financial Statements.
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September 30, 2022 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
MBRT, | ||||||||||
Series 2019-MBR, Class D, 1 mo. USD LIBOR + 1.95%, 4.77%, 11/15/36 (c) | $ | 246,000 | $ | 235,545 | ||||||
Series 2019-MBR, Class F, 1 mo. USD LIBOR + 2.80%, | 1,000,000 | 942,642 | ||||||||
Series 2019-MBR, Class G, 1 mo. USD LIBOR + 3.15%, | 1,000,000 | 953,191 | ||||||||
Series 2019-MBR, Class H1, 1 mo. USD LIBOR + 4.25%, 7.07%, 11/15/36 (c) | 100,000 | 96,106 | ||||||||
MHC Commercial Mortgage Trust, Series 2021-MHC, Class F, 1 mo. USD LIBOR + 2.60%, 5.42%, 04/15/38 (c),(e),(f) | 207,000 | 191,018 | ||||||||
MHC Trust, Series 2021-MHC2, Class F, 1 mo. USD LIBOR + 2.40%, | 1,095,000 | 1,012,984 | ||||||||
MHP 2021-STOR, | ||||||||||
Series 2021-STOR, Class F, 1 mo. USD LIBOR + 2.20%, | 311,000 | 281,943 | ||||||||
Series 2021-STOR, Class G, 1 mo. USD LIBOR + 2.75%, | 100,000 | 91,011 | ||||||||
MHP 2022-MHIL, | ||||||||||
Series 2022-MHIL, Class F, 1 mo. TSFR + 3.26%, 6.10%, 01/15/27 (b),(c),(e),(f) | 971,658 | 899,451 | ||||||||
Series 2022-MHIL, Class G, 1 mo. TSFR + 3.96%, 6.80%, 01/15/27 (b),(c),(e),(f) | 971,659 | 920,919 | ||||||||
Morgan Stanley Bank of America Merrill Lynch Trust, | ||||||||||
Series 2014-C17, Class D, | 100,000 | 91,465 | ||||||||
Series 2015-C20, Class D, | 393,000 | 343,191 | ||||||||
Series 2015-C21, Class D, | 3,575,000 | 2,262,185 | ||||||||
Series 2015-C22, Class D, | 870,000 | 682,720 | ||||||||
Series 2016-C30, Class D, | 1,323,000 | 893,411 | ||||||||
Series 2016-C31, Class D, | 2,354,000 | 1,588,350 | ||||||||
Series 2016-C32, Class D, | 991,000 | 731,665 |
See Notes to Consolidated Financial Statements.
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September 30, 2022 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Morgan Stanley Capital I Trust, | ||||||||||
Series 2016-UB11, Class E, | $ | 3,200,500 | $ | 1,706,660 | ||||||
Series 2016-UB12, Class D, | 1,761,000 | 954,402 | ||||||||
Series 2018-SUN, Class F, 1 mo. USD LIBOR + 2.55%, 5.37%, 07/15/35 (b),(c),(e),(f) | 1,000,000 | 982,151 | ||||||||
Natixis Commercial Mortgage Securities Trust, | ||||||||||
Series 2018-RIVA, Class D, 1 mo. TSFR + 2.10%, 4.94%, 02/15/33 (b),(c),(e),(f) | 222,525 | 216,086 | ||||||||
Series 2019-MILE, Class D, 1 mo. USD LIBOR + 2.75%, | 102,000 | 100,170 | ||||||||
Series 2019-MILE, Class E, 1 mo. USD LIBOR + 3.50%, | 135,000 | 131,267 | ||||||||
New Orleans Hotel Trust, Series 2019-HNLA, Class E, 1 mo. USD LIBOR + 2.69%, | 1,301,000 | 1,239,698 | ||||||||
OPG Trust, | ||||||||||
Series 2021-PORT, Class E, 1 mo. USD LIBOR + 1.53%, 4.35%, 10/15/36 (c),(e),(f) | 68,537 | 61,864 | ||||||||
Series 2021-PORT, Class G, 1 mo. USD LIBOR + 2.40%, | 195,332 | 174,590 | ||||||||
Prima Capital CRE Securitization Ltd., | ||||||||||
Series 2019-1S, Class C, | 1,000,000 | 902,630 | ||||||||
Series 2019-RK1, Class CG, | 339,000 | 281,044 | ||||||||
Series 2019-RK1, Class BT, | 1,173,000 | 984,160 | ||||||||
Series 2019-RK1, Class CT, | 121,000 | 96,966 | ||||||||
Ready Capital Mortgage Financing, Series 2022-FL9, Class C, 1 mo. TSFR + 4.31%, | 1,000,000 | 1,002,494 | ||||||||
ReadyCap Commercial Mortgage Trust, | ||||||||||
Series 2019-6, Class C, | 1,691,000 | 1,447,569 | ||||||||
Series 2019-6, Class D, | 227,000 | 187,564 | ||||||||
SG Commercial Mortgage Securities Trust, | ||||||||||
Series 2016-C5, Class D, | 295,000 | 228,507 |
See Notes to Consolidated Financial Statements.
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September 30, 2022 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Series 2019-PREZ, Class E, | $ | 1,720,000 | $ | 1,311,048 | ||||||
SREIT Trust, | ||||||||||
Series 2021-FLWR, Class F, 1 mo. USD LIBOR + 2.67%, 5.49%, 07/15/36 (c) | 86,000 | 78,699 | ||||||||
Series 2021-FLWR, Class G, 1 mo. USD LIBOR + 3.67%, 6.49%, 07/15/23 (c) | 223,000 | 210,241 | ||||||||
Series 2021-IND, Class G, 1 mo. USD LIBOR + 3.27%, 6.08%, 10/15/38 (b),(c),(e),(f) | 1,366,000 | 1,239,645 | ||||||||
Series 2021-MFP, Class G, 1 mo. USD LIBOR + 2.97%, 5.79%, 11/15/38 (c) | 1,000,000 | 893,720 | ||||||||
STWD Mortgage Trust, | ||||||||||
Series 2021-LIH, Class E, 1 mo. USD LIBOR + 2.90%, 5.72%, 11/15/36 (b),(c),(e),(f) | 1,000,000 | 950,574 | ||||||||
Series 2021-LIH, Class F, 1 mo. USD LIBOR + 3.55%, 6.37%, 11/15/36 (c),(e),(f) | 125,000 | 121,010 | ||||||||
Series 2021-LIH SEQ, Class G, 1 mo. USD LIBOR + 4.20%, | 1,000,000 | 926,164 | ||||||||
STWD Trust, Series 2021-FLWR, Class E, 1 mo. USD LIBOR + 1.92%, | 1,029,000 | 921,960 | ||||||||
TPGI Trust, | ||||||||||
Series 2021-DGWD, Class E, 1 mo. USD LIBOR + 2.35%, | 1,103,000 | 1,020,382 | ||||||||
Series 2021-DGWD, Class F, 1 mo. USD LIBOR + 3.00%, | 1,037,000 | 981,035 | ||||||||
Series 2021-DGWD, Class G, 1 mo. USD LIBOR + 3.85%, | 1,044,000 | 977,190 | ||||||||
UBS Commercial Mortgage Trust, | ||||||||||
Series 2018-C11, Class D, 3.00%, 06/15/51 (b),(c),(e),(f) | 168,000 | 118,845 | ||||||||
Series 2018-C9, Class D, | 331,000 | 253,898 | ||||||||
Series 2019-C17, Class D, | 103,000 | 71,248 | ||||||||
Wells Fargo Commercial Mortgage Trust, | ||||||||||
Series 2014-LC18, Class D, 3.96%, 12/15/47 (b),(c),(e),(f) | 992,000 | 862,062 | ||||||||
Series 2015-C26, Class D, | 4,590,000 | 4,055,568 | ||||||||
Series 2015-C27, Class D, | 5,146,000 | 3,904,697 |
See Notes to Consolidated Financial Statements.
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September 30, 2022 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Series 2015-C31, Class D, 3.85%, 11/15/48 (c) | $ | 2,058,000 | $ | 1,702,474 | ||||||
Series 2015-NXS4, Class D, | 100,000 | 84,991 | ||||||||
Series 2016-C32, Class D, 3.79%, 01/15/59 (b),(c),(e),(f) | 465,000 | 386,586 | ||||||||
Series 2016-LC24, Class D, | 4,253,000 | 3,382,241 | ||||||||
Series 2016-NXS5, Class E, | 100,000 | 86,547 | ||||||||
Series 2019-JWDR, Class D, 3.44%, 09/15/31 (b),(c),(e),(f) | 100,000 | 84,533 | ||||||||
Series 2019-JWDR, Class E, 3.99%, 09/15/31 (b),(c),(e),(f) | 1,983,000 | 1,636,211 | ||||||||
Series 2019-JWDR, Class F, | 2,300,000 | 1,927,738 | ||||||||
Series 2019-JWDR, Class G, | 2,074,000 | 1,747,121 | ||||||||
WFRBS Commercial Mortgage Trust, | ||||||||||
Series 2014-C19, Class D, | 379,000 | 345,618 | ||||||||
Series 2014-C22, Class D, | 4,703,000 | 3,986,959 | ||||||||
Worldwide Plaza Trust, Series 2017-WWP, Class F, 3.72%, 11/10/36 (b),(c),(e),(f) | 129,000 | 92,327 | ||||||||
|
| |||||||||
166,547,172 | ||||||||||
|
| |||||||||
Interest Only Commercial Mortgage-Backed Securities — 0.5% |
| |||||||||
CFK Trust, Series 2020-MF2, Class X, | 19,612,000 | 587,399 | ||||||||
Citigroup Commercial Mortgage Trust, | ||||||||||
Series 2019-C7, Class XD, | 5,347,000 | 372,584 | ||||||||
Series 2019-GC43, Class XD, | 5,918,000 | 208,290 | ||||||||
Commercial Mortgage Trust, Series 2014-UBS4, Class XA, 1.25%, 08/10/47 (c),(e),(g) | 15,554,091 | 212,033 | ||||||||
CSAIL Commercial Mortgage Trust, | ||||||||||
Series 2015-C2, Class XA, | 33,804,180 | 485,800 | ||||||||
Series 2015-C3, Class XA, | 92,350,131 | 1,345,357 | ||||||||
Series 2019-C18, Class XD, | 4,452,333 | 352,304 | ||||||||
DC Office Trust, Series 2019-MTC, Class X, | 64,579,000 | 528,515 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Security Description | Principal Amount | Value | ||||||||
Federal Home Loan Mortgage Corp., | ||||||||||
Series K-1514, Class X3, | $ | 13,043,739 | $ | 3,015,086 | ||||||
Series K049, Class X3, | 2,177,000 | 80,371 | ||||||||
Series K061, Class X1, | 16,279,056 | 105,016 | ||||||||
Series K071, Class X1, | 88,268,222 | 1,101,411 | ||||||||
Series K095, Class X3, | 9,297,000 | 1,031,660 | ||||||||
Series K102, Class X3, | 1,000,000 | 104,748 | ||||||||
Series K154, Class X1, | 31,649,487 | 687,680 | ||||||||
Series K725, Class X1, | 128,287,173 | 879,537 | ||||||||
Series KLU1, Class X3, | 21,412,346 | 2,745,191 | ||||||||
Series KLU2, Class X1, | 56,319,675 | 2,738,094 | ||||||||
Series KLU2, Class X3, | 8,364,813 | 1,356,689 | ||||||||
Series KS11, Class XFX, | 25,265,000 | 2,000,205 | ||||||||
Series KW10, Class X3, | 5,935,000 | 862,439 | ||||||||
Federal National Mortgage Association, Series 2017-C03, Class 1X2, 1.80%, 10/25/29 (c),(g) | 2,358,549 | 33,322 | ||||||||
GS Mortgage Securities Corp. Trust, Series 2020-DUNE, Class XCP, | 15,243,000 | 152 | ||||||||
GS Mortgage Securities Trust, Series 2019-GC40, Class XD, 1.30%, 07/10/52 (b),(c),(e),(f),(g) | 2,219,000 | 144,255 | ||||||||
JPMDB Commercial Mortgage Securities Trust, Series 2019-COR6, Class XD, | 4,231,000 | 334,744 | ||||||||
MFT Trust, Series 2020-ABC, Class XA, | 20,401,000 | 189,321 | ||||||||
Point Securitization Trust, Series 2021-1, Class A2, 5.56%, 02/25/52 (b),(c),(e),(f),(g) | 1,000,000 | 934,879 | ||||||||
STACR Trust, Series 2018-DNA3, Class M2AI, | 729,811 | 8,727 | ||||||||
|
| |||||||||
22,445,809 | ||||||||||
|
|
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Security Description | Principal Amount | Value | ||||||||||
Mortgage Securities — 0.2% | ||||||||||||
BOCA Commercial Mortgage Trust, | ||||||||||||
Series 2022-BOCA, Class D, 1 mo. TSFR + 3.32%, 6.16%, 05/15/39 (b),(c),(e),(f) | $ | 1,000,000 | $ | 990,716 | ||||||||
Series 2022-BOCA, Class E, 1 mo. TSFR + 4.22%, 7.06%, 05/15/39 (b),(c),(e),(f) | 1,040,000 | 1,030,505 | ||||||||||
Government National Mortgage Association, TBA, 30 Year Maturity, 5.00%, 10/20/52 (m) | 7,000,000 | 6,845,510 | ||||||||||
JPMBB Commercial Mortgage Securities Trust, Series 2014-C26, Class C, | 642,000 | 595,102 | ||||||||||
Natixis Commercial Mortgage Securities Trust, | ||||||||||||
Series 2022-RRI, Class C, 1 mo. TSFR + 3.10%, 5.94%, 03/15/35 (c),(e),(f) | 131,000 | 128,454 | ||||||||||
Series 2022-RRI, Class E, 1 mo. TSFR + 5.19%, 8.04%, 03/15/35 (c),(e),(f) | 100,000 | 96,864 | ||||||||||
|
| |||||||||||
9,687,151 | ||||||||||||
|
| |||||||||||
Uniform Mortgage-Backed Securities — 22.1% | ||||||||||||
Federal National Mortgage Association, | ||||||||||||
3.50%, 09/14/52 - 10/13/52 TBA, 30 Year Maturity (m) | 136,000,000 | 122,810,451 | ||||||||||
4.00%, 09/14/52 - 10/13/52 TBA, 30 Year Maturity (m) | 344,000,000 | 319,167,672 | ||||||||||
4.50%, 10/13/52 - 11/14/52 TBA, 30 Year Maturity (m) | 163,000,000 | 155,166,860 | ||||||||||
5.00%, 10/13/52 - 11/14/52 TBA, 30 Year Maturity (m) | 447,000,000 | 435,018,927 | ||||||||||
TBA, 30 Year Maturity, 5.50%, 10/13/52 (m) | 6,000,000 | 5,968,596 | ||||||||||
|
| |||||||||||
1,038,132,506 | ||||||||||||
|
| |||||||||||
Total North America | 1,284,168,943 | |||||||||||
|
| |||||||||||
TOTAL MORTGAGE-BACKED SECURITIES | 1,284,594,660 | |||||||||||
|
| |||||||||||
U.S. GOVERNMENT SPONSORED AGENCY SECURITIES — 0.1% |
| |||||||||||
North America — 0.1% | ||||||||||||
Inverse Interest Only Collateralized Mortgage Obligations — 0.1% |
| |||||||||||
Government National Mortgage Association, | ||||||||||||
Series 2015-151, Class SC, 1 mo. USD LIBOR + 6.15%, | 3,196,673 | 352,507 | ||||||||||
Series 2015-161, Class AS, 1 mo. USD LIBOR + 6.20%, | 4,020,172 | 505,549 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Security Description | Principal Amount | Value | ||||||||||
Series 2017-114, Class SP, 1 mo. USD LIBOR + 6.20%, 3.19%, 07/20/47 (c),(e),(g) | $ | 2,664,933 | $ | 313,005 | ||||||||
Series 2017-117, Class SA, 1 mo. USD LIBOR + 6.20%, | 3,897,294 | 502,431 | ||||||||||
Series 2017-156, Class SB, 1 mo. USD LIBOR + 6.20%, | 3,641,416 | 416,877 | ||||||||||
Series 2017-56, Class AS, 1 mo. USD LIBOR + 6.15%, 3.14%, 04/20/47 (c),(e),(g) | 3,182,395 | 375,917 | ||||||||||
Series 2017-73, Class SM, 1 mo. USD LIBOR + 6.20%, 3.19%, 05/20/47 (c),(e),(g) | 3,151,206 | 349,765 | ||||||||||
Series 2018-48, Class SA, 1 mo. USD LIBOR + 6.20%, 3.19%, 04/20/48 (c),(e),(g) | 4,654,098 | 535,193 | ||||||||||
Series 2018-65, Class PS, 1 mo. USD LIBOR + 6.15%, 3.14%, 05/20/48 (c),(e),(g) | 2,580,344 | 238,408 | ||||||||||
Series 2018-93, Class SA, 1 mo. USD LIBOR + 6.20%, 3.19%, 07/20/48 (c),(e),(g) | 2,224,280 | 240,431 | ||||||||||
|
| |||||||||||
3,830,083 | ||||||||||||
|
| |||||||||||
Total North America | 3,830,083 | |||||||||||
|
| |||||||||||
TOTAL U.S. GOVERNMENT SPONSORED AGENCY SECURITIES |
| 3,830,083 | ||||||||||
|
| |||||||||||
MUNICIPALS — 0.0% | ||||||||||||
North America — 0.0% | ||||||||||||
California Housing Finance Agency, Rev., Series 2019 X, (SER X),, 0.29%, 01/15/35 (b),(c),(e) | 14,803,289 | 231,290 | ||||||||||
|
| |||||||||||
TOTAL MUNICIPALS | 231,290 | |||||||||||
|
| |||||||||||
U.S. TREASURY NOTES — 0.6% | ||||||||||||
North America — 0.6% | ||||||||||||
U.S. Treasury Notes, | ||||||||||||
1.88%, 02/28/27 (c) | 27,535,500 | 25,076,666 | ||||||||||
2.75%, 08/15/32 (a),(c) | 1,680,600 | 1,536,698 | ||||||||||
|
| |||||||||||
Total North America | 26,613,364 | |||||||||||
|
| |||||||||||
TOTAL U.S. TREASURY NOTES | 26,613,364 | |||||||||||
|
| |||||||||||
Security Description | Shares | Value | ||||||||||
EXCHANGE-TRADED FUNDS — 0.3% | ||||||||||||
CION Investment Corp. | 2,600 | 22,100 | ||||||||||
iShares Core MSCI Emerging Markets ETF (b),(c) | 3,060 | 131,519 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Security Description | Shares | Value | ||||||||||
iShares iBoxx $ Investment Grade Corporate Bond ETF (b),(c) | 30,908 | $ | 3,166,525 | |||||||||
Pershing Square Holdings Ltd/Fund | 333,419 | 9,906,725 | ||||||||||
Vanguard FTSE Emerging Markets ETF (b),(c) | 2,465 | 89,948 | ||||||||||
|
| |||||||||||
TOTAL EXCHANGE-TRADED FUNDS | 13,316,817 | |||||||||||
|
| |||||||||||
WARRANTS — 0.0% | ||||||||||||
7GC & Co. Holdings, Inc., A Shares (a),(b),(c) | 218,469 | 4,391 | ||||||||||
Acropolis Infrastructure Acquisition Corp. (a),(c) | 239,159 | 23,940 | ||||||||||
Adit EdTech Acquisition Corp. (a),(c) | 101,022 | 4,546 | ||||||||||
Alpha Partners Technology Merger Corp. (a),(c) | �� | 166,667 | 18,317 | |||||||||
Amprius Technologies, Inc. (c) | 117,776 | 37,688 | ||||||||||
Anthemis Digital Acquisitions I Corp. (a),(c) | 375,000 | 46,762 | ||||||||||
Apollo Strategic Growth Capital, Class A (a),(c) | 250,000 | 27,500 | ||||||||||
Argus Capital Corp. (a),(c) | 226,266 | 40,705 | ||||||||||
Athena Consumer Acquisition Corp. (a),(c) | 262,057 | 13,575 | ||||||||||
Athlon Acquisition Corp. (a),(b),(c) | 232,500 | 9,742 | ||||||||||
ATI Penny Warrant (c) | 111,184 | 116,743 | ||||||||||
ATI Warrant (c) | 100,595 | 4,024 | ||||||||||
Atlas Crest Investment Corp. II, A Shares (a),(c) | 105,285 | 4,317 | ||||||||||
Austerlitz Acquisition Corp. II, A Shares (a),(b),(c) | 116,250 | 11,625 | ||||||||||
Authentic Equity Acquisition Corp. (a),(b),(c) | 275,000 | 5,500 | ||||||||||
B Riley Principal 250 Merger Corp. (a),(c) | 82,637 | 9,090 | ||||||||||
Bilander Acquisition Corp., Class A (a),(c) | 91,262 | 18,106 | ||||||||||
Black Mountain Acquisition Corp. (a),(c) | 590,640 | 57,824 | ||||||||||
BlueRiver Acquisition Corp., Class A (a),(c) | 47,634 | 2,348 | ||||||||||
Bullpen Parlay Acquisition Co. (a),(c) | 189,000 | 18,900 | ||||||||||
Catalyst Partners Acquisition Corp., Class A (a),(c) | 50,000 | 5,500 | ||||||||||
CC Neuberger Principal Holdings III (a),(c) | 81,135 | 14,604 | ||||||||||
CF Acquisition Corp. (a),(c) | 478,190 | 19,128 | ||||||||||
Churchill Capital Corp. (a),(c) | 32,967 | 4,451 | ||||||||||
Churchill Capital Corp., A Shares (a),(c) | 59,372 | 8,312 | ||||||||||
Climate Real Impact Solutions II | 51,210 | 4,097 | ||||||||||
Colicity, Inc., Class A (a),(c) | 347,164 | 16,664 | ||||||||||
Colonnade Acquisition Corp. II, A Shares (a),(c) | 60,549 | 7,266 | ||||||||||
Compass Digital Acquisition Corp. (a),(c) | 125,006 | 11,251 | ||||||||||
Compute Health Acquisition Corp., | 116,250 | 7,556 | ||||||||||
Concord Acquisition Corp., Class A (a),(c) | 189,000 | 30,240 | ||||||||||
Corner Growth Acquisition Corp. (a),(c) | 125,000 | 6,063 | ||||||||||
Corner Growth Acquisition Corp., A Shares (a),(c) | 125,000 | 1,250 | ||||||||||
Corsair Partnering Corp., Class A (a),(c) | 125,000 | 10,625 | ||||||||||
Crescent Cove Acquisition Corp., A shares (a),(c) | 93,350 | 2,343 | ||||||||||
Decarbonization Plus Acquisition Corp., | 167,200 | 91,960 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Security Description | Shares | Value | ||||||||
Direct Selling Acquisition Corp. (c) | 329,221 | $ | 19,786 | |||||||
DP Cap Acquisition Corp., A Shares (a),(c) | 236,250 | 37,800 | ||||||||
Elliott Opportunity II Corp. (a),(c) | 91,574 | 14,652 | ||||||||
Enterprise 4.0 Technology Acquisition Corp. (a),(c) | 250,000 | 35,525 | ||||||||
Epiphany Technology Acquisition Corp., | 97,000 | 4,860 | ||||||||
ExcelFin Acquisition Corp. (a),(c) | 234,350 | 27,700 | ||||||||
FG Acquisition Corp. (a),(c) | 94,599 | 108,789 | ||||||||
Figure Acquisition Corp. I, A Shares (a),(c) | 88,761 | 5,139 | ||||||||
Fintech Evolution Acquisition Group (a),(c) | 103,334 | 10,106 | ||||||||
Forest Road Acquisition Corp., Class A (a),(c) | 62,000 | 4,216 | ||||||||
Fortistar Sustainable Solutions Corp., | 104,350 | 11,990 | ||||||||
Forum Merger IV Corp., Class A (a),(c) | 77,500 | 4,650 | ||||||||
Frontier Acquisition Corp. (a),(c) | 77,500 | 6,208 | ||||||||
FTAC Hera Acquisition Corp., A Shares (a),(c) | 77,500 | 7,115 | ||||||||
FTAC Parnassus Acquisition Corp., Class A (a),(c) | 77,500 | 9,300 | ||||||||
G Squared Asend II, Inc. (a),(c) | 92,177 | 9,227 | ||||||||
Gores Technology Partners, Inc., Class A (a),(c) | 42,300 | 8,037 | ||||||||
Growth For Good Acquisition Corp. (a),(c) | 189,000 | 13,608 | ||||||||
HIG Acquisition Corp., A Shares (a),(b),(c) | 255,679 | 2,557 | ||||||||
Hudson Executive Investment Corp. (a),(b),(c) | 126,112 | 4,742 | ||||||||
InterPrivate II Acquisition Corp. (a),(c) | 45,039 | 2,702 | ||||||||
Investcorp India Acquisition Corp. (c) | 81,191 | 8,119 | ||||||||
Jaguar Global Growth Corp. (a),(c) | 107,300 | 10,730 | ||||||||
Jaws Hurricane Acquisition Corp. (a),(c) | 65,650 | 10,996 | ||||||||
Jaws Mustang Acquisition Corp., | 132,975 | 13,297 | ||||||||
KKR Acquisition Holdings I Corp., A Shares (a),(c) | 116,250 | 13,950 | ||||||||
L Catterton Asia Acquisition Corp., Class A (a),(c) | 375,000 | 12,562 | ||||||||
Landcadia Holdings IV, Inc. (a),(c) | 116,250 | 17,437 | ||||||||
Lazard Growth Acquisition Corp., A Shares (a),(c) | 67,587 | 2,203 | ||||||||
LDH Growth Corp., Class A (a),(c) | 62,000 | 1,990 | ||||||||
Lead Edge Growth Opportunities Ltd., | 508,979 | 11,096 | ||||||||
Learn CW Investment Corp., Class A (a),(c) | 199,000 | 21,890 | ||||||||
LIV Capital Acquisition Corp. (a),(c) | 371,548 | 52,017 | ||||||||
Logistics Innovation Technologies Corp. (a),(c) | 101,972 | 8,566 | ||||||||
Marlin Technology Corp. (a),(b),(c) | 500,000 | 35,000 | ||||||||
Mason Industrial Technology, Inc., A Shares (a),(c) | 407,437 | 14,912 | ||||||||
McLaren Racing Ltd. (c),(d) | 22,935 | 223,379 | ||||||||
Motive Capital Corp. II, A Shares (c) | 200,000 | 20,000 | ||||||||
MSD Acquisition Corp., Class A (a),(c) | 64,782 | 5,532 | ||||||||
NightDragon Acquisition Corp. (a),(c) | 93,000 | 9,765 | ||||||||
Noble Rock Acquisition Corp., A Shares (a),(b),(c) | 200,000 | 9,080 | ||||||||
North Mountain Merger Corp. (a),(b),(c) | 172,928 | 17 | ||||||||
Northern Genesis Acquisition Corp. (a),(b),(c) | 116,250 | 3,197 |
See Notes to Consolidated Financial Statements.
88
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Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Security Description | Shares | Value | ||||||||||
Northern Star Investment Corp., Class A (a),(c) | 103,331 | $ | 5,270 | |||||||||
OCA Acquisition Corp., A Shares (a),(b),(c) | 233,750 | 11,711 | ||||||||||
One Equity Partners Open Water I Corp., | 143,400 | 7,184 | ||||||||||
Orion Acquisition Corp., A Shares (a),(c) | 62,299 | 3,395 | ||||||||||
Osiris Acquisition Corp. (a),(c) | 290,880 | 37,814 | ||||||||||
Parabellum Acquisition Corp. (a),(c) | 292,500 | 10,530 | ||||||||||
Pathfinder Acquisition Corp., A Shares (a),(b),(c) | 71,165 | 1,445 | ||||||||||
Periphas Capital Partnering Corp., A Shares (a),(c) | 46,507 | 11,394 | ||||||||||
Phoenix Biotech Acquisition Corp. (a),(c) | 76,900 | 11,366 | ||||||||||
Pivotal Investment Corp. III, A Shares (a),(c) | 60,000 | 1,920 | ||||||||||
Plum Acquisition Corp. I, A Shares (a),(c) | 62,000 | 4,185 | ||||||||||
Pontem Corp., A Shares (a),(c) | 155,000 | 9,068 | ||||||||||
Portage Fintech Acquisition Corp. (a),(c) | 166,689 | 33,338 | ||||||||||
Powered Brands, A Shares (a),(b),(c) | 155,000 | 5,425 | ||||||||||
PowerUp Acquisition Corp. (a),(c) | 130,108 | 22,118 | ||||||||||
PropTech Investment Corp. (a),(c) | 42,331 | 6,887 | ||||||||||
Revolution Healthcare Acquisition Corp. (a),(c) | 93,000 | 3,720 | ||||||||||
Rigel Resource Acquisition Corp., A Shares (c) | 67,430 | 15,819 | ||||||||||
Science Strategic Acquisition Corp. Alpha (a),(c) | 155,000 | 7,146 | ||||||||||
ScION Tech Growth, A Shares (a),(b),(c) | 683,332 | 20,500 | ||||||||||
ScION Tech Growth II (a),(c) | 286,291 | 11,452 | ||||||||||
Senior Connect Acquisition Corp., A Shares (a),(b),(c) | 155,000 | 1,566 | ||||||||||
Shelter Acquisition Corp., Class A (a),(c) | 182,761 | 17,545 | ||||||||||
Silver Spike Acquisition Corp. II, A Shares (a),(c) | 77,314 | 2,319 | ||||||||||
Skydeck Acquisition Corp., Class A (a),(c) | 81,300 | 9,349 | ||||||||||
Slam Corp., A Shares (a),(c) | 112,325 | 7,739 | ||||||||||
ST Energy Transition I Ltd. (a),(c) | 521,933 | 41,755 | ||||||||||
Tailwind International Acquisition Corp. (a),(c) | 100,000 | 2,500 | ||||||||||
Tekkorp Digital Acquisition Corp. (a),(c) | 61,518 | 1,230 | ||||||||||
Thunder Bridge Capital Partners III, Inc., | 39,640 | 3,568 | ||||||||||
Turmeric Acquisition Corp., Class A (a),(c) | 20,883 | 522 | ||||||||||
TZP Strategies Acquisition Corp., A Shares (a),(c) | 149,166 | 12,694 | ||||||||||
VMG Consumer Acquisition Corp. (a),(c) | 178,201 | 12,474 | ||||||||||
Warburg Pincus Capital Corp. I-A, A Shares (a),(c) | 62,000 | 5,549 | ||||||||||
Warburg Pincus Capital Corp. I-B (a),(c) | 62,000 | 3,906 | ||||||||||
Waverley Capital Acquisition Corp., Class A (a),(c) | 125,000 | 5,588 | ||||||||||
|
| |||||||||||
TOTAL WARRANTS | 1,941,388 | |||||||||||
|
| |||||||||||
INVESTMENTS IN INVESTEE FUNDS — 9.8% | ||||||||||||
Europe — 0.6% | ||||||||||||
Qube Torus (cost $ 25,000,000) (a),(c),(n) | 25,000 | 26,703,653 | ||||||||||
|
| |||||||||||
Total Europe | 26,703,653 | |||||||||||
|
|
See Notes to Consolidated Financial Statements.
89
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Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Security Description | Shares | Value | ||||||||||
North America — 9.2% | ||||||||||||
Aeolus Property Catastrophe Keystone PF Fund LP | 4 | $ | 38,632,166 | |||||||||
Asgard Fixed Income Risk Premia Fund | 226,163 | 174,726,264 | ||||||||||
Atreides Co. Series K DIs — SpaceX (Common) | 1 | 2,134,870 | ||||||||||
Centiva Offshore Fund LLP | 1 | 74,074,442 | ||||||||||
PIMCO ILS Fund SP II | 6 | 18,374,171 | ||||||||||
Rokos Global Macro Fund Ltd. | 1 | 102,837,510 | ||||||||||
Statar Capital Class A | 25,000 | 22,008,471 | ||||||||||
|
| |||||||||||
Total North America | 432,787,894 | |||||||||||
|
| |||||||||||
TOTAL INVESTMENTS IN INVESTEE FUNDS | 459,491,547 | |||||||||||
|
| |||||||||||
RIGHTS — 0.0% | ||||||||||||
Growth For Good Acquisition Corp (a),(c) | 378,000 | 30,240 | ||||||||||
Jaguar Global Growth Corp. (a),(c) | 214,600 | 30,902 | ||||||||||
ROC Energy Acquisition Corp. (a),(c) | 702,287 | 42,137 | ||||||||||
Zogenix, Inc. (d) | 102,355 | 95,958 | ||||||||||
|
| |||||||||||
TOTAL RIGHTS | 199,237 | |||||||||||
|
| |||||||||||
TOTAL LONG-TERM INVESTMENTS | 3,365,341,874 | |||||||||||
|
| |||||||||||
Security Description | Contracts | Value | ||||||||||
COMMODITIES — 7.8% | ||||||||||||
California Carbon Allowance Vintage Specific 2017 (a),(c) | 1,640,876 | 43,614,484 | ||||||||||
California Carbon Allowance Vintage Specific 2020 (a),(c) | 7,943,124 | 211,128,236 | ||||||||||
California Carbon Allowance Vintage Specific 2022 (a),(c) | 1,161,000 | 30,859,380 | ||||||||||
California Carbon Allowance Vintage Specific 2023 (a),(c) | 525,000 | 13,959,750 | ||||||||||
California Carbon Allowance Vintage Specific 2024 (a),(c) | 2,482,000 | 66,616,880 | ||||||||||
|
| |||||||||||
TOTAL COMMODITIES | 366,178,730 | |||||||||||
|
|
See Notes to Consolidated Financial Statements.
90
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Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Strike | Expiration Date | Contracts | Notional Amount | Premium Paid | Market Value | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
PURCHASED OPTIONS — 3.9% |
| |||||||||||||||||||||||
Exchange-Traded Call Options — 1.3% |
| |||||||||||||||||||||||
CRUDE OIL FUT OPT DEC22 | 150.00 USD | 11/16/22 | 440 | 34,636,800 | $ | 1,262,839 | $ | 44,000 | $ | (1,218,839 | ) | |||||||||||||
CRUDE OIL FUT OPT DEC22 | 98.00 USD | 11/16/22 | 917 | 72,186,240 | 1,239,344 | 1,192,100 | (47,244 | ) | ||||||||||||||||
CRUDE OIL FUT OPT DEC22 | 120.00 USD | 11/16/22 | 86 | 6,769,920 | 721,671 | 26,660 | (695,011 | ) | ||||||||||||||||
CRUDE OIL FUT OPT DEC23 | 90.00 USD | 11/15/23 | 192 | 13,374,720 | 868,132 | 1,334,400 | 466,268 | |||||||||||||||||
CRUDE OIL FUT OPT JUN23 | 150.00 USD | 05/17/23 | 429 | 31,317,000 | 1,137,502 | 398,970 | (738,532 | ) | ||||||||||||||||
CRUDE OIL FUT OPT NOV22 | 100.00 USD | 10/17/22 | 162 | 162,000 | 564,126 | 29,160 | (534,966 | ) | ||||||||||||||||
CRUDE OIL FUT OPT NOV22 | 110.00 USD | 10/17/22 | 150 | 150,000 | 229,728 | 12,000 | (217,728 | ) | ||||||||||||||||
CRUDE OIL FUT OPT NOV22 | 90.00 USD | 10/17/22 | 12 | 12,000 | 12,018 | 8,280 | (3,738 | ) | ||||||||||||||||
NAT GAS EURO OPT APR23 | 4.50 USD | 03/28/23 | 164 | 8,014,680 | 567,368 | 1,804,492 | 1,237,124 | |||||||||||||||||
NAT GAS EURO OPT APR23 | 5.00 USD | 03/28/23 | 2 | 97,740 | 5,205 | 17,804 | 12,599 | |||||||||||||||||
NAT GAS EURO OPT APR23 | 3.50 USD | 03/28/23 | 2 | 97,740 | 38,155 | 33,274 | (4,881 | ) | ||||||||||||||||
NAT GAS EURO OPT APR23 | 8.00 USD | 03/28/23 | 3 | 146,610 | 12,308 | 7,815 | (4,493 | ) | ||||||||||||||||
NAT GAS EURO OPT APR23 | 6.00 USD | 03/28/23 | 1 | 48,870 | 4,803 | 5,820 | 1,017 | |||||||||||||||||
NAT GAS EURO OPT APR24 | 5.00 USD | 03/25/24 | 1 | 43,260 | 4,403 | 6,788 | 2,385 | |||||||||||||||||
NAT GAS EURO OPT AUG23 | 4.50 USD | 07/26/23 | 164 | 8,075,360 | 567,368 | 1,939,300 | 1,371,932 | |||||||||||||||||
NAT GAS EURO OPT AUG23 | 5.00 USD | 07/26/23 | 2 | 98,480 | 5,205 | 19,442 | 14,237 | |||||||||||||||||
NAT GAS EURO OPT AUG23 | 3.50 USD | 07/26/23 | 2 | 98,480 | 38,155 | 34,560 | (3,595 | ) | ||||||||||||||||
NAT GAS EURO OPT AUG23 | 8.00 USD | 07/26/23 | 4 | 196,560 | 16,411 | 12,612 | (3,799 | ) | ||||||||||||||||
NAT GAS EURO OPT AUG24 | 5.00 USD | 07/26/24 | 1 | 44,600 | 4,403 | 6,462 | 2,059 | |||||||||||||||||
NAT GAS EURO OPT DEC22 | 10.00 USD | 11/25/22 | 1 | 70,650 | 1,553 | 4,431 | 2,878 | |||||||||||||||||
NAT GAS EURO OPT FEB23 | 21.00 USD | 01/26/23 | 750 | 52,027,500 | 5,514,503 | 2,600,250 | (2,914,253 | ) | ||||||||||||||||
NAT GAS EURO OPT FEB23 | 7.50 USD | 01/26/23 | 75 | 5,202,750 | 1,551,900 | 1,113,000 | (438,900 | ) | ||||||||||||||||
NAT GAS EURO OPT JAN23 | 5.50 USD | 12/27/22 | 150 | 10,870,500 | 1,320,400 | 3,325,650 | 2,005,250 |
See Notes to Consolidated Financial Statements.
91
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Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Strike | Expiration Date | Contracts | Notional Amount | Premium Paid | Market Value | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
NAT GAS EURO OPT JAN23 | 6.00 USD | 12/27/22 | 182 | 13,189,540 | $ | 2,278,686 | $ | 3,539,172 | $ | 1,260,486 | ||||||||||||||
NAT GAS EURO OPT JAN23 | 7.50 USD | 12/27/22 | 75 | 5,435,250 | 1,551,900 | 1,012,050 | (539,850 | ) | ||||||||||||||||
NAT GAS EURO OPT JUL23 | 4.50 USD | 06/27/23 | 164 | 8,058,960 | 567,368 | 1,877,144 | 1,309,776 | |||||||||||||||||
NAT GAS EURO OPT JUL23 | 5.00 USD | 06/27/23 | 2 | 98,280 | 5,205 | 18,638 | 13,433 | |||||||||||||||||
NAT GAS EURO OPT JUL23 | 3.50 USD | 06/27/23 | 2 | 98,280 | 38,155 | 34,002 | (4,153 | ) | ||||||||||||||||
NAT GAS EURO OPT JUL23 | 8.00 USD | 06/27/23 | 4 | 196,560 | 16,411 | 11,356 | (5,055 | ) | ||||||||||||||||
NAT GAS EURO OPT JUL24 | 5.00 USD | 06/25/24 | 1 | 44,250 | 4,403 | 6,245 | 1,842 | |||||||||||||||||
NAT GAS EURO OPT JUN23 | 4.50 USD | 05/25/23 | 164 | 7,950,720 | 567,368 | 1,741,680 | 1,174,312 | |||||||||||||||||
NAT GAS EURO OPT JUN23 | 5.00 USD | 05/25/23 | 2 | 96,960 | 5,205 | 17,022 | 11,817 | |||||||||||||||||
NAT GAS EURO OPT JUN23 | 3.50 USD | 05/25/23 | 2 | 96,960 | 38,155 | 32,434 | (5,721 | ) | ||||||||||||||||
NAT GAS EURO OPT JUN23 | 8.00 USD | 05/25/23 | 5 | 242,400 | 20,513 | 11,780 | (8,733 | ) | ||||||||||||||||
NAT GAS EURO OPT JUN24 | 5.00 USD | 05/28/24 | 1 | 43,440 | 4,403 | 5,953 | 1,550 | |||||||||||||||||
NAT GAS EURO OPT MAR23 | 7.50 USD | 02/23/23 | 75 | 4,521,000 | 1,551,900 | 881,475 | (670,425 | ) | ||||||||||||||||
NAT GAS EURO OPT MAY23 | 4.50 USD | 04/25/23 | 164 | 7,845,760 | 567,368 | 1,641,968 | 1,074,600 | |||||||||||||||||
NAT GAS EURO OPT MAY23 | 5.00 USD | 04/25/23 | 2 | 95,680 | 5,205 | 15,876 | 10,671 | |||||||||||||||||
NAT GAS EURO OPT MAY23 | 3.50 USD | 04/25/23 | 2 | 95,680 | 38,155 | 31,172 | (6,983 | ) | ||||||||||||||||
NAT GAS EURO OPT MAY23 | 8.00 USD | 04/25/23 | 3 | 143,520 | 12,308 | 6,201 | (6,107 | ) | ||||||||||||||||
NAT GAS EURO OPT MAY23 | 6.00 USD | 04/25/23 | 1 | 47,840 | 4,803 | 4,988 | 185 | |||||||||||||||||
NAT GAS EURO OPT MAY24 | 5.00 USD | 04/25/24 | 1 | 42,710 | 4,403 | 5,853 | 1,450 | |||||||||||||||||
NAT GAS EURO OPT NOV22 | 10.00 USD | 10/26/22 | 21 | 1,420,860 | 32,606 | 21,924 | (10,682 | ) | ||||||||||||||||
NAT GAS EURO OPT OCT23 | 5.00 USD | 09/26/23 | 2 | 99,300 | 5,205 | 21,498 | 16,293 | |||||||||||||||||
NAT GAS EURO OPT OCT23 | 4.50 USD | 09/26/23 | 164 | 8,142,600 | 567,368 | 2,101,168 | 1,533,800 | |||||||||||||||||
NAT GAS EURO OPT OCT23 | 3.50 USD | 09/26/23 | 2 | 99,300 | 38,155 | 36,150 | (2,005 | ) | ||||||||||||||||
NAT GAS EURO OPT OCT23 | 8.00 USD | 09/26/23 | 4 | 196,560 | 16,411 | 15,864 | (547 | ) | ||||||||||||||||
NAT GAS EURO OPT OCT24 | 5.00 USD | 09/25/24 | 1 | 45,100 | 4,403 | 6,994 | 2,591 |
See Notes to Consolidated Financial Statements.
92
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Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Strike | Expiration Date | Contracts | Notional Amount | Premium Paid | Market Value | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
NAT GAS EURO OPT SEP23 | 4.50 USD | 08/28/23 | 164 | 8,026,160 | $ | 567,368 | $ | 1,970,132 | $ | 1,402,764 | ||||||||||||||
NAT GAS EURO OPT SEP23 | 5.00 USD | 08/28/23 | 2 | 97,880 | 5,205 | 19,938 | 14,733 | |||||||||||||||||
NAT GAS EURO OPT SEP23 | 3.50 USD | 08/28/23 | 2 | 97,880 | 38,155 | 34,590 | (3,565 | ) | ||||||||||||||||
NAT GAS EURO OPT SEP23 | 8.00 USD | 08/28/23 | 3 | 146,820 | 12,308 | 10,341 | (1,967 | ) | ||||||||||||||||
NAT GAS EURO OPT SEP23 | 6.00 USD | 08/28/23 | 1 | 48,940 | 4,803 | 6,900 | 2,097 | |||||||||||||||||
NAT GAS EURO OPT SEP24 | 5.00 USD | 08/27/24 | 1 | 44,450 | 4,403 | 6,496 | 2,093 | |||||||||||||||||
NAT GAS STRIP DEC22 | 3.00 USD | 12/22/22 | 410 | 12,300,000 | 1,350,375 | 29,735,250 | 28,384,875 | |||||||||||||||||
NATURAL GAS OPTN MAR23 | 20.00 USD | 02/23/23 | 40 | 2,411,200 | 293,209 | 140,800 | (152,409 | ) | ||||||||||||||||
PHE 01312023 PHE C10 | 10.00 USD | 12/27/22 | 300 | 750,000 | 367,662 | 610,200 | 242,538 | |||||||||||||||||
PHE 02282023 PHE C10 | 10.00 USD | 01/26/23 | 300 | 750,000 | 367,662 | 758,100 | 390,438 | |||||||||||||||||
PHE 03312023 PHE C10 | 10.00 USD | 02/23/23 | 300 | 750,000 | 367,662 | 623,700 | 256,038 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
$ | 27,012,374 | $ | 60,992,324 | $ | 33,979,950 | |||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
Exchange-Traded Put Options — 0.0% |
| |||||||||||||||||||||||
CRUDE OIL FUT OPT NOV22 | 75.00 USD | 10/17/22 | 20 | 20,000 | $ | 48,230 | $ | 35,600 | $ | (12,630 | ) | |||||||||||||
NAT GAS EURO OPT APR23 | 2.00 USD | 03/28/23 | 95 | 4,642,650 | 24,004 | 40,850 | 16,846 | |||||||||||||||||
NAT GAS EURO OPT APR24 | 2.75 USD | 03/25/24 | 2 | 86,520 | 4,655 | 4,754 | 99 | |||||||||||||||||
NAT GAS EURO OPT AUG23 | 2.00 USD | 07/26/23 | 95 | 4,677,800 | 24,004 | 45,600 | 21,596 | |||||||||||||||||
NAT GAS EURO OPT AUG24 | 2.75 USD | 07/26/24 | 2 | 89,200 | 4,655 | 3,552 | (1,103 | ) | ||||||||||||||||
NAT GAS EURO OPT DEC23 | 2.00 USD | 11/27/23 | 21 | 1,163,820 | 25,309 | 12,222 | (13,087 | ) | ||||||||||||||||
NAT GAS EURO OPT JAN23 | 4.00 USD | 12/27/22 | 600 | 43,482,000 | 444,242 | 569,400 | 125,158 | |||||||||||||||||
NAT GAS EURO OPT JUL23 | 2.00 USD | 06/27/23 | 95 | 4,668,300 | 24,004 | 39,235 | 15,231 | |||||||||||||||||
NAT GAS EURO OPT JUL24 | 2.75 USD | 06/25/24 | 2 | 88,500 | 4,655 | 3,552 | (1,103 | ) | ||||||||||||||||
NAT GAS EURO OPT JUN23 | 2.00 USD | 05/25/23 | 95 | 4,605,600 | 24,004 | 33,155 | 9,151 | |||||||||||||||||
NAT GAS EURO OPT JUN24 | 2.75 USD | 05/28/24 | 2 | 86,880 | 4,655 | 3,794 | (861 | ) | ||||||||||||||||
NAT GAS EURO OPT MAY23 | 2.00 USD | 04/25/23 | 95 | 4,544,800 | 24,004 | 30,305 | 6,301 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Strike | Expiration Date | Contracts | Notional Amount | Premium Paid | Market Value | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
NAT GAS EURO OPT MAY24 | 2.75 USD | 04/25/24 | 2 | 85,420 | $ | 4,655 | $ | 4,184 | $ | (471 | ) | |||||||||||||
NAT GAS EURO OPT NOV23 | 2.00 USD | 10/26/23 | 21 | 1,105,650 | 25,309 | 11,886 | (13,423 | ) | ||||||||||||||||
NAT GAS EURO OPT OCT23 | 2.00 USD | 09/26/23 | 95 | 4,716,750 | 24,004 | 60,800 | 36,796 | |||||||||||||||||
NAT GAS EURO OPT OCT24 | 2.75 USD | 09/25/24 | 2 | 90,200 | 4,655 | 3,774 | (881 | ) | ||||||||||||||||
NAT GAS EURO OPT SEP23 | 2.00 USD | 08/28/23 | 95 | 4,649,300 | 24,004 | 55,005 | 31,001 | |||||||||||||||||
NAT GAS EURO OPT SEP24 | 2.75 USD | 08/27/24 | 2 | 88,900 | 4,655 | 3,710 | (945 | ) | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
$ | 743,703 | $ | 961,378 | $ | 217,675 | |||||||||||||||||||
|
|
|
|
|
|
Counterparty | Strike | Expiration Date | Contracts | Notional Amount | Premium Paid | Market Value | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||||
OTC Call Options — 0.2% |
| |||||||||||||||||||||||||||||
Buy Euro Call USD Put JPY AT 1 | Goldman Sachs International | 1.00 USD | 05/01/24 | 1 | 1 | $ | 996,830 | $ | 2,887,794 | $ | 1,890,964 | |||||||||||||||||||
Call SPX 3764.9 USD 11/30/22 | Citi Bank N.A. | 3,764.90 USD | 11/30/22 | 42,751 | 42,751 | 3,211,232 | 3,379,240 | 168,008 | ||||||||||||||||||||||
Cap Call MAY23 | Morgan Stanley Co., Inc. | 0.000 USD | 05/05/23 | 19,256,000 | 19,256,000 | 498,249 | 109,428 | (388,821 | ) | |||||||||||||||||||||
Cap Call MAY23 | Morgan Stanley Co., Inc. | 0.01 USD | 05/05/23 | 37,350 | 373,500,000 | 494,888 | 85,207 | (409,681 | ) | |||||||||||||||||||||
Cap Call NOV22 | Morgan Stanley Co., Inc. | 0.01 USD | 11/06/22 | 50,464 | 504,640,000 | 996,663 | 383 | (996,280 | ) | |||||||||||||||||||||
Cap Call NOV22 | Morgan Stanley Co., Inc. | 0.00 USD | 11/07/22 | 28,220,000 | 28,220,000 | 742,186 | 1,033 | (741,153 | ) | |||||||||||||||||||||
Cap Call OCT25 | Morgan Stanley Co., Inc. | 0.00 USD | 10/20/25 | 64,430,000 | 64,430,000 | 1,375,000 | 1,258,379 | (116,621 | ) | |||||||||||||||||||||
Dual Digital Option SPX 3917.27 USDJPY 135.98 | Citi Bank N.A. | 3,917.27 USD | 12/16/22 | 9,600,000 | 9,600,000 | 792,000 | 246,720 | (545,280 | ) |
See Notes to Consolidated Financial Statements.
94
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Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Counterparty | Strike | Expiration Date | Contracts | Notional Amount | Premium Paid | Market Value | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||||
Dual Digital Option SPX 3917.27 USDJPY 137.43 | Citi Bank N.A. | 3,917.27 USD | 12/16/22 | 9,600,000 | 9,600,000 | $ | 792,000 | $ | 323,395 | $ | (468,605 | ) | ||||||||||||||||||
Dual Digital Option SPX 3917.27 USDJPY 138.87 | Citi Bank N.A. | 3,917.27 USD | 12/16/22 | 9,600,000 | 9,600,000 | 792,000 | 419,606 | (372,394 | ) | |||||||||||||||||||||
LME Copper 3Mo Call | Morgan Stanley Co., Inc. | 16,500.00 USD | 12/04/24 | 7,500 | 7,500 | 2,430,000 | 423,205 | (2,006,795 | ) | |||||||||||||||||||||
LME Nickel 3Mo Call | Morgan Stanley Co., Inc. | 40,000.00 USD | 12/04/24 | 1,260 | 1,260 | 2,431,800 | 1,498,017 | (933,783 | ) | |||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
$ | 15,552,848 | $ | 10,632,407 | $ | (4,920,441 | ) | ||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
OTC Put Options — 2.4% |
| |||||||||||||||||||||||||||||
Bank of America N.A | Bank of America International | 4.03 USD | 12/19/22 | 50,000,000 | 50,000,000 | $ | 243,000 | $ | 578,798 | $ | 335,798 | |||||||||||||||||||
Bank of America N.A | Bank of America International | 4.04 USD | 06/20/23 | 50,000,000 | 50,000,000 | 130,400 | 405,084 | 274,684 | ||||||||||||||||||||||
Buy Euro Digital Put USD Call JPY | Bank of America International | 120.00 USD | 09/18/23 | 2,200,000 | 2,200,000 | 220,000 | 183,124 | (36,876 | ) | |||||||||||||||||||||
Buy Euro Digital Put USD Call JPY | Deutsche Bank | 120.00 USD | 09/18/23 | 2,200,000 | 2,200,000 | 212,300 | 183,124 | (29,176 | ) | |||||||||||||||||||||
Buy Euro Digital Put USD Call JPY | Bank of America International | 123.00 USD | 06/16/23 | 2,200,000 | 2,200,000 | 216,700 | 173,153 | (43,547 | ) | |||||||||||||||||||||
Buy Euro Digital Put USD Call JPY | Deutsche Bank | 123.00 USD | 06/16/23 | 2,200,000 | 2,200,000 | 217,800 | 173,153 | (44,647 | ) | |||||||||||||||||||||
Buy Euro Digital Put USD Call JPY | Deutsche Bank | 126.00 USD | 03/16/23 | 2,200,000 | 2,200,000 | 207,899 | 149,138 | (58,761 | ) | |||||||||||||||||||||
Buy Euro Digital Put USD Call JPY | Bank of America International | 126.00 USD | 03/16/23 | 2,200,000 | 2,200,000 | 203,500 | 149,138 | (54,362 | ) | |||||||||||||||||||||
Forward Volatility Agreement Put | Goldman Sachs International | 0.000 USD | 01/08/24 | 29,050,000 | 29,050,000 | 5,345,200 | 5,639,927 | 294,727 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Counterparty | Strike | Expiration Date | Contracts | Notional Amount | Premium Paid | Market Value | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||||
Forward Volatility Agreement Put | Morgan Stanley Co., Inc. | 0.000 USD | 01/06/27 | 24,402,000 | 24,402,000 | $ | 5,283,277 | $ | 5,675,664 | $ | 392,387 | |||||||||||||||||||
Forward Volatility Agreement Put | Goldman Sachs International | 0.000 USD | 01/11/27 | 24,070,000 | 24,070,000 | 5,259,295 | 5,609,122 | 349,827 | ||||||||||||||||||||||
Forward Volatility Agreement Put | Morgan Stanley Co., Inc. | 0.000 USD | 01/19/27 | 24,485,000 | 24,485,000 | 5,312,000 | 5,670,662 | 358,662 | ||||||||||||||||||||||
Forward Volatility Agreement Put | Goldman Sachs International | 0.000 USD | 01/19/27 | 53,286,000 | 53,286,000 | 10,622,133 | 11,255,875 | 633,742 | ||||||||||||||||||||||
Forward Volatility Agreement Put | Morgan Stanley Co., Inc. | 0.000 USD | 04/19/27 | 56,280,000 | 56,280,000 | 10,462,452 | 10,760,596 | 298,144 | ||||||||||||||||||||||
Forward Volatility Agreement Put | Goldman Sachs International | 0.000 USD | 04/22/27 | 71,400,000 | 71,400,000 | 10,474,380 | 10,181,801 | (292,579 | ) | |||||||||||||||||||||
Forward Volatility Agreement Put | Morgan Stanley Co., Inc. | 0.000 USD | 05/13/27 | 152,720,000 | 152,720,000 | 20,769,920 | 21,631,142 | 861,222 | ||||||||||||||||||||||
Forward Volatility Agreement Put | Morgan Stanley Co., Inc. | 0.000 USD | 01/06/28 | 23,240,000 | 23,240,000 | 5,258,561 | 5,586,404 | 327,843 | ||||||||||||||||||||||
Forward Volatility Agreement Put | JPMorgan Chase Bank N.A. | 0.000 USD | 03/30/32 | 27,997,200 | 27,997,200 | 5,040,000 | 4,710,092 | (329,908 | ) | |||||||||||||||||||||
Forward Volatility Agreement Put | Morgan Stanley Co., Inc. | 0.000 USD | 03/30/32 | 84,000,000 | 84,000,000 | 15,414,000 | 12,469,069 | (2,944,931 | ) | |||||||||||||||||||||
Put SPX 3692.304 USD 10/31/2022 | Goldman Sachs International | 3,692.30 USD | 10/31/22 | 45,150 | 45,150 | 2,871,074 | 7,611,588 | 4,740,514 | ||||||||||||||||||||||
Put SX5E 3316.67 EUR 12/30/2022 | Goldman Sachs International | 3,316.67 EUR | 12/30/22 | 33,275 | 33,275 | 3,608,489 | 5,788,687 | 2,180,198 | ||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
$ | 107,372,380 | $ | 114,585,341 | $ | 7,212,961 | |||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
Total Purchased Options Outstanding |
| $ | 150,681,305 | $ | 187,171,450 | $ | 36,490,145 | |||||||||||||||||||||||
|
|
|
|
|
|
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Security Description | Shares | Value | ||||||||||
REPURCHASE AGREEMENTS (o) — 3.6% |
| |||||||||||
Barclays Capital, Inc., 0.00%, dated 07/27/2022, due On Demand (collateralized by Turkey Government Bond, 7.38% due 02/05/2025, market value $2,880,000) (p) | 2,941,989 | $ | 2,941,989 | |||||||||
Barclays Capital, Inc., 0.15%, dated 05/27/2022, due On Demand (collateralized by Peru International Bond, 3.55% due 03/10/2051, market value $5,733,576) (p) | 7,256,613 | 7,256,613 | ||||||||||
Barclays Capital, Inc., 0.30%, dated 09/27/2022, due On Demand (collateralized by Indonesian International Bond, 3.55% due 03/10/2051, market value $2,607,449) (p) | 2,699,900 | 2,699,900 | ||||||||||
Barclays Capital, Inc., 0.35%, dated 08/16/2022, due On Demand (collateralized by Turkey Government Bond, 7.38% due 02/05/2025, market value $1,310,400) (p) | 1,361,100 | 1,361,100 | ||||||||||
Barclays Capital, Inc., 0.35%, dated 09/07/2022, due On Demand (collateralized by Peru International Bond, 8.75% due 11/21/2033, market value $3,368,690) (p) | 3,739,500 | 3,739,500 | ||||||||||
Barclays Capital, Inc., 0.40%, dated 09/15/2022, due On Demand (collateralized by Egypt International Bond, 7.50% due 01/31/2027, market value $1,039,811) (p) | 1,227,394 | 1,227,394 | ||||||||||
Barclays Capital, Inc., 0.50%, dated 07/15/2022, due On Demand (collateralized by Industrial and Commercial Bank of China Limited Bond, 3.20% due 03/24/2170, market value $1,883,233) (p) | 2,004,128 | 2,004,128 | ||||||||||
Barclays Capital, Inc., 0.50%, dated 07/22/2022, due On Demand (collateralized by Egypt International Bond, 5.88% due 06/11/2025, market value $1,579,920) (p) | 1,663,862 | 1,663,862 | ||||||||||
Barclays Capital, Inc., 0.55%, dated 05/27/2022, due On Demand (collateralized by Colombian International Bond, 7.38% due 09/18/2037, market value $4,568,374) (p) | 5,716,851 | 5,716,851 | ||||||||||
Barclays Capital, Inc., 0.55%, dated 06/13/2022, due On Demand (collateralized by Nigerian International Bond, 7.63% due 11/21/2025, market value $1,080,385) (p) | 1,159,238 | 1,159,238 | ||||||||||
Barclays Capital, Inc., 0.55%, dated 09/28/2022, due On Demand (collateralized by Indonesian International Bond, 4.65% due 09/20/2032, market value $2,099,090) (p) | 2,134,329 | 2,134,329 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Security Description | Shares | Value | ||||||||||
Barclays Capital, Inc., 0.60%, dated 06/14/2022, due On Demand (collateralized by Bahrain International Bond, 7.38% due 05/14/2030, market value $3,426,836) (p) | 3,748,188 | $ | 3,748,188 | |||||||||
Barclays Capital, Inc., 0.85%, dated 06/24/2022, due On Demand (collateralized by Turkey Government Bond, 7.38% due 02/05/2025, market value $4,793,280) (p) | 5,035,820 | 5,035,820 | ||||||||||
Barclays Capital, Inc., 0.85%, dated 07/27/2022, due On Demand (collateralized by Indonesian International Bond, 5.35% due 02/11/2049, market value $2,421,475) (p) | 2,890,633 | 2,890,633 | ||||||||||
Barclays Capital, Inc., 1.05%, dated 06/24/2022, due On Demand (collateralized by Nigerian International Bond, 7.63% due 11/21/2025, market value $2,721,290) (p) | 2,880,374 | 2,880,374 | ||||||||||
Barclays Capital, Inc., 1.30%, dated 06/23/2022, due On Demand (collateralized by Nigerian International Bond, 7.63% due 11/21/2025, market value $1,191,970) (p) | 1,257,819 | 1,257,819 | ||||||||||
Barclays Capital, Inc., 1.35%, dated 06/23/2022, due On Demand (collateralized by Bahrain International Bond, 7.00% due 10/12/2028, market value $4,040,940) (p) | 4,444,714 | 4,444,714 | ||||||||||
Barclays Capital, Inc., 1.40%, dated 06/22/2022, due On Demand (collateralized by Egypt International Bond, 7.90% due 02/21/2048, market value $364,224) (p) | 472,543 | 472,543 | ||||||||||
Barclays Capital, Inc., 1.80%, dated 08/23/2022, due On Demand (collateralized by Chile International Bond, 3.50% due 01/31/2034, market value $2,684,688) (p) | 2,985,793 | 2,985,793 | ||||||||||
Barclays Capital, Inc., 1.85%, dated 08/19/2022, due On Demand (collateralized by Chile International Bond, 3.50% due 01/31/2034, market value $2,651,262) (p) | 3,023,983 | 3,023,983 | ||||||||||
Barclays Capital, Inc., 1.85%, dated 08/25/2022, due On Demand (collateralized by Chile International Bond, 3.50% due 01/31/2034, market value $1,544,939) (p) | 1,725,435 | 1,725,435 | ||||||||||
Barclays Capital, Inc., 1.95%, dated 08/23/2022, due On Demand (collateralized by Chile International Bond, 2.55% due 07/27/2033, market value $1,224,684) (p) | 1,368,285 | 1,368,285 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Security Description | Shares | Value | ||||||||||
Barclays Capital, Inc., 2.00%, dated 09/08/2022, due On Demand (collateralized by Dominican Republic International Bond, 5.50% due 02/22/2029, market value $2,361,888) (p) | 2,597,953 | $ | 2,597,953 | |||||||||
Barclays Capital, Inc., 2.70%, dated 09/28/2022, due On Demand (collateralized by Indonesian International Bond, 5.45% Perpetual Maturity, market value $247,238) (p) | 249,789 | 249,789 | ||||||||||
Barclays Capital, Inc., 2.85%, dated 07/06/2022, due On Demand (collateralized by Turkey Government Bond, 7.25% due 12/23/2023, market value $2,154,128) (p) | 2,176,632 | 2,176,632 | ||||||||||
Barclays Capital, Inc., 3.25%, dated 08/23/2022, due On Demand (collateralized by Turkey Government Bond, 7.25% due 12/23/2023, market value $2,369,541) (p) | 2,455,681 | 2,455,681 | ||||||||||
Citigroup Global Markets Limited, 0.25%, dated 03/02/2022, due On Demand (collateralized by Peru International Bond, 3.55% due 03/10/2051, market value $2,966,427) (p) | 4,376,558 | 4,376,558 | ||||||||||
Citigroup Global Markets Limited, 0.25%, dated 03/03/2022, due On Demand (collateralized by Peru International Bond, 3.55% due 03/10/2051, market value $1,982,076) (p) | 2,867,670 | 2,867,670 | ||||||||||
Citigroup Global Markets Limited, 0.50%, dated 07/01/2022, due On Demand (collateralized by Turkey Government Bond, 7.38% due 02/05/2025, market value $2,400,000) (p) | 2,546,250 | 2,546,250 | ||||||||||
Citigroup Global Markets Limited, 0.60%, dated 02/11/2022, due On Demand (collateralized by Colombian International Bond, 7.38% due 09/18/2037, market value $641,251) (p) | 894,535 | 894,535 | ||||||||||
Citigroup Global Markets Limited, 0.65%, dated 05/19/2022, due On Demand (collateralized by Nigerian International Bond, 7.63% due 11/21/2025, market value $234,415) (p) | 271,894 | 271,894 | ||||||||||
Citigroup Global Markets Limited, 0.65%, dated 05/20/2022, due On Demand (collateralized by Nigerian International Bond, 7.63% due 11/21/2025, market value $688,540) (p) | 758,668 | 758,668 | ||||||||||
Citigroup Global Markets Limited, 0.65%, dated 07/13/2022, due On Demand (collateralized by Egypt International Bond, 5.88% due 06/11/2025, market value $3,268,065) (p) | 3,477,562 | 3,477,562 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Security Description | Shares | Value | ||||||||||
Citigroup Global Markets Limited, 1.25%, dated 02/24/2022, due On Demand (collateralized by Colombian International Bond, 7.38% due 09/18/2037, market value $3,927,123) (p) | 5,274,971 | $ | 5,274,971 | |||||||||
JPMorgan Chase Bank, N.A., 0.00%, dated 05/26/2022, due 10/28/2022 (collateralized by Alibaba Group Holding Limited, 2.13% due 02/09/2031, market value $1,077,409) | 1,230,604 | 1,230,604 | ||||||||||
JPMorgan Chase Bank, N.A., 0.00%, dated 05/26/2022, due 10/28/2022 (collateralized by Tencent Holdings Bond, 3.28% due 04/11/2024, market value $551,635) | 595,833 | 595,833 | ||||||||||
JPMorgan Chase Bank, N.A., 0.10%, dated 05/27/2022, due 10/28/2022 (collateralized by Egypt International Bond, 6.59% due 02/21/2028, market value $1,556,462) | 2,042,249 | 2,042,249 | ||||||||||
JPMorgan Chase Bank, N.A., 0.25%, dated 05/26/2022, due 10/28/2022 (collateralized by Egypt International Bond, 3.88% due 02/16/2026, market value $3,678,800) | 3,920,596 | 3,920,596 | ||||||||||
JPMorgan Chase Bank, N.A., 0.25%, dated 07/19/2022, due 10/28/2022 (collateralized by Alibaba Group Holding Limited, 2.13% due 02/09/2031, market value $631,824) | 714,395 | 714,395 | ||||||||||
JPMorgan Chase Bank, N.A., 0.50%, dated 07/19/2022, due 10/28/2022 (collateralized by Bank of China Bond, 3.60% Perpetual Maturity, market value $3,451,500) | 3,720,749 | 3,720,749 | ||||||||||
JPMorgan Chase Bank, N.A., 0.50%, dated 07/19/2022, due 10/28/2022 (collateralized by Industrial & Commercial Bank of China, 3.20% Perpetual Maturity, market value $6,394,213) | 6,948,932 | 6,948,932 | ||||||||||
JPMorgan Chase Bank, N.A., 0.50%, dated 07/19/2022, due 10/28/2022 (collateralized by Tencent Holdings Bond, 1.81% due 01/26/2026, market value $1,663,570) | 1,813,114 | 1,813,114 | ||||||||||
JPMorgan Chase Bank, N.A., 0.65%, dated 09/15/2022, due 10/17/2022 (collateralized by Egypt International Bond, 5.25% due 10/06/2025, market value $2,619,874) | 3,190,093 | 3,190,093 | ||||||||||
JPMorgan Chase Bank, N.A., 0.75%, dated 07/19/2022, due 10/28/2022 (collateralized by Egypt International Bond, 6.59% due 02/21/2028, market value $3,485,943) | 3,680,386 | 3,680,386 |
See Notes to Consolidated Financial Statements.
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September 30, 2022 (Unaudited)
Security Description | Shares | Value | ||||||||||
JPMorgan Chase Bank, N.A., 0.75%, dated 07/19/2022, due 10/28/2022 (collateralized by Tencent Holdings Bond, 3.28% due 04/11/2024, market value $3,898,483) | 4,185,987 | $ | 4,185,987 | |||||||||
JPMorgan Chase Bank, N.A., 0.80%, dated 09/15/2022, due 10/28/2022 (collateralized by Egypt International Bond, 3.88% due 02/16/2026, market value $1,302,156) | 1,563,601 | 1,563,601 | ||||||||||
JPMorgan Chase Bank, N.A., 1.00%, dated 05/16/2022, due 10/28/2022 (collateralized by Nigerian International Bond, 6.38% due 07/12/2023, market value $2,462,525) | 2,692,110 | 2,692,110 | ||||||||||
JPMorgan Chase Bank, N.A., 1.00%, dated 07/19/2022, due 10/28/2022 (collateralized by Bahrain International Bond, 5.25% due 01/25/2033, market value $3,340,063) | 3,583,973 | 3,583,973 | ||||||||||
JPMorgan Chase Bank, N.A., 1.00%, dated 07/19/2022, due 10/28/2022 (collateralized by Bahrain International Bond, 5.63% due 05/18/2034, market value $1,484,391) | 1,546,720 | 1,546,720 | ||||||||||
JPMorgan Chase Bank, N.A., 1.00%, dated 09/15/2022, due 10/17/2022 (collateralized by Egypt International Bond, 7.50% due 01/31/2027, market value $4,621,380) | 5,624,063 | 5,624,063 | ||||||||||
JPMorgan Chase Bank, N.A., 1.05%, dated 07/19/2022, due 10/28/2022 (collateralized by Alibaba Group Holding Limited, 3.40% due 12/06/2027, market value $11,176,846) | 12,457,468 | 12,457,468 | ||||||||||
JPMorgan Chase Bank, N.A., 1.20%, dated 06/22/2022, due 10/28/2022 (collateralized by Bahrain International Bond, 5.45% due 09/16/2032, market value $2,846,278) | 3,311,195 | 3,311,195 | ||||||||||
JPMorgan Chase Bank, N.A., 1.25%, dated 07/19/2022, due 10/28/2022 (collateralized by Bahrain International Bond, 5.63% due 09/30/2031, market value $1,635,880) | 1,750,547 | 1,750,547 | ||||||||||
JPMorgan Chase Bank, N.A., 1.35%, dated 06/06/2022, due 10/28/2022 (collateralized by Colombian International Bond, 7.38% due 09/18/2037, market value $351,347) | 452,790 | 452,790 | ||||||||||
JPMorgan Chase Bank, N.A., 1.40%, dated 06/22/2022, due 10/28/2022 (collateralized by Egypt International Bond, 7.60% due 03/01/2029, market value $816,985) | 999,563 | 999,563 |
See Notes to Consolidated Financial Statements.
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September 30, 2022 (Unaudited)
Security Description | Shares | Value | ||||||||||
JPMorgan Chase Bank, N.A., 1.75%, dated 09/23/2022, due 10/13/2022 (collateralized by Industrial and Commercial Bank of China Limited Bond, 3.20% Perpetual Maturity, market value $3,429,881) | 3,660,956 | $ | 3,660,956 | |||||||||
JPMorgan Chase Bank, N.A., 2.94%, dated 09/28/2022, due 10/05/2022 (collateralized by US Treasury Notes, 1.88% due 02/15/2032, market value $3,266,171) | 3,251,389 | 3,251,389 | ||||||||||
JPMorgan Chase Bank, N.A., 2.94%, dated 09/28/2022, due 10/05/2022 (collateralized by US Treasury Notes, 1.88% due 11/15/2051, market value $1,752,416) | 1,749,879 | 1,749,879 | ||||||||||
JPMorgan Chase Bank, N.A., 2.94%, dated 09/28/2022, due 10/05/2022 (collateralized by US Treasury Notes, 1.88% due 11/15/2051, market value $3,974,096) | 3,982,060 | 3,982,060 | ||||||||||
JPMorgan Chase Bank, N.A., 2.94%, dated 09/28/2022, due 10/05/2022 (collateralized by US Treasury Notes, 2.00% due 08/15/2051, market value $408,462) | 405,194 | 405,194 | ||||||||||
|
|
|
| |||||||||
TOTAL REPURCHASE AGREEMENTS | 168,761,100 | 168,761,100 | ||||||||||
|
|
|
| |||||||||
TOTAL INVESTMENTS IN SECURITIES — 87.0% |
| 4,087,453,154 | ||||||||||
|
| |||||||||||
TOTAL SECURITIES SOLD SHORT — (39.5)% (PROCEEDS $2,034,543,651) | (1,853,956,722 | ) | ||||||||||
|
| |||||||||||
Other Assets (q) — 52.5% | 2,462,810,212 | |||||||||||
|
| |||||||||||
Net Assets — 100.0% | $ | 4,696,306,644 | ||||||||||
|
| |||||||||||
SECURITIES SOLD SHORT — (39.5)% | ||||||||||||
COMMON STOCK — (9.3)% | ||||||||||||
Africa — (0.0)% | ||||||||||||
Industrial Services — (0.0)% | ||||||||||||
IHS Holding Ltd. (a) | 2,200 | $ | (12,276 | ) | ||||||||
|
| |||||||||||
Materials — (0.0)% | ||||||||||||
AngloGold Ashanti Ltd., ADR | 3,900 | (53,898 | ) | |||||||||
Caledonia Mining Corp. plc | 400 | (3,928 | ) | |||||||||
Harmony Gold Mining Co., Ltd., ADR | 1,400 | (3,402 | ) | |||||||||
Sasol Ltd., ADR | 2,100 | (33,075 | ) | |||||||||
|
| |||||||||||
(94,303 | ) | |||||||||||
|
|
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Security Description | Shares | Value | ||||||||||
Software & Technology Services — (0.0)% | ||||||||||||
Karooooo Ltd. | 100 | $ | (2,370 | ) | ||||||||
Net 1 UEPS Technologies, Inc. (a) | 800 | (2,816 | ) | |||||||||
|
| |||||||||||
(5,186 | ) | |||||||||||
|
| |||||||||||
Total Africa | (111,765 | ) | ||||||||||
|
| |||||||||||
Asia — (0.6)% | ||||||||||||
Banking — (0.1)% | ||||||||||||
HDFC Bank Ltd., ADR | 26,000 | (1,518,920 | ) | |||||||||
KB Financial Group, Inc., ADR | 3,800 | (114,532 | ) | |||||||||
Mitsubishi UFJ Financial Group, Inc., ADR | 81,900 | (368,550 | ) | |||||||||
Shinhan Financial Group Co. Ltd., ADR | 2,800 | (64,400 | ) | |||||||||
Sumitomo Mitsui Financial Group, Inc., ADR | 53,500 | (294,250 | ) | |||||||||
|
| |||||||||||
(2,360,652 | ) | |||||||||||
|
| |||||||||||
Consumer Discretionary Products — (0.0)% | ||||||||||||
Ezgo Technologies Ltd. (a) | 900 | (369 | ) | |||||||||
Honda Motor Co. Ltd., ADR | 4,800 | (103,632 | ) | |||||||||
indie Semiconductor, Inc., Class A (a) | 3,200 | (23,424 | ) | |||||||||
NIO, Inc., ADR | 33,500 | (528,295 | ) | |||||||||
Tata Motors Ltd., ADR (a) | 3,700 | (89,762 | ) | |||||||||
Toyota Motor Corp., ADR | 3,800 | (495,102 | ) | |||||||||
|
| |||||||||||
(1,240,584 | ) | |||||||||||
|
| |||||||||||
Consumer Discretionary Services — (0.1)% | ||||||||||||
China Liberal Education Holdings Ltd. (a) | 5,800 | (4,813 | ) | |||||||||
China Online Education Group, ADR (a) | 1,500 | (2,880 | ) | |||||||||
GreenTree Hospitality Group Ltd., ADR | 300 | (1,017 | ) | |||||||||
H World Group Ltd., ADR | 24,100 | (808,314 | ) | |||||||||
iHuman, Inc., ADR (a) | 300 | (660 | ) | |||||||||
Meten Holding Group Ltd. (a) | 2,420 | (871 | ) | |||||||||
NaaS Technology, Inc., ADR (a) | 920 | (4,048 | ) | |||||||||
OneSmart International Education Group Ltd., | 900 | (927 | ) | |||||||||
RYB Education, Inc., ADR (a) | 400 | (224 | ) | |||||||||
Skillful Craftsman Education Technology Ltd. (a) | 1,700 | (1,607 | ) | |||||||||
Tarena International, Inc., ADR (a) | 433 | (2,663 | ) | |||||||||
Yum China Holdings, Inc. | 32,600 | (1,542,958 | ) | |||||||||
|
| |||||||||||
(2,370,982 | ) | |||||||||||
|
| |||||||||||
Consumer Staple Products — (0.0)% | ||||||||||||
Farmmi, Inc. (a) | 8,156 | (4,540 | ) | |||||||||
RLX Technology, Inc., ADR (a) | 9,300 | (9,765 | ) | |||||||||
TDH Holdings, Inc. (a) | 2,260 | (7,322 | ) | |||||||||
Viomi Technology Co. Ltd., ADR (a) | 1,300 | (1,599 | ) | |||||||||
|
| |||||||||||
(23,226 | ) | |||||||||||
|
|
See Notes to Consolidated Financial Statements.
103
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Security Description | Shares | Value | ||||||||
Financial Services — (0.0)% | ||||||||||
360 Finance, Inc., ADR | 11,300 | $ | (144,866 | ) | ||||||
9F, Inc., ADR (a) | 1,029 | (233 | ) | |||||||
Akso Health Group, ADR (a) | 600 | (544 | ) | |||||||
ATIF Holdings Ltd. (a) | 100 | (181 | ) | |||||||
Bit Digital, Inc. (a) | 6,700 | (8,040 | ) | |||||||
Dunxin Financial Holdings Ltd., ADR (a) | 200 | (58 | ) | |||||||
FinVolution Group, ADR | 5,700 | (24,396 | ) | |||||||
Jianpu Technology, Inc., ADR (a) | 1,900 | (3,078 | ) | |||||||
Jiayin Group, Inc., ADR (a) | 300 | (651 | ) | |||||||
LexinFintech Holdings Ltd., ADR (a) | 3,300 | (5,577 | ) | |||||||
Lion Group Holding Ltd., ADR (a) | 9,700 | (9,700 | ) | |||||||
Lufax Holding Ltd., ADR | 75,300 | (191,262 | ) | |||||||
MMTEC, Inc. | 900 | (1,314 | ) | |||||||
ORIX Corp., ADR | 100 | (7,067 | ) | |||||||
Puhui Wealth Investment Management Co. Ltd. (a) | 300 | (138 | ) | |||||||
Qudian, Inc., ADR (a) | 24,000 | (21,600 | ) | |||||||
Sentage Holdings, Inc. | 780 | (1,794 | ) | |||||||
SOS Ltd., ADR | 1,904 | (7,864 | ) | |||||||
Up Fintech Holding Ltd., ADR | 1,000 | (3,290 | ) | |||||||
X Financial, ADR (a) | 200 | (446 | ) | |||||||
|
| |||||||||
(432,099 | ) | |||||||||
|
| |||||||||
Health Care — (0.0)% | ||||||||||
111, Inc., ADR (a) | 4,400 | (11,792 | ) | |||||||
Aesthetic Medical International Holdings Group Ltd., ADR (a) | 300 | (519 | ) | |||||||
Anpac Bio-Medical Science Co., Ltd., ADR (a) | 4,300 | (658 | ) | |||||||
Aslan Pharmaceuticals Ltd., ADR (a) | 200 | (120 | ) | |||||||
BeiGene Ltd., ADR (a) | 3,800 | (512,316 | ) | |||||||
Bon Natural Life Ltd. (a) | 200 | (440 | ) | |||||||
Burning Rock Biotech Ltd., ADR (a) | 100 | (239 | ) | |||||||
China SXT Pharmaceuticals Inc. (a) | 971 | (748 | ) | |||||||
Connect Biopharma Holdings Ltd., ADR (a) | 1,300 | (1,677 | ) | |||||||
Genetron Holdings Ltd., ADR (a) | 200 | (156 | ) | |||||||
Gracell Biotechnologies, Inc., ADR (a) | 1,900 | (6,118 | ) | |||||||
Hutchmed China Ltd., ADR (a) | 1,500 | (13,290 | ) | |||||||
MEDIROM Healthcare Technologies, Inc., ADR (a) | 100 | (605 | ) | |||||||
Qilian International Holding Group Ltd. (a) | 300 | (351 | ) | |||||||
Takeda Pharmaceutical Co. Ltd., ADR | 4,891 | (63,436 | ) | |||||||
Zai Lab Ltd., ADR (a) | 1,600 | (54,720 | ) | |||||||
|
| |||||||||
(667,185 | ) | |||||||||
|
| |||||||||
Industrial Products — (0.0)% | ||||||||||
Asia Pacific Wire & Cable Corp., Ltd. (a) | 440 | (695 | ) | |||||||
Greenland Technologies Holding Corp. (a) | 400 | (1,064 | ) | |||||||
|
| |||||||||
(1,759 | ) | |||||||||
|
|
See Notes to Consolidated Financial Statements.
104
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Security Description | Shares | Value | ||||||||
Industrial Services — (0.0)% | ||||||||||
BEST, Inc. (a) | 5,260 | $ | (3,630 | ) | ||||||
EHang Holdings Ltd., ADR (a) | 4,700 | (19,787 | ) | |||||||
Full Truck Alliance Co. Ltd., ADR (a) | 107,700 | (705,435 | ) | |||||||
Guardforce AI Co. Ltd. | 100 | (24 | ) | |||||||
MingZhu Logistics Holdings Ltd. (a) | 900 | (1,845 | ) | |||||||
Pop Culture Group Co., Ltd., Class A (a) | 2,090 | (2,236 | ) | |||||||
ZTO Express Cayman, Inc., ADR | 1,400 | (33,642 | ) | |||||||
|
| |||||||||
(766,599 | ) | |||||||||
|
| |||||||||
Insurance — (0.0)% | ||||||||||
Huize Holding Ltd., ADR (a) | 700 | (593 | ) | |||||||
TIAN RUIXIANG Holdings Ltd., Class A (a) | 1,200 | (737 | ) | |||||||
Waterdrop, Inc., ADR (a) | 1,500 | (1,635 | ) | |||||||
|
| |||||||||
(2,965 | ) | |||||||||
|
| |||||||||
Materials — (0.0)% | ||||||||||
CN Energy Group, Inc., Class A (a) | 500 | (1,045 | ) | |||||||
Ikonics Corp. (d) | 100 | 0 | ||||||||
Origin Agritech Ltd. (a) | 500 | (4,290 | ) | |||||||
Tantech Holdings Ltd. (a) | 9,300 | (1,640 | ) | |||||||
ZK International Group Co. Ltd. (a) | 1,400 | (1,179 | ) | |||||||
|
| |||||||||
(8,154 | ) | |||||||||
|
| |||||||||
Media — (0.1)% | ||||||||||
Baidu, Inc., ADR (a) | 3,700 | (434,713 | ) | |||||||
Baosheng Media Group Holding Ltd. (a) | 1,937 | (1,725 | ) | |||||||
Bilibili, Inc., ADR (a) | 28,800 | (441,216 | ) | |||||||
Dada Nexus Ltd., ADR (a) | 15,000 | (70,950 | ) | |||||||
DouYu International Holdings Ltd., ADR (a) | 9,800 | (9,800 | ) | |||||||
Dragon Victory International Ltd. (a) | 800 | (672 | ) | |||||||
Grab Holdings Ltd., Class A (a) | 321,000 | (844,230 | ) | |||||||
iClick Interactive Asia Group Ltd., ADR (a) | 2,500 | (875 | ) | |||||||
iQIYI, Inc., ADR (a) | 500 | (1,355 | ) | |||||||
Kanzhun Ltd., ADR (a) | 2,200 | (37,136 | ) | |||||||
MakeMyTrip Ltd. (a) | 5,200 | (159,640 | ) | |||||||
NetEase, Inc., ADR | 24,200 | (1,829,520 | ) | |||||||
Phoenix New Media Ltd., ADR (a) | 416 | (1,959 | ) | |||||||
Pintec Technology Holdings, Ltd. (a) | 400 | (108 | ) | |||||||
So-Young International, Inc., ADR (a) | 700 | (504 | ) | |||||||
Sohu.com Ltd., ADR (a) | 1,600 | (25,712 | ) | |||||||
The9 Ltd., ADR (a) | 8,500 | (8,211 | ) | |||||||
Trip.com Group Ltd., ADR (a) | 45,900 | (1,253,529 | ) | |||||||
Uxin Ltd., ADR (a) | 28,400 | (17,040 | ) | |||||||
Zhihu, Inc., ADR (a) | 26,113 | (27,680 | ) | |||||||
Zhongchao, Inc., Class A (a) | 400 | (460 | ) | |||||||
|
| |||||||||
(5,167,035 | ) | |||||||||
|
|
See Notes to Consolidated Financial Statements.
105
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Security Description | Shares | Value | ||||||||
Oil & Gas — (0.0)% | ||||||||||
Recon Technology Ltd., Class A (a) | 4,500 | $ | (2,516 | ) | ||||||
|
| |||||||||
Real Estate — (0.0)% | ||||||||||
Fangdd Network Group Ltd. (a) | 1,340 | (1,179 | ) | |||||||
KE Holdings, Inc., ADR (a) | 55,600 | (974,112 | ) | |||||||
|
| |||||||||
(975,291 | ) | |||||||||
|
| |||||||||
Renewable Energy — (0.0)% | ||||||||||
Daqo New Energy Corp., ADR (a) | 11,700 | (621,036 | ) | |||||||
JinkoSolar Holding Co. Ltd., ADR (a) | 10,100 | (559,439 | ) | |||||||
ReneSola Ltd., ADR (a) | 14,700 | (74,088 | ) | |||||||
|
| |||||||||
(1,254,563 | ) | |||||||||
|
| |||||||||
Retail & Wholesale—Discretionary — (0.3)% | ||||||||||
Alibaba Group Holding Ltd., ADR (a) | 5,500 | (439,945 | ) | |||||||
ATRenew, Inc., ADR (a) | 7,800 | (17,940 | ) | |||||||
Boqii Holding Ltd. (a) | 4,533 | (5,349 | ) | |||||||
Cango, Inc., ADR | 2,300 | (5,290 | ) | |||||||
Coupang, Inc. (a) | 171,500 | (2,858,905 | ) | |||||||
DingDong Cayman Ltd., ADR (a) | 16,700 | (59,452 | ) | |||||||
E-Home Household Service Holdings Ltd. | 260 | (936 | ) | |||||||
E-Home Household Service Holdings Ltd. (a) | 5,200 | (494 | ) | |||||||
Future FinTech Group, Inc. (a) | 5,409 | (2,474 | ) | |||||||
Intelligent Living Application Group, Inc. | 200 | (550 | ) | |||||||
JD.com, Inc., ADR | 114,000 | (5,734,200 | ) | |||||||
Jiuzi Holdings, Inc. (a) | 2,900 | (884 | ) | |||||||
KBS Fashion Group Ltd. (a) | 1,400 | (1,216 | ) | |||||||
LightInTheBox Holding Co. Ltd., ADR (a) | 1,300 | (1,391 | ) | |||||||
Moxian BVI, Inc. (a) | 1,200 | (1,134 | ) | |||||||
Sea Ltd., ADR (a) | 62,500 | (3,503,125 | ) | |||||||
TD Holdings, Inc. | 500 | (610 | ) | |||||||
Vipshop Holdings Ltd., ADR (a) | 4,700 | (39,527 | ) | |||||||
Yatsen Holding Ltd., ADR (a) | 36,200 | (39,458 | ) | |||||||
Yoshitsu Co., Ltd., ADR (a) | 300 | (423 | ) | |||||||
|
| |||||||||
(12,713,303 | ) | |||||||||
|
| |||||||||
Retail & Wholesale—Staples — (0.0)% | ||||||||||
Wunong Net Technology Co. Ltd. (a) | 4,300 | (3,526 | ) | |||||||
|
| |||||||||
Retail & Wholesale—Staples — (0.0)% | ||||||||||
China Jo-Jo Drugstores Holdings, Inc. (a) | 266 | (521 | ) | |||||||
|
| |||||||||
Retail—Discretionary — (0.0)% | ||||||||||
Kaixin Auto Holdings (a) | 7,900 | (6,083 | ) | |||||||
|
|
See Notes to Consolidated Financial Statements.
106
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Security Description | Shares | Value | ||||||||
Software & Technology Services — (0.0)% | ||||||||||
17 Education & Technology Group, Inc., ADR (a) | 1,625 | $ | (2,194 | ) | ||||||
Aurora Mobile Ltd., ADR (a) | 1,900 | (1,880 | ) | |||||||
Baozun, Inc., ADR (a) | 600 | (3,768 | ) | |||||||
BIT Mining Ltd., ADR (a) | 2,600 | (728 | ) | |||||||
Borqs Technologies, Inc. (a) | 12,900 | (9,279 | ) | |||||||
Cellebrite DI Ltd. (a) | 2,900 | (11,368 | ) | |||||||
China Xiangtai Food Co. Ltd. (a) | 3,046 | (1,185 | ) | |||||||
Cloopen Group Holding Ltd., ADR (a) | 3,100 | (2,172 | ) | |||||||
CLPS, Inc. (a) | 300 | (396 | ) | |||||||
Datasea, Inc. (a) | 3,900 | (5,811 | ) | |||||||
Diginex Ltd. (a) | 4,600 | (1,835 | ) | |||||||
Gaotu Techedu, Inc., ADR (a) | 47,300 | (57,233 | ) | |||||||
Infobird Co. Ltd. | 1,777 | (1,901 | ) | |||||||
Infosys Ltd., ADR | 5,800 | (98,426 | ) | |||||||
Kingsoft Cloud Holdings Ltd., ADR (a) | 4,700 | (9,353 | ) | |||||||
Link Motion, Inc., ADR (a),(d) | 11,000 | 0 | ||||||||
Lizhi, Inc., ADR (a) | 2,900 | (1,708 | ) | |||||||
Luokung Technology Corp. (a) | 35,300 | (6,449 | ) | |||||||
OneConnect Financial Technology Co. Ltd., | 13,700 | (9,891 | ) | |||||||
Powerbridge Technologies Co. Ltd. (a) | 29,300 | (14,061 | ) | |||||||
Qutoutiao, Inc., ADR (a) | 2,160 | (1,102 | ) | |||||||
Renren, Inc., ADR (a) | 1,000 | (29,610 | ) | |||||||
Scienjoy Holding Corp. (a) | 2,000 | (4,420 | ) | |||||||
Sify Technologies Ltd., ADR (a) | 700 | (1,197 | ) | |||||||
Taoping, Inc. (a) | 900 | (538 | ) | |||||||
TaskUS, Inc., Class A (a) | 8,000 | (128,800 | ) | |||||||
TDCX, Inc., ADR (a) | 4,500 | (42,165 | ) | |||||||
TELUS International CDA, Inc. (a) | 1,200 | (31,392 | ) | |||||||
Tuya, Inc., ADR (a) | 29,100 | (27,054 | ) | |||||||
WiMi Hologram Cloud, Inc., ADR (a) | 9,000 | (13,860 | ) | |||||||
Wipro Ltd., ADR | 2,066 | (9,731 | ) | |||||||
Xunlei Ltd., ADR (a) | 1,100 | (1,529 | ) | |||||||
Youdao, Inc., ADR (a) | 3,400 | (13,362 | ) | |||||||
|
| |||||||||
(544,398 | ) | |||||||||
|
| |||||||||
Tech Hardware & Semiconductors — (0.0)% | ||||||||||
Canaan, Inc., ADR (a) | 41,200 | (135,136 | ) | |||||||
Canon, Inc., ADR | 600 | (13,080 | ) | |||||||
Ebang International Holdings, Inc., A Shares (a) | 16,000 | (6,563 | ) | |||||||
Himax Technologies, Inc., ADR | 2,200 | (10,648 | ) | |||||||
Quanergy Systems, Inc. | 10 | (48 | ) | |||||||
Quanergy Systems, Inc. | 300 | (62 | ) | |||||||
SemiLEDs Corp. (a) | 1,300 | (3,016 | ) |
See Notes to Consolidated Financial Statements.
107
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Security Description | Shares | Value | ||||||||||
Silicon Motion Technology Corp., ADR | 200 | $ | (13,038 | ) | ||||||||
Sony Group Corp., ADR | 11,700 | (749,385 | ) | |||||||||
UTime Ltd. (a) | 600 | (1,152 | ) | |||||||||
|
| |||||||||||
(932,128 | ) | |||||||||||
|
| |||||||||||
Telecommunications — (0.0)% | ||||||||||||
Chindata Group Holdings Ltd., ADR (a) | 10,300 | (83,224 | ) | |||||||||
GDS Holdings Ltd., ADR (a) | 19,800 | (349,668 | ) | |||||||||
KT Corp., ADR | 3,300 | (40,326 | ) | |||||||||
PLDT, Inc., ADR | 200 | (5,060 | ) | |||||||||
Telkom Indonesia Persero Tbk PT, ADR | 3,900 | (112,515 | ) | |||||||||
Ucloudlink Group, Inc., ADR (a) | 300 | (169 | ) | |||||||||
Vnet Group, Inc., ADR (a) | 6,000 | (33,000 | ) | |||||||||
|
| |||||||||||
(623,962 | ) | |||||||||||
|
| |||||||||||
Utilities — (0.0)% | ||||||||||||
Azure Power Global Ltd. (a) | 2,900 | (16,066 | ) | |||||||||
Korea Electric Power Corp., ADR (a) | 3,000 | (20,400 | ) | |||||||||
ReNew Energy Global plc (a) | 14,600 | (87,892 | ) | |||||||||
|
| |||||||||||
(124,358 | ) | |||||||||||
|
| |||||||||||
Total Asia | (30,221,889 | ) | ||||||||||
|
| |||||||||||
Europe — (0.3)% | ||||||||||||
Banking — (0.1)% | ||||||||||||
Barclays plc, ADR | 17,300 | (110,720 | ) | |||||||||
Deutsche Bank AG | 16,900 | (125,060 | ) | |||||||||
HSBC Holdings plc, ADR | 45,700 | (1,191,399 | ) | |||||||||
ING Groep NV, ADR | 2,400 | (20,400 | ) | |||||||||
Lloyds Banking Group plc, ADR | 23,500 | (42,065 | ) | |||||||||
NatWest Group plc, ADR | 200 | (998 | ) | |||||||||
|
| |||||||||||
(1,490,642 | ) | |||||||||||
|
| |||||||||||
Consumer Discretionary Products — (0.0)% | ||||||||||||
On Holding AG, Class A (a) | 3,800 | (60,990 | ) | |||||||||
Sono Group NV (a) | 10,000 | (25,400 | ) | |||||||||
|
| |||||||||||
(86,390 | ) | |||||||||||
|
| |||||||||||
Consumer Discretionary Services — (0.0)% | ||||||||||||
Genius Sports Ltd. (a) | 700 | (2,569 | ) | |||||||||
InterContinental Hotels Group plc, ADR | 700 | (34,027 | ) | |||||||||
Manchester United plc, Class A | 4,100 | (54,407 | ) | |||||||||
Membership Collective Group, Inc., A Shares (a) | 5,200 | (24,544 | ) | |||||||||
Sportradar Holding AG, A Shares (a) | 2,900 | (25,520 | ) | |||||||||
Super Group SGHC Ltd. | 300 | (1,224 | ) | |||||||||
|
| |||||||||||
(142,291 | ) | |||||||||||
|
|
See Notes to Consolidated Financial Statements.
108
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Security Description | Shares | Value | ||||||||
Consumer Staple Products — (0.1)% | ||||||||||
Anheuser-Busch InBev NV, ADR | 15,300 | $ | (690,948 | ) | ||||||
Haleon plc, ADR | 18,500 | (112,665 | ) | |||||||
Unilever plc, ADR | 42,300 | (1,854,432 | ) | |||||||
|
| |||||||||
(2,658,045 | ) | |||||||||
|
| |||||||||
Financial Services — (0.0)% | ||||||||||
AerCap Holdings NV (a) | 7,800 | (330,174 | ) | |||||||
Argo Blockchain plc, ADR (a) | 1,500 | (5,805 | ) | |||||||
UBS Group AG | 35,800 | (519,458 | ) | |||||||
|
| |||||||||
(855,437 | ) | |||||||||
|
| |||||||||
Health Care — (0.1)% | ||||||||||
AC Immune SA (a) | 600 | (1,896 | ) | |||||||
Achilles Therapeutics plc, ADR (a) | 800 | (1,808 | ) | |||||||
ADC Therapeutics SA (a) | 3,700 | (17,834 | ) | |||||||
Alcon, Inc. | 5,500 | (319,990 | ) | |||||||
Altamira Therapeutics Ltd. (a) | 7,400 | (2,130 | ) | |||||||
Amryt Pharma plc, ADR (a) | 700 | (4,844 | ) | |||||||
Aptorum Group Ltd., Class A (a) | 2,600 | (2,990 | ) | |||||||
Ascendis Pharma A/S, ADR (a) | 6,200 | (640,212 | ) | |||||||
Autolus Therapeutics plc, ADR (a) | 3,300 | (7,062 | ) | |||||||
Babylon Holdings Ltd., Class A | 677 | (320 | ) | |||||||
BioNTech SE, ADR | 17,700 | (2,387,376 | ) | |||||||
Evotec SE, ADR (a) | 600 | (5,274 | ) | |||||||
Exscientia plc, ADR (a) | 700 | (5,747 | ) | |||||||
Freeline Therapeutics Holdings plc, ADR (a) | 100 | (69 | ) | |||||||
Galapagos NV, ADR (a) | 2,600 | (110,864 | ) | |||||||
Genmab, ADR (a) | 4,600 | (147,798 | ) | |||||||
GH Research plc (a) | 600 | (6,972 | ) | |||||||
ICON plc (a) | 5,600 | (1,029,168 | ) | |||||||
Immatics NV (a) | 400 | (4,000 | ) | |||||||
Immunocore Holdings plc, ADR (a) | 2,100 | (98,574 | ) | |||||||
InflaRx NV (a) | 1,400 | (3,696 | ) | |||||||
Mereo Biopharma Group plc, ADR (a) | 24,300 | (20,925 | ) | |||||||
Midatech Pharma plc, ADR | 80 | (149 | ) | |||||||
Molecular Partners AG, ADR (a) | 100 | (670 | ) | |||||||
NLS Pharmaceutics Ltd. (a) | 1,600 | (1,008 | ) | |||||||
NuCana plc, ADR (a) | 3,200 | (3,344 | ) | |||||||
ObsEva SA (a) | 300 | (43 | ) | |||||||
Olink Holding AB, ADR (a) | 3,100 | (37,634 | ) | |||||||
Orchard Therapeutics plc, ADR (a) | 1,800 | (900 | ) | |||||||
Trinity Biotech plc, ADR (a) | 1,000 | (1,080 | ) | |||||||
uniQure NV (a) | 5,300 | (99,428 | ) | |||||||
|
| |||||||||
(4,963,805 | ) | |||||||||
|
|
See Notes to Consolidated Financial Statements.
109
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Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Security Description | Shares | Value | ||||||||
Industrial Products — (0.0)% | ||||||||||
CNH Industrial NV | 28,600 | $ | (319,462 | ) | ||||||
|
| |||||||||
Industrial Services — (0.0)% | ||||||||||
Cimpress plc (a) | 900 | (22,032 | ) | |||||||
Costamare, Inc. | 4,000 | (35,800 | ) | |||||||
FLEX LNG Ltd. | 900 | (28,503 | ) | |||||||
Globus Maritime Ltd. (a) | 2,400 | (3,024 | ) | |||||||
Performance Shipping, Inc. | 100 | (27 | ) | |||||||
Rentokil Initial plc, ADR | 1,192 | (32,763 | ) | |||||||
|
| |||||||||
(122,149 | ) | |||||||||
|
| |||||||||
Insurance — (0.0)% | ||||||||||
Aegon NV | 200 | (792 | ) | |||||||
|
| |||||||||
Materials — (0.0)% | ||||||||||
CRH plc, ADR | 3,400 | (109,582 | ) | |||||||
Orion Engineered Carbons SA | 1,900 | (25,365 | ) | |||||||
|
| |||||||||
(134,947 | ) | |||||||||
|
| |||||||||
Media — (0.0)% | ||||||||||
Gambling.com Group Ltd. (a) | 600 | (4,560 | ) | |||||||
Jumia Technologies AG, ADR (a) | 23,400 | (135,954 | ) | |||||||
Liberty Global plc, Class A (a) | 10,300 | (160,577 | ) | |||||||
Pearson plc, ADR | 100 | (955 | ) | |||||||
Spark Networks SE, ADR (a) | 1,200 | (2,292 | ) | |||||||
Trivago NV, ADR (a) | 2,000 | (2,320 | ) | |||||||
WPP plc, ADR | 800 | (32,952 | ) | |||||||
|
| |||||||||
(339,610 | ) | |||||||||
|
| |||||||||
Oil & Gas — (0.0)% | ||||||||||
Equinor ASA, ADR | 9,600 | (317,856 | ) | |||||||
|
| |||||||||
Renewable Energy — (0.0)% | ||||||||||
FREYR Battery SA (a) | 1,500 | (21,360 | ) | |||||||
|
| |||||||||
Retail & Wholesale—Discretionary — (0.0)% | ||||||||||
Cazoo Group Ltd. (a) | 23,100 | (10,626 | ) | |||||||
Farfetch Ltd., Class A (a) | 87,100 | (648,895 | ) | |||||||
MYT Netherlands Parent BV, ADR (a) | 2,000 | (23,040 | ) | |||||||
|
| |||||||||
(682,561 | ) | |||||||||
|
| |||||||||
Software & Technology Services — (0.0)% | ||||||||||
Arqit Quantum, Inc. (a) | 1,900 | (10,697 | ) | |||||||
Kaleyra, Inc. (a) | 6,800 | (6,596 | ) | |||||||
Micro Focus International plc, ADR | 3,400 | (19,380 | ) | |||||||
Sophia Genetics SA (a) | 300 | (789 | ) | |||||||
|
| |||||||||
(37,462 | ) | |||||||||
|
|
See Notes to Consolidated Financial Statements.
110
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Security Description | Shares | Value | ||||||||||
Tech Hardware & Semiconductors — (0.0)% | ||||||||||||
Nokia Oyj, ADR | 51,700 | $ | (220,759 | ) | ||||||||
WISeKey International Holding Ltd., ADR (a) | 500 | (795 | ) | |||||||||
|
| |||||||||||
(221,554 | ) | |||||||||||
|
| |||||||||||
Telecommunications — (0.0)% | ||||||||||||
Vodafone Group plc, ADR | 2,300 | (26,059 | ) | |||||||||
|
| |||||||||||
Transportation & Logistics — (0.0)% | ||||||||||||
Ryanair Holdings plc, ADR (a) | 6,700 | (391,414 | ) | |||||||||
|
| |||||||||||
Utilities — (0.0)% | ||||||||||||
Fusion Fuel Green plc, Class A (a) | 400 | (1,996 | ) | |||||||||
National Grid plc, ADR | 500 | (25,765 | ) | |||||||||
|
| |||||||||||
(27,761 | ) | |||||||||||
|
| |||||||||||
Total Europe | (12,839,597 | ) | ||||||||||
|
| |||||||||||
Middle East — (0.0)% | ||||||||||||
Consumer Discretionary Products — (0.0)% | ||||||||||||
Foresight Autonomous Holdings Ltd., ADR (a) | 5,300 | (2,786 | ) | |||||||||
|
| |||||||||||
Health Care — (0.0)% | ||||||||||||
Biondvax Pharmaceuticals Ltd., ADR (a) | 800 | (584 | ) | |||||||||
CAN Fite Biopharma Ltd., ADR (a) | 2,400 | (1,848 | ) | |||||||||
Collplant Biotechnologies Ltd. (a) | 300 | (2,052 | ) | |||||||||
Enlivex Therapeutics Ltd. (a) | 800 | (3,400 | ) | |||||||||
Gamida Cell Ltd. (a) | 8,800 | (13,992 | ) | |||||||||
InspireMD, Inc. (a) | 273 | (404 | ) | |||||||||
Nano-X Imaging Ltd. (a) | 8,300 | (95,201 | ) | |||||||||
Redhill Biopharma Ltd., ADR (a) | 19,400 | (9,749 | ) | |||||||||
ReWalk Robotics Ltd. (a) | 4,000 | (3,553 | ) | |||||||||
SciSparc Ltd. | 800 | (671 | ) | |||||||||
|
| |||||||||||
(131,454 | ) | |||||||||||
|
| |||||||||||
Industrial Products — (0.0)% | ||||||||||||
Elbit Systems Ltd. | 200 | (38,034 | ) | |||||||||
Ituran Location and Control Ltd. | 200 | (4,668 | ) | |||||||||
Rail Vision Ltd. | 200 | (124 | ) | |||||||||
|
| |||||||||||
(42,826 | ) | |||||||||||
|
| |||||||||||
Industrial Services — (0.0)% | ||||||||||||
Castor Maritime, Inc. (a) | 21,560 | (24,147 | ) | |||||||||
ZIM Integrated Shipping Services Ltd. | 1,600 | (37,600 | ) | |||||||||
|
| |||||||||||
(61,747 | ) | |||||||||||
|
| |||||||||||
Materials — (0.0)% | ||||||||||||
Evogene Ltd. (a) | 2,906 | (2,412 | ) | |||||||||
|
|
See Notes to Consolidated Financial Statements.
111
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Security Description | Shares | Value | ||||||||||
Media — (0.0)% | ||||||||||||
Innovid Corp. (a) | 5,900 | $ | (15,989 | ) | ||||||||
SimilarWeb Ltd. (a) | 100 | (586 | ) | |||||||||
Taboola.com Ltd. (a) | 1,000 | (1,810 | ) | |||||||||
|
| |||||||||||
(18,385 | ) | |||||||||||
|
| |||||||||||
Renewable Energy — (0.0)% | ||||||||||||
Eco Wave Power Global AB, ADR (a) | 300 | (1,191 | ) | |||||||||
|
| |||||||||||
Retail & Wholesale—Discretionary — (0.0)% | ||||||||||||
D-MARKET Elektronik Hizmetler ve Ticaret AS, ADR (a) | 11,800 | (11,366 | ) | |||||||||
|
| |||||||||||
Software & Technology Services — (0.0)% | ||||||||||||
Cognyte Software Ltd. (a) | 2,300 | (9,292 | ) | |||||||||
Global-e Online Ltd. (a) | 16,300 | (436,188 | ) | |||||||||
MARIS — TECH Ltd. (a) | 100 | (118 | ) | |||||||||
Mawson Infrastructure Group, Inc. (a) | 2,100 | (906 | ) | |||||||||
My Size, Inc. (a) | 1,100 | (220 | ) | |||||||||
Safe-T Group Ltd., ADR (a) | 1,000 | (435 | ) | |||||||||
Yalla Group Ltd., ADR (a) | 7,825 | (25,353 | ) | |||||||||
|
| |||||||||||
(472,512 | ) | |||||||||||
|
| |||||||||||
Tech Hardware & Semiconductors — (0.0)% | ||||||||||||
Ceragon Networks Ltd. (a) | 300 | (552 | ) | |||||||||
Gilat Satellite Networks Ltd. (a) | 3,100 | (16,523 | ) | |||||||||
SuperCom Ltd. (a) | 11,600 | (3,294 | ) | |||||||||
Tower Semiconductor Ltd. (a) | 100 | (4,394 | ) | |||||||||
|
| |||||||||||
(24,763 | ) | |||||||||||
|
| |||||||||||
Total Middle East | (769,442 | ) | ||||||||||
|
| |||||||||||
North America — (8.1)% | ||||||||||||
Banking — (0.5)% | ||||||||||||
Ameris Bancorp | 1,699 | (75,963 | ) | |||||||||
Associated Banc-Corp. | 700 | (14,056 | ) | |||||||||
Bank of America Corp. | 11,600 | (350,320 | ) | |||||||||
Bank of Montreal | 11,500 | (1,007,860 | ) | |||||||||
Bank of Nova Scotia | 1,800 | (85,626 | ) | |||||||||
BankUnited, Inc. | 300 | �� | (10,251 | ) | ||||||||
Cadence Bank | 2,100 | (53,361 | ) | |||||||||
Canadian Imperial Bank of Commerce | 4,200 | (183,792 | ) | |||||||||
Carver Bancorp, Inc. (a) | 800 | (3,200 | ) | |||||||||
Citizens Financial Group, Inc. | 1,300 | (44,668 | ) | |||||||||
Comerica, Inc. | 13,500 | (959,850 | ) | |||||||||
Commerce Bancshares, Inc. | 3,330 | (220,313 | ) | |||||||||
Credicorp Ltd. | 200 | (24,560 | ) |
See Notes to Consolidated Financial Statements.
112
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Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Security Description | Shares | Value | ||||||||
East West Bancorp, Inc. | 2,700 | $ | (181,278 | ) | ||||||
Eastern Bankshares, Inc. | 2,600 | (51,064 | ) | |||||||
Fifth Third Bancorp | 27,600 | (882,096 | ) | |||||||
Finwise Bancorp (a) | 100 | (903 | ) | |||||||
First BanCorp | 100 | (1,368 | ) | |||||||
First Citizens BancShares, Inc., Class A | 900 | (717,687 | ) | |||||||
First Horizon National Corp. | 55,600 | (1,273,240 | ) | |||||||
First Interstate BancSystem, Inc., Class A | 5,400 | (217,890 | ) | |||||||
First Republic Bank | 8,000 | (1,044,400 | ) | |||||||
FNB Corp. | 500 | (5,800 | ) | |||||||
Frost Bankers, Inc. | 3,500 | (462,770 | ) | |||||||
Glacier Bancorp, Inc. | 300 | (14,739 | ) | |||||||
Home BancShares, Inc. | 300 | (6,753 | ) | |||||||
Huntington Bancshares, Inc. | 197,700 | (2,605,686 | ) | |||||||
Independent Bank Corp. | 1,500 | (111,795 | ) | |||||||
KeyCorp | 21,000 | (336,420 | ) | |||||||
M&T Bank Corp. | 13,782 | (2,430,042 | ) | |||||||
New York Community Bancorp, Inc. | 1,100 | (9,383 | ) | |||||||
Old National Bancorp | 17,400 | (286,578 | ) | |||||||
Pacific Premier Bancorp, Inc. | 1,720 | (53,251 | ) | |||||||
Park National Corp. | 100 | (12,448 | ) | |||||||
PNC Financial Services Group, Inc. | 11,500 | (1,718,330 | ) | |||||||
Regions Financial Corp. | 21,300 | (427,491 | ) | |||||||
Royal Bank of Canada | 15,000 | (1,350,600 | ) | |||||||
ServisFirst Bancshares, Inc. | 1,500 | (120,000 | ) | |||||||
Signature Bank | 5,600 | (845,600 | ) | |||||||
South State Corp. | 3,168 | (250,652 | ) | |||||||
Stock Yards Bancorp, Inc. | 100 | (6,801 | ) | |||||||
SVB Financial Group (a) | 2,700 | (906,606 | ) | |||||||
Synovus Financial Corp. | 1,200 | (45,012 | ) | |||||||
TFS Financial Corp. | 1,600 | (20,800 | ) | |||||||
Toronto-Dominion Bank | 3,500 | (214,655 | ) | |||||||
Truist Financial Corp. | 74,900 | (3,261,146 | ) | |||||||
UMB Financial Corp. | 1,000 | (84,290 | ) | |||||||
Umpqua Holdings Corp. | 100 | (1,709 | ) | |||||||
United Bankshares, Inc. | 700 | (25,025 | ) | |||||||
United Community Banks, Inc. | 3,000 | (99,300 | ) | |||||||
Webster Financial Corp. | 14,200 | (641,840 | ) | |||||||
Wells Fargo & Co. | 500 | (20,110 | ) | |||||||
Western Alliance Bancorp | 9,400 | (617,956 | ) | |||||||
WSFS Financial Corp. | 3,600 | (167,256 | ) | |||||||
Zions BanCorp. | 400 | (20,344 | ) | |||||||
|
| |||||||||
(24,584,934 | ) | |||||||||
|
| |||||||||
Biotechnology & Pharmaceuticals — (0.0)% | ||||||||||
Absci Corp. (a) | 600 | (1,878 | ) | |||||||
Congent Biosciences, Inc. (d) | 1,000 | 0 |
See Notes to Consolidated Financial Statements.
113
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Security Description | Shares | Value | ||||||||
Ensysce Biosciences, Inc. (a) | 14,000 | $ | (3,010 | ) | ||||||
Oncolytics Biotech, Inc. (a) | 2,200 | (2,706 | ) | |||||||
|
| |||||||||
(7,594 | ) | |||||||||
|
| |||||||||
Chemicals — (0.0)% | ||||||||||
Trinseo plc | 3,900 | (71,448 | ) | |||||||
|
| |||||||||
Consumer Discretionary Products — (0.5)% | ||||||||||
Adient plc (a) | 6,700 | (185,925 | ) | |||||||
American Axle & Manufacturing Holdings, Inc. (a) | 400 | (2,732 | ) | |||||||
Aterian, Inc. (a) | 22,700 | (28,148 | ) | |||||||
Aurora Innovation, Inc. (a) | 42,600 | (94,146 | ) | |||||||
Axon Enterprise, Inc. (a) | 3,700 | (428,275 | ) | |||||||
BorgWarner, Inc. | 9,840 | (308,976 | ) | |||||||
BRP, Inc. | 200 | (12,312 | ) | |||||||
Camping World Holdings, Inc., Class A | 300 | (7,596 | ) | |||||||
Carter’s, Inc. | 8,400 | (550,452 | ) | |||||||
CBAK Energy Technology, Inc. (a) | 8,800 | (10,120 | ) | |||||||
Century Communities, Inc. | 800 | (34,224 | ) | |||||||
Cepton, Inc. | 2,100 | (4,116 | ) | |||||||
Comstock Holding Cos., Inc. (a) | 100 | (397 | ) | |||||||
Dana, Inc. | 900 | (10,287 | ) | |||||||
Deckers Outdoor Corp. (a) | 100 | (31,261 | ) | |||||||
Dorman Products, Inc. (a) | 200 | (16,424 | ) | |||||||
DR Horton, Inc. | 43,200 | (2,909,520 | ) | |||||||
Dream Finders Homes, Inc., Class A (a) | 3,500 | (37,100 | ) | |||||||
ElectraMeccanica Vehicles Corp. (a) | 17,000 | (20,740 | ) | |||||||
Embark Technology, Inc. | 25 | (186 | ) | |||||||
Ford Motor Co. | 12,000 | (134,400 | ) | |||||||
Forza X1, Inc. | 200 | (386 | ) | |||||||
Fox Factory Holding Corp. (a) | 1,800 | (142,344 | ) | |||||||
Funko, Inc., Class A | 1,500 | (30,330 | ) | |||||||
General Motors Co. | 58,700 | (1,883,683 | ) | |||||||
Gentex Corp. | 9,700 | (231,248 | ) | |||||||
Gentherm, Inc. (a) | 400 | (19,892 | ) | |||||||
Gildan Activewear, Inc. | 7,700 | (217,679 | ) | |||||||
Goodyear Tire & Rubber Co. (a) | 70,500 | (711,345 | ) | |||||||
Hanesbrands, Inc. | 129,100 | (898,536 | ) | |||||||
Harley-Davidson, Inc. | 4,100 | (143,008 | ) | |||||||
Hasbro, Inc. | 700 | (47,194 | ) | |||||||
HNI Corp. | 300 | (7,953 | ) | |||||||
Holley, Inc. | 700 | (2,835 | ) | |||||||
Interface, Inc. | 800 | (7,192 | ) | |||||||
iRobot Corp. | 3,800 | (214,054 | ) | |||||||
KB Home | 300 | (7,776 | ) | |||||||
LCI Industries | 1,700 | (172,482 | ) | |||||||
Lear Corp. | 3,100 | (371,039 | ) |
See Notes to Consolidated Financial Statements.
114
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Security Description | Shares | Value | ||||||||
Lennar Corp., Class A | 13,300 | $ | (991,515 | ) | ||||||
LGI Homes, Inc. (a) | 3,500 | (284,795 | ) | |||||||
Lordstown Motors Corp., Class A (a) | 50,400 | (92,232 | ) | |||||||
Lucid Group, Inc. (a) | 214,500 | (2,996,565 | ) | |||||||
Magna International, Inc. | 2,400 | (113,808 | ) | |||||||
MasterCraft Boat Holdings, Inc. (a) | 600 | (11,310 | ) | |||||||
Mattel, Inc. (a) | 400 | (7,576 | ) | |||||||
Microvast Holdings, Inc. (a) | 20,006 | (36,211 | ) | |||||||
MillerKnoll, Inc. | 3,400 | (53,040 | ) | |||||||
Mullen Automotive, Inc. (a) | 192,700 | (63,167 | ) | |||||||
OneWater Marine, Inc., Class A (a) | 400 | (12,044 | ) | |||||||
Peloton Interactive, Inc., Class A (a) | 15,400 | (106,722 | ) | |||||||
PLBY Group, Inc. (a) | 500 | (2,015 | ) | |||||||
Polaris Industries, Inc. | 4,500 | (430,425 | ) | |||||||
PulteGroup, Inc. | 5,300 | (198,750 | ) | |||||||
Purple Innovation, Inc. | 400 | (1,620 | ) | |||||||
Rivian Automotive, Inc., Class A (a) | 202,700 | (6,670,857 | ) | |||||||
Scotts Miracle-Gro Co. (The) | 2,300 | (98,325 | ) | |||||||
SES AI Corp. (a) | 8,500 | (41,480 | ) | |||||||
Skechers USA., Inc., Class A (a) | 4,300 | (136,396 | ) | |||||||
Skyline Champion Corp. | 900 | (47,583 | ) | |||||||
Smith & Wesson Brands, Inc. | 3,200 | (33,184 | ) | |||||||
Solid Power, Inc. (a) | 200 | (1,052 | ) | |||||||
Steelcase, Inc., Class A | 1,700 | (11,084 | ) | |||||||
Tempur Sealy International, Inc. | 16,500 | (398,310 | ) | |||||||
Thor Industries, Inc. | 8,900 | (622,822 | ) | |||||||
Topgolf Callaway Brands Corp. (a) | 14,500 | (279,270 | ) | |||||||
Tupperware Brands Corp. (a) | 16,400 | (107,420 | ) | |||||||
VF Corp. | 5,100 | (152,541 | ) | |||||||
Vinco Ventures, Inc. (a) | 86,200 | (80,269 | ) | |||||||
Visteon Corp. (a) | 600 | (63,636 | ) | |||||||
Volcon, Inc. (a) | 6,500 | (12,805 | ) | |||||||
Weber, Inc., Class A | 12,300 | (80,811 | ) | |||||||
Winnebago Industries, Inc. | 10,400 | (553,384 | ) | |||||||
Wolverine World Wide, Inc. | 700 | (10,773 | ) | |||||||
Worksport Ltd. (a) | 2,900 | (5,046 | ) | |||||||
XPEL, Inc. (a) | 2,400 | (154,656 | ) | |||||||
YETI Holdings, Inc. (a) | 100 | (2,852 | ) | |||||||
|
| |||||||||
(24,902,664 | ) | |||||||||
|
| |||||||||
Consumer Discretionary Services — (0.3)% | ||||||||||
Aaron’s Co., Inc. (The) | 1,000 | (9,720 | ) | |||||||
AirSculpt Technologies, Inc. | 600 | (3,858 | ) | |||||||
Aspen Group, Inc. (a) | 400 | (153 | ) | |||||||
Bally’s Corp. (a) | 8,700 | (171,912 | ) | |||||||
Bird Global, Inc., Class A (a) | 15,800 | (5,576 | ) | |||||||
Boyd Gaming Corp. | 1,200 | (57,180 | ) |
See Notes to Consolidated Financial Statements.
115
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Security Description | Shares | Value | ||||||||
BurgerFi International, Inc. (a) | 800 | $ | (2,080 | ) | ||||||
Caesars Entertainment, Inc. (a) | 71,176 | (2,296,138 | ) | |||||||
Carnival Corp. (a) | 1,600 | (11,248 | ) | |||||||
Carnival PLC, ADR | 1,400 | (8,666 | ) | |||||||
Cheesecake Factory, Inc. (The) | 800 | (23,424 | ) | |||||||
Chipotle Mexican Grill, Inc. (a) | 1,300 | (1,953,588 | ) | |||||||
Choice Hotels International, Inc. | 1,500 | (164,280 | ) | |||||||
Darden Restaurants, Inc. | 100 | (12,632 | ) | |||||||
Domino’s Pizza, Inc. | 1,700 | (527,340 | ) | |||||||
DraftKings, Inc., Class A | 16,730 | (253,292 | ) | |||||||
Drive Shack, Inc. (a) | 7,700 | (4,774 | ) | |||||||
EBET, Inc. (a) | 400 | (488 | ) | |||||||
European Wax Center, Inc., Class A | 3,300 | (60,885 | ) | |||||||
F45 Training Holdings, Inc. (a) | 9,200 | (28,428 | ) | |||||||
First Watch Restaurant Group, Inc. (a) | 800 | (11,584 | ) | |||||||
Grand Canyon Education, Inc. (a) | 1,300 | (106,925 | ) | |||||||
Hall of Fame Resort & Entertainment Co. (a) | 19,500 | (10,743 | ) | |||||||
Hilton Grand Vacations, Inc. (a) | 1,600 | (52,624 | ) | |||||||
Hilton Worldwide Holdings, Inc. | 3,200 | (385,984 | ) | |||||||
Jack in the Box, Inc. | 1,500 | (111,105 | ) | |||||||
Las Vegas Sands Corp. (a) | 27,900 | (1,046,808 | ) | |||||||
Laureate Education, Inc. | 200 | (2,110 | ) | |||||||
Life Time Group Holdings, Inc. (a) | 6,200 | (60,450 | ) | |||||||
Light & Wonder, Inc., Class A | 200 | (8,576 | ) | |||||||
Live Nation Entertainment, Inc. (a) | 6,891 | (523,992 | ) | |||||||
Lottery.com, Inc. (a) | 100 | (22 | ) | |||||||
Madison Square Garden Entertainment Corp. (a) | 2,500 | (110,225 | ) | |||||||
Madison Square Garden Sports Corp. (a) | 500 | (68,330 | ) | |||||||
Marriott International, Inc., Class A | 5,000 | (700,700 | ) | |||||||
Marriott Vacations Worldwide Corp. | 1,600 | (194,976 | ) | |||||||
Medifast, Inc. | 500 | (54,180 | ) | |||||||
MGM Resorts International | 11,400 | (338,808 | ) | |||||||
OneSpaWorld Holdings Ltd. (a) | 2,100 | (17,640 | ) | |||||||
Papa John’s International, Inc. | 200 | (14,002 | ) | |||||||
Penn Entertainment, Inc. (a) | 24,800 | (682,248 | ) | |||||||
Rent the Runway, Inc., Class A (a) | 9,800 | (21,560 | ) | |||||||
Rent-A-Center, Inc. | 200 | (3,502 | ) | |||||||
Restaurant Brands International, Inc. | 400 | (21,272 | ) | |||||||
Royal Caribbean Cruises Ltd. (a) | 49,200 | (1,864,680 | ) | |||||||
Rush Street Interactive, Inc. | 200 | (736 | ) | |||||||
Service Corp. International | 4,800 | (277,152 | ) | |||||||
Six Flags Entertainment Corp. (a) | 21,400 | (378,780 | ) | |||||||
Sonder Holdings, Inc. | 3,500 | (5,810 | ) | |||||||
Starbucks Corp. | 19,400 | (1,634,644 | ) | |||||||
Stride, Inc. | 700 | (29,421 | ) | |||||||
Super League Gaming, Inc. (a) | 3,500 | (2,362 | ) | |||||||
Sweetgreen, Inc., Class A | 800 | (14,800 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Security Description | Shares | Value | ||||||||
Udemy, Inc. (a) | 4,900 | $ | (59,241 | ) | ||||||
Yum! Brands, Inc. | 1,400 | (148,876 | ) | |||||||
|
| |||||||||
(14,560,530 | ) | |||||||||
|
| |||||||||
Consumer Staple Products — (0.2)% | ||||||||||
22nd Century Group, Inc. (a) | 1,200 | (1,113 | ) | |||||||
Alkaline Water Co., Inc. (The) (a) | 16,200 | (5,459 | ) | |||||||
Aurora Cannabis, Inc. | 2,600 | (3,172 | ) | |||||||
B&G Foods, Inc. | 300 | (4,947 | ) | |||||||
Beachbody Co., Inc. (The) (a) | 14,100 | (14,241 | ) | |||||||
Beauty Health Co. (The) | 800 | (9,432 | ) | |||||||
BellRing Brands, Inc. | 900 | (18,549 | ) | |||||||
Benson Hill, Inc. (a) | 16,500 | (45,210 | ) | |||||||
Blue Star Foods Corp. (a) | 560 | (353 | ) | |||||||
Boston Beer Co., Inc., Class A (a) | 700 | (226,555 | ) | |||||||
BRC, Inc. (a) | 4,400 | (34,012 | ) | |||||||
Celsius Holdings, Inc. (a) | 15,500 | (1,405,540 | ) | |||||||
Central Garden & Pet Co., Class A (a) | 1,600 | (54,656 | ) | |||||||
Clever Leaves Holdings, Inc. (a) | 14,211 | (8,555 | ) | |||||||
Constellation Brands, Inc., Class A | 8,100 | (1,860,408 | ) | |||||||
Coty, Inc., Class A (a) | 16,000 | (101,120 | ) | |||||||
Darling Ingredients, Inc. (a) | 1,600 | (105,840 | ) | |||||||
DavidsTea, Inc. (a) | 300 | (219 | ) | |||||||
Dole plc | 12,800 | (93,440 | ) | |||||||
Eastside Distilling, Inc. (a) | 1,200 | (332 | ) | |||||||
Energizer Holdings, Inc. | 11,000 | (276,540 | ) | |||||||
Estee Lauder Cos., Inc. (The), Class A | 4,100 | (885,190 | ) | |||||||
Farmer Bros Co. (a) | 300 | (1,407 | ) | |||||||
Flora Growth Corp. (a) | 13,500 | (9,527 | ) | |||||||
Fresh Vine Wine, Inc. (a) | 200 | (354 | ) | |||||||
General Mills, Inc. | 4,300 | (329,423 | ) | |||||||
Greenlane Holdings, Inc., Class A | 2,710 | (4,417 | ) | |||||||
Herbalife Nutrition Ltd. (a) | 5,300 | (105,417 | ) | |||||||
HEXO Corp. (a) | 116,700 | (20,259 | ) | |||||||
High Tide, Inc. (a) | 400 | (560 | ) | |||||||
Hormel Foods Corp. | 100 | (4,544 | ) | |||||||
Hostess Brands, Inc. | 500 | (11,620 | ) | |||||||
IM Cannabis Corp. (a) | 3,700 | (1,515 | ) | |||||||
Ingredion, Inc. | 500 | (40,260 | ) | |||||||
J & J Snack Foods Corp. | 500 | (64,735 | ) | |||||||
John B Sanfilippo & Son, Inc. | 100 | (7,573 | ) | |||||||
Kellogg Co. | 300 | (20,898 | ) | |||||||
Keurig Dr. Pepper, Inc. | 15,500 | (555,210 | ) | |||||||
Krispy Kreme, Inc. | 10,700 | (123,371 | ) | |||||||
Lancaster Colony Corp. | 200 | (30,056 | ) | |||||||
Local Bounti Corp. | 200 | (568 | ) | |||||||
Monster Beverage Corp. (a) | 28,500 | (2,478,360 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Security Description | Shares | Value | ||||||||
National Beverage Corp. | 900 | $ | (34,686 | ) | ||||||
Nu Skin Enterprises, Inc. | 2,100 | (70,077 | ) | |||||||
Organigram Holdings, Inc. (a) | 12,600 | (10,982 | ) | |||||||
Pilgrim’s Pride Corp. (a) | 6,000 | (138,120 | ) | |||||||
Post Holdings, Inc. (a) | 3,500 | (286,685 | ) | |||||||
Reed’s, Inc. (a) | 3,900 | (470 | ) | |||||||
Reynolds Consumer Products, Inc. | 500 | (13,005 | ) | |||||||
RiceBran Technologies | 1,880 | (3,384 | ) | |||||||
S&W Seed Co. (a) | 100 | (73 | ) | |||||||
Seneca Foods Corp., Class A (a) | 100 | (5,044 | ) | |||||||
Simply Good Foods Co. (The) (a) | 2,500 | (79,975 | ) | |||||||
Smart For Life, Inc. (a) | 8,400 | (3,211 | ) | |||||||
Spectrum Brands Holdings, Inc. | 5,900 | (230,277 | ) | |||||||
Splash Beverage Group, Inc. (a) | 2,600 | (3,562 | ) | |||||||
Stryve Foods, Inc., Class A (a) | 2,400 | (1,272 | ) | |||||||
Tattooed Chef, Inc. (a) | 7,300 | (36,354 | ) | |||||||
Tilray, Inc., Class 2 (a) | 196,400 | (540,100 | ) | |||||||
TreeHouse Foods, Inc. (a) | 3,300 | (139,986 | ) | |||||||
Tyson Foods, Inc., Class A | 2,800 | (184,604 | ) | |||||||
Universal Corp. | 200 | (9,208 | ) | |||||||
Upexi, Inc. (a) | 818 | (3,166 | ) | |||||||
Utz Brands, Inc. | 7,500 | (113,250 | ) | |||||||
Very Good Food Co. Inc. (a) | 4,100 | (503 | ) | |||||||
Village Farms International, Inc. (a) | 6,400 | (12,224 | ) | |||||||
Vintage Wine Estates, Inc. (a) | 1,100 | (3,047 | ) | |||||||
Vita Coco Co., Inc. (The) (a) | 5,300 | (60,367 | ) | |||||||
Whole Earth Brands, Inc. (a) | 1,800 | (6,912 | ) | |||||||
Zevia PBC, Class A (a) | 3,200 | (13,824 | ) | |||||||
|
| |||||||||
(10,969,325 | ) | |||||||||
|
| |||||||||
Distributors—Consumer Staples — (0.0)% | ||||||||||
Kaival Brands Innovations Group, Inc. (a) | 6,300 | (6,363 | ) | |||||||
|
| |||||||||
Financial Services — (0.4)% | ||||||||||
AG Mortgage Investment Trust, Inc. | 2,800 | (11,508 | ) | |||||||
AGNC Investment Corp. | 77,400 | (651,708 | ) | |||||||
Alliance Data Systems Corp. | 7,900 | (248,455 | ) | |||||||
Ally Financial, Inc. | 1,100 | (30,613 | ) | |||||||
Altisource Portfolio Solutions SA (a) | 800 | (10,488 | ) | |||||||
Annaly Capital Management, Inc. | 172,850 | (2,966,106 | ) | |||||||
Apollo Commercial Real Estate Finance, Inc. | 200 | (1,660 | ) | |||||||
Apollo Global Management, Inc. | 37,700 | (1,753,050 | ) | |||||||
Applied Blockchain, Inc. | 655 | (1,113 | ) | |||||||
Arbor Realty Trust, Inc. | 12,100 | (139,150 | ) | |||||||
Ares Management Corp. | 900 | (55,755 | ) | |||||||
ARMOUR Residential REIT, Inc. | 24,700 | (120,289 | ) | |||||||
Artisan Partners Asset Management, Inc., Class A | 2,400 | (64,632 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Security Description | Shares | Value | ||||||||
BitNile Holdings, Inc. (a) | 94,900 | $ | (17,367 | ) | ||||||
Blackstone Mortgage Trust, Inc., Class A | 700 | (16,338 | ) | |||||||
Blue Owl Capital, Inc. | 28,900 | (266,747 | ) | |||||||
Broadmark Realty Capital, Inc. | 100 | (511 | ) | |||||||
Brookfield Asset Management, Inc., Class A | 35,067 | (1,433,890 | ) | |||||||
Burford Capital Ltd. | 300 | (2,250 | ) | |||||||
Cannae Holdings, Inc. (a) | 4,200 | (86,772 | ) | |||||||
Chimera Investment Corp. | 10,000 | (52,200 | ) | |||||||
Cohen & Co., Inc. | 100 | (851 | ) | |||||||
Columbia Financial, Inc. (a) | 500 | (10,565 | ) | |||||||
Cowen, Inc., Class A | 700 | (27,048 | ) | |||||||
Cuentas, Inc. (a) | 1,500 | (795 | ) | |||||||
Curo Group Holdings Corp. | 200 | (802 | ) | |||||||
Dave, Inc. | 15,000 | (5,382 | ) | |||||||
Discover Financial Services | 7,100 | (645,532 | ) | |||||||
Doma Holdings, Inc. (a) | 11,900 | (5,229 | ) | |||||||
Dynex Capital, Inc. | 200 | (2,330 | ) | |||||||
Ecoark Holdings, Inc. (a) | 200 | (260 | ) | |||||||
Ellington Financial, Inc. | 600 | (6,822 | ) | |||||||
Encore Capital Group, Inc. (a) | 1,300 | (59,124 | ) | |||||||
Federal Agricultural Mortgage Corp., Class C | 200 | (19,828 | ) | |||||||
Fidelity National Financial, Inc. | 1,700 | (61,540 | ) | |||||||
Finance Of America Cos., Inc., Class A (a) | 5,100 | (7,548 | ) | |||||||
Franklin BSP Realty Trust, Inc. | 5,400 | (58,158 | ) | |||||||
FS KKR Capital Corp. | 500 | (8,475 | ) | |||||||
FTAI Infrastructure, Inc. | 1,200 | (2,880 | ) | |||||||
Goldman Sachs Group, Inc. | 400 | (117,220 | ) | |||||||
Greenpro Capital Corp. | 2,880 | (3,830 | ) | |||||||
Home Point Capital, Inc. | 600 | (924 | ) | |||||||
Invesco Mortgage Capital, Inc. | 7,220 | (80,142 | ) | |||||||
KKR & Co., Inc. | 47,300 | (2,033,900 | ) | |||||||
loanDepot, Inc., Class A | 8,700 | (11,484 | ) | |||||||
LPL Financial Holdings, Inc. | 6,900 | (1,507,512 | ) | |||||||
MFA Financial, Inc. | 725 | (5,641 | ) | |||||||
Moelis & Co., Class A | 2,600 | (87,906 | ) | |||||||
Mogo, Inc. (a) | 5,752 | (5,292 | ) | |||||||
Morgan Stanley | 18,500 | (1,461,685 | ) | |||||||
Mr. Cooper Group, Inc. (a) | 4,700 | (190,350 | ) | |||||||
Navient Corp. | 2,000 | (29,380 | ) | |||||||
Nelnet, Inc., Class A | 700 | (55,433 | ) | |||||||
NerdWallet, Inc., Class A (a) | 3,000 | (26,610 | ) | |||||||
New York Mortgage Trust, Inc. | 17,600 | (41,184 | ) | |||||||
OMNIQ Corp. (a) | 100 | (597 | ) | |||||||
OneMain Holdings, Inc. | 2,800 | (82,656 | ) | |||||||
OppFi, Inc. (a) | 1,900 | (4,370 | ) | |||||||
Orchid Island Capital, Inc. | 5,880 | (48,216 | ) | |||||||
P10, Inc., Class A | 1,800 | (18,936 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Security Description | Shares | Value | ||||||||
Patria Investments Ltd., Class A | 2,500 | $ | (32,625 | ) | ||||||
PennyMac Financial Services, Inc. | 6,600 | (283,140 | ) | |||||||
PennyMac Mortgage Investment Trust | 20,800 | (245,024 | ) | |||||||
Perella Weinberg Partners | 1,100 | (6,963 | ) | |||||||
Performant Financial Corp. (a) | 1,300 | (2,405 | ) | |||||||
Raymond James Financial, Inc. | 4,700 | (464,454 | ) | |||||||
Ready Capital Corp. | 15,000 | (152,100 | ) | |||||||
Redwood Trust, Inc. | 4,100 | (23,534 | ) | |||||||
Rithm Capital Corp. | 1,500 | (10,980 | ) | |||||||
Robinhood Markets, Inc., Class A (a) | 211,100 | (2,132,110 | ) | |||||||
Sculptor Capital Management, Inc. | 800 | (7,072 | ) | |||||||
SEI Investments Co. | 5,700 | (279,585 | ) | |||||||
SLM Corp. | 8,900 | (124,511 | ) | |||||||
SoFi Technologies, Inc. (a) | 285,700 | (1,394,216 | ) | |||||||
Starwood Property Trust, Inc. | 2,700 | (49,194 | ) | |||||||
StepStone Group, Inc., Class A | 200 | (4,902 | ) | |||||||
Sunlight Financial Holdings, Inc. (a) | 11,600 | (14,384 | ) | |||||||
Two Harbors Investment Corp. | 46,600 | (154,712 | ) | |||||||
Upstart Holdings, Inc. (a) | 4,300 | (89,397 | ) | |||||||
US Global Investors, Inc., Class A | 700 | (2,009 | ) | |||||||
UWM Holdings Corp. | 10,100 | (29,593 | ) | |||||||
Walker & Dunlop, Inc. | 700 | (58,611 | ) | |||||||
Western Asset Mortgage Capital Corp. | 250 | (2,797 | ) | |||||||
WisdomTree Investments, Inc. | 200 | (936 | ) | |||||||
|
| |||||||||
(20,232,293 | ) | |||||||||
|
| |||||||||
Health Care — (0.6)% | ||||||||||
180 Life Sciences Corp. (a) | 5,100 | (3,463 | ) | |||||||
2seventy bio, Inc. (a) | 5,900 | (85,845 | ) | |||||||
Aadi Bioscience, Inc. (a) | 600 | (8,478 | ) | |||||||
AbbVie, Inc. | 700 | (93,947 | ) | |||||||
Abeona Therapeutics, Inc. | 2,128 | (6,469 | ) | |||||||
ACADIA Pharmaceuticals, Inc. (a) | 100 | (1,636 | ) | |||||||
Acasti Pharma, Inc. (a) | 1,225 | (715 | ) | |||||||
AcelRx Pharmaceuticals, Inc. (a) | 3,400 | (711 | ) | |||||||
Acer Therapeutics, Inc. (a) | 2,000 | (2,780 | ) | |||||||
Aclarion, Inc. | 2,800 | (2,178 | ) | |||||||
Aclaris Therapeutics, Inc. (a) | 200 | (3,148 | ) | |||||||
Acumen Pharmaceuticals, Inc. (a) | 1,400 | (14,042 | ) | |||||||
Acurx Pharmaceuticals, Inc. (a) | 300 | (900 | ) | |||||||
Acutus Medical, Inc. (a) | 4,600 | (4,048 | ) | |||||||
Adamis Pharmaceuticals Corp. (a) | 15,300 | (3,037 | ) | |||||||
AdaptHealth Corp. (a) | 14,100 | (264,798 | ) | |||||||
Adaptimmune Therapeutics plc, ADR (a) | 6,200 | (6,665 | ) | |||||||
Adial Pharmaceuticals, Inc. (a) | 2,000 | (700 | ) | |||||||
Aditxt, Inc. | 1,620 | (5,492 | ) | |||||||
ADMA Biologics, Inc. (a) | 11,400 | (27,702 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Security Description | Shares | Value | ||||||||
Aerovate Therapeutics, Inc. (a) | 400 | $ | (6,632 | ) | ||||||
Aeterna Zentaris, Inc. | 548 | (2,137 | ) | |||||||
Agenus, Inc. (a) | 4,800 | (9,840 | ) | |||||||
AgeX Therapeutics, Inc. (a) | 1,000 | (562 | ) | |||||||
Agile Therapeutics, Inc. (a) | 14,377 | (4,269 | ) | |||||||
Agilent Technologies, Inc. (c) | 964 | (117,174 | ) | |||||||
Agiliti, Inc. (a) | 2,800 | (40,068 | ) | |||||||
agilon health, Inc. (a) | 34,100 | (798,622 | ) | |||||||
Agios Pharmaceuticals, Inc. (a) | 3,400 | (96,152 | ) | |||||||
Akebia Therapeutics, Inc. (a) | 27,700 | (8,759 | ) | |||||||
Akouos, Inc. (a) | 700 | (4,732 | ) | |||||||
Akoya Biosciences, Inc. (a) | 900 | (10,575 | ) | |||||||
Alpha Pro Tech Ltd. (a) | 1,300 | (5,265 | ) | |||||||
Alpha Teknova, Inc. (a) | 600 | (2,004 | ) | |||||||
Alzamend Neuro, Inc. (a) | 6,800 | (8,092 | ) | |||||||
American Well Corp., Class A (a) | 600 | (2,154 | ) | |||||||
Amneal Pharmaceuticals, Inc. | 800 | (1,616 | ) | |||||||
Amylyx Pharmaceuticals, Inc. (a) | 12,500 | (351,875 | ) | |||||||
Apellis Pharmaceuticals, Inc. (a) | 200 | (13,660 | ) | |||||||
Aptevo Therapeutics, Inc. (a) | 1,100 | (3,344 | ) | |||||||
Apyx Medical Corp. (a) | 3,700 | (16,613 | ) | |||||||
Aquestive Therapeutics, Inc. (a) | 1,200 | (1,404 | ) | |||||||
Arbutus Biopharma Corp. (a) | 400 | (764 | ) | |||||||
Arcellx, Inc. | 900 | (16,893 | ) | |||||||
Arcturus Therapeutics Holdings, Inc. (a) | 1,800 | (26,676 | ) | |||||||
Ardelyx, Inc. (a) | 45,500 | (54,145 | ) | |||||||
Aridis Pharmaceuticals, Inc. (a) | 1,100 | (1,023 | ) | |||||||
Asensus Surgical, Inc. (a) | 16,730 | (7,508 | ) | |||||||
Assembly Biosciences, Inc. (a) | 100 | (164 | ) | |||||||
Assertio Holdings, Inc. (a) | 7,850 | (17,820 | ) | |||||||
Atara Biotherapeutics, Inc. (a) | 600 | (2,268 | ) | |||||||
Athenex, Inc. (a) | 17,600 | (4,741 | ) | |||||||
Athersys, Inc. | 1,400 | (2,590 | ) | |||||||
ATI Physical Therapy, Inc. (a) | 11,100 | (11,100 | ) | |||||||
Atossa Therapeutics, Inc. (a) | 2,200 | (1,833 | ) | |||||||
Atreca, Inc., Class A (a) | 2,500 | (3,925 | ) | |||||||
Aura Biosciences, Inc. (a) | 100 | (1,812 | ) | |||||||
Aurinia Pharmaceuticals, Inc. (a) | 3,700 | (27,824 | ) | |||||||
Avalon GloboCare Corp. (a) | 1,700 | (1,090 | ) | |||||||
Avantor, Inc. (a) | 100 | (1,960 | ) | |||||||
Aveanna Healthcare Holdings, Inc. (a) | 4,900 | (7,350 | ) | |||||||
Avenue Therapeutics, Inc. | 526 | (5,302 | ) | |||||||
Avidity Biosciences, Inc. (a) | 100 | (1,633 | ) | |||||||
Avinger, Inc. (a) | 1,897 | (2,182 | ) | |||||||
Aytu BioPharma, Inc. (a) | 9,024 | (1,669 | ) | |||||||
Azenta, Inc. | 5,700 | (244,302 | ) | |||||||
Baudax Bio, Inc. (a) | 496 | (122 | ) |
See Notes to Consolidated Financial Statements.
121
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Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Security Description | Shares | Value | ||||||||
Bausch + Lomb Corp. | 100 | $ | (1,534 | ) | ||||||
Bausch Health Cos., Inc. (a) | 2,600 | (17,914 | ) | |||||||
Bellerophon Therapeutics, Inc. (a) | 100 | (109 | ) | |||||||
Bellicum Pharmaceuticals, Inc. (a) | 570 | (684 | ) | |||||||
Better Choice Co., Inc. (a) | 400 | (318 | ) | |||||||
Beyondspring, Inc. (a) | 2,300 | (2,277 | ) | |||||||
Bio-Path Holdings, Inc. (a) | 400 | (1,276 | ) | |||||||
BioCardia, Inc. (a) | 600 | (1,164 | ) | |||||||
Biocept, Inc. (a) | 1,910 | (1,760 | ) | |||||||
Biofrontera, Inc. | 500 | (525 | ) | |||||||
Biohaven Pharmaceutical Holding Co. Ltd. | 2,000 | (302,340 | ) | |||||||
Biolase, Inc. (a) | 676 | (1,643 | ) | |||||||
BioLife Solutions, Inc. | 1,200 | (27,300 | ) | |||||||
Biomerica, Inc. (a) | 300 | (1,179 | ) | |||||||
BioNano Genomics, Inc. (a) | 92,000 | (168,360 | ) | |||||||
BioSig Technologies, Inc. (a) | 4,500 | (2,880 | ) | |||||||
Biotricity, Inc. (a) | 1,600 | (1,280 | ) | |||||||
Bioventus, Inc., Class A (a) | 1,900 | (13,300 | ) | |||||||
BioVie, Inc. (a) | 800 | (1,992 | ) | |||||||
Bluebird Bio, Inc. (a) | 3,200 | (20,256 | ) | |||||||
Bluejay Diagnostics, Inc. | 900 | (702 | ) | |||||||
BrainStorm Cell Therapeutics, Inc. (a) | 900 | (3,978 | ) | |||||||
BriaCell Therapeutics Corp. (a) | 5,700 | (32,034 | ) | |||||||
Bruker Corp. | 357 | (18,942 | ) | |||||||
Butterfly Network, Inc. (a) | 16,500 | (77,550 | ) | |||||||
Calithera Biosciences, Inc. | 250 | (735 | ) | |||||||
Capricor Therapeutics, Inc. (a) | 2,300 | (13,800 | ) | |||||||
Cardiol Therapeutics, Inc., Class A (a) | 3,200 | (3,296 | ) | |||||||
CareMax, Inc. (a) | 3,700 | (26,233 | ) | |||||||
Caribou Biosciences, Inc. (a) | 1,000 | (10,550 | ) | |||||||
CASI Pharmaceuticals, Inc. (a) | 2,130 | (5,538 | ) | |||||||
Cassava Sciences, Inc. (a) | 9,700 | (405,654 | ) | |||||||
Catalent, Inc. (a) | 13,000 | (940,680 | ) | |||||||
Catalyst Biosciences, Inc. | 11,016 | (5,552 | ) | |||||||
cbdMD, Inc. (a) | 4,600 | (1,035 | ) | |||||||
CEL-SCI Corp. (a) | 2,300 | (7,107 | ) | |||||||
Centene Corp. (a) | 33,900 | (2,637,759 | ) | |||||||
Centessa Pharmaceuticals plc, ADR (a) | 3,400 | (13,668 | ) | |||||||
Century Therapeutics, Inc. (a) | 1,300 | (12,857 | ) | |||||||
Cerevel Therapeutics Holdings, Inc. (a) | 1,900 | (53,694 | ) | |||||||
Cerus Corp. | 1,300 | (4,680 | ) | |||||||
Check Cap Ltd. (a) | 12,200 | (3,538 | ) | |||||||
Chembio Diagnostics, Inc. (a) | 11,100 | (4,012 | ) | |||||||
Cigna corp. | 1,000 | (277,470 | ) | |||||||
CinCor Pharma, Inc. (a) | 300 | (9,846 | ) | |||||||
Citius Pharmaceuticals, Inc. (a) | 9,300 | (11,253 | ) | |||||||
ClearPoint Neuro, Inc. (a) | 700 | (7,252 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Security Description | Shares | Value | ||||||||
Clovis Oncology, Inc. (a) | 53,400 | $ | (63,546 | ) | ||||||
Co-Diagnostics, Inc. (a) | 9,200 | (29,532 | ) | |||||||
Codex DNA, Inc. (a) | 1,173 | (1,947 | ) | |||||||
Codiak Biosciences, Inc. (a) | 200 | (156 | ) | |||||||
Conformis, Inc. (a) | 7,400 | (1,415 | ) | |||||||
Covetrus, Inc. (a) | 21,300 | (444,744 | ) | |||||||
Cue Health, Inc. (a) | 9,300 | (27,993 | ) | |||||||
CVS Health Corp. | 100 | (9,537 | ) | |||||||
Cytek Biosciences, Inc. (a) | 100 | (1,472 | ) | |||||||
Danaher Corp. | 1,400 | (361,606 | ) | |||||||
Dare Bioscience, Inc. (a) | 10,100 | (10,100 | ) | |||||||
Day One Biopharmaceuticals, Inc. (a) | 400 | (8,012 | ) | |||||||
Decibel Therapeutics, Inc. | 300 | (1,038 | ) | |||||||
Design Therapeutics, Inc. (a) | 1,800 | (30,096 | ) | |||||||
DICE Therapeutics, Inc. (a) | 3,400 | (68,952 | ) | |||||||
DocGo, Inc. (a) | 100 | (992 | ) | |||||||
Dyadic International, Inc. (a) | 900 | (1,719 | ) | |||||||
Eagle Pharmaceuticals, Inc. (a) | 1,300 | (34,346 | ) | |||||||
Eargo, Inc. (a) | 14,400 | (15,120 | ) | |||||||
Edgewise Therapeutics, Inc. (a) | 800 | (7,872 | ) | |||||||
Elanco Animal Health, Inc. (a) | 200 | (2,482 | ) | |||||||
Eli Lilly & Co. | 3,500 | (1,131,725 | ) | |||||||
Eliem Therapeutics, Inc. (a) | 200 | (646 | ) | |||||||
Embecta Corp. | 6,700 | (192,893 | ) | |||||||
Encompass Health Corp. | 5,800 | (262,334 | ) | |||||||
ENDRA Life Sciences, Inc. (a) | 10,653 | (3,260 | ) | |||||||
Entrada Therapeutics, Inc. (a) | 700 | (11,032 | ) | |||||||
Enveric Biosciences, Inc. | 489 | (2,064 | ) | |||||||
Enzo Biochem, Inc. (a) | 400 | (892 | ) | |||||||
EQRx, Inc. (a) | 35,600 | (176,220 | ) | |||||||
Equillium, Inc. (a) | 500 | (1,110 | ) | |||||||
Erasca, Inc. (a) | 1,800 | (14,040 | ) | |||||||
Eton Pharmaceuticals, Inc. (a) | 1,900 | (3,990 | ) | |||||||
Exicure, Inc. (a) | 50 | (78 | ) | |||||||
F-star Therapeutics, Inc. (a) | 2,700 | (13,824 | ) | |||||||
Fennec Pharmaceuticals, Inc. (a) | 300 | (2,430 | ) | |||||||
Finch Therapeutics Group, Inc. (a) | 1,000 | (1,670 | ) | |||||||
First Wave BioPharma, Inc. | 842 | (1,246 | ) | |||||||
Fluidigm Corp. (a) | 9,200 | (10,120 | ) | |||||||
Foghorn Therapeutics, Inc. (a) | 700 | (6,006 | ) | |||||||
Fortress Biotech, Inc. (a) | 4,900 | (4,214 | ) | |||||||
Frequency Therapeutics, Inc. (a) | 2,300 | (4,117 | ) | |||||||
Fresh Tracks Therapeutics, Inc. | 1,006 | (1,801 | ) | |||||||
FSD Pharma, Inc., Class B (a) | 1,500 | (1,260 | ) | |||||||
Fulgent Genetics, Inc. (a) | 4,500 | (171,540 | ) | |||||||
Galectin Therapeutics, Inc. (a) | 1,000 | (1,630 | ) | |||||||
GBS, Inc. (a) | 1,300 | (546 | ) |
See Notes to Consolidated Financial Statements.
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Security Description | Shares | Value | ||||||||
Gemini Therapeutics, Inc. (a) | 2,400 | $ | (3,936 | ) | ||||||
Genprex, Inc. (a) | 2,800 | (3,948 | ) | |||||||
Geron Corp. (a) | 16,100 | (37,674 | ) | |||||||
Ginkgo Bioworks Holdings, Inc. (a) | 218,300 | (681,096 | ) | |||||||
Greenwich Lifesciences, Inc. (a) | 700 | (6,370 | ) | |||||||
GT Biopharma, Inc. (a) | 2,200 | (3,872 | ) | |||||||
Guardion Health Sciences, Inc. (a) | 18,300 | (2,525 | ) | |||||||
HCA Healthcare, Inc. | 1,400 | (257,306 | ) | |||||||
Henry Schein, Inc. | 2,800 | (184,156 | ) | |||||||
Hepion Pharmaceuticals, Inc. (a) | 3,900 | (1,970 | ) | |||||||
Heron Therapeutics, Inc. (a) | 17,200 | (72,584 | ) | |||||||
HilleVax, Inc. | 100 | (1,709 | ) | |||||||
Homology Medicines, Inc. (a) | 2,700 | (4,347 | ) | |||||||
Hookipa Pharma, Inc. (a) | 4,700 | (6,298 | ) | |||||||
HTG Molecular Diagnostics, Inc. (a) | 233 | (143 | ) | |||||||
Humacyte, Inc. (a) | 2,900 | (9,454 | ) | |||||||
Humana, Inc. | 200 | (97,038 | ) | |||||||
Humanigen, Inc. (a) | 24,700 | (4,446 | ) | |||||||
iBio, Inc. | 1,596 | (15,012 | ) | |||||||
iBio, Inc. (a) | 39,900 | (6,795 | ) | |||||||
Icosavax, Inc. (a) | 1,100 | (3,476 | ) | |||||||
Idera Pharmaceuticals, Inc. (a) | 2,300 | (861 | ) | |||||||
Ikena Oncology, Inc. (a) | 1,800 | (6,390 | ) | |||||||
Imago Biosciences, Inc. (a) | 1,300 | (19,565 | ) | |||||||
ImmunityBio, Inc. (a) | 27,500 | (136,675 | ) | |||||||
ImmunoPrecise Antibodies Ltd. (a) | 400 | (1,596 | ) | |||||||
IMV, Inc. (a) | 400 | (210 | ) | |||||||
Inari Medical, Inc. (a) | 700 | (50,848 | ) | |||||||
Indaptus Therapeutics, Inc. (a) | 300 | (648 | ) | |||||||
Inmune Bio, Inc. (a) | 1,400 | (8,680 | ) | |||||||
Innovage Holding Corp. (a) | 2,600 | (15,288 | ) | |||||||
Innoviva, Inc. | 300 | (3,483 | ) | |||||||
Inspire Medical Systems, Inc. (a) | 1,900 | (337,003 | ) | |||||||
Instil Bio, Inc. (a) | 3,500 | (16,940 | ) | |||||||
Insulet Corp. (a) | 4,400 | (1,009,360 | ) | |||||||
Intra-Cellular Therapies, Inc. (a) | 700 | (32,571 | ) | |||||||
Invivyd, Inc. (a) | 13,400 | (41,942 | ) | |||||||
INVO BioScience, Inc. (a) | 400 | (424 | ) | |||||||
iRhythm Technologies, Inc. (a) | 2,000 | (250,560 | ) | |||||||
IsoPlexis Corp. (a) | 900 | (1,548 | ) | |||||||
IsoRay, Inc. (a) | 100 | (23 | ) | |||||||
Iterum Therapeutics plc | 2,813 | (4,557 | ) | |||||||
Jaguar Health, Inc. (a) | 43,766 | (6,828 | ) | |||||||
Janux Therapeutics, Inc. (a) | 800 | (10,832 | ) | |||||||
Jupiter Wellness, Inc. (a) | 3,000 | (2,340 | ) | |||||||
Kala Pharmaceuticals, Inc. (a) | 26,633 | (5,897 | ) | |||||||
KemPharm, Inc. (a) | 3,400 | (21,216 | ) |
See Notes to Consolidated Financial Statements.
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September 30, 2022 (Unaudited)
Security Description | Shares | Value | ||||||||
Kiniksa Pharmaceuticals Ltd., Class A (a) | 2,400 | $ | (30,816 | ) | ||||||
Kinnate Biopharma, Inc. (a) | 400 | (4,780 | ) | |||||||
Kiora Pharmaceuticals, Inc. | 340 | (2,091 | ) | |||||||
KORU Medical Systems, Inc. (a) | 400 | (892 | ) | |||||||
Krystal Biotech, Inc. (a) | 1,700 | (118,490 | ) | |||||||
Laboratory Corp. of America Holdings | 200 | (40,962 | ) | |||||||
Landec Corp. | 300 | (2,667 | ) | |||||||
Legend Biotech Corp., ADR (a) | 4,200 | (171,360 | ) | |||||||
Lexaria Bioscience Corp. (a) | 900 | (2,205 | ) | |||||||
Lexicon Pharmaceuticals, Inc. (a) | 6,200 | (14,880 | ) | |||||||
LianBio, ADR (a) | 3,500 | (6,965 | ) | |||||||
LifeStance Health Group, Inc. (a) | 11,700 | (77,454 | ) | |||||||
Liminal BioSciences, Inc. (a) | 1,400 | (588 | ) | |||||||
Lisata Therapeutics, Inc. | 100 | (463 | ) | |||||||
Longboard Pharmaceuticals, Inc. (a) | 100 | (372 | ) | |||||||
Longeveron, Inc. (a) | 2,100 | (7,770 | ) | |||||||
Lucid Diagnostics, Inc. (a) | 1,600 | (2,448 | ) | |||||||
Lucira Health, Inc. (a) | 1,100 | (1,166 | ) | |||||||
Lyell Immunopharma, Inc. (a) | 6,900 | (50,577 | ) | |||||||
MannKind Corp. (a) | 3,200 | (9,888 | ) | |||||||
Marker Therapeutics, Inc. | 800 | (295 | ) | |||||||
Marpai, Inc., Class A (a) | 1,400 | (1,456 | ) | |||||||
Matinas BioPharma Holdings, Inc. (a) | 8,400 | (5,342 | ) | |||||||
MaxCyte, Inc. (a) | 200 | (1,300 | ) | |||||||
McKesson Corp. | 100 | (33,987 | ) | |||||||
MediciNova, Inc. (a) | 400 | (868 | ) | |||||||
Medpace Holdings, Inc. | 100 | (15,717 | ) | |||||||
Meridian Bioscience, Inc. | 300 | (9,459 | ) | |||||||
Metacrine, Inc. (a) | 6,600 | (3,201 | ) | |||||||
Microbot Medical, Inc. (a) | 200 | (956 | ) | |||||||
Milestone Scientific, Inc. (a) | 1,600 | (1,264 | ) | |||||||
Mind Medicine MindMed, Inc. | 2,706 | (9,471 | ) | |||||||
Minerva Neurosciences, Inc. (a) | 1,937 | (17,879 | ) | |||||||
MiNK Therapeutics, Inc. | 300 | (633 | ) | |||||||
Mirati Therapeutics, Inc. (a) | 100 | (6,984 | ) | |||||||
Moderna, Inc. (a) | 74,300 | (8,785,975 | ) | |||||||
ModivCare, Inc. (a) | 500 | (49,840 | ) | |||||||
Moleculin Biotech, Inc. (a) | 600 | (636 | ) | |||||||
Monte Rosa Therapeutics, Inc. (a) | 2,100 | (17,157 | ) | |||||||
Motus GI Holdings, Inc. | 630 | (1,544 | ) | |||||||
MyMD Pharmaceuticals, Inc. (a) | 1,300 | (3,393 | ) | |||||||
Myovant Sciences Ltd. (a) | 3,200 | (57,472 | ) | |||||||
Myriad Genetics, Inc. (a) | 5,200 | (99,216 | ) | |||||||
Nabriva Therapeutics plc | 576 | (1,198 | ) | |||||||
NanoVibronix, Inc. (a) | 3,800 | (1,748 | ) | |||||||
Nautilus Biotechnology, Inc. (a) | 4,600 | (9,752 | ) | |||||||
Nemaura Medical, Inc. (a) | 200 | (416 | ) |
See Notes to Consolidated Financial Statements.
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September 30, 2022 (Unaudited)
Security Description | Shares | Value | ||||||||
Neovasc, Inc. (a) | 216 | $ | (1,471 | ) | ||||||
Neptune Wellness Solutions, Inc. (a) | 20 | (30 | ) | |||||||
Neurobo Pharmaceuticals, Inc. (d) | 92 | (29 | ) | |||||||
NeuroBo Pharmaceuticals, Inc. | 23 | (315 | ) | |||||||
NeuroPace, Inc. (a) | 600 | (2,250 | ) | |||||||
NexImmune, Inc. | 4,300 | (2,385 | ) | |||||||
Novavax, Inc. (a) | 28,900 | (525,980 | ) | |||||||
NRX Pharmaceuticals, Inc. (a) | 16,000 | (11,840 | ) | |||||||
Nurix Therapeutics, Inc. | 100 | (1,303 | ) | |||||||
Nuvalent, Inc., Class A (a) | 1,600 | (31,104 | ) | |||||||
Nymox Pharmaceutical Corp. (a) | 400 | (168 | ) | |||||||
Oak Street Health, Inc. (a) | 8,900 | (218,228 | ) | |||||||
Ocugen, Inc. (a) | 78,000 | (138,840 | ) | |||||||
Omega Therapeutics, Inc. (a) | 100 | (542 | ) | |||||||
Oncocyte Corp. (a) | 7,600 | (5,548 | ) | |||||||
Oncology Institute, Inc. (The) | 200 | (926 | ) | |||||||
OpGen, Inc. (a) | 4,200 | (1,202 | ) | |||||||
Optinose, Inc. (a) | 1,900 | (6,954 | ) | |||||||
Oragenics, Inc. (a) | 7,700 | (1,748 | ) | |||||||
OraSure Technologies, Inc. (a) | 500 | (1,895 | ) | |||||||
Organon & Co. | 13,800 | (322,920 | ) | |||||||
Orgenesis, Inc. (a) | 600 | (852 | ) | |||||||
OrthoPediatrics Corp. (a) | 900 | (41,526 | ) | |||||||
Ovid therapeutics, Inc. (a) | 2,700 | (4,968 | ) | |||||||
Owens & Minor, Inc. | 8,900 | (214,490 | ) | |||||||
Owlet, Inc. (a) | 3,400 | (3,638 | ) | |||||||
Oyster Point Pharma, Inc. (a) | 2,100 | (11,802 | ) | |||||||
Palatin Technologies, Inc. | 576 | (3,410 | ) | |||||||
Paragon 28, Inc. (a) | 1,800 | (32,076 | ) | |||||||
Pardes Biosciences, Inc. (a) | 2,900 | (5,365 | ) | |||||||
Patterson Cos., Inc. | 1,800 | (43,236 | ) | |||||||
PAVmed, Inc. (a) | 15,500 | (13,330 | ) | |||||||
PDL BioPharma, Inc. (a),(d) | 4,500 | (11,115 | ) | |||||||
Pediatrix Medical Group, Inc. (a) | 1,700 | (28,067 | ) | |||||||
Penumbra, Inc. (a) | 700 | (132,720 | ) | |||||||
PerkinElmer, Inc. | 2,500 | (300,825 | ) | |||||||
Petros Pharmaceuticals, Inc. (a) | 1,925 | (982 | ) | |||||||
PharmaCyte Biotech, Inc. (a) | 2,400 | (5,760 | ) | |||||||
PhaseBio Pharmaceuticals, Inc. (a) | 4,200 | (739 | ) | |||||||
Pluri, Inc. | 2,600 | (2,028 | ) | |||||||
PMV Pharmaceuticals, Inc. (a) | 300 | (3,570 | ) | |||||||
Point Biopharma Global, Inc. (a) | 400 | (3,092 | ) | |||||||
PolarityTE, Inc. (a) | 516 | (449 | ) | |||||||
Poseida Therapeutics, Inc. (a) | 2,900 | (10,237 | ) | |||||||
PROCEPT BioRobotics Corp. (a) | 300 | (12,438 | ) | |||||||
Profound Medical Corp. (a) | 300 | (1,212 | ) | |||||||
Progenity, Inc. (a) | 50,500 | (24,487 | ) |
See Notes to Consolidated Financial Statements.
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September 30, 2022 (Unaudited)
Security Description | Shares | Value | ||||||||
Protalix BioTherapeutics, Inc. (a) | 3,600 | $ | (3,749 | ) | ||||||
Qualigen Therapeutics, Inc. (a) | 2,800 | (748 | ) | |||||||
Quantum-Si, Inc. (a) | 10,900 | (29,975 | ) | |||||||
Quest Diagnostics, Inc. | 1,700 | (208,573 | ) | |||||||
QuidelOrtho Corp. (a) | 2,556 | (182,703 | ) | |||||||
Quotient Ltd. | 7,008 | (1,051 | ) | |||||||
RA Medical Systems, Inc. | 208 | (1,040 | ) | |||||||
RA Medical Systems, Inc. | 10,400 | (1,246 | ) | |||||||
Rallybio Corp. (a) | 200 | (2,894 | ) | |||||||
Rapid Micro Biosystems, Inc., Class A (a) | 800 | (2,584 | ) | |||||||
Recro Pharma, Inc. (a) | 600 | (978 | ) | |||||||
Recursion Pharmaceuticals, Inc., Class A (a) | 4,300 | (45,752 | ) | |||||||
Regulus Therapeutics, Inc. | 300 | (510 | ) | |||||||
RenovoRx, Inc. (a) | 100 | (202 | ) | |||||||
Repligen Corp. (a) | 100 | (18,711 | ) | |||||||
ReShape Lifesciences, Inc. (a) | 1,000 | (300 | ) | |||||||
Retractable Technologies, Inc. (a) | 1,400 | (2,772 | ) | |||||||
Rhythm Pharmaceuticals, Inc. (a) | 2,500 | (61,250 | ) | |||||||
Rockwell Medical, Inc. (a) | 1,036 | (1,368 | ) | |||||||
Roivant Sciences Ltd. | 1,300 | (4,186 | ) | |||||||
SAB Biotherapeutics, Inc. (a) | 1,100 | (771 | ) | |||||||
Sanara Medtech, Inc. (a) | 100 | (2,969 | ) | |||||||
Scholar Rock Holding Corp. (a) | 900 | (6,237 | ) | |||||||
Science 37 Holdings, Inc. (a) | 1,100 | (1,771 | ) | |||||||
SCYNEXIS, Inc. (a) | 2,700 | (6,480 | ) | |||||||
Seagen, Inc. (a) | 6,000 | (820,980 | ) | |||||||
Seer, Inc. (a) | 3,600 | (27,864 | ) | |||||||
Select Medical Holdings Corp. | 1,600 | (35,360 | ) | |||||||
SELLAS Life Sciences Group, Inc. (a) | 1,067 | (2,155 | ) | |||||||
Sema4 Holdings Corp. (a) | 3,600 | (3,159 | ) | |||||||
Senseonics Holdings, Inc. (a) | 97,600 | (128,832 | ) | |||||||
Sesen Bio, Inc. (a) | 37,668 | (16,009 | ) | |||||||
Shockwave Medical, Inc. (a) | 300 | (83,421 | ) | |||||||
SI-BONE, Inc. | 100 | (1,746 | ) | |||||||
Sientra, Inc. | 300 | (192 | ) | |||||||
SIGA Technologies, Inc. | 4,500 | (46,350 | ) | |||||||
Signify Health, Inc., Class A (a) | 6,400 | (186,560 | ) | |||||||
Silk Road Medical, Inc. (a) | 200 | (9,000 | ) | |||||||
SmileDirectClub, Inc. (a) | 44,800 | (40,562 | ) | |||||||
SNDL, Inc. | 87,540 | (190,837 | ) | |||||||
Soligenix, Inc. (a) | 2,800 | (1,223 | ) | |||||||
Sonendo, Inc. (a) | 2,100 | (2,247 | ) | |||||||
Sorrento Therapeutics, Inc. (a) | 79,100 | (124,187 | ) | |||||||
Spectrum Pharmaceuticals, Inc. (a) | 14,700 | (6,321 | ) | |||||||
Spero Therapeutics, Inc. | 12,900 | (25,800 | ) | |||||||
Spruce Biosciences, Inc. (a) | 700 | (959 | ) | |||||||
SQZ Biotechnologies Co. | 100 | (228 | ) |
See Notes to Consolidated Financial Statements.
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September 30, 2022 (Unaudited)
Security Description | Shares | Value | ||||||||
Statera Biopharma, Inc. (a) | 1,800 | $ | (234 | ) | ||||||
Stryker Corp. | 600 | (121,524 | ) | |||||||
Sunshine Biopharma, Inc. (a) | 2,700 | (2,086 | ) | |||||||
Surgalign Holdings, Inc. (a) | 140 | (487 | ) | |||||||
Surgery Partners, Inc. (a) | 400 | (9,360 | ) | |||||||
Synaptogenix, Inc. (a) | 1,000 | (6,700 | ) | |||||||
Synthetic Biologics, Inc. | 350 | (345 | ) | |||||||
Syros Pharmaceuticals, Inc. | 1,860 | (11,978 | ) | |||||||
T2 Biosystems, Inc. (a) | 130,400 | (14,735 | ) | |||||||
Tango Therapeutics, Inc. (a) | 2,000 | (7,240 | ) | |||||||
Taro Pharmaceutical Industries Ltd. (a) | 100 | (2,998 | ) | |||||||
Tempest Therapeutics, Inc. (a) | 700 | (1,218 | ) | |||||||
Tenaya Therapeutics, Inc. (a) | 1,200 | (3,480 | ) | |||||||
Tenet Healthcare Corp. (a) | 7,700 | (397,166 | ) | |||||||
TFF Pharmaceuticals, Inc. (a) | 1,600 | (6,496 | ) | |||||||
TherapeuticsMD, Inc. (a) | 3,230 | (21,447 | ) | |||||||
ThermoGenesis Holdings, Inc. (a) | 3,000 | (745 | ) | |||||||
Theseus Pharmaceuticals, Inc. (a) | 500 | (2,900 | ) | |||||||
Thorne HealthTech, Inc. (a) | 1,000 | (4,730 | ) | |||||||
Titan Medical, Inc. (a) | 4,700 | (2,115 | ) | |||||||
Titan Pharmaceuticals, Inc. (a) | 800 | (864 | ) | |||||||
Tivic Health Systems, Inc. (a) | 1,300 | (1,885 | ) | |||||||
Tonix Pharmaceuticals Holding Corp. (a) | 1,900 | (1,015 | ) | |||||||
Treace Medical Concepts, Inc., Class C (a) | 2,300 | (50,761 | ) | |||||||
Tyra Biosciences, Inc. (a) | 700 | (6,153 | ) | |||||||
Unicycive Therapeutics, Inc. (a) | 700 | (413 | ) | |||||||
UNITY Biotechnology, Inc. | 800 | (316 | ) | |||||||
Universal Health Services, Inc., Class B | 700 | (61,726 | ) | |||||||
UpHealth, Inc. (a) | 8,300 | (4,416 | ) | |||||||
UroGen Pharma Ltd. (a) | 900 | (7,488 | ) | |||||||
Vaccinex, Inc. (a) | 1,900 | (940 | ) | |||||||
Vaxart, Inc. (a) | 10,500 | (22,890 | ) | |||||||
Vaxxinity, Inc., Class A (a) | 1,200 | (2,376 | ) | |||||||
VBI Vaccines, Inc. | 2,000 | (1,412 | ) | |||||||
Veracyte, Inc. (a) | 4,300 | (71,380 | ) | |||||||
Vertex Pharmaceuticals, Inc. | 200 | (57,908 | ) | |||||||
Veru, Inc. (a) | 13,300 | (153,216 | ) | |||||||
Vicarious Surgical, Inc. (a) | 2,500 | (8,375 | ) | |||||||
Vir Biotechnology, Inc. (a) | 12,600 | (242,928 | ) | |||||||
Viracta Therapeutics, Inc. (a) | 100 | (427 | ) | |||||||
Virpax Pharmaceuticals, Inc. (a) | 1,100 | (1,309 | ) | |||||||
Vivani Medical, Inc. | 1,466 | (3,342 | ) | |||||||
Vivos Therapeutics, Inc. (a) | 800 | (520 | ) | |||||||
VolitionRX Ltd. (a) | 900 | (1,224 | ) | |||||||
Vor BioPharma, Inc. (a) | 1,300 | (5,174 | ) | |||||||
Voyager Therapeutics, Inc. (a) | 4,100 | (24,272 | ) | |||||||
vTv Therapeutics, Inc., Class A (a) | 4,000 | (3,880 | ) |
See Notes to Consolidated Financial Statements.
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September 30, 2022 (Unaudited)
Security Description | Shares | Value | ||||||||
Vyant Bio, Inc. (a) | 1,000 | $ | (558 | ) | ||||||
VYNE Therapeutics, Inc. (a) | 6,900 | (1,539 | ) | |||||||
Waters Corp. (a),(c) | 1,013 | (273,034 | ) | |||||||
WaVe Life Sciences Ltd. (a) | 700 | (2,527 | ) | |||||||
Werewolf Therapeutics, Inc. (a) | 1,600 | (7,216 | ) | |||||||
West Pharmaceutical Services, Inc. | 100 | (24,608 | ) | |||||||
Windtree Therapeutics, Inc. | 100 | (30 | ) | |||||||
X4 Pharmaceuticals, Inc. (a) | 2,800 | (4,788 | ) | |||||||
Xeris Biopharma Holdings, Inc. (a) | 17,142 | (26,742 | ) | |||||||
Xtant Medical Holdings, Inc. (a) | 800 | (576 | ) | |||||||
Y-mAbs Therapeutics, Inc. (a) | 1,600 | (23,072 | ) | |||||||
Yumanity Therapeutics, Inc. (a) | 1,400 | (2,198 | ) | |||||||
Zimvie, Inc. (a) | 2,100 | (20,727 | ) | |||||||
Zivo Bioscience, Inc. (a) | 200 | (560 | ) | |||||||
Zomedica Corp. (a) | 279,700 | (59,017 | ) | |||||||
Zymeworks, Inc. | 400 | (2,460 | ) | |||||||
Zynex, Inc. | 1,100 | (9,977 | ) | |||||||
|
| |||||||||
(30,209,430 | ) | |||||||||
|
| |||||||||
Health Care Facilities & Services — (0.0)% | ||||||||||
Cano Health, Inc. (a) | 2,700 | (23,409 | ) | |||||||
|
| |||||||||
Industrial Products — (0.6)% | ||||||||||
Acuity Brands, Inc. | 700 | (110,229 | ) | |||||||
Advanced Energy Industries, Inc. | 1,100 | (85,151 | ) | |||||||
AeroVironment, Inc. (a) | 800 | (66,688 | ) | |||||||
AEye, Inc. (a) | 9,900 | (10,989 | ) | |||||||
AgEagle Aerial Systems, Inc. (a) | 28,600 | (13,288 | ) | |||||||
Agrify Corp. (a) | 800 | (348 | ) | |||||||
Alpine 4 Holdings, Inc. (a) | 14,200 | (7,881 | ) | |||||||
AMMO, Inc. (a) | 27,800 | (81,454 | ) | |||||||
Archer Aviation, Inc., Class A (a) | 500 | (1,305 | ) | |||||||
Astec Industries, Inc. | 600 | (18,714 | ) | |||||||
Atkore, Inc. (a) | 4,700 | (365,707 | ) | |||||||
Berkshire Grey, Inc. (a) | 6,600 | (11,220 | ) | |||||||
Blink Charging Co. (a) | 8,600 | (152,392 | ) | |||||||
Blue Bird Corp. (a) | 1,200 | (10,020 | ) | |||||||
Boeing Co. (a) | 62,800 | (7,603,824 | ) | |||||||
Byrna Technologies, Inc. (a) | 1,800 | (8,460 | ) | |||||||
CAE, Inc. (a) | 1,700 | (26,061 | ) | |||||||
Cemtrex, Inc. (a) | 400 | (84 | ) | |||||||
ChargePoint Holdings, Inc. (a) | 1,000 | (14,760 | ) | |||||||
Chart Industries, Inc. (a) | 3,600 | (663,660 | ) | |||||||
CIRCOR International, Inc. (a) | 100 | (1,649 | ) | |||||||
Deere & Co. | 16,000 | (5,342,240 | ) | |||||||
Eastman Kodak Co. (a) | 7,000 | (32,130 | ) | |||||||
Energous Corp. (a) | 7,200 | (7,416 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Security Description | Shares | Value | ||||||||
Evolv Technologies Holdings, Inc. (a) | 10,800 | $ | (22,896 | ) | ||||||
FreightCar America, Inc. (a) | 1,800 | (6,714 | ) | |||||||
Fuel Tech, Inc. (a) | 1,400 | (1,638 | ) | |||||||
Generac Holdings, Inc. (a) | 8,000 | (1,425,120 | ) | |||||||
General Electric Co. | 2,200 | (136,202 | ) | |||||||
GrafTech International Ltd. | 700 | (3,017 | ) | |||||||
Grom Social Enterprises, Inc. (a) | 3,600 | (1,199 | ) | |||||||
Hillenbrand, Inc. | 1,200 | (44,064 | ) | |||||||
Hillman Solutions Corp. (a) | 10,800 | (81,432 | ) | |||||||
Howmet Aerospace, Inc. | 600 | (18,558 | ) | |||||||
Hyzon Motors, Inc. (a) | 19,600 | (33,320 | ) | |||||||
Ichor Holdings Ltd. (a) | 200 | (4,842 | ) | |||||||
Ideal Power, Inc. (a) | 400 | (4,140 | ) | |||||||
Ingersoll Rand, Inc. | 51,952 | (2,247,443 | ) | |||||||
Joby Aviation, Inc. (a) | 8,300 | (35,939 | ) | |||||||
John Bean Technologies Corp. | 900 | (77,400 | ) | |||||||
Kelso Technologies, Inc. (a) | 2,100 | (630 | ) | |||||||
Knightscope, Inc., Class A | 3,200 | (7,744 | ) | |||||||
L3Harris Technologies, Inc. | 8,500 | (1,766,555 | ) | |||||||
Lightning eMotors, Inc. | 600 | (930 | ) | |||||||
Lion Electric Co. (The) (a) | 4,500 | (12,870 | ) | |||||||
Loop Industries, Inc. | 200 | (866 | ) | |||||||
Mechanical Technology, Inc. (a) | 1,900 | (3,249 | ) | |||||||
Mercury Systems, Inc. | 100 | (4,060 | ) | |||||||
Middleby Corp. | 600 | (76,902 | ) | |||||||
Mirion Technologies, Inc. (a) | 18,300 | (136,701 | ) | |||||||
Momentus, Inc. (a) | 13,900 | (19,043 | ) | |||||||
National Instruments Corp. | 1,000 | (37,740 | ) | |||||||
Nikola Corp. (a) | 102,300 | (360,096 | ) | |||||||
Northrop Grumman Corp. | 2,700 | (1,269,864 | ) | |||||||
Novanta, Inc. (a) | 1,300 | (150,345 | ) | |||||||
Proterra, Inc. (a) | 18,200 | (90,636 | ) | |||||||
Raytheon Technologies Corp. | 30,600 | (2,504,916 | ) | |||||||
RBC Bearings, Inc. (a) | 400 | (83,124 | ) | |||||||
Redwire Corp. (a) | 3,400 | (8,092 | ) | |||||||
Regal Beloit Corp. | 3,000 | (421,080 | ) | |||||||
Research Frontiers, Inc. (a) | 700 | (1,491 | ) | |||||||
Rocket Lab USA, Inc. (a) | 6,800 | (27,676 | ) | |||||||
Sensata Technologies Holding plc | 800 | (29,824 | ) | |||||||
SmartRent, Inc. (a) | 9,200 | (20,884 | ) | |||||||
Spirit AeroSystems Holdings, Inc., Class A | 900 | (19,728 | ) | |||||||
Stoneridge, Inc. | 300 | (5,085 | ) | |||||||
Sypris Solutions, Inc. (a) | 600 | (1,116 | ) | |||||||
TAT Technologies Ltd. (a) | 100 | (601 | ) | |||||||
Teledyne Technologies, Inc. (a) | 1,000 | (337,470 | ) | |||||||
Universal Security Instruments, Inc. (a) | 400 | (1,544 | ) | |||||||
Urban-Gro, Inc. (a) | 1,000 | (2,790 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Security Description | Shares | Value | ||||||||
Vertiv Holdings Co. | 53,500 | $ | (520,020 | ) | ||||||
VirTra, Inc. (a) | 200 | (1,082 | ) | |||||||
Volta, Inc. (a) | 4,200 | (5,082 | ) | |||||||
Vontier Corp. | 7,000 | (116,970 | ) | |||||||
Westinghouse Air Brake Technologies Corp. | 200 | (16,270 | ) | |||||||
Workhorse Group, Inc. | 3,900 | (11,193 | ) | |||||||
Wrap Technologies, Inc. (a) | 2,700 | (4,617 | ) | |||||||
Xometry, Inc., Class A (a) | 7,000 | (397,530 | ) | |||||||
Xos, Inc. (a) | 5,700 | (6,840 | ) | |||||||
Xylem, Inc. | 100 | (8,736 | ) | |||||||
|
| |||||||||
(27,271,586 | ) | |||||||||
|
| |||||||||
Industrial Services — (0.3)% | ||||||||||
ADT, Inc. | 700 | (5,243 | ) | |||||||
Alaska Air Group, Inc. (a) | 18,900 | (739,935 | ) | |||||||
Alight, Inc., Class A (a) | 32,100 | (235,293 | ) | |||||||
AMERCO | 200 | (101,844 | ) | |||||||
API Group Corp. (a) | 8,000 | (106,160 | ) | |||||||
Aramark | 4,100 | (127,920 | ) | |||||||
Arcosa, Inc. | 2,300 | (131,514 | ) | |||||||
Atlas Air Worldwide Holdings, Inc. | 1,200 | (114,684 | ) | |||||||
Atlas Corp. | 2,300 | (31,970 | ) | |||||||
Canadian National Railway Co. | 600 | (64,794 | ) | |||||||
Canadian Pacific Railway Ltd. | 36,530 | (2,437,282 | ) | |||||||
Centrus Energy Corp., Class A (a) | 1,400 | (57,372 | ) | |||||||
CH Robinson Worldwide, Inc. | 200 | (19,262 | ) | |||||||
ClearSign Technologies Corp. (a) | 100 | (92 | ) | |||||||
Core & Main, Inc., Class A (a) | 6,100 | (138,714 | ) | |||||||
Cross Country Healthcare, Inc. | 1,300 | (36,881 | ) | |||||||
Custom Truck One Source, Inc. (a) | 300 | (1,749 | ) | |||||||
Deluxe Corp. | 500 | (8,325 | ) | |||||||
Denison Mines Corp. (a) | 172,300 | (205,037 | ) | |||||||
Expeditors International of Washington, Inc. | 500 | (44,155 | ) | |||||||
FedEx Corp. | 100 | (14,847 | ) | |||||||
Ferguson plc | 300 | (30,879 | ) | |||||||
Frontdoor, Inc. | 200 | (4,078 | ) | |||||||
GEE Group, Inc. (a) | 3,200 | (2,019 | ) | |||||||
GFL Environmental ,Inc. | 2,400 | (60,696 | ) | |||||||
H&R Block, Inc. | 12,200 | (518,988 | ) | |||||||
Healthcare Services Group, Inc. | 600 | (7,254 | ) | |||||||
Ideanomics, Inc. (a) | 26,300 | (7,232 | ) | |||||||
Jacobs Solutions, Inc. | 100 | (10,849 | ) | |||||||
JB Hunt Transport Services, Inc. | 1,700 | (265,914 | ) | |||||||
Knight-Swift Transportation Holdings, Inc. | 1,000 | (48,930 | ) | |||||||
Landstar System, Inc. | 2,100 | (303,177 | ) | |||||||
Latham Group, Inc. (a) | 10,000 | (35,900 | ) | |||||||
Li-Cycle Holdings Corp. (a) | 1,300 | (6,916 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Security Description | Shares | Value | ||||||||
Matson, Inc. | 4,100 | $ | (252,232 | ) | ||||||
Montrose Environmental Group, Inc. (a) | 1,100 | (37,015 | ) | |||||||
NV5 Global, Inc. (a) | 300 | (37,146 | ) | |||||||
Old Dominion Freight Line, Inc. | 2,200 | (547,294 | ) | |||||||
Orbital Infrastructure Group, Inc. (a) | 23,200 | (11,020 | ) | |||||||
Quanta Services, Inc. | 14,600 | (1,859,894 | ) | |||||||
R1 RCM, Inc. | 2,000 | (37,060 | ) | |||||||
Resideo Technologies, Inc. (a) | 600 | (11,436 | ) | |||||||
Ryder System, Inc. | 200 | (15,098 | ) | |||||||
Saia, Inc. (a) | 100 | (19,000 | ) | |||||||
Seanergy Maritime Holdings | 56,400 | (26,666 | ) | |||||||
Southwest Airlines Co. (a) | 57,500 | (1,773,300 | ) | |||||||
Sovos Brands, Inc. (a) | 1,500 | (21,360 | ) | |||||||
Sterling Check Corp. (a) | 2,200 | (38,808 | ) | |||||||
Sun Country Airlines Holdings, Inc. (a) | 3,700 | (50,357 | ) | |||||||
Team, Inc. (a) | 4,100 | (4,346 | ) | |||||||
Terminix Global Holdings, Inc. (a) | 800 | (30,632 | ) | |||||||
TFI International, Inc. | 1,900 | (171,912 | ) | |||||||
TOP Ships, Inc. | 895 | (2,721 | ) | |||||||
TopBuild Corp. (a) | 600 | (98,868 | ) | |||||||
United Parcel Service, Inc., Class B | 500 | (80,770 | ) | |||||||
United Rentals, Inc. (a) | 100 | (27,012 | ) | |||||||
Vivint Smart Home, Inc. (a) | 7,600 | (50,008 | ) | |||||||
WESCO International, Inc. (a) | 3,600 | (429,768 | ) | |||||||
Wheels Up Experience, Inc. (a) | 700 | (805 | ) | |||||||
Willdan Group, Inc. (a) | 600 | (8,886 | ) | |||||||
XPO Logistics, Inc. | 600 | (26,712 | ) | |||||||
ZipRecruiter, Inc., Class A (a) | 300 | (4,950 | ) | |||||||
|
| |||||||||
(11,600,981 | ) | |||||||||
|
| |||||||||
Insurance — (0.3)% | ||||||||||
Aflac, Inc. | 12,600 | (708,120 | ) | |||||||
Alleghany Corp. | 700 | (587,559 | ) | |||||||
Allstate Corp. (The) | 1,100 | (136,983 | ) | |||||||
Ambac Financial Group, Inc. (a) | 900 | (11,475 | ) | |||||||
American Financial Group, Inc. | 200 | (24,586 | ) | |||||||
American International Group, Inc. | 37,400 | (1,775,752 | ) | |||||||
Arch Capital Group Ltd. (a) | 100 | (4,554 | ) | |||||||
Arthur J Gallagher & Co. | 11,400 | (1,951,908 | ) | |||||||
Assurant, Inc. | 5,100 | (740,877 | ) | |||||||
Atlantic American Corp. | 200 | (572 | ) | |||||||
Axis Capital Holdings Ltd. | 1,100 | (54,065 | ) | |||||||
Berkshire Hathaway, Inc., Class B (a) | 16,400 | (4,379,128 | ) | |||||||
Chubb Ltd. | 600 | (109,128 | ) | |||||||
Cincinnati Financial Corp. | 2,300 | (206,011 | ) | |||||||
Enstar Group Ltd. (a) | 100 | (16,959 | ) | |||||||
Equitable Holdings, Inc. | 100 | (2,635 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Security Description | Shares | Value | ||||||||
Globe Life, Inc. | 1,200 | $ | (119,640 | ) | ||||||
GoHealth, Inc., Class A (a) | 23,200 | (8,236 | ) | |||||||
Goosehead Insurance, Inc., Class A | 200 | (7,128 | ) | |||||||
Hagerty, Inc., Class A (a) | 1,900 | (17,081 | ) | |||||||
Hippo Holdings, Inc. | 24 | (445 | ) | |||||||
James River Group Holdings Ltd. | 300 | (6,843 | ) | |||||||
Kemper Corp. | 800 | (33,008 | ) | |||||||
Loews Corp. | 1,600 | (79,744 | ) | |||||||
Manulife Financial Corp. | 32,100 | (503,007 | ) | |||||||
MetLife, Inc. | 10,200 | (619,956 | ) | |||||||
Primerica, Inc. | 100 | (12,345 | ) | |||||||
Principal Financial Group, Inc. | 10,800 | (779,220 | ) | |||||||
Prudential Financial, Inc. | 12,900 | (1,106,562 | ) | |||||||
RenaissanceRe Holdings Ltd. | 700 | (98,273 | ) | |||||||
Selective Insurance Group, Inc. | 200 | (16,280 | ) | |||||||
Selectquote, Inc. (a) | 10,200 | (7,446 | ) | |||||||
Sun Life Financial, Inc. | 6,900 | (274,344 | ) | |||||||
Travelers Cos., Inc. | 500 | (76,600 | ) | |||||||
Willis Towers Watson plc | 2,500 | (502,350 | ) | |||||||
|
| |||||||||
(14,978,820 | ) | |||||||||
|
| |||||||||
Materials — (0.4)% | ||||||||||
5E Advanced Materials, Inc. | 2,600 | (26,416 | ) | |||||||
A-Mark Precious Metals, Inc. | 2,100 | (59,619 | ) | |||||||
Advanced Drainage Systems, Inc. | 4,200 | (522,354 | ) | |||||||
Agnico Eagle Mines Ltd. | 2,500 | (105,575 | ) | |||||||
Albemarle Corp. | 1,000 | (264,440 | ) | |||||||
Algoma Steel Group, Inc. | 5,800 | (37,352 | ) | |||||||
Almaden Minerals Ltd., Class B (a) | 5,500 | (1,210 | ) | |||||||
American Resources Corp. (a) | 9,900 | (26,433 | ) | |||||||
Americas Gold & Silver Corp. (a) | 11,900 | (4,880 | ) | |||||||
Arconic Corp. (a) | 7,100 | (120,984 | ) | |||||||
Ardagh Metal Packaging SA | 30,200 | (146,168 | ) | |||||||
Avino Silver & Gold Mines Ltd. (a) | 8,700 | (4,437 | ) | |||||||
Axalta Coating Systems Ltd. (a) | 10,000 | (210,600 | ) | |||||||
Ball Corp. | 3,600 | (173,952 | ) | |||||||
Cabot Corp. | 700 | (44,723 | ) | |||||||
Cameco Corp. | 29,300 | (776,743 | ) | |||||||
Celanese Corp. | 100 | (9,034 | ) | |||||||
Cleveland-Cliffs, Inc. (a) | 191,400 | (2,578,158 | ) | |||||||
Commercial Metals Co. | 4,000 | (141,920 | ) | |||||||
Constellium SE (a) | 2,900 | (29,406 | ) | |||||||
Corteva, Inc. | 2,900 | (165,735 | ) | |||||||
CPS Technologies Corp. (a) | 900 | (2,529 | ) | |||||||
Dakota Gold Corp. | 400 | (1,220 | ) | |||||||
Danimer Scientific, Inc. (a) | 20,200 | (59,590 | ) | |||||||
Diversey Holdings Ltd. (a) | 6,900 | (33,534 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Security Description | Shares | Value | ||||||||
EMX Royalty Corp. (a) | 1,900 | $ | (3,534 | ) | ||||||
Encore Wire Corp. | 2,800 | (323,512 | ) | |||||||
Energy Fuels, Inc. (a) | 48,800 | (298,656 | ) | |||||||
Equinox Gold Corp. (a) | 46,600 | (170,090 | ) | |||||||
Ferroglobe plc (a) | 600 | (3,168 | ) | |||||||
First Majestic Silver Corp. | 7,800 | (59,436 | ) | |||||||
FMC Corp. | 1,000 | (105,700 | ) | |||||||
Fortuna Silver Mines, Inc. | 1,100 | (2,772 | ) | |||||||
Freeport-McMoRan, Inc. | 100 | (2,733 | ) | |||||||
Galiano Gold, Inc. (a) | 6,100 | (2,959 | ) | |||||||
Gold Royalty Corp. | 5,600 | (14,224 | ) | |||||||
Golden Minerals Co. (a) | 4,000 | (1,032 | ) | |||||||
GoldMining, Inc. | 100 | (83 | ) | |||||||
Graphic Packaging Holding Co. | 500 | (9,870 | ) | |||||||
GreenLight Biosciences Holdings PBC | 400 | (928 | ) | |||||||
Huntsman Corp. | 1,100 | (26,994 | ) | |||||||
Hycroft Mining Holding Corp. | 28,500 | (17,228 | ) | |||||||
International Flavors & Fragrances, Inc. | 7,000 | (635,810 | ) | |||||||
International Paper Co. | 5,800 | (183,860 | ) | |||||||
International Tower Hill Mines Ltd. (a) | 1,500 | (777 | ) | |||||||
Kaiser Aluminum Corp. | 600 | (36,810 | ) | |||||||
Largo, Inc. (a) | 500 | (2,650 | ) | |||||||
Louisiana-Pacific Corp. | 7,200 | (368,568 | ) | |||||||
LyondellBasell Industries NV, Class A | 800 | (60,224 | ) | |||||||
MAG Silver Corp. (a) | 4,200 | (52,416 | ) | |||||||
Meta Materials, Inc. (a) | 50,150 | (32,552 | ) | |||||||
Metalla Royalty & Streaming Ltd. (a) | 3,100 | (12,028 | ) | |||||||
Mosaic Co. | 700 | (33,831 | ) | |||||||
NexGen Energy Ltd. (a) | 5,400 | (19,818 | ) | |||||||
Northern Dynasty Minerals Ltd. (a) | 21,900 | (5,346 | ) | |||||||
Nouveau Monde Graphite, Inc. (a) | 1,100 | (5,940 | ) | |||||||
Nucor Corp. | 26,500 | (2,835,235 | ) | |||||||
Nutrien Ltd. | 19,200 | (1,600,896 | ) | |||||||
Olin Corp. | 17,400 | (746,112 | ) | |||||||
Orla Mining Ltd. (a) | 3,100 | (10,106 | ) | |||||||
Owens Corning | 700 | (55,027 | ) | |||||||
Peabody Energy Corp. (a) | 53,200 | (1,320,424 | ) | |||||||
Perimeter Solutions SA | 1,100 | (8,811 | ) | |||||||
Quaker Chemical Corp. | 500 | (72,190 | ) | |||||||
Reliance Steel & Aluminum Co. | 2,200 | (383,702 | ) | |||||||
Reto Eco-solutions, Inc. (a) | 3,087 | (1,297 | ) | |||||||
Rogers Corp. (a) | 1,500 | (362,820 | ) | |||||||
RPM International, Inc. | 3,600 | (299,916 | ) | |||||||
SilverCrest Metals, Inc. (a) | 19,100 | (105,623 | ) | |||||||
Simpson Manufacturing Co., Inc. | 600 | (47,040 | ) | |||||||
SiNtx Technologies, Inc. (a) | 1,600 | (512 | ) | |||||||
Solitario Zinc Corp. (a) | 100 | (49 | ) |
See Notes to Consolidated Financial Statements.
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Security Description | Shares | Value | ||||||||
SSR Mining, Inc. | 800 | $ | (11,768 | ) | ||||||
Steel Dynamics, Inc. | 12,800 | (908,160 | ) | |||||||
Taseko Mines Ltd. | 2,400 | (2,736 | ) | |||||||
Turquoise Hill Resources Ltd. | 370 | (10,941 | ) | |||||||
UFP Industries, Inc. | 2,800 | (202,048 | ) | |||||||
United States Antimony Corp. (a) | 4,925 | (1,812 | ) | |||||||
Univar Solutions, Inc. | 100 | (2,274 | ) | |||||||
Ur-Energy, Inc. (a) | 27,300 | (29,757 | ) | |||||||
Uranium Energy Corp. (a) | 113,000 | (395,500 | ) | |||||||
Uranium Royalty Corp. (a) | 2,800 | (6,272 | ) | |||||||
Valvoline, Inc. | 700 | (17,738 | ) | |||||||
View, Inc. (a) | 14,700 | (19,698 | ) | |||||||
WD-40 Co. | 300 | (52,722 | ) | |||||||
Western Copper & Gold Corp. (a) | 2,000 | (2,540 | ) | |||||||
Westlake Corp. | 4,600 | (399,648 | ) | |||||||
Worthington Industries, Inc. | 800 | (30,512 | ) | |||||||
|
| |||||||||
(17,984,447 | ) | |||||||||
|
| |||||||||
Media — (0.5)% | ||||||||||
Acuityads Holding, Inc. (a) | 800 | (1,376 | ) | |||||||
Advantage Solutions, Inc. (a) | 4,300 | (9,159 | ) | |||||||
Altice USA, Inc. (a) | 3,500 | (20,405 | ) | |||||||
AMC Networks, Inc., Class A (a) | 600 | (12,180 | ) | |||||||
AppLovin Corp., Class A (a) | 5,300 | (103,297 | ) | |||||||
Arena Group Holdings Inc. (The) (a) | 300 | (3,930 | ) | |||||||
Blade Air Mobility, Inc. (a) | 6,300 | (25,389 | ) | |||||||
Boston Omaha Corp., Class A (a) | 900 | (20,736 | ) | |||||||
BuzzFeed, Inc. | 300 | (468 | ) | |||||||
Cargurus, Inc. | 100 | (1,417 | ) | |||||||
Cars.com, Inc. | 1,600 | (18,400 | ) | |||||||
Chicken Soup For The Soul Entertainment, Inc. (a) | 500 | (3,440 | ) | |||||||
Cinedigm Corp., Class A (a) | 28,800 | (11,370 | ) | |||||||
CuriosityStream, Inc. (a) | 2,300 | (3,358 | ) | |||||||
DISH Network Corp., Class A (a) | 9,700 | (134,151 | ) | |||||||
Dolphin Entertainment, Inc. (a) | 600 | (1,590 | ) | |||||||
Endeavor Group Holdings, Inc., Class A | 1,000 | (20,260 | ) | |||||||
Engine Gaming and Media, Inc. (a) | 900 | (507 | ) | |||||||
Enthusiast Gaming Holdings, Inc. (a) | 4,300 | (3,735 | ) | |||||||
Entravision Communications Corp., Class A | 1,200 | (4,764 | ) | |||||||
EverQuote, Inc., Class A | 300 | (2,046 | ) | |||||||
EW Scripps Co., Class A (a) | 3,600 | (40,572 | ) | |||||||
Expedia Group Inc. (a) | 2,100 | (196,749 | ) | |||||||
Focus Universal, Inc. (a) | 1,000 | (9,380 | ) | |||||||
Fox Corp., Class A | 19,600 | (601,328 | ) | |||||||
fuboTV, Inc. (a) | 37,800 | (134,190 | ) | |||||||
Gannett Co., Inc. (a) | 8,100 | (12,393 | ) | |||||||
Gray Television, Inc. | 11,100 | (158,952 | ) |
See Notes to Consolidated Financial Statements.
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September 30, 2022 (Unaudited)
Security Description | Shares | Value | ||||||||
Groupon, Inc. (a) | 8,800 | $ | (70,048 | ) | ||||||
HyreCar, Inc. | 4,600 | (4,233 | ) | |||||||
IAC, Inc. (a) | 4,000 | (221,520 | ) | |||||||
iHeartMedia, Inc., Class A (a) | 8,200 | (60,106 | ) | |||||||
Interpublic Group of Cos., Inc. (The) | 400 | (10,240 | ) | |||||||
Inuvo, Inc. (a) | 6,100 | (2,483 | ) | |||||||
iSpecimen, Inc. | 187 | (308 | ) | |||||||
IZEA Worldwide, Inc. (a) | 6,500 | (4,629 | ) | |||||||
Liberty Broadband Corp., Class C (a) | 14,300 | (1,055,340 | ) | |||||||
Liberty Media Corp-Liberty Formula One, Class A | 600 | (31,512 | ) | |||||||
Liberty Media Corp-Liberty SiriusXM, Class C | 2,900 | (109,359 | ) | |||||||
Liberty TripAdvisor Holdings, Inc., Class A (a) | 2,900 | (3,161 | ) | |||||||
Lions Gate Entertainment Corp., Class A (a) | 4,400 | (32,692 | ) | |||||||
LiveOne, Inc. (a) | 7,800 | (5,535 | ) | |||||||
Lyft, Inc., Class A (a) | 10,623 | (139,905 | ) | |||||||
Match Group, Inc. (a) | 22,300 | (1,064,825 | ) | |||||||
MediaAlpha, Inc., Class A (a) | 2,600 | (22,750 | ) | |||||||
Mobiquity Technologies, Inc. (a) | 1,000 | (1,160 | ) | |||||||
National CineMedia, Inc. | 2,500 | (1,629 | ) | |||||||
Nerdy, Inc. (a) | 4,800 | (10,128 | ) | |||||||
News Corp., Class A | 1,500 | (22,665 | ) | |||||||
Nexstar Media Group, Inc., Class A | 3,811 | (635,865 | ) | |||||||
NextPlay Technologies, Inc. (a) | 7,300 | (1,555 | ) | |||||||
Opendoor Technologies, Inc. (a) | 133,200 | (414,252 | ) | |||||||
Playstudios, Inc. | 1,400 | (4,886 | ) | |||||||
Recruiter.com Group, Inc. (a) | 700 | (854 | ) | |||||||
Remark Holdings, Inc. (a) | 35,400 | (9,416 | ) | |||||||
Reservoir Media, Inc. (a) | 1,400 | (6,832 | ) | |||||||
RumbleON, Inc., Class B (a) | 2,000 | (33,840 | ) | |||||||
Salem Media Group, Inc. (a) | 1,400 | (2,436 | ) | |||||||
Scholastic Corp. | 1,000 | (30,760 | ) | |||||||
Shaw Communications, Inc., Class B | 200 | (4,864 | ) | |||||||
Sinclair Broadcast Group, Inc., Class A | 300 | (5,427 | ) | |||||||
Skillz, Inc. | 4,700 | (4,794 | ) | |||||||
SRAX, Inc. (a) | 1,600 | (2,736 | ) | |||||||
Stagwell, Inc. (a) | 4,600 | (31,970 | ) | |||||||
Stran & Co., Inc. (a) | 3,700 | (5,217 | ) | |||||||
Take-Two Interactive Software, Inc. (a) | 13,300 | (1,449,700 | ) | |||||||
Trade Desk, Inc. (The), Class A (a) | 1,300 | (77,675 | ) | |||||||
Travelzoo (a) | 600 | (2,658 | ) | |||||||
Troika Media Group, Inc. (a) | 2,700 | (918 | ) | |||||||
Uber Technologies, Inc. (a) | 186,300 | (4,936,950 | ) | |||||||
Vacasa, Inc., Class A | 800 | (2,456 | ) | |||||||
ViacomCBS, Inc., Class B | 119,600 | (2,277,184 | ) | |||||||
Vivid Seats, Inc., Class A | 200 | (1,532 | ) | |||||||
Waitr Holdings, Inc. (a) | 58,000 | (8,468 | ) | |||||||
Walt Disney Co. (a) | 89,100 | (8,404,803 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Security Description | Shares | Value | ||||||||
Warner Bros Discovery, Inc. | 108,974 | $ | (1,253,201 | ) | ||||||
Warner Music Group Corp., Class A | 2,200 | (51,062 | ) | |||||||
Zillow Group, Inc., Class A (a) | 3,400 | (97,342 | ) | |||||||
ZW Data Action Technologies, Inc. (a) | 3,300 | (3,042 | ) | |||||||
|
| |||||||||
(24,192,465 | ) | |||||||||
|
| |||||||||
Medical Equipment & Devices — (0.0)% | ||||||||||
PetVivo Holdings, Inc. (a) | 600 | (1,152 | ) | |||||||
|
| |||||||||
Metals & Mining — (0.0)% | ||||||||||
Standard Lithium Ltd. (a) | 3,700 | (16,021 | ) | |||||||
|
| |||||||||
Oil & Gas — (0.5)% | ||||||||||
Antero Midstream Corp. | 9,800 | (89,964 | ) | |||||||
APA Corp. | 3,500 | (119,665 | ) | |||||||
Archrock, Inc. | 700 | (4,494 | ) | |||||||
Aris Water Solution, Inc., Class A | 1,100 | (14,036 | ) | |||||||
California Resources Corp. | 8,200 | (315,126 | ) | |||||||
Callon Petroleum Co. (a) | 10,600 | (371,106 | ) | |||||||
Camber Energy, Inc. (a) | 188,400 | (36,738 | ) | |||||||
Canadian Natural Resources Ltd. | 200 | (9,314 | ) | |||||||
Cenovus Energy, Inc. | 1,100 | (16,907 | ) | |||||||
ChampionX Corp. | 2,400 | (46,968 | ) | |||||||
Chevron Corp. (c) | 6,472 | (929,832 | ) | |||||||
Chord Energy Corp. | 130 | (17,780 | ) | |||||||
Civitas Resources, Inc. | 1,600 | (91,824 | ) | |||||||
ConocoPhillips | 13,600 | (1,391,824 | ) | |||||||
Continental Resources, Inc. | 10,700 | (714,867 | ) | |||||||
Coterra Energy, Inc. | 118,500 | (3,095,220 | ) | |||||||
Crescent Energy, Inc., Class A | 5,220 | (70,313 | ) | |||||||
Denbury, Inc. (a) | 5,300 | (457,178 | ) | |||||||
Devon Energy Corp. | 20,383 | (1,225,630 | ) | |||||||
Diamond Offshore Drilling, Inc. (a) | 4,200 | (27,846 | ) | |||||||
DMC Global, Inc. (a) | 300 | (4,794 | ) | |||||||
DTE Midstream LLC | 4,300 | (223,127 | ) | |||||||
Enbridge, Inc. | 42,100 | (1,561,910 | ) | |||||||
EOG Resources, Inc. | 1,800 | (201,114 | ) | |||||||
Equitrans Midstream Corp. | 43,200 | (323,136 | ) | |||||||
Excelerate Energy, Inc., Class A | 1,300 | (30,420 | ) | |||||||
Expro Group Holdings NV (a) | 8,500 | (108,290 | ) | |||||||
Exxon Mobil Corp. | 36,509 | (3,187,601 | ) | |||||||
EzFill Holdings, Inc. (a) | 400 | (246 | ) | |||||||
Gulfport Energy Operating Corp. (a) | 800 | (70,632 | ) | |||||||
Hess Corp. | 11,600 | (1,264,284 | ) | |||||||
Kinder Morgan, Inc. | 400 | (6,656 | ) | |||||||
KLX Energy Services Holdings, Inc. (a) | 4,000 | (32,920 | ) | |||||||
Laredo Petroleum, Inc. (a) | 6,250 | (392,813 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Security Description | Shares | Value | ||||||||
Liberty Oilfield Services, Inc., Class A (a) | 200 | $ | (2,536 | ) | ||||||
Matador Resources Co. | 1,200 | (58,704 | ) | |||||||
NextDecade Corp. | 100 | (602 | ) | |||||||
Noble Corp. plc | 800 | (23,664 | ) | |||||||
Northern Oil and Gas, Inc. | 290 | (7,949 | ) | |||||||
NOV, Inc. | 1,700 | (27,506 | ) | |||||||
ONEOK, Inc. | 22,400 | (1,147,776 | ) | |||||||
Par Pacific Holdings, Inc. (a) | 2,900 | (47,589 | ) | |||||||
PEDEVCO Corp. (a) | 300 | (303 | ) | |||||||
Pembina Pipeline Corp. | 14,600 | (443,402 | ) | |||||||
Phillips 66 | 4,600 | (371,312 | ) | |||||||
RPC, Inc. | 1,200 | (8,316 | ) | |||||||
SandRidge Energy, Inc. | 100 | (1,631 | ) | |||||||
Schlumberger NV | 8,000 | (287,200 | ) | |||||||
SilverBow Resources, Inc. | 200 | (5,376 | ) | |||||||
Sino-Global Shipping America Ltd. (a) | 2,400 | (6,000 | ) | |||||||
Superior Drilling Products, Inc. (a) | 700 | (469 | ) | |||||||
Targa Resources Corp. | 800 | (48,272 | ) | |||||||
TC Energy Corp. | 25,100 | (1,011,279 | ) | |||||||
TransGlobe Energy Corp. (a) | 1,100 | (2,948 | ) | |||||||
US Energy Corp. | 100 | (292 | ) | |||||||
US Well Services, Inc. | 3,433 | (17,405 | ) | |||||||
Vertex Energy, Inc. (a) | 27,900 | (173,817 | ) | |||||||
Williams Cos., Inc. | 108,700 | (3,112,081 | ) | |||||||
|
| |||||||||
(23,261,004 | ) | |||||||||
|
| |||||||||
Real Estate — (0.6)% | ||||||||||
Acadia Realty Trust | 4,900 | (61,838 | ) | |||||||
Alexandria Real Estate Equities, Inc. | 7,900 | (1,107,501 | ) | |||||||
Alset EHome International, Inc. | 23,000 | (5,893 | ) | |||||||
American Tower Corp. | 800 | (171,760 | ) | |||||||
Americold Realty Trust | 32,400 | (797,040 | ) | |||||||
Anywhere Real Estate, Inc. | 2,400 | (19,464 | ) | |||||||
Apartment Income REIT Corp. | 200 | (7,724 | ) | |||||||
Apple Hospitality REIT, Inc. | 1,200 | (16,872 | ) | |||||||
Ashford Hospitality Trust, Inc. (a) | 10,100 | (68,781 | ) | |||||||
Boston Properties, Inc. | 13,600 | (1,019,592 | ) | |||||||
Brandywine Realty Trust | 4,700 | (31,725 | ) | |||||||
Brixmor Property Group, Inc. | 1,500 | (27,705 | ) | |||||||
CBL & Associates Properties, Inc. | 400 | (10,244 | ) | |||||||
CBRE Group, Inc., Class A (a) | 11,900 | (803,369 | ) | |||||||
Colliers International Group, Inc. | 200 | (18,332 | ) | |||||||
Corporate Office Properties Trust | 3,200 | (74,336 | ) | |||||||
Cousins Properties, Inc. | 198 | (4,623 | ) | |||||||
Cushman & Wakefield plc (a) | 2,300 | (26,335 | ) | |||||||
DiamondRock Hospitality Co. | 21,200 | (159,212 | ) | |||||||
Digital Realty Trust, Inc. | 300 | (29,754 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Security Description | Shares | Value | ||||||||
Douglas Elliman, Inc. | 1,300 | $ | (5,330 | ) | ||||||
Douglas Emmett, Inc. | 700 | (12,551 | ) | |||||||
Duke Realty Corp. | 11,100 | (535,020 | ) | |||||||
Easterly Government Properties, Inc. | 300 | (4,731 | ) | |||||||
Empire State Realty Trust, Inc. | 25,200 | (165,312 | ) | |||||||
EPR Properties | 200 | (7,172 | ) | |||||||
Equity Residential | 4,100 | (275,602 | ) | |||||||
Fathom Holdings, Inc. (a) | 800 | (4,240 | ) | |||||||
Federal Realty OP LP | 5,100 | (459,612 | ) | |||||||
Franklin Street Properties Corp. | 200 | (526 | ) | |||||||
Global Net Lease, Inc. | 200 | (2,130 | ) | |||||||
Harbor Custom Development, Inc. (a) | 713 | (627 | ) | |||||||
Healthcare Realty Trust, Inc., Class A | 57,500 | (1,198,875 | ) | |||||||
Healthpeak Properties, Inc. | 4,800 | (110,016 | ) | |||||||
Highwoods Properties, Inc. | 800 | (21,568 | ) | |||||||
Host Hotels & Resorts, Inc. | 168,700 | (2,678,956 | ) | |||||||
Howard Hughes Corp. (The) (a) | 2,000 | (110,780 | ) | |||||||
Hudson Pacific Properties, Inc. | 400 | (4,380 | ) | |||||||
Independence Realty Trust, Inc. | 200 | (3,346 | ) | |||||||
InvenTrust Properties Corp. | 4,000 | (85,320 | ) | |||||||
Invitation Homes, Inc. | 9,100 | (307,307 | ) | |||||||
Iron Mountain, Inc. | 100 | (4,397 | ) | |||||||
iStar, Inc. | 200 | (1,852 | ) | |||||||
JBG SMITH Properties | 200 | (3,716 | ) | |||||||
Jones Lang LaSalle, Inc. (a) | 1,300 | (196,391 | ) | |||||||
Kennedy-Wilson Holdings, Inc. | 600 | (9,276 | ) | |||||||
Kilroy Realty Corp. | 600 | (25,266 | ) | |||||||
Kimco Realty Corp. | 68,700 | (1,264,767 | ) | |||||||
Kite Realty Group Trust | 17,800 | (306,516 | ) | |||||||
Macerich Co. | 6,800 | (53,992 | ) | |||||||
Medical Properties Trust, Inc. | 4,500 | (53,370 | ) | |||||||
Necessity Retail REIT, Inc. | 3,300 | (19,404 | ) | |||||||
Newmark Group, Inc., Class A | 1,300 | (10,478 | ) | |||||||
Offerpad Solutions, Inc. (a) | 10,200 | (12,342 | ) | |||||||
Office Properties Income Trust | 1,200 | (16,860 | ) | |||||||
Orion Office REIT, Inc. | 5,200 | (45,500 | ) | |||||||
Outfront Media, Inc. | 47,500 | (721,525 | ) | |||||||
Paramount Group, Inc. | 1,600 | (9,968 | ) | |||||||
Piedmont Office Realty Trust, Inc., Class A | 100 | (1,056 | ) | |||||||
PotlatchDeltic Corp. | 3,921 | (160,918 | ) | |||||||
Prologis, Inc. | 5,272 | (535,686 | ) | |||||||
Rayonier, Inc. | 2,500 | (74,925 | ) | |||||||
Realty Income Corp. | 12,800 | (744,960 | ) | |||||||
Regency Centers Corp. | 12,400 | (667,740 | ) | |||||||
Rexford Industrial Realty, Inc. | 300 | (15,600 | ) | |||||||
RPT Realty | 200 | (1,512 | ) | |||||||
Ryman Hospitality Properties, Inc. | 2,700 | (198,693 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Security Description | Shares | Value | ||||||||
Sabra Health Care REIT, Inc. | 1,400 | $ | (18,368 | ) | ||||||
Saul Centers, Inc. | 200 | (7,500 | ) | |||||||
Simon Property Group, Inc. | 16,800 | (1,507,800 | ) | |||||||
SITE Centers Corp. | 1,600 | (17,136 | ) | |||||||
SL Green Realty Corp. | 12,251 | (492,000 | ) | |||||||
STORE Capital Corp. | 3,800 | (119,054 | ) | |||||||
Sun Communities, Inc. | 400 | (54,132 | ) | |||||||
Sunstone Hotel Investors, Inc. | 17,400 | (163,908 | ) | |||||||
Tanger Factory Outlet Centers, Inc. | 8,900 | (121,752 | ) | |||||||
Tricon Residential, Inc. | 3,100 | (26,815 | ) | |||||||
UDR, Inc. | 2,700 | (112,617 | ) | |||||||
Uniti Group, Inc. | 2,600 | (18,070 | ) | |||||||
Urban Edge Properties | 4,400 | (58,696 | ) | |||||||
Urstadt Biddle Properties, Inc., Class A | 900 | (13,959 | ) | |||||||
Ventas, Inc. | 26,638 | (1,070,049 | ) | |||||||
VICI Properties, Inc. | 144,073 | (4,300,579 | ) | |||||||
Vornado Realty Trust | 29,000 | (671,640 | ) | |||||||
Washington Real Estate Investment Trust | 5,800 | (101,848 | ) | |||||||
Welltower, Inc. | 29,400 | (1,891,008 | ) | |||||||
Weyerhaeuser Co. | 48,900 | (1,396,584 | ) | |||||||
Xenia Hotels & Resorts, Inc. | 900 | (12,411 | ) | |||||||
|
| |||||||||
(27,788,137 | ) | |||||||||
|
| |||||||||
Renewable Energy — (0.2)% | ||||||||||
Advent Technologies Holdings, Inc. (a) | 12,400 | (37,944 | ) | |||||||
Ameresco, Inc., Class A (a) | 3,600 | (239,328 | ) | |||||||
Archaea Energy, Inc. (a) | 14,800 | (266,548 | ) | |||||||
Array Technologies, Inc. (a) | 44,700 | (741,126 | ) | |||||||
Beam Global (a) | 300 | (3,660 | ) | |||||||
Broadwind, Inc. (a) | 2,500 | (7,550 | ) | |||||||
Cleanspark, Inc. (a) | 14,500 | (46,110 | ) | |||||||
Comstock Mining, Inc. (a) | 7,300 | (3,066 | ) | |||||||
Energy Vault Holdings, Inc. | 1,300 | (6,864 | ) | |||||||
Eos Energy Enterprises, Inc. (a) | 22,000 | (36,740 | ) | |||||||
ESS Tech, Inc. (a) | 19,700 | (80,573 | ) | |||||||
First Solar, Inc. (a) | 5,600 | (740,712 | ) | |||||||
Fluence Energy, Inc. (a) | 19,600 | (285,964 | ) | |||||||
Flux Power Holdings, Inc. (a) | 600 | (1,536 | ) | |||||||
Green Plains, Inc. (a) | 11,500 | (334,305 | ) | |||||||
Heliogen, Inc. (a) | 4,200 | (7,812 | ) | |||||||
iSun, Inc. (a) | 1,700 | (3,757 | ) | |||||||
Maxeon Solar Technologies Ltd. (a) | 2,200 | (52,294 | ) | |||||||
Montauk Renewables, Inc. (a) | 800 | (13,952 | ) | |||||||
Shoals Technologies Group, Inc., Class A (a) | 23,600 | (508,580 | ) | |||||||
SolarEdge Technologies, Inc. (a) | 7,700 | (1,782,242 | ) | |||||||
Stem, Inc. (a) | 6,000 | (80,040 | ) |
See Notes to Consolidated Financial Statements.
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Security Description | Shares | Value | ||||||||
Sunnova Energy International, Inc. (a) | 2,200 | $ | (48,576 | ) | ||||||
Sunrun, Inc. (a) | 56,315 | (1,553,731 | ) | |||||||
Sunworks, Inc. (a) | 12,100 | (33,759 | ) | |||||||
|
| |||||||||
(6,916,769 | ) | |||||||||
|
| |||||||||
Retail & Wholesale—Discretionary — (0.4)% | ||||||||||
1stdibs.com, Inc. (a) | 2,100 | (13,209 | ) | |||||||
Academy Sports & Outdoors, Inc. | 28,100 | (1,185,258 | ) | |||||||
Advance Auto Parts, Inc. | 4,500 | (703,530 | ) | |||||||
aka Brands Holding Corp. (a) | 3,900 | (5,655 | ) | |||||||
American Eagle Outfitters, Inc. | 19,000 | (184,870 | ) | |||||||
Asbury Automotive Group, Inc. (a) | 500 | (75,550 | ) | |||||||
AutoNation, Inc. | 400 | (40,748 | ) | |||||||
BARK, Inc. (a) | 2,800 | (5,096 | ) | |||||||
Bath & Body Works, Inc. | 3,200 | (104,320 | ) | |||||||
Beacon Roofing Supply, Inc. (a) | 4,300 | (235,296 | ) | |||||||
Best Buy Co., Inc. | 16,200 | (1,026,108 | ) | |||||||
Birks Group, Inc. | 200 | (1,048 | ) | |||||||
Boot Barn Holdings, Inc. | 10 | (584 | ) | |||||||
Builders FirstSource, Inc. (a) | 28,900 | (1,702,788 | ) | |||||||
Burlington Stores, Inc. (a) | 13,800 | (1,544,082 | ) | |||||||
Caleres, Inc. | 800 | (19,376 | ) | |||||||
CarLotz, Inc., Class A (a) | 17,200 | (5,160 | ) | |||||||
CarMax, Inc. (a) | 2,500 | (165,050 | ) | |||||||
CarParts.com, Inc. (a) | 3,200 | (16,544 | ) | |||||||
Carvana Co. (a) | 39,100 | (793,730 | ) | |||||||
Cato Corp., Class A | 300 | (2,862 | ) | |||||||
Children’s Place, Inc. (a) | 600 | (18,534 | ) | |||||||
Dick’s Sporting Goods, Inc. | 200 | (20,928 | ) | |||||||
Digital Brands Group, Inc. (a) | 19,800 | (1,861 | ) | |||||||
Driven Brands Holdings, Inc. (a) | 800 | (22,384 | ) | |||||||
eBay, Inc. | 2,600 | (95,706 | ) | |||||||
EVgo, Inc. (a) | 13,600 | (107,576 | ) | |||||||
Floor & Decor Holdings, Inc., Class A (a) | 7,100 | (498,846 | ) | |||||||
Foot Locker, Inc. | 600 | (18,678 | ) | |||||||
Franchise Group, Inc. | 100 | (2,430 | ) | |||||||
Gap, Inc. | 6,900 | (56,649 | ) | |||||||
Genuine Parts Co. | 200 | (29,864 | ) | |||||||
GMS, Inc. (a) | 100 | (4,001 | ) | |||||||
Group 1 Automotive, Inc. | 200 | (28,574 | ) | |||||||
GrowGeneration Corp. (a) | 2,600 | (9,100 | ) | |||||||
Hertz Global Holdings, Inc. (a) | 53,200 | (866,096 | ) | |||||||
Hibbett, Inc. | 400 | (19,924 | ) | |||||||
Home Depot, Inc. (The) | 100 | (27,594 | ) | |||||||
Hour Loop, Inc. (a) | 4,000 | (10,440 | ) | |||||||
IAA, Inc. | 100 | (3,185 | ) | |||||||
iPower, Inc. (a) | 800 | (537 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Security Description | Shares | Value | ||||||||
JOANN, Inc. | 3,400 | $ | (22,508 | ) | ||||||
KAR Auction Services, Inc. (a) | 10,300 | (115,051 | ) | |||||||
Kohl’s Corp. | 21,200 | (533,180 | ) | |||||||
Leslie’s, Inc. (a) | 10,300 | (151,513 | ) | |||||||
Lithia Motors, Inc., Class A | 3,900 | (836,745 | ) | |||||||
LKQ Corp. | 16,400 | (773,260 | ) | |||||||
LL Flooring Holdings, Inc. (a) | 400 | (2,772 | ) | |||||||
Lowe’s Cos., Inc. | 1,600 | (300,496 | ) | |||||||
Lulu’s Fashion Lounge Holdings, Inc. (a) | 1,600 | (7,456 | ) | |||||||
Lululemon Athletica, Inc. (a) | 300 | (83,868 | ) | |||||||
MarineMax, Inc. (a) | 2,300 | (68,517 | ) | |||||||
Mister Car Wash, Inc. (a) | 1,400 | (12,012 | ) | |||||||
National Vision Holdings, Inc. (a) | 600 | (19,590 | ) | |||||||
Newegg Commerce, Inc. (a) | 18,200 | (42,588 | ) | |||||||
NovaBay Pharmaceuticals, Inc. (a) | 5,100 | (561 | ) | |||||||
Polished.com, Inc. (a) | 30,100 | (15,658 | ) | |||||||
Pool Corp. | 4,400 | (1,400,124 | ) | |||||||
RH | 1,500 | (369,105 | ) | |||||||
Ross Stores, Inc. | 16,000 | (1,348,320 | ) | |||||||
Rover Group, Inc. (a) | 8,700 | (29,058 | ) | |||||||
Shift Technologies, Inc. (a) | 12,400 | (8,681 | ) | |||||||
Signet Jewelers Ltd. | 8,000 | (457,520 | ) | |||||||
Sleep Number Corp. (a) | 5,100 | (172,431 | ) | |||||||
Solo Brands, Inc., Class A | 300 | (1,140 | ) | |||||||
Sportsman’s Warehouse Holdings, Inc. (a) | 7,100 | (58,930 | ) | |||||||
Takung Art Co., Ltd. (a) | 3,800 | (3,952 | ) | |||||||
ThredUp, Inc., Class A (a) | 1,400 | (2,576 | ) | |||||||
Tilly’s, Inc., Class A | 800 | (5,536 | ) | |||||||
TJX Cos., Inc. | 20,000 | (1,242,400 | ) | |||||||
Tuesday Morning Corp. (a) | 17,800 | (2,147 | ) | |||||||
Victoria’s Secret & Co. (a) | 9,200 | (267,904 | ) | |||||||
Vroom, Inc. (a) | 51,100 | (59,276 | ) | |||||||
Williams-Sonoma, Inc. | 3,900 | (459,615 | ) | |||||||
|
| |||||||||
(18,548,261 | ) | |||||||||
|
| |||||||||
Retail & Wholesale—Staples — (0.2)% | ||||||||||
Albertsons Cos., Inc., Class A | 700 | (17,402 | ) | |||||||
Andersons, Inc. (The) | 1,100 | (34,133 | ) | |||||||
Archer-Daniels-Midland Co. | 36,200 | (2,912,290 | ) | |||||||
Big Lots, Inc. | 10,700 | (167,027 | ) | |||||||
Calavo Growers, Inc. | 100 | (3,175 | ) | |||||||
Costco Wholesale Corp. | 5,000 | (2,361,350 | ) | |||||||
Dollar General Corp. | 1,400 | (335,804 | ) | |||||||
Dollar Tree, Inc. (a) | 30,700 | (4,178,270 | ) | |||||||
Five Below, Inc. (a) | 4,000 | (550,680 | ) | |||||||
HF Foods Group, Inc. (a) | 500 | (1,935 | ) |
See Notes to Consolidated Financial Statements.
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September 30, 2022 (Unaudited)
Security Description | Shares | Value | ||||||||
SpartanNash Co. | 200 | $ | (5,804 | ) | ||||||
Sysco Corp. | 9,500 | (671,745 | ) | |||||||
United Natural Foods, Inc. (a) | 5,200 | (178,724 | ) | |||||||
|
| |||||||||
(11,418,339 | ) | |||||||||
|
| |||||||||
Retail & Wholesale—Staples — (0.3)% | ||||||||||
BJ’s Wholesale Club Holdings, Inc. (a) | 1,900 | (138,339 | ) | |||||||
Bunge Ltd. | 17,000 | (1,403,690 | ) | |||||||
Ingles Markets, Inc., Class A | 100 | (7,921 | ) | |||||||
MedAvail Holdings, Inc. (a) | 2,500 | (1,940 | ) | |||||||
Mission Produce, Inc. (a) | 1,400 | (20,244 | ) | |||||||
Performance Food Group Co. (a) | 22,000 | (944,900 | ) | |||||||
US Foods Holding Corp. (a) | 5,800 | (153,352 | ) | |||||||
Walgreens Boots Alliance, Inc. | 2,800 | (87,920 | ) | |||||||
Walmart, Inc. | 87,900 | (11,400,630 | ) | |||||||
|
| |||||||||
(14,158,936 | ) | |||||||||
|
| |||||||||
Retail—Discretionary — (0.0)% | ||||||||||
Warby Parker, Inc., Class A (a) | 1,300 | (17,342 | ) | |||||||
|
| |||||||||
Software — (0.0)% | ||||||||||
Gitlab, Inc., Class A (a) | 12,700 | (650,494 | ) | |||||||
|
| |||||||||
Software & Technology Services — (0.5)% | ||||||||||
1Life Healthcare, Inc. (a) | 1,300 | (22,295 | ) | |||||||
ACV Auctions, Inc., Class A | 1,700 | (12,223 | ) | |||||||
Affirm Holdings, Inc. (a) | 43,500 | (816,060 | ) | |||||||
Akamai Technologies, Inc. | 200 | (16,064 | ) | |||||||
Akerna Corp. (a) | 29,700 | (2,673 | ) | |||||||
Alfi, Inc. (a) | 1,400 | (1,372 | ) | |||||||
Alignment Healthcare, Inc. (a) | 400 | (4,736 | ) | |||||||
Alithya Group, Inc., Class A (a) | 300 | (579 | ) | |||||||
Alkami Technology, Inc. (a) | 800 | (12,040 | ) | |||||||
Amplitude, Inc., Class A (a) | 700 | (10,829 | ) | |||||||
Apollo Medical Holdings, Inc. | 300 | (11,700 | ) | |||||||
Aspen Technology, Inc. | 400 | (95,280 | ) | |||||||
Auddia, Inc. (a) | 700 | (931 | ) | |||||||
Avalara, Inc. | 32,700 | (3,001,860 | ) | |||||||
AvePoint, Inc. (a) | 6,000 | (24,060 | ) | |||||||
AvidXchange Holdings, Inc. (a) | 7,800 | (65,676 | ) | |||||||
Backblaze, Inc., Class A (a) | 500 | (2,485 | ) | |||||||
Bakkt Holdings, Inc. (a) | 28,200 | (64,296 | ) | |||||||
Benefitfocus, Inc. | 500 | (3,175 | ) | |||||||
Bill.com Holdings, Inc. (a) | 18,900 | (2,501,793 | ) | |||||||
Black Knight, Inc. (a) | 2,900 | (187,717 | ) | |||||||
Blend Labs, Inc., Class A (a) | 35,800 | (79,118 | ) | |||||||
Block, Inc., Class A (a) | 20,300 | (1,116,297 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Security Description | Shares | Value | ||||||||
BM Technologies, Inc. (a) | 700 | $ | (4,683 | ) | ||||||
Braze, Inc., Class A (a) | 1,100 | (38,313 | ) | |||||||
BSQUARE Corp. (a) | 600 | (696 | ) | |||||||
Cantaloupe, Inc. (a) | 1,300 | (4,524 | ) | |||||||
CareCloud, Inc. (a) | 800 | (3,344 | ) | |||||||
CCC Intelligent Solutions Holdings, Inc. (a) | 4,800 | (43,680 | ) | |||||||
Cerberus Cyber Sentinel Corp. (a) | 3,200 | (9,440 | ) | |||||||
Ceridian HCM Holding, Inc. | 500 | (27,940 | ) | |||||||
CGI, Inc. | 1,100 | (82,764 | ) | |||||||
Cipher Mining, Inc. (a) | 5,500 | (6,930 | ) | |||||||
Clarivate plc (a) | 83,900 | (787,821 | ) | |||||||
Clearwater Analytics Holdings, Inc., Class A (a) | 6,700 | (112,493 | ) | |||||||
Concentrix Corp. | 2,500 | (279,075 | ) | |||||||
Consensus Cloud Solutions, Inc. (a) | 400 | (18,920 | ) | |||||||
ContextLogic, Inc., Class A (a) | 77,000 | (56,510 | ) | |||||||
Convey Health Solutions Holdings, Inc. (a) | 2,100 | (22,071 | ) | |||||||
Core Scientific, Inc., Class A | 10,300 | (13,390 | ) | |||||||
Couchbase, Inc. (a) | 3,100 | (44,237 | ) | |||||||
CS Disco, Inc. (a) | 3,500 | (35,000 | ) | |||||||
CYNGN, Inc. (a) | 1,300 | (1,294 | ) | |||||||
DarioHealth Corp. (a) | 3,900 | (18,057 | ) | |||||||
Data Storage Corp. (a) | 200 | (408 | ) | |||||||
DatChat, Inc. (a) | 4,376 | (3,151 | ) | |||||||
Definitive Healthcare Corp. (a) | 2,900 | (45,066 | ) | |||||||
Doximity, Inc., Class A (a) | 4,300 | (129,946 | ) | |||||||
DSS, Inc. (a) | 6,700 | (1,715 | ) | |||||||
Dun & Bradstreet Holdings, Inc. | 18,400 | (227,976 | ) | |||||||
DXC Technology Co. (a) | 10,500 | (257,040 | ) | |||||||
E2open Parent Holdings, Inc. (a) | 26,300 | (159,641 | ) | |||||||
Elys Game Technology Corp. (a) | 3,200 | (1,520 | ) | |||||||
Enfusion, Inc., Class A (a) | 2,700 | (33,318 | ) | |||||||
EngageSmart, Inc. (a) | 3,500 | (72,415 | ) | |||||||
EPAM Systems, Inc. (a) | 3,600 | (1,303,884 | ) | |||||||
Equifax, Inc. | 100 | (17,143 | ) | |||||||
EverCommerce, Inc. (a) | 2,600 | (28,418 | ) | |||||||
Exela Technologies, Inc. | 23,975 | (10,863 | ) | |||||||
Expensify, Inc. (a) | 300 | (4,464 | ) | |||||||
Faraday Future Intelligent Electric, Inc. (a) | 97,600 | (62,093 | ) | |||||||
Fidelity National Information Services, Inc. | 16,300 | (1,231,791 | ) | |||||||
Five9, Inc. (a) | 13,300 | (997,234 | ) | |||||||
ForgeRock, Inc., Class A (a) | 6,900 | (100,257 | ) | |||||||
Freshworks, Inc., Class A (a) | 1,500 | (19,455 | ) | |||||||
Genius Brands International, Inc. (a) | 58,100 | (34,941 | ) | |||||||
Glimpse Group, Inc. (The) (a) | 2,400 | (12,696 | ) | |||||||
Global Payments, Inc. | 19,400 | (2,096,170 | ) | |||||||
Globant SA (a) | 2,300 | (430,284 | ) | |||||||
GreenBox POS (a) | 7,400 | (7,215 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Security Description | Shares | Value | ||||||||
Greenidge Generation Holdings, Inc. (a) | 4,900 | $ | (9,800 | ) | ||||||
HealthEquity, Inc. (a) | 300 | (20,151 | ) | |||||||
HireRight Holdings Corp. | 400 | (6,104 | ) | |||||||
Hive Blockchain Technologies Ltd. (a) | 20,180 | (75,877 | ) | |||||||
Hut 8 Mining Corp. (a) | 63,300 | (112,674 | ) | |||||||
Informatica, Inc., Class A (a) | 7,600 | (152,532 | ) | |||||||
Inpixon | 43 | (376 | ) | |||||||
Inpixon (a) | 3,200 | (394 | ) | |||||||
Intapp, Inc. (a) | 1,300 | (24,271 | ) | |||||||
Intrusion, Inc. (a) | 1,000 | (4,820 | ) | |||||||
IronNet, Inc. (a) | 18,900 | (13,022 | ) | |||||||
John Wiley & Sons, Inc., Class A | 300 | (11,268 | ) | |||||||
Kaltura, Inc. | 100 | (220 | ) | |||||||
Katapult Holdings, Inc. (a) | 13,400 | (12,865 | ) | |||||||
KBR, Inc. | 100 | (4,322 | ) | |||||||
Kyndryl Holdings, Inc. (a) | 6,200 | (51,274 | ) | |||||||
Latch, Inc. (a) | 4,500 | (4,291 | ) | |||||||
Lightspeed Commerce, Inc. (a) | 2,700 | (47,466 | ) | |||||||
LiveVox Holdings, Inc. (a) | 2,600 | (7,670 | ) | |||||||
Marathon Digital Holdings, Inc. (a) | 43,200 | (462,672 | ) | |||||||
MarketWise, Inc. (a) | 1,300 | (2,964 | ) | |||||||
Marygold Cos., Inc. (The) (a) | 500 | (625 | ) | |||||||
Matterport, Inc. (a) | 6,700 | (25,393 | ) | |||||||
MeridianLink, Inc. (a) | 1,500 | (24,420 | ) | |||||||
MongoDB, Inc. (a) | 2,000 | (397,120 | ) | |||||||
Multiplan Corp. (a) | 13,000 | (37,180 | ) | |||||||
N-able, Inc. (a) | 5,200 | (47,996 | ) | |||||||
NantHealth, Inc. (a) | 1,500 | (370 | ) | |||||||
Nielsen Holdings plc | 6,300 | (174,636 | ) | |||||||
OLB Group, Inc. (The) (a) | 200 | (212 | ) | |||||||
Outset Medical, Inc. (a) | 400 | (6,372 | ) | |||||||
Paya Holdings, Inc. (a) | 7,400 | (45,214 | ) | |||||||
Paycor HCM, Inc. (a) | 5,800 | (171,448 | ) | |||||||
Pear Therapeutics, Inc. | 2,000 | (4,080 | ) | |||||||
Porch Group, Inc. (a) | 1,200 | (2,700 | ) | |||||||
PowerSchool Holdings, Inc., Class A (a) | 5,800 | (96,802 | ) | |||||||
Priority Technology Holdings, Inc. (a) | 200 | (902 | ) | |||||||
PubMatic, Inc., Class A (a) | 1,900 | (31,597 | ) | |||||||
Q2 Holdings, Inc. (a) | 2,800 | (90,160 | ) | |||||||
Quantum Computing, Inc. (a) | 5,400 | (13,554 | ) | |||||||
Red Cat Holdings, Inc. (a) | 5,400 | (9,018 | ) | |||||||
Repay Holdings Corp. (a) | 2,600 | (18,356 | ) | |||||||
Riot Blockchain, Inc. (a) | 57,100 | (400,271 | ) | |||||||
S&P Global, Inc. | 1,988 | (607,036 | ) | |||||||
Samsara, Inc., Class A (a) | 9,700 | (117,079 | ) | |||||||
Seachange International, Inc. (a) | 7,100 | (3,053 | ) | |||||||
SentinelOne, Inc., Class A (a) | 1,300 | (33,228 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Security Description | Shares | Value | ||||||||
Sharecare, Inc. (a) | 32,900 | $ | (62,510 | ) | ||||||
Sharplink Gaming Ltd. (a) | 1,800 | (1,593 | ) | |||||||
Shift4 Payments, Inc., Class A (a) | 10,400 | (463,944 | ) | |||||||
Skillsoft Corp. (a) | 4,300 | (7,869 | ) | |||||||
Smith Micro Software, Inc. (a) | 100 | (226 | ) | |||||||
SoundHound AI, Inc., Class A | 2,800 | (9,184 | ) | |||||||
Sphere 3D Corp. (a) | 19,800 | (8,712 | ) | |||||||
Spire Global, Inc. (a) | 4,200 | (4,536 | ) | |||||||
Splunk, Inc. | 300 | (22,560 | ) | |||||||
Sprinklr, Inc., Class A (a) | 4,100 | (37,802 | ) | |||||||
SurgePays, Inc. | 1,000 | (4,550 | ) | |||||||
Synchronoss Technologies, Inc. (a) | 4,000 | (4,560 | ) | |||||||
Talkspace, Inc. (a) | 5,300 | (5,459 | ) | |||||||
Thomson Reuters Corp. | 2,700 | (277,074 | ) | |||||||
Thoughtworks Holding, Inc. (a) | 8,400 | (88,116 | ) | |||||||
Toast, Inc., Class A (a) | 31,500 | (526,680 | ) | |||||||
TransUnion | 700 | (41,643 | ) | |||||||
TRxADE HEALTH, Inc. (a) | 600 | (678 | ) | |||||||
Unisys Corp. (a) | 1,900 | (14,345 | ) | |||||||
Upland Software, Inc. (a) | 100 | (813 | ) | |||||||
UserTesting, Inc. (a) | 4,400 | (17,248 | ) | |||||||
Usio, Inc. (a) | 200 | (260 | ) | |||||||
Verb Technology Co., Inc. (a) | 26,200 | (12,314 | ) | |||||||
Verint Systems, Inc. | 400 | (13,432 | ) | |||||||
Veritone, Inc. (a) | 1,900 | (10,697 | ) | |||||||
Vertex, Inc., Class A (a) | 400 | (5,468 | ) | |||||||
Viant Technology, Inc., Class A (a) | 1,500 | (6,315 | ) | |||||||
Vislink Technologies, Inc. (a) | 7,400 | (3,140 | ) | |||||||
Weave Communications, Inc. (a) | 900 | (4,545 | ) | |||||||
Wejo Group Ltd. (a) | 5,500 | (5,995 | ) | |||||||
WEX, Inc. | 200 | (25,388 | ) | |||||||
WM Technology, Inc. (a) | 1,800 | (2,898 | ) | |||||||
|
| |||||||||
(22,027,954 | ) | |||||||||
|
| |||||||||
Tech Hardware & Semiconductors — (0.3)% | ||||||||||
ACM Research, Inc., Class A (a) | 2,000 | (24,920 | ) | |||||||
ADTRAN Holdings, Inc. | 3,300 | (64,614 | ) | |||||||
Advanced Micro Devices, Inc. (a) | 14,800 | (937,728 | ) | |||||||
Aehr Test Systems | 1,200 | (16,920 | ) | |||||||
Airspan Networks Holdings, Inc. (a) | 400 | (808 | ) | |||||||
AmpliTech Group, Inc. (a) | 700 | (1,288 | ) | |||||||
Arrow Electronics, Inc. (a) | 200 | (18,438 | ) | |||||||
Arteris, Inc. (a) | 900 | (5,994 | ) | |||||||
authID, Inc. (a) | 620 | (1,792 | ) | |||||||
Boxlight Corp., Class A (a) | 8,300 | (5,146 | ) | |||||||
Charge Enterprises, Inc. | 2,800 | (4,928 | ) | |||||||
Ciena Corp. (a) | 6,300 | (254,709 | ) |
See Notes to Consolidated Financial Statements.
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Security Description | Shares | Value | ||||||||
Clearfield, Inc. | 1,400 | $ | (146,496 | ) | ||||||
Coherent Corp. | 3,900 | (135,915 | ) | |||||||
Cohu, Inc. (a) | 3,800 | (97,964 | ) | |||||||
ComSovereign Holding Corp. (a) | 21,000 | (1,613 | ) | |||||||
Corsair Gaming, Inc. (a) | 12,500 | (141,875 | ) | |||||||
Credo Technology Group Holding Ltd. (a) | 6,300 | (69,300 | ) | |||||||
Cricut, Inc., Class A | 2,300 | (21,298 | ) | |||||||
CTS Corp. | 300 | (12,495 | ) | |||||||
Dell Technologies, Inc., Class C | 3,500 | (119,595 | ) | |||||||
Desktop Metal, Inc., Class A (a) | 31,900 | (82,621 | ) | |||||||
Digital Ally, Inc. | 6,900 | (3,148 | ) | |||||||
Draganfly, Inc. (a) | 3,300 | (2,310 | ) | |||||||
DZS, Inc. | 100 | (1,130 | ) | |||||||
eMagin Corp. (a) | 7,059 | (4,172 | ) | |||||||
Entegris, Inc. | 300 | (24,906 | ) | |||||||
Forward Industries, Inc. (a) | 500 | (665 | ) | |||||||
GLOBALFOUNDRIES, Inc. (a) | 8,200 | (396,470 | ) | |||||||
Hewlett Packard Enterprise Co. | 2,800 | (33,544 | ) | |||||||
HP, Inc. | 24,400 | (608,048 | ) | |||||||
KLA Corp. | 400 | (121,052 | ) | |||||||
Koss Corp. (a) | 2,200 | (13,970 | ) | |||||||
KULR Technology Group, Inc. (a) | 6,100 | (7,808 | ) | |||||||
LightPath Technologies, Inc., Class A (a) | 1,300 | (1,391 | ) | |||||||
Lumentum Holdings, Inc. (a) | 100 | (6,857 | ) | |||||||
Markforged Holding Corp. | 200 | (396 | ) | |||||||
Marvell Technology, Inc. | 25,570 | (1,097,208 | ) | |||||||
Maxar Technologies, Inc. | 100 | (1,872 | ) | |||||||
Micron Technology, Inc. | 41,200 | (2,064,120 | ) | |||||||
MicroVision, Inc. (a) | 27,500 | (99,275 | ) | |||||||
MICT, Inc. (a) | 5,800 | (3,974 | ) | |||||||
Minim, Inc. (a) | 1,700 | (357 | ) | |||||||
MKS Instruments, Inc. | 200 | (16,528 | ) | |||||||
Navitas Semiconductor Corp. (a) | 2,300 | (11,155 | ) | |||||||
NCR Corp. (a) | 6,500 | (123,565 | ) | |||||||
Neonode, Inc. (a) | 100 | (350 | ) | |||||||
ON Semiconductor Corp. (a) | 71,100 | (4,431,663 | ) | |||||||
Ondas Holdings, Inc. (a) | 7,200 | (26,640 | ) | |||||||
Pitney Bowes, Inc. | 2,800 | (6,524 | ) | |||||||
Plexus Corp. (a) | 100 | (8,756 | ) | |||||||
Rekor Systems, Inc. | 900 | (900 | ) | |||||||
Rockley Photonics Holdings Ltd. | 4,700 | (3,337 | ) | |||||||
Sight Sciences, Inc. (a) | 100 | (635 | ) | |||||||
SigmaTron International, Inc. (a) | 400 | (1,900 | ) | |||||||
Siyata Mobile, Inc. (a) | 5,400 | (1,647 | ) | |||||||
Snap One Holdings Corp. (a) | 1,300 | (13,182 | ) | |||||||
Socket Mobile, Inc. (a) | 400 | (848 | ) | |||||||
TD SYNNEX Corp. | 3,600 | (292,284 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Security Description | Shares | Value | ||||||||
Terran Orbital Corp. | 100 | $ | (177 | ) | ||||||
Trio-Tech International (a) | 300 | (1,392 | ) | |||||||
Turtle Beach Corp. (a) | 100 | (682 | ) | |||||||
Ubiquiti, Inc. | 600 | (176,136 | ) | |||||||
Velo3D, Inc. (a) | 16,034 | (63,174 | ) | |||||||
Vizio Holding Corp., Class A (a) | 10,600 | (92,644 | ) | |||||||
Western Digital Corp. (a) | 23,900 | (777,945 | ) | |||||||
Wolfspeed, Inc. (a) | 3,700 | (382,432 | ) | |||||||
|
| |||||||||
(13,093,626 | ) | |||||||||
|
| |||||||||
Technology Services — (0.0)% | ||||||||||
Bitfarms Ltd. (a) | 63,100 | (66,255 | ) | |||||||
Remitly Global, Inc. (a) | 1,200 | (13,344 | ) | |||||||
|
| |||||||||
(79,599 | ) | |||||||||
|
| |||||||||
Telecommunications — (0.2)% | ||||||||||
AT&T, Inc. | 800 | (12,272 | ) | |||||||
ATN International, Inc. | 100 | (3,857 | ) | |||||||
BCE, Inc. | 400 | (16,776 | ) | |||||||
BlackSky Technology, Inc. (a) | 3,800 | (5,700 | ) | |||||||
Consolidated Communications Holdings, Inc. (a) | 900 | (3,744 | ) | |||||||
DigitalBridge Group, Inc. | 1,406 | (17,589 | ) | |||||||
Frontier Communications Parent, Inc. (a) | 11,600 | (271,788 | ) | |||||||
Globalstar, Inc. (a) | 57,000 | (90,630 | ) | |||||||
IDT Corp., Class B (a) | 1,100 | (27,313 | ) | |||||||
KORE Group Holdings, Inc. (a) | 1,100 | (2,101 | ) | |||||||
KVH Industries, Inc. | 100 | (922 | ) | |||||||
Lumen Technologies, Inc. | 10,200 | (74,256 | ) | |||||||
Shenandoah Telecommunications Co. | 1,600 | (27,232 | ) | |||||||
Starry Group Holdings, Inc., Class A | 600 | (894 | ) | |||||||
Switch, Inc., Class A | 6,500 | (218,985 | ) | |||||||
T-Mobile US, Inc. (a) | 50,132 | (6,726,210 | ) | |||||||
Telephone and Data Systems, Inc. | 300 | (4,170 | ) | |||||||
Telesat Corp. (a) | 900 | (7,029 | ) | |||||||
TELUS Corp. | 200 | (3,972 | ) | |||||||
|
| |||||||||
(7,515,440 | ) | |||||||||
|
| |||||||||
Transportation & Logistics — (0.1)% | ||||||||||
Copa Holdings SA, Class A (a) | 600 | (40,206 | ) | |||||||
Delta Air Lines, Inc. (a) | 183,000 | (5,134,980 | ) | |||||||
Hawaiian Holdings, Inc. | 400 | (5,260 | ) | |||||||
Spirit Airlines, Inc. | 14,400 | (271,008 | ) | |||||||
United Airlines Holdings, Inc. | 1,800 | (58,554 | ) | |||||||
|
| |||||||||
(5,510,008 | ) | |||||||||
|
| |||||||||
Utilities — (0.2)% | ||||||||||
AES Corp. | 3,000 | (67,800 | ) | |||||||
Algonquin Power & Utilities Corp. | 28,800 | (314,208 | ) |
See Notes to Consolidated Financial Statements.
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September 30, 2022 (Unaudited)
Security Description | Shares | Value | ||||||||||
Alliant Energy Corp. | 1,810 | $ | (95,912 | ) | ||||||||
Altus Power, Inc. (a) | 2,300 | (25,323 | ) | |||||||||
American Water Works Co., Inc. | 3,500 | (455,560 | ) | |||||||||
Atmos Energy Corp. | 6,700 | (682,395 | ) | |||||||||
Brookfield Infrastructure Corp., Class A | 3,600 | (146,520 | ) | |||||||||
Brookfield Renewable Corp., Class A | 8,200 | (267,976 | ) | |||||||||
California Water Service Group | 2,400 | (126,456 | ) | |||||||||
CenterPoint Energy, Inc. | 4,700 | (132,446 | ) | |||||||||
Clearway Energy, Inc., Class C | 3,600 | (114,660 | ) | |||||||||
Consolidated Edison, Inc. (c) | 1,350 | (115,776 | ) | |||||||||
Constellation Energy Corp. | 2,400 | (199,656 | ) | |||||||||
Dominion Energy, Inc. | 1,300 | (89,843 | ) | |||||||||
DTE Energy Co. | 200 | (23,010 | ) | |||||||||
Edison International | 1,700 | (96,186 | ) | |||||||||
Entergy Corp. | 1,670 | (168,052 | ) | |||||||||
Essential Utilities, Inc. | 6,200 | (256,556 | ) | |||||||||
Evergy, Inc. | 6,380 | (378,972 | ) | |||||||||
Eversource Energy | 1,250 | (97,450 | ) | |||||||||
Exelon Corp. | 36,200 | (1,356,052 | ) | |||||||||
FTC Solar, Inc. (a) | 22,300 | (66,008 | ) | |||||||||
Hawaiian Electric Industries, Inc. (c) | 250 | (8,665 | ) | |||||||||
NRG Energy, Inc. | 48,800 | (1,867,576 | ) | |||||||||
OGE Energy Corp. | 500 | (18,230 | ) | |||||||||
PG&E Corp. (a) | 47,300 | (591,250 | ) | |||||||||
Pinnacle West Capital Corp. (c) | 650 | (41,931 | ) | |||||||||
PNM Resources, Inc. | 360 | (16,463 | ) | |||||||||
PPL Corp. | 5,500 | (139,425 | ) | |||||||||
South Jersey Industries, Inc. | 200 | (6,684 | ) | |||||||||
Southern Co. | 1,800 | (122,400 | ) | |||||||||
Southwest Gas Corp. | 3,300 | (230,175 | ) | |||||||||
Stronghold Digital Mining, Inc., Class A (a) | 7,400 | (7,696 | ) | |||||||||
TransAlta Corp. | 400 | (3,532 | ) | |||||||||
UGI Corp. | 19,500 | (630,435 | ) | |||||||||
Via Renewables, Inc. | 400 | (2,764 | ) | |||||||||
Vistra Corp. | 4,000 | (84,000 | ) | |||||||||
WEC Energy Group, Inc. (c) | 1,250 | (111,788 | ) | |||||||||
Xcel Energy, Inc. (c) | 1,700 | (108,800 | ) | |||||||||
|
| |||||||||||
(9,268,631 | ) | |||||||||||
|
| |||||||||||
Waste & Environmental Services & Equipment — (0.0)% |
| |||||||||||
Aqua Metals, Inc. (a) | 4,700 | (3,550 | ) | |||||||||
Casella Waste Systems, Inc., Class A (a) | 100 | (7,639 | ) | |||||||||
Lightbridge Corp. (a) | 1,590 | (7,250 | ) | |||||||||
Stericycle, Inc. (a) | 2,600 | (109,486 | ) | |||||||||
|
| |||||||||||
(127,925 | ) | |||||||||||
|
| |||||||||||
Total North America | (381,995,927 | ) | ||||||||||
|
|
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Security Description | Shares | Value | ||||||||||
Oceania — (0.0)% | ||||||||||||
Consumer Discretionary Products — (0.0)% | ||||||||||||
Naked Brand Group Ltd. (a) | 86,086 | $ | (88,669 | ) | ||||||||
|
| |||||||||||
Health Care — (0.0)% | �� | |||||||||||
Alterity Therapeutics Ltd., ADR (a) | 1,400 | (630 | ) | |||||||||
Immutep Ltd., ADR (a) | 1,600 | (2,496 | ) | |||||||||
Mesoblast Ltd., ADR (a) | 100 | (254 | ) | |||||||||
Opthea Ltd., ADR (a) | 100 | (619 | ) | |||||||||
|
| |||||||||||
(3,999 | ) | |||||||||||
|
| |||||||||||
Materials — (0.0)% | ||||||||||||
Snow Lake Resources Ltd. (a) | 6,600 | (11,616 | ) | |||||||||
|
| |||||||||||
Utilities — (0.0)% | ||||||||||||
Iris Energy Ltd. | 1,400 | (5,782 | ) | |||||||||
VivoPower International plc | 1,300 | (949 | ) | |||||||||
|
| |||||||||||
(6,731 | ) | |||||||||||
|
| |||||||||||
Total Oceania | (111,015 | ) | ||||||||||
|
| |||||||||||
South America — (0.3)% | ||||||||||||
Banking — (0.1)% | ||||||||||||
Banco Bradesco SA, ADR | 216,100 | (795,248 | ) | |||||||||
Banco Santander Brasil SA, ADR | 300 | (1,692 | ) | |||||||||
Banco Santander Chile, ADR | 2,900 | (40,629 | ) | |||||||||
Itau Unibanco Holding SA, ADR | 182,400 | (943,008 | ) | |||||||||
NU Holdings Ltd., A Shares (a) | 203,000 | (893,200 | ) | |||||||||
|
| |||||||||||
(2,673,777 | ) | |||||||||||
|
| |||||||||||
Consumer Discretionary Services — (0.0)% | ||||||||||||
Afya Ltd., Class A (a) | 1,700 | (23,052 | ) | |||||||||
|
| |||||||||||
Consumer Staple Products — (0.0)% | ||||||||||||
Adecoagro SA | 7,800 | (64,662 | ) | |||||||||
Ambev SA, ADR | 228,400 | (646,372 | ) | |||||||||
BRF SA, ADR (a) | 38,000 | (88,920 | ) | |||||||||
|
| |||||||||||
(799,954 | ) | |||||||||||
|
| |||||||||||
Financial Services — (0.0)% | ||||||||||||
Vinci Partners Investments Ltd., Class A | 500 | (5,135 | ) | |||||||||
XP, Inc., Class A (a) | 39,181 | (744,831 | ) | |||||||||
|
| |||||||||||
(749,966 | ) | |||||||||||
|
| |||||||||||
Industrial Services — (0.0)% | ||||||||||||
Azul SA, ADR (a) | 15,000 | (122,100 | ) | |||||||||
Corporacion America Airports SA (a) | 900 | (5,976 | ) | |||||||||
|
| |||||||||||
(128,076 | ) | |||||||||||
|
|
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Security Description | Shares | Value | ||||||||
Materials — (0.1)% | ||||||||||
Gerdau SA, ADR | 2,300 | $ | (10,396 | ) | ||||||
Vale SA, ADR | 70,100 | (933,732 | ) | |||||||
|
| |||||||||
(944,128 | ) | |||||||||
|
| |||||||||
Media — (0.0)% | ||||||||||
Despegar.com Corp. (a) | 4,500 | (25,650 | ) | |||||||
|
| |||||||||
Oil & Gas — (0.0)% | ||||||||||
Cosan SA, ADR | 3,200 | (41,216 | ) | |||||||
Ecopetrol SA, ADR | 4,500 | (40,185 | ) | |||||||
Transportadora de Gas del Sur SA, ADR (a) | 1,200 | (8,856 | ) | |||||||
Ultrapar Participacoes SA, ADR | 700 | (1,533 | ) | |||||||
|
| |||||||||
(91,790 | ) | |||||||||
|
| |||||||||
Retail & Wholesale—Discretionary — (0.1)% | ||||||||||
MercadoLibre, Inc. (a) | 6,400 | (5,297,792 | ) | |||||||
Natura & Co. Holding SA, ADR | 9,500 | (51,870 | ) | |||||||
Sendas Distribuidora SA, ADR | 700 | (11,291 | ) | |||||||
|
| |||||||||
(5,360,953 | ) | |||||||||
|
| |||||||||
Software & Technology Services — (0.0)% | ||||||||||
Arco Platform Ltd., Class A (a) | 3,100 | (33,449 | ) | |||||||
CI&T, Inc., A Shares (a) | 1,700 | (15,963 | ) | |||||||
Dlocal Ltd. (a) | 23,700 | (486,324 | ) | |||||||
Pagseguro Digital Ltd., Class A | 800 | (10,584 | ) | |||||||
Vasta Platform Ltd. (a) | 400 | (2,100 | ) | |||||||
VTEX, Class A (a) | 4,000 | (14,800 | ) | |||||||
Zenvia, Inc., Class A (a) | 2,000 | (3,220 | ) | |||||||
|
| |||||||||
(566,440 | ) | |||||||||
|
| |||||||||
Telecommunications — (0.0)% | ||||||||||
Telefonica Brasil SA, ADR | 9,300 | (69,936 | ) | |||||||
TIM SA, ADR | 3,200 | (35,776 | ) | |||||||
|
| |||||||||
(105,712 | ) | |||||||||
|
| |||||||||
Transportation & Logistics — (0.0)% | ||||||||||
Gol Linhas Aereas Inteligentes SA, ADR | 23 | (76 | ) | |||||||
|
| |||||||||
Utilities — (0.0)% | ||||||||||
Cia de Saneamento Basico do Estado de Sao Paulo, ADR | 27,500 | (250,525 | ) | |||||||
Cia Energetica de Minas Gerais, ADR | 5,270 | (10,645 | ) | |||||||
Cia Paranaense de Energia, ADR | 10,800 | (64,044 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Security Description | Shares | Value | ||||||||||
Enel Chile SA, ADR | 7,300 | $ | (10,074 | ) | ||||||||
Pampa Energia SA, ADR (a) | 400 | (9,108 | ) | |||||||||
|
| |||||||||||
(344,396 | ) | |||||||||||
|
| |||||||||||
Total South America | (11,813,970 | ) | ||||||||||
|
| |||||||||||
TOTAL COMMON STOCK | (437,863,605 | ) | ||||||||||
|
| |||||||||||
Security Description | Principal Amount | Value | ||||||||||
CORPORATE BONDS & NOTES — (0.8)% | ||||||||||||
Asia — (0.8)% | ||||||||||||
Banks — (0.3)% | ||||||||||||
Bank of China Ltd. (a),(c),(e) | $ | 3,600,000 | (3,451,500 | ) | ||||||||
Industrial & Commercial Bank of China Ltd. (a),(c),(e) | 12,800,000 | (11,707,327 | ) | |||||||||
|
| |||||||||||
(15,158,827 | ) | |||||||||||
|
| |||||||||||
Integrated Oils — (0.1)% | ||||||||||||
Sinopec Capital 2013 Ltd. (a),(c) | 3,712,000 | (3,678,799 | ) | |||||||||
|
| |||||||||||
Internet Media — (0.1)% | ||||||||||||
Tencent Holdings Ltd., MTN (c) | 1,856,000 | (1,663,570 | ) | |||||||||
Tencent Holdings Ltd., MTN (c) | 4,566,000 | (4,450,119 | ) | |||||||||
|
| |||||||||||
(6,113,689 | ) | |||||||||||
|
| |||||||||||
Retail—Consumer Discretionary — (0.3)% | ||||||||||||
Alibaba Group Holding Ltd. (c) | 2,221,000 | (1,709,233 | ) | |||||||||
Alibaba Group Holding Ltd. (c) | 12,421,000 | (11,176,846 | ) | |||||||||
|
| |||||||||||
(12,886,079 | ) | |||||||||||
|
| |||||||||||
Total Asia | (37,837,394 | ) | ||||||||||
|
| |||||||||||
TOTAL CORPORATE BONDS & NOTES | (37,837,394 | ) | ||||||||||
|
| |||||||||||
EXCHANGE-TRADED FUNDS — (0.5)% | ||||||||||||
Energy Select Sector SPDR Fund (c) | 37,413 | (2,694,484 | ) | |||||||||
Invesco QQQ Trust Series 1 | 14,200 | (3,795,092 | ) | |||||||||
SPDR S&P 500 ETF Trust | 33,180 | (11,851,233 | ) | |||||||||
Utilities Select Sector SPDR Fund (c) | 40,941 | (2,682,045 | ) | |||||||||
|
| |||||||||||
TOTAL EXCHANGE-TRADED FUNDS | (21,022,854 | ) | ||||||||||
|
|
See Notes to Consolidated Financial Statements.
152
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Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Security Description | Principal Amount | Value | ||||||||||
MORTGAGE-BACKED SECURITIES — (26.7)% |
| |||||||||||
North America — (26.7)% | ||||||||||||
Mortgage Securities — (0.6)% | ||||||||||||
Government National Mortgage Association, TBA, 30 Year Maturity, 2.00%, 11/21/52 (m) | $ | 35,000,000 | $ | (29,159,375 | ) | |||||||
|
| |||||||||||
Uniform Mortgage-Backed Securities — (26.1)% | ||||||||||||
Federal National Mortgage Association, TBA, 30 Year Maturity, 2.00%, 11/14/52 (m) | 360,000,000 | (291,403,080 | ) | |||||||||
Federal National Mortgage Association, TBA, 30 Year Maturity, 3.00%, 10/13/52 (m) | 25,000,000 | (21,753,900 | ) | |||||||||
Federal National Mortgage Association, TBA, 30 Year Maturity, 3.50%, 09/14/52 (m) | 71,000,000 | (64,310,451 | ) | |||||||||
Federal National Mortgage Association, TBA, 30 Year Maturity, 3.50%, 10/13/52 (m) | 186,000,000 | (167,400,000 | ) | |||||||||
Federal National Mortgage Association, TBA, 30 Year Maturity, 4.00%, 11/14/52 (m) | 479,000,000 | (443,991,806 | ) | |||||||||
Federal National Mortgage Association, TBA, 30 Year Maturity, 4.50%, 10/13/52 (m) | 83,000,000 | (79,057,500 | ) | |||||||||
Federal National Mortgage Association, TBA, 30 Year Maturity, 4.50%, 11/14/52 (m) | 24,000,000 | (22,832,808 | ) | |||||||||
Federal National Mortgage Association, TBA, 30 Year Maturity, 5.00%, 10/13/52 (m) | 137,000,000 | (133,457,317 | ) | |||||||||
|
| |||||||||||
(1,224,206,862 | ) | |||||||||||
|
| |||||||||||
TOTAL MORTGAGE-BACKED SECURITIES | (1,253,366,237 | ) | ||||||||||
|
| |||||||||||
Security Description | Shares | Value | ||||||||||
RIGHTS — (0.0)% | ||||||||||||
SiNtx Technology (d) | 1,600 | 0 | ||||||||||
|
| |||||||||||
TOTAL RIGHTS | 0 | |||||||||||
|
| |||||||||||
Security Description | Principal Amount | Value | ||||||||||
SOVEREIGN DEBT — (2.0)% | ||||||||||||
Bahrain Government International Bond, | $ | 3,569,000 | (2,846,277 | ) | ||||||||
Bahrain Government International Bond, | 2,000,000 | (1,635,880 | ) | |||||||||
Bahrain Government International Bond, | 4,217,000 | (4,040,940 | ) | |||||||||
Bahrain Government International Bond, | 3,598,000 | (3,426,836 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Security Description | Principal Amount | Value | ||||||||||
Bahrain Government International Bond, MTN, 5.25%, 01/25/33 (c) | $ | 4,317,000 | $ | (3,340,063 | ) | |||||||
Chile Government International Bond, 2.55%, 07/27/33 (c) | 1,636,000 | (1,224,684 | ) | |||||||||
Chile Government International Bond, 3.50%, 01/31/34 (c) | 8,440,000 | (6,880,890 | ) | |||||||||
Colombia Government International Bond, 7.38%, 09/18/37 (c) | 10,964,000 | (9,488,096 | ) | |||||||||
Dominican Republic International Bond, 5.50%, 02/22/29 (a),(c) | 2,744,000 | (2,361,888 | ) | |||||||||
Egypt Government International Bond, 5.25%, 10/06/25 (a),(c) | 3,371,000 | (2,619,874 | ) | |||||||||
Egypt Government International Bond, 5.88%, 06/11/25 (a),(c) | 6,137,000 | (4,847,985 | ) | |||||||||
Egypt Government International Bond, 6.59%, 02/21/28 (a),(c) | 7,205,000 | (5,042,405 | ) | |||||||||
Egypt Government International Bond, 7.50%, 01/31/27 (c) | 7,350,000 | (5,661,191 | ) | |||||||||
Egypt Government International Bond, 7.90%, 02/21/48 | 700,000 | (364,224 | ) | |||||||||
Egypt Government International Bond, MTN, 3.88%, 02/16/26 (c) | 1,800,000 | (1,302,156 | ) | |||||||||
Egypt Government International Bond, MTN, 7.60%, 03/01/29 (c) | 1,170,000 | (816,985 | ) | |||||||||
Indonesia Government International Bond, 4.65%, 09/20/32 (c) | 2,278,000 | (2,136,607 | ) | |||||||||
Indonesia Government International Bond, 5.35%, 02/11/49 (c) | 2,730,000 | (2,421,475 | ) | |||||||||
Indonesia Government International Bond, 5.45%, 09/20/52 (c) | 268,000 | (247,238 | ) | |||||||||
Nigeria Government International Bond, 6.38%, 07/12/23 (a),(c) | 2,539,000 | (2,462,525 | ) | |||||||||
Nigeria Government International Bond, 7.63%, 11/21/25 (a),(c) | 5,510,000 | (4,766,150 | ) | |||||||||
Peruvian Government International Bond, 3.55%, 03/10/51 (c) | 13,574,000 | (9,077,159 | ) | |||||||||
Peruvian Government International Bond, 8.75%, 11/21/33 (c) | 2,799,000 | (3,368,690 | ) | |||||||||
Turkey Government International Bond, 7.25%, 12/23/23 (c) | 4,515,000 | (4,523,669 | ) | |||||||||
Turkey Government International Bond, 7.38%, 02/05/25 (c) | 9,960,000 | (9,561,600 | ) | |||||||||
|
| |||||||||||
TOTAL SOVEREIGN DEBT | (94,465,487 | ) | ||||||||||
|
|
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Security Description | Principal Amount | Value | ||||||||||
U.S. TREASURY NOTES — (0.2)% | ||||||||||||
U.S. Treasury Bonds, | ||||||||||||
1.88%, 11/15/51 (c) | $ | (2,650,000 | ) | $ | (1,752,416 | ) | ||||||
2.00%, 08/15/51 (c) | (598,000 | ) | (408,462 | ) | ||||||||
2.88%, 05/15/52 (c) | (4,739,000 | ) | (3,974,096 | ) | ||||||||
U.S. Treasury Notes (c) | 3,854,600 | (3,266,171 | ) | |||||||||
|
| |||||||||||
TOTAL U.S. TREASURY NOTES | (9,401,145 | ) | ||||||||||
|
| |||||||||||
Security Description | Shares | Value | ||||||||||
WARRANTS — (0.0)% | ||||||||||||
North America — (0.0)% | ||||||||||||
Galectin Therapeutics, Inc. (d) | 1,340 | 0 | ||||||||||
Salarius Pharmaceuticals, Inc. (a),(d) | 1,000 | 0 | ||||||||||
|
| |||||||||||
Total North America | 0 | |||||||||||
|
| |||||||||||
TOTAL WARRANTS | 0 | |||||||||||
|
| |||||||||||
TOTAL SECURITIES SOLD SHORT — (39.5)% | $ | (1,853,956,722 | ) | |||||||||
|
|
Footnote Legend:
^ | A balance indicated with a “0”, reflects either a zero balance or an amount that rounds to less than 1. |
(a) | Non-income producing. |
(b) | Security (or a portion thereof) has been pledged to cover collateral requirements on open derivative contracts and/or securities sold short. |
(c) | Security is held by a consolidated wholly-owned subsidiary of Blackstone Alternative Multi-Strategy Fund. |
(d) | Security is valued using significant unobservable inputs. |
(e) | Variable/Floating interest rate security. Certain variable/floating interest rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities may not indicate a reference rate and spread in their description above. Rate presented is as of September 30, 2022. |
(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) | Security is an Interest Only (IO) bond, which represents the “interest only” portion of payments on a pool of underlying mortgages or mortgage-backed securities. IO securities are subject to prepayment risk of the pool of underlying mortgages. |
(h) | Represents a step-up bond. Coupon rate increases in increments to maturity. Rate presented is as of September 30, 2022. Maturity date presented is the ultimate maturity. |
(i) | All or a portion of the security represents an unsettled loan commitment at September 30, 2022 where the rate will be determined at time of settlement. |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
(j) | 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. |
(k) | Security is currently in default due to bankruptcy or failure to make payment of principal or interest. |
(l) | Non-interest bearing bond. |
(m) | When issued or delayed delivery security included. |
(n) | Security is restricted per Rule 12-12.8 of Regulation S-X. First acquisition dates of Aeolus Property Catastrophe Keystone PF Fund LP, PIMCO ILS Fund SP II, Atreides Co., Asgard Fixed Income Risk Premia Fund, Rokos Global Macro Fund Ltd., Class S, Centiva Offshore Fund LLP, Qube Torus and Statar Capital Class A, are 1/2/2019, 12/30/2019, 7/1/2021, 8/2/2021, 9/1/2021, 6/1/2022, 7/1/2022 and 7/1/2022. Amounts to $459,491,547 and represents 9.8% of Net Assets. |
(o) | Repurchase agreements may additionally have cash collateral held to meet collateral requirements of 102%. |
(p) | Open repurchase agreement with no specific maturity date. Either party may terminate the agreement upon demand. |
(q) | Assets, other than investments in securities, less liabilities other than securities sold short. |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Options Written Contracts Outstanding at September 30, 2022
Strike | Expiration Date | Contracts | Notional Amount | Premium Received | Market Value | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
Exchange-Traded Call Options Written |
| |||||||||||||||||||||||
CRUDE OIL FUT OPT DEC22 | 100.00 USD | 11/16/22 | 917 | (72,186,240 | ) | $ | (1,092,624 | ) | $ | (1,017,870 | ) | $ | 74,754 | |||||||||||
CRUDE OIL FUT OPT DEC22 | 95.00 USD | 11/16/22 | 14 | (1,102,080 | ) | (30,820 | ) | (23,380 | ) | 7,440 | ||||||||||||||
CRUDE OIL FUT OPT DEC22 | 145.00 USD | 11/16/22 | 86 | (6,769,920 | ) | (394,871 | ) | (10,320 | ) | 384,551 | ||||||||||||||
CRUDE OIL FUT OPT DEC23 | 100.00 USD | 11/15/23 | 192 | (13,374,720 | ) | (576,292 | ) | (963,840 | ) | (387,548 | ) | |||||||||||||
CRUDE OIL FUT OPT JUN23 | 200.00 USD | 05/17/23 | 429 | (31,317,000 | ) | (408,202 | ) | (132,990 | ) | 275,212 | ||||||||||||||
CRUDE OIL FUT OPT NOV22 | 105.00 USD | 10/17/22 | 300 | (300,000 | ) | (720,456 | ) | (33,000 | ) | 687,456 | ||||||||||||||
CRUDE OIL FUT OPT NOV22 | 95.00 USD | 10/17/22 | 24 | (24,000 | ) | (11,076 | ) | (7,680 | ) | 3,396 | ||||||||||||||
NAT GAS EURO OPT APR23 | 7.00 USD | 03/28/23 | 2 | (97,740 | ) | (9,625 | ) | (7,708 | ) | 1,917 | ||||||||||||||
NAT GAS EURO OPT AUG23 | 7.00 USD | 07/26/23 | 1 | (49,240 | ) | (4,813 | ) | (4,511 | ) | 302 | ||||||||||||||
NAT GAS EURO OPT FEB23 | 22.00 USD | 01/26/23 | 750 | (52,027,500 | ) | (5,177,003 | ) | (2,410,500 | ) | 2,766,503 | ||||||||||||||
NAT GAS EURO OPT FEB23 | 10.00 USD | 01/26/23 | 74 | (5,133,380 | ) | (747,598 | ) | (747,992 | ) | (394 | ) | |||||||||||||
NAT GAS EURO OPT JAN23 | 10.00 USD | 12/27/22 | 63 | (4,565,610 | ) | (636,468 | ) | (512,568 | ) | 123,900 | ||||||||||||||
NAT GAS EURO OPT JAN23 | 7.00 USD | 12/27/22 | 182 | (13,189,540 | ) | (1,872,936 | ) | (2,760,212 | ) | (887,276 | ) | |||||||||||||
NAT GAS EURO OPT JUL23 | 7.00 USD | 06/27/23 | 2 | (98,280 | ) | (9,625 | ) | (8,290 | ) | 1,335 | ||||||||||||||
NAT GAS EURO OPT JUN23 | 6.00 USD | 05/25/23 | 1 | (48,480 | ) | (8,103 | ) | (5,465 | ) | 2,638 | ||||||||||||||
NAT GAS EURO OPT JUN23 | 7.00 USD | 05/25/23 | 1 | (48,480 | ) | (4,813 | ) | (3,545 | ) | 1,268 | ||||||||||||||
NAT GAS EURO OPT MAR23 | 10.00 USD | 02/23/23 | 74 | (4,460,720 | ) | (747,598 | ) | (615,384 | ) | 132,214 | ||||||||||||||
NAT GAS EURO OPT MAY23 | 7.00 USD | 04/25/23 | 2 | (95,680 | ) | (9,625 | ) | (6,334 | ) | 3,291 | ||||||||||||||
NAT GAS EURO OPT OCT23 | 7.00 USD | 09/26/23 | 1 | (49,650 | ) | (4,813 | ) | (5,442 | ) | (629 | ) | |||||||||||||
NAT GAS EURO OPT SEP23 | 7.00 USD | 08/28/23 | 2 | (97,880 | ) | (9,625 | ) | (9,656 | ) | (31 | ) | |||||||||||||
NAT GAS STRIP DEC22 | 3.50 USD | 12/22/22 | 410 | (89,138,100 | ) | (378,000 | ) | (23,631,990 | ) | (23,253,990 | ) | |||||||||||||
PHE 01312023 PHE C7.5 | 7.50 USD | 12/27/22 | 300 | (750,000 | ) | (510,162 | ) | (1,012,050 | ) | (501,888 | ) |
See Notes to Consolidated Financial Statements.
157
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Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Strike | Expiration Date | Contracts | Notional Amount | Premium Received | Market Value | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
PHE 02282023 PHE C7.5 | 7.50 USD | 01/26/23 | 300 | (750,000 | ) | $ | (510,162 | ) | $ | (1,113,000 | ) | $ | (602,838 | ) | ||||||||||
PHE 03312023 PHE C7.5 | 7.50 USD | 02/23/23 | 300 | (750,000 | ) | (510,162 | ) | (881,475 | ) | (371,313 | ) | |||||||||||||
|
|
|
|
|
| |||||||||||||||||||
$ | (14,385,472 | ) | $ | (35,925,202 | ) | $ | (21,539,730 | ) | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
Exchange-Traded Put Options Written |
| |||||||||||||||||||||||
CRUDE OIL FUT OPT NOV22 | 70.00 USD | 10/17/22 | 20 | (20,000 | ) | $ | (21,830 | ) | $ | (13,600 | ) | $ | 8,230 | |||||||||||
NAT GAS EURO OPT APR23 | 4.50 USD | 03/28/23 | 164 | (8,014,680 | ) | (685,739 | ) | (1,181,784 | ) | (496,045 | ) | |||||||||||||
NAT GAS EURO OPT AUG23 | 4.50 USD | 07/26/23 | 164 | (8,075,360 | ) | (685,738 | ) | (1,267,064 | ) | (581,326 | ) | |||||||||||||
NAT GAS EURO OPT DEC22 | 2.20 USD | 11/25/22 | 75 | (4,156,500 | ) | (29,450 | ) | (1,350 | ) | 28,100 | ||||||||||||||
NAT GAS EURO OPT DEC23 | 2.00 USD | 11/27/23 | 76 | (4,211,920 | ) | (82,135 | ) | (44,232 | ) | 37,903 | ||||||||||||||
NAT GAS EURO OPT FEB23 | 2.00 USD | 01/26/23 | 55 | (3,815,350 | ) | (59,490 | ) | (4,290 | ) | 55,200 | ||||||||||||||
NAT GAS EURO OPT JAN23 | 5.00 USD | 12/27/22 | 32 | (2,319,040 | ) | (275,285 | ) | (98,528 | ) | 176,757 | ||||||||||||||
NAT GAS EURO OPT JAN23 | 5.50 USD | 12/27/22 | 150 | (10,870,500 | ) | (971,651 | ) | (727,200 | ) | 244,451 | ||||||||||||||
NAT GAS EURO OPT JAN23 | 7.00 USD | 12/27/22 | 1 | (72,470 | ) | (12,303 | ) | (12,717 | ) | (414 | ) | |||||||||||||
NAT GAS EURO OPT JAN23 | 3.50 USD | 12/27/22 | 600 | (43,482,000 | ) | (227,442 | ) | (274,800 | ) | (47,358 | ) | |||||||||||||
NAT GAS EURO OPT JAN23 | 2.00 USD | 12/27/22 | 55 | (3,985,850 | ) | (59,490 | ) | (825 | ) | 58,665 | ||||||||||||||
NAT GAS EURO OPT JUL23 | 4.50 USD | 06/27/23 | 164 | (8,058,960 | ) | (685,738 | ) | (1,218,520 | ) | (532,782 | ) | |||||||||||||
NAT GAS EURO OPT JUN23 | 4.50 USD | 05/25/23 | 164 | (7,950,720 | ) | (685,738 | ) | (1,185,884 | ) | (500,146 | ) | |||||||||||||
NAT GAS EURO OPT MAR23 | 2.00 USD | 02/23/23 | 55 | (3,315,400 | ) | (59,490 | ) | (10,780 | ) | 48,710 | ||||||||||||||
NAT GAS EURO OPT MAY23 | 4.50 USD | 04/25/23 | 164 | (7,845,760 | ) | (685,738 | ) | (1,186,540 | ) | (500,802 | ) | |||||||||||||
NAT GAS EURO OPT NOV22 | 2.20 USD | 10/26/22 | 75 | (5,074,500 | ) | (29,450 | ) | (75 | ) | 29,375 | ||||||||||||||
NAT GAS EURO OPT NOV23 | 2.00 USD | 10/26/23 | 76 | (4,001,400 | ) | (82,135 | ) | (43,016 | ) | 39,119 | ||||||||||||||
NAT GAS EURO OPT OCT23 | 4.50 USD | 09/26/23 | 164 | (8,142,600 | ) | (685,738 | ) | (1,369,400 | ) | (683,662 | ) | |||||||||||||
NAT GAS EURO OPT SEP23 | 4.50 USD | 08/28/23 | 164 | (8,026,160 | ) | (685,738 | ) | (1,347,916 | ) | (662,178 | ) | |||||||||||||
|
|
|
|
|
| |||||||||||||||||||
$ | (6,710,318 | ) | $ | (9,988,521 | ) | $ | (3,278,203 | ) | ||||||||||||||||
|
|
|
|
|
|
See Notes to Consolidated Financial Statements.
158
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Counterparty | Strike | Expiration Date | Contracts | Notional Amount | Premium Received | Market Value | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||||
OTC Call Options Written |
| |||||||||||||||||||||||||||||
Cap Call NOV22 | Goldman Sachs International | 0.00 USD | 11/07/22 | 28,220,000 | (28,220,000 | ) | $ | (241,281 | ) | $ | (3 | ) | $ | 241,278 | ||||||||||||||||
Cap Call OCT25 | Goldman Sachs International | 0.01 USD | 10/20/25 | 64,430,000 | (64,430,000 | ) | (375,000 | ) | (368,281 | ) | 6,719 | |||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
$ | (616,281 | ) | $ | (368,284 | ) | $ | 247,997 | |||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
OTC Put Options Written |
| |||||||||||||||||||||||||||||
Call SPX 4123.46 USD 12/30/22 | CITIBANK N.A. | 4,123.46 USD | 12/30/22 | 53,438 | (53,438 | ) | $ | (835,239 | ) | $ | (1,094,832 | ) | $ | (259,593 | ) | |||||||||||||||
Put SPX 3282.048 USD 10/31/2022 | GOLDMAN SACHS + CO LLC | 3,282.05 USD | 10/31/22 | 45,150 | (45,150 | ) | (926,153 | ) | (1,496,521 | ) | (570,368 | ) | ||||||||||||||||||
Put SX5E 2948.15 EUR 12/30/2022 | GOLDMAN SACHS + CO LLC | 2,948.15 EUR | 12/30/22 | 33,275 | (33,275 | ) | (1,638,179 | ) | (2,248,327 | ) | (610,148 | ) | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
$ | (3,399,571 | ) | $ | (4,839,680 | ) | $ | (1,440,109 | ) | ||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
Total Options Written Outstanding |
| $ | (25,111,642 | ) | $ | (51,121,687 | ) | $ | (26,010,045 | ) | ||||||||||||||||||||
|
|
|
|
|
|
At September 30, 2022, 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 | ||||||||||||
Latam Airlines Group S.A. , 2022 PIK DIP Delayed Draw Term Loan C, 15.17%, 08/08/23 | $ | 2,480,675 | $ | 2,529,957 | $ | 49,282 | |||||||||
|
|
|
|
|
| ||||||||||
Total Unfunded Loan Commitment | $ | 2,480,675 | $ | 2,529,957 | $ | 49,282 | |||||||||
|
|
|
|
|
|
Futures Contracts Outstanding at September 30, 2022
Description | Contracts | Exchange | Notional Amount | Expiration Date | Value/ Unrealized Appreciation (Depreciation) | |||||||||||||||
Long Futures | ||||||||||||||||||||
3 Month Eurodollar | 709 | ICE | 173,058,730 EUR | 03/13/23 | $ | (756,334 | ) | |||||||||||||
3 Month Eurodollar | 71 | ICE | 17,172,520 EUR | 06/19/23 | 36,255 | |||||||||||||||
3 Month Eurodollar | 40 | ICE | 9,665,200 EUR | 09/18/23 | 24,795 | |||||||||||||||
3 Month Eurodollar | 168 | ICE | 40,680,056 EUR | 06/17/24 | 66,980 | |||||||||||||||
90 Day Eurodollar | 259 | CME | 61,957,237 USD | 03/13/23 | (253,725 | ) | ||||||||||||||
90 Day Eurodollar | 249 | CME | 59,443,901 USD | 12/18/23 | 11,074 | |||||||||||||||
90 Day Eurodollar | 22 | CME | 5,269,549 USD | 09/16/24 | 7,701 |
See Notes to Consolidated Financial Statements.
159
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Description | Contracts | Exchange | Notional Amount | Expiration Date | Value/ Unrealized Appreciation (Depreciation) | |||||||||||||||
90 Day Eurodollar | 2 | CME | 482,430 USD | 12/16/24 | $ | (2,155 | ) | |||||||||||||
Aluminum | 2 | LME | 128,108 USD | 12/19/22 | (20,058 | ) | ||||||||||||||
Aluminum | 10 | LME | 608,233 USD | 12/21/22 | (67,983 | ) | ||||||||||||||
Amsterdam Index | 6 | Euronext | 809,249 EUR | 10/21/22 | (39,661 | ) | ||||||||||||||
Australian 10-Year Bond | 121 | SFE | 14,537,539 AUD | 12/15/22 | (234,396 | ) | ||||||||||||||
Australian dollar Currency | 22 | CME | 1,428,852 USD | 12/19/22 | (17,442 | ) | ||||||||||||||
Brent Crude | 42 | ICE | 3,833,042 USD | 10/31/22 | (257,162 | ) | ||||||||||||||
Brent Crude | 24 | ICE | 2,006,037 USD | 11/30/22 | (1,557 | ) | ||||||||||||||
Brent Crude | 4 | ICE | 330,635 USD | 12/29/22 | (2,675 | ) | ||||||||||||||
Brent Crude | 3 | ICE | 254,960 USD | 01/31/23 | (12,830 | ) | ||||||||||||||
Brent Crude | 5 | ICE | 401,931 USD | 02/28/23 | (3,781 | ) | ||||||||||||||
Brent Crude | 84 | ICE | 6,931,242 USD | 04/28/23 | (382,602 | ) | ||||||||||||||
Brent Crude | 5 | ICE | 405,005 USD | 10/31/23 | (31,005 | ) | ||||||||||||||
British Pound Currency | 22 | CME | 1,559,638 USD | 12/19/22 | (22,250 | ) | ||||||||||||||
CAC40 Index | 14 | Euronext | 862,399 EUR | 10/21/22 | (54,401 | ) | ||||||||||||||
Canadian Dollar Currency | 47 | CME | 3,547,870 USD | 12/20/22 | (145,305 | ) | ||||||||||||||
CBOE Volatility Index | 136 | CFE | 4,065,646 USD | 11/16/22 | 160,105 | |||||||||||||||
CBOE Volatility Index | 443 | ICE | 12,929,073 USD | 12/21/22 | 381,970 | |||||||||||||||
CBOE Volatility Index | 6 | CFE | 180,526 USD | 03/22/23 | 554 | |||||||||||||||
CME E-Mini Standard & Poor’s 500 Index | 179 | CME | 34,706,518 USD | 12/16/22 | (2,473,093 | ) | ||||||||||||||
Cocoa | 1,902 | ICE | 46,244,873 USD | 12/14/22 | (1,471,793 | ) | ||||||||||||||
Coffee ‘C’ | 200 | ICE | 17,081,075 USD | 03/21/23 | (1,139,825 | ) | ||||||||||||||
Copper | 155 | COMEX | 13,156,786 USD | 12/28/22 | 66,652 | |||||||||||||||
Corn | 731 | ICE | 24,044,124 USD | 03/14/23 | 956,076 | |||||||||||||||
Cotton No.2 | 58 | ICE | 3,221,937 USD | 03/09/23 | (801,887 | ) | ||||||||||||||
DAX Index | 2 | Eurex | 649,579 EUR | 12/16/22 | (42,023 | ) | ||||||||||||||
Dominion SP | 90 | ICE | 1,729 USD | 10/04/22 | 310,166 | |||||||||||||||
Euro Stoxx 50 | 689 | Eurex | 23,693,728 EUR | 12/16/22 | (836,353 | ) | ||||||||||||||
Euro-Bund | 95 | Eurex | 13,775,138 EUR | 12/08/22 | (606,247 | ) | ||||||||||||||
Euro-Schatz | 43 | Eurex | 4,603,372 EUR | 12/08/22 | 4,629 | |||||||||||||||
FTSE 100 Index | 27 | ICE | 1,968,326 GBP | 12/16/22 | (113,231 | ) | ||||||||||||||
FTSE China Index | 22 | SGX | 286,050 USD | 10/28/22 | (1,898 | ) | ||||||||||||||
FTSE Taiwan Index | 13 | SGX | 624,668 USD | 10/28/22 | (17,568 | ) | ||||||||||||||
FTSE/MIB Index | 6 | IDEM | 667,814 EUR | 12/16/22 | (50,907 | ) | ||||||||||||||
FVSA index—Mini | 281 | ICE | 856,553 EUR | 10/19/22 | 18,388 | |||||||||||||||
FVSA index—Mini | 498 | Eurex | 1,473,551 EUR | 12/21/22 | 17,601 | |||||||||||||||
Gasoline RBOB | 46 | NYMEX | 4,634,128 USD | 10/31/22 | (55,675 | ) | ||||||||||||||
Globex Natural Gas | 43 | NYMEX | 2,785,874 USD | 01/26/23 | 197,036 | |||||||||||||||
Globex Natural Gas | 2 | NYMEX | 93,003 USD | 10/26/23 | 12,297 | |||||||||||||||
Globex Natural Gas | 2 | NYMEX | 93,003 USD | 11/27/23 | 17,837 | |||||||||||||||
Gold 100 OZ | 8 | COMEX | 1,393,320 USD | 12/28/22 | (55,720 | ) | ||||||||||||||
Hang Seng Index | 9 | ICE | 7,952,100 HKD | 10/28/22 | (26,447 | ) | ||||||||||||||
Henry Hub | 90 | ICE | 910,567 USD | 10/27/22 | 611,783 | |||||||||||||||
Henry Hub | 290 | ICE | 2,924,581 USD | 11/28/22 | 2,197,544 |
See Notes to Consolidated Financial Statements.
160
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Description | Contracts | Exchange | Notional Amount | Expiration Date | Value/ Unrealized Appreciation (Depreciation) | |||||||||||||||
Henry Hub | 498 | ICE | 5,863,856 USD | 12/28/22 | $ | 3,158,659 | ||||||||||||||
Henry Hub | 336 | ICE | 5,276,945 USD | 01/27/23 | 550,135 | |||||||||||||||
Henry Hub | 186 | ICE | 2,891,443 USD | 02/24/23 | (88,423 | ) | ||||||||||||||
Henry Hub | 713 | ICE | 6,190,572 USD | 12/29/25 | 2,975,043 | |||||||||||||||
Henry Hub | 644 | ICE | 5,591,484 USD | 01/28/26 | 2,442,416 | |||||||||||||||
Henry Hub | 713 | ICE | 6,190,572 USD | 02/25/26 | 2,065,968 | |||||||||||||||
Henry Hub | 690 | ICE | 5,990,876 USD | 03/27/26 | 1,067,824 | |||||||||||||||
Henry Hub | 713 | ICE | 6,190,572 USD | 04/28/26 | 1,041,030 | |||||||||||||||
Henry Hub | 690 | ICE | 5,990,876 USD | 05/27/26 | 1,150,624 | |||||||||||||||
Henry Hub | 713 | ICE | 6,190,572 USD | 06/26/26 | 1,311,970 | |||||||||||||||
Henry Hub | 713 | ICE | 6,190,572 USD | 07/29/26 | 1,360,098 | |||||||||||||||
Henry Hub | 690 | ICE | 5,990,876 USD | 08/27/26 | 1,314,499 | |||||||||||||||
Henry Hub | 713 | ICE | 6,190,572 USD | 09/28/26 | 1,463,483 | |||||||||||||||
Henry Hub | 690 | ICE | 5,990,876 USD | 10/28/26 | 1,769,899 | |||||||||||||||
Henry Hub | 713 | ICE | 6,190,572 USD | 11/25/26 | 2,490,203 | |||||||||||||||
HSC Swing | 2 | ICE | 43,422 USD | 10/03/22 | (18,472 | ) | ||||||||||||||
ICE 3 Month Sonia | 231 | ICE | 55,011,848 GBP | 09/19/23 | (698,721 | ) | ||||||||||||||
ICE 3 Month Sonia | 74 | ICE | 17,466,543 GBP | 09/17/24 | 259 | |||||||||||||||
KOSPI 200 Index | 8 | KRX FM | 620,432,000 KRW | 12/08/22 | (38,815 | ) | ||||||||||||||
Lean Hogs | 403 | CME | 12,312,376 USD | 12/14/22 | (24,906 | ) | ||||||||||||||
Live Cattle | 368 | CME | 21,636,350 USD | 12/30/22 | 9,410 | |||||||||||||||
Low Sulphar Gasoil | 27 | ICE | 2,556,523 USD | 11/10/22 | (13,798 | ) | ||||||||||||||
Low Sulphar Gasoil | 46 | ICE | 4,267,627 USD | 12/12/22 | (117,277 | ) | ||||||||||||||
Low Sulphar Gasoil | 1 | ICE | 93,587 USD | 01/12/23 | (4,862 | ) | ||||||||||||||
Low Sulphar Gasoil | 1 | ICE | 89,589 USD | 02/10/23 | (2,364 | ) | ||||||||||||||
Michcon Swing | 1 | ICE | 17,081 USD | 10/03/22 | (4,368 | ) | ||||||||||||||
MSCI Emerging Market | 39 | ICE | 1,889,245 USD | 12/16/22 | (189,820 | ) | ||||||||||||||
MSCI Singapore Index | 20 | SGX | 561,368 SGD | 10/28/22 | (47 | ) | ||||||||||||||
Natural Gas | 109 | NYMEX | 8,636,573 USD | 10/27/22 | (1,261,633 | ) | ||||||||||||||
Natural Gas | 213 | NYMEX | 17,684,515 USD | 11/28/22 | (2,636,065 | ) | ||||||||||||||
Natural Gas | 169 | NYMEX | 4,749,191 USD | 12/28/22 | 7,498,239 | |||||||||||||||
Natural Gas | 84 | NYMEX | 5,995,234 USD | 02/24/23 | (931,714 | ) | ||||||||||||||
Natural Gas | 149 | NYMEX | 8,569,166 USD | 03/29/23 | (1,287,536 | ) | ||||||||||||||
Natural Gas | 15 | NYMEX | 837,078 USD | 03/29/23 | (104,028 | ) | ||||||||||||||
Natural Gas | 7 | NYMEX | 359,803 USD | 04/26/23 | (24,923 | ) | ||||||||||||||
Natural Gas | 31 | NYMEX | 1,500,763 USD | 04/26/23 | (17,723 | ) | ||||||||||||||
Natural Gas | 3 | NYMEX | 156,126 USD | 05/26/23 | (10,686 | ) | ||||||||||||||
Natural Gas | 31 | NYMEX | 1,500,763 USD | 05/26/23 | 2,117 | |||||||||||||||
Natural Gas | 31 | NYMEX | 1,500,763 USD | 06/28/23 | 22,577 | |||||||||||||||
Natural Gas | 46 | NYMEX | 2,623,121 USD | 07/27/23 | (358,081 | ) | ||||||||||||||
Natural Gas | 31 | NYMEX | 1,500,763 USD | 08/29/23 | 16,377 | |||||||||||||||
Natural Gas | 2 | NYMEX | 101,294 USD | 08/29/23 | (3,414 | ) | ||||||||||||||
Natural Gas | 314 | NYMEX | 12,528,286 USD | 09/27/23 | 3,061,814 | |||||||||||||||
Natural Gas | 100 | NYMEX | 5,234,072 USD | 10/27/23 | 30,928 | |||||||||||||||
Natural Gas | 31 | NYMEX | 1,767,945 USD | 11/28/23 | (49,925 | ) | ||||||||||||||
Natural Gas | 288 | NYMEX | 12,546,125 USD | 12/27/23 | 3,818,035 |
See Notes to Consolidated Financial Statements.
161
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Description | Contracts | Exchange | Notional Amount | Expiration Date | Value/ Unrealized Appreciation (Depreciation) | |||||||||||||||
Natural Gas | 86 | NYMEX | 4,670,082 USD | 01/29/24 | $ | 45,298 | ||||||||||||||
Natural Gas | 181 | NYMEX | 8,552,511 USD | 01/29/24 | 1,371,719 | |||||||||||||||
Natural Gas | 288 | NYMEX | 15,914,095 USD | 02/27/24 | (1,447,855 | ) | ||||||||||||||
Natural Gas | 13 | NYMEX | 569,023 USD | 03/26/24 | (6,643 | ) | ||||||||||||||
Natural Gas | 192 | NYMEX | 9,230,130 USD | 03/26/24 | (924,210 | ) | ||||||||||||||
Natural Gas | 64 | NYMEX | 2,462,663 USD | 04/26/24 | 270,777 | |||||||||||||||
Natural Gas | 171 | NYMEX | 8,339,274 USD | 04/26/24 | (1,035,864 | ) | ||||||||||||||
Natural Gas | 63 | NYMEX | 2,435,912 USD | 05/29/24 | 300,808 | |||||||||||||||
Natural Gas | 171 | NYMEX | 8,339,274 USD | 05/29/24 | (911,034 | ) | ||||||||||||||
Natural Gas | 64 | NYMEX | 2,462,663 USD | 06/26/24 | 369,337 | |||||||||||||||
Natural Gas | 171 | NYMEX | 8,339,274 USD | 06/26/24 | (772,524 | ) | ||||||||||||||
Natural Gas | 64 | NYMEX | 2,462,663 USD | 07/29/24 | 391,737 | |||||||||||||||
Natural Gas | 171 | NYMEX | 8,339,274 USD | 07/29/24 | (712,674 | ) | ||||||||||||||
Natural Gas | 63 | NYMEX | 2,435,912 USD | 08/28/24 | 364,438 | |||||||||||||||
Natural Gas | 171 | NYMEX | 8,339,274 USD | 08/28/24 | (738,324 | ) | ||||||||||||||
Natural Gas | 55 | NYMEX | 2,117,047 USD | 09/26/24 | 363,453 | |||||||||||||||
Natural Gas | 178 | NYMEX | 8,989,556 USD | 09/26/24 | (961,756 | ) | ||||||||||||||
Natural Gas | 15 | NYMEX | 401,277 USD | 10/29/24 | 313,323 | |||||||||||||||
Natural Gas | 196 | NYMEX | 9,512,937 USD | 10/29/24 | (175,497 | ) | ||||||||||||||
Natural Gas | 116 | NYMEX | 5,506,205 USD | 11/26/24 | 460,835 | |||||||||||||||
Natural Gas | 196 | NYMEX | 9,512,937 USD | 11/26/24 | 569,303 | |||||||||||||||
Natural Gas | 32 | NYMEX | 971,555 USD | 12/27/24 | 726,365 | |||||||||||||||
Natural Gas | 49 | NYMEX | 2,191,207 USD | 12/27/24 | 408,733 | |||||||||||||||
Natural Gas | 32 | NYMEX | 971,555 USD | 01/29/25 | 675,165 | |||||||||||||||
Natural Gas | 49 | NYMEX | 2,191,207 USD | 01/29/25 | 330,333 | |||||||||||||||
Natural Gas | 32 | NYMEX | 971,555 USD | 02/26/25 | 561,565 | |||||||||||||||
Natural Gas | 49 | NYMEX | 2,191,207 USD | 02/26/25 | 156,383 | |||||||||||||||
Natural Gas | 28 | NYMEX | 919,648 USD | 03/27/25 | 266,432 | |||||||||||||||
Natural Gas | 39 | NYMEX | 1,780,469 USD | 03/27/25 | (128,429 | ) | ||||||||||||||
Natural Gas | 28 | NYMEX | 919,648 USD | 04/28/25 | 255,792 | |||||||||||||||
Natural Gas | 39 | NYMEX | 1,780,469 USD | 04/28/25 | (143,249 | ) | ||||||||||||||
Natural Gas | 28 | NYMEX | 919,648 USD | 05/28/25 | 274,272 | |||||||||||||||
Natural Gas | 39 | NYMEX | 1,780,469 USD | 05/28/25 | (117,509 | ) | ||||||||||||||
Natural Gas | 28 | NYMEX | 919,648 USD | 06/26/25 | 294,992 | |||||||||||||||
Natural Gas | 39 | NYMEX | 1,780,469 USD | 06/26/25 | (88,649 | ) | ||||||||||||||
Natural Gas | 28 | NYMEX | 919,648 USD | 07/29/25 | 300,592 | |||||||||||||||
Natural Gas | 39 | NYMEX | 1,780,469 USD | 07/29/25 | (80,849 | ) | ||||||||||||||
Natural Gas | 28 | NYMEX | 919,648 USD | 08/27/25 | 294,152 | |||||||||||||||
Natural Gas | 39 | NYMEX | 1,780,469 USD | 08/27/25 | (89,819 | ) | ||||||||||||||
Natural Gas | 28 | NYMEX | 919,648 USD | 09/26/25 | 309,272 | |||||||||||||||
Natural Gas | 39 | NYMEX | 1,780,469 USD | 09/26/25 | (68,759 | ) | ||||||||||||||
Natural Gas | 32 | NYMEX | 971,555 USD | 10/29/25 | 499,485 | |||||||||||||||
Natural Gas | 49 | NYMEX | 2,191,207 USD | 10/29/25 | 61,323 | |||||||||||||||
Natural Gas | 32 | NYMEX | 971,555 USD | 11/25/25 | 619,485 | |||||||||||||||
Natural Gas | 49 | NYMEX | 2,191,207 USD | 11/25/25 | 245,073 | |||||||||||||||
Natural Gas | 54 | NYMEX | 2,034,693 USD | 12/29/26 | 684,747 |
See Notes to Consolidated Financial Statements.
162
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Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Description | Contracts | Exchange | Notional Amount | Expiration Date | Value/ Unrealized Appreciation (Depreciation) | |||||||||||||||
Natural Gas | 54 | NYMEX | 2,034,693 USD | 01/27/27 | $ | 597,807 | ||||||||||||||
Natural Gas | 54 | NYMEX | 2,034,693 USD | 02/24/27 | 398,547 | |||||||||||||||
Natural Gas | 54 | NYMEX | 2,034,693 USD | 03/29/27 | 101,547 | |||||||||||||||
Natural Gas | 54 | NYMEX | 2,034,693 USD | 04/28/27 | 91,827 | |||||||||||||||
Natural Gas | 54 | NYMEX | 2,034,693 USD | 05/26/27 | 132,867 | |||||||||||||||
Natural Gas | 54 | NYMEX | 2,034,693 USD | 06/28/27 | 175,527 | |||||||||||||||
Natural Gas | 54 | NYMEX | 2,034,693 USD | 07/28/27 | 189,567 | |||||||||||||||
Natural Gas | 54 | NYMEX | 2,034,693 USD | 08/27/27 | 183,087 | |||||||||||||||
Natural Gas | 54 | NYMEX | 2,034,693 USD | 09/28/27 | 198,207 | |||||||||||||||
Natural Gas | 54 | NYMEX | 2,034,693 USD | 10/27/27 | 305,127 | |||||||||||||||
Natural Gas | 54 | NYMEX | 2,034,693 USD | 11/26/27 | 505,467 | |||||||||||||||
New Zealand Dollar Currency | 159 | CME | 9,471,728 USD | 12/19/22 | (546,263 | ) | ||||||||||||||
NGPL Midcon Basis | 62 | ICE | 90,342 USD | 08/02/23 | 333 | |||||||||||||||
Nickel | 6 | ICE | 799,538 USD | 12/21/22 | (40,226 | ) | ||||||||||||||
NY Harbor ULSD | 22 | NYMEX | 3,207,775 USD | 10/31/22 | (231,016 | ) | ||||||||||||||
NY Harbor ULSD | 2 | NYMEX | 269,994 USD | 11/30/22 | (7,326 | ) | ||||||||||||||
OML Stockholm OMXS30 Index | 23 | ICE | 4,414,208 SEK | 10/21/22 | (18,491 | ) | ||||||||||||||
Panhandle Basis | 30 | ICE | 78,776 USD | 11/02/22 | (17,089 | ) | ||||||||||||||
Silver | 3 | COMEX | 289,527 USD | 12/28/22 | (3,942 | ) | ||||||||||||||
Soybean | 544 | CBOT | 22,782,720 USD | 01/13/23 | (952,000 | ) | ||||||||||||||
Soybean | 248 | CBOT | 18,280,730 USD | 01/13/23 | (1,224,530 | ) | ||||||||||||||
Soybean Oil | 16 | CBOT | 614,333 USD | 01/13/23 | (29,789 | ) | ||||||||||||||
SPI 200 | 29 | ICE | 4,967,759 AUD | 12/15/22 | (179,044 | ) | ||||||||||||||
Sugar 11 | 803 | ICE | 15,758,156 USD | 02/28/23 | 142,529 | |||||||||||||||
Swiss Market Index | 16 | Eurex | 1,719,070 CHF | 12/16/22 | (78,677 | ) | ||||||||||||||
Topix | 56 | ICE | 1,060,336,240 JPY | 12/08/22 | (222,319 | ) | ||||||||||||||
U.S. Treasury 10-Year Note | 3,614 | CBOT | 411,825,989 USD | 12/20/22 | (6,832,114 | ) | ||||||||||||||
Waha Gas | 60 | ICE | 2,303 USD | 10/04/22 | 296,302 | |||||||||||||||
Waha Gas Basis | 30 | ICE | 80,276 USD | 04/02/24 | (17,276 | ) | ||||||||||||||
Waha Gas Basis | 31 | ICE | 82,952 USD | 05/02/24 | (17,852 | ) | ||||||||||||||
Waha Gas Basis | 30 | ICE | 80,276 USD | 06/04/24 | (17,276 | ) | ||||||||||||||
Waha Gas Basis | 31 | ICE | 82,952 USD | 07/02/24 | (17,852 | ) | ||||||||||||||
Waha Gas Basis | 31 | ICE | 82,952 USD | 08/02/24 | (17,852 | ) | ||||||||||||||
Waha Gas Basis | 30 | ICE | 80,276 USD | 09/04/24 | (17,276 | ) | ||||||||||||||
Waha Gas Basis | 62 | LME | 148,854 USD | 10/02/24 | 6,146 | |||||||||||||||
Wheat | 16 | CBOT | 697,132 USD | 03/14/23 | 48,468 | |||||||||||||||
WTI Crude | 35 | NYMEX | 3,033,956 USD | 10/20/22 | (251,806 | ) | ||||||||||||||
WTI Crude | 28 | NYMEX | 2,269,743 USD | 11/21/22 | (65,583 | ) | ||||||||||||||
WTI Crude | 6 | NYMEX | 486,201 USD | 03/21/23 | (38,541 | ) | ||||||||||||||
WTI Crude | 3 | NYMEX | 252,967 USD | 05/22/23 | (33,967 | ) | ||||||||||||||
WTI Crude | 33 | NYMEX | 2,427,881 USD | 11/20/23 | (129,101 | ) | ||||||||||||||
Zinc | 6 | LME | 501,218 USD | 12/21/22 | (53,768 | ) | ||||||||||||||
|
| |||||||||||||||||||
$ | 21,529,384 | |||||||||||||||||||
|
|
See Notes to Consolidated Financial Statements.
163
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Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Description | Contracts | Exchange | Notional Amount | Expiration Date | Value/ Unrealized Appreciation (Depreciation) | |||||||||||||||
Short Futures | ||||||||||||||||||||
3 Month Eurodollar | 819 | ICE | 201,021,011 EUR | 12/19/22 | $ | 850,339 | ||||||||||||||
3 Month Eurodollar | 74 | ICE | 18,016,087 EUR | 09/18/23 | 86,894 | |||||||||||||||
3 Month Eurodollar | 240 | ICE | 58,239,852 EUR | 12/18/23 | 62,578 | |||||||||||||||
3 Month Eurodollar | 226 | ICE | 55,165,929 EUR | 03/18/24 | 356,497 | |||||||||||||||
3 Month Eurodollar | 290 | ICE | 70,810,271 EUR | 09/16/24 | 436,511 | |||||||||||||||
90 Day Eurodollar | 302 | CME | 72,417,205 USD | 12/19/22 | 458,155 | |||||||||||||||
90 Day Eurodollar | 15 | CME | 3,594,423 USD | 03/13/23 | 20,861 | |||||||||||||||
90 Day Eurodollar | 111 | CME | 26,536,594 USD | 06/19/23 | 81,131 | |||||||||||||||
90 Day Eurodollar | 92 | CME | 22,014,502 USD | 09/18/23 | 67,902 | |||||||||||||||
90 Day Eurodollar | 14 | CME | 3,388,363 USD | 12/18/23 | 45,513 | |||||||||||||||
90 Day Eurodollar | 191 | CME | 45,981,903 USD | 03/18/24 | 299,478 | |||||||||||||||
90 Day Eurodollar | 412 | CME | 99,294,022 USD | 06/17/24 | 589,122 | |||||||||||||||
90 Day Eurodollar | 3 | CME | 720,630 USD | 09/16/24 | 1,005 | |||||||||||||||
90 Day Eurodollar | 11 | CME | 2,678,709 USD | 03/17/25 | 35,409 | |||||||||||||||
90 Day Eurodollar | 9 | CME | 2,183,776 USD | 06/16/25 | 20,289 | |||||||||||||||
90 Day Eurodollar | 11 | CME | 2,664,784 USD | 09/15/25 | 19,834 | |||||||||||||||
90 Day Eurodollar | 5 | CME | 1,210,537 USD | 12/15/25 | 8,099 | |||||||||||||||
90 Day Eurodollar | 10 | CME | 2,432,861 USD | 03/16/26 | 28,111 | |||||||||||||||
90 Day Eurodollar | 5 | CME | 1,209,612 USD | 06/15/26 | 7,299 | |||||||||||||||
90 Day Eurodollar | 5 | CME | 1,209,399 USD | 09/14/26 | 7,149 | |||||||||||||||
90 Day Eurodollar | 2 | ICE | 481,495 USD | 12/14/26 | 670 | |||||||||||||||
90 Day Eurodollar | 3 | LME | 722,505 USD | 03/15/27 | 1,417 | |||||||||||||||
90 Day Eurodollar | 3 | CME | 722,342 USD | 06/14/27 | 1,405 | |||||||||||||||
Aluminum | 2 | LME | 181,742 USD | 12/19/22 | 73,692 | |||||||||||||||
Australian dollar Currency | 31 | CME | 2,070,736 USD | 12/19/22 | 81,931 | |||||||||||||||
Brent Crude | 23 | NYMEX | 2,175,479 USD | 10/31/22 | 217,259 | |||||||||||||||
Brent Crude | 37 | ICE | 3,147,738 USD | 10/31/22 | (2,442 | ) | ||||||||||||||
Brent Crude | 8 | ICE | 635,621 USD | 03/31/23 | 5,781 | |||||||||||||||
Brent Crude | 84 | ICE | 6,663,681 USD | 10/31/23 | 380,481 | |||||||||||||||
Brent Crude | 5 | NYMEX | 403,341 USD | 10/31/23 | 29,341 | |||||||||||||||
British Pound Currency | 18 | CME | 1,293,718 USD | 12/19/22 | 35,856 | |||||||||||||||
California Carbon Allowance Vintage Specific 2022 | 3,116 | ICE | 88,318,154 USD | 12/23/22 | 4,965,154 | |||||||||||||||
California Carbon Allowance Vintage Specific 2023 | 1,720 | ICE | 48,442,084 USD | 03/28/23 | 1,606,484 | |||||||||||||||
California Carbon Allowance Vintage Specific 2023 | 8,916 | ICE | 280,338,802 USD | 12/22/23 | 23,468,842 | |||||||||||||||
Canadian 10- Year Bonds | 2 | CDE | 247,594 CAD | 12/19/22 | 300 | |||||||||||||||
Canadian Dollar Currency | 41 | CME | 3,077,612 USD | 12/20/22 | 109,417 | |||||||||||||||
CBOE Volatility Index | 50 | CFE | 1,514,807 USD | 10/19/22 | (60,993 | ) | ||||||||||||||
CBOE Volatility Index | 268 | CFE | 7,978,069 USD | 01/18/23 | (250,094 | ) | ||||||||||||||
CBOE Volatility Index | 2 | CFE | 59,524 USD | 02/15/23 | (1,096 | ) |
See Notes to Consolidated Financial Statements.
164
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Description | Contracts | Exchange | Notional Amount | Expiration Date | Value/ Unrealized Appreciation (Depreciation) | |||||||||||||||
CME E-Mini Standard & Poor’s MidCap 400 Index | 7 | CME | 1,631,984 USD | 12/16/22 | $ | 86,244 | ||||||||||||||
Cocoa | 2,248 | ICE | 54,470,252 USD | 03/16/23 | 1,867,052 | |||||||||||||||
Coffee ‘C’ | 180 | ICE | 15,831,398 USD | 12/19/22 | 876,773 | |||||||||||||||
Copper | 27 | COMEX | 2,322,782 USD | 12/28/22 | 19,345 | |||||||||||||||
Copper | 174 | COMEX | 14,766,157 USD | 03/29/23 | 2,257 | |||||||||||||||
Corn | 725 | CBOT | 23,621,777 USD | 12/14/22 | (937,598 | ) | ||||||||||||||
Cotton No.2 | 60 | ICE | 3,415,999 USD | 12/07/22 | 855,799 | |||||||||||||||
DAX Index | 14 | Eurex | 4,545,996 EUR | 12/16/22 | 293,129 | |||||||||||||||
DJIA mini E-CBOT | 4 | ICE | 583,468 USD | 12/16/22 | 7,448 | |||||||||||||||
Dominion SP | 31 | ICE | 70,165 USD | 03/02/23 | (17,271 | ) | ||||||||||||||
Dominion SP | 31 | ICE | 43,427 USD | 03/04/24 | 942 | |||||||||||||||
E-mini Russell 2000 | 559 | CME | 51,526,738 USD | 12/16/22 | 4,855,828 | |||||||||||||||
Euro BOBL | 171 | Eurex | 20,781,468 EUR | 12/08/22 | 298,149 | |||||||||||||||
Euro BTP | 7 | Eurex | 819,566 EUR | 12/08/22 | 34,994 | |||||||||||||||
Euro FX | 108 | CME | 13,565,008 USD | 12/19/22 | 251,983 | |||||||||||||||
Euro OAT | 10 | Eurex | 1,373,958 EUR | 12/08/22 | 51,705 | |||||||||||||||
Euro Stoxx 50 | 42 | Eurex | 1,481,903 EUR | 12/16/22 | 87,815 | |||||||||||||||
Euro-Bund | 126 | Eurex | 18,059,304 EUR | 12/08/22 | 597,404 | |||||||||||||||
Euro-BUXL 30- Year Bonds | 66 | Eurex | 10,169,466 EUR | 12/08/22 | 481,426 | |||||||||||||||
FTSE 100 Index | 25 | ICE | 1,746,170 GBP | 12/16/22 | 19,589 | |||||||||||||||
Gasoline RBOB | 32 | NYMEX | 3,136,930 USD | 11/30/22 | 74,088 | |||||||||||||||
Globex Natural Gas | 14 | NYMEX | 578,176 USD | 10/26/22 | (369,064 | ) | ||||||||||||||
Globex Natural Gas | 3 | NYMEX | 263,995 USD | 11/25/22 | 52,045 | |||||||||||||||
Globex Natural Gas | 93 | NYMEX | 6,200,240 USD | 12/27/22 | (539,470 | ) | ||||||||||||||
Globex Natural Gas | 26 | NYMEX | 1,711,355 USD | 02/23/23 | 144,075 | |||||||||||||||
Globex Natural Gas | 9 | NYMEX | 412,185 USD | 03/28/23 | (27,645 | ) | ||||||||||||||
Globex Natural Gas | 9 | NYMEX | 412,185 USD | 04/25/23 | (18,375 | ) | ||||||||||||||
Globex Natural Gas | 9 | NYMEX | 412,185 USD | 05/25/23 | (24,135 | ) | ||||||||||||||
Globex Natural Gas | 9 | NYMEX | 412,185 USD | 06/27/23 | (30,075 | ) | ||||||||||||||
Globex Natural Gas | 9 | NYMEX | 412,185 USD | 07/26/23 | (30,975 | ) | ||||||||||||||
Globex Natural Gas | 9 | NYMEX | 412,185 USD | 08/28/23 | (28,275 | ) | ||||||||||||||
Globex Natural Gas | 13 | NYMEX | 595,378 USD | 09/26/23 | (50,072 | ) | ||||||||||||||
Globex Natural Gas | 11 | NYMEX | 384,981 USD | 12/26/23 | (240,039 | ) | ||||||||||||||
Globex Natural Gas | 11 | NYMEX | 384,981 USD | 01/26/24 | (218,149 | ) | ||||||||||||||
Globex Natural Gas | 11 | NYMEX | 384,981 USD | 02/26/24 | (167,549 | ) | ||||||||||||||
Globex Natural Gas | 20 | NYMEX | 779,966 USD | 03/25/24 | (85,234 | ) | ||||||||||||||
Globex Natural Gas | 20 | NYMEX | 779,966 USD | 04/25/24 | (74,234 | ) | ||||||||||||||
Globex Natural Gas | 20 | NYMEX | 779,966 USD | 05/28/24 | (88,834 | ) | ||||||||||||||
Globex Natural Gas | 20 | NYMEX | 779,966 USD | 06/25/24 | (105,034 | ) | ||||||||||||||
Globex Natural Gas | 20 | NYMEX | 779,966 USD | 07/26/24 | (112,034 | ) | ||||||||||||||
Globex Natural Gas | 20 | NYMEX | 779,966 USD | 08/27/24 | (109,034 | ) | ||||||||||||||
Globex Natural Gas | 20 | NYMEX | 779,966 USD | 09/25/24 | (122,034 | ) | ||||||||||||||
Globex Natural Gas | 11 | NYMEX | 384,981 USD | 10/28/24 | (139,059 | ) |
See Notes to Consolidated Financial Statements.
165
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Description | Contracts | Exchange | Notional Amount | Expiration Date | Value/ Unrealized Appreciation (Depreciation) | |||||||||||||||
Globex Natural Gas | 11 | NYMEX | 384,981 USD | 11/25/24 | $ | (180,859 | ) | |||||||||||||
Globex Natural Gas | 26 | NYMEX | 1,008,155 USD | 12/26/24 | (371,405 | ) | ||||||||||||||
Globex Natural Gas | 26 | NYMEX | 1,008,155 USD | 01/28/25 | (329,805 | ) | ||||||||||||||
Globex Natural Gas | 26 | NYMEX | 1,008,155 USD | 02/25/25 | (237,505 | ) | ||||||||||||||
Globex Natural Gas | 26 | NYMEX | 1,008,155 USD | 03/26/25 | (93,205 | ) | ||||||||||||||
Globex Natural Gas | 26 | NYMEX | 1,008,155 USD | 04/25/25 | (83,325 | ) | ||||||||||||||
Globex Natural Gas | 26 | NYMEX | 1,008,155 USD | 05/27/25 | (100,485 | ) | ||||||||||||||
Globex Natural Gas | 26 | NYMEX | 1,008,155 USD | 06/25/25 | (119,725 | ) | ||||||||||||||
Globex Natural Gas | 26 | NYMEX | 1,008,155 USD | 07/28/25 | (124,925 | ) | ||||||||||||||
Globex Natural Gas | 26 | NYMEX | 1,008,155 USD | 08/26/25 | (118,945 | ) | ||||||||||||||
Globex Natural Gas | 26 | NYMEX | 1,008,155 USD | 09/25/25 | (132,985 | ) | ||||||||||||||
Globex Natural Gas | 26 | NYMEX | 1,008,155 USD | 10/28/25 | (187,065 | ) | ||||||||||||||
Globex Natural Gas | 26 | NYMEX | 1,008,155 USD | 11/24/25 | (284,565 | ) | ||||||||||||||
Gold 100 OZ | 25 | COMEX | 4,289,243 USD | 12/28/22 | 109,243 | |||||||||||||||
Henry Hub | 21 | NYMEX | 166,934 USD | 10/26/22 | (188,281 | ) | ||||||||||||||
Henry Hub | 21 | NYMEX | 166,934 USD | 11/25/22 | (203,978 | ) | ||||||||||||||
Henry Hub | 153 | NYMEX | 1,746,045 USD | 12/27/22 | (1,025,933 | ) | ||||||||||||||
Henry Hub | 98 | NYMEX | 752,559 USD | 01/26/23 | (947,006 | ) | ||||||||||||||
Henry Hub | 172 | NYMEX | 2,349,915 USD | 02/23/23 | (242,125 | ) | ||||||||||||||
Henry Hub | 87 | NYMEX | 1,212,324 USD | 03/28/23 | 149,401 | |||||||||||||||
Henry Hub | 351 | ICE | 4,393,043 USD | 03/29/23 | 104,700 | |||||||||||||||
Henry Hub | 87 | NYMEX | 1,212,324 USD | 04/25/23 | 171,804 | |||||||||||||||
Henry Hub | 357 | ICE | 4,417,038 USD | 04/26/23 | 147,318 | |||||||||||||||
Henry Hub | 87 | NYMEX | 1,212,324 USD | 05/25/23 | 157,884 | |||||||||||||||
Henry Hub | 351 | ICE | 4,341,293 USD | 05/26/23 | 87,173 | |||||||||||||||
Henry Hub | 87 | NYMEX | 1,212,324 USD | 06/27/23 | 143,529 | |||||||||||||||
Henry Hub | 357 | ICE | 4,417,038 USD | 06/28/23 | 31,293 | |||||||||||||||
Henry Hub | 87 | NYMEX | 1,212,324 USD | 07/26/23 | 141,354 | |||||||||||||||
Henry Hub | 357 | ICE | 4,417,038 USD | 07/27/23 | 22,368 | |||||||||||||||
Henry Hub | 87 | NYMEX | 1,212,324 USD | 08/28/23 | 147,879 | |||||||||||||||
Henry Hub | 351 | ICE | 4,341,293 USD | 08/29/23 | 46,808 | |||||||||||||||
Henry Hub | 87 | NYMEX | 1,212,324 USD | 09/26/23 | 132,436 | |||||||||||||||
Henry Hub | 1,043 | ICE | 10,346,808 USD | 09/27/23 | (2,599,429 | ) | ||||||||||||||
Henry Hub | 86 | NYMEX | 537,769 USD | 10/26/23 | (594,206 | ) | ||||||||||||||
Henry Hub | 86 | Euronext | 537,769 USD | 11/27/23 | (653,761 | ) | ||||||||||||||
Henry Hub | 441 | ICE | 5,567,239 USD | 12/27/23 | (697,166 | ) | ||||||||||||||
Henry Hub | 1,093 | ICE | 12,029,049 USD | 01/29/24 | (2,953,248 | ) | ||||||||||||||
Henry Hub | 1,127 | ICE | 12,336,261 USD | 02/27/24 | (1,816,041 | ) | ||||||||||||||
Henry Hub | 170 | NYMEX | 1,109,124 USD | 03/25/24 | (729,426 | ) | ||||||||||||||
Henry Hub | 656 | ICE | �� | 8,162,426 USD | 03/26/24 | 1,067,786 | ||||||||||||||
Henry Hub | 170 | NYMEX | 1,109,124 USD | 04/25/24 | (706,051 | ) | ||||||||||||||
Henry Hub | 681 | ICE | 8,401,819 USD | 04/26/24 | 1,130,442 | |||||||||||||||
Henry Hub | 170 | NYMEX | 1,109,124 USD | 05/28/24 | (737,076 | ) | ||||||||||||||
Henry Hub | 656 | ICE | 8,162,426 USD | 05/29/24 | 1,038,266 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Description | Contracts | Exchange | Notional Amount | Expiration Date | Value/ Unrealized Appreciation (Depreciation) | |||||||||||||||
Henry Hub | 170 | NYMEX | 1,109,124 USD | 06/25/24 | $ | (771,501 | ) | |||||||||||||
Henry Hub | 681 | ICE | 8,401,819 USD | 06/26/24 | 868,257 | |||||||||||||||
Henry Hub | 170 | NYMEX | 1,109,124 USD | 07/26/24 | (786,376 | ) | ||||||||||||||
Henry Hub | 681 | ICE | 8,401,819 USD | 07/29/24 | 808,669 | |||||||||||||||
Henry Hub | 170 | NYMEX | 1,109,124 USD | 08/27/24 | (780,001 | ) | ||||||||||||||
Henry Hub | 656 | ICE | 8,162,426 USD | 08/28/24 | 872,626 | |||||||||||||||
Henry Hub | 170 | NYMEX | 1,109,124 USD | 09/25/24 | (807,626 | ) | ||||||||||||||
Henry Hub | 681 | ICE | 8,401,819 USD | 09/26/24 | 723,544 | |||||||||||||||
Henry Hub | 1,170 | ICE | 12,574,861 USD | 10/29/24 | (1,359,839 | ) | ||||||||||||||
Henry Hub | 1,189 | ICE | 12,741,540 USD | 11/26/24 | (2,549,000 | ) | ||||||||||||||
Henry Hub | 6 | NYMEX | 59,695 USD | 12/26/24 | (19,895 | ) | ||||||||||||||
Henry Hub | 155 | ICE | 1,724,472 USD | 12/27/24 | (331,603 | ) | ||||||||||||||
Henry Hub | 6 | NYMEX | 59,695 USD | 01/28/25 | (17,495 | ) | ||||||||||||||
Henry Hub | 140 | ICE | 1,557,588 USD | 01/29/25 | (243,513 | ) | ||||||||||||||
Henry Hub | 6 | NYMEX | 59,695 USD | 02/25/25 | (12,170 | ) | ||||||||||||||
Henry Hub | 155 | ICE | 1,724,472 USD | 02/26/25 | (132,041 | ) | ||||||||||||||
Henry Hub | 6 | NYMEX | 59,695 USD | 03/26/25 | (3,845 | ) | ||||||||||||||
Henry Hub | 150 | ICE | 1,668,844 USD | 03/27/25 | 80,344 | |||||||||||||||
Henry Hub | 6 | NYMEX | 59,695 USD | 04/25/25 | (3,275 | ) | ||||||||||||||
Henry Hub | 155 | ICE | 1,724,472 USD | 04/28/25 | 97,747 | |||||||||||||||
Henry Hub | 6 | NYMEX | 59,695 USD | 05/27/25 | (4,265 | ) | ||||||||||||||
Henry Hub | 150 | ICE | 1,668,844 USD | 05/28/25 | 69,844 | |||||||||||||||
Henry Hub | 6 | NYMEX | 59,695 USD | 06/25/25 | (5,375 | ) | ||||||||||||||
Henry Hub | 155 | ICE | 1,724,472 USD | 06/26/25 | 43,497 | |||||||||||||||
Henry Hub | 6 | NYMEX | 59,695 USD | 07/28/25 | (5,675 | ) | ||||||||||||||
Henry Hub | 155 | ICE | 1,724,472 USD | 07/29/25 | 35,747 | |||||||||||||||
Henry Hub | 6 | NYMEX | 59,695 USD | 08/26/25 | (5,330 | ) | ||||||||||||||
Henry Hub | 150 | ICE | 1,668,844 USD | 08/27/25 | 43,219 | |||||||||||||||
Henry Hub | 6 | NYMEX | 59,695 USD | 09/25/25 | (6,140 | ) | ||||||||||||||
Henry Hub | 155 | ICE | 1,724,472 USD | 09/26/25 | 23,734 | |||||||||||||||
Henry Hub | 6 | NYMEX | 59,695 USD | 10/28/25 | (9,260 | ) | ||||||||||||||
Henry Hub | 150 | ICE | 1,668,844 USD | 10/29/25 | (55,031 | ) | ||||||||||||||
Henry Hub | 6 | NYMEX | 59,695 USD | 11/24/25 | (14,885 | ) | ||||||||||||||
Henry Hub | 155 | ICE | 1,724,472 USD | 11/25/25 | (202,178 | ) | ||||||||||||||
Henry Hub | 1 | ICE | 10,424 USD | 12/29/26 | (2,166 | ) | ||||||||||||||
Henry Hub | 4 | ICE | 41,697 USD | 01/27/27 | (7,054 | ) | ||||||||||||||
Henry Hub | 1 | ICE | 10,424 USD | 02/24/27 | (841 | ) | ||||||||||||||
Henry Hub | 2 | ICE | 20,848 USD | 03/29/27 | 1,068 | |||||||||||||||
Henry Hub | 1 | ICE | 10,424 USD | 04/28/27 | 579 | |||||||||||||||
Henry Hub | 2 | ICE | 20,848 USD | 05/26/27 | 778 | |||||||||||||||
Henry Hub | 1 | ICE | 10,424 USD | 06/28/27 | 192 | |||||||||||||||
Henry Hub | 1 | ICE | 10,424 USD | 07/28/27 | 127 | |||||||||||||||
Henry Hub | 2 | ICE | 20,848 USD | 08/27/27 | 283 | |||||||||||||||
Henry Hub | 1 | ICE | 10,424 USD | 09/28/27 | 72 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Description | Contracts | Exchange | Notional Amount | Expiration Date | Value/ Unrealized Appreciation (Depreciation) | |||||||||||||||
Henry Hub | 2 | ICE | 20,848 USD | 10/27/27 | $ | (847 | ) | |||||||||||||
Henry Hub | 1 | ICE | 10,424 USD | 11/26/27 | (1,351 | ) | ||||||||||||||
Henry Swing | 1 | ICE | 19,529 USD | 10/03/22 | 3,067 | �� | ||||||||||||||
HSC Index | 60 | ICE | 105 USD | 10/04/22 | (242,220 | ) | ||||||||||||||
ICE 3 Month Sonia | 232 | ICE | 55,300,014 GBP | 06/20/23 | 721,977 | |||||||||||||||
ICE 3 Month Sonia | 144 | ICE | 33,987,830 GBP | 12/19/23 | 84,668 | |||||||||||||||
ICE 3 Month Sonia | 94 | ICE | 22,159,635 GBP | 03/19/24 | 6,906 | |||||||||||||||
ICE 3 Month Sonia | 31 | ICE | 7,316,311 GBP | 06/18/24 | 5,972 | |||||||||||||||
ICE 3 Month Sonia | 182 | ICE | 43,403,543 GBP | 12/17/24 | 443,207 | |||||||||||||||
IFSC AUDUSD | 2 | CME | 37,076 USD | 10/03/22 | 17,101 | |||||||||||||||
japan Yen Currency | 39 | KRX FM | 3,423,378 USD | 12/19/22 | 28,672 | |||||||||||||||
Lean Hogs | 478 | CME | 15,323,384 USD | 02/14/23 | 137,324 | |||||||||||||||
Live Cattle | 444 | CME | 26,804,136 USD | 02/28/23 | 48,696 | |||||||||||||||
Long Gilt | 2 | ICE | 214,074 GBP | 12/28/22 | 23,753 | |||||||||||||||
Low Sulphar Gasoil | 33 | ICE | 3,199,998 USD | 11/10/22 | 92,223 | |||||||||||||||
Mexican Peso Currency | 56 | CME | 1,374,845 USD | 12/19/22 | 2,565 | |||||||||||||||
Michcon Basis | 90 | ICE | 1,421 USD | 10/04/22 | (362,291 | ) | ||||||||||||||
Michcon Basis | 93 | ICE | 15,194 USD | 03/02/23 | 17,937 | |||||||||||||||
NASDAQ 100 E-Mini | 9 | CME | 2,138,375 USD | 12/16/22 | 151,985 | |||||||||||||||
Natural Gas | 112 | NYMEX | 9,135,217 USD | 10/27/22 | 1,557,297 | |||||||||||||||
Natural Gas | 173 | NYMEX | 13,469,196 USD | 10/27/22 | 1,764,016 | |||||||||||||||
Natural Gas | 21 | NYMEX | 155,400 USD | 10/27/22 | (199,815 | ) | ||||||||||||||
Natural Gas | 157 | ICE | 8,193,700 USD | 11/28/22 | (2,898,350 | ) | ||||||||||||||
Natural Gas | 21 | NYMEX | 155,400 USD | 11/28/22 | (215,513 | ) | ||||||||||||||
Natural Gas | 1 | NYMEX | 6,769 USD | 12/28/22 | (11,349 | ) | ||||||||||||||
Natural Gas | 350 | NYMEX | 28,214,319 USD | 12/28/22 | 2,849,819 | |||||||||||||||
Natural Gas | 87 | NYMEX | 7,179,390 USD | 01/27/23 | 1,144,200 | |||||||||||||||
Natural Gas | 4 | NYMEX | 27,101 USD | 01/27/23 | (42,269 | ) | ||||||||||||||
Natural Gas | 23 | NYMEX | 1,816,199 USD | 01/27/23 | 220,689 | |||||||||||||||
Natural Gas | 53 | NYMEX | 2,351,109 USD | 02/24/23 | (843,731 | ) | ||||||||||||||
Natural Gas | 1 | NYMEX | 6,769 USD | 02/24/23 | (8,301 | ) | ||||||||||||||
Natural Gas | 2 | NYMEX | 13,546 USD | 03/29/23 | (10,889 | ) | ||||||||||||||
Natural Gas | 192 | NYMEX | 8,087,500 USD | 03/29/23 | (1,295,540 | ) | ||||||||||||||
Natural Gas | 76 | NYMEX | 3,577,025 USD | 04/26/23 | (58,815 | ) | ||||||||||||||
Natural Gas | 1 | NYMEX | 6,769 USD | 04/26/23 | (5,191 | ) | ||||||||||||||
Natural Gas | 72 | NYMEX | 3,363,743 USD | 05/26/23 | (126,817 | ) | ||||||||||||||
Natural Gas | 2 | NYMEX | 13,546 USD | 05/26/23 | (10,694 | ) | ||||||||||||||
Natural Gas | 73 | NYMEX | 4,109,851 USD | 06/28/23 | 522,631 | |||||||||||||||
Natural Gas | 1 | NYMEX | 6,769 USD | 06/28/23 | (5,516 | ) | ||||||||||||||
Natural Gas | 7 | NYMEX | 363,147 USD | 07/27/23 | 18,467 | |||||||||||||||
Natural Gas | 87 | NYMEX | 5,132,850 USD | 07/27/23 | 848,970 | |||||||||||||||
Natural Gas | 1 | NYMEX | 6,769 USD | 07/27/23 | (5,541 | ) | ||||||||||||||
Natural Gas | 76 | NYMEX | 3,412,385 USD | 08/29/23 | (307,055 | ) | ||||||||||||||
Natural Gas | 2 | NYMEX | 13,546 USD | 08/29/23 | (10,924 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Description | Contracts | Exchange | Notional Amount | Expiration Date | Value/ Unrealized Appreciation (Depreciation) | |||||||||||||||
Natural Gas | 1 | NYMEX | 6,778 USD | 09/27/23 | $ | (5,635 | ) | |||||||||||||
Natural Gas | 183 | NYMEX | 10,741,785 USD | 09/27/23 | 1,655,835 | |||||||||||||||
Natural Gas | 2 | NYMEX | 13,555 USD | 10/27/23 | (12,770 | ) | ||||||||||||||
Natural Gas | 19 | NYMEX | 570,517 USD | 10/27/23 | (429,833 | ) | ||||||||||||||
Natural Gas | 1 | NYMEX | 6,778 USD | 11/28/23 | (7,078 | ) | ||||||||||||||
Natural Gas | 19 | NYMEX | 570,517 USD | 11/28/23 | (482,463 | ) | ||||||||||||||
Natural Gas | 121 | NYMEX | 7,157,076 USD | 12/27/23 | 281,856 | |||||||||||||||
Natural Gas | 11 | NYMEX | 451,291 USD | 02/27/24 | (101,239 | ) | ||||||||||||||
Natural Gas | 33 | NYMEX | 1,472,942 USD | 12/29/25 | (223,918 | ) | ||||||||||||||
Natural Gas | 141 | NYMEX | 5,123,357 USD | 12/29/25 | (2,126,863 | ) | ||||||||||||||
Natural Gas | 33 | NYMEX | 1,472,542 USD | 01/28/26 | (174,158 | ) | ||||||||||||||
Natural Gas | 141 | NYMEX | 5,123,357 USD | 01/28/26 | (1,912,543 | ) | ||||||||||||||
Natural Gas | 33 | NYMEX | 1,472,542 USD | 02/25/26 | (56,018 | ) | ||||||||||||||
Natural Gas | 141 | NYMEX | 5,123,357 USD | 02/25/26 | (1,407,763 | ) | ||||||||||||||
Natural Gas | 33 | NYMEX | 1,472,942 USD | 03/27/26 | 122,582 | |||||||||||||||
Natural Gas | 141 | NYMEX | 5,123,357 USD | 03/27/26 | (646,363 | ) | ||||||||||||||
Natural Gas | 33 | NYMEX | 1,472,542 USD | 04/28/26 | 133,732 | |||||||||||||||
Natural Gas | 141 | NYMEX | 5,123,357 USD | 04/28/26 | (597,013 | ) | ||||||||||||||
Natural Gas | 33 | NYMEX | 1,472,942 USD | 05/27/26 | 106,742 | |||||||||||||||
Natural Gas | 141 | NYMEX | 5,123,357 USD | 05/27/26 | (714,043 | ) | ||||||||||||||
Natural Gas | 33 | NYMEX | 1,472,542 USD | 06/26/26 | 83,572 | |||||||||||||||
Natural Gas | 141 | NYMEX | 5,123,357 USD | 06/26/26 | (811,333 | ) | ||||||||||||||
Natural Gas | 33 | NYMEX | 1,472,542 USD | 07/29/26 | 74,662 | |||||||||||||||
Natural Gas | 141 | NYMEX | 5,123,357 USD | 07/29/26 | (849,403 | ) | ||||||||||||||
Natural Gas | 33 | NYMEX | 1,472,942 USD | 08/27/26 | 75,392 | |||||||||||||||
Natural Gas | 141 | NYMEX | 5,123,357 USD | 08/27/26 | (847,993 | ) | ||||||||||||||
Natural Gas | 33 | NYMEX | 1,472,542 USD | 09/28/26 | 55,522 | |||||||||||||||
Natural Gas | 141 | NYMEX | 5,123,357 USD | 09/28/26 | (931,183 | ) | ||||||||||||||
Natural Gas | 33 | NYMEX | 1,472,542 USD | 10/28/26 | (12,128 | ) | ||||||||||||||
Natural Gas | 141 | NYMEX | 5,123,357 USD | 10/28/26 | (1,220,233 | ) | ||||||||||||||
Natural Gas | 33 | NYMEX | 1,472,542 USD | 11/25/26 | (134,558 | ) | ||||||||||||||
Natural Gas | 141 | NYMEX | 5,123,357 USD | 11/25/26 | (1,743,343 | ) | ||||||||||||||
Natural Gas | 53 | NYMEX | 2,370,900 USD | 12/29/26 | (298,180 | ) | ||||||||||||||
Natural Gas | 53 | NYMEX | 2,370,900 USD | 01/27/27 | (212,850 | ) | ||||||||||||||
Natural Gas | 53 | NYMEX | 2,370,900 USD | 02/24/27 | (17,280 | ) | ||||||||||||||
Natural Gas | 53 | NYMEX | 2,370,900 USD | 03/29/27 | 274,220 | |||||||||||||||
Natural Gas | 53 | NYMEX | 2,370,900 USD | 04/28/27 | 283,760 | |||||||||||||||
Natural Gas | 53 | NYMEX | 2,370,900 USD | 05/26/27 | 243,480 | |||||||||||||||
Natural Gas | 53 | NYMEX | 2,370,900 USD | 06/28/27 | 201,610 | |||||||||||||||
Natural Gas | 53 | NYMEX | 2,370,900 USD | 07/28/27 | 187,830 | |||||||||||||||
Natural Gas | 53 | ICE | 2,370,900 USD | 08/27/27 | 191,010 | |||||||||||||||
Natural Gas | 53 | NYMEX | 2,370,900 USD | 09/28/27 | 176,170 | |||||||||||||||
Natural Gas | 53 | NYMEX | 2,370,900 USD | 10/27/27 | 71,230 | |||||||||||||||
Natural Gas | 53 | NYMEX | 2,370,900 USD | 11/26/27 | (125,400 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Description | Contracts | Exchange | Notional Amount | Expiration Date | Value/ Unrealized Appreciation (Depreciation) | |||||||||||||||
NGPL Midcon Basis | 60 | ICE | 87,428 USD | 04/04/23 | $ | (4,553 | ) | |||||||||||||
NGPL Midcon Basis | 62 | ICE | 90,342 USD | 05/02/23 | (3,542 | ) | ||||||||||||||
NGPL Midcon Basis | 60 | ICE | 87,428 USD | 06/02/23 | (6,053 | ) | ||||||||||||||
NGPL Midcon Basis | 62 | ICE | 90,342 USD | 07/05/23 | 2,658 | |||||||||||||||
NGPL Midcon Basis | 60 | LME | 87,428 USD | 09/05/23 | (53 | ) | ||||||||||||||
NGPL Midcon Basis | 62 | ICE | 90,342 USD | 10/03/23 | 15,446 | |||||||||||||||
NY Harbor ULSD | 1 | NYMEX | 140,169 USD | 10/31/22 | 4,862 | |||||||||||||||
NY Harbor ULSD | 15 | CBOT | 580,508 USD | 12/14/22 | 26,468 | |||||||||||||||
Platinum | 30 | NYMEX | 1,271,028 USD | 01/27/23 | (17,622 | ) | ||||||||||||||
Silver | 13 | COMEX | 1,230,508 USD | 12/28/22 | (7,027 | ) | ||||||||||||||
Soyabean | 241 | ICE | 17,702,848 USD | 11/14/22 | 1,257,611 | |||||||||||||||
Soyabean | 509 | CBOT | 21,515,524 USD | 12/14/22 | 1,002,824 | |||||||||||||||
Sugar 11 | 930 | ICE | 17,686,644 USD | 04/28/23 | 41,940 | |||||||||||||||
Swiss Franc Currency | 21 | CME | 2,733,915 USD | 12/19/22 | 52,740 | |||||||||||||||
U.S. Treasury 10-Year Note | 113 | CBOT | 12,842,024 USD | 12/20/22 | 178,961 | |||||||||||||||
U.S. Treasury 2-Year Note | 260 | CBOT | 53,706,574 USD | 12/30/22 | 305,011 | |||||||||||||||
U.S. Treasury 5-Year Note | 151 | CBOT | 16,367,757 USD | 12/30/22 | 134,077 | |||||||||||||||
U.S. Treasury Long Bond | 29 | CBOT | 3,920,160 USD | 12/20/22 | 254,379 | |||||||||||||||
U.S. Treasury Ultra Bond | 58 | CBOT | 8,283,170 USD | 12/20/22 | 337,170 | |||||||||||||||
Wheat | 9 | CBOT | 380,917 USD | 12/14/22 | (33,758 | ) | ||||||||||||||
WTI Crude | 15 | NYMEX | 1,283,132 USD | 10/20/22 | 90,782 | |||||||||||||||
WTI Crude | 12 | NYMEX | 1,026,238 USD | 12/20/22 | 93,238 | |||||||||||||||
WTI Crude | 8 | NYMEX | 670,442 USD | 01/20/23 | 57,402 | |||||||||||||||
WTI Crude | 1 | NYMEX | 81,913 USD | 02/21/23 | 6,343 | |||||||||||||||
|
| |||||||||||||||||||
$ | 21,430,635 | |||||||||||||||||||
|
| |||||||||||||||||||
Total Futures Contracts Outstanding |
| $ | 42,960,019 | |||||||||||||||||
|
|
Forward Foreign Currency Exchange Contracts Outstanding at September 30, 2022
Currency | Amount in | Currency | Amount in | Counterparty | Settlement | Unrealized | ||||||||||||||
CNY | 39,062,000 | USD | 5,614,908 | State Street Bank and Trust Company | 12/19/22 | $ | (89,083 | ) | ||||||||||||
CNY | 49,018,000 | USD | 7,086,086 | State Street Bank and Trust Company | 09/19/22 | — | ||||||||||||||
COP | 1,318,000,000 | USD | 294,903 | State Street Bank and Trust Company | 12/19/22 | (12,966 | ) | |||||||||||||
CZK | 16,700,000 | USD | 665,505 | State Street Bank and Trust Company | 12/19/22 | (3,867 | ) | |||||||||||||
EUR | 875,112 | USD | 876,090 | Morgan Stanley & Co., Inc. | 12/21/22 | (13,197 | ) | |||||||||||||
HKD | 5,131,000 | USD | 654,957 | State Street Bank and Trust Company | 12/19/22 | (373 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Currency | Amount in | Currency | Amount in | Counterparty | Settlement | Unrealized | ||||||||||||||
HUF | 148,900,000 | USD | 354,875 | State Street Bank and Trust Company | 12/19/22 | $ | (17,083 | ) | ||||||||||||
IDR | 87,697,300,000 | USD | 5,890,469 | State Street Bank and Trust Company | 12/19/22 | (144,009 | ) | |||||||||||||
ILS | 2,600,000 | USD | 759,633 | State Street Bank and Trust Company | 12/19/22 | (25,412 | ) | |||||||||||||
INR | 16,000,000 | USD | 198,618 | State Street Bank and Trust Company | 12/19/22 | (3,319 | ) | |||||||||||||
KRW | 8,532,200,000 | USD | 6,195,192 | State Street Bank and Trust Company | 12/19/22 | (205,941 | ) | |||||||||||||
PEN | 2,370,000 | USD | 599,978 | State Street Bank and Trust Company | 12/19/22 | (10,017 | ) | |||||||||||||
PHP | 84,500,000 | USD | 1,477,402 | State Street Bank and Trust Company | 12/19/22 | (37,969 | ) | |||||||||||||
PLN | 9,700,000 | USD | 2,065,511 | State Street Bank and Trust Company | 12/19/22 | (132,853 | ) | |||||||||||||
SEK | 15,190,727 | USD | 1,438,360 | State Street Bank and Trust Company | 12/19/22 | (62,971 | ) | |||||||||||||
SGD | 4,115,000 | USD | 2,948,954 | State Street Bank and Trust Company | 12/19/22 | (80,892 | ) | |||||||||||||
THB | 10,600,000 | USD | 288,013 | State Street Bank and Trust Company | 12/19/22 | (5,417 | ) | |||||||||||||
ZAR | 6,400,000 | USD | 359,307 | State Street Bank and Trust Company | 12/19/22 | (8,029 | ) | |||||||||||||
USD | 8,663,099 | AUD | 12,567,419 | State Street Bank and Trust Company | 12/19/22 | 614,138 | ||||||||||||||
USD | 14,934,039 | AUD | 20,948,000 | State Street Bank and Trust Company | 11/16/22 | 1,527,449 | ||||||||||||||
USD | 385,615 | BRL | 2,100,000 | State Street Bank and Trust Company | 11/03/22 | (878 | ) | |||||||||||||
USD | 413,345 | BRL | 2,100,000 | State Street Bank and Trust Company | 10/04/22 | 24,049 | ||||||||||||||
USD | 3,732,387 | CHF | 3,535,000 | State Street Bank and Trust Company | 12/19/22 | 121,525 | ||||||||||||||
USD | 605,542 | CLP | 555,100,000 | State Street Bank and Trust Company | 12/19/22 | 40,020 | ||||||||||||||
USD | 18,739,408 | CNY | 129,718,000 | State Street Bank and Trust Company | 12/19/22 | 389,119 | ||||||||||||||
USD | 610,845 | COP | 2,713,800,000 | State Street Bank and Trust Company | 12/19/22 | 30,328 | ||||||||||||||
USD | 1,098,183 | CZK | 26,900,000 | State Street Bank and Trust Company | 12/19/22 | 32,430 | ||||||||||||||
USD | 757,975 | EUR | 777,999 | Morgan Stanley & Co., Inc. | 12/21/22 | (9,161 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Currency | Amount in | Currency | Amount in | Counterparty | Settlement | Unrealized | ||||||||||||||
USD | 3,284,481 | EUR | 3,196,000 | State Street Bank and Trust Company | 10/25/22 | $ | 147,724 | |||||||||||||
USD | 161,649 | EUR | 158,000 | Citibank N.A. | 11/01/22 | 6,503 | ||||||||||||||
USD | 194,365 | EUR | 191,000 | Citibank N.A. | 11/21/22 | 6,554 | ||||||||||||||
USD | 18,750,348 | GBP | 16,417,000 | State Street Bank and Trust Company | 12/21/22 | 398,409 | ||||||||||||||
USD | 117,977 | GBP | 97,000 | Citibank N.A. | 11/01/22 | 9,606 | ||||||||||||||
USD | 1,334,614 | GBP | 1,147,000 | Citibank N.A. | 12/06/22 | 52,902 | ||||||||||||||
USD | 990,767 | HUF | 399,200,000 | State Street Bank and Trust Company | 12/19/22 | 85,149 | ||||||||||||||
USD | 980,831 | ILS | 3,285,000 | State Street Bank and Trust Company | 12/19/22 | 53,171 | ||||||||||||||
USD | 316,393 | MXN | 6,400,000 | State Street Bank and Trust Company | 12/19/22 | 2,898 | ||||||||||||||
USD | 513,822 | NOK | 5,413,334 | State Street Bank and Trust Company | 12/19/22 | 15,757 | ||||||||||||||
USD | 939,676 | PHP | 54,800,000 | State Street Bank and Trust Company | 12/19/22 | 6,173 | ||||||||||||||
USD | 520,341 | SEK | 5,800,000 | State Street Bank and Trust Company | 12/19/22 | (4,799 | ) | |||||||||||||
USD | 2,946,441 | SGD | 4,115,000 | State Street Bank and Trust Company | 09/19/22 | — | ||||||||||||||
USD | 644,784 | SGD | 910,000 | State Street Bank and Trust Company | 12/19/22 | 10,534 | ||||||||||||||
USD | 499,030 | THB | 18,000,000 | State Street Bank and Trust Company | 12/19/22 | 19,151 | ||||||||||||||
USD | 188,295 | TRY | 3,700,000 | State Street Bank and Trust Company | 12/19/22 | 6,887 | ||||||||||||||
USD | 13,428,789 | TWD | 413,000,000 | State Street Bank and Trust Company | 12/19/22 | 344,760 | ||||||||||||||
USD | 792,641 | ZAR | 13,700,000 | State Street Bank and Trust Company | 12/19/22 | 40,687 | ||||||||||||||
|
| |||||||||||||||||||
Total Forward Foreign Currency Exchange Contracts Outstanding | $ | 3,117,687 | ||||||||||||||||||
|
|
See Notes to Consolidated Financial Statements.
172
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Centrally Cleared Credit Default Swaps on Index (Sell Protection) — Outstanding at September 30, 2022
Reference | Financing Fee | Payment Frequency | Maturity | Counterparty | Rating(1) | Notional Amount(2) | Market Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||||
CDX.EM.38 | 1.00% | 3M | 12/20/27 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | NR | 3,600,000 USD | $ | (353,972 | ) | $ | (298,080 | ) | $ | (55,892 | ) | |||||||||||||||||
CDX.NA.HY.39 | 5.00% | 3M | 12/20/27 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | NR | 1,125,000 USD | (46,709 | ) | (53,378 | ) | 6,669 | |||||||||||||||||||||
CDX.NA.IG.39 | 1.00% | 3M | 12/20/27 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | NR | 17,500,000 USD | (63,364 | ) | (22,419 | ) | (40,945 | ) | ||||||||||||||||||||
iTraxx Europe Crossover Series 38 | 5.00% | 3M | 12/20/27 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | NR | 5,100,000 EUR | (264,890 | ) | (199,816 | ) | (65,074 | ) | ||||||||||||||||||||
iTraxx Europe Main Series 38 | 1.00% | 3M | 12/20/27 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | NR | 21,150,000 EUR | (326,817 | ) | (222,545 | ) | (104,272 | ) | ||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||
Total Centrally Cleared Credit Default Swaps on Index (Sell Protection) |
| $ | (1,055,752 | ) | $ | (796,238 | ) | $ | (259,514 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
OTC Credit Default Swaps on Single-Name Issues (Buy Protection) — Outstanding at September 30, 2022
Reference | Financing Fee | Payment Frequency | Maturity | Counterparty | Notional Amount | Market Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||||
Republic of China | 1.00% | 3M | 12/20/2027 | Goldman Sachs International | 4,350,000 | USD | $ | 16,972 | $ | (45,050 | ) | $ | 62,022 | |||||||||||||||||||
Republic of China | 1.00% | 3M | 6/20/2023 | Citigroup Global Markets, Inc. | 13,600,000 | USD | (62,959 | ) | (128,116 | ) | 65,157 | |||||||||||||||||||||
Republic of China | 1.00% | 3M | 6/20/2023 | Citigroup Global Markets, Inc. | 7,000,000 | USD | (32,405 | ) | (66,403 | ) | 33,998 | |||||||||||||||||||||
Republic of Qatar | 1.00% | 3M | 12/20/2027 | Goldman Sachs International | 10,000,000 | USD | (185,949 | ) | (187,073 | ) | 1,124 | |||||||||||||||||||||
Republic of Saudi Arabia | 1.00% | 3M | 12/20/2027 | Goldman Sachs International | 10,000,000 | USD | (182,640 | ) | (179,966 | ) | (2,674 | ) | ||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||
Total OTC Credit Default Swaps on Single-Name Issuer (Buy Protection) |
| $ | (446,981 | ) | $ | (606,608 | ) | $ | 159,627 | |||||||||||||||||||||||
|
|
|
|
|
|
See Notes to Consolidated Financial Statements.
173
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
OTC Credit Default Swaps on Index (Buy Protection) — Outstanding at September 30, 2022
Reference | Financing Fee | Payment Frequency | Maturity | Counterparty | Notional Amount | Market Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||||
CMBX.NA.A.8 | 2.00% | 1M | 10/17/2057 | Goldman Sachs Bank USA | 229,000 | USD | $ | 3,426 | $ | 962 | $ | 2,464 | ||||||||||||||||||||
CMBX.NA.BBB-.10 | 3.00% | 1M | 11/17/2059 | J.P. Morgan Securities LLC | 7,363,000 | USD | 1,369,798 | 71,578 | 1,298,220 | |||||||||||||||||||||||
CMBX.NA.BBB-.10 | 3.00% | 1M | 11/17/2059 | Morgan Stanley Capital Services LLC | 5,645,000 | USD | 1,050,184 | 453,500 | 596,684 | |||||||||||||||||||||||
CMBX.NA.BBB-.10 | 3.00% | 1M | 11/17/2059 | Morgan Stanley Capital Services LLC | 1,102,000 | USD | 205,014 | 374,805 | (169,791 | ) | ||||||||||||||||||||||
CMBX.NA.BBB-.8 | 3.00% | 1M | 10/17/2057 | Morgan Stanley Capital Services LLC | 69,000 | USD | 11,934 | 14,170 | (2,236 | ) | ||||||||||||||||||||||
CMBX.NA.BBB-.8 | 2.00% | 1M | 10/17/2057 | Goldman Sachs Bank USA | 38,000 | USD | 569 | 351 | 218 | |||||||||||||||||||||||
CMBX.NA.BBB-.8 | 2.00% | 1M | 10/17/2057 | Goldman Sachs Bank USA | 38,000 | USD | 569 | 428 | 141 | |||||||||||||||||||||||
CMBX.NA.BBB-.9 | 3.00% | 1M | 9/17/2058 | Credit Suisse International | 10,000 | USD | 1,951 | 594 | 1,357 | |||||||||||||||||||||||
CMBX.NA.BBB-.9 | 3.00% | 1M | 9/17/2058 | Goldman Sachs International | 177,000 | USD | 34,528 | 5,120 | 29,408 | |||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||
Total OTC Credit Default Swaps on Index (Buy Protection) |
| $ | 2,677,973 | $ | 921,508 | $ | 1,756,465 | |||||||||||||||||||||||||
|
|
|
|
|
|
OTC Credit Default Swaps on Index (Sell Protection) — Outstanding at September 30, 2022
Reference | Financing Fee | Payment Frequency | Maturity | Counterparty | Rating(1) | Notional Amount(2) | Market Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||||||||
CMBX.NA.BBB-.10 | 3.00% | 1M | 11/17/59 | Goldman Sachs Bank USA | BBB- | 1,096,000 | USD | $ | (203,898 | ) | $ | (30,005 | ) | $ | (173,893 | ) | ||||||||||||||||||||
CMBX.NA.BBB-.10 | 3.00% | 1M | 11/17/59 | Goldman Sachs International | BBB- | 18,066,000 | USD | (3,360,962 | ) | (682,643 | ) | (2,678,319 | ) | |||||||||||||||||||||||
CMBX.NA.BBB-.11 | 3.00% | 1M | 11/18/54 | J.P. Morgan Securities LLC | BBB- | 7,500,000 | USD | (1,225,848 | ) | (620,026 | ) | (605,822 | ) | |||||||||||||||||||||||
CMBX.NA.BBB-.8 | 2.00% | 1M | 12/16/72 | Morgan Stanley & Co. LLC | BBB- | 603,000 | USD | (55,143 | ) | (41,396 | ) | (13,747 | ) | |||||||||||||||||||||||
CMBX.NA.BBB-.8 | 2.00% | 1M | 10/17/57 | Goldman Sachs Bank USA | BBB- | 246,000 | USD | (3,681 | ) | (941 | ) | (2,740 | ) | |||||||||||||||||||||||
CMBX.NA.BBB-.8 | 2.00% | 1M | 10/17/57 | Goldman Sachs Bank USA | BBB- | 100,000 | USD | (1,496 | ) | (1,537 | ) | 41 | ||||||||||||||||||||||||
CMBX.NA.BBB-.8 | 2.00% | 1M | 10/17/57 | Goldman Sachs Bank USA | BBB- | 132,000 | USD | (1,975 | ) | (1,373 | ) | (602 | ) | |||||||||||||||||||||||
CMBX.NA.BBB-.8 | 2.00% | 1M | 10/17/57 | Goldman Sachs International | BBB- | 398,000 | USD | (5,956 | ) | (5,212 | ) | (744 | ) | |||||||||||||||||||||||
CMBX.NA.BBB-.8 | 3.00% | 1M | 10/17/57 | Credit Suisse International | BBB- | 286,000 | USD | (49,466 | ) | (20,492 | ) | (28,974 | ) | |||||||||||||||||||||||
CMBX.NA.BBB-.8 | 3.00% | 1M | 10/17/57 | Goldman Sachs International | BBB- | 1,294,000 | USD | (223,811 | ) | (72,380 | ) | (151,431 | ) | |||||||||||||||||||||||
CMBX.NA.BBB-.8 | 3.00% | 1M | 10/17/57 | Goldman Sachs International | BBB- | 232,000 | USD | (40,127 | ) | (5,855 | ) | (34,272 | ) | |||||||||||||||||||||||
CMBX.NA.BBB-.8 | 3.00% | 1M | 10/17/57 | J.P. Morgan Securities LLC | BBB- | 2,160,000 | USD | (373,594 | ) | (114,150 | ) | (259,444 | ) |
See Notes to Consolidated Financial Statements.
174
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Reference | Financing Fee | Payment Frequency | Maturity | Counterparty | Rating(1) | Notional Amount(2) | Market Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||||||||
CMBX.NA.BBB-.9 | 3.00% | 1M | 09/17/58 | J.P. Morgan Securities LLC | BBB- | 187,000 | USD | $ | (36,479 | ) | $ | (962 | ) | $ | (35,517 | ) | ||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||||||
Total OTC Credit Default Swaps on Index (Sell Protection) |
| $ | (5,582,436 | ) | $ | (1,596,972 | ) | $ | (3,985,464 | ) | ||||||||||||||||||||||||||
|
|
|
|
|
|
OTC Total Return Swaps Outstanding at September 30, 2022
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Buys | ||||||||||||||||||||||
1Life Healthcare, Inc. | 07/24/24 | M | 2.82 | % | JPMorgan Chase Bank, N.A. | 7,253,510 USD | $ | 8,469 | ||||||||||||||
Activision Blizzard, Inc. | 01/22/24 | M | 2.82 | % | JPMorgan Chase Bank, N.A. | 6,655,727 USD | (86,599 | ) | ||||||||||||||
AECC Aero-Engine Control Co., Ltd. | 10/09/24 | M | 1.00 | % | JPMorgan Chase Bank, N.A. | 81,506 USD | (384 | ) | ||||||||||||||
AECC Aero-Engine Control Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 44,469 USD | (188 | ) | ||||||||||||||
AECC Aviation Power Co., Ltd. | 10/09/24 | M | 1.00 | % | JPMorgan Chase Bank, N.A. | 17,843 USD | (95 | ) | ||||||||||||||
AECC Aviation Power Co., Ltd. | 01/26/24 | M | 1.00 | % | Credit Suisse International | 596 USD | (4 | ) | ||||||||||||||
Alleghany Corp. | 03/25/24 | M | 2.82 | % | JPMorgan Chase Bank, N.A. | 509,277 USD | (1,458 | ) | ||||||||||||||
Allmed Medical Products Co., Ltd. | 09/23/24 | M | 3.16 | % | JPMorgan Chase Bank, N.A. | 10,621 USD | 490 | |||||||||||||||
Allmed Medical Products Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 4,600 USD | 209 | |||||||||||||||
Ally Financial, Inc. | 05/23/23 | M | 3.08 | % | Morgan Stanley Capital Services LLC | 918,122 USD | (107,740 | ) | ||||||||||||||
Amlogic Shanghai Co., Ltd. | 09/04/24 | M | 3.03 | % | JPMorgan Chase Bank, N.A. | 78,185 USD | (4,866 | ) | ||||||||||||||
Amlogic Shanghai Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 19,340 USD | (1,010 | ) | ||||||||||||||
An Hui Wenergy Co., Ltd. | 07/16/24 | M | 2.74 | % | JPMorgan Chase Bank, N.A. | 567,406 USD | (50,555 | ) | ||||||||||||||
An Hui Wenergy Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 287,508 USD | (25,956 | ) | ||||||||||||||
Anfu CE Link Ltd. | 09/09/24 | M | 2.81 | % | JPMorgan Chase Bank, N.A. | 345,494 USD | (30,774 | ) | ||||||||||||||
Anfu CE Link Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 179,982 USD | (15,949 | ) | ||||||||||||||
Angang Steel Co., Ltd. | 09/25/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 272,270 USD | (536 | ) | ||||||||||||||
Angang Steel Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 148,775 USD | (58 | ) | ||||||||||||||
Anhui Annada Titanium Industry Co., Ltd. | 09/04/24 | M | 3.16 | % | JPMorgan Chase Bank, N.A. | 13,763 USD | (1,108 | ) | ||||||||||||||
Anhui Fengyuan Pharmaceutical Co., Ltd. | 09/04/24 | M | 2.98 | % | JPMorgan Chase Bank, N.A. | 2,700 USD | (37 | ) | ||||||||||||||
Anhui Huilong Agricultural Means of Production Co., Ltd. | 09/11/24 | M | 2.81 | % | JPMorgan Chase Bank, N.A. | 436,816 USD | (17,469 | ) |
See Notes to Consolidated Financial Statements.
175
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Anhui Huilong Agricultural Means of Production Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 214,427 USD | $ | (8,647 | ) | |||||||||||||
Anhui Jinhe Industrial Co., Ltd. | 10/09/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 278,174 USD | 2,272 | |||||||||||||||
Anhui Jinhe Industrial Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 152,795 USD | 1,050 | |||||||||||||||
Anhui Tatfook Technology Co., Ltd. | 09/20/24 | M | 2.91 | % | JPMorgan Chase Bank, N.A. | 416,750 USD | (24,416 | ) | ||||||||||||||
Anhui Tatfook Technology Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 203,215 USD | (11,747 | ) | ||||||||||||||
Anhui Wanwei Updated High-Tech Material Industry Co., Ltd. | 09/04/24 | M | 3.40 | % | JPMorgan Chase Bank, N.A. | 418,779 USD | (9,413 | ) | ||||||||||||||
Anhui Wanwei Updated High-Tech Material Industry Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 204,299 USD | (4,439 | ) | ||||||||||||||
Anhui Xinbo Aluminum Co., Ltd. | 09/11/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 12,470 USD | (1,155 | ) | ||||||||||||||
Anhui Xinhua Media Co., Ltd. | 05/14/24 | M | 2.80 | % | JPMorgan Chase Bank, N.A. | 296,875 USD | (18,541 | ) | ||||||||||||||
Anhui Xinhua Media Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 142,233 USD | (8,719 | ) | ||||||||||||||
Anhui Xinli Finance Co., Ltd. | 10/08/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 5,514 USD | (145 | ) | ||||||||||||||
Anker Innovations Technology Co., Ltd. | 09/04/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 72,143 USD | 1,329 | |||||||||||||||
Anker Innovations Technology Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 29,156 USD | 559 | |||||||||||||||
Apeloa Pharmaceutical Co., Ltd. | 09/04/24 | M | 2.77 | % | JPMorgan Chase Bank, N.A. | 119,647 USD | 67 | |||||||||||||||
Apeloa Pharmaceutical Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 28,420 USD | 61 | |||||||||||||||
Asia - Potash International Investment Guangzhou Co., Ltd. | 09/25/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 3,335 USD | (39 | ) | ||||||||||||||
Asia - Potash International Investment Guangzhou Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 2,087 USD | (27 | ) | ||||||||||||||
Asymchem Laboratories Tianjin Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 219,406 USD | 442 | |||||||||||||||
Asymchem Laboratories Tianjin Co., Ltd. | 09/23/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 454,248 USD | 1,096 | |||||||||||||||
Baida Group Co., Ltd. | 09/11/24 | M | 2.72 | % | JPMorgan Chase Bank, N.A. | 8,869 USD | (402 | ) | ||||||||||||||
Baida Group Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 3,355 USD | (118 | ) | ||||||||||||||
Baiyang Investment Group, Inc. | 08/21/24 | M | 2.72 | % | JPMorgan Chase Bank, N.A. | 19,488 USD | (1,532 | ) | ||||||||||||||
Baiyang Investment Group, Inc. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 91 USD | (7 | ) |
See Notes to Consolidated Financial Statements.
176
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Baiyin Nonferrous Group Co., Ltd. | 09/30/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 87,087 USD | $ | (482 | ) | |||||||||||||
Baiyin Nonferrous Group Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 47,614 USD | (208 | ) | ||||||||||||||
Bank of Jiangsu Co., Ltd. | 08/27/24 | M | 2.93 | % | JPMorgan Chase Bank, N.A. | 88,494 USD | 1,212 | |||||||||||||||
Bank of Jiangsu Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 50,870 USD | 750 | |||||||||||||||
Bank of Ningbo Co., Ltd. | 09/23/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 388,625 USD | 5,572 | |||||||||||||||
Bank of Ningbo Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 184,717 USD | 3,038 | |||||||||||||||
Bank of Qingdao Co., Ltd. | 09/30/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 236,404 USD | 2,721 | |||||||||||||||
Bank of Qingdao Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 129,543 USD | 1,349 | |||||||||||||||
Bank of Suzhou Co., Ltd. | 09/25/24 | M | 3.34 | % | JPMorgan Chase Bank, N.A. | 242,737 USD | (908 | ) | ||||||||||||||
Bank of Suzhou Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 134,449 USD | (695 | ) | ||||||||||||||
Bank of Zhengzhou Co., Ltd. | 10/09/24 | M | 1.00 | % | JPMorgan Chase Bank, N.A. | 37,800 USD | (254 | ) | ||||||||||||||
Bank of Zhengzhou Co., Ltd. | 01/26/24 | M | 1.00 | % | Credit Suisse International | 20,697 USD | (138 | ) | ||||||||||||||
Baoshan Iron & Steel Co., Ltd. | 08/06/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 99,439 USD | (191 | ) | ||||||||||||||
Baoshan Iron & Steel Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 54,324 USD | (27 | ) | ||||||||||||||
Baotou Dongbao Bio-Tech Co., Ltd. | 09/25/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 26,840 USD | (10 | ) | ||||||||||||||
Baotou Dongbao Bio-Tech Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 14,639 USD | (4 | ) | ||||||||||||||
BECE Legend Group Co., Ltd. | 09/23/24 | M | 3.45 | % | JPMorgan Chase Bank, N.A. | 6,797 USD | (397 | ) | ||||||||||||||
BECE Legend Group Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 73 USD | (4 | ) | ||||||||||||||
Beijing Andawell Science & Technology Co., Ltd. | 10/09/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 187,533 USD | (6,033 | ) | ||||||||||||||
Beijing Andawell Science & Technology Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 102,538 USD | (3,159 | ) | ||||||||||||||
Beijing Compass Technology Development Co., Ltd. | 09/23/24 | M | 3.21 | % | JPMorgan Chase Bank, N.A. | 119,245 USD | (1,777 | ) | ||||||||||||||
Beijing Compass Technology Development Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 61,712 USD | (848 | ) | ||||||||||||||
Beijing Easpring Material Technology Co., Ltd. | 06/18/24 | M | 1.97 | % | JPMorgan Chase Bank, N.A. | 431,287 USD | (19,581 | ) | ||||||||||||||
Beijing Easpring Material Technology Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 212,172 USD | (10,145 | ) | ||||||||||||||
Beijing Electronic Zone High-tech Group Co., Ltd. | 08/21/24 | M | 3.40 | % | JPMorgan Chase Bank, N.A. | 228,785 USD | (5,445 | ) |
See Notes to Consolidated Financial Statements.
177
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Beijing Electronic Zone High-tech Group Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 124,748 USD | $ | (2,527 | ) | |||||||||||||
Beijing Enlight Media Co., Ltd. | 09/25/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 93,547 USD | (1,734 | ) | ||||||||||||||
Beijing Enlight Media Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 42,453 USD | (701 | ) | ||||||||||||||
Beijing Interact Technology Co., Ltd. | 09/20/24 | M | 3.24 | % | JPMorgan Chase Bank, N.A. | 13,117 USD | (247 | ) | ||||||||||||||
Beijing Interact Technology Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 2,050 USD | (48 | ) | ||||||||||||||
Beijing Jingneng Power Co., Ltd. | 05/15/24 | M | 2.72 | % | JPMorgan Chase Bank, N.A. | 60,805 USD | (5,117 | ) | ||||||||||||||
Beijing Jingneng Power Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 30,977 USD | (2,597 | ) | ||||||||||||||
Beijing Lier High-temperature Materials Co., Ltd. | 09/04/24 | M | 3.01 | % | JPMorgan Chase Bank, N.A. | 337,430 USD | (15,495 | ) | ||||||||||||||
Beijing Lier High-temperature Materials Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 170,657 USD | (7,029 | ) | ||||||||||||||
Beijing Sanju Environmental Protection and New Material Co., Ltd. | 01/01/00 | M | 2.72 | % | JPMorgan Chase Bank, N.A. | 116,273 USD | (9,136 | ) | ||||||||||||||
Beijing Sanju Environmental Protection and New Material Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 26,731 USD | (2,100 | ) | ||||||||||||||
Beijing Shengtong Printing Co., Ltd. | 09/30/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 2,953 USD | (4 | ) | ||||||||||||||
Beijing Shougang Co., Ltd. | 10/09/24 | M | 1.00 | % | JPMorgan Chase Bank, N.A. | 49,537 USD | (149 | ) | ||||||||||||||
Beijing Shougang Co., Ltd. | 01/26/24 | M | 1.00 | % | Credit Suisse International | 27,136 USD | (101 | ) | ||||||||||||||
Beijing Shunxin Agriculture Co., Ltd. | 10/09/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 13,595 USD | (118 | ) | ||||||||||||||
Beijing SPC Environment Protection Tech Co., Ltd. | 09/25/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 27,230 USD | 348 | |||||||||||||||
Beijing SPC Environment Protection Tech Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 14,303 USD | 150 | |||||||||||||||
Beijing Sun-Novo Pharmaceutical Research Co., Ltd. | 10/08/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 298,269 USD | (1,924 | ) | ||||||||||||||
Beijing Sun-Novo Pharmaceutical Research Co., Ltd. | 01/26/24 | M | 1.00 | % | Credit Suisse International | 148,951 USD | (779 | ) |
See Notes to Consolidated Financial Statements.
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September 30, 2022 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Beijing Tieke Shougang Railway-Tech Co., Ltd. | 10/08/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 7,063 USD | $ | (113 | ) | |||||||||||||
Beijing Tieke Shougang Railway-Tech Co., Ltd. | 01/26/24 | M | 1.00 | % | Credit Suisse International | 1,422 USD | (32 | ) | ||||||||||||||
Beijing Ultrapower Software Co., Ltd. | 07/24/24 | M | 2.75 | % | JPMorgan Chase Bank, N.A. | 426,852 USD | (33,435 | ) | ||||||||||||||
Beijing Ultrapower Software Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 213,467 USD | (16,341 | ) | ||||||||||||||
Beijing United Information Technology Co., Ltd. | 07/31/24 | M | 2.99 | % | JPMorgan Chase Bank, N.A. | 119,109 USD | 2,687 | |||||||||||||||
Beijing United Information Technology Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 55,643 USD | 1,220 | |||||||||||||||
Beijing Wantai Biological Pharmacy Enterprise Co., Ltd. | 08/14/24 | M | 3.07 | % | JPMorgan Chase Bank, N.A. | 447,534 USD | 3,665 | |||||||||||||||
Beijing Wantai Biological Pharmacy Enterprise Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 218,897 USD | 2,121 | |||||||||||||||
Beijing Yanjing Brewery Co., Ltd. | 10/09/24 | M | 1.00 | % | JPMorgan Chase Bank, N.A. | 25,794 USD | 257 | |||||||||||||||
Beijing Yanjing Brewery Co., Ltd. | 01/26/24 | M | 1.00 | % | Credit Suisse International | 1,303 USD | 13 | |||||||||||||||
Beijing Yuanlong Yato Culture Dissemination Co., Ltd. | 09/04/24 | M | 2.86 | % | JPMorgan Chase Bank, N.A. | 38,000 USD | (4,088 | ) | ||||||||||||||
Beijing Yuanlong Yato Culture Dissemination Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 3,099 USD | (256 | ) | ||||||||||||||
Beijing Zhong Ke San Huan High-Tech Co., Ltd. | 08/07/24 | M | 3.32 | % | JPMorgan Chase Bank, N.A. | 488,616 USD | (11,422 | ) | ||||||||||||||
Beijing Zhong Ke San Huan High-Tech Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 269,042 USD | (5,951 | ) | ||||||||||||||
Betta Pharmaceuticals Co., Ltd. | 09/23/24 | M | 2.85 | % | JPMorgan Chase Bank, N.A. | 54,436 USD | 4,951 | |||||||||||||||
Betta Pharmaceuticals Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 32,170 USD | 3,209 | |||||||||||||||
Biohaven Pharmaceutical Holding Co., Ltd. | 05/14/24 | M | 2.82 | % | JPMorgan Chase Bank, N.A. | 6,168,734 USD | 816 | |||||||||||||||
BizConf Telecom Co., Ltd. | 09/20/24 | M | 2.72 | % | JPMorgan Chase Bank, N.A. | 1,696 USD | (161 | ) | ||||||||||||||
Black Knight, Inc. | 05/13/24 | M | 2.82 | % | JPMorgan Chase Bank, N.A. | 9,543,834 USD | (298,513 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Bohai Leasing Co., Ltd. | 10/09/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 111,727 USD | $ | 1,510 | ||||||||||||||
Bohai Leasing Co., Ltd. | 01/26/24 | M | 1.00 | % | Credit Suisse International | 61,195 USD | 798 | |||||||||||||||
Bringspring Science and Technology Co., Ltd. | 09/04/24 | M | 2.72 | % | JPMorgan Chase Bank, N.A. | 16,574 USD | (1,608 | ) | ||||||||||||||
Bringspring Science and Technology Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 62 USD | (6 | ) | ||||||||||||||
Brother Enterprises Holding Co., Ltd. | 08/21/24 | M | 2.72 | % | JPMorgan Chase Bank, N.A. | 567,848 USD | (42,449 | ) | ||||||||||||||
Brother Enterprises Holding Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 287,819 USD | (21,940 | ) | ||||||||||||||
By-health Co., Ltd. | 10/09/24 | M | 1.00 | % | JPMorgan Chase Bank, N.A. | 7,842 USD | 100 | |||||||||||||||
By-health Co., Ltd. | 01/26/24 | M | 1.00 | % | Credit Suisse International | 4,167 USD | 53 | |||||||||||||||
C&S Paper Co., Ltd. | 10/09/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 14,593 USD | 194 | |||||||||||||||
C&S Paper Co., Ltd. | 01/26/24 | M | 1.00 | % | Credit Suisse International | 6,090 USD | 83 | |||||||||||||||
CGN Nuclear Technology Development Co., Ltd. | 10/09/24 | M | 1.00 | % | JPMorgan Chase Bank, N.A. | 3,022 USD | (18 | ) | ||||||||||||||
CGN Nuclear Technology Development Co., Ltd. | 01/26/24 | M | 1.00 | % | Credit Suisse International | 1,815 USD | (13 | ) | ||||||||||||||
Change Healthcare, Inc. | 01/19/23 | M | 2.82 | % | JPMorgan Chase Bank, N.A. | 5,818,270 USD | 62,033 | |||||||||||||||
Change Healthcare, Inc. | 01/10/23 | M | 3.07 | % | Goldman Sachs International | 5,896,552 USD | 62,868 | |||||||||||||||
Changjiang Publishing & Media Co., Ltd. | 09/04/24 | M | 2.89 | % | JPMorgan Chase Bank, N.A. | 10,321 USD | (60 | ) | ||||||||||||||
Changjiang Publishing & Media Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 153 USD | (1 | ) | ||||||||||||||
Changjiang Securities Co., Ltd. | 09/25/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 66,890 USD | (2,162 | ) | ||||||||||||||
Changjiang Securities Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 29,026 USD | (813 | ) | ||||||||||||||
Changsha DIALINE New Material Sci & Tech Co., Ltd. | 09/30/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 227,540 USD | (12,653 | ) | ||||||||||||||
Changsha DIALINE New Material Sci & Tech Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 125,999 USD | (6,427 | ) | ||||||||||||||
ChangYuan Technology Group Ltd. | 08/13/24 | M | 2.75 | % | JPMorgan Chase Bank, N.A. | 207,747 USD | (14,340 | ) | ||||||||||||||
ChangYuan Technology Group Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 91,613 USD | (6,261 | ) | ||||||||||||||
Changzhou Almaden Stock Co., Ltd. | 10/08/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 24,823 USD | (339 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Changzhou Almaden Stock Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 14,807 USD | $ | (203 | ) | |||||||||||||
ChemoCentryx, Inc. | 08/07/24 | M | 2.82 | % | JPMorgan Chase Bank, N.A. | 5,596,886 USD | (15,127 | ) | ||||||||||||||
Chen Ke Ming Food Manufacturing Co., Ltd. | 09/25/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 4,688 USD | (108 | ) | ||||||||||||||
Chengdu ALD Aviation Manufacturing Corp. | 10/08/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 185,303 USD | (2,168 | ) | ||||||||||||||
Chengdu ALD Aviation Manufacturing Corp. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 101,343 USD | (1,100 | ) | ||||||||||||||
Chengdu Haoneng Technology Co., Ltd. | 09/25/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 137,918 USD | (3,777 | ) | ||||||||||||||
Chengdu Haoneng Technology Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 64,907 USD | (1,765 | ) | ||||||||||||||
Chengdu Hongqi Chain Co., Ltd. | 09/25/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 12,636 USD | (176 | ) | ||||||||||||||
Chengdu Hongqi Chain Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 1,760 USD | (55 | ) | ||||||||||||||
Chengdu Jiafaantai Education Technology Co., Ltd. | 09/04/24 | M | 3.10 | % | JPMorgan Chase Bank, N.A. | 15,438 USD | (852 | ) | ||||||||||||||
Chengdu Yunda Technology Co., Ltd. | 09/04/24 | M | 3.10 | % | JPMorgan Chase Bank, N.A. | 18,735 USD | (1,653 | ) | ||||||||||||||
Chengdu Yunda Technology Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 1,816 USD | (160 | ) | ||||||||||||||
Chengxin Lithium Group Co., Ltd. | 05/29/24 | M | 2.95 | % | JPMorgan Chase Bank, N.A. | 960,848 USD | (114,371 | ) | ||||||||||||||
Chengxin Lithium Group Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 470,075 USD | (56,625 | ) | ||||||||||||||
Chifeng Jilong Gold Mining Co., Ltd. | 09/04/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 43,809 USD | (52 | ) | ||||||||||||||
Chifeng Jilong Gold Mining Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 26,074 USD | (49 | ) | ||||||||||||||
China Baoan Group Co., Ltd. | 07/31/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 615,054 USD | (23,454 | ) | ||||||||||||||
China Baoan Group Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 335,047 USD | (11,636 | ) | ||||||||||||||
China CAMC Engineering Co., Ltd. | 09/30/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 33,836 USD | 13 | |||||||||||||||
China CAMC Engineering Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 10,209 USD | (1 | ) | ||||||||||||||
China CITIC Bank Corp., Ltd. | 09/04/24 | M | 2.94 | % | JPMorgan Chase Bank, N.A. | 27,611 USD | 40 | |||||||||||||||
China CITIC Bank Corp., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 14,444 USD | 25 | |||||||||||||||
China Development Bank | 02/21/23 | M | 7.09 | % | Morgan Stanley Capital Services LLC | 33,802,362 CNY | 23,108 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
China Jushi Co., Ltd. | 10/09/24 | M | 1.00 | % | JPMorgan Chase Bank, N.A. | 326,676 USD | $ | 1,561 | ||||||||||||||
China Jushi Co., Ltd. | 01/26/24 | M | 1.00 | % | Credit Suisse International | 165,019 USD | 666 | |||||||||||||||
China Merchants Bank Co., Ltd. | 10/09/24 | M | 1.00 | % | JPMorgan Chase Bank, N.A. | 8,092 USD | (25 | ) | ||||||||||||||
China Merchants Bank Co., Ltd. | 01/26/24 | M | 1.00 | % | Credit Suisse International | 477 USD | (3 | ) | ||||||||||||||
China Merchants Property Operation & Service Co., Ltd. | 07/03/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 233,853 USD | (7,036 | ) | ||||||||||||||
China Merchants Property Operation & Service Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 131,696 USD | (4,515 | ) | ||||||||||||||
China Nonferrous Metal Industry’s Foreign Engineering and Construction Co., Ltd. | 10/08/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 403,122 USD | (8,306 | ) | ||||||||||||||
China Nonferrous Metal Industry’s Foreign Engineering and Construction Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 200,050 USD | (4,039 | ) | ||||||||||||||
China Pacific Insurance Group Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 141,735 USD | 3,332 | |||||||||||||||
China Pacific Insurance Group Co., Ltd. | 04/17/24 | M | 3.41 | % | JPMorgan Chase Bank, N.A. | 264,952 USD | 6,547 | |||||||||||||||
China Petroleum Engineering Corp. | 09/03/24 | M | 3.38 | % | JPMorgan Chase Bank, N.A. | 209,704 USD | 757 | |||||||||||||||
China Petroleum Engineering Corp. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 116,998 USD | 27 | |||||||||||||||
China Railway Group Ltd. | 09/25/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 20,721 USD | (1,103 | ) | ||||||||||||||
China Railway Group Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 9,971 USD | (531 | ) | ||||||||||||||
China Vanke Co., Ltd. | 09/04/24 | M | 2.85 | % | JPMorgan Chase Bank, N.A. | 505,074 USD | 6,603 | |||||||||||||||
China Vanke Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 272,677 USD | 3,403 | |||||||||||||||
China West Construction Group Co., Ltd. | 09/23/24 | M | 2.97 | % | JPMorgan Chase Bank, N.A. | 391,036 USD | (25,520 | ) | ||||||||||||||
China West Construction Group Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 191,990 USD | (12,205 | ) | ||||||||||||||
China Zhenhua Group Science & Technology Co., Ltd. | 10/08/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 303,528 USD | (9,129 | ) | ||||||||||||||
China Zhenhua Group Science & Technology Co., Ltd. | 01/26/24 | M | 1.00 | % | Credit Suisse International | 166,307 USD | (4,387 | ) | ||||||||||||||
Chison Medical Technologies Co., Ltd. | 08/07/24 | M | 2.72 | % | JPMorgan Chase Bank, N.A. | 5,939 USD | 492 | |||||||||||||||
Chison Medical Technologies Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 3,958 USD | 329 | |||||||||||||||
Chongqing Dima Industry Co., Ltd. | 09/04/24 | M | 2.85 | % | JPMorgan Chase Bank, N.A. | 425,249 USD | (20,854 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Chongqing Dima Industry Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 207,390 USD | $ | (10,341 | ) | |||||||||||||
Chongqing Fuling Zhacai Group Co., Ltd. | 09/04/24 | M | 2.74 | % | JPMorgan Chase Bank, N.A. | 646,137 USD | (8,722 | ) | ||||||||||||||
Chongqing Fuling Zhacai Group Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 316,525 USD | (4,909 | ) | ||||||||||||||
Chongqing Zhifei Biological Products Co., Ltd. | 10/09/24 | M | 1.00 | % | JPMorgan Chase Bank, N.A. | 268,403 USD | (259 | ) | ||||||||||||||
Chongqing Zhifei Biological Products Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 146,475 USD | (215 | ) | ||||||||||||||
Chongqing Zongshen Power Machinery Co., Ltd. | 10/09/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 64,378 USD | (501 | ) | ||||||||||||||
Chongqing Zongshen Power Machinery Co., Ltd. | 01/26/24 | M | 1.00 | % | Credit Suisse International | 30,836 USD | (243 | ) | ||||||||||||||
Chongyi Zhangyuan Tungsten Industry Co., Ltd. | 09/23/24 | M | 3.08 | % | JPMorgan Chase Bank, N.A. | 459,310 USD | (37,232 | ) | ||||||||||||||
Chongyi Zhangyuan Tungsten Industry Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 224,337 USD | (17,207 | ) | ||||||||||||||
CIG Shanghai Co., Ltd. | 09/25/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 107,968 USD | (765 | ) | ||||||||||||||
CIG Shanghai Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 52,739 USD | (367 | ) | ||||||||||||||
Cisen Pharmaceutical Co., Ltd. | 09/30/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 86,171 USD | 1,829 | |||||||||||||||
Cisen Pharmaceutical Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 43,216 USD | 865 | |||||||||||||||
Citic Pacific Special Steel Group Co., Ltd. | 10/08/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 3,416 USD | 63 | |||||||||||||||
Citic Pacific Special Steel Group Co., Ltd. | 01/26/24 | M | 1.00 | % | Credit Suisse International | 1,712 USD | 28 | |||||||||||||||
City Development Environment Co., Ltd. | 09/11/24 | M | 3.20 | % | JPMorgan Chase Bank, N.A. | 271,909 USD | (8,046 | ) | ||||||||||||||
City Development Environment Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 128,712 USD | (3,684 | ) | ||||||||||||||
Citychamp Dartong Co., Ltd. | 08/26/24 | M | 2.76 | % | JPMorgan Chase Bank, N.A. | 353,283 USD | (22,641 | ) | ||||||||||||||
Citychamp Dartong Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 174,990 USD | (10,437 | ) | ||||||||||||||
CMOC Group Ltd. | 10/09/24 | M | 1.00 | % | JPMorgan Chase Bank, N.A. | 38,382 USD | 490 | |||||||||||||||
CMOC Group Ltd. | 01/26/24 | M | 1.00 | % | Credit Suisse International | 21,304 USD | 262 | |||||||||||||||
CNFC Overseas Fishery Co., Ltd. | 10/09/24 | M | 1.00 | % | JPMorgan Chase Bank, N.A. | 3,055 USD | (29 | ) | ||||||||||||||
CNGR Advanced Material Co., Ltd. | 08/27/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 55,920 USD | (656 | ) | ||||||||||||||
CNGR Advanced Material Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 19,034 USD | (221 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
CNHTC Jinan Truck Co., Ltd. | 10/08/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 7,956 USD | $ | (76 | ) | |||||||||||||
CNHTC Jinan Truck Co., Ltd. | 01/26/24 | M | 1.00 | % | Credit Suisse International | 297 USD | (10 | ) | ||||||||||||||
CNPC Capital Co., Ltd. | 09/25/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 36,796 USD | (659 | ) | ||||||||||||||
CNPC Capital Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 10,541 USD | (180 | ) | ||||||||||||||
COFCO Sugar Holding Co., Ltd. | 09/04/24 | M | 2.72 | % | JPMorgan Chase Bank, N.A. | 37,324 USD | (1,833 | ) | ||||||||||||||
COFCO Sugar Holding Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 9,797 USD | (478 | ) | ||||||||||||||
Commodity Index Swap - MSCY2HGP | 09/23/22 | M | 1.00 | % | Morgan Stanley Capital Services LLC | 7,402 | (63,215 | ) | ||||||||||||||
Commodity Index Swap - MSCY2LAP | 09/23/22 | M | 1.00 | % | Morgan Stanley Capital Services LLC | 7,162 | (64,008 | ) | ||||||||||||||
Countryside Partnerships PLC | 09/17/24 | M | 2.74 | % | JPMorgan Chase Bank, N.A. | 411,587 GBP | (21,751 | ) | ||||||||||||||
Cowen, Inc. | 08/06/24 | M | 2.82 | % | JPMorgan Chase Bank, N.A. | 7,494,274 USD | 17,496 | |||||||||||||||
Cre8 Direct Ningbo Co., Ltd. | 09/04/24 | M | 2.72 | % | JPMorgan Chase Bank, N.A. | 36,963 USD | (2,340 | ) | ||||||||||||||
Cre8 Direct Ningbo Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 20,046 USD | (1,263 | ) | ||||||||||||||
CSPC Innovation Pharmaceutical Co., Ltd. | 10/09/24 | M | 1.00 | % | JPMorgan Chase Bank, N.A. | 56,049 USD | 617 | |||||||||||||||
CSPC Innovation Pharmaceutical Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 30,747 USD | 309 | |||||||||||||||
Cybrid Technologies, Inc. | 09/04/24 | M | 2.92 | % | JPMorgan Chase Bank, N.A. | 6,610 USD | (467 | ) | ||||||||||||||
Daan Gene Co., Ltd. | 10/09/24 | M | 1.00 | % | JPMorgan Chase Bank, N.A. | 5,632 USD | (21 | ) | ||||||||||||||
Daan Gene Co., Ltd. | 01/26/24 | M | 1.00 | % | Credit Suisse International | 235 USD | (1 | ) | ||||||||||||||
Dalian Bio-Chem Co., Ltd. | 08/05/24 | M | 2.80 | % | JPMorgan Chase Bank, N.A. | 11,081 USD | (368 | ) | ||||||||||||||
Dalian Bio-Chem Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 6,608 USD | (245 | ) | ||||||||||||||
Dalian Haosen Equipment Manufacturing Co., Ltd. | 09/04/24 | M | 2.75 | % | JPMorgan Chase Bank, N.A. | 51,609 USD | (5,143 | ) | ||||||||||||||
Dalian Haosen Equipment Manufacturing Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 22,329 USD | (2,216 | ) | ||||||||||||||
Dalian Zhiyun Automation Co., Ltd. | 09/04/24 | M | 3.29 | % | JPMorgan Chase Bank, N.A. | 5,006 USD | (310 | ) | ||||||||||||||
Daqin Railway Co., Ltd. | 09/23/24 | M | 3.17 | % | JPMorgan Chase Bank, N.A. | 45,754 USD | (24 | ) | ||||||||||||||
Daqin Railway Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 27,123 USD | (10 | ) |
See Notes to Consolidated Financial Statements.
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September 30, 2022 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
DaShenLin Pharmaceutical Group Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 11,793 USD | $ | 598 | ||||||||||||||
DaShenLin Pharmaceutical Group Co., Ltd. | 09/23/24 | M | 2.72 | % | JPMorgan Chase Bank, N.A. | 19,926 USD | 1,011 | |||||||||||||||
Datang International Power Generation Co., Ltd. | 09/25/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 230,485 USD | (4,258 | ) | ||||||||||||||
Datang International Power Generation Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 126,083 USD | (2,341 | ) | ||||||||||||||
Deutsche Bank Fixed Income Index Swap - DBMBSUN | 09/26/22 | M | 1.00 | % | Morgan Stanley Capital Services LLC | 47,893,220 USD | (591,900 | ) | ||||||||||||||
DHC Software Co., Ltd. | 10/09/24 | M | 1.00 | % | JPMorgan Chase Bank, N.A. | 4,074 USD | (15 | ) | ||||||||||||||
DHC Software Co., Ltd. | 01/26/24 | M | 1.00 | % | Credit Suisse International | 226 USD | (1 | ) | ||||||||||||||
Digital China Group Co., Ltd. | 09/24/24 | M | 3.19 | % | JPMorgan Chase Bank, N.A. | 113,121 USD | (2,738 | ) | ||||||||||||||
Digital China Group Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 53,769 USD | (1,518 | ) | ||||||||||||||
Digiwin Software Co., Ltd. | 09/04/24 | M | 2.96 | % | JPMorgan Chase Bank, N.A. | 125,082 USD | (10,176 | ) | ||||||||||||||
Digiwin Software Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 42,822 USD | (3,415 | ) | ||||||||||||||
Dirui Industrial Co., Ltd. | 09/04/24 | M | 2.80 | % | JPMorgan Chase Bank, N.A. | 123,476 USD | (1,616 | ) | ||||||||||||||
Dirui Industrial Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 58,613 USD | (866 | ) | ||||||||||||||
Dongguan Aohai Technology Co., Ltd. | 08/28/24 | M | 2.72 | % | JPMorgan Chase Bank, N.A. | 75,516 USD | (4,710 | ) | ||||||||||||||
Dongguan Aohai Technology Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 29,295 USD | (1,827 | ) | ||||||||||||||
Dongguan Chitwing Technology Co., Ltd. | 10/09/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 2,494 USD | (29 | ) | ||||||||||||||
Dongguan Dingtong Precision Metal Co., Ltd. | 10/08/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 144,128 USD | (945 | ) | ||||||||||||||
Dongguan Dingtong Precision Metal Co., Ltd. | 01/26/24 | M | 1.00 | % | Credit Suisse International | 70,051 USD | (448 | ) | ||||||||||||||
Dongguan Kingsun Optoelectronic Co., Ltd. | 08/14/24 | M | 3.46 | % | JPMorgan Chase Bank, N.A. | 305,597 USD | (667 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Dongguan Kingsun Optoelectronic Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 166,824 USD | $ | 23 | ||||||||||||||
Duke Realty Corp. | 06/17/24 | M | 1.00 | % | JPMorgan Chase Bank, N.A. | 9,990,934 USD | (629,289 | ) | ||||||||||||||
Eastcompeace Technology Co., Ltd. | 10/09/24 | M | 1.00 | % | JPMorgan Chase Bank, N.A. | 2,790 USD | (9 | ) | ||||||||||||||
EMIS Group PLC | 06/19/24 | M | 2.74 | % | JPMorgan Chase Bank, N.A. | 6,548,391 GBP | (15,442 | ) | ||||||||||||||
Eoptolink Technology Inc Ltd. | 08/14/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 55,427 USD | (1,169 | ) | ||||||||||||||
Eoptolink Technology Inc Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 32,922 USD | (725 | ) | ||||||||||||||
Euronav NV | 07/15/24 | M | 2.82 | % | JPMorgan Chase Bank, N.A. | 7,404,561 USD | (1,143,232 | ) | ||||||||||||||
Eve Energy Co., Ltd. | 09/30/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 318,312 USD | (4,545 | ) | ||||||||||||||
Eve Energy Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 173,084 USD | (2,481 | ) | ||||||||||||||
Evo Payments, Inc. | 08/05/24 | M | 2.82 | % | JPMorgan Chase Bank, N.A. | 3,930,948 USD | 5,911 | |||||||||||||||
Farasis Energy Gan Zhou Co., Ltd. | 10/09/24 | M | 1.00 | % | JPMorgan Chase Bank, N.A. | 17,365 USD | (253 | ) | ||||||||||||||
Farasis Energy Gan Zhou Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 757 USD | (13 | ) | ||||||||||||||
Financial Street Holdings Co., Ltd. | 07/17/24 | M | 3.19 | % | JPMorgan Chase Bank, N.A. | 461,035 USD | (19,314 | ) | ||||||||||||||
Financial Street Holdings Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 230,800 USD | (9,797 | ) | ||||||||||||||
First Horizon Corp. | 03/01/24 | M | 2.82 | % | JPMorgan Chase Bank, N.A. | 7,332,517 USD | (187,213 | ) | ||||||||||||||
Flagstar Bancorp, Inc. | 04/28/23 | M | 2.82 | % | JPMorgan Chase Bank, N.A. | 33,142 USD | (2,848 | ) | ||||||||||||||
Focus Media Information Technology Co., Ltd. | 10/09/24 | M | 1.00 | % | JPMorgan Chase Bank, N.A. | 298,889 USD | 8,046 | |||||||||||||||
Focus Media Information Technology Co., Ltd. | 01/26/24 | M | 1.00 | % | Credit Suisse International | 163,859 USD | 4,127 | |||||||||||||||
Foryou Corp. | 09/23/24 | M | 3.12 | % | JPMorgan Chase Bank, N.A. | 322,629 USD | (27,035 | ) | ||||||||||||||
Foryou Corp. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 175,489 USD | (13,481 | ) | ||||||||||||||
Foshan Electrical and Lighting Co., Ltd. | 08/28/24 | M | 2.75 | % | JPMorgan Chase Bank, N.A. | 383,690 USD | (37,613 | ) | ||||||||||||||
Foshan Electrical and Lighting Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 186,204 USD | (18,193 | ) | ||||||||||||||
Foshan Nationstar Optoelectronics Co., Ltd. | 09/30/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 3,693 USD | (157 | ) | ||||||||||||||
Fuan Pharmaceutical Group Co., Ltd. | 10/09/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 11,965 USD | 202 | |||||||||||||||
Fuan Pharmaceutical Group Co., Ltd. | 01/26/24 | M | 1.00 | % | Credit Suisse International | 229 USD | 8 | |||||||||||||||
Fujian Funeng Co., Ltd. | 10/09/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 2,713 USD | — | |||||||||||||||
Fujian Funeng Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 2,561 USD | 2 | |||||||||||||||
Fujian Minfa Aluminum Co., Ltd. | 09/25/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 338 USD | 6 | |||||||||||||||
Fujian Nanping Sun Cable Co., Ltd. | 10/08/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 5,840 USD | (49 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Fujian SBS Zipper Science & Technology Co., Ltd. | 09/04/24 | M | 2.83 | % | JPMorgan Chase Bank, N.A. | 12,150 USD | $ | (608 | ) | |||||||||||||
Fujian Tianma Science & Technology Group Co., Ltd. | 10/09/24 | M | 1.00 | % | JPMorgan Chase Bank, N.A. | 264,614 USD | 9,796 | |||||||||||||||
Fujian Tianma Science & Technology Group Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 138,038 USD | 5,052 | |||||||||||||||
Fujian Yongan Forestry Group | 09/10/24 | M | 3.08 | % | JPMorgan Chase Bank, N.A. | 21,546 USD | (710 | ) | ||||||||||||||
Fujian Yongan Forestry Group | 01/26/24 | M | 3.47 | % | Credit Suisse International | 110 USD | (4 | ) | ||||||||||||||
Funeng Oriental Equipment Technology Co., Ltd. | 09/24/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 2,264 USD | (145 | ) | ||||||||||||||
Fuyao Glass Industry Group Co., Ltd. | 10/08/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 453,141 USD | (5,117 | ) | ||||||||||||||
Fuyao Glass Industry Group Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 223,633 USD | (2,446 | ) | ||||||||||||||
Ganfeng Lithium Co., Ltd. | 09/25/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 306,506 USD | (12,474 | ) | ||||||||||||||
Ganfeng Lithium Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 168,350 USD | (7,508 | ) | ||||||||||||||
GCL System Integration Technology Co., Ltd. | 10/09/24 | M | 1.00 | % | JPMorgan Chase Bank, N.A. | 90 USD | (1 | ) | ||||||||||||||
GD Power Development Co., Ltd. | 09/24/24 | M | 3.44 | % | JPMorgan Chase Bank, N.A. | 81,984 USD | 665 | |||||||||||||||
GD Power Development Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 39,051 USD | 494 | |||||||||||||||
Gem Co., Ltd. | 10/09/24 | M | 1.00 | % | JPMorgan Chase Bank, N.A. | 299,933 USD | 317 | |||||||||||||||
Gem Co., Ltd. | 01/26/24 | M | 1.00 | % | Credit Suisse International | 164,256 USD | 74 | |||||||||||||||
GEPIC Energy Development Co., Ltd. | 09/04/24 | M | 2.79 | % | JPMorgan Chase Bank, N.A. | 483,344 USD | (36,137 | ) | ||||||||||||||
GEPIC Energy Development Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 237,532 USD | (17,761 | ) | ||||||||||||||
Gifore Agricultural Science & Technology Service Co., Ltd. | 09/04/24 | M | 2.84 | % | JPMorgan Chase Bank, N.A. | 21,014 USD | (2,075 | ) | ||||||||||||||
Gifore Agricultural Science & Technology Service Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 65 USD | (6 | ) | ||||||||||||||
Global Blood Therapeutics, Inc. | 08/12/24 | M | 2.82 | % | JPMorgan Chase Bank, N.A. | 5,987,925 USD | 36,269 | |||||||||||||||
Gohigh Networks Co., Ltd. | 08/07/24 | M | 2.85 | % | JPMorgan Chase Bank, N.A. | 43,240 USD | (3,711 | ) | ||||||||||||||
Gohigh Networks Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 9,320 USD | (790 | ) |
See Notes to Consolidated Financial Statements.
187
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Goke Microelectronics Co., Ltd. | 10/09/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 197,752 USD | $ | (2,121 | ) | |||||||||||||
Goke Microelectronics Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 105,364 USD | (1,027 | ) | ||||||||||||||
Goldcard Smart Group Co., Ltd. | 09/25/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 500 USD | 9 | |||||||||||||||
Goldman Sachs Fusion Swap | 09/26/22 | M | 1.00 | % | Goldman Sachs International | 111,691,728 USD | (2,455,264 | ) | ||||||||||||||
Gotion High-tech Co., Ltd. | 09/25/24 | M | 3.30 | % | JPMorgan Chase Bank, N.A. | 364,603 USD | (19,315 | ) | ||||||||||||||
Gotion High-tech Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 189,732 USD | (10,199 | ) | ||||||||||||||
Grand Industrial Holding Group Co., Ltd. | 08/27/24 | M | 2.72 | % | JPMorgan Chase Bank, N.A. | 6,572 USD | (607 | ) | ||||||||||||||
Grandjoy Holdings Group Co., Ltd. | 09/11/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 34,763 USD | (88 | ) | ||||||||||||||
Grandjoy Holdings Group Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 13,285 USD | 85 | |||||||||||||||
GRG Banking Equipment Co., Ltd. | 10/09/24 | M | 1.00 | % | JPMorgan Chase Bank, N.A. | 5,515 USD | 117 | |||||||||||||||
GRG Banking Equipment Co., Ltd. | 01/26/24 | M | 1.00 | % | Credit Suisse International | 225 USD | 5 | |||||||||||||||
GS Equity Index Swap - ABGSCAC2 | 09/26/22 | M | 1.00 | % | Goldman Sachs International | 182,973 USD | 102,977 | |||||||||||||||
GS Equity Index Swap - GSCBBXC3 | 09/26/22 | M | 1.00 | % | Goldman Sachs International | 10,908,164 USD | (525,833 | ) | ||||||||||||||
GS Equity Index Swap - GSCBBXE2 | 09/26/22 | M | 1.00 | % | Goldman Sachs International | 20,665,835 USD | (1,373,914 | ) | ||||||||||||||
GS Equity Index Swap - GSFXID96 | 09/27/22 | M | 1.00 | % | Goldman Sachs International | 56,366,663 USD | 426,399 | |||||||||||||||
GS Equity Index Swap - GSXAT02I | 09/27/22 | M | 1.00 | % | Goldman Sachs International | 52,222,981 USD | 2,166,989 | |||||||||||||||
GSP Automotive Group Wenzhou Co., Ltd. | 09/04/24 | M | 2.72 | % | JPMorgan Chase Bank, N.A. | 19,487 USD | (486 | ) | ||||||||||||||
GSP Automotive Group Wenzhou Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 7,673 USD | (201 | ) | ||||||||||||||
Guang Dong Tloong Technology Group Co., Ltd. | 08/28/24 | M | 3.01 | % | JPMorgan Chase Bank, N.A. | 19,825 USD | (773 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Guang Dong Tloong Technology Group Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 50 USD | $ | (1 | ) | |||||||||||||
Guangdong Brandmax Marketing Co., Ltd. | 09/20/24 | M | 2.72 | % | JPMorgan Chase Bank, N.A. | 900 USD | (84 | ) | ||||||||||||||
Guangdong Ellington Electronics Technology Co., Ltd. | 08/07/24 | M | 2.72 | % | JPMorgan Chase Bank, N.A. | 5,855 USD | (53 | ) | ||||||||||||||
Guangdong Ellington Electronics Technology Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 3,185 USD | (29 | ) | ||||||||||||||
Guangdong Green Precision Components Co., Ltd. | 09/04/24 | M | 2.81 | % | JPMorgan Chase Bank, N.A. | 9,949 USD | (571 | ) | ||||||||||||||
Guangdong Guanghua Sci-Tech Co., Ltd. | 08/14/24 | M | 2.82 | % | JPMorgan Chase Bank, N.A. | 398,283 USD | (35,108 | ) | ||||||||||||||
Guangdong Guanghua Sci-Tech Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 194,518 USD | (16,992 | ) | ||||||||||||||
Guangdong Guanhao High-Tech Co., Ltd. | 08/28/24 | M | 3.16 | % | JPMorgan Chase Bank, N.A. | 7,575 USD | (252 | ) | ||||||||||||||
Guangdong Guanhao High-Tech Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 49 USD | (2 | ) | ||||||||||||||
Guangdong Hongda Holdings Group Co., Ltd. | 09/23/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 62,701 USD | (4,169 | ) | ||||||||||||||
Guangdong Hongda Holdings Group Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 37,396 USD | (2,573 | ) | ||||||||||||||
Guangdong Huatie Tongda High-speed Railway Equipment Corp. | 09/04/24 | M | 3.16 | % | JPMorgan Chase Bank, N.A. | 52,960 USD | (3,930 | ) | ||||||||||||||
Guangdong Huatie Tongda High-speed Railway Equipment Corp. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 2,292 USD | (152 | ) | ||||||||||||||
Guangdong Orient Zirconic Ind Sci & Tech Co., Ltd. | 09/24/24 | M | 3.37 | % | JPMorgan Chase Bank, N.A. | 27,774 USD | (2,988 | ) | ||||||||||||||
Guangdong Orient Zirconic Ind Sci & Tech Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 95 USD | (10 | ) | ||||||||||||||
Guangdong Shaoneng Group Co., Ltd. | 10/08/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 22,038 USD | (109 | ) | ||||||||||||||
Guangdong Shaoneng Group Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 6,512 USD | (30 | ) | ||||||||||||||
Guangdong Shenglu Telecommunication Tech Co., Ltd. | 08/19/24 | M | 3.43 | % | JPMorgan Chase Bank, N.A. | 353,463 USD | 12 |
See Notes to Consolidated Financial Statements.
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Guangdong Shenglu Telecommunication Tech Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 195,538 USD | $ | 475 | ||||||||||||||
Guangdong Shirongzhaoye Co., Ltd. | 10/09/24 | M | 1.00 | % | JPMorgan Chase Bank, N.A. | 24,418 USD | 410 | |||||||||||||||
Guangdong Shirongzhaoye Co., Ltd. | 01/26/24 | M | 1.00 | % | Credit Suisse International | 13,354 USD | 212 | |||||||||||||||
Guangdong Shunna Electric Co., Ltd. | 10/09/24 | M | 1.00 | % | JPMorgan Chase Bank, N.A. | 204 USD | 1 | |||||||||||||||
Guangdong Sirio Pharma Co., Ltd. | 10/08/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 4,693 USD | 42 | |||||||||||||||
Guangdong Tengen Industrial Group Co., Ltd. | 08/28/24 | M | 2.72 | % | JPMorgan Chase Bank, N.A. | 6,257 USD | (287 | ) | ||||||||||||||
Guangdong Tianhe Agricultural Means of Production Co., Ltd. | 09/11/24 | M | 2.97 | % | JPMorgan Chase Bank, N.A. | 5,854 USD | (481 | ) | ||||||||||||||
Guangdong Topstar Technology Co., Ltd. | 08/21/24 | M | 2.98 | % | JPMorgan Chase Bank, N.A. | 20,765 USD | (808 | ) | ||||||||||||||
Guangdong Topstar Technology Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 3,366 USD | (94 | ) | ||||||||||||||
Guangdong Wanlima Industry Co., Ltd. | 09/25/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 3,540 USD | (72 | ) | ||||||||||||||
Guangdong Xinbao Electrical Appliances Holdings Co., Ltd. | 08/05/24 | M | 2.80 | % | JPMorgan Chase Bank, N.A. | 525,463 USD | 1,494 | |||||||||||||||
Guangdong Xinbao Electrical Appliances Holdings Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 268,432 USD | 696 | |||||||||||||||
Guanghui Energy Co., Ltd. | 11/08/23 | M | 3.17 | % | JPMorgan Chase Bank, N.A. | 1,189,853 USD | (52,862 | ) | ||||||||||||||
Guanghui Energy Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 566,212 USD | (24,528 | ) | ||||||||||||||
Guanglian Aviation Industry Co., Ltd. | 09/04/24 | M | 3.14 | % | JPMorgan Chase Bank, N.A. | 286,364 USD | (17,708 | ) | ||||||||||||||
Guanglian Aviation Industry Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 136,848 USD | (8,360 | ) | ||||||||||||||
Guangzhou Automobile Group Co., Ltd. | 10/09/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 2,245 USD | (21 | ) | ||||||||||||||
Guangzhou Automobile Group Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 2,241 USD | (17 | ) | ||||||||||||||
Guangzhou Development Group, Inc. | 08/28/24 | M | 2.72 | % | JPMorgan Chase Bank, N.A. | 209,391 USD | (17,858 | ) | ||||||||||||||
Guangzhou Development Group, Inc. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 93,483 USD | (7,943 | ) |
See Notes to Consolidated Financial Statements.
190
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Guangzhou Hangxin Aviation Technology Co., Ltd. | 10/09/24 | M | 1.00 | % | JPMorgan Chase Bank, N.A. | 20,093 USD | $ | (409 | ) | |||||||||||||
Guangzhou Hangxin Aviation Technology Co., Ltd. | 01/26/24 | M | 1.00 | % | Credit Suisse International | 9,643 USD | (214 | ) | ||||||||||||||
Guangzhou Hengyun Enterprises Holdings Ltd. | 09/20/24 | M | 3.40 | % | JPMorgan Chase Bank, N.A. | 126,078 USD | (1,090 | ) | ||||||||||||||
Guangzhou Hengyun Enterprises Holdings Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 65,486 USD | (569 | ) | ||||||||||||||
Guangzhou Port Co., Ltd. | 09/03/24 | M | 0.00 | % | JPMorgan Chase Bank, N.A. | 317,917 USD | (14,895 | ) | ||||||||||||||
Guangzhou Port Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 172,461 USD | (6,615 | ) | ||||||||||||||
Guangzhou Ruoyuchen Tech Co., Ltd. | 10/09/24 | M | 1.00 | % | JPMorgan Chase Bank, N.A. | 1,363 USD | (22 | ) | ||||||||||||||
Guangzhou Tech-Long Packaging Machinery Co., Ltd. | 09/20/24 | M | 3.14 | % | JPMorgan Chase Bank, N.A. | 69,429 USD | (4,494 | ) | ||||||||||||||
Guangzhou Tech-Long Packaging Machinery Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 30,221 USD | (1,939 | ) | ||||||||||||||
Guangzhou Wondfo Biotech Co., Ltd. | 09/25/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 45,173 USD | 738 | |||||||||||||||
Guangzhou Wondfo Biotech Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 407 USD | 7 | |||||||||||||||
Guangzhou Zhujiang Brewery Co., Ltd. | 10/08/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 239,618 USD | 2,068 | |||||||||||||||
Guangzhou Zhujiang Brewery Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 113,147 USD | 971 | |||||||||||||||
Guizhou Chanhen Chemical Corp. | 09/04/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 216,757 USD | 5,117 | |||||||||||||||
Guizhou Chanhen Chemical Corp. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 99,912 USD | 2,403 | |||||||||||||||
Guizhou Tyre Co., Ltd. | 10/08/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 143,961 USD | (4,711 | ) | ||||||||||||||
Guizhou Tyre Co., Ltd. | 01/26/24 | M | 1.00 | % | Credit Suisse International | 73,281 USD | (2,369 | ) | ||||||||||||||
Guobang Pharma Ltd. | 09/23/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 313,769 USD | 11,521 | |||||||||||||||
Guobang Pharma Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 156,628 USD | 5,656 | |||||||||||||||
Guosen Securities Co., Ltd. | 09/30/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 91,910 USD | (346 | ) | ||||||||||||||
Guosen Securities Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 50,244 USD | (156 | ) | ||||||||||||||
Guoyuan Securities Co., Ltd. | 09/25/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 576,104 USD | (10,220 | ) | ||||||||||||||
Guoyuan Securities Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 282,084 USD | (4,557 | ) | ||||||||||||||
Hainan Haide Capital Management Co., Ltd. | 07/29/24 | M | 3.14 | % | JPMorgan Chase Bank, N.A. | 456,825 USD | (26,043 | ) | ||||||||||||||
Hainan Haide Capital Management Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 228,190 USD | (13,164 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Hainan Haiyao Co., Ltd. | 10/09/24 | M | 1.00 | % | JPMorgan Chase Bank, N.A. | 1,105 USD | $ | (1 | ) | |||||||||||||
Haixin Foods Co., Ltd. | 09/30/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 12,756 USD | (241 | ) | ||||||||||||||
Hand Enterprise Solutions Co., Ltd. | 09/04/24 | M | 2.79 | % | JPMorgan Chase Bank, N.A. | 407,423 USD | (17,148 | ) | ||||||||||||||
Hand Enterprise Solutions Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 194,147 USD | (8,100 | ) | ||||||||||||||
Hang Zhou Great Star Industrial Co., Ltd. | 09/25/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 455,849 USD | (23,666 | ) | ||||||||||||||
Hang Zhou Great Star Industrial Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 248,414 USD | (12,361 | ) | ||||||||||||||
Hangzhou Cable Co., Ltd. | 09/19/24 | M | 2.84 | % | JPMorgan Chase Bank, N.A. | 178,268 USD | (14,486 | ) | ||||||||||||||
Hangzhou Cable Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 95,503 USD | (7,930 | ) | ||||||||||||||
Hangzhou Chang Chuan Technology Co., Ltd. | 10/09/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 404,992 USD | (8,605 | ) | ||||||||||||||
Hangzhou Chang Chuan Technology Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 209,447 USD | (4,442 | ) | ||||||||||||||
Hangzhou First Applied Material Co., Ltd. | 08/27/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 77,780 USD | (1,257 | ) | ||||||||||||||
Hangzhou First Applied Material Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 26,720 USD | (462 | ) | ||||||||||||||
Haoyun Technologies Co., Ltd. | 10/09/24 | M | 1.00 | % | JPMorgan Chase Bank, N.A. | 1,139 USD | 6 | |||||||||||||||
Harbin Xinguang Optic-Electronics Technology Co., Ltd. | 09/04/24 | M | 2.72 | % | JPMorgan Chase Bank, N.A. | 1,981 USD | (167 | ) | ||||||||||||||
Healthcare Co., Ltd. | 08/06/24 | M | 2.72 | % | JPMorgan Chase Bank, N.A. | 47,070 USD | (3,347 | ) | ||||||||||||||
Healthcare Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 15,107 USD | (1,074 | ) | ||||||||||||||
Hebei Huatong Wires & Cables Group Co., Ltd. | 08/28/24 | M | 2.72 | % | JPMorgan Chase Bank, N.A. | 31,382 USD | (2,599 | ) | ||||||||||||||
Hebei Huatong Wires & Cables Group Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 103 USD | (8 | ) | ||||||||||||||
Hebei Jianxin Chemical Co., Ltd. | 09/04/24 | M | 3.00 | % | JPMorgan Chase Bank, N.A. | 12,148 USD | (768 | ) | ||||||||||||||
Hefei Meiya Optoelectronic Technology, Inc. | 09/11/24 | M | 3.11 | % | JPMorgan Chase Bank, N.A. | 19,927 USD | 142 | |||||||||||||||
Hefei Meiya Optoelectronic Technology, Inc. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 10,242 USD | 83 | |||||||||||||||
Henan Dayou Energy Co., Ltd. | 09/04/24 | M | 2.72 | % | JPMorgan Chase Bank, N.A. | 123,235 USD | (5,394 | ) | ||||||||||||||
Henan Dayou Energy Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 38,042 USD | (1,652 | ) | ||||||||||||||
Henan Hengxing Science & Technology Co., Ltd. | 09/04/24 | M | 2.81 | % | JPMorgan Chase Bank, N.A. | 542,940 USD | (45,981 | ) | ||||||||||||||
Henan Hengxing Science & Technology Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 278,768 USD | (23,718 | ) | ||||||||||||||
Henan Jindan Lactic Acid Technology Co., Ltd. | 09/30/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 1,692 USD | (17 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Henan Shijia Photons Technology Co., Ltd. | 08/13/24 | M | 2.72 | % | JPMorgan Chase Bank, N.A. | 46,297 USD | $ | (4,141 | ) | |||||||||||||
Henan Shijia Photons Technology Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 27,538 USD | (2,539 | ) | ||||||||||||||
Henan Shuanghui Investment & Development Co., Ltd. | 09/30/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 14,486 USD | 346 | |||||||||||||||
Henan Shuanghui Investment & Development Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 8,426 USD | 198 | |||||||||||||||
Henan Yicheng New Energy Co., Ltd. | 09/04/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 4,474 USD | (241 | ) | ||||||||||||||
Henan Yicheng New Energy Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 699 USD | (38 | ) | ||||||||||||||
Henan Zhongfu Industry Co., Ltd. | 08/07/24 | M | 3.11 | % | JPMorgan Chase Bank, N.A. | 23,934 USD | (1,614 | ) | ||||||||||||||
Henan Zhongfu Industry Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 4,325 USD | (292 | ) | ||||||||||||||
Hengdian Group DMEGC Magnetics Co., Ltd. | 10/09/24 | M | 1.00 | % | JPMorgan Chase Bank, N.A. | 23,056 USD | (171 | ) | ||||||||||||||
Hengdian Group DMEGC Magnetics Co., Ltd. | 01/26/24 | M | 1.00 | % | Credit Suisse International | 13,772 USD | (97 | ) | ||||||||||||||
Hengli Petrochemical Co., Ltd. | 10/09/24 | M | 1.00 | % | JPMorgan Chase Bank, N.A. | 17,941 USD | (45 | ) | ||||||||||||||
Hengli Petrochemical Co., Ltd. | 01/26/24 | M | 1.00 | % | Credit Suisse International | 960 USD | (6 | ) | ||||||||||||||
Hengtong Optic-electric Co., Ltd. | 08/21/24 | M | 3.08 | % | JPMorgan Chase Bank, N.A. | 86,137 USD | (1,954 | ) | ||||||||||||||
Hengtong Optic-electric Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 40,963 USD | (925 | ) | ||||||||||||||
Hengyi Petrochemical Co., Ltd. | 09/04/24 | M | 3.08 | % | JPMorgan Chase Bank, N.A. | 337,929 USD | (21,752 | ) | ||||||||||||||
Hengyi Petrochemical Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 158,110 USD | (10,133 | ) | ||||||||||||||
Highwoods Properties, Inc. | 05/23/23 | M | 3.08 | % | Morgan Stanley Capital Services LLC | 38,901 USD | 838 | |||||||||||||||
Hisense Visual Technology Co., Ltd. | 08/14/24 | M | 2.72 | % | JPMorgan Chase Bank, N.A. | 9,049 USD | (102 | ) | ||||||||||||||
Hisense Visual Technology Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 5,409 USD | (73 | ) | ||||||||||||||
Hitevision Co., Ltd. | 08/21/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 4,065 USD | 328 | |||||||||||||||
HLA Group Corp Ltd. | 07/10/24 | M | 2.72 | % | JPMorgan Chase Bank, N.A. | 32,517 USD | (1,081 | ) | ||||||||||||||
HLA Group Corp Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 11,534 USD | (380 | ) | ||||||||||||||
Hongli Zhihui Group Co., Ltd. | 09/03/24 | M | 3.38 | % | JPMorgan Chase Bank, N.A. | 2,107 USD | (34 | ) | ||||||||||||||
Hongta Securities Co., Ltd. | 08/28/24 | M | 2.79 | % | JPMorgan Chase Bank, N.A. | 94,289 USD | (5,514 | ) | ||||||||||||||
Hongta Securities Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 22,445 USD | (1,283 | ) | ||||||||||||||
HPF Co., Ltd. | 10/09/24 | M | 1.00 | % | JPMorgan Chase Bank, N.A. | 1,147 USD | (11 | ) |
See Notes to Consolidated Financial Statements.
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Huaan Securities Co., Ltd. | 09/04/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 2,612 USD | $ | (109 | ) | |||||||||||||
Huadian Heavy Industries Co., Ltd. | 09/04/24 | M | 2.72 | % | JPMorgan Chase Bank, N.A. | 24,474 USD | (2,518 | ) | ||||||||||||||
Huadian Heavy Industries Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 157 USD | (16 | ) | ||||||||||||||
Huadong Medicine Co., Ltd. | 09/23/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 56,692 USD | 1,582 | |||||||||||||||
Huadong Medicine Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 33,518 USD | 994 | |||||||||||||||
Huafu Fashion Co., Ltd. | 09/11/24 | M | 3.39 | % | JPMorgan Chase Bank, N.A. | 274,133 USD | (11,078 | ) | ||||||||||||||
Huafu Fashion Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 149,539 USD | (5,556 | ) | ||||||||||||||
Huaihe Energy Group Co., Ltd. | 10/09/24 | M | 1.00 | % | JPMorgan Chase Bank, N.A. | 20,580 USD | (121 | ) | ||||||||||||||
Huaihe Energy Group Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 11,233 USD | (41 | ) | ||||||||||||||
Huakai Yibai Technology Co., Ltd. | 09/25/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 4,974 USD | (154 | ) | ||||||||||||||
Huakai Yibai Technology Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 2,692 USD | (81 | ) | ||||||||||||||
Hualan Biological Engineering, Inc. | 09/23/24 | M | 3.35 | % | JPMorgan Chase Bank, N.A. | 308,121 USD | 4,260 | |||||||||||||||
Hualan Biological Engineering, Inc. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 163,989 USD | 2,215 | |||||||||||||||
Huali Industrial Group Co., Ltd. | 09/04/24 | M | 2.96 | % | JPMorgan Chase Bank, N.A. | 159,042 USD | (7,733 | ) | ||||||||||||||
Huali Industrial Group Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 58,871 USD | (2,805 | ) | ||||||||||||||
Huaneng Lancang River Hydropower, Inc. | 08/21/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 39,462 USD | (556 | ) | ||||||||||||||
Huaneng Lancang River Hydropower, Inc. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 15,181 USD | (337 | ) | ||||||||||||||
Huangshan Novel Co., Ltd. | 09/10/24 | M | 3.38 | % | JPMorgan Chase Bank, N.A. | 2,182 USD | 11 | |||||||||||||||
Huapont Life Sciences Co., Ltd. | 04/29/24 | M | 3.16 | % | JPMorgan Chase Bank, N.A. | 60,183 USD | (1,515 | ) | ||||||||||||||
Huapont Life Sciences Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 27,020 USD | (687 | ) | ||||||||||||||
Hubei Biocause Pharmaceutical Co., Ltd. | 09/25/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 14,642 USD | (114 | ) | ||||||||||||||
Hubei Biocause Pharmaceutical Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 86 USD | (1 | ) | ||||||||||||||
Hubei Donper Electromechanical Group Co., Ltd. | 08/12/24 | M | 2.80 | % | JPMorgan Chase Bank, N.A. | 212,081 USD | (14,636 | ) | ||||||||||||||
Hubei Donper Electromechanical Group Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 103,634 USD | (7,115 | ) | ||||||||||||||
Hubei Energy Group Co., Ltd. | 09/11/24 | M | 2.72 | % | JPMorgan Chase Bank, N.A. | 65,981 USD | (4,754 | ) |
See Notes to Consolidated Financial Statements.
194
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Hubei Energy Group Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 24,617 USD | $ | (1,773 | ) | |||||||||||||
Hubei Fuxing Science And Technology Co., Ltd. | 09/30/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 300,153 USD | (2,771 | ) | ||||||||||||||
Hubei Fuxing Science And Technology Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 163,546 USD | (815 | ) | ||||||||||||||
Hubei Xingfa Chemicals Group Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 26,857 USD | (418 | ) | ||||||||||||||
Hubei Xingfa Chemicals Group Co.,Ltd | 08/21/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 46,498 USD | (701 | ) | ||||||||||||||
Huida Sanitary Ware Co., Ltd. | 09/04/24 | M | 2.72 | % | JPMorgan Chase Bank, N.A. | 1,239 USD | (22 | ) | ||||||||||||||
Hunan Changyuan Lico Co., Ltd. | 09/25/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 381,752 USD | 666 | |||||||||||||||
Hunan Changyuan Lico Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 185,760 USD | 406 | |||||||||||||||
Hunan Fangsheng Pharmaceutical Co., Ltd. | 08/28/24 | M | 3.32 | % | JPMorgan Chase Bank, N.A. | 886 USD | 52 | |||||||||||||||
Hunan Gold Corp., Ltd. | 10/09/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 17,782 USD | 171 | |||||||||||||||
Hunan Heshun Petroleum Co., Ltd. | 09/10/24 | M | 2.75 | % | JPMorgan Chase Bank, N.A. | 30,915 USD | (1,584 | ) | ||||||||||||||
Hunan Heshun Petroleum Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 18,486 USD | (1,040 | ) | ||||||||||||||
Hunan Jingfeng Pharmaceutical Co., Ltd. | 10/09/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 5,214 USD | 205 | |||||||||||||||
Hunan Valin Steel Co., Ltd. | 09/11/24 | M | 2.96 | % | JPMorgan Chase Bank, N.A. | 93,686 USD | (4,332 | ) | ||||||||||||||
Hunan Valin Steel Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 34,834 USD | (1,578 | ) | ||||||||||||||
Hunan Yujing Machinery Co., Ltd. | 10/09/24 | M | 1.00 | % | JPMorgan Chase Bank, N.A. | 23,688 USD | (169 | ) | ||||||||||||||
Hunan Yujing Machinery Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 9,160 USD | (56 | ) | ||||||||||||||
Hunan Yussen Energy Technology Co., Ltd. | 09/04/24 | M | 3.07 | % | JPMorgan Chase Bank, N.A. | 26,060 USD | (2,149 | ) | ||||||||||||||
Hunan Yussen Energy Technology Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 412 USD | (32 | ) | ||||||||||||||
Hytera Communications Corp., Ltd. | 10/09/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 2,603 USD | 51 | |||||||||||||||
Infore Environment Technology Group Co., Ltd. | 09/30/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 59,153 USD | 126 | |||||||||||||||
Infore Environment Technology Group Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 28,651 USD | 69 | |||||||||||||||
Inly Media Co., Ltd. | 10/09/24 | M | 1.00 | % | JPMorgan Chase Bank, N.A. | 1,094 USD | (10 | ) |
See Notes to Consolidated Financial Statements.
195
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Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Inner Mongolia Dian Tou Energy Corp., Ltd. | 10/08/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 16,607 USD | $ | 350 | ||||||||||||||
Inner Mongolia Dian Tou Energy Corp., Ltd. | 01/26/24 | M | 1.00 | % | Credit Suisse International | 723 USD | 14 | |||||||||||||||
Inner Mongolia MengDian HuaNeng Thermal Power Corp., Ltd. | 05/15/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 162,555 USD | (9,158 | ) | ||||||||||||||
Inner Mongolia MengDian HuaNeng Thermal Power Corp., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 52,232 USD | (3,132 | ) | ||||||||||||||
Inner Mongolia Xingye Mining Co., Ltd. | 09/25/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 2,483 USD | (123 | ) | ||||||||||||||
Inner Mongolia Yuan Xing Energy Co., Ltd. | 10/09/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 3,148 USD | 205 | |||||||||||||||
Inner Mongolia Yuan Xing Energy Co., Ltd. | 01/26/24 | M | 1.00 | % | Credit Suisse International | 197 USD | 13 | |||||||||||||||
Intertrust NV | 12/08/23 | M | 1.16 | % | JPMorgan Chase Bank, N.A. | 6,772,400 EUR | (47,217 | ) | ||||||||||||||
IReader Technology Co., Ltd. | 09/04/24 | M | 2.72 | % | JPMorgan Chase Bank, N.A. | 11,168 USD | (649 | ) | ||||||||||||||
iRobot Corp. | 08/07/24 | M | 2.82 | % | JPMorgan Chase Bank, N.A. | 9,779,935 USD | (312,608 | ) | ||||||||||||||
ironSource Ltd. | 07/17/24 | M | 2.82 | % | JPMorgan Chase Bank, N.A. | 5,097,278 USD | (421,375 | ) | ||||||||||||||
J.P. Morgan Equity Index Swap - AIJPLT2U | 09/30/22 | M | 1.00 | % | JPMorgan Chase Bank, N.A. | 74,307,649 USD | (969,072 | ) | ||||||||||||||
Jiangling Motors Corp., Ltd. | 10/09/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 12,202 USD | (96 | ) | ||||||||||||||
Jiangling Motors Corp., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 7,241 USD | (60 | ) | ||||||||||||||
Jiangnan Mould and Plastic Technology Co., Ltd. | 09/04/24 | M | 2.80 | % | JPMorgan Chase Bank, N.A. | 389,022 USD | (34,761 | ) | ||||||||||||||
Jiangnan Mould and Plastic Technology Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 182,729 USD | (16,030 | ) | ||||||||||||||
Jiangsu Aoyang Health Industry Co., Ltd. | 10/08/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 2,607 USD | 38 | |||||||||||||||
Jiangsu Bioperfectus Technologies Co., Ltd | 09/25/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 175,871 USD | 4,775 | |||||||||||||||
Jiangsu Bioperfectus Technologies Co., Ltd | 01/26/24 | M | 3.47 | % | Credit Suisse International | 83,355 USD | 2,526 | |||||||||||||||
Jiangsu Changbao Steeltube Co., Ltd. | 10/09/24 | M | 1.00 | % | JPMorgan Chase Bank, N.A. | 58,642 USD | (793 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Jiangsu Changbao Steeltube Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 32,033 USD | $ | (418 | ) | |||||||||||||
Jiangsu Changhai Composite Materials Co., Ltd. | 09/04/24 | M | 3.17 | % | JPMorgan Chase Bank, N.A. | 17,319 USD | (595 | ) | ||||||||||||||
Jiangsu Changhai Composite Materials Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 202 USD | (7 | ) | ||||||||||||||
Jiangsu Changshu Automotive Trim Group Co., Ltd. | 10/09/24 | M | 1.00 | % | JPMorgan Chase Bank, N.A. | 5,266 USD | (60 | ) | ||||||||||||||
Jiangsu Chuanzhiboke Education Technology Co., Ltd. | 09/25/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 336,330 USD | (6,302 | ) | ||||||||||||||
Jiangsu Chuanzhiboke Education Technology Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 176,999 USD | (3,290 | ) | ||||||||||||||
Jiangsu Cnano Technology Co., Ltd. | 10/09/24 | M | 1.00 | % | JPMorgan Chase Bank, N.A. | 6,359 USD | 137 | |||||||||||||||
Jiangsu Cnano Technology Co., Ltd. | 01/26/24 | M | 1.00 | % | Credit Suisse International | 3,180 USD | 69 | |||||||||||||||
Jiangsu Dingsheng New Energy Materials Co., Ltd. | 09/30/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 213,736 USD | (2,582 | ) | ||||||||||||||
Jiangsu Dingsheng New Energy Materials Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 116,481 USD | (1,019 | ) | ||||||||||||||
Jiangsu Guotai International Group Co., Ltd. | 07/03/24 | M | 2.96 | % | JPMorgan Chase Bank, N.A. | 462,522 USD | (24,358 | ) | ||||||||||||||
Jiangsu Guotai International Group Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 231,374 USD | (12,819 | ) | ||||||||||||||
Jiangsu Guoxin Corp., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 48,555 USD | (3,743 | ) | ||||||||||||||
Jiangsu Guoxin Corp., Ltd. | 09/09/24 | M | 2.81 | % | JPMorgan Chase Bank, N.A. | 102,358 USD | (8,138 | ) | ||||||||||||||
Jiangsu High Hope International Group Corp. | 10/08/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 367 USD | (4 | ) | ||||||||||||||
Jiangsu Jiangyin Rural Commercial Bank Co., Ltd. | 08/06/24 | M | 1.97 | % | JPMorgan Chase Bank, N.A. | 69,533 USD | (2,986 | ) | ||||||||||||||
Jiangsu Jiangyin Rural Commercial Bank Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 41,434 USD | (1,990 | ) | ||||||||||||||
Jiangsu Kanion Pharmaceutical Co., Ltd. | 09/25/24 | M | 3.02 | % | JPMorgan Chase Bank, N.A. | 386,848 USD | 9,602 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Jiangsu Kanion Pharmaceutical Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 184,423 USD | $ | 4,600 | ||||||||||||||
Jiangsu Leili Motor Co., Ltd. | 10/09/24 | M | 1.00 | % | JPMorgan Chase Bank, N.A. | 3,140 USD | (21 | ) | ||||||||||||||
Jiangsu Lihua Animal Husbandry Stock Co., Ltd. | 10/08/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 14,105 USD | (162 | ) | ||||||||||||||
Jiangsu Lihua Animal Husbandry Stock Co., Ltd. | 01/26/24 | M | 1.00 | % | Credit Suisse International | 1,044 USD | (11 | ) | ||||||||||||||
Jiangsu Luokai Mechanical & Electrical Co., Ltd. | 10/09/24 | M | 1.00 | % | JPMorgan Chase Bank, N.A. | 1,156 USD | (7 | ) | ||||||||||||||
Jiangsu Provincial Agricultural Reclamation and Development Corp. | 01/26/24 | M | 1.00 | % | Credit Suisse International | 3,579 USD | (11 | ) | ||||||||||||||
Jiangsu Provincial Agricultural Reclamation and Development Corp. | 10/09/24 | M | 1.00 | % | JPMorgan Chase Bank, N.A. | 6,838 USD | (27 | ) | ||||||||||||||
Jiangsu Sainty Corp Ltd. | 09/11/24 | M | 3.05 | % | JPMorgan Chase Bank, N.A. | 7,205 USD | (489 | ) | ||||||||||||||
Jiangsu Shagang Co., Ltd. | 09/25/24 | M | 3.33 | % | JPMorgan Chase Bank, N.A. | 20,799 USD | 258 | |||||||||||||||
Jiangsu Shagang Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 633 USD | 8 | |||||||||||||||
Jiangsu Xinri E-Vehicle Co., Ltd. | 09/04/24 | M | 2.94 | % | JPMorgan Chase Bank, N.A. | 72,184 USD | (5,842 | ) | ||||||||||||||
Jiangsu Xinri E-Vehicle Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 30,130 USD | (2,556 | ) | ||||||||||||||
Jiangsu Yangdian Science & Technology Co., Ltd. | 09/09/24 | M | 3.05 | % | JPMorgan Chase Bank, N.A. | 9,106 USD | (626 | ) | ||||||||||||||
Jiangsu Yangdian Science & Technology Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 948 USD | (55 | ) | ||||||||||||||
Jiangsu Zhangjiagang Rural Commercial Bank Co., Ltd. | 10/08/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 63,116 USD | (559 | ) | ||||||||||||||
Jiangsu Zhangjiagang Rural Commercial Bank Co., Ltd. | 01/26/24 | M | 1.00 | % | Credit Suisse International | 23,656 USD | (181 | ) | ||||||||||||||
Jiangsu Zhongtian Technology Co., Ltd. | 11/08/23 | M | 2.81 | % | JPMorgan Chase Bank, N.A. | 453,223 USD | (14,584 | ) | ||||||||||||||
Jiangsu Zhongtian Technology Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 215,798 USD | (6,980 | ) | ||||||||||||||
Jiangsu Zijin Rural Commercial Bank Co., Ltd. | 10/09/24 | M | 1.00 | % | JPMorgan Chase Bank, N.A. | 5,000 USD | (14 | ) | ||||||||||||||
Jiangsu Zijin Rural Commercial Bank Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 2,962 USD | (9 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
JiangXi Sanxin Medtec Co., Ltd. | 09/04/24 | M | 2.98 | % | JPMorgan Chase Bank, N.A. | 6,321 USD | $ | 123 | ||||||||||||||
Jiangyin Zhongnan Heavy Industries Co., Ltd. | 10/09/24 | M | 1.00 | % | JPMorgan Chase Bank, N.A. | 2,443 USD | (33 | ) | ||||||||||||||
Jiangzhong Pharmaceutical Co., Ltd. | 10/09/24 | M | 1.00 | % | JPMorgan Chase Bank, N.A. | 130,653 USD | 305 | |||||||||||||||
Jiangzhong Pharmaceutical Co., Ltd. | 01/26/24 | M | 1.00 | % | Credit Suisse International | 62,446 USD | 186 | |||||||||||||||
Jiawei Renewable Energy Co., Ltd. | 09/04/24 | M | 3.09 | % | JPMorgan Chase Bank, N.A. | 15,660 USD | (946 | ) | ||||||||||||||
Jiawei Renewable Energy Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 76 USD | (4 | ) | ||||||||||||||
Jihua Group Corp., Ltd. | 10/09/24 | M | 1.00 | % | JPMorgan Chase Bank, N.A. | 27,604 USD | 301 | |||||||||||||||
Jihua Group Corp., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 14,452 USD | 157 | |||||||||||||||
Jinan Shengquan Group Share Holding Co., Ltd. | 10/09/24 | M | 1.00 | % | JPMorgan Chase Bank, N.A. | 6,787 USD | (19 | ) | ||||||||||||||
Jinduicheng Molybdenum Co., Ltd. | 05/14/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 59,097 USD | 1,302 | |||||||||||||||
Jinduicheng Molybdenum Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 26,667 USD | 938 | |||||||||||||||
Jinhe Biotechnology Co., Ltd. | 09/04/24 | M | 3.10 | % | JPMorgan Chase Bank, N.A. | 267,114 USD | 10,444 | |||||||||||||||
Jinhe Biotechnology Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 129,175 USD | 5,200 | |||||||||||||||
Jinneng Holding Shanxi Electric Power Co., Ltd. | 09/24/24 | M | 2.98 | % | JPMorgan Chase Bank, N.A. | 42,283 USD | (3,703 | ) | ||||||||||||||
Jinneng Holding Shanxi Electric Power Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 11,082 USD | (787 | ) | ||||||||||||||
Jinzi Ham Co., Ltd. | 09/04/24 | M | 3.07 | % | JPMorgan Chase Bank, N.A. | 34,343 USD | (259 | ) | ||||||||||||||
Jinzi Ham Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 17,834 USD | (210 | ) | ||||||||||||||
Jiuzhitang Co., Ltd. | 08/21/24 | M | 2.75 | % | JPMorgan Chase Bank, N.A. | 34,058 USD | (991 | ) | ||||||||||||||
Jiuzhitang Co., Ltd. | 01/26/24 | M | 0.72 | % | Credit Suisse International | 119 USD | (4 | ) | ||||||||||||||
Jizhong Energy Resources Co., Ltd. | 08/12/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 37,429 USD | 2,649 | |||||||||||||||
Jizhong Energy Resources Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 22,315 USD | 1,561 | |||||||||||||||
JL Mag Rare-Earth Co., Ltd. | 08/12/24 | M | 3.08 | % | JPMorgan Chase Bank, N.A. | 272,653 USD | (15,102 | ) | ||||||||||||||
JL Mag Rare-Earth Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 151,205 USD | (8,587 | ) | ||||||||||||||
Joinn Laboratories China Co., Ltd. | 09/23/24 | M | 2.72 | % | JPMorgan Chase Bank, N.A. | 67,924 USD | (4,172 | ) | ||||||||||||||
Joinn Laboratories China Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 40,083 USD | (2,629 | ) | ||||||||||||||
Jointo Energy Investment Co., Ltd. Hebei | 09/11/24 | M | 1.00 | % | JPMorgan Chase Bank, N.A. | 133,868 USD | (262 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Jointo Energy Investment Co., Ltd. Hebei | 01/26/24 | M | 3.47 | % | Credit Suisse International | 73,322 USD | $ | (166 | ) | |||||||||||||
Jointown Pharmaceutical Group Co., Ltd. | 10/09/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 24,021 USD | 340 | |||||||||||||||
Jointown Pharmaceutical Group Co., Ltd. | 01/26/24 | M | 1.00 | % | Credit Suisse International | 10,651 USD | 158 | |||||||||||||||
Jonjee Hi-Tech Industrial And Commercial Holding Co., Ltd. | 09/23/24 | M | 2.72 | % | JPMorgan Chase Bank, N.A. | 34,585 USD | 481 | |||||||||||||||
Jonjee Hi-Tech Industrial And Commercial Holding Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 20,815 USD | 315 | |||||||||||||||
KAISA JiaYun Technology, Inc. | 09/03/24 | M | 2.81 | % | JPMorgan Chase Bank, N.A. | 24,462 USD | (2,312 | ) | ||||||||||||||
KAISA JiaYun Technology, Inc. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 84 USD | (6 | ) | ||||||||||||||
Keda Industrial Group Co., Ltd. | 08/28/24 | M | 3.14 | % | JPMorgan Chase Bank, N.A. | 251,682 USD | (5,903 | ) | ||||||||||||||
Keda Industrial Group Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 129,655 USD | (4,067 | ) | ||||||||||||||
Kingnet Network Co., Ltd. | 08/19/24 | M | 3.44 | % | JPMorgan Chase Bank, N.A. | 389,823 USD | (6,865 | ) | ||||||||||||||
Kingnet Network Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 196,588 USD | (3,724 | ) | ||||||||||||||
Kuang-Chi Technologies Co., Ltd. | 09/09/24 | M | 2.90 | % | JPMorgan Chase Bank, N.A. | 629,937 USD | (42,948 | ) | ||||||||||||||
Kuang-Chi Technologies Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 316,199 USD | (20,715 | ) | ||||||||||||||
Kunshan Kinglai Hygienic Materials Co., Ltd. | 10/09/24 | M | 1.00 | % | JPMorgan Chase Bank, N.A. | 86,703 USD | (599 | ) | ||||||||||||||
Kunshan Kinglai Hygienic Materials Co., Ltd. | 01/26/24 | M | 1.00 | % | Credit Suisse International | 47,458 USD | (240 | ) | ||||||||||||||
Kunwu Jiuding Investment Holdings Co., Ltd. | 07/22/24 | M | 2.81 | % | JPMorgan Chase Bank, N.A. | 126,389 USD | (10,767 | ) | ||||||||||||||
Kunwu Jiuding Investment Holdings Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 46,257 USD | (3,856 | ) | ||||||||||||||
Lakeland Bancorp, Inc. | 10/01/24 | M | 3.57 | % | JPMorgan Chase Bank, N.A. | 380,050 USD | (10,699 | ) | ||||||||||||||
Lecron Industrial Development Group Co., Ltd. | 08/28/24 | M | 3.31 | % | JPMorgan Chase Bank, N.A. | 376,766 USD | (14,963 | ) | ||||||||||||||
Lecron Industrial Development Group Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 210,034 USD | (9,085 | ) | ||||||||||||||
Leedarson IoT Technology, Inc. | 09/04/24 | M | 2.75 | % | JPMorgan Chase Bank, N.A. | 92,548 USD | (6,189 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Leedarson IoT Technology, Inc. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 40,070 USD | $ | (2,669 | ) | |||||||||||||
Leo Group Co., Ltd. | 09/04/24 | M | 2.92 | % | JPMorgan Chase Bank, N.A. | 44,036 USD | (1,342 | ) | ||||||||||||||
Leo Group Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 22,995 USD | (612 | ) | ||||||||||||||
Lets Holdings Group Co., Ltd. | 09/04/24 | M | 3.35 | % | JPMorgan Chase Bank, N.A. | 311,755 USD | (2,991 | ) | ||||||||||||||
Lets Holdings Group Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 162,919 USD | (1,273 | ) | ||||||||||||||
LHC Group, Inc. | 04/02/24 | M | 2.82 | % | JPMorgan Chase Bank, N.A. | 11,153,136 USD | (69,754 | ) | ||||||||||||||
LianChuang Electronic Technology Co., Ltd. | 10/09/24 | M | 1.00 | % | JPMorgan Chase Bank, N.A. | 22,973 USD | (352 | ) | ||||||||||||||
LianChuang Electronic Technology Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 790 USD | (17 | ) | ||||||||||||||
Lier Chemical Co., Ltd. | 09/23/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 39,974 USD | (2,393 | ) | ||||||||||||||
Lier Chemical Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 23,822 USD | (1,434 | ) | ||||||||||||||
Limin Group Co., Ltd. | 09/20/24 | M | 3.07 | % | JPMorgan Chase Bank, N.A. | 5,257 USD | (439 | ) | ||||||||||||||
Lingyi iTech Guangdong Co. | 09/25/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 58,753 USD | (2,400 | ) | ||||||||||||||
Lingyi iTech Guangdong Co. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 21,532 USD | (886 | ) | ||||||||||||||
Liuzhou Iron & Steel Co., Ltd. | 09/25/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 21,108 USD | (470 | ) | ||||||||||||||
Liuzhou Iron & Steel Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 11,369 USD | (72 | ) | ||||||||||||||
Longshine Technology Group Co., Ltd. | 08/21/24 | M | 3.11 | % | JPMorgan Chase Bank, N.A. | 9,745 USD | (373 | ) | ||||||||||||||
Longshine Technology Group Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 5,622 USD | (179 | ) | ||||||||||||||
Longyan Zhuoyue New Energy Co., Ltd. | 10/08/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 27,436 USD | (590 | ) | ||||||||||||||
Longyan Zhuoyue New Energy Co., Ltd. | 01/26/24 | M | 1.00 | % | Credit Suisse International | 14,784 USD | (328 | ) | ||||||||||||||
Lu Thai Textile Co., Ltd. | 08/20/24 | M | 3.17 | % | JPMorgan Chase Bank, N.A. | 344,767 USD | (7,348 | ) | ||||||||||||||
Lu Thai Textile Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 181,509 USD | (3,777 | ) | ||||||||||||||
Lucky Harvest Co., Ltd. | 09/24/24 | M | 3.08 | % | JPMorgan Chase Bank, N.A. | 345,300 USD | (35,449 | ) | ||||||||||||||
Lucky Harvest Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 173,287 USD | (17,710 | ) | ||||||||||||||
Luoniushan Co., Ltd. | 09/30/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 69,429 USD | (1,642 | ) | ||||||||||||||
Luoniushan Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 38,030 USD | (894 | ) | ||||||||||||||
Luxshare Precision Industry Co., Ltd. | 09/11/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 385,819 USD | (12,266 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Luxshare Precision Industry Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 205,301 USD | $ | (6,709 | ) | |||||||||||||
Luyan Pharma Co., Ltd. | 09/25/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 2,765 USD | 127 | |||||||||||||||
Luyang Energy-Saving Materials Co., Ltd. | 09/25/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 342 USD | (12 | ) | ||||||||||||||
Luyin Investment Group Co., Ltd. | 09/11/24 | M | 3.25 | % | JPMorgan Chase Bank, N.A. | 8,175 USD | (495 | ) | ||||||||||||||
Macmic Science & Technology Co., Ltd. | 10/08/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 176,973 USD | (5,129 | ) | ||||||||||||||
Macmic Science & Technology Co., Ltd. | 01/26/24 | M | 1.00 | % | Credit Suisse International | 83,780 USD | (2,545 | ) | ||||||||||||||
Maiquer Group Co., Ltd. | 10/08/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 296 USD | 5 | |||||||||||||||
Mango Excellent Media Co., Ltd. | 09/23/24 | M | 3.17 | % | JPMorgan Chase Bank, N.A. | 403,058 USD | (10,205 | ) | ||||||||||||||
Mango Excellent Media Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 191,893 USD | (4,862 | ) | ||||||||||||||
Maoming Petro-Chemical Shihua Co., Ltd. | 10/09/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 1,385 USD | (11 | ) | ||||||||||||||
Masterwork Group Co., Ltd. | 10/09/24 | M | 1.00 | % | JPMorgan Chase Bank, N.A. | 35,188 USD | (167 | ) | ||||||||||||||
Masterwork Group Co., Ltd. | 01/26/24 | M | 1.00 | % | Credit Suisse International | 18,457 USD | (82 | ) | ||||||||||||||
Medicalsystem Biotechnology Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 108,439 USD | 31 | |||||||||||||||
Medicalsystem Biotechnology Co., Ltd. | 08/21/24 | M | 2.90 | % | JPMorgan Chase Bank, N.A. | 247,591 USD | (65 | ) | ||||||||||||||
Meridian Bioscience, Inc. | 07/10/24 | M | 2.82 | % | JPMorgan Chase Bank, N.A. | 7,589,316 USD | (116,139 | ) | ||||||||||||||
Metallurgical Corp. of China Ltd. | 09/04/24 | M | 2.72 | % | JPMorgan Chase Bank, N.A. | 28,602 USD | (1,447 | ) | ||||||||||||||
Metallurgical Corp. of China Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 10,630 USD | (552 | ) | ||||||||||||||
Mianyang Fulin Precision Co., Ltd. | 10/08/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 148,573 USD | (3,850 | ) | ||||||||||||||
Mianyang Fulin Precision Co., Ltd. | 01/26/24 | M | 1.00 | % | Credit Suisse International | 76,647 USD | (2,061 | ) | ||||||||||||||
Micro Focus International PLC | 08/29/24 | M | 2.74 | % | JPMorgan Chase Bank, N.A. | 2,110,120 GBP | (6,661 | ) | ||||||||||||||
Milkyway Chemical Supply Chain Service Co., Ltd. | 10/09/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 19,718 USD | (259 | ) | ||||||||||||||
Milkyway Chemical Supply Chain Service Co., Ltd. | 01/26/24 | M | 1.00 | % | Credit Suisse International | 10,748 USD | (135 | ) | ||||||||||||||
Ming Yang Smart Energy Group Ltd. | 08/22/23 | M | 2.83 | % | JPMorgan Chase Bank, N.A. | 138,062 USD | (5,012 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Ming Yang Smart Energy Group Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 65,684 USD | $ | (2,391 | ) | |||||||||||||
Montnets Cloud Technology Group Co., Ltd. | 09/23/24 | M | 3.00 | % | JPMorgan Chase Bank, N.A. | 22,444 USD | (1,481 | ) | ||||||||||||||
Motic Xiamen Electric Group Co., Ltd. | 09/09/24 | M | 2.84 | % | JPMorgan Chase Bank, N.A. | 9,039 USD | (551 | ) | ||||||||||||||
MS Alpha Swap | 12/27/23 | M | 1.00 | % | Morgan Stanley Capital Services LLC | 53,108,800 USD | (2,956,015 | ) | ||||||||||||||
MS Alpha Swap | 08/14/24 | M | 1.00 | % | Morgan Stanley Capital Services LLC | 159,690,690 USD | (1,072,695 | ) | ||||||||||||||
MS Alpha Swap | 12/28/23 | M | 1.00 | % | Morgan Stanley Capital Services LLC | 133,738,695 USD | (2,164,243 | ) | ||||||||||||||
MS Equity Index Swap - MS22COM3 | 03/05/24 | M | 3.08 | % | Morgan Stanley Capital Services LLC | 10,543,570 USD | (409,137 | ) | ||||||||||||||
MYS Group Co., Ltd. | 09/04/24 | M | 2.84 | % | JPMorgan Chase Bank, N.A. | 404,648 USD | (31,540 | ) | ||||||||||||||
MYS Group Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 191,667 USD | (14,605 | ) | ||||||||||||||
NanHua Bio-medicine Co., Ltd. | 09/25/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 4,534 USD | (459 | ) | ||||||||||||||
Nanhua Futures Co., Ltd. | 04/30/24 | M | 2.81 | % | JPMorgan Chase Bank, N.A. | 17,872 USD | (1,225 | ) | ||||||||||||||
Nanjing Cosmos Chemical Co., Ltd. | 10/09/24 | M | 1.00 | % | JPMorgan Chase Bank, N.A. | 2,671 USD | (27 | ) | ||||||||||||||
Nanjing Pharmaceutical Co., Ltd. | 09/10/24 | M | 2.72 | % | JPMorgan Chase Bank, N.A. | 6,543 USD | (169 | ) | ||||||||||||||
Nanjing Quanxin Cable Technology Co., Ltd. | 10/08/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 428 USD | (8 | ) | ||||||||||||||
NanJing Sanchao Advanced Materials Co., Ltd. | 09/24/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 9,641 USD | (248 | ) | ||||||||||||||
Nanjing Tanker Corp. | 10/09/24 | M | 1.00 | % | JPMorgan Chase Bank, N.A. | 303,521 USD | (2,805 | ) | ||||||||||||||
Nanjing Tanker Corp. | 01/26/24 | M | 1.00 | % | Credit Suisse International | 166,143 USD | (1,599 | ) | ||||||||||||||
Nanjing Yunhai Special Metals Co., Ltd. | 09/25/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 147,918 USD | 5,709 | |||||||||||||||
Nanjing Yunhai Special Metals Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 81,251 USD | 3,008 | |||||||||||||||
Nantong Acetic Acid Chemical Co., Ltd. | 09/03/24 | M | 2.72 | % | JPMorgan Chase Bank, N.A. | 18,196 USD | (1,336 | ) | ||||||||||||||
Nantong Acetic Acid Chemical Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 5,069 USD | (371 | ) | ||||||||||||||
Nantong Jiangshan Agrochemical & Chemical LLC | 10/09/24 | M | 1.00 | % | JPMorgan Chase Bank, N.A. | 28,895 USD | (430 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Nantong Jiangshan Agrochemical & Chemical LLC | 01/26/24 | M | 3.47 | % | Credit Suisse International | 15,072 USD | $ | (220 | ) | |||||||||||||
National Silicon Industry Group Co., Ltd. | 10/09/24 | M | 1.00 | % | JPMorgan Chase Bank, N.A. | 13,196 USD | (107 | ) | ||||||||||||||
National Silicon Industry Group Co., Ltd. | 01/26/24 | M | 1.00 | % | Credit Suisse International | 6,599 USD | (54 | ) | ||||||||||||||
NBTM New Materials Group Co., Ltd. | 09/04/24 | M | 2.72 | % | JPMorgan Chase Bank, N.A. | 31,062 USD | (3,643 | ) | ||||||||||||||
NBTM New Materials Group Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 12,145 USD | (1,421 | ) | ||||||||||||||
New Dazheng Property Group Co., Ltd. | 09/04/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 6,539 USD | 86 | |||||||||||||||
New Hope Dairy Co., Ltd. | 09/25/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 25,842 USD | (149 | ) | ||||||||||||||
New Hope Dairy Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 8,684 USD | (68 | ) | ||||||||||||||
New Hope Liuhe Co., Ltd. | 09/25/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 362,236 USD | 1,769 | |||||||||||||||
New Hope Liuhe Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 185,737 USD | 872 | |||||||||||||||
New Huadu Supercenter Co., Ltd. | 10/09/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 91,930 USD | 95 | |||||||||||||||
New Huadu Supercenter Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 43,643 USD | 94 | |||||||||||||||
New Trend International Logis-Tech Co., Ltd. | 09/04/24 | M | 2.72 | % | JPMorgan Chase Bank, N.A. | 16,564 USD | (1,176 | ) | ||||||||||||||
New Trend International Logis-Tech Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 3,567 USD | (244 | ) | ||||||||||||||
Newamstar Co., Ltd. | 08/28/24 | M | 2.96 | % | JPMorgan Chase Bank, N.A. | 4,714 USD | (255 | ) | ||||||||||||||
Ninestar Corp. | 04/23/24 | M | 2.97 | % | JPMorgan Chase Bank, N.A. | 176,079 USD | (4,482 | ) | ||||||||||||||
Ninestar Corp. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 97,415 USD | (2,683 | ) | ||||||||||||||
Ningbo Bohui Chemical Technology Co., Ltd. | 10/09/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 353 USD | 11 | |||||||||||||||
Ningbo Boway Alloy Material Co., Ltd. | 09/10/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 23,398 USD | (857 | ) | ||||||||||||||
Ningbo Boway Alloy Material Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 666 USD | (57 | ) | ||||||||||||||
Ningbo Cixing Co., Ltd. | 09/24/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 12,533 USD | (611 | ) | ||||||||||||||
Ningbo Cixing Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 68 USD | (3 | ) | ||||||||||||||
Ningbo Deye Technology Co., Ltd. | 10/08/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 18,622 USD | (845 | ) | ||||||||||||||
Ningbo Deye Technology Co., Ltd. | 01/26/24 | M | 1.00 | % | Credit Suisse International | 12,282 USD | (431 | ) | ||||||||||||||
Ningbo Donly Co., Ltd. | 09/30/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 5,582 USD | (143 | ) | ||||||||||||||
Ningbo Haitian Precision Machinery Co., Ltd. | 09/30/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 143,635 USD | (3,832 | ) | ||||||||||||||
Ningbo Haitian Precision Machinery Co., Ltd. | 01/26/24 | M | 1.97 | % | Credit Suisse International | 71,499 USD | (1,847 | ) | ||||||||||||||
Ningbo Joyson Electronic Corp. | 08/07/24 | M | 2.93 | % | JPMorgan Chase Bank, N.A. | 385,573 USD | (12,716 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Ningbo Joyson Electronic Corp. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 196,158 USD | $ | (5,815 | ) | |||||||||||||
Ningbo Ronbay New Energy Technology Co., Ltd. | 12/15/23 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 181,644 USD | (6,015 | ) | ||||||||||||||
Ningbo Ronbay New Energy Technology Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 86,781 USD | (3,713 | ) | ||||||||||||||
Ningxia Orient Tantalum Industry Co., Ltd. | 10/09/24 | M | 1.00 | % | JPMorgan Chase Bank, N.A. | 625 USD | 2 | |||||||||||||||
Ningxia Western Venture Industrial Co., Ltd. | 09/30/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 11,643 USD | (176 | ) | ||||||||||||||
Ningxia Western Venture Industrial Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 139 USD | (2 | ) | ||||||||||||||
North Copper ShanXi Co., Ltd. | 10/09/24 | M | 1.00 | % | JPMorgan Chase Bank, N.A. | 4,032 USD | 58 | |||||||||||||||
North Copper ShanXi Co., Ltd. | 01/26/24 | M | 1.00 | % | Credit Suisse International | 139 USD | 2 | |||||||||||||||
North Industries Group Red Arrow Co., Ltd. | 09/25/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 549,984 USD | (45,697 | ) | ||||||||||||||
North Industries Group Red Arrow Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 283,919 USD | (22,005 | ) | ||||||||||||||
Northeast Pharmaceutical Group Co., Ltd. | 08/21/24 | M | 3.40 | % | JPMorgan Chase Bank, N.A. | 239,649 USD | 7,613 | |||||||||||||||
Northeast Pharmaceutical Group Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 131,442 USD | 3,924 | |||||||||||||||
Offcn Education Technology Co., Ltd. | 09/25/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 97,822 USD | (387 | ) | ||||||||||||||
Offcn Education Technology Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 29,753 USD | (111 | ) | ||||||||||||||
Olympic Circuit Technology Co., Ltd. | 09/11/24 | M | 2.72 | % | JPMorgan Chase Bank, N.A. | 28,138 USD | (2,230 | ) | ||||||||||||||
Olympic Circuit Technology Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 3,697 USD | (293 | ) | ||||||||||||||
OPT Machine Vision Tech Co., Ltd. | 09/04/24 | M | 3.31 | % | JPMorgan Chase Bank, N.A. | 125,521 USD | (4,042 | ) | ||||||||||||||
OPT Machine Vision Tech Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 47,508 USD | (922 | ) | ||||||||||||||
Oriental Energy Co., Ltd. | 01/26/24 | M | 1.00 | % | Credit Suisse International | 28,559 USD | (190 | ) | ||||||||||||||
Oriental Energy Co., Ltd. | 10/09/24 | M | 1.00 | % | JPMorgan Chase Bank, N.A. | 55,142 USD | (338 | ) | ||||||||||||||
Pacific Shuanglin Bio-pharmacy Co., Ltd. | 09/30/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 11,474 USD | (115 | ) | ||||||||||||||
Pendal Group Ltd. | 09/18/24 | M | 2.66 | % | JPMorgan Chase Bank, N.A. | 5,154,150 AUD | (250,480 | ) |
See Notes to Consolidated Financial Statements.
205
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Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
People’s Insurance Co. Group of China Ltd. | 09/04/24 | M | 2.75 | % | JPMorgan Chase Bank, N.A. | 373,824 USD | $ | 2,957 | ||||||||||||||
People’s Insurance Co. Group of China Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 185,519 USD | 1,424 | |||||||||||||||
People.cn Co., Ltd. | 10/09/24 | M | 1.00 | % | JPMorgan Chase Bank, N.A. | 61,457 USD | 103 | |||||||||||||||
People.cn Co., Ltd. | 01/26/24 | M | 1.00 | % | Credit Suisse International | 26,858 USD | 65 | |||||||||||||||
Perfect World Co., Ltd. | 09/24/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 272,246 USD | (5,212 | ) | ||||||||||||||
Perfect World Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 131,073 USD | (3,041 | ) | ||||||||||||||
Petpal Pet Nutrition Technology Co., Ltd. | 10/09/24 | M | 1.00 | % | JPMorgan Chase Bank, N.A. | 32,753 USD | — | |||||||||||||||
Petpal Pet Nutrition Technology Co., Ltd. | 01/26/24 | M | 1.00 | % | Credit Suisse International | 17,770 USD | 11 | |||||||||||||||
PharmaBlock Sciences Nanjing, Inc. | 10/09/24 | M | 1.00 | % | JPMorgan Chase Bank, N.A. | 4,997 USD | (30 | ) | ||||||||||||||
Pharmaron Beijing Co., Ltd. | 10/09/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 82,391 USD | 690 | |||||||||||||||
Pharmaron Beijing Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 160,376 USD | 4,262 | |||||||||||||||
Ping An Bank Co., Ltd. | 10/09/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 345,567 USD | 2,727 | |||||||||||||||
Ping An Bank Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 184,154 USD | 1,180 | |||||||||||||||
Ping An Insurance Group Co. of China Ltd. | 09/10/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 111,179 USD | 1,988 | |||||||||||||||
Ping An Insurance Group Co. of China Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 34,576 USD | 605 | |||||||||||||||
Pnm Resources, Inc. | 10/25/22 | M | 2.82 | % | JPMorgan Chase Bank, N.A. | 9,827,890 USD | (306,080 | ) | ||||||||||||||
Polyrocks Chemical Co., Ltd. | 08/28/24 | M | 2.72 | % | JPMorgan Chase Bank, N.A. | 27,328 USD | (1,754 | ) | ||||||||||||||
Polyrocks Chemical Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 7,005 USD | (447 | ) | ||||||||||||||
Pony Testing International Group Co., Ltd. | 09/04/24 | M | 3.05 | % | JPMorgan Chase Bank, N.A. | 51,964 USD | 597 | |||||||||||||||
Pony Testing International Group Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 19,380 USD | 281 | |||||||||||||||
Porton Pharma Solutions Ltd. | 07/31/24 | M | 2.75 | % | JPMorgan Chase Bank, N.A. | 690,806 USD | (30,368 | ) | ||||||||||||||
Porton Pharma Solutions Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 338,243 USD | (14,924 | ) | ||||||||||||||
Profit Cultural & Creative Group Corp. | 05/14/24 | M | 2.77 | % | JPMorgan Chase Bank, N.A. | 127,478 USD | (11,469 | ) | ||||||||||||||
Profit Cultural & Creative Group Corp. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 52,971 USD | (4,796 | ) | ||||||||||||||
Puyang Refractories Group Co., Ltd. | 09/04/24 | M | 2.78 | % | JPMorgan Chase Bank, N.A. | 409,096 USD | (30,333 | ) | ||||||||||||||
Puyang Refractories Group Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 194,139 USD | (14,176 | ) | ||||||||||||||
Pylon Technologies Co., Ltd. | 09/30/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 305,766 USD | (12,445 | ) |
See Notes to Consolidated Financial Statements.
206
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Pylon Technologies Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 165,143 USD | $ | (7,200 | ) | |||||||||||||
Qianjiang Yongan Pharmaceutical Co., Ltd. | 09/30/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 5,256 USD | 34 | |||||||||||||||
QiaoYin City Management Co., Ltd. | 09/23/24 | M | 3.27 | % | JPMorgan Chase Bank, N.A. | 9,609 USD | 102 | |||||||||||||||
QiaoYin City Management Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 3,514 USD | 31 | |||||||||||||||
Qilu Bank Co., Ltd. | 10/08/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 14,033 USD | 17 | |||||||||||||||
Qilu Bank Co., Ltd. | 01/26/24 | M | 1.00 | % | Credit Suisse International | 8,329 USD | (4 | ) | ||||||||||||||
Qingdao Choho Industrial Co., Ltd. | 10/09/24 | M | 1.00 | % | JPMorgan Chase Bank, N.A. | 1,010 USD | — | |||||||||||||||
Qingdao East Steel Tower Stock Co., Ltd. | 05/08/24 | M | 2.89 | % | JPMorgan Chase Bank, N.A. | 243,246 USD | (12,727 | ) | ||||||||||||||
Qingdao East Steel Tower Stock Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 110,959 USD | (5,815 | ) | ||||||||||||||
Qingdao Gon Technology Co., Ltd. | 10/09/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 3,301 USD | (17 | ) | ||||||||||||||
Qingdao Haier Biomedical Co., Ltd. | 01/26/24 | M | 1.00 | % | Credit Suisse International | 20,636 USD | 443 | |||||||||||||||
Qingdao NovelBeam Technology Co., Ltd. | 10/09/24 | M | 1.00 | % | JPMorgan Chase Bank, N.A. | 56,723 USD | (117 | ) | ||||||||||||||
Qingdao NovelBeam Technology Co., Ltd. | 01/26/24 | M | 1.00 | % | Credit Suisse International | 31,468 USD | (20 | ) | ||||||||||||||
Qingdao Port International Co., Ltd. | 07/24/24 | M | 3.46 | % | JPMorgan Chase Bank, N.A. | 23,854 USD | 213 | |||||||||||||||
Qingdao Port International Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 13,038 USD | 153 | |||||||||||||||
Qingdao Sentury Tire Co., Ltd. | 09/23/24 | M | 3.21 | % | JPMorgan Chase Bank, N.A. | 162,395 USD | (10,985 | ) | ||||||||||||||
Qingdao Sentury Tire Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 62,783 USD | (4,015 | ) | ||||||||||||||
Qinhuangdao Port Co., Ltd. | 08/28/24 | M | 2.75 | % | JPMorgan Chase Bank, N.A. | 78,463 USD | (6,479 | ) | ||||||||||||||
Qinhuangdao Port Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 21,915 USD | (1,771 | ) | ||||||||||||||
Queclink Wireless Solutions Co., Ltd. | 10/09/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 1,504 USD | (13 | ) | ||||||||||||||
QuMei Home Furnishings Group Co., Ltd. | 09/20/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 11,334 USD | (576 | ) | ||||||||||||||
QuMei Home Furnishings Group Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 6,207 USD | (323 | ) | ||||||||||||||
Raisecom Technology Co., Ltd. | 08/21/24 | M | 3.20 | % | JPMorgan Chase Bank, N.A. | 194,377 USD | (5,974 | ) | ||||||||||||||
Raisecom Technology Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 100,806 USD | (2,667 | ) | ||||||||||||||
Rastar Group | 09/23/24 | M | 3.38 | % | JPMorgan Chase Bank, N.A. | 254,951 USD | (2,234 | ) | ||||||||||||||
Rastar Group | 01/26/24 | M | 3.47 | % | Credit Suisse International | 136,126 USD | (990 | ) |
See Notes to Consolidated Financial Statements.
207
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Red Avenue New Materials Group Co., Ltd. | 10/09/24 | M | 1.00 | % | JPMorgan Chase Bank, N.A. | 15,566 USD | $ | (128 | ) | |||||||||||||
Red Avenue New Materials Group Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 9,175 USD | (71 | ) | ||||||||||||||
Repsol S.A | 05/27/24 | M | 0.66 | % | Morgan Stanley Capital Services LLC | 376,311 EUR | (2,328 | ) | ||||||||||||||
Richinfo Technology Co., Ltd. | 09/09/24 | M | 3.42 | % | JPMorgan Chase Bank, N.A. | 312,584 USD | 10,295 | |||||||||||||||
Richinfo Technology Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 169,192 USD | 5,522 | |||||||||||||||
Risen Energy Co., Ltd. | 08/28/24 | M | 3.15 | % | JPMorgan Chase Bank, N.A. | 320,939 USD | (3,068 | ) | ||||||||||||||
Risen Energy Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 152,992 USD | (1,368 | ) | ||||||||||||||
Risuntek, Inc. | 08/27/24 | M | 3.09 | % | JPMorgan Chase Bank, N.A. | 21,825 USD | (307 | ) | ||||||||||||||
Risuntek, Inc. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 5,034 USD | (90 | ) | ||||||||||||||
Rogers Corp. | 11/06/23 | M | 2.82 | % | JPMorgan Chase Bank, N.A. | 6,225,354 USD | 10,312 | |||||||||||||||
Rongsheng Petrochemical Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 21,800 USD | (261 | ) | ||||||||||||||
Rongsheng Petrochemical Co., Ltd. | 09/04/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 58,000 USD | (466 | ) | ||||||||||||||
Roshow Technology Co., Ltd. | 09/25/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 34,212 USD | (2,066 | ) | ||||||||||||||
Roshow Technology Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 436 USD | (26 | ) | ||||||||||||||
Ruida Futures Co., Ltd. | 09/20/24 | M | 3.25 | % | JPMorgan Chase Bank, N.A. | 10,822 USD | (398 | ) | ||||||||||||||
SANOFI | 01/01/00 | M | 1.00 | % | Morgan Stanley Capital Services LLC | 20,212,240 EUR | (172,819 | ) | ||||||||||||||
Sanquan Food Co., Ltd. | 10/09/24 | M | 1.00 | % | JPMorgan Chase Bank, N.A. | 19,654 USD | 283 | |||||||||||||||
Sanquan Food Co., Ltd. | 01/26/24 | M | 0.72 | % | Credit Suisse International | 11,752 USD | 164 | |||||||||||||||
Sanxiang Advanced Materials Co., Ltd. | 10/09/24 | M | 1.00 | % | JPMorgan Chase Bank, N.A. | 45,588 USD | (167 | ) | ||||||||||||||
Sanxiang Advanced Materials Co., Ltd. | 01/26/24 | M | 1.00 | % | Credit Suisse International | 24,541 USD | (84 | ) | ||||||||||||||
Saturday Co., Ltd. | 09/25/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 25,554 USD | (1,353 | ) | ||||||||||||||
Saturday Co., Ltd. | 01/26/24 | M | 0.33 | % | Credit Suisse International | 3,917 USD | (209 | ) | ||||||||||||||
SDIC Capital Co., Ltd. | 09/19/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 12,872 USD | (268 | ) | ||||||||||||||
SDIC Capital Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 6,743 USD | (141 | ) | ||||||||||||||
Sealand Securities Co., Ltd. | 09/23/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 267,756 USD | (1,930 | ) | ||||||||||||||
Sealand Securities Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 145,675 USD | (828 | ) | ||||||||||||||
Seazen Holdings Co., Ltd. | 10/09/24 | M | 1.00 | % | JPMorgan Chase Bank, N.A. | 306,850 USD | 293 | |||||||||||||||
Seazen Holdings Co., Ltd. | 01/26/24 | M | 1.00 | % | Credit Suisse International | 158,175 USD | (167 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Sg Micro Corp. | 09/23/24 | M | 3.19 | % | JPMorgan Chase Bank, N.A. | 342,920 USD | $ | 4,775 | ||||||||||||||
Sg Micro Corp. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 181,137 USD | 2,327 | |||||||||||||||
Shaanxi Coal Industry Co., Ltd. | 10/09/24 | M | 1.00 | % | JPMorgan Chase Bank, N.A. | 18,088 USD | (106 | ) | ||||||||||||||
Shaanxi Coal Industry Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 970 USD | (6 | ) | ||||||||||||||
Shaanxi Construction Engineering Group Corp., Ltd. | 09/24/24 | M | 0.00 | % | JPMorgan Chase Bank, N.A. | 18,705 USD | (1,148 | ) | ||||||||||||||
Shaanxi Construction Engineering Group Corp., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 7,866 USD | (375 | ) | ||||||||||||||
Shaanxi International Trust Co., Ltd. | 09/20/24 | M | 3.14 | % | JPMorgan Chase Bank, N.A. | 488,592 USD | (22,357 | ) | ||||||||||||||
Shaanxi International Trust Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 232,567 USD | (10,373 | ) | ||||||||||||||
Shandong Cynda Chemical Co., Ltd. | 10/08/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 94,070 USD | 855 | |||||||||||||||
Shandong Cynda Chemical Co., Ltd. | 01/26/24 | M | 1.00 | % | Credit Suisse International | 46,190 USD | 338 | |||||||||||||||
Shandong Delisi Food Co., Ltd. | 10/09/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 9,862 USD | 23 | |||||||||||||||
Shandong Gold Phoenix Group Co., Ltd. | 09/04/24 | M | 2.91 | % | JPMorgan Chase Bank, N.A. | 13,341 USD | (869 | ) | ||||||||||||||
Shandong Head Group Co., Ltd. | 10/09/24 | M | 1.00 | % | JPMorgan Chase Bank, N.A. | 7,622 USD | (39 | ) | ||||||||||||||
Shandong Hi-speed Co., Ltd. | 09/04/24 | M | 2.72 | % | JPMorgan Chase Bank, N.A. | 33,900 USD | (208 | ) | ||||||||||||||
Shandong Hi-speed Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 20,154 USD | (169 | ) | ||||||||||||||
Shandong Hi-Speed Road & Bridge Co., Ltd. | 09/25/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 220,858 USD | 3,374 | |||||||||||||||
Shandong Hi-Speed Road & Bridge Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 107,964 USD | 1,441 | |||||||||||||||
Shandong Hiking International Co., Ltd. | 09/03/24 | M | 2.72 | % | JPMorgan Chase Bank, N.A. | 19,849 USD | (2,217 | ) | ||||||||||||||
Shandong Hiking International Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 96 USD | (11 | ) | ||||||||||||||
Shandong Huifa Foodstuff Co., Ltd. | 09/11/24 | M | 2.72 | % | JPMorgan Chase Bank, N.A. | 9,177 USD | (616 | ) | ||||||||||||||
Shandong Huifa Foodstuff Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 39 USD | (3 | ) | ||||||||||||||
Shandong Jincheng Pharmaceutical Group Co., Ltd. | 08/14/24 | M | 2.72 | % | JPMorgan Chase Bank, N.A. | 68,414 USD | (2,896 | ) | ||||||||||||||
Shandong Jincheng Pharmaceutical Group Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 21,193 USD | (897 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Shandong Jinling Mining Co., Ltd. | 08/07/24 | M | 3.02 | % | JPMorgan Chase Bank, N.A. | 33,572 USD | $ | (4,246 | ) | |||||||||||||
Shandong Jinling Mining Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 101 USD | (12 | ) | ||||||||||||||
Shandong Liancheng Precision Manufacturing Co., Ltd. | 10/09/24 | M | 1.00 | % | JPMorgan Chase Bank, N.A. | 3,105 USD | (23 | ) | ||||||||||||||
Shandong Linglong Tyre Co., Ltd. | 08/14/24 | M | 2.72 | % | JPMorgan Chase Bank, N.A. | 69,787 USD | (4,340 | ) | ||||||||||||||
Shandong Linglong Tyre Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 41,712 USD | (2,956 | ) | ||||||||||||||
Shandong Longji Machinery Co., Ltd. | 10/09/24 | M | 1.00 | % | JPMorgan Chase Bank, N.A. | 1,330 USD | (8 | ) | ||||||||||||||
Shandong Ruyi Woolen Garment Group Co., Ltd. | 10/09/24 | M | 1.00 | % | JPMorgan Chase Bank, N.A. | 17,150 USD | (96 | ) | ||||||||||||||
Shandong Ruyi Woolen Garment Group Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 9,359 USD | (49 | ) | ||||||||||||||
Shandong Sun Paper Industry JSC Ltd. | 08/21/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 76,210 USD | 2 | |||||||||||||||
Shandong Sun Paper Industry JSC Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 28,703 USD | (123 | ) | ||||||||||||||
Shandong Xiantan Co., Ltd. | 09/04/24 | M | 3.09 | % | JPMorgan Chase Bank, N.A. | 359,297 USD | (14,770 | ) | ||||||||||||||
Shandong Xiantan Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 167,631 USD | (6,530 | ) | ||||||||||||||
Shandong Yanggu Huatai Chemical Co., Ltd. | 08/05/24 | M | 3.38 | % | JPMorgan Chase Bank, N.A. | 335,416 USD | (8,292 | ) | ||||||||||||||
Shandong Yanggu Huatai Chemical Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 183,542 USD | (4,359 | ) | ||||||||||||||
Shandong Donghong Pipe Industry Co.,Ltd. | 09/04/24 | M | 2.99 | % | JPMorgan Chase Bank, N.A. | 160,334 USD | (8,668 | ) | ||||||||||||||
Shandong Donghong Pipe Industry Co.,Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 70,224 USD | (3,812 | ) | ||||||||||||||
Shanghai Amarsoft Information & Technology Co., Ltd. | 09/04/24 | M | 2.72 | % | JPMorgan Chase Bank, N.A. | 14,683 USD | (1,290 | ) | ||||||||||||||
Shanghai Amarsoft Information & Technology Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 1,810 USD | (158 | ) | ||||||||||||||
Shanghai Datun Energy Resources Co., Ltd. | 10/09/24 | M | 1.00 | % | JPMorgan Chase Bank, N.A. | 8,957 USD | (53 | ) | ||||||||||||||
Shanghai Datun Energy Resources Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 4,820 USD | (26 | ) | ||||||||||||||
Shanghai Feilo Acoustics Co., Ltd. | 08/28/24 | M | 2.72 | % | JPMorgan Chase Bank, N.A. | 10,478 USD | (792 | ) | ||||||||||||||
Shanghai Feilo Acoustics Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 2,522 USD | (190 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Shanghai Foreign Service Holding Group Co., Ltd. | 07/24/24 | M | 2.72 | % | JPMorgan Chase Bank, N.A. | 45,518 USD | $ | (3,183 | ) | |||||||||||||
Shanghai Foreign Service Holding Group Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 27,078 USD | (1,928 | ) | ||||||||||||||
Shanghai Fosun Pharmaceutical Group Co., Ltd. | 09/24/24 | M | 2.91 | % | JPMorgan Chase Bank, N.A. | 416,480 USD | (25,887 | ) | ||||||||||||||
Shanghai Fosun Pharmaceutical Group Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 198,703 USD | (12,244 | ) | ||||||||||||||
Shanghai Ganglian E-Commerce Holdings Co., Ltd. | 09/11/24 | M | 2.86 | % | JPMorgan Chase Bank, N.A. | 141,102 USD | (9,424 | ) | ||||||||||||||
Shanghai Ganglian E-Commerce Holdings Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 50,696 USD | (3,100 | ) | ||||||||||||||
Shanghai Haishun New Pharmaceutical Packaging Co., Ltd. | 09/25/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 776 USD | (26 | ) | ||||||||||||||
Shanghai International Port Group Co., Ltd. | 09/09/24 | M | 2.74 | % | JPMorgan Chase Bank, N.A. | 31,855 USD | 449 | |||||||||||||||
Shanghai International Port Group Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 8,194 USD | 117 | |||||||||||||||
Shanghai Pudong Development Bank Co., Ltd. | 09/11/24 | M | 3.33 | % | JPMorgan Chase Bank, N.A. | 114,378 USD | 586 | |||||||||||||||
Shanghai Pudong Development Bank Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 55,760 USD | 431 | |||||||||||||||
Shanghai Putailai New Energy Technology Co., Ltd. | 09/04/24 | M | 0.00 | % | JPMorgan Chase Bank, N.A. | 471,813 USD | (32,728 | ) | ||||||||||||||
Shanghai Putailai New Energy Technology Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 233,429 USD | (16,247 | ) | ||||||||||||||
Shanghai Rightongene Biotechnology Co., Ltd. | 09/09/24 | M | 2.72 | % | JPMorgan Chase Bank, N.A. | 1,109 USD | 17 | |||||||||||||||
Shanghai SK Petroleum & Chemical Equipment Corp Ltd. | 10/09/24 | M | 1.00 | % | JPMorgan Chase Bank, N.A. | 1,830 USD | (10 | ) | ||||||||||||||
Shanghai Weihong Electronic Technology Co., Ltd. | 09/04/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 3,169 USD | (65 | ) | ||||||||||||||
Shanghai Xinhua Media Co., Ltd. | 09/25/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 351 USD | (9 | ) | ||||||||||||||
Shanghai Yaoji Technology Co., Ltd. | 08/28/24 | M | 2.72 | % | JPMorgan Chase Bank, N.A. | 195 USD | (19 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Shanghai Yongli Belting Co., Ltd. | 09/30/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 2,226 USD | $ | 1 | ||||||||||||||
Shanghai Zhonggu Logistics Co., Ltd. | 09/04/24 | M | 2.97 | % | JPMorgan Chase Bank, N.A. | 27,352 USD | (477 | ) | ||||||||||||||
Shanghai Zhonggu Logistics Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 14,218 USD | (366 | ) | ||||||||||||||
Shanghai Zhongzhou Special Alloy Materials Co., Ltd. | 09/30/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 4,381 USD | (134 | ) | ||||||||||||||
Shantou Wanshun New Material Group Co., Ltd. | 09/30/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 159,758 USD | (6,021 | ) | ||||||||||||||
Shantou Wanshun New Material Group Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 84,751 USD | (2,785 | ) | ||||||||||||||
Shanxi Antai Group Co., Ltd. | 09/04/24 | M | 3.07 | % | JPMorgan Chase Bank, N.A. | 15,598 USD | (985 | ) | ||||||||||||||
Shanxi Antai Group Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 46 USD | (3 | ) | ||||||||||||||
Shanxi Coking Co., Ltd. | 07/24/24 | M | 3.23 | % | JPMorgan Chase Bank, N.A. | 70,954 USD | (2,679 | ) | ||||||||||||||
Shanxi Coking Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 42,135 USD | (1,685 | ) | ||||||||||||||
Shanxi Coking Coal Energy Group Co., Ltd. | 09/25/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 8,590 USD | 705 | |||||||||||||||
Shanxi Coking Coal Energy Group Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 4,093 USD | 343 | |||||||||||||||
Shanxi Taigang Stainless Steel Co., Ltd. | 10/08/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 25,367 USD | 288 | |||||||||||||||
Shanxi Taigang Stainless Steel Co., Ltd. | 01/26/24 | M | 1.00 | % | Credit Suisse International | 3,930 USD | 42 | |||||||||||||||
Shaw Communications, Inc. | 03/17/23 | M | 4.25 | % | JPMorgan Chase Bank, N.A. | 12,226,648 CAD | (23,652 | ) | ||||||||||||||
Shenghe Resources Holding Co., Ltd. | 05/17/24 | M | 3.26 | % | JPMorgan Chase Bank, N.A. | 121,569 USD | (950 | ) | ||||||||||||||
Shenghe Resources Holding Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 59,090 USD | (376 | ) | ||||||||||||||
Shengyi Electronics Co., Ltd. | 09/04/24 | M | 2.72 | % | JPMorgan Chase Bank, N.A. | 16,303 USD | (1,543 | ) | ||||||||||||||
Shengyi Electronics Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 4,143 USD | (391 | ) | ||||||||||||||
Shenzhen Absen Optoelectronic Co., Ltd. | 09/04/24 | M | 3.09 | % | JPMorgan Chase Bank, N.A. | 411,083 USD | (16,844 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Shenzhen Absen Optoelectronic Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 211,830 USD | $ | (8,479 | ) | |||||||||||||
Shenzhen Anche Technologies Co., Ltd. | 10/09/24 | M | 1.00 | % | JPMorgan Chase Bank, N.A. | 483 USD | (9 | ) | ||||||||||||||
Shenzhen Capchem Technology Co., Ltd. | 09/30/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 521,292 USD | 318 | |||||||||||||||
Shenzhen Capchem Technology Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 285,734 USD | 112 | |||||||||||||||
Shenzhen Click Technology Co., Ltd. | 09/25/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 295,174 USD | (11,645 | ) | ||||||||||||||
Shenzhen Click Technology Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 154,608 USD | (5,868 | ) | ||||||||||||||
Shenzhen Colibri Technologies Co., Ltd. | 09/11/24 | M | 3.42 | % | JPMorgan Chase Bank, N.A. | 282,501 USD | (16,463 | ) | ||||||||||||||
Shenzhen Colibri Technologies Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 140,966 USD | (7,843 | ) | ||||||||||||||
Shenzhen Comix Group Co., Ltd. | 09/30/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 3,582 USD | (29 | ) | ||||||||||||||
Shenzhen Dawei Innovation Technology Co., Ltd. | 09/25/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 2,398 USD | (214 | ) | ||||||||||||||
Shenzhen Dynanonic Co., Ltd. | 06/12/24 | M | 3.44 | % | JPMorgan Chase Bank, N.A. | 11,277 USD | (150 | ) | ||||||||||||||
Shenzhen Dynanonic Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 7,249 USD | (96 | ) | ||||||||||||||
Shenzhen Ecobeauty Co., Ltd. | 10/09/24 | M | 1.00 | % | JPMorgan Chase Bank, N.A. | 892 USD | (3 | ) | ||||||||||||||
Shenzhen Everwin Precision Technology Co., Ltd. | 10/09/24 | M | 1.00 | % | JPMorgan Chase Bank, N.A. | 47,811 USD | (493 | ) | ||||||||||||||
Shenzhen Everwin Precision Technology Co., Ltd. | 01/26/24 | M | 1.00 | % | Credit Suisse International | 26,109 USD | (259 | ) | ||||||||||||||
Shenzhen Farben Information Technology Co., Ltd. | 09/04/24 | M | 2.89 | % | JPMorgan Chase Bank, N.A. | 22,440 USD | (2,034 | ) | ||||||||||||||
Shenzhen H&T Intelligent Control Co., Ltd. | 09/25/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 24,668 USD | (1,068 | ) | ||||||||||||||
Shenzhen H&T Intelligent Control Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 12,946 USD | (525 | ) | ||||||||||||||
Shenzhen Hepalink Pharmaceutical Group Co., Ltd. | 08/21/24 | M | 3.35 | % | JPMorgan Chase Bank, N.A. | 183,746 USD | 7,987 | |||||||||||||||
Shenzhen Hepalink Pharmaceutical Group Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 100,775 USD | 3,999 | |||||||||||||||
Shenzhen Jingquanhua Electronics Co., Ltd. | 10/09/24 | M | 1.00 | % | JPMorgan Chase Bank, N.A. | 5,509 USD | (90 | ) | ||||||||||||||
Shenzhen Kaifa Technology Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 22,232 USD | (317 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Shenzhen Kaifa Technology Co., Ltd. | 09/03/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 37,551 USD | $ | (534 | ) | |||||||||||||
Shenzhen Kangtai Biological Products Co., Ltd. | 10/09/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 223,436 USD | 837 | |||||||||||||||
Shenzhen Kangtai Biological Products Co., Ltd. | 01/26/24 | M | 1.00 | % | Credit Suisse International | 116,150 USD | 539 | |||||||||||||||
Shenzhen Kinwong Electronic Co., Ltd. | 09/04/24 | M | 2.72 | % | JPMorgan Chase Bank, N.A. | 7,323 USD | (512 | ) | ||||||||||||||
Shenzhen Magic Design & Decoration Engineering Co., Ltd. | 09/25/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 286 USD | 11 | |||||||||||||||
Shenzhen Megmeet Electrical Co., Ltd. | 10/09/24 | M | 1.00 | % | JPMorgan Chase Bank, N.A. | 11,082 USD | (86 | ) | ||||||||||||||
Shenzhen Megmeet Electrical Co., Ltd. | 01/26/24 | M | 1.00 | % | Credit Suisse International | 411 USD | (4 | ) | ||||||||||||||
Shenzhen Mindray Bio-Medical Electronics Co., Ltd. | 09/30/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 35,869 USD | 2,079 | |||||||||||||||
Shenzhen Mindray Bio-Medical Electronics Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 19,962 USD | 1,121 | |||||||||||||||
Shenzhen New Nanshan Holding Group Co., Ltd. | 10/08/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 113,173 USD | (713 | ) | ||||||||||||||
Shenzhen New Nanshan Holding Group Co., Ltd. | 01/26/24 | M | 1.00 | % | Credit Suisse International | 61,813 USD | (287 | ) | ||||||||||||||
Shenzhen Noposion Agrochemicals Co., Ltd. | 09/25/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 12,870 USD | (445 | ) | ||||||||||||||
Shenzhen Qingyi Photomask Ltd. | 09/30/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 291,687 USD | 1,363 | |||||||||||||||
Shenzhen Qingyi Photomask Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 149,546 USD | 1,214 | |||||||||||||||
Shenzhen SC New Energy Technology Corp. | 10/08/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 210,096 USD | (2,118 | ) | ||||||||||||||
Shenzhen SC New Energy Technology Corp. | 01/26/24 | M | 1.00 | % | Credit Suisse International | 114,841 USD | (1,103 | ) | ||||||||||||||
Shenzhen SDG Information Co., Ltd. | 10/09/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 1,416 USD | (13 | ) | ||||||||||||||
Shenzhen Senior Technology Material Co., Ltd. | 04/24/24 | M | 2.97 | % | JPMorgan Chase Bank, N.A. | 467,139 USD | (12,143 | ) | ||||||||||||||
Shenzhen Senior Technology Material Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 231,911 USD | (6,248 | ) | ||||||||||||||
Shenzhen Silver Basis Technology Co., Ltd. | 09/04/24 | M | 2.89 | % | JPMorgan Chase Bank, N.A. | 32,641 USD | (3,956 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Shenzhen Silver Basis Technology Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 85 USD | $ | (8 | ) | |||||||||||||
Shenzhen Sunshine Laser & Electronics Technology Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 186,174 USD | (9,016 | ) | ||||||||||||||
Shenzhen Sunshine Laser & Electronics Technology Co., Ltd. | 08/21/24 | M | 3.13 | % | JPMorgan Chase Bank, N.A. | 375,130 USD | (19,419 | ) | ||||||||||||||
Shenzhen Tagen Group Co., Ltd. | 09/30/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 249,286 USD | (5,088 | ) | ||||||||||||||
Shenzhen Tagen Group Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 119,799 USD | (2,239 | ) | ||||||||||||||
Shenzhen Topband Co., Ltd. | 10/09/24 | M | 0.00 | % | JPMorgan Chase Bank, N.A. | 183,577 USD | (1,225 | ) | ||||||||||||||
Shenzhen Topband Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 100,630 USD | (794 | ) | ||||||||||||||
Shenzhen Weiye Decoration Group Co., Ltd. | 09/24/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 1,122 USD | (97 | ) | ||||||||||||||
Shenzhen Woer Heat-Shrinkable Material Co., Ltd. | 09/23/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 29,177 USD | (2,017 | ) | ||||||||||||||
Shenzhen Woer Heat-Shrinkable Material Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 266 USD | (13 | ) | ||||||||||||||
Shenzhen World Union Group, Inc. | 09/25/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 55,315 USD | (3,529 | ) | ||||||||||||||
Shenzhen World Union Group, Inc. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 23,452 USD | (1,512 | ) | ||||||||||||||
Shenzhen Yan Tian Port Holding Co., Ltd. | 09/23/24 | M | 2.72 | % | JPMorgan Chase Bank, N.A. | 85,241 USD | (376 | ) | ||||||||||||||
Shenzhen Yan Tian Port Holding Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 41,320 USD | (182 | ) | ||||||||||||||
Shenzhen YHLO Biotech Co., Ltd. | 09/04/24 | M | 2.72 | % | JPMorgan Chase Bank, N.A. | 5,013 USD | (29 | ) | ||||||||||||||
Shenzhen YHLO Biotech Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 1,503 USD | (8 | ) | ||||||||||||||
Shenzhen Yinghe Technology Co., Ltd. | 09/04/24 | M | 2.81 | % | JPMorgan Chase Bank, N.A. | 355,705 USD | (6,852 | ) | ||||||||||||||
Shenzhen Yinghe Technology Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 181,211 USD | (3,355 | ) | ||||||||||||||
Shenzhen Zhenye Group Co., Ltd. | 09/25/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 82,459 USD | (1,446 | ) | ||||||||||||||
Shenzhen Zhenye Group Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 44,899 USD | (519 | ) | ||||||||||||||
Shenzhen Zhilai Sci and Tech Co., Ltd. | 08/14/24 | M | 3.18 | % | JPMorgan Chase Bank, N.A. | 9,616 USD | (339 | ) | ||||||||||||||
Shenzhen Zhongjin Lingnan Nonfemet Co., Ltd. | 08/27/24 | M | 3.17 | % | JPMorgan Chase Bank, N.A. | 152,216 USD | (9,057 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Shenzhen Zhongjin Lingnan Nonfemet Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 57,651 USD | $ | (3,502 | ) | |||||||||||||
Shenzhen Zowee Tech Co., Ltd. | 10/09/24 | M | 1.00 | % | JPMorgan Chase Bank, N.A. | 667 USD | — | |||||||||||||||
Shijiazhuang Kelin Electric Co., Ltd. | 09/04/24 | M | 3.43 | % | JPMorgan Chase Bank, N.A. | 12,609 USD | (540 | ) | ||||||||||||||
Shijiazhuang Yiling Pharmaceutical Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 119,709 USD | 10,406 | |||||||||||||||
Shijiazhuang Yiling Pharmaceutical Co., Ltd. | 09/30/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 212,903 USD | 20,081 | |||||||||||||||
Shuangliang Eco-Energy Systems Co., Ltd. | 09/23/24 | M | 3.34 | % | JPMorgan Chase Bank, N.A. | 462,983 USD | (21,341 | ) | ||||||||||||||
Shuangliang Eco-Energy Systems Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 228,256 USD | (10,505 | ) | ||||||||||||||
Shunfa Hengye Corp. | 09/04/24 | M | 2.75 | % | JPMorgan Chase Bank, N.A. | 96,629 USD | (10,932 | ) | ||||||||||||||
Shunfa Hengye Corp. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 42,401 USD | (4,791 | ) | ||||||||||||||
ShuYu Civilian Pharmacy Corp Ltd. | 10/09/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 3,108 USD | 234 | |||||||||||||||
ShuYu Civilian Pharmacy Corp Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 1,658 USD | 125 | |||||||||||||||
SI-TECH Information Technology Co., Ltd. | 10/09/24 | M | 1.00 | % | JPMorgan Chase Bank, N.A. | 913 USD | (11 | ) | ||||||||||||||
Sichuan Development Lomon Co., Ltd. | 08/26/24 | M | 2.77 | % | JPMorgan Chase Bank, N.A. | 69,500 USD | (2,914 | ) | ||||||||||||||
Sichuan Development Lomon Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 41,314 USD | (1,832 | ) | ||||||||||||||
Sichuan EM Technology Co., Ltd. | 09/20/24 | M | 2.72 | % | JPMorgan Chase Bank, N.A. | 3,605 USD | (222 | ) | ||||||||||||||
Sichuan Fulin Transportation Group Co., Ltd. | 10/09/24 | M | 1.00 | % | JPMorgan Chase Bank, N.A. | 742 USD | — | |||||||||||||||
Sichuan Guoguang Agrochemical Co., Ltd. | 09/25/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 514 USD | (17 | ) | ||||||||||||||
Sichuan Kelun Pharmaceutical Co., Ltd. | 09/30/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 631,535 USD | 16,189 | |||||||||||||||
Sichuan Kelun Pharmaceutical Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 316,004 USD | 8,479 | |||||||||||||||
Sichuan Xichang Electric Power Co., Ltd. | 09/19/24 | M | 2.72 | % | JPMorgan Chase Bank, N.A. | 14,429 USD | (1,333 | ) | ||||||||||||||
Sichuan Yahua Industrial Group Co., Ltd. | 02/28/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 620,173 USD | (21,750 | ) | ||||||||||||||
Sichuan Yahua Industrial Group Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 339,251 USD | (11,966 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Siemens Gamesa Renewable Energy SA | 05/27/24 | M | 1.16 | % | JPMorgan Chase Bank, N.A. | 10,370,235 EUR | $ | (8,498 | ) | |||||||||||||
Sierra Wireless, Inc. | 08/07/24 | M | 2.82 | % | JPMorgan Chase Bank, N.A. | 23,631 USD | (193 | ) | ||||||||||||||
Signify Health, Inc. | 09/10/24 | M | 2.82 | % | JPMorgan Chase Bank, N.A. | 8,609,659 USD | (44,077 | ) | ||||||||||||||
Sino Wealth Electronic Ltd. | 09/10/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 30,099 USD | (966 | ) | ||||||||||||||
Sino Wealth Electronic Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 3,399 USD | (110 | ) | ||||||||||||||
Sinoma Science & Technology Co., Ltd. | 10/09/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 9,610 USD | (59 | ) | ||||||||||||||
Sinoma Science & Technology Co., Ltd. | 01/26/24 | M | 1.00 | % | Credit Suisse International | 565 USD | (3 | ) | ||||||||||||||
Sinomach Precision Industry Co., Ltd. | 09/25/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 9,629 USD | (391 | ) | ||||||||||||||
Sinopec Oilfield Equipment Corp. | 09/23/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 11,567 USD | (1,043 | ) | ||||||||||||||
Sinosteel Engineering & Technology Co., Ltd. | 09/30/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 19,863 USD | (28 | ) | ||||||||||||||
Sinosteel Engineering & Technology Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 3,812 USD | (6 | ) | ||||||||||||||
Sinotrans Ltd. | 08/26/24 | M | 2.72 | % | JPMorgan Chase Bank, N.A. | 208,480 USD | (19,546 | ) | ||||||||||||||
Sinotrans Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 101,961 USD | (9,546 | ) | ||||||||||||||
Skyworth Digital Co., Ltd. | 09/23/24 | M | 3.32 | % | JPMorgan Chase Bank, N.A. | 201,691 USD | (13,749 | ) | ||||||||||||||
Skyworth Digital Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 94,553 USD | (5,991 | ) | ||||||||||||||
Snowsky Salt Industry Group Co., Ltd. | 07/24/24 | M | 2.72 | % | JPMorgan Chase Bank, N.A. | 970 USD | (40 | ) | ||||||||||||||
Snowsky Salt Industry Group Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 606 USD | (24 | ) | ||||||||||||||
SPDR S&P Biotech ETF | 09/25/24 | M | 3.08 | % | Morgan Stanley Capital Services LLC | 12,081,732 USD | 484,856 | |||||||||||||||
SPIC Industry-Finance Holdings Co., Ltd. | 09/04/24 | M | 2.75 | % | JPMorgan Chase Bank, N.A. | 296,009 USD | (20,972 | ) | ||||||||||||||
SPIC Industry-Finance Holdings Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 132,045 USD | (9,162 | ) | ||||||||||||||
Spirit Airlines, Inc. | 02/09/24 | M | 2.82 | % | JPMorgan Chase Bank, N.A. | 9,936,028 USD | (1,565,569 | ) | ||||||||||||||
Square Technology Group Co., Ltd. | 09/25/24 | M | 3.43 | % | JPMorgan Chase Bank, N.A. | 355,632 USD | 1,901 | |||||||||||||||
Square Technology Group Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 176,054 USD | 953 | |||||||||||||||
Star Lake Bioscience Co., Inc. Zhaoqing Guangdong | 10/09/24 | M | 1.00 | % | JPMorgan Chase Bank, N.A. | 3,258 USD | (14 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
STO Express Co., Ltd. | 10/08/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 419,653 USD | $ | (7,792 | ) | |||||||||||||
STO Express Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 229,109 USD | (3,999 | ) | ||||||||||||||
Sumec Corp., Ltd. | 10/09/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 2,506 USD | (10 | ) | ||||||||||||||
Sumec Corp., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 2,349 USD | (10 | ) | ||||||||||||||
Sundy Land Investment Co., Ltd. | 10/09/24 | M | 1.00 | % | JPMorgan Chase Bank, N.A. | 5,018 USD | 41 | |||||||||||||||
Suning Universal Co., Ltd. | 09/24/24 | M | 3.24 | % | JPMorgan Chase Bank, N.A. | 54,860 USD | (176 | ) | ||||||||||||||
Suning Universal Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 27,096 USD | (210 | ) | ||||||||||||||
Sunrise Group Co., Ltd. | 09/25/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 97,611 USD | (2,449 | ) | ||||||||||||||
Sunrise Group Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 54,434 USD | (1,090 | ) | ||||||||||||||
Sunshine Global Circuits Co., Ltd. | 08/21/24 | M | 2.72 | % | JPMorgan Chase Bank, N.A. | 1,906 USD | (79 | ) | ||||||||||||||
Sunwoda Electronic Co., Ltd. | 10/09/24 | M | 1.00 | % | JPMorgan Chase Bank, N.A. | 130,324 USD | (1,304 | ) | ||||||||||||||
Sunwoda Electronic Co., Ltd. | 01/26/24 | M | 1.00 | % | Credit Suisse International | 71,258 USD | (675 | ) | ||||||||||||||
Suofeiya Home Collection Co., Ltd. | 09/23/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 73,717 USD | 866 | |||||||||||||||
Suofeiya Home Collection Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 43,767 USD | 510 | |||||||||||||||
Suzhou Cheersson Precision Metal Forming Co., Ltd. | 10/09/24 | M | 1.00 | % | JPMorgan Chase Bank, N.A. | 6,686 USD | (94 | ) | ||||||||||||||
Suzhou Cheersson Precision Metal Forming Co., Ltd. | 01/26/24 | M | 1.00 | % | Credit Suisse International | 3,187 USD | (47 | ) | ||||||||||||||
Suzhou Dongshan Precision Manufacturing Co., Ltd. | 07/31/24 | M | 2.84 | % | JPMorgan Chase Bank, N.A. | 54,849 USD | (6,206 | ) | ||||||||||||||
Suzhou Dongshan Precision Manufacturing Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 26,612 USD | (2,781 | ) | ||||||||||||||
Suzhou Gold Mantis Construction Decoration Co., Ltd. | 09/30/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 337,058 USD | (5,812 | ) | ||||||||||||||
Suzhou Gold Mantis Construction Decoration Co., Ltd. | 01/26/24 | M | 0.72 | % | Credit Suisse International | 184,310 USD | (3,030 | ) | ||||||||||||||
Suzhou Goldengreen Technologies Ltd. | 09/25/24 | M | 3.34 | % | JPMorgan Chase Bank, N.A. | 11,908 USD | (926 | ) | ||||||||||||||
Suzhou Good-Ark Electronics Co., Ltd. | 09/24/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 351,169 USD | (6,494 | ) | ||||||||||||||
Suzhou Good-Ark Electronics Co., Ltd. | 01/26/24 | �� | M | 3.47 | % | Credit Suisse International | 165,272 USD | (2,902 | ) | |||||||||||||
Suzhou Hailu Heavy Industry Co., Ltd. | 09/25/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 854 USD | (28 | ) |
See Notes to Consolidated Financial Statements.
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Suzhou Hengmingda Electronic Technology Co., Ltd. | 07/22/24 | M | 3.15 | % | JPMorgan Chase Bank, N.A. | 1,517 USD | $ | 140 | ||||||||||||||
Suzhou Hycan Holdings Co., Ltd. | 09/20/24 | M | 3.29 | % | JPMorgan Chase Bank, N.A. | 17,725 USD | (374 | ) | ||||||||||||||
Suzhou Hycan Holdings Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 8,980 USD | (185 | ) | ||||||||||||||
Suzhou Recodeal Interconnect System Co., Ltd. | 10/09/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 170,107 USD | (1,447 | ) | ||||||||||||||
Suzhou Recodeal Interconnect System Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 77,573 USD | (576 | ) | ||||||||||||||
Suzhou Secote Precision Electronic Co., Ltd. | 10/08/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 249,765 USD | (4,115 | ) | ||||||||||||||
Suzhou Secote Precision Electronic Co., Ltd. | 01/26/24 | M | 1.00 | % | Credit Suisse International | 125,171 USD | (2,068 | ) | ||||||||||||||
Suzhou TA&A Ultra Clean Technology Co., Ltd. | 09/30/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 670,306 USD | (6,783 | ) | ||||||||||||||
Suzhou TA&A Ultra Clean Technology Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 358,355 USD | (3,231 | ) | ||||||||||||||
Swedish Match AB | 05/15/24 | M | 2.11 | % | JPMorgan Chase Bank, N.A. | 114,229,752 SEK | 32,855 | |||||||||||||||
Tande Co., Ltd. | 09/04/24 | M | 2.72 | % | JPMorgan Chase Bank, N.A. | 839 USD | (70 | ) | ||||||||||||||
Tangel Culture Co., Ltd. | 09/04/24 | M | 2.90 | % | JPMorgan Chase Bank, N.A. | 176,137 USD | (11,605 | ) | ||||||||||||||
Tangel Culture Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 78,147 USD | (4,971 | ) | ||||||||||||||
Tangrenshen Group Co., Ltd. | 10/09/24 | M | 1.00 | % | JPMorgan Chase Bank, N.A. | 191,505 USD | 2,822 | |||||||||||||||
Tangrenshen Group Co., Ltd. | 01/26/24 | M | 1.00 | % | Credit Suisse International | 104,928 USD | 1,508 | |||||||||||||||
Tangshan Jidong Cement Co., Ltd. | 09/24/24 | M | 3.36 | % | JPMorgan Chase Bank, N.A. | 131,731 USD | (4,525 | ) | ||||||||||||||
Tangshan Jidong Cement Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 60,254 USD | (1,897 | ) | ||||||||||||||
Tangshan Sunfar Silicon Industry Co., Ltd. | 08/21/24 | M | 3.26 | % | JPMorgan Chase Bank, N.A. | 487,780 USD | (40,292 | ) | ||||||||||||||
Tangshan Sunfar Silicon Industry Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 241,616 USD | (19,885 | ) | ||||||||||||||
TBEA Co., Ltd. | 10/09/24 | M | 1.00 | % | JPMorgan Chase Bank, N.A. | 299,853 USD | (1,903 | ) | ||||||||||||||
TBEA Co., Ltd. | 01/26/24 | M | 1.00 | % | Credit Suisse International | 164,232 USD | (1,047 | ) | ||||||||||||||
TCL Zhonghuan Renewable Energy Technology Co., Ltd. | 09/20/24 | M | 3.22 | % | JPMorgan Chase Bank, N.A. | 38,173 USD | 330 |
See Notes to Consolidated Financial Statements.
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
TDG Holdings Co., Ltd. | 09/11/24 | M | 3.24 | % | JPMorgan Chase Bank, N.A. | 464,526 USD | $ | (29,462 | ) | |||||||||||||
TDG Holdings Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 231,576 USD | (14,640 | ) | ||||||||||||||
Tech-Bank Food Co., Ltd. | 09/24/24 | M | 3.08 | % | JPMorgan Chase Bank, N.A. | 94,032 USD | 2,773 | |||||||||||||||
Tech-Bank Food Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 24,375 USD | 1,287 | |||||||||||||||
Telus Corp. | 09/10/24 | M | 4.25 | % | JPMorgan Chase Bank, N.A. | 4,494,499 CAD | (249,299 | ) | ||||||||||||||
Terminix Global Holdings, Inc. | 12/18/23 | M | 2.82 | % | JPMorgan Chase Bank, N.A. | 2,815,028 USD | (204,531 | ) | ||||||||||||||
TES Touch Embedded Solutions Xiamen Co., Ltd. | 08/21/24 | M | 3.12 | % | JPMorgan Chase Bank, N.A. | 329,518 USD | (8,708 | ) | ||||||||||||||
TES Touch Embedded Solutions Xiamen Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 162,809 USD | (4,085 | ) | ||||||||||||||
Three’s Co Media Group Co., Ltd. | 10/09/24 | M | 1.00 | % | JPMorgan Chase Bank, N.A. | 10,114 USD | (4 | ) | ||||||||||||||
Three’s Co Media Group Co., Ltd. | 01/26/24 | M | 1.00 | % | Credit Suisse International | 2,253 USD | (7 | ) | ||||||||||||||
Thunder Software Technology Co., Ltd. | 09/09/24 | M | 3.25 | % | JPMorgan Chase Bank, N.A. | 9,297 USD | (364 | ) | ||||||||||||||
Thunder Software Technology Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 4,645 USD | (178 | ) | ||||||||||||||
Tian Di Science & Technology Co., Ltd. | 09/03/24 | M | 2.82 | % | JPMorgan Chase Bank, N.A. | 118,542 USD | (9,638 | ) | ||||||||||||||
Tian Di Science & Technology Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 52,906 USD | (4,273 | ) | ||||||||||||||
Tianjin Jingwei Huikai Optoelectronic Co., Ltd. | 09/20/24 | M | 3.04 | % | JPMorgan Chase Bank, N.A. | 6,994 USD | (348 | ) | ||||||||||||||
Tianjin Lvyin Landscape and Ecology Construction Co., Ltd. | 10/09/24 | M | 1.00 | % | JPMorgan Chase Bank, N.A. | 7,380 USD | 66 | |||||||||||||||
Tianjin Lvyin Landscape and Ecology Construction Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 3,804 USD | 35 | |||||||||||||||
Tianjin Ruixin Technology Co., Ltd. | 09/04/24 | M | 3.01 | % | JPMorgan Chase Bank, N.A. | 7,880 USD | (646 | ) | ||||||||||||||
Tianjin Ruixin Technology Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 109 USD | (9 | ) | ||||||||||||||
Tianjin Tianyao Pharmaceutical Co., Ltd. | 09/04/24 | M | 3.03 | % | JPMorgan Chase Bank, N.A. | 3,184 USD | 97 | |||||||||||||||
Tianjin Tianyao Pharmaceutical Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 1,736 USD | 53 | |||||||||||||||
Tianjin Zhonghuan Semiconductor Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 20,102 USD | 96 |
See Notes to Consolidated Financial Statements.
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
TianYu Eco-Environment Co., Ltd. | 09/11/24 | M | 2.80 | % | JPMorgan Chase Bank, N.A. | 12,384 USD | $ | (917 | ) | |||||||||||||
Tibet Mineral Development Co. | 09/30/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 415,790 USD | (20,876 | ) | ||||||||||||||
Tibet Mineral Development Co. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 199,865 USD | (9,788 | ) | ||||||||||||||
Tongwei Co., Ltd. | 10/09/24 | M | 1.00 | % | JPMorgan Chase Bank, N.A. | 295,990 USD | (636 | ) | ||||||||||||||
Tongwei Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 161,896 USD | (313 | ) | ||||||||||||||
Top Energy Co., Ltd. Shanxi | 08/14/24 | M | 2.72 | % | JPMorgan Chase Bank, N.A. | 19,555 USD | (2,245 | ) | ||||||||||||||
Top Energy Co., Ltd. Shanxi | 01/26/24 | M | 3.47 | % | Credit Suisse International | 85 USD | (10 | ) | ||||||||||||||
Topsec Technologies Group, Inc. | 10/08/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 21,456 USD | 340 | |||||||||||||||
Topsec Technologies Group, Inc. | 01/26/24 | M | 1.00 | % | Credit Suisse International | 11,773 USD | 163 | |||||||||||||||
Transfar Zhilian Co., Ltd. | 09/25/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 14,200 USD | (100 | ) | ||||||||||||||
Transfar Zhilian Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 523 USD | (1 | ) | ||||||||||||||
Tsinghua Tongfang Co., Ltd. | 07/17/24 | M | 2.72 | % | JPMorgan Chase Bank, N.A. | 47,978 USD | (3,991 | ) | ||||||||||||||
Tsinghua Tongfang Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 17,722 USD | (1,468 | ) | ||||||||||||||
Turquoise Hill Resources Ltd. | 09/11/24 | M | 4.25 | % | JPMorgan Chase Bank, N.A. | 6,899,331 CAD | 8,563 | |||||||||||||||
Tus Environmental Science And Technology Development Co., Ltd. | 09/03/24 | M | 3.31 | % | JPMorgan Chase Bank, N.A. | 202,416 USD | (6,166 | ) | ||||||||||||||
Tus Environmental Science And Technology Development Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 106,812 USD | (2,729 | ) | ||||||||||||||
UCloud Technology Co., Ltd. | 09/09/24 | M | 2.72 | % | JPMorgan Chase Bank, N.A. | 20,222 USD | (1,819 | ) | ||||||||||||||
UCloud Technology Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 6,622 USD | (594 | ) | ||||||||||||||
Umpqua Holdings Corp. | 10/16/23 | M | 2.82 | % | JPMorgan Chase Bank, N.A. | 1,948,164 USD | (118,817 | ) | ||||||||||||||
Unigroup Guoxin Microelectronics Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 20,066 USD | 241 | |||||||||||||||
Unigroup Guoxin Microelectronics Co., Ltd. | 10/09/24 | M | 1.00 | % | JPMorgan Chase Bank, N.A. | 37,724 USD | 860 | |||||||||||||||
Unionman Technology Co., Ltd. | 09/10/24 | M | 2.72 | % | JPMorgan Chase Bank, N.A. | 660 USD | (71 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Unisplendour Corp., Ltd. | 09/25/24 | M | 2.96 | % | JPMorgan Chase Bank, N.A. | 62,700 USD | $ | (1,194 | ) | |||||||||||||
Unisplendour Corp., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 21,282 USD | (258 | ) | ||||||||||||||
Valiant Co., Ltd. | 09/09/24 | M | 3.39 | % | JPMorgan Chase Bank, N.A. | 8,262 USD | (449 | ) | ||||||||||||||
VMware, Inc. | 05/30/24 | M | 2.82 | % | JPMorgan Chase Bank, N.A. | 9,694,185 USD | (396,501 | ) | ||||||||||||||
Vtron Group Co., Ltd. | 10/08/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 740 USD | (3 | ) | ||||||||||||||
Walvax Biotechnology Co., Ltd. | 10/08/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 357,705 USD | 8,000 | |||||||||||||||
Walvax Biotechnology Co., Ltd. | 01/26/24 | M | 1.00 | % | Credit Suisse International | 183,325 USD | 3,975 | |||||||||||||||
Wangsu Science & Technology Co., Ltd. | 04/29/24 | M | 2.94 | % | JPMorgan Chase Bank, N.A. | 28,596 USD | (1,771 | ) | ||||||||||||||
Wangsu Science & Technology Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 14,959 USD | (938 | ) | ||||||||||||||
Wasu Media Holding Co., Ltd. | 10/08/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 1,817 USD | (27 | ) | ||||||||||||||
Wasu Media Holding Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 955 USD | (13 | ) | ||||||||||||||
Ways Electron Co., Ltd. | 09/04/24 | M | 2.72 | % | JPMorgan Chase Bank, N.A. | 6,036 USD | (396 | ) | ||||||||||||||
Wei Long Grape Wine Co., Ltd. | 08/28/24 | M | 2.72 | % | JPMorgan Chase Bank, N.A. | 6,534 USD | (429 | ) | ||||||||||||||
Weifang Yaxing Chemical Co., Ltd. | 09/11/24 | M | 3.04 | % | JPMorgan Chase Bank, N.A. | 13,173 USD | (1,059 | ) | ||||||||||||||
Well Lead Medical Co., Ltd. | 10/09/24 | M | 1.00 | % | JPMorgan Chase Bank, N.A. | 377,023 USD | 5,057 | |||||||||||||||
Well Lead Medical Co., Ltd. | 01/26/24 | M | 1.00 | % | Credit Suisse International | 197,663 USD | 2,786 | |||||||||||||||
Wellhope Foods Co., Ltd. | 09/03/24 | M | 2.72 | % | JPMorgan Chase Bank, N.A. | 9,999 USD | (373 | ) | ||||||||||||||
Wellhope Foods Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 3,424 USD | (128 | ) | ||||||||||||||
Wens Foodstuffs Group Co., Ltd. | 09/23/24 | M | 2.92 | % | JPMorgan Chase Bank, N.A. | 56,583 USD | 1,842 | |||||||||||||||
Wens Foodstuffs Group Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 30,824 USD | 992 | |||||||||||||||
Wenzhou Yihua Connector Co., Ltd. | 09/25/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 1,637 USD | (17 | ) | ||||||||||||||
Wenzhou Yihua Connector Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 818 USD | (8 | ) | ||||||||||||||
Western Superconducting Technologies Co.,Ltd. | 09/23/24 | M | 3.35 | % | JPMorgan Chase Bank, N.A. | 183,067 USD | (5,199 | ) | ||||||||||||||
Western Superconducting Technologies Co.,Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 96,228 USD | (2,771 | ) | ||||||||||||||
Westone Information Industry, Inc. | 08/28/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 82,196 USD | (5,023 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Westone Information Industry, Inc. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 49,006 USD | $ | (3,245 | ) | |||||||||||||
WINBO-Dongjian Automotive Technology Co., Ltd. | 09/25/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 3,375 USD | (291 | ) | ||||||||||||||
Winner Medical Co., Ltd. | 09/04/24 | M | 3.01 | % | JPMorgan Chase Bank, N.A. | 43,198 USD | 3,237 | |||||||||||||||
Winner Medical Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 22,494 USD | 1,691 | |||||||||||||||
Wintime Energy Co., Ltd. | 12/11/23 | M | 2.84 | % | JPMorgan Chase Bank, N.A. | 63,489 USD | (3,805 | ) | ||||||||||||||
Wintime Energy Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 29,043 USD | (1,676 | ) | ||||||||||||||
Wondershare Technology Group Co., Ltd. | 09/04/24 | M | 3.14 | % | JPMorgan Chase Bank, N.A. | 40,848 USD | (2,841 | ) | ||||||||||||||
Wondershare Technology Group Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 14,930 USD | (856 | ) | ||||||||||||||
Wuhan Fingu Electronic Technology Co., Ltd. | 10/09/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 2,212 USD | (9 | ) | ||||||||||||||
Wuhan Xingtu Xinke Electronics Co., Ltd. | 08/05/24 | M | 2.72 | % | JPMorgan Chase Bank, N.A. | 2,270 USD | (179 | ) | ||||||||||||||
WUS Printed Circuit Kunshan Co., Ltd. | 09/23/24 | M | 3.25 | % | JPMorgan Chase Bank, N.A. | 91,088 USD | 349 | |||||||||||||||
WUS Printed Circuit Kunshan Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 31,054 USD | 127 | |||||||||||||||
Wutong Holding Group Co., Ltd. | 10/09/24 | M | 1.00 | % | JPMorgan Chase Bank, N.A. | 12,330 USD | (107 | ) | ||||||||||||||
Wutong Holding Group Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 6,741 USD | (55 | ) | ||||||||||||||
Wuxi Autowell Technology Co., Ltd. | 10/09/24 | M | 1.00 | % | JPMorgan Chase Bank, N.A. | 82,291 USD | (680 | ) | ||||||||||||||
Wuxi Autowell Technology Co., Ltd. | 01/26/24 | M | 1.00 | % | Credit Suisse International | 19,551 USD | (120 | ) | ||||||||||||||
Wuxi Shangji Automation Co., Ltd. | 09/25/24 | M | 3.25 | % | JPMorgan Chase Bank, N.A. | 353,208 USD | (18,241 | ) | ||||||||||||||
Wuxi Shangji Automation Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 167,269 USD | (8,993 | ) | ||||||||||||||
Wuxi Smart Auto-Control Engineering Co., Ltd. | 10/09/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 1,621 USD | 6 | |||||||||||||||
Xi’an Tian He Defense Technology Co., Ltd. | 10/09/24 | M | 1.00 | % | JPMorgan Chase Bank, N.A. | 15,749 USD | (174 | ) | ||||||||||||||
Xi’an Tian He Defense Technology Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 4,542 USD | (52 | ) | ||||||||||||||
Xi’an Triangle Defense Co., Ltd. | 09/20/24 | M | 2.96 | % | JPMorgan Chase Bank, N.A. | 80,681 USD | (1,132 | ) | ||||||||||||||
Xi’an Triangle Defense Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 40,279 USD | (757 | ) | ||||||||||||||
Xiamen Bank Co., Ltd. | 10/08/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 6,652 USD | 75 | |||||||||||||||
Xiamen Bank Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 2,588 USD | 28 | |||||||||||||||
Xiamen Guangpu Electronics Co., Ltd. | 09/09/24 | M | 2.94 | % | JPMorgan Chase Bank, N.A. | 41,612 USD | (3,841 | ) | ||||||||||||||
Xiamen Guangpu Electronics Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 446 USD | (26 | ) | ||||||||||||||
Xiamen Port Development Co. Ltd. | 09/30/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 6,713 USD | (123 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Xiamen Solex High-Tech Industries Co., Ltd. | 09/04/24 | M | 2.72 | % | JPMorgan Chase Bank, N.A. | 11,399 USD | $ | (777 | ) | |||||||||||||
Xiamen Solex High-Tech Industries Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 203 USD | (14 | ) | ||||||||||||||
Xinjiang Communications Construction Group Co., Ltd. | 09/24/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 17,101 USD | (1,795 | ) | ||||||||||||||
Xinjiang Daqo New Energy Co., Ltd. | 10/09/24 | M | 1.00 | % | JPMorgan Chase Bank, N.A. | 15,266 USD | (117 | ) | ||||||||||||||
Xinjiang Daqo New Energy Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 1,390 USD | (13 | ) | ||||||||||||||
Xinjiang Hejin Holding Co., Ltd. | 08/06/24 | M | 3.19 | % | JPMorgan Chase Bank, N.A. | 345,597 USD | (24,672 | ) | ||||||||||||||
Xinjiang Hejin Holding Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 169,556 USD | (11,256 | ) | ||||||||||||||
Xinjiang Joinworld Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 79,427 USD | (7,912 | ) | ||||||||||||||
Xinjiang Tianshan Cement Co., Ltd. | 09/09/24 | M | 2.88 | % | JPMorgan Chase Bank, N.A. | 110,152 USD | (4,719 | ) | ||||||||||||||
Xinjiang Tianshan Cement Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 49,903 USD | (2,138 | ) | ||||||||||||||
Xinjiang Winka Times Department Store Co., Ltd. | 05/15/24 | M | 2.72 | % | JPMorgan Chase Bank, N.A. | 11,381 USD | (1,358 | ) | ||||||||||||||
Xinjiang Xuefeng Sci-Tech Group Co., Ltd. | 09/20/24 | M | 3.23 | % | JPMorgan Chase Bank, N.A. | 316,604 USD | (11,568 | ) | ||||||||||||||
Xinjiang Xuefeng Sci-Tech Group Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 151,289 USD | (5,707 | ) | ||||||||||||||
Xinxing Ductile Iron Pipes Co., Ltd. | 09/25/24 | M | 0.72 | % | JPMorgan Chase Bank, N.A. | 45,397 USD | (1,374 | ) | ||||||||||||||
Xinxing Ductile Iron Pipes Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 10,669 USD | (370 | ) | ||||||||||||||
Xinyangfeng Agricultural Technology Co., Ltd. | 09/09/24 | M | 2.83 | % | JPMorgan Chase Bank, N.A. | 162,755 USD | (11,927 | ) | ||||||||||||||
Xinyangfeng Agricultural Technology Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 65,386 USD | (4,798 | ) | ||||||||||||||
Xiwang Foodstuffs Co., Ltd. | 09/04/24 | M | 3.10 | % | JPMorgan Chase Bank, N.A. | 29,355 USD | (104 | ) | ||||||||||||||
Xiwang Foodstuffs Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 110 USD | (2 | ) | ||||||||||||||
XueDa XiaMen Education Technology Group Co., Ltd. | 08/26/24 | M | 2.72 | % | JPMorgan Chase Bank, N.A. | 13,619 USD | (1,243 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Xuji Electric Co., Ltd. | 09/24/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 288,396 USD | $ | (10,658 | ) | |||||||||||||
Xuji Electric Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 121,889 USD | (4,021 | ) | ||||||||||||||
Yamana Gold, Inc. | 06/04/24 | M | 1.00 | % | JPMorgan Chase Bank, N.A. | 6,909,379 USD | 403,585 | |||||||||||||||
Yangling Metron New Material, Inc. | 08/14/24 | M | 2.85 | % | JPMorgan Chase Bank, N.A. | 463,826 USD | (25,010 | ) | ||||||||||||||
Yangling Metron New Material, Inc. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 227,999 USD | (12,348 | ) | ||||||||||||||
Yangzhou Chenhua New Material Co., Ltd. | 08/14/24 | M | 2.92 | % | JPMorgan Chase Bank, N.A. | 45,784 USD | (2,546 | ) | ||||||||||||||
Yangzhou Chenhua New Material Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 26,565 USD | (1,533 | ) | ||||||||||||||
Yangzhou Yangjie Electronic Technology Co., Ltd. | 09/11/24 | M | 3.29 | % | JPMorgan Chase Bank, N.A. | 66,360 USD | (1,586 | ) | ||||||||||||||
Yangzhou Yangjie Electronic Technology Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 39,824 USD | (904 | ) | ||||||||||||||
Yankershop Food Co., Ltd. | 09/30/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 11,139 USD | 374 | |||||||||||||||
Yankershop Food Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 6,289 USD | 107 | |||||||||||||||
Yantai Jereh Oilfield Services Group Co., Ltd. | 09/25/24 | M | 3.18 | % | JPMorgan Chase Bank, N.A. | 435,598 USD | (24,226 | ) | ||||||||||||||
Yantai Jereh Oilfield Services Group Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 222,298 USD | (12,010 | ) | ||||||||||||||
Yealink Network Technology Corp Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 6,166 USD | 53 | |||||||||||||||
Yealink Network Technology Corp Ltd. | 09/25/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 19,359 USD | 186 | |||||||||||||||
Yes Optoelectronics Group Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 88,889 USD | (392 | ) | ||||||||||||||
Yes Optoelectronics Group Co., Ltd. | 10/09/24 | M | 1.00 | % | JPMorgan Chase Bank, N.A. | 162,573 USD | (750 | ) | ||||||||||||||
Yifan Pharmaceutical Co., Ltd. | 04/10/24 | M | 2.72 | % | JPMorgan Chase Bank, N.A. | 73,676 USD | (513 | ) | ||||||||||||||
Yifan Pharmaceutical Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 43,767 USD | (400 | ) | ||||||||||||||
Yihai Kerry Arawana Holdings Co., Ltd. | 10/09/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 349,334 USD | 6,969 | |||||||||||||||
Yihai Kerry Arawana Holdings Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 181,866 USD | 3,290 | |||||||||||||||
Yintai Gold Co., Ltd. | 10/08/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 205,273 USD | 4,913 | |||||||||||||||
Yintai Gold Co., Ltd. | 01/26/24 | M | 1.00 | % | Credit Suisse International | 112,273 USD | 2,704 | |||||||||||||||
Yonghui Superstores Co., Ltd. | 10/09/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 97,378 USD | (581 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Yonghui Superstores Co., Ltd. | 01/26/24 | M | 1.00 | % | Credit Suisse International | 53,245 USD | $ | (278 | ) | |||||||||||||
YongXing Special Materials Technology Co., Ltd. | 05/16/24 | M | 3.44 | % | JPMorgan Chase Bank, N.A. | 846,910 USD | (58,750 | ) | ||||||||||||||
YongXing Special Materials Technology Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 412,476 USD | (28,905 | ) | ||||||||||||||
Youngy Co., Ltd. | 09/25/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 99,462 USD | (7,397 | ) | ||||||||||||||
Youngy Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 39,431 USD | (2,923 | ) | ||||||||||||||
YTO Express Group Co., Ltd. | 09/24/24 | M | 3.06 | % | JPMorgan Chase Bank, N.A. | 847,796 USD | (1,550 | ) | ||||||||||||||
YTO Express Group Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 414,567 USD | (1,101 | ) | ||||||||||||||
YUD Yangtze River Investment Industry Co., Ltd. | 09/04/24 | M | 2.72 | % | JPMorgan Chase Bank, N.A. | 5,938 USD | (667 | ) | ||||||||||||||
Yunnan Botanee Bio-Technology Group Co., Ltd. | 10/09/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 92,249 USD | (63 | ) | ||||||||||||||
Yunnan Botanee Bio-Technology Group Co., Ltd. | 01/26/24 | �� | M | 3.47 | % | Credit Suisse International | 50,967 USD | (22 | ) | |||||||||||||
Yunnan Copper Co., Ltd. | 10/09/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 11,813 USD | (30 | ) | ||||||||||||||
Yunnan Copper Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 416 USD | — | |||||||||||||||
Yunnan Yuntianhua Co., Ltd. | 09/25/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 623,575 USD | (3,487 | ) | ||||||||||||||
Yunnan Yuntianhua Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 340,991 USD | (2,335 | ) | ||||||||||||||
Zangge Mining Co., Ltd. | 08/28/24 | M | 2.75 | % | JPMorgan Chase Bank, N.A. | 549,456 USD | (43,869 | ) | ||||||||||||||
Zangge Mining Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 276,905 USD | (22,097 | ) | ||||||||||||||
Zhejiang Cfmoto Power Co., Ltd. | 09/23/24 | M | 3.15 | % | JPMorgan Chase Bank, N.A. | 321,409 USD | (16,967 | ) | ||||||||||||||
Zhejiang Cfmoto Power Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 148,836 USD | (8,479 | ) | ||||||||||||||
Zhejiang China Commodities City Group Co., Ltd. | 10/09/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 133,306 USD | 471 | |||||||||||||||
Zhejiang China Commodities City Group Co., Ltd. | 01/26/24 | M | 1.00 | % | Credit Suisse International | 59,101 USD | 209 | |||||||||||||||
Zhejiang Crystal-Optech Co., Ltd. | 09/25/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 83,526 USD | (4,530 | ) | ||||||||||||||
Zhejiang Crystal-Optech Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 17,591 USD | (889 | ) | ||||||||||||||
Zhejiang Dahua Technology Co., Ltd. | 10/09/24 | M | 1.00 | % | JPMorgan Chase Bank, N.A. | 10,883 USD | (10 | ) | ||||||||||||||
Zhejiang Dahua Technology Co., Ltd. | 01/26/24 | M | 1.00 | % | Credit Suisse International | 546 USD | (3 | ) | ||||||||||||||
Zhejiang Daily Digital Culture Group Co., Ltd. | 09/04/24 | M | 2.72 | % | JPMorgan Chase Bank, N.A. | 16,673 USD | (1,112 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Zhejiang Daily Digital Culture Group Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 2,315 USD | $ | (154 | ) | |||||||||||||
Zhejiang Entive Smart Kitchen Appliance Co., Ltd. | 09/25/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 10,969 USD | (569 | ) | ||||||||||||||
Zhejiang Golden Eagle Co., Ltd. | 09/04/24 | M | 2.72 | % | JPMorgan Chase Bank, N.A. | 6,804 USD | (632 | ) | ||||||||||||||
Zhejiang Haers Vacuum Containers Co., Ltd. | 10/09/24 | M | 1.00 | % | JPMorgan Chase Bank, N.A. | 4,564 USD | (59 | ) | ||||||||||||||
Zhejiang HangKe Technology, Inc., Co. | 08/26/24 | M | 2.72 | % | JPMorgan Chase Bank, N.A. | 10,587 USD | (718 | ) | ||||||||||||||
Zhejiang Hisoar Pharmaceutical Co., Ltd. | 04/23/24 | M | 2.73 | % | JPMorgan Chase Bank, N.A. | 310,976 USD | 11,135 | |||||||||||||||
Zhejiang Hisoar Pharmaceutical Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 146,819 USD | 5,236 | |||||||||||||||
Zhejiang Huace Film & Television Co., Ltd. | 09/20/24 | M | 2.87 | % | JPMorgan Chase Bank, N.A. | 5,376 USD | (45 | ) | ||||||||||||||
Zhejiang Huace Film & Television Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 3,285 USD | (113 | ) | ||||||||||||||
Zhejiang Huahai Pharmaceutical Co., Ltd. | 06/26/24 | M | 2.91 | % | JPMorgan Chase Bank, N.A. | 519,047 USD | 14,907 | |||||||||||||||
Zhejiang Huahai Pharmaceutical Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 247,837 USD | 7,014 | |||||||||||||||
Zhejiang Huatie Emergency Equipment Science and Technology Co., Ltd. | 09/25/24 | M | 3.22 | % | JPMorgan Chase Bank, N.A. | 400,601 USD | (16,941 | ) | ||||||||||||||
Zhejiang Huatie Emergency Equipment Science and Technology Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 193,912 USD | (7,904 | ) | ||||||||||||||
Zhejiang Huayou Cobalt Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 164,040 USD | (722 | ) | ||||||||||||||
Zhejiang Huayou Cobalt Co., Ltd. | 10/09/24 | M | 1.00 | % | JPMorgan Chase Bank, N.A. | 315,488 USD | (1,282 | ) | ||||||||||||||
Zhejiang International Group Co., Ltd. | 10/09/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 2,436 USD | 483 | |||||||||||||||
Zhejiang International Group Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 407 USD | 80 | |||||||||||||||
Zhejiang Jasan Holding Group Co., Ltd. | 09/11/24 | M | 2.72 | % | JPMorgan Chase Bank, N.A. | 6,066 USD | (265 | ) | ||||||||||||||
ZheJiang Jiaxin Silk Corp Ltd. | 10/09/24 | M | 1.00 | % | JPMorgan Chase Bank, N.A. | 3,191 USD | 15 | |||||||||||||||
Zhejiang Jingsheng Mechanical & Electrical Co., Ltd. | 09/25/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 32,668 USD | (733 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Zhejiang Jingsheng Mechanical & Electrical Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 16,581 USD | $ | (370 | ) | |||||||||||||
Zhejiang Jingu Co., Ltd. | 09/23/24 | M | 3.35 | % | JPMorgan Chase Bank, N.A. | 492,105 USD | (31,907 | ) | ||||||||||||||
Zhejiang Jingu Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 257,627 USD | (16,762 | ) | ||||||||||||||
Zhejiang Jiuli Hi-Tech Metals Co., Ltd. | 09/23/24 | M | 3.21 | % | JPMorgan Chase Bank, N.A. | 26,531 USD | 1,112 | |||||||||||||||
Zhejiang Jiuli Hi-Tech Metals Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 9,205 USD | 390 | |||||||||||||||
Zhejiang Jiuzhou Pharmaceutical Co., Ltd. | 10/09/24 | M | 1.00 | % | JPMorgan Chase Bank, N.A. | 41,798 USD | 193 | |||||||||||||||
Zhejiang Jiuzhou Pharmaceutical Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 18,167 USD | 66 | |||||||||||||||
Zhejiang Jolly Pharmaceutical Co., Ltd. | 08/21/24 | M | 2.72 | % | JPMorgan Chase Bank, N.A. | 32,292 USD | 813 | |||||||||||||||
Zhejiang Jolly Pharmaceutical Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 18,889 USD | 570 | |||||||||||||||
Zhejiang NHU Co., Ltd. | 10/09/24 | M | 1.00 | % | JPMorgan Chase Bank, N.A. | 1,216 USD | 36 | |||||||||||||||
Zhejiang NHU Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 613 USD | 13 | |||||||||||||||
Zhejiang Qianjiang Motorcycle Co., Ltd. | 10/09/24 | M | 1.00 | % | JPMorgan Chase Bank, N.A. | 4,146 USD | (22 | ) | ||||||||||||||
Zhejiang Runtu Co., Ltd. | 08/28/24 | M | 2.72 | % | JPMorgan Chase Bank, N.A. | 35,845 USD | (1,021 | ) | ||||||||||||||
Zhejiang Runtu Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 18,742 USD | (534 | ) | ||||||||||||||
Zhejiang Sanhua Intelligent Controls Co., Ltd. | 09/23/24 | M | 3.31 | % | JPMorgan Chase Bank, N.A. | 445,580 USD | (39,350 | ) | ||||||||||||||
Zhejiang Talent Television & Film Co., Ltd. | 09/04/24 | M | 2.72 | % | JPMorgan Chase Bank, N.A. | 1,253 USD | (108 | ) | ||||||||||||||
Zhejiang Tianyu Pharmaceutical Co., Ltd. | 07/10/24 | M | 2.74 | % | JPMorgan Chase Bank, N.A. | 115,085 USD | (1,885 | ) | ||||||||||||||
Zhejiang Tianyu Pharmaceutical Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 62,107 USD | (1,178 | ) | ||||||||||||||
Zhejiang Walrus New Material Co., Ltd. | 10/08/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 19,660 USD | (1,472 | ) | ||||||||||||||
Zhejiang Walrus New Material Co., Ltd. | 01/26/24 | M | 1.00 | % | Credit Suisse International | 10,721 USD | (800 | ) | ||||||||||||||
Zhejiang Wanfeng Auto Wheel Co., Ltd. | 08/05/24 | M | 2.73 | % | JPMorgan Chase Bank, N.A. | 464,291 USD | (31,625 | ) | ||||||||||||||
Zhejiang Wanfeng Auto Wheel Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 228,690 USD | (15,577 | ) | ||||||||||||||
Zhejiang Wanma Co., Ltd. | 08/20/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 40,540 USD | (1,611 | ) | ||||||||||||||
Zhejiang Wanma Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 24,005 USD | (1,071 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Zhejiang Weiming Environment Protection Co., Ltd. | 10/09/24 | M | 1.00 | % | JPMorgan Chase Bank, N.A. | 5,219 USD | $ | 58 | ||||||||||||||
Zhejiang Weiming Environment Protection Co., Ltd. | 01/26/24 | M | 1.00 | % | Credit Suisse International | 3,933 USD | 25 | |||||||||||||||
Zhejiang Xinao Textiles, Inc. | 10/09/24 | M | 2.72 | % | JPMorgan Chase Bank, N.A. | 25,257 USD | (1 | ) | ||||||||||||||
Zhejiang Xinao Textiles, Inc. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 13,273 USD | (24 | ) | ||||||||||||||
Zhejiang Xinneng Solar Photovoltaic Technology Co., Ltd. | 10/09/24 | M | 1.00 | % | JPMorgan Chase Bank, N.A. | 9,027 USD | (59 | ) | ||||||||||||||
Zhejiang Xinneng Solar Photovoltaic Technology Co., Ltd. | 01/26/24 | M | 1.00 | % | Credit Suisse International | 4,684 USD | (28 | ) | ||||||||||||||
Zhejiang Yasha Decoration Co., Ltd. | 09/30/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 25,329 USD | (807 | ) | ||||||||||||||
Zhejiang Yasha Decoration Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 12,899 USD | (422 | ) | ||||||||||||||
Zhejiang Yilida Ventilator Co., Ltd. | 09/24/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 2,309 USD | (84 | ) | ||||||||||||||
Zhejiang Yonggui Electric Equipment Co., Ltd. | 09/11/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 325,934 USD | (467 | ) | ||||||||||||||
Zhejiang Yonggui Electric Equipment Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 180,172 USD | (616 | ) | ||||||||||||||
Zhejiang Youpon Integrated Ceiling Co., Ltd. | 09/25/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 3,328 USD | (113 | ) | ||||||||||||||
Zhejiang Zhaolong Interconnect Technology Co., Ltd. | 09/23/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 33,737 USD | (1,001 | ) | ||||||||||||||
Zhejiang Zhaolong Interconnect Technology Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 14,076 USD | (398 | ) | ||||||||||||||
Zhejiang Zheneng Electric Power Co., Ltd. | 09/30/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 5,622 USD | 11 | |||||||||||||||
Zhejiang Zheneng Electric Power Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 268 USD | — | |||||||||||||||
Zhejiang Zoenn Design Co., Ltd. | 09/20/24 | M | 3.08 | % | JPMorgan Chase Bank, N.A. | 7,363 USD | (233 | ) | ||||||||||||||
Zhengzhou Jiean Hi-Tech Co., Ltd. | 10/09/24 | M | 1.00 | % | JPMorgan Chase Bank, N.A. | 728 USD | (2 | ) | ||||||||||||||
Zhongjing Food Co., Ltd. | 10/09/24 | M | 1.00 | % | JPMorgan Chase Bank, N.A. | 3,102 USD | (3 | ) | ||||||||||||||
Zhongjing Food Co., Ltd. | 01/26/24 | M | 1.00 | % | Credit Suisse International | 1,554 USD | (5 | ) | ||||||||||||||
Zhongshan Broad Ocean Motor Co., Ltd. | 09/25/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 45,441 USD | (1,353 | ) | ||||||||||||||
Zhongshan Broad Ocean Motor Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 23,833 USD | (707 | ) | ||||||||||||||
Zhuhai Bojay Electronics Co., Ltd. | 10/09/24 | M | 1.00 | % | JPMorgan Chase Bank, N.A. | 952 USD | (13 | ) |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Reference | Termination Date | Payment Frequency | Financing Rate | Counterparty | Notional Amount | Unrealized Appreciation (Depreciation) | ||||||||||||||||
Zhuhai Port Co., Ltd. | 09/30/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 26,784 USD | $ | (286 | ) | |||||||||||||
Zhuhai Port Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 6,690 USD | (47 | ) | ||||||||||||||
Zhuzhou CRRC Times Electric Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 185,175 USD | (6,323 | ) | ||||||||||||||
Zhuzhou CRRC Times Electric Co., Ltd. | 09/25/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 370,202 USD | (12,497 | ) | ||||||||||||||
Zhuzhou Hongda Electronics Corp., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 18,418 USD | (871 | ) | ||||||||||||||
Zhuzhou Hongda Electronics Corp., Ltd. | 09/30/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 35,026 USD | (1,185 | ) | ||||||||||||||
Zhuzhou Kibing Group Co., Ltd. | 09/30/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 29,276 USD | (834 | ) | ||||||||||||||
Zhuzhou Kibing Group Co., Ltd. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 842 USD | (25 | ) | ||||||||||||||
Zte Corp. | 09/25/24 | M | 3.47 | % | JPMorgan Chase Bank, N.A. | 40,867 USD | (1,636 | ) | ||||||||||||||
Zte Corp. | 01/26/24 | M | 3.47 | % | Credit Suisse International | 21,371 USD | (850 | ) | ||||||||||||||
|
| |||||||||||||||||||||
Total Buys | $ | (19,434,873 | ) | |||||||||||||||||||
|
| |||||||||||||||||||||
Sells | ||||||||||||||||||||||
Broadcom, Inc. | 05/30/24 | M | 2.77 | % | JPMorgan Chase Bank, N.A. | 4,467,991 USD | 353,351 | |||||||||||||||
Columbia Banking System, Inc. | 10/16/23 | M | 2.77 | % | JPMorgan Chase Bank, N.A. | 1,920,188 USD | 118,492 | |||||||||||||||
Frontline Ltd. | 07/15/24 | M | 0.41 | % | JPMorgan Chase Bank, N.A. | 7,485,605 USD | 1,268,457 | |||||||||||||||
Gold Fields Ltd. | 06/04/24 | M | 2.45 | % | JPMorgan Chase Bank, N.A. | 6,847,772 USD | (519,047 | ) | ||||||||||||||
Intercontinental Exchange, Inc. | 05/13/24 | M | 2.77 | % | JPMorgan Chase Bank, N.A. | 1,537,544 USD | 53,546 | |||||||||||||||
LME Nickel Future Dec24 Swap | 05/06/22 | M | 1.00 | % | Morgan Stanley Capital Services LLC | 570 USD | 3,649,326 | |||||||||||||||
New York Community Bancorp, Inc. | 04/28/23 | M | 2.77 | % | JPMorgan Chase Bank, N.A. | 29,830 USD | 2,645 | |||||||||||||||
Noble Corp PLC | 10/09/24 | M | 2.77 | % | Morgan Stanley Capital Services LLC | 450,449 USD | 5,862 | |||||||||||||||
Performance Food Group Co. | 05/23/23 | M | 3.08 | % | Morgan Stanley Capital Services LLC | 92,087 USD | 8,592 | |||||||||||||||
Perpetual Ltd. | 09/11/24 | M | 0.13 | % | JPMorgan Chase Bank, N.A. | 3,281,282 AUD | 99,987 | |||||||||||||||
Prologis, Inc. | 06/17/24 | M | 2.77 | % | JPMorgan Chase Bank, N.A. | 9,735,850 USD | 623,346 | |||||||||||||||
Provident Financial Services, Inc. | 10/01/24 | M | 2.77 | % | JPMorgan Chase Bank, N.A. | 368,967 USD | 15,296 | |||||||||||||||
Rentokil Initial PLC | 12/18/23 | M | 0.78 | % | JPMorgan Chase Bank, N.A. | 1,816,184 GBP | 155,657 | |||||||||||||||
TELUS Corp. | 06/19/24 | M | 2.90 | % | JPMorgan Chase Bank, N.A. | 4,226,062 CAD | 112,793 | |||||||||||||||
Unity Software, Inc. | 07/17/24 | M | 2.70 | % | JPMorgan Chase Bank, N.A. | 4,948,890 USD | 431,078 | |||||||||||||||
Vistry Group PLC | 09/17/24 | M | 1.49 | % | JPMorgan Chase Bank, N.A. | 299,884 GBP | 17,750 | |||||||||||||||
|
| |||||||||||||||||||||
Total Sells |
| $ | 6,397,131 | |||||||||||||||||||
|
| |||||||||||||||||||||
Total OTC Total Return Swaps Outstanding | $ | (13,037,742 | ) | |||||||||||||||||||
|
|
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
Centrally Cleared Interest Rate Swaps Outstanding at September 30, 2022
The | Floating | Fixed Rate | Pay/ | Maturity Date | Counterparty | Notional Amount | Market Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | |||||||||||||||||||
Pays | 3-Month USD LIBOR | 0.98% | 3M/6M | 03/25/2030 | Morgan Stanley & Co. LLC | 3,000,000 USD | $ | (332,704) | $ | — | $ | (332,704) | ||||||||||||||||
Pays | 1-Year USD SOFR | 1.00% | 1Y/1Y | 09/30/2024 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 2,000,000 USD | (121,379) | — | (121,379) | |||||||||||||||||||
Pays | 1-Year USD SOFR | 1.00% | 1Y/1Y | 09/30/2027 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 1,000,000 USD | (126,561) | — | (126,561) | |||||||||||||||||||
Pays | 6-Month EUR-EURIBOR | 1.00% | 6M/1Y | 09/30/2032 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 4,500,000 USD | (791,142) | — | (791,142) | |||||||||||||||||||
Pays | 6-Month | 2.05% | 6M/1Y | 08/18/2032 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 8,000,000 USD | (363,480) | 1,688 | (365,168) | |||||||||||||||||||
Pays | 6-Month EUR-EURIBOR | 2.59% | 6M/1Y | 09/1/2032 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 1,400,000 USD | (33,421) | — | (33,421) | |||||||||||||||||||
Pays | 6-Month EUR-EURIBOR | 2.64% | 6M/1Y | 09/6/2032 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 2,800,000 USD | (61,342) | — | (61,342) | |||||||||||||||||||
Pays | 1-Year USD SOFR | 2.67% | 1Y/1Y | 05/15/2028 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 34,200,000 USD | (428,979) | — | (428,979) | |||||||||||||||||||
Pays | 1-Year USD SOFR | 2.98% | 1Y/1Y | 09/27/2032 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 1,000,000 USD | (48,101) | — | (48,101) | |||||||||||||||||||
Pays | 1-Year USD SOFR | 3.03% | 1Y/1Y | 09/27/2027 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 1,000,000 USD | (34,726) | — | (34,726) | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 0.66% | 6M/3M | 03/12/2035 | Morgan Stanley & Co. LLC | 1,500,000 USD | 468,076 | — | 468,076 | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 0.69% | 6M/3M | 12/29/2027 | Morgan Stanley & Co. LLC | 3,000,000 USD | 476,384 | — | 476,384 | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 0.71% | 6M/3M | 01/22/2026 | Morgan Stanley & Co. LLC | 20,000,000 USD | 2,165,120 | — | 2,165,120 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
The | Floating | Fixed Rate | Pay/ | Maturity Date | Counterparty | Notional Amount | Market Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 0.80% | 6M/3M | 01/13/2026 | Morgan Stanley & Co. LLC | 80,000 USD | $ | 8,406 | $ | — | $ | 8,406 | ||||||||||||||||
Receives | 3-Month USD LIBOR | 0.95% | 6M/3M | 01/13/2027 | Morgan Stanley & Co. LLC | 940,000 USD | 116,683 | — | 116,683 | |||||||||||||||||||
Receives | 1-Year GBP-SONIA | 1.00% | 1Y/1Y | 09/28/2027 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 1,800,000 GBP | 350,600 | — | 350,600 | |||||||||||||||||||
Receives | 1-Year USD SOFR | 1.00% | 1Y/1Y | 09/30/2032 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 1,200,000 USD | 255,967 | — | 255,967 | |||||||||||||||||||
Receives | 1-Year USD SOFR | 1.00% | 1Y/1Y | 03/25/2037 | Morgan Stanley & Co. LLC | 800,000 USD | 224,897 | — | 224,897 | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 1.24% | 6M/3M | 04/19/2028 | Morgan Stanley & Co. LLC | 700,000 USD | 96,888 | — | 96,888 | |||||||||||||||||||
Receives | 1-Year USD SOFR | 1.31% | 1Y/1Y | 04/12/2024 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 9,900,000 USD | 429,971 | — | 429,971 | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 1.32% | 6M/3M | 02/26/2027 | Morgan Stanley & Co. LLC | 5,000,000 USD | 557,703 | — | 557,703 | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 1.46% | 6M/3M | 02/14/2024 | Morgan Stanley & Co. LLC | 10,000,000 USD | 400,421 | — | 400,421 | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 1.49% | 6M/3M | 08/28/2029 | Morgan Stanley & Co. LLC | 3,140,000 USD | 464,425 | — | 464,425 | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 1.56% | 6M/3M | 09/28/2026 | Morgan Stanley & Co. LLC | 1,800,000 USD | 171,107 | 6,115 | 164,992 | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 1.58% | 6M/3M | 05/21/2025 | Morgan Stanley & Co. LLC | 10,000,000 USD | 679,154 | — | 679,154 | |||||||||||||||||||
Receives | 1-Year USD SOFR | 1.59% | 1Y/1Y | 06/6/2024 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 1,000,000 USD | 42,840 | — | 42,840 | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 1.61% | 6M/3M | 03/23/2027 | Morgan Stanley & Co. LLC | 7,000,000 USD | 711,478 | — | 711,478 | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 1.62% | 6M/3M | 03/24/2027 | Morgan Stanley & Co. LLC | 7,000,000 USD | 710,612 | — | 710,612 |
See Notes to Consolidated Financial Statements.
232
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Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
The | Floating | Fixed Rate | Pay/ | Maturity Date | Counterparty | Notional Amount | Market Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 1.62% | 6M/3M | 07/27/2026 | Morgan Stanley & Co. LLC | 1,900,000 USD | $ | 169,656 | $ | 4,658 | $ | 164,998 | ||||||||||||||||
Receives | 1-Year USD SOFR | 1.62% | 1Y/1Y | 06/7/2027 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 1,000,000 USD | 94,106 | — | 94,106 | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 1.66% | 6M/3M | 06/17/2025 | Morgan Stanley & Co. LLC | 10,000,000 USD | 680,469 | — | 680,469 | |||||||||||||||||||
Receives | 1-Year USD SOFR | 1.66% | 1Y/1Y | 01/10/2058 | Morgan Stanley & Co. LLC | 3,735,000 USD | 640,048 | — | 640,048 | |||||||||||||||||||
Receives | 1-Year USD SOFR | 1.69% | 1Y/1Y | 01/10/2057 | Morgan Stanley & Co. LLC | 2,490,000 USD | 452,611 | — | 452,611 | |||||||||||||||||||
Receives | 1-Year USD SOFR | 1.69% | 1Y/1Y | 01/15/2057 | Morgan Stanley & Co. LLC | 9,130,000 USD | 1,658,691 | — | 1,658,691 | |||||||||||||||||||
Receives | 1-Year USD SOFR | 1.70% | 1Y/1Y | 06/7/2032 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 1,000,000 USD | 151,500 | — | 151,500 | |||||||||||||||||||
Receives | 1-Year USD SOFR | 1.73% | 1Y/1Y | 01/22/2057 | Morgan Stanley & Co. LLC | 3,901,000 USD | 684,639 | — | 684,639 | |||||||||||||||||||
Receives | 1-Year USD SOFR | 1.73% | 1Y/1Y | 04/12/2027 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 4,600,000 USD | 402,905 | — | 402,905 | |||||||||||||||||||
Receives | 1-Year USD SOFR | 1.74% | 1Y/1Y | 01/12/2057 | Morgan Stanley & Co. LLC | 9,545,000 USD | 1,660,250 | — | 1,660,250 | |||||||||||||||||||
Receives | 1-Year USD SOFR | 1.80% | 1Y/1Y | 03/30/2062 | Morgan Stanley & Co. LLC | 16,464,000 USD | 1,546,155 | — | 1,546,155 | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 1.81% | 6M/3M | 02/1/2024 | Morgan Stanley & Co. LLC | 2,500,000 USD | 86,902 | — | 86,902 | |||||||||||||||||||
Receives | 1-Year USD SOFR | 1.83% | 1Y/1Y | 03/30/2062 | Morgan Stanley & Co. LLC | 6,157,200 USD | 558,143 | — | 558,143 | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 1.86% | 6M/3M | 12/21/2023 | Morgan Stanley & Co. LLC | 8,000,000 USD | 252,315 | — | 252,315 | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 1.88% | 6M/3M | 01/25/2027 | Morgan Stanley & Co. LLC | 1,500,000 USD | 132,063 | — | 132,063 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
The | Floating | Fixed Rate | Pay/ | Maturity Date | Counterparty | Notional Amount | Market Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 1.90% | 6M/3M | 08/28/2029 | Morgan Stanley & Co. LLC | 1,650,000 USD | $ | 203,455 | $ | — | $ | 203,455 | ||||||||||||||||
Receives | 1-Year USD SOFR | 1.92% | 1Y/1Y | 04/12/2032 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 1,100,000 USD | 145,483 | — | 145,483 | |||||||||||||||||||
Receives | 1-Year GBP-SONIA | 1.98% | 1Y/1Y | 08/16/2032 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 2,450,000 GBP | 168,841 | 1,715 | 167,126 | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 2.05% | 6M/3M | 11/29/2024 | Morgan Stanley & Co. LLC | 5,000,000 USD | 241,662 | — | 241,662 | |||||||||||||||||||
Receives | 1-Year USD SOFR | 2.21% | 1Y/1Y | 07/6/2032 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 1,000,000 USD | 111,016 | — | 111,016 | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 2.22% | 6M/3M | 09/30/2024 | Morgan Stanley & Co. LLC | 2,000,000 USD | 85,848 | — | 85,848 | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 2.27% | 6M/3M | 01/26/2026 | Morgan Stanley & Co. LLC | 2,000,000 USD | 121,054 | — | 121,054 | |||||||||||||||||||
Receives | 1-Year Check | 2.27% | 1Y/1Y | 04/26/2057 | Morgan Stanley & Co. LLC | 16,800,000 USD | 1,374,142 | — | 1,374,142 | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 2.30% | 6M/3M | 01/27/2025 | Morgan Stanley & Co. LLC | 900,000 USD | 41,430 | 4,800 | 36,630 | |||||||||||||||||||
Receives | 1-Year Check | 2.33% | 1Y/1Y | 04/23/2057 | Morgan Stanley & Co. LLC | 8,400,000 USD | 606,108 | — | 606,108 | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 2.35% | 6M/3M | 11/8/2024 | Morgan Stanley & Co. LLC | 4,000,000 USD | 165,701 | — | 165,701 | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 2.37% | 6M/3M | 11/1/2024 | Morgan Stanley & Co. LLC | 2,000,000 USD | 81,794 | — | 81,794 | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 2.38% | 6M/3M | 10/5/2023 | Morgan Stanley & Co. LLC | 3,000,000 USD | 63,414 | — | 63,414 | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 2.39% | 6M/3M | 11/16/2028 | Morgan Stanley & Co. LLC | 4,000,000 USD | 346,596 | — | 346,596 | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 2.40% | 6M/3M | 01/25/2027 | Morgan Stanley & Co. LLC | 2,900,000 USD | 196,684 | 24,111 | 172,573 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
The | Floating | Fixed Rate | Pay/ | Maturity Date | Counterparty | Notional Amount | Market Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | |||||||||||||||||||
Receives | 3-Month USD SOFR | 2.41% | 6M/3M | 05/28/2057 | Morgan Stanley & Co. LLC | 20,750,000 USD | $ | 1,144,419 | $ | — | $ | 1,144,419 | ||||||||||||||||
Receives | 3-Month USD LIBOR | 2.42% | 6M/3M | 09/23/2024 | Morgan Stanley & Co. LLC | 2,000,000 USD | 77,585 | — | 77,585 | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 2.42% | 6M/3M | 10/24/2024 | Morgan Stanley & Co. LLC | 2,000,000 USD | 79,275 | — | 79,275 | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 2.43% | 6M/3M | 10/13/2026 | Morgan Stanley & Co. LLC | 3,000,000 USD | 190,118 | — | 190,118 | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 2.45% | 6M/3M | 10/18/2024 | Morgan Stanley & Co. LLC | 4,000,000 USD | 156,191 | — | 156,191 | |||||||||||||||||||
Receives | 1-Year USD SOFR | 2.47% | 1Y/1Y | 08/18/2032 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 3,350,000 USD | 102,701 | 669 | 102,032 | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 2.58% | 6M/3M | 08/5/2025 | Morgan Stanley & Co. LLC | 7,000,000 USD | 320,855 | — | 320,855 | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 2.67% | 6M/3M | 09/13/2028 | Morgan Stanley & Co. LLC | 2,500,000 USD | 175,140 | — | 175,140 | |||||||||||||||||||
Receives | 1-Year GBP-SONIA | 2.71% | 1Y/1Y | 09/2/2032 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 1,400,000 GBP | 55,575 | — | 55,575 | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 2.72% | 6M/3M | 09/8/2028 | Morgan Stanley & Co. LLC | 1,000,000 USD | 67,675 | — | 67,675 | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 2.72% | 6M/3M | 08/8/2028 | Morgan Stanley & Co. LLC | 3,000,000 USD | 201,131 | — | 201,131 | |||||||||||||||||||
Receives | 1-Year USD SOFR | 2.73% | 1Y/1Y | 05/13/2031 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 14,300,000 USD | 340,523 | — | 340,523 | |||||||||||||||||||
Receives | 1-Year USD LIBOR | 2.81% | 1Y/1Y | 05/11/2032 | Morgan Stanley & Co. LLC | 1,000,000 USD | 73,023 | (349) | 73,372 | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 2.83% | 6M/3M | 07/30/2029 | Morgan Stanley & Co. LLC | 3,000,000 USD | 200,805 | — | 200,805 | |||||||||||||||||||
Receives | 1-Year USD SOFR | 2.93% | 1Y/1Y | 09/7/2032 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 500,000 USD | 6,552 | — | 6,552 |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
The | Floating | Fixed Rate | Pay/ | Maturity Date | Counterparty | Notional Amount | Market Value | Upfront Premium Paid (Received) | Unrealized Appreciation (Depreciation) | |||||||||||||||||||
Receives | 1-Year USD SOFR | 3.08% | 1Y/1Y | 05/15/2024 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 3,100,000 USD | $ | 37,099 | $ | — | $ | 37,099 | ||||||||||||||||
Receives | 1-Year USD SOFR | 3.12% | 1Y/1Y | 06/16/2037 | Morgan Stanley & Co. LLC | 2,300,000 USD | 99,614 | (802) | 100,416 | |||||||||||||||||||
Receives | 3-Month USD LIBOR | 3.21% | 6M/3M | 05/25/2033 | Morgan Stanley & Co. LLC | 2,000,000 USD | 93,906 | (1,052) | 94,958 | |||||||||||||||||||
Receives | 1-Year USD SOFR | 3.32% | 1Y/1Y | 09/22/2037 | Morgan Stanley & Co. LLC | 2,800,000 USD | 53,815 | (1,522) | 55,337 | |||||||||||||||||||
Receives | 1-Year USD SOFR | 3.40% | 1Y/1Y | 09/16/2027 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 1,000,000 USD | 18,053 | — | 18,053 | |||||||||||||||||||
Receives | 1-Year USD SOFR | 3.94% | 1Y/1Y | 09/16/2024 | Merrill Lynch, Pierce, Fenner & Smith, Inc. | 1,500,000 USD | 7,226 | — | 7,226 | |||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
Total Centrally Cleared Interest Rate Swaps Outstanding | $ | 22,613,859 | $ | 40,031 | $ | 22,573,828 | ||||||||||||||||||||||
|
|
|
|
|
|
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 | |||
CLO | Collateralized Loan Obligation | |||
CME | Chicago Mercantile Exchange | |||
COMEX | Commodities Exchange Center | |||
Eurex | Eurex Exchange | |||
EURIBOR | Euro Interbank Offered Rate | |||
Euronext | Euronext Paris | |||
ICE | Ice Futures Europe | |||
IDEM | Italian Derivatives Exchange Market | |||
ISE | Istanbul Stock Exchange | |||
KRX FM | Korea Exchange (Futures Market) | |||
LIBOR | London Interbank Offered Rate | |||
LME | London Metal Exchange |
See Notes to Consolidated Financial Statements.
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Consolidated Schedule of Investments ^ (Continued)
September 30, 2022 (Unaudited)
MTN | Medium Term Note | |||
MYX | Bursa Malaysia | |||
Nasdaq-OMX | NASDAQ OMX Stockholm | |||
NYMEX | New York Mercantile Exchange | |||
OTC | Over the Counter | |||
PIK | Payment in Kind | |||
REG S | Regulation-S | |||
REIT | Real Estate Investment Trust | |||
SFE | ASX Trade24 | |||
SGX | Singapore Exchange | |||
SOFR | Secured Overnight Financing Rate | |||
T | At Maturity | |||
TFEX | Thailand Futures Exchange | |||
TSFR | Term Secured Financing Rate | |||
Currency Legend: | ||||
AUD | Australian Dollar | |||
BRL | Brazilian Real | |||
CAD | Canadian Dollar | |||
CHF | Swiss Franc | |||
CLP | Chilean Peso | |||
CNY | Chinese Yuan | |||
COP | Colombian Peso | |||
CZK | Czech Koruna | |||
EUR | Euro | |||
GBP | British Pound | |||
HKD | Hong Kong Dollar | |||
HUF | Hungarian Forint | |||
IDR | Indonesian Rupiah | |||
ILS | Israeli Shekel | |||
INR | Indian Rupee | |||
JPY | Japanese Yen | |||
KRW | South Korean Won | |||
MXN | Mexican Peso | |||
NOK | Norwegian Krone | |||
PEN | Peruvian Nuevo Sol | |||
PHP | Philippine Peso | |||
PLN | Polish Zloty | |||
SEK | Swedish Krona | |||
SGD | Singapore Dollar | |||
THB | Thai Baht | |||
TRY | Turkish Lira | |||
TWD | Taiwanese Dollar | |||
USD | United States Dollar | |||
ZAR | South African Rand |
See Notes to Consolidated Financial Statements.
237
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Statement of Assets and Liabilities
As of September 30, 2022 (Unaudited)
Assets: |
| |||
Investments in securities, at fair value (cost $4,388,985,397) | $ | 4,087,453,154 | ||
Cash | 1,537,351,902 | |||
Cash denominated in foreign currencies (cost of $29,986,406) | 28,700,675 | |||
Segregated cash balance with broker for securities sold short | 449,830,171 | |||
Segregated cash balance with custodian for derivative financial instruments | 414,292,139 | |||
Segregated cash balance with counterparties for futures contracts | 255,846,788 | |||
Segregated cash balance with counterparties for centrally cleared derivatives | 58,773,883 | |||
Unrealized appreciation on unfunded loan commitments | 49,282 | |||
Unrealized appreciation on forward foreign currency exchange contracts | 3,985,923 | |||
Income receivable | 15,905,716 | |||
Receivable for investments sold | 4,918,823,883 | |||
Receivable for Fund shares sold | 249,039,725 | |||
Receivable for periodic payments from swap contracts | 55,274,840 | |||
Variation margin receivable on futures | 65,022,401 | |||
Variation margin receivable on centrally cleared swaps | 1,696,020 | |||
Swap contracts, at fair value (net premiums paid $876,458) | 13,912,461 | |||
Prepaid expenses and other assets | 660,218 | |||
|
| |||
Total assets | 12,156,619,181 | |||
|
| |||
Liabilities: |
| |||
Securities sold short, at fair value (proceeds of $2,034,543,651) | 1,853,956,722 | |||
Cash received as collateral from custodian for derivative financial instruments | 216,155,922 | |||
Cash received as collateral from counterparty for centrally cleared derivatives | 45,410,704 | |||
Cash received as collateral from counterparty for futures contracts | 111,672,440 | |||
Cash received as collateral for swaps and reverse repurchase agreements | 11,319,000 | |||
Cash received as collateral from counterparty for OTC derivatives | 33,541,342 | |||
Cash received as collateral from broker for TBAs | 113,410,000 | |||
Options written, at fair value (premiums received $25,111,642) | 51,121,687 | |||
Unrealized depreciation on forward foreign currency exchange contracts | 868,236 | |||
Payable for investments purchased | 4,479,109,978 | |||
Payable for Fund shares redeemed | 383,562,260 | |||
Payable for periodic payments from swap contracts | 52,392,775 | |||
Variation margin payable on futures | 5,949,723 | |||
Variation margin payable on centrally cleared swaps | 37,268,685 | |||
Swap contracts, at fair value (net premiums received $2,158,530) | 30,301,647 | |||
Dividend and interest income payable on securities sold short | 5,099,331 | |||
Management fee payable | 22,905,705 | |||
Payable to Affiliate | 1,981,576 | |||
Accrued expenses and other liabilities | 4,284,804 | |||
|
| |||
Total liabilities | 7,460,312,537 | |||
|
| |||
Net assets | $ | 4,696,306,644 | ||
|
| |||
Net Assets Consist of: |
| |||
Paid-in capital | $ | 5,666,251,671 | ||
Total distributable earnings | (969,945,027 | ) | ||
|
| |||
Net assets | $ | 4,696,306,644 | ||
|
|
See Notes to Consolidated Financial Statements.
238
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Consolidated Statement of Assets and Liabilities (Continued)
As of September 30, 2022 (Unaudited)
Net Asset Value: |
| |||
Class I Shares |
| |||
Net Assets | $ | 3,582,070,246 | ||
Class I Shares outstanding, no par value, unlimited shares authorized | 362,188,649 | |||
|
| |||
Net asset value per share | $ | 9.89 | ||
|
| |||
Class D Shares |
| |||
Net Assets | $ | 21,366,297 | ||
Class D Shares outstanding, no par value, unlimited shares authorized | 2,163,359 | |||
|
| |||
Net asset value per share | $ | 9.88 | ||
|
| |||
Class Y Shares |
| |||
Net Assets | $ | 1,092,870,101 | ||
Class Y Shares outstanding, no par value, unlimited shares authorized | 111,250,784 | |||
|
| |||
Net asset value per share | $ | 9.82 | ||
|
|
See Notes to Consolidated Financial Statements.
239
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Statement of Operations
For the Six-Months Ended September 30, 2022 (Unaudited)
Investment Income: | |||||
Interest (including net foreign taxes withheld of $5,183) | $ | 63,939,880 | |||
Dividends (including net foreign taxes withheld of $93,779) | 3,240,230 | ||||
Other Income | 1,278,420 | ||||
|
| ||||
Total income | 68,458,530 | ||||
|
| ||||
Expenses: | |||||
Management fees | $ | 46,675,825 | |||
Administration fees | 2,744,320 | ||||
Custodian fees | 1,107,544 | ||||
Trustees’ fees | 462,823 | ||||
Distribution fees—Class D | 35,120 | ||||
Shareholder service fees | 1,624,099 | ||||
Registration fees | 97,766 | ||||
Printing and postage fees | 188,014 | ||||
Professional fees | 3,083,517 | ||||
Dividends and interest on securities sold short | 21,119,101 | ||||
Line of credit fee | 900,395 | ||||
Interest fees | 39,268 | ||||
Other | 741,645 | ||||
|
| ||||
Net expenses | 78,819,437 | ||||
|
| ||||
Net investment loss | (10,360,907 | ) | |||
|
| ||||
Net Realized and Unrealized Gain (Loss): | |||||
Net realized gain (loss) on investments in securities | (109,525,017 | ) | |||
Net realized gain (loss) on securities sold short | 187,604,145 | ||||
Net realized gain (loss) on forward foreign currency exchange contracts | 9,074,835 | ||||
Net realized gain (loss) on foreign currency transactions | (706,275 | ) | |||
Net realized gain (loss) on futures contracts | (107,359,325 | ) | |||
Net realized gain (loss) on options written | (190,001,679 | ) | |||
Net realized gain (loss) on swap contracts | (117,906,247 | ) | |||
Net change in unrealized appreciation (depreciation) on investments in securities | (299,182,209 | ) | |||
Net change in unrealized appreciation (depreciation) on securities sold short | 143,300,065 | ||||
Net change in unrealized appreciation (depreciation) on forward foreign currency exchange contracts | 4,153,257 | ||||
Net change in unrealized appreciation (depreciation) on foreign currency translations | (887,644 | ) | |||
Net change in unrealized appreciation (depreciation) on futures contracts | 47,770,650 | ||||
Net change in unrealized appreciation (depreciation) on options written | 138,120,440 | ||||
Net change in unrealized appreciation (depreciation) on swap contracts | 15,282,778 | ||||
Net change in unrealized appreciation (depreciation) on unfunded loan commitments | (110,560 | ) | |||
|
| ||||
Net realized and unrealized loss | (280,372,786 | ) | |||
|
| ||||
Net decrease in net assets resulting from operations | $ | (290,733,693 | ) | ||
|
|
See Notes to Consolidated Financial Statements.
240
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Statement of Changes in Net Assets
Six-Months Ended 9/30/2022 (unaudited) | Year Ended 3/31/2022 | |||||||
Increase (Decrease) in Net Assets | ||||||||
Operations: | ||||||||
Net investment income (loss) | $ | (10,360,907 | ) | $ | (41,852,146 | ) | ||
Net realized gain (loss) | (328,819,563 | ) | 339,985,420 | |||||
Net change in unrealized appreciation (depreciation) | 48,446,777 | (195,820,433 | ) | |||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | (290,733,693 | ) | 102,312,841 | |||||
|
|
|
| |||||
Distributions: | ||||||||
Distributions from earnings | ||||||||
Class I Shares | — | (66,621,442 | ) | |||||
Class D Shares | — | (429,054 | ) | |||||
Class Y Shares | — | (20,724,055 | ) | |||||
|
|
|
| |||||
Total distributions to shareholders | — | (87,774,551 | ) | |||||
|
|
|
| |||||
Capital Transactions: | ||||||||
Shareholder subscriptions: | ||||||||
Proceeds from sale of Class I Shares | 561,135,131 | 1,216,510,073 | ||||||
Proceeds from sale of Class D Shares | 4,433,422 | 10,901,659 | ||||||
Proceeds from sale of Class Y Shares | 60,173,398 | 365,097,592 | ||||||
Shareholder reinvestments: | ||||||||
Net asset value of Class I Shares issued to shareholders in payment of distributions declared | — | 52,917,040 | ||||||
Net asset value of Class D Shares issued to shareholders in payment of distributions declared | — | 336,917 | ||||||
Net asset value of Class Y Shares issued to shareholders in payment of distributions declared | — | 20,681,257 | ||||||
Shareholder redemptions: | ||||||||
Cost of Class I Shares redeemed | (716,343,866 | ) | (953,055,040 | ) | ||||
Cost of Class D Shares redeemed | (7,288,728 | ) | (12,700,063 | ) | ||||
Cost of Class Y Shares redeemed | (146,527,892 | ) | (489,256,452 | ) | ||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from capital transactions | (244,418,535 | ) | 211,432,983 | |||||
|
|
|
| |||||
Net increase (decrease) in net assets | (535,152,228 | ) | 225,971,273 | |||||
|
|
|
| |||||
Net Assets: | ||||||||
Beginning of period | 5,231,458,872 | 5,005,487,599 | ||||||
|
|
|
| |||||
End of period | $ | 4,696,306,644 | $ | 5,231,458,872 | ||||
|
|
|
|
See Notes to Consolidated Financial Statements.
241
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Statement of Changes in Net Assets (Continued)
Six-Months Ended 9/30/2022 (unaudited) | Year Ended 3/31/2022 | |||||||
Share Transactions: | ||||||||
Class I Shares | ||||||||
Beginning of period | 377,678,111 | 348,316,502 | ||||||
Shares issued | 55,157,719 | 113,770,975 | ||||||
Reinvestment in Shares | — | 5,034,923 | ||||||
Shares redeemed | (70,647,181 | ) | (89,444,289 | ) | ||||
|
|
|
| |||||
Net change in shares resulting from share transactions | (15,489,462 | ) | 29,361,609 | |||||
|
|
|
| |||||
End of period | 362,188,649 | 377,678,111 | ||||||
|
|
|
| |||||
Class D Shares |
| |||||||
Beginning of period | 2,445,310 | 2,580,674 | ||||||
Shares issued | 439,209 | 1,017,155 | ||||||
Reinvestment in Shares | — | 32,026 | ||||||
Shares redeemed | (721,160 | ) | (1,184,545 | ) | ||||
|
|
|
| |||||
Net change in shares resulting from share transactions | (281,951 | ) | (135,364 | ) | ||||
|
|
|
| |||||
End of period | 2,163,359 | 2,445,310 | ||||||
|
|
|
| |||||
Class Y Shares |
| |||||||
Beginning of period | 119,885,251 | 129,503,907 | ||||||
Shares issued | 5,983,447 | 34,216,451 | ||||||
Reinvestment in Shares | — | 1,982,863 | ||||||
Shares redeemed | (14,617,914 | ) | (45,817,970 | ) | ||||
|
|
|
| |||||
Net change in shares resulting from share transactions | (8,634,467 | ) | (9,618,656 | ) | ||||
|
|
|
| |||||
End of period | 111,250,784 | 119,885,251 | ||||||
|
|
|
|
See Notes to Consolidated Financial Statements.
242
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Statement of Cash Flows
For the Six Months Ended September 30, 2022 (Unaudited)
Cash Flows from Operating Activities: |
| |||
Net decrease in net assets resulting from operations | $ | (290,733,693 | ) | |
Adjustments to reconcile net increase (decrease) in net assets resulting from operations to net cash provided by operating activities: | ||||
Purchases of investments in securities | (4,390,081,855 | ) | ||
Proceeds from disposition of investments in securities | 3,556,549,717 | |||
Proceeds from securities sold short | 11,819,460,402 | |||
Payments to cover securities sold short | (10,373,011,502 | ) | ||
Short-term investments, net | 172,803,879 | |||
Premiums paid on closing options written | (340,534,281 | ) | ||
Proceeds from premiums received from options written | 109,367,358 | |||
Net realized loss on investments in securities | 109,525,017 | |||
Net realized gain on securities sold short | (187,604,145 | ) | ||
Net realized loss on options written | 190,001,679 | |||
Net change in accretion of bond discount and amortization of bond and swap premium | (7,060,092 | ) | ||
Net change in unrealized depreciation on investments in securities | 299,182,209 | |||
Net change in unrealized appreciation on securities sold short | (143,300,065 | ) | ||
Net change in unrealized appreciation on options written | (138,120,440 | ) | ||
Net change in unrealized depreciation on reverse repurchase agreements | 66,105 | |||
Changes in assets and liabilities: |
| |||
(Increase) decrease in assets: |
| |||
Unrealized appreciation on forward foreign currency exchange contracts | (2,975,790 | ) | ||
Income receivable | 2,810,030 | |||
Receivable for periodic payments from swap contracts | 2,164,635 | |||
Investment subscriptions paid in advance | — | |||
Variation margin receivable on futures | (23,926,597 | ) | ||
Variation margin receivable on centrally cleared swaps | (1,171,507 | ) | ||
Change in unrealized on unfunded loan | 110,560 | |||
Swap contracts, at fair value | 20,426,432 | |||
Prepaid expenses and other assets | (595,807 | ) | ||
Increase (decrease) in liabilities: |
| |||
Cash received as collateral for swaps and reverse repurchase agreements | 6,179,000 | |||
Cash received as collateral from custodian for derivative financial instruments | 211,114,473 | |||
Cash received as collateral from counterparty for OTC derivatives | 33,540,541 | |||
Cash received as collateral from counterparty for centrally cleared derivatives | 7,655,335 | |||
Cash received as collateral from counterparty for futures contracts | 111,478,898 | |||
Cash received as collateral from broker for TBAs | 113,410,000 | |||
Unrealized depreciation on forward foreign currency exchange contracts | (1,177,467 | ) | ||
Swap contracts, at fair value | (24,189,853 | ) | ||
Variation margin payable on futures | (9,470,056 | ) | ||
Variation margin payable on centrally cleared swaps | (1,731,322 | ) | ||
Payable for periodic payments from swap contracts | 24,311,134 | |||
Dividend and interest income payable on securities sold short | (1,088,495 | ) | ||
Interest payable on reverse repurchase agreements | 25,019 | |||
Change in unrealized on unfunded loan | — | |||
Management fee payable | (1,136,849 | ) | ||
Payable to Affiliates | 373,657 | |||
Accrued expenses and other liabilities | (3,799,886 | ) | ||
|
| |||
Net cash provided by operating activities | $ | 848,846,378 | ||
|
|
See Notes to Consolidated Financial Statements.
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Consolidated Statement of Cash Flows (Continued)
For the Six Months Ended September 30, 2022 (Unaudited)
Cash Flows from Financing Activities |
| |||
Proceeds from shares sold | $ | 384,001,551 | ||
Cost of shares repurchased | (490,500,565 | ) | ||
Proceeds from reverse repurchase agreements | — | |||
Repayment of reverse repurchase agreements | (185,701,445 | ) | ||
Distributions paid (net of reinvestment) | — | |||
|
| |||
Net cash provided (used) by financing activities | (292,200,459 | ) | ||
|
| |||
Net increase (decrease) in unrestricted and restricted cash and foreign currency | 556,645,919 | |||
Unrestricted and restricted cash and foreign currency, beginning of period | 2,188,149,639 | |||
|
| |||
Unrestricted and restricted cash and foreign currency, end of period | $ | 2,744,795,558 | ||
|
| |||
Supplemental disclosure of cash flow information: |
| |||
Cash paid during the period for interest | $ | 14,259 | ||
|
| |||
Non-Cash Financing Activities |
| |||
Capital shares issued in reinvestment of distribution | $ | — | ||
|
|
Reconciliation of unrestricted and restricted cash to the statements of assets and liabilities
Six Months Ended September 30, 2022 | Year Ended March 31, 2022 | |||||||
Cash | $ | 1,537,351,902 | $ | 1,042,164,458 | ||||
Foreign currency at value | 28,700,675 | 24,474,423 | ||||||
Cash Pledged | ||||||||
Securities sold short | 449,830,171 | 457,209,752 | ||||||
Derivative financial instruments | 414,292,139 | 487,161,960 | ||||||
Futures contracts | 255,846,788 | 96,549,761 | ||||||
Centrally cleared derivatives | 58,773,883 | 80,589,285 | ||||||
|
|
|
| |||||
$ | 2,744,795,558 | $ | 2,188,149,639 | |||||
|
|
|
|
See Notes to Consolidated Financial Statements.
244
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Financial Highlights
(For Shares Outstanding Throughout the Period)
Class I | ||||||||||||||||||||||||
Six-Months | Year | Year | Year | Year | Year | |||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 10.48 | $ | 10.44 | $ | 9.08 | $ | 10.76 | $ | 10.67 | $ | 10.56 | ||||||||||||
Income From Investment Operations: | ||||||||||||||||||||||||
Net investment income (loss)1 | (0.02 | ) | (0.09 | ) | 0.08 | 0.15 | 0.10 | 0.01 | ||||||||||||||||
Net realized and unrealized gain (loss) | (0.57 | ) | 0.31 | 1.60 | (1.44 | ) | 0.19 | 0.31 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total From Investment Operations | (0.59 | ) | 0.22 | 1.68 | (1.29 | ) | 0.29 | 0.32 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions to Shareholders: | ||||||||||||||||||||||||
From net investment income | — | — | (0.32 | ) | (0.21 | ) | (0.13 | ) | (0.08 | ) | ||||||||||||||
From net realized capital gains | — | (0.18 | ) | — | (0.18 | ) | (0.07 | ) | (0.13 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Distributions | — | (0.18 | ) | (0.32 | ) | (0.39 | ) | (0.20 | ) | (0.21 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value, End of Period | $ | 9.89 | $ | 10.48 | $ | 10.44 | $ | 9.08 | $ | 10.76 | $ | 10.67 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return | (5.63 | )%2 | 2.09 | % | 18.34 | % | (12.32 | )% | 2.76 | % | 3.06 | % | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Ratios to Average Net Assets:3 | ||||||||||||||||||||||||
Total expenses before recoupment (reimbursement) from Investment Adviser | 1.30 | %4 | 0.96 | % | 0.80 | % | 0.94 | % | 1.33 | % | 0.89 | % | ||||||||||||
Management Fees | 1.88 | %4 | 1.87 | % | 1.87 | % | 1.85 | % | 1.86 | % | 1.88 | % | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net expenses after recoupment (reimbursement) from Investment Adviser | 3.18 | %4 | 2.83 | % | 2.67 | % | 2.79 | % | 3.19 | % | 2.77 | % | ||||||||||||
Excluded expenses5 | (0.91 | )%4 | (0.50 | )% | (0.42 | )% | (0.65 | )% | (1.00 | )% | (0.57 | )% | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Expenses, net of impact of excluded expenses | 2.27 | %4 | 2.33 | % | 2.25 | % | 2.14 | % | 2.19 | % | 2.20 | % | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net investment income gain (loss) | (0.43 | )%4 | (0.83 | )% | 0.77 | % | 1.43 | % | 0.94 | % | 0.13 | % | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 3,582,070 | $ | 3,958,328 | $ | 3,637,018 | $ | 4,734,372 | $ | 5,292,572 | $ | 5,088,031 | ||||||||||||
Portfolio turnover | 362 | %2 | 193 | % | 135 | % | 193 | % | 203 | % | 300 | % |
1 | Calculated using average shares outstanding during the period. |
2 | Percentage represents the results for the period presented and is not annualized. |
3 | The ratios do not reflect the Fund’s share of the income and expenses of the underlying Investee Fund. |
4 | Financial ratios have been annualized except for non-recurring costs. |
5 | Represents expenses excluded from reimbursement by the Investment Adviser, as defined in the Expense Limitation and Reimbursement Agreement. See Note 7. |
See Notes to Consolidated Financial Statements.
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Consolidated Financial Highlights (Continued)
(For Shares Outstanding Throughout the Period)
Class D | ||||||||||||||||||||||||
Six-Months | Year | Year | Year | Year | Year | |||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 10.48 | $ | 10.47 | $ | 9.10 | $ | 10.73 | $ | 10.64 | $ | 10.53 | ||||||||||||
Income From Investment Operations: | ||||||||||||||||||||||||
Net investment income (loss)1 | (0.04 | ) | (0.12 | ) | 0.05 | 0.13 | 0.06 | (0.03 | ) | |||||||||||||||
Net realized and unrealized gain (loss) | (0.56 | ) | 0.31 | 1.60 | (1.46 | ) | 0.20 | 0.30 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total From Investment Operations | (0.60 | ) | 0.19 | 1.65 | (1.33 | ) | 0.26 | 0.27 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions to Shareholders: | ||||||||||||||||||||||||
From net investment income | — | — | (0.28 | ) | (0.12 | ) | (0.10 | ) | (0.03 | ) | ||||||||||||||
From net realized capital gains | — | (0.18 | ) | — | (0.18 | ) | (0.07 | ) | (0.13 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Distributions | — | (0.18 | ) | (0.28 | ) | (0.30 | ) | (0.17 | ) | (0.16 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value, End of Period | $ | 9.88 | $ | 10.48 | $ | 10.47 | $ | 9.10 | $ | 10.73 | $ | 10.64 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return | (5.73 | )%2 | 1.70 | % | 18.07 | % | (12.60 | )% | 2.50 | % | 2.60 | % | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Ratios to Average Net Assets:3 | ||||||||||||||||||||||||
Total expenses before recoupment (reimbursement) from Investment Adviser | 1.58 | %4 | 1.27 | % | 1.07 | % | 1.18 | % | 1.71 | % | 1.27 | % | ||||||||||||
Management Fees | 1.87 | %4 | 1.87 | % | 1.87 | % | 1.85 | % | 1.86 | % | 1.88 | % | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net expenses after recoupment (reimbursement) from Investment Adviser | 3.45 | %4 | 3.14 | % | 2.94 | % | 3.03 | % | 3.57 | % | 3.15 | % | ||||||||||||
Excluded expenses5 | (1.21 | )%4 | (0.74 | )% | (0.68 | )% | (0.90 | )% | (1.29 | )% | (0.81 | )% | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Expenses, net of impact of excluded expenses | 2.24 | %4 | 2.40 | % | 2.26 | % | 2.13 | % | 2.28 | % | 2.34 | % | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net investment income gain (loss) | (0.70 | )%4 | (1.14 | )% | 0.51 | % | 1.19 | % | 0.57 | % | (0.26 | )% | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 21,366 | $ | 25,626 | $ | 27,031 | $ | 40,987 | $ | 297,086 | $ | 229,593 | ||||||||||||
Portfolio turnover | 362 | %2 | 193 | % | 135 | % | 193 | % | 203 | % | 300 | % |
1 | Calculated using average shares outstanding during the period. |
2 | Percentage represents the results for the period presented and is not annualized. |
3 | The ratios do not reflect the Fund’s share of the income and expenses of the underlying Investee Fund. |
4 | Financial ratios have been annualized except for non-recurring costs. |
5 | Represents expenses excluded from reimbursement by the Investment Adviser, as defined in the Expense Limitation and Reimbursement Agreement. See Note 7. |
See Notes to Consolidated Financial Statements.
246
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Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Consolidated Financial Highlights (Continued)
(For Shares Outstanding Throughout the Period)
Class Y | ||||||||||||||||||||||||
Six-Months | Year | Year | Year | Year | Year | |||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 10.41 | $ | 10.36 | $ | 9.02 | $ | 10.68 | $ | 10.59 | $ | 10.48 | ||||||||||||
Income From Investment Operations: | ||||||||||||||||||||||||
Net investment income (loss)1 | (0.02 | ) | (0.08 | ) | 0.08 | 0.16 | 0.09 | 0.02 | ||||||||||||||||
Net realized and unrealized gain (loss) | (0.57 | ) | 0.31 | 1.59 | (1.42 | ) | 0.21 | 0.31 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total From Investment Operations | (0.59 | ) | 0.23 | 1.67 | (1.26 | ) | 0.30 | 0.33 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions to Shareholders: | ||||||||||||||||||||||||
From net investment income | — | — | (0.33 | ) | (0.22 | ) | (0.14 | ) | (0.09 | ) | ||||||||||||||
From net realized capital gains | — | (0.18 | ) | — | (0.18 | ) | (0.07 | ) | (0.13 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Distributions | — | (0.18 | ) | (0.33 | ) | (0.40 | ) | (0.21 | ) | (0.22 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value, End of Period | $ | 9.82 | $ | 10.41 | $ | 10.36 | $ | 9.02 | $ | 10.68 | $ | 10.59 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return | (5.67 | )%2 | 2.10 | % | 18.49 | % | (12.25 | )% | 2.85 | % | 3.17 | % | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Ratios to Average Net Assets:3 | ||||||||||||||||||||||||
Total expenses before recoupment (reimbursement) from Investment Adviser | 1.24 | %4 | 0.86 | % | 0.72 | % | 0.83 | % | 1.39 | % | 0.79 | % | ||||||||||||
Management Fees | 1.87 | %4 | 1.87 | % | 1.87 | % | 1.85 | % | 1.86 | % | 1.88 | % | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net expenses after recoupment (reimbursement) from Investment Adviser | 3.11 | %4 | 2.73 | % | 2.59 | % | 2.68 | % | 3.25 | % | 2.67 | % | ||||||||||||
Excluded expenses5 | (0.91 | )%4 | (0.50 | )% | (0.42 | )% | (0.62 | )% | (1.13 | )% | (0.57 | )% | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Expenses, net of impact of excluded expenses | 2.20 | %4 | 2.23 | % | 2.17 | % | 2.06 | % | 2.12 | % | 2.10 | % | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net investment income gain (loss) | (0.36 | )%4 | (0.72 | )% | 0.85 | % | 1.54 | % | 0.89 | % | 0.23 | % | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 1,092,870 | $ | 1,247,505 | $ | 1,341,439 | $ | 1,752,913 | $ | 1,619,797 | $ | 686,390 | ||||||||||||
Portfolio turnover | 362 | %2 | 193 | % | 135 | % | 193 | % | 203 | % | 300 | % |
1 | Calculated using average shares outstanding during the period. |
2 | Percentage represents the results for the period presented and is not annualized. |
3 | The ratios do not reflect the Fund’s share of the income and expenses of the underlying Investee Fund. |
4 | Financial ratios have been annualized except for non-recurring costs. |
5 | Represents expenses excluded from reimbursement by the Investment Adviser, as defined in the Expense Limitation and Reimbursement Agreement. See Note 7. |
See Notes to Consolidated Financial Statements.
247
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Notes to Consolidated Financial Statements
For the Six-Months Ended September 30, 2022 (Unaudited)
1. Organization
Blackstone Alternative Investment Funds (the “Trust”) is a Massachusetts business trust authorized to issue an unlimited number of shares of beneficial interest, which may be divided into different series and classes. The Trust is registered as an open-end management investment company under the Investment Company Act of 1940, as amended (the “1940 Act”). During the six months ended September 30, 2022, the Trust consisted of a single series, Blackstone Alternative Multi-Strategy Fund (the “Fund”). The Fund commenced operations offering Class I Shares on June 16, 2014. The Fund also offers Class D Shares, Class Y Shares and Class R Shares. Class D Shares and Class Y Shares commenced operations on November 17, 2014 and January 28, 2015, respectively. As of September 30, 2022, 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 objective 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 responsibility to oversee each Sub-Adviser (subject to the ultimate oversight of the Board). The Investment Adviser also is responsible for recommending the hiring, termination, and replacement of Sub-Advisers.
The Fund’s assets may be invested in three wholly-owned and controlled subsidiaries of the Fund (collectively, the “Subsidiaries”), each of which has the same investment objective as the Fund. One of the Fund’s Subsidiaries, Blackstone Alternative Multi-Strategy Sub Fund II Ltd. (the “Cayman Subsidiary”), is a Cayman Islands exempted company. Both of the other Subsidiaries, Blackstone Alternative Multi-Strategy Sub Fund III L.L.C. (the “Domestic Subsidiary III”) and Blackstone Alternative Multi-Strategy Sub Fund IV L.L.C. (the “Domestic Subsidiary IV”), are Delaware limited liability companies. The Cayman Subsidiary invests, directly or indirectly through the use of derivatives, in securities and commodity interests. The Domestic Subsidiary III and the Domestic Subsidiary IV invest, directly or indirectly through the use of derivatives, almost entirely in securities (with only de minimis exposure to commodity interests). The Consolidated Financial Statements include the Financial Statements of the Fund and the three Subsidiaries. Except where context otherwise requires, the term “Fund” refers to the Fund together with the applicable Subsidiaries.
The Fund and the Cayman Subsidiary are each a commodity pool under the Commodity Exchange Act (“CEA”) and are subject to regulation by the Commodity Futures Trading Commission (“CFTC”). BAIA, the commodity pool operator of the Fund and the Cayman Subsidiary, is registered as such with the CFTC, but has claimed relief under Rules 4.12(c)(3) and 4.7 under the CEA, respectively, from certain disclosure,
248
Table of Contents
Blackstone Alternative Multi-Strategy Fund and Subsidiaries
Notes to Consolidated Financial Statements (Continued)
For the Six-Months Ended September 30, 2022 (Unaudited)
reporting, and recordkeeping requirements otherwise applicable to commodity pools. Neither the Domestic Subsidiary III nor the Domestic Subsidiary IV intends to invest more than a de minimis level of its net assets in “commodity interests” (as defined under the CEA). Accordingly, BAIA is relying on CFTC No-Action Letter 12-38 with respect to the Domestic Subsidiary III and has claimed an exemption under Rule 4.13(a)(3) from registration as a commodity pool operator with respect to the Domestic Subsidiary IV.
Capitalized terms used, but not defined herein, shall have the meaning assigned to them in the Prospectus of the Fund.
2. Basis of Presentation
The Fund’s Consolidated Financial Statements are prepared in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”) and are stated in U.S. dollars, except as otherwise noted. The preparation of Consolidated Financial Statements in accordance with U.S. GAAP requires management to make certain estimates and assumptions that affect the reported amount of assets and liabilities, the disclosure of contingent assets and liabilities, and the reported amounts of income and expenses during the six months ended. 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 and cash flows of the Subsidiaries. All material intercompany balances and transactions have been eliminated.
3. Significant Accounting Policies
Valuation Policy
The net asset values (“NAV”) of the Fund’s shares are 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 market value if market quotations are readily available, and otherwise at fair value. The Board has established procedures for determining the 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 day-to-day operational implementation of the valuation and pricing function of the Fund for all investments. Effective August 4, 2022, and in accordance with Rule 2a-5 under the 1940 Act, the Board designated the Investment Adviser as the “valuation designee” of the Fund. 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 Investment Adviser, as the valuation designee, in good faith, and such determinations will be subject to oversight by the Board. Due to the inherent uncertainty, estimates of fair value may differ from the values that would have been used had a ready market for these investments existed and the differences could be material.
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A market quotation is readily available only when that quotation is a quoted price (unadjusted) in active markets for identical investments that the Fund can access at the measurement date, provided that a quotation will not be readily available if it is not reliable. As such, 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 was one instance of such determination made during the six months ended September 30, 2022.
Fair Value Measurements
Fair value guidance defines fair value, establishes a framework for measuring fair value, and expands disclosures about fair value measurements. U.S. GAAP defines fair value as the price that the Fund would receive to sell an asset or pay to transfer a liability (i.e., the exit price) in an orderly transaction between market participants at the measurement date.
The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for investments categorized in Level 3. The inputs or methodology used for valuing an investment are not necessarily an indication of the risk associated with investing in those securities.
Investments measured and reported at fair value are classified and disclosed in one of the following levels within the fair value hierarchy based on the lowest level of input that is significant to the fair value measurement:
Level 1 – quoted prices are available in active markets for identical investments as of the measurement date. The Fund does not adjust the quoted price for these investments.
The types of investments categorized within Level 1 generally include actively traded domestic and certain foreign equity securities, short-term investments and derivative financial instruments actively traded on recognized exchanges.
Level 2 – quoted prices are available in markets that are not active or model inputs are based on inputs that are either directly or indirectly observable as of the measurement date.
The types of investments categorized within Level 2 generally include certain foreign equities; fixed income securities including corporate and convertible bonds, loans, trade claims, sovereign debt obligations, U.S. Treasury obligations, and asset-backed and mortgage-backed securities; over-the-counter (“OTC”) derivative financial instruments such as total return swaps, interest rate swaps, credit default swaps, OTC options; and forward foreign currency exchange contracts (“Forwards”).
Level 3 – pricing inputs are unobservable and include instances where there is little, if any, market activity for the investment. Inputs reflect the best estimate of what market participants would use in determining fair value of investments as of the measurement date.
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Changes in valuation techniques may result in transfers in or out of an investment’s assigned level within the fair value hierarchy.
Level 3 investments are valued by broker quotes, fair value models, or pricing services that may employ valuation techniques with unobservable inputs. At September 30, 2022, the total fair value of Level 3 investments was $66,950,603. 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.
The significant inputs and assumptions required to determine the change in fair value of the investments of the Fund are discussed in more detail below.
A description of the valuation techniques applied to the Fund’s major categories of investments measured at fair value on a recurring basis are as follows:
Exchange-Traded Securities
Equity securities, including common stock, listed preferred stock, exchange-traded funds, special purpose acquisition companies, and derivative financial instruments, such as futures contracts and option contracts, that are traded on a recognized securities exchange or on the NASDAQ Global Market System (“NASDAQ”) are valued at the last reported sales price (or the official closing price of certain foreign exchanges) or the NASDAQ official closing price, as applicable. For securities traded on more than one exchange, the last reported sales price on the exchange where the security is primarily traded is used. To the extent these securities and derivative financial instruments are actively traded and adjustments are not applied, they are categorized as Level 1 within the fair value hierarchy.
The Fund may use a third-party fair valuation service provider to value foreign equity securities that are primarily traded outside of North America and South America. The third-party fair valuation service provider calculates a factor (“Fair Value Factor”) that is applied to adjust the last price of each such security in the event that there is movement in excess of a specified trigger, as measured by the movement between the prior close and the current close of the U.S. market. Foreign equities for which the last price has been adjusted by such factor will generally be categorized as Level 2 within the fair value hierarchy. As of September 30, 2022, certain foreign equity securities were classified as Level 2 since a Fair Value Factor was applied to the prices of these securities.
Short-Term Investments
The Fund considers short-term, highly liquid investments with original maturities of 90 days or less when acquired to be short-term investments. At September 30, 2022, the Fund did not have any investment in short-term investments.
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.
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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. In determining the value of a particular investment, pricing service providers may use broker-dealer quotations, reported trades, or valuation estimates from their internal pricing models to determine the reported price that consider observable inputs. The pricing service providers’ internal models use observable inputs such as issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar assets. Securities that use similar valuation techniques and inputs as described above are categorized as Level 2 within the fair value hierarchy.
Mortgage-related securities (“MBS”) and asset-backed securities (“ABS”) are usually issued as separate tranches, or classes, of securities within each deal. These securities are also generally valued by pricing service providers that use broker-dealer quotations or valuation estimates from their internal pricing models. The pricing models for these securities usually consider tranche-level attributes, current market data, estimated cash flows and market-based yield spreads for each tranche, and in corporate deal collateral performance, as available. MBS and ABS that use similar valuation techniques and inputs as described above are categorized as Level 2 within the fair value hierarchy.
Investments in Investee Funds
The fair value of investments in unaffiliated hedge funds (collectively, the “Investee Funds”) is generally determined using the reported NAV per share of the Investee Fund, or its equivalent, as a practical expedient for fair value, unless the investment in the Investee Fund is traded on a recognized securities exchange and a quoted price is available as of the measurement date. If the Investee Fund is not traded on an exchange, the Fund may, as a practical expedient, estimate the fair value of an Investee Fund based on the reported NAV per share or its equivalent if the reported NAV per share or its equivalent of the Investee Fund is calculated in a manner consistent with the measurement principles applied to investment companies, in accordance with ASC 946. If the Investee Fund does not provide a reported NAV per share or its equivalent on a Business Day, the Investment Adviser shall estimate fair value in good faith and in a manner consistent with the Valuation Procedures.
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
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Fund may be required generally to rely upon the assignor to demand payment and enforce rights under the loan. If the Fund acquires a participation in the loan, the Fund purchases an indirect interest in a loan held by a third-party and the Fund typically will have a contractual relationship only with the third-party loan investor, not with the borrower. As a result, the Fund may have the right to receive payments of principal, interest, and any fees to which it is entitled only from the loan investor selling the participation and only upon receipt by such loan investor of such payments from the borrower. In such cases, the Fund assumes the credit risk of both the borrower and the loan investor selling the participation, and the Fund may be unable to realize some or all of the value of its interest in the loan in the event of the insolvency of the third-party. Changes in the financial condition of the borrower or economic conditions or other circumstances may reduce the capacity of the borrower to make principal and interest payments on such instruments and may lead to defaults. Certain types of bank debt may have an associated partially funded or unfunded commitment. The unfunded commitments may or may not be funded by the Fund. At September 30, 2022, the Fund had an outstanding commitment of $2,480,675 related to held unfunded loan commitments.
Mortgage-Related and Other Asset-Backed Securities
The Fund may invest in MBS (residential and commercial) and other ABS. These securities include mortgage pass-through securities, collateralized mortgage obligations, commercial mortgage-backed securities, residential mortgage-backed securities, collateralized debt obligations, collateralized loan obligations, and other securities that directly or indirectly represent a participation in, or are secured by and payable from, mortgage loans on real property. MBS and other ABS represent interests in pools of mortgages, loans or other assets. MBS are created from pools of residential or commercial mortgage loans, including loans made by savings and loans institutions, mortgage bankers, commercial banks and others. These securities typically provide a monthly payment that consists of principal and/or interest payments. Interest payments may be determined by fixed or adjustable rates. MBS and ABS are subject to credit, interest rate, valuation liquidity, prepayment and extension risks.
Securities Sold Short
The Fund may sell securities short (a “Short Sale”). A Short Sale is a transaction whereby the Fund sells securities it does not own in anticipation of a decline in the market price of those securities, whereby the Fund’s broker will execute a borrow transaction to deliver the securities resulting from the Fund’s Short Sale. The Fund is obligated to repurchase the securities at the market price at the time of replacement. The Fund’s obligations to replace the securities in connection with a Short Sale are secured by collateral.
Upon entering into a Short Sale, the Fund establishes a liability which is recorded as securities sold short on the Consolidated Statement of Assets and Liabilities to represent securities due under the Short Sale agreement. The Fund is liable to pay any dividends declared and/or interest income earned during the period the Short Sale is open. These dividends and interest are recorded as dividend and interest expense on securities sold short in the Consolidated Statement of Operations.
Commodities
The Fund is permitted to invest in California Carbon Allowances (“CCAs”) or futures on CCAs, which are generally treated as commodity interests. CCA and other allowances (collectively, “Allowances”) are valued according to their vintage based on market price or the number of 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 ICE’s market rules. ICE lists separate CCAs by vintage, (e.g. 2017 Vintage, 2018
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Vintage and 2019 Vintage). The most traded ICE CCA contracts allow delivery of the indicated vintage or an earlier vintage; 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.
Repurchase Agreements
The Fund may invest in repurchase agreements, which are short term investments whereby the Fund acquires ownership of a debt security and the seller agrees to repurchase the security at a future date at a specified price. When entering into repurchase agreements, it is the Fund’s policy that it’s custodian take possession of the underlying collateral securities, the market value of which, at all times, equals at least 102% of the principal amount of the repurchase transaction. To the extent that any repurchase transaction exceeds one Business Day, the value of the collateral is marked-to-market to ensure the adequacy of the collateral. If the seller defaults and the market value of the collateral declines or if bankruptcy proceedings are commenced with respect to the seller of the security, realization of the collateral by the Fund may be delayed or limited. The information required to be disclosed by FASB Accounting Standards Update No. 2011-11 for the Fund’s investments in repurchase agreements at September 30, 2022, including the fair value of the repurchase agreement and the amount of collateral, can be found in the Fund’s Consolidated Statement of Assets and Liabilities.
Reverse Repurchase Agreements
The Fund may enter into reverse repurchase agreements. In a reverse repurchase agreement, the Fund sells a security in exchange for cash to a financial institution, the counterparty, with a simultaneous agreement to repurchase the same or substantially the same security at an agreed upon price and date, under the terms of a Master Repurchase Agreement (“MRA”). The Fund is entitled to receive principal and interest payments, if any, made on the security delivered to the counterparty during the term of the agreement. Cash received in exchange for securities delivered plus accrued interest payments to be made by the Fund to counterparties is reflected as a liability. Reverse repurchase agreements involve the risk that the market value of the securities purchased with the proceeds from the sale of securities received by the Fund may decline below the price of the securities the Fund is obligated to repurchase. Reverse repurchase agreements also involve credit risk with the counterparty to the extent that the value of securities subject to repurchase exceeds the Fund’s liability under the reverse repurchase agreement. Securities subject to repurchase under reverse repurchase agreements, if any, are designated as such in the Consolidated Schedule of Investments. Due to the short term nature of the reverse repurchase agreements, face value approximates fair value. As of September 30, 2022, the Fund did not have any investment in reverse repurchase agreements. The weighted average daily balances of reverse repurchase agreements outstanding for the Fund during the six-months ended September 30, 2022 was approximately $72,004,764, at a weighted average weekly interest rate of 1.03%.
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. At September 30, 2022, the Fund did not have any investment in reverse repurchase agreements.
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
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basis, which is the same basis used for federal income tax purposes. Foreign income and foreign capital gains on some foreign securities may be subject to foreign taxes, which are accrued as applicable.
Allocation of Income and Expenses
The Fund uses the adjusted prior day net assets for each class of shares, adjusted for capital activity, to allocate Fund-level income and expenses and unrealized capital gains and losses pro-rata to each class of shares. Class-specific income and expenses are allocated directly to the applicable class.
Cash
At September 30, 2022, the Fund had $1,537,351,902 in domestic cash and $28,556,360 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 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, 2019, October 31, 2020 and October 31, 2021, 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
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consistent with Rule 19b-1 under the 1940 Act. Dividends and capital gain distributions paid by the Fund will be reinvested in additional Shares (see Note 6) of the Fund or, if elected by the Shareholder, paid in cash.
Segregation and Collateralization
In cases in which the 1940 Act and the interpretive positions of the Securities and Exchange Commission (“SEC”) and its staff require that the Fund either delivers collateral or segregates assets in connection with certain investments (e.g., futures contracts, forwards, swaps and options written), or transactions considered to reflect borrowings (e.g., reverse repurchase agreements), the Fund will, consistent with SEC rules and/or other guidance issued by the SEC, segregate collateral or designate on its books and records cash or liquid securities having a market value at least equal to the amount that would otherwise be required to be physically segregated. Furthermore, based on requirements and agreements with certain exchanges and third party broker-dealers, the Fund engaging in such transactions may have requirements to deliver/deposit securities to/with an exchange or broker-dealer as collateral for certain investments to the extent consistent with the 1940 Act and interpretive positions of the SEC and its staff. The Fund may mitigate counterparty risk by procuring collateral and through netting provisions included within an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) entered into between the Fund and each of its respective counterparties. An ISDA Master Agreement may contain certain provisions regarding, among other things, the parties’ general obligations, representations, agreements, collateral requirements, events of default and early termination. Certain ISDA Master Agreements, or similar agreements, may allow the Fund to offset certain derivative financial instruments with collateral. At September 30, 2022, the Fund used the gross method of presentation in its Consolidated Financial Statements and did not elect to offset amounts eligible for offset under enforceable master netting arrangements or similar agreements (“MNA”). The segregated cash balance with counterparties for OTC derivatives disclosed on the Consolidated Statement of Assets and Liabilities includes amounts for various derivative types which are comingled per the Fund’s ISDA Master Agreements. These amounts are shown gross. The amount of collateral moved to/from applicable counterparties is generally based upon minimum transfer amounts of up to $250,000. Collateral pledged by the Fund is segregated by the Fund’s custodian and identified as such in the Fund’s portfolio. Collateral can be in the form of cash or securities as agreed to by the Fund and the applicable counterparty. Typically, the Fund and counterparties are not permitted to sell, repledge or use the collateral they receive unless explicitly permitted by each respective governing agreement.
The Fund manages counterparty risk by entering into agreements only with counterparties that the Investment Adviser believes to have the financial resources to honor its obligations and by monitoring the financial stability of those counterparties. The agreements entered into by the Fund may contain credit risk related contingent features that may be triggered in certain circumstances to protect either party from a deterioration in creditworthiness of the other. Such circumstances may include a decrease in credit rating or, in the case of the Fund, a decrease in 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.
Securities Lending
The Fund may lend securities, through its agent, to certain qualified financial institutions. The loans are collateralized by cash in an amount at least equal to the market value of the securities loaned. The market value of securities loaned is determined daily and any additional required collateral is allocated to the Fund on the next Business Day. The initial collateral received by the Fund should have a value of at least 102% of the current value of loaned securities for U.S. securities and at least 105% for all other securities. The Fund will bear the risk of loss with respect to the investment of the cash collateral, as well as the possible loss of right to the collateral should the borrower fail financially. The advantage of such loans is that the Fund continues to
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receive income on loaned securities while earning returns on the cash amounts which may be reinvested for the purchase of investments in securities. As of September 30, 2022, there were no securities on loan.
The SLA entered into by the Fund provides the right, in the event of default, for the non-defaulting party to liquidate the collateral and calculate a net exposure to the defaulting party or request additional collateral. Under the agreement, the Fund can reinvest cash collateral.
When-Issued and Delayed-Delivery Transactions
The Fund may engage in when-issued or delayed-delivery transactions. The Fund records when-issued or delayed-delivery securities on the trade date and maintains security positions such that sufficient liquid assets will be available to make payment for the securities purchased. Securities purchased on a when-issued or delayed-delivery basis are marked-to-market daily and begin earning interest on the settlement date. Losses may occur on these transactions due to changes in market conditions or the failure of 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.
Interbank Offered Rates Transition
Certain jurisdictions are currently reforming or phasing out their benchmark interest rates, most notably the London Interbank Offered Rates (“LIBOR”) across multiple currencies. Many such reforms and phase outs became effective at the end of calendar year 2021 with select U.S. dollar LIBOR tenors persisting through June 2023. The Fund has taken steps to prepare for and mitigate the impact of changing base rates and continues to evaluate the impact of prospective changes on existing transactions and contractual arrangements and manage transition efforts.
4. Derivative Financial Instruments
In the normal course of business, the Fund enters into derivative financial instrument contracts for trading and/or economic hedging purposes to increase the returns of the Fund or to protect against exposure to certain risks such as credit risk, equity risk, interest rate risk, foreign currency exchange risk or other risk (e.g., inflation risk). These contracts may be transacted on a recognized exchange or OTC. The following disclosures contain information on how the Fund uses derivative financial instruments. The derivative financial instruments outstanding as of the six months ended are disclosed in the Consolidated Schedule of Investments.
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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.
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.
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Options trading involve certain additional risks. Specific market movements of the option and the instruments underlying the option cannot be predicted. No assurance can be given that a liquid secondary market will exist for any particular option or at any particular time. The Fund might not be able to enter into a closing transaction for the option as a result of an illiquid market for the option. To realize any profit in the case of an option, therefore, the option holder would need to exercise the option and comply with margin requirements for the underlying instrument. A writer could not terminate the obligation until the option expired or the writer was assigned an exercise notice. The purchaser of an option is subject to the risk of losing the entire purchase price of the option. The writer of an option is subject to the risk of loss resulting from the difference between the premium received for the option and the price of the futures contract underlying the option that the writer must purchase or deliver upon exercise of the option. The writer of a naked option may have to purchase the underlying contract in the market for substantially more than the exercise price of the option in order to satisfy his delivery obligations. This could result in a large net loss.
Equity, foreign currency or index options that may be purchased or sold by the Fund may include options not traded on a securities exchange. The risk of nonperformance by the counterparty on such option may be greater and the ability of the Fund to enter into a closing transaction with respect to such option may be less than in the case of an exchange traded option.
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,
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For the Six-Months Ended September 30, 2022 (Unaudited)
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 Swap 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 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 Swaps 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.
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For the Six-Months Ended September 30, 2022 (Unaudited)
The Fund may utilize total return swaps on baskets of securities (“Basket Swaps”) to a significant extent in order to obtain synthetic exposure to investment strategies. For a Basket Swap, the Fund or a Subsidiary makes payments to a counterparty (at either a fixed or variable rate) in exchange for receiving from the counterparty payments that reflect the return of a “basket” of securities, derivatives, and/or commodity interests identified by the Sub-Adviser (or the Investment Adviser). The Fund may also utilize structured notes (“Basket Notes”) in which the Fund or a Subsidiary purchases a note from an issuer in exchange for receiving from the issuer payments that reflect the return of an account through which the Sub-Adviser (or the Investment Adviser) manages a portfolio reflecting a basket of securities, derivatives, and/or commodity interests. The Sub-Adviser (or the Investment Adviser) will select and manage the securities, derivatives, and/or commodity interests underlying the Basket Swap or the Basket Note in a manner consistent with the Fund’s strategies. The Fund’s investment returns on Basket Swaps or Basket Notes generally will correspond to the Fund’s returns had the Sub-Adviser managed the notional equivalent of the Fund’s assets directly (although returns on Basket Swaps or Basket Notes will be reduced by financing charges and trading costs incurred by the Basket Swap counterparty or Basket Note issuer). The Fund may 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 the six months ended are listed at the end of the Fund’s Consolidated Schedule of Investments.
At September 30, 2022, the Fund had the following derivative financial instruments, presented on a gross basis and categorized by risk exposure:
Asset Derivatives | Liability Derivatives | |||||||||||
Consolidated Statement of | Fair Value | Consolidated Statement of | Fair Value | |||||||||
Interest Rate | Centrally cleared swaps, at fair value (c) | 24,955,694 | Centrally cleared swaps, at fair value (c) | (2,341,835 | ) | |||||||
Swap contracts, at fair value (b) | 8,804 | Swap contracts, at fair value (b) | (130,125 | ) | ||||||||
Unrealized appreciation on futures contracts (c) | 7,592,791 | Unrealized depreciation on futures contracts (c) | (9,383,692 | ) | ||||||||
Purchased options, at fair value (b) | 100,643,823 | Options written, at value | (368,284 | ) |
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Asset Derivatives | Liability Derivatives | |||||||||||
Consolidated Statement of | Fair Value | Consolidated Statement of | Fair Value | |||||||||
Equity | Swap contracts, at fair value (b) | 11,208,712 | Swap contracts, at fair value (b) | (24,124,996 | ) | |||||||
Unrealized appreciation on futures contracts (c) | 6,085,285 | Unrealized depreciation on futures contracts (c) | (4,472,659 | ) | ||||||||
Purchased options, at fair value (d) | 20,745,118 | Options written, at value | (7,846,205 | ) | ||||||||
Commodity | Swap contracts, at fair value (b) | — | Swap contracts, at fair value (b) | (137 | ) | |||||||
Unrealized appreciation on futures contracts (c) | 117,332,819 | Unrealized depreciation on futures contracts (c) | (74,043,530 | ) | ||||||||
Purchased options, at fair value (d) | 61,882,924 | Options written, at value | (42,907,198 | ) | ||||||||
Credit | Centrally cleared swaps, at fair value (c) | — | Centrally cleared swaps, at fair value (c) | (1,055,752 | ) | |||||||
Swap contracts, at fair value (b) | 2,694,945 | Swap contracts, at fair value (b) | (6,046,389 | ) | ||||||||
Foreign Exchange | Unrealized appreciation on forward foreign currency exchange contracts | 3,985,923 | Unrealized depreciation on forward foreign currency exchange contracts | (868,236 | ) | |||||||
Unrealized appreciation on futures contracts (c) | 580,265 | Unrealized depreciation on futures contracts (c) | (731,260 | ) | ||||||||
Purchased options, at fair value (d) | 3,898,624 | Options written, at value | — | |||||||||
|
|
|
| |||||||||
Total | $ | 361,615,727 | $ | (174,320,298 | ) | |||||||
|
|
|
| |||||||||
Amounts not subject to MNA(1) | 222,399,180 | (137,942,451 | ) | |||||||||
|
|
|
| |||||||||
Total Gross amounts subject to MNA | $ | 139,216,547 | $ | (36,377,847 | ) | |||||||
|
|
|
|
(1) | See below for disclosure of financial instruments assets and liabilities subject to offset under enforceable MNA. |
The following tables present information about the amount of net realized gain (loss) and net unrealized appreciation (depreciation) on derivative financial instruments for the six-months ended September 30, 2022:
Primary Underlying Risk | Average | Average | Net | Net Change in | ||||||||||||||||
Interest Rate | ||||||||||||||||||||
Swap contracts | — | 178,099,222 | (991 | ) | 16,993,666 | |||||||||||||||
Future contracts | — | 2,545,594,630 | (83,363,648 | ) | (2,295,126 | ) | ||||||||||||||
Purchased options (d) | 1,019,205,781 | (4,010,301 | ) | 858,056 | (7,349,791 | ) | ||||||||||||||
Options written | 584,438,771 | 156,184 | — | 1,692,810 |
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For the Six-Months Ended September 30, 2022 (Unaudited)
Primary Underlying Risk | Average | Average | Net | Net Change in | ||||||||||||||||
Equity | ||||||||||||||||||||
Swap contracts | — | 1,799,180,523 | (105,587,153 | ) | (8,001,402 | ) | ||||||||||||||
Future contracts | — | 171,054,893 | (9,508,131 | ) | 4,241,971 | |||||||||||||||
Purchased options (d) | 5,026,239 | (1,045,179 | ) | (8,686,687 | ) | 7,779,895 | ||||||||||||||
Options written | 932,166 | (248,310 | ) | (3,521,456 | ) | (1,719,203 | ) | |||||||||||||
Commodity | ||||||||||||||||||||
Swap contracts | — | — | — | 980,189 | ||||||||||||||||
Future contracts | — | 1,733,599,411 | (15,329,091 | ) | 46,198,523 | |||||||||||||||
Purchased options (d) | 36,939 | 163,919,107 | 204,095,069 | (152,358,514 | ) | |||||||||||||||
Options written | 24,567 | (146,654,942 | ) | (188,186,182 | ) | 137,995,523 | ||||||||||||||
Credit | ||||||||||||||||||||
Swap contracts | — | 154,087,026 | (12,318,103 | ) | 5,310,325 | |||||||||||||||
Foreign Exchange | ||||||||||||||||||||
Forward foreign currency exchange Contracts | — | 209,861,368 | 9,074,835 | 4,153,257 | ||||||||||||||||
Future contracts | — | 50,020,917 | 841,545 | (374,718 | ) | |||||||||||||||
Purchased options (d) | 3,826,947 | 394,746 | (146,181 | ) | 1,623,595 | |||||||||||||||
Options written | 2,480,575 | 782,499 | 1,705,959 | 151,310 | ||||||||||||||||
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|
|
| |||||||||||||||||
Total | $ | (210,072,159 | ) | $ | 55,022,310 | |||||||||||||||
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|
(a) | Averages are based on monthly activity levels during the six-months ended September 30, 2022. |
(b) | Includes swap contract premiums paid/received and unrealized appreciation/depreciation on swap contracts. |
(c) | Includes unrealized appreciation/depreciation of futures contracts and centrally cleared swaps as reported in the Notes to Consolidated Schedule of Investments. Only the current day’s variation margin is reported in the Consolidated Statement of Assets and Liabilities. |
(d) | Includes purchased options that are part of investments in securities as shown in the Consolidated Statement of Assets and Liabilities and net realized gain on investments in securities and net unrealized appreciation on investments in securities as shown in the Consolidated Statement of Operations. |
Netting Arrangements
The Fund enters into ISDA Master Agreements that contain MNAs that provide for payment netting and, in the case of default or similar event with respect to the counterparty to the MNA, can provide for netting across transactions. Generally, upon counterparty default, the Fund can terminate all transactions under the MNA and set-off amounts it owes across all transactions under a particular MNA and against collateral under such MNA. The Fund may not use derivatives contracts and related collateral governed by an ISDA to offset reverse repurchase agreements and related collateral governed by an MRA or SLA and related collateral governed by an SLA (see Note 3).
The Fund has MNAs, which allows certain derivative financial instruments and collateral with the same counterparty to be offset to minimize counterparty credit exposure. The following table presents information
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For the Six-Months Ended September 30, 2022 (Unaudited)
related to derivative financial instruments and collateral related to securities loaned that are subject to an enforceable MNA and are not offset, as shown in the Consolidated Statement of Assets and Liabilities as of September 30, 2022.
The following table represents the Fund’s derivative financial instrument assets and liabilities by counterparty net of amounts available for offset under an MNA and net of related collateral received/pledged by the Fund as of September 30, 2022:
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) | |||||||||||||||||||||||||
Citibank N.A. | $ | 4,368,961 | $ | (1,094,832 | ) | $ | (3,274,129 | ) | $ | — | $ | — | |||||||||||||
Bank of America International | 505,415 | (505,415 | ) | — | — | — | |||||||||||||||||||
JPMorgan Chase Bank, N.A. | 4,710,092 | (969,072 | ) | — | — | 3,741,020 | |||||||||||||||||||
Deutsche Bank | 505,415 | (505,415 | ) | — | — | — | |||||||||||||||||||
Morgan Stanley & Co. LLC | 63,247,967 | — | — | — | 63,247,967 | ||||||||||||||||||||
Cayman Subsidiary | |||||||||||||||||||||||||
Citibank N.A. | 75,565 | — | (75,565 | ) | — | — | |||||||||||||||||||
Goldman Sachs International | 119,949 | (119,949 | ) | — | — | — | |||||||||||||||||||
Morgan Stanley Capital Services LLC | 3,672,434 | (129,551 | ) | — | — | 3,542,883 | |||||||||||||||||||
Morgan Stanley & Co. LLC | 1,921,222 | — | — | — | 1,921,222 | ||||||||||||||||||||
State Street Bank and Trust Company | 1,836,776 | (845,878 | ) | (849,655 | ) | — | 141,243 | ||||||||||||||||||
Domestic Subsidiary IV | |||||||||||||||||||||||||
Credit Suisse International | 154,208 | (154,208 | ) | — | — | — | |||||||||||||||||||
Goldman Sachs Bank USA | 4,564 | (4,564 | ) | — | — | — | |||||||||||||||||||
Goldman Sachs International | 97,396 | (97,396 | ) | — | — | — | |||||||||||||||||||
J.P. Morgan Securities LLC | 1,369,798 | (410,073 | ) | — | — | 959,725 | |||||||||||||||||||
JPMorgan Chase Bank, N.A. | 4,133,444 | (4,133,444 | ) | — | — | — | |||||||||||||||||||
Morgan Stanley Capital Services LLC | 1,282,424 | (1,282,424 | ) | — | — | — | |||||||||||||||||||
State Street Bank and Trust Company | 2,073,582 | — | — | — | 2,073,582 | ||||||||||||||||||||
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|
|
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|
| ||||||||||||||||
$ | 90,079,212 | $ | (10,252,221 | ) | $ | (4,199,349 | ) | $ | — | $ | 75,627,642 | ||||||||||||||
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For the Six-Months Ended September 30, 2022 (Unaudited)
Gross Amounts Not Offset in the Consolidated Statement of Assets and Liabilities | |||||||||||||||||||||||||
Gross Amount of Liabilities Presented in Consolidated Statement of Assets and Liabilities | Derivative Financial Instruments Available to Offset | Cash Collateral Pledged(5) | Non-Cash Collateral | Net Amount(3) | |||||||||||||||||||||
By Counterparty (1) | |||||||||||||||||||||||||
Citibank N.A. | $ | (1,094,832 | ) | $ | 1,094,832 | $ | — | $ | — | $ | — | ||||||||||||||
Goldman Sachs International | (5,488,007 | ) | 505,415 | 4,982,592 | — | — | |||||||||||||||||||
JPMorgan Chase Bank, N.A. | (969,072 | ) | 969,072 | — | — | — | |||||||||||||||||||
Morgan Stanley Capital Services LLC | (1,001,037 | ) | 505,415 | 495,622 | — | — | |||||||||||||||||||
Cayman Subsidiary | |||||||||||||||||||||||||
Citigroup Global Markets, Inc. | (95,364 | ) | — | — | — | (95,364 | ) | ||||||||||||||||||
Goldman Sachs International | (894,422 | ) | 119,949 | 774,473 | — | — | |||||||||||||||||||
J.P. Morgan Securities LLC | (1,225,848 | ) | — | 1,225,848 | — | — | |||||||||||||||||||
Morgan Stanley Capital Services LLC | (129,551 | ) | 129,551 | — | — | — | |||||||||||||||||||
State Street Bank and Trust Company | (845,878 | ) | 845,878 | — | — | — | |||||||||||||||||||
Domestic Subsidiary IV | |||||||||||||||||||||||||
Credit Suisse International | (1,391,913 | ) | 154,208 | 1,237,705 | — | — | |||||||||||||||||||
Goldman Sachs Bank USA | (211,050 | ) | 4,564 | — | — | (206,486 | ) | ||||||||||||||||||
Goldman Sachs International | (6,086,120 | ) | 97,396 | 5,988,724 | — | — | |||||||||||||||||||
J.P. Morgan Securities LLC | (410,073 | ) | 410,073 | — | — | — | |||||||||||||||||||
JPMorgan Chase Bank, N.A. | (9,984,628 | ) | 4,133,444 | — | — | (5,851,184 | ) | ||||||||||||||||||
Morgan Stanley Capital Services LLC | (6,473,512 | ) | 1,282,424 | 5,191,088 | — | — | |||||||||||||||||||
Morgan Stanley & Co. LLC | (77,501 | ) | — | — | (77,501 | ) | |||||||||||||||||||
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| ||||||||||||||||
$ | (36,378,808 | ) | $ | 10,252,221 | $ | 19,896,052 | $ | — | $ | (6,230,535 | ) | ||||||||||||||
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(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. |
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For the Six-Months Ended September 30, 2022 (Unaudited)
(3) | Net amount represents the net amount payable to the individual counterparty in the event of default. |
(4) | Additional required collateral received from the individual counterparty is not shown for financial reporting purposes. |
(5) | Additional required collateral pledged to the individual counterparty is not shown for financial reporting purposes. |
5. Fair Value Measurements
The following table presents information about the classification of the Fund’s investments measured at fair value within the fair value hierarchy as of September 30, 2022:
Assets: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||
Investments in Securities: |
| |||||||||||||||||||
Common Stock | $ | 895,692,032 | $ | 4,955,393 | $ | 805,897 | $ | 901,453,322 | ||||||||||||
Exchange-Traded Funds | 3,410,091 | 9,906,726 | — | 13,316,817 | ||||||||||||||||
Preferred Stock | — | — | 9,445,978 | 9,445,978 | ||||||||||||||||
Asset-Backed Securities | — | 175,962,818 | — | 175,962,818 | ||||||||||||||||
Convertible Bonds | — | 2,903,591 | — | 2,903,591 | ||||||||||||||||
Bank Debt | — | 96,310,667 | 56,265,185 | 152,575,852 | ||||||||||||||||
Corporate Bonds & Notes | — | 241,894,433 | 125,350 | 242,019,783 | ||||||||||||||||
Sovereign Debt | — | 90,762,144 | — | 90,762,144 | ||||||||||||||||
Mortgage-Backed Securities | — | 1,284,594,660 | — | 1,284,594,660 | ||||||||||||||||
U.S. Government Sponsored Agency Securities | — | 3,830,083 | — | 3,830,083 | ||||||||||||||||
U.S. Treasury Notes | — | 26,613,364 | — | 26,613,364 | ||||||||||||||||
Municipals | — | 231,290 | — | 231,290 | ||||||||||||||||
Warrants | 1,597,242 | 120,767 | 223,379 | 1,941,388 | ||||||||||||||||
Rights | 103,279 | — | 95,958 | 199,237 | ||||||||||||||||
Commodities | — | 366,178,730 | — | 366,178,730 | ||||||||||||||||
Repurchase Agreements | — | 168,761,100 | — | 168,761,100 | ||||||||||||||||
Purchased Options | 61,953,702 | 125,217,748 | — | 187,171,450 | ||||||||||||||||
Subtotal | $ | 962,756,346 | $ | 2,598,243,514 | $ | 66,961,747 | $ | 3,627,961,607 | ||||||||||||
Investments Valued at NAV |
|
|
|
|
|
| 459,491,547 | |||||||||||||
Total Investments in Securities | $ | 962,756,346 | $ | 2,598,243,514 | $ | 66,961,747 | $ | 4,087,453,154 | ||||||||||||
Other Financial Instruments: |
| |||||||||||||||||||
Unfunded Loan Commitment (a) | — | 49,282 | — | 49,282 | ||||||||||||||||
Futures Contracts | 131,591,160 | — | — | 131,591,160 | ||||||||||||||||
Forward Foreign Currency Exchange Contracts | — | 3,985,923 | — | 3,985,923 | ||||||||||||||||
OTC Credit Default Swaps | — | 2,694,945 | — | 2,694,945 | ||||||||||||||||
OTC Total Return Swaps | — | 11,217,516 | — | 11,217,516 | ||||||||||||||||
Centrally Cleared Interest Rate Swaps | — | 24,955,694 | — | 24,955,694 | ||||||||||||||||
Total Assets and Other Financial Instruments | $ | 1,094,347,506 | $ | 2,641,146,874 | $ | 66,961,747 | $ | 4,261,947,674 |
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Liabilities: | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||
Securities Sold Short: |
| |||||||||||||||||||
Common Stock | $ | (437,852,461 | ) | $ | — | $ | (11,144 | ) | $ | (437,863,605 | ) | |||||||||
Corporate Bonds & Notes | — | (37,837,394 | ) | — | (37,837,394 | ) | ||||||||||||||
Exchange-Traded Funds | (21,022,854 | ) | — | — | (21,022,854 | ) | ||||||||||||||
Sovereign Debt | — | (94,465,487 | ) | — | (94,465,487 | ) | ||||||||||||||
Mortgage-Backed Securities | — | (1,253,366,237 | ) | — | (1,253,366,237 | ) | ||||||||||||||
U.S. Treasury Notes | — | (9,401,145 | ) | — | (9,401,145 | ) | ||||||||||||||
Total Securities Sold Short | (458,875,315 | ) | (1,395,070,263 | ) | (11,144 | ) | (1,853,956,722 | ) | ||||||||||||
Other Financial Instruments: |
| |||||||||||||||||||
Options Written | (45,913,723 | ) | (5,207,964 | ) | — | (51,121,687 | ) | |||||||||||||
Futures Contracts | (88,631,141 | ) | — | — | (88,631,141 | ) | ||||||||||||||
Forward Foreign Currency Exchange Contracts | — | (868,236 | ) | — | (868,236 | ) | ||||||||||||||
Centrally Cleared Credit Default Swaps | — | (1,055,752 | ) | — | (1,055,752 | ) | ||||||||||||||
OTC Credit Default Swaps | — | (6,046,389 | ) | — | (6,046,389 | ) | ||||||||||||||
OTC Total Return Swaps | — | (24,255,258 | ) | — | (24,255,258 | ) | ||||||||||||||
Centrally Cleared Interest Rate Swaps | — | (2,341,835 | ) | — | (2,341,835 | ) | ||||||||||||||
Total Liabilities and Other Financial Instruments | $ | (593,420,179 | ) | $ | (1,434,845,697 | ) | $ | (11,144 | ) | $ | (2,028,277,020 | ) |
(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.
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The following table summarizes investments in Investee Funds, by investment strategy, the unfunded commitment of each strategy (if applicable), and the amount of the investment in Investee Fund that cannot be redeemed because of redemption restrictions put in place by the Investee Fund.
Investments in Investee Funds by Strategy | Unfunded $ | Non-Redeemable Investments (A) | Other Restricted Investments (B) | Investments Subject to No Restrictions | Total $ | |||||||||
Amount $ | Redemption Commence- | Amount $ | Redemption Restriction Term | Amount $ | ||||||||||
Event-Driven (1) | 41,453,252 | 2,134,870 | N/A | 57,006,337 | Semi- Annual | — | 59,141,207 | |||||||
Macro Strategies (2) | N/A | N/A | N/A | 102,837,510 | 90 days | — | 102,837,510 | |||||||
Macro Strategies (2) | N/A | N/A | N/A | 174,726,264 | 6 days | — | 174,726,264 | |||||||
Macro Strategies (2) | N/A | N/A | N/A | 74,074,442 | 2 years | — | 74,074,442 | |||||||
Macro Strategies (2) | N/A | N/A | N/A | 22,008,471 | Monthly | — | 22,008,471 | |||||||
Equity Hedge (3) | N/A | N/A | N/A | 26,703,653 | Monthly | — | 26,703,653 |
(1) | 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. |
(2) | The Macro Strategies strategy generally includes Investee Funds with a focus on opportunistic and strategic allocations across asset classes including but not limited to bonds, rates, currencies and commodities. |
(3) | The Equity Hedge strategy generally includes equity-focused Investee Funds with a bottom-up analysis that do not actively trade exposures, with trading strategies focusing on shorter-term dynamics and appreciation for market technicals, top-down thematic/macro views, and technically driven statistical arbitrage with fundamental quantitative long/short strategies. |
(A) Investments in Investee Funds cannot currently be redeemed and the remaining redemption restriction period is not known. The date the redemption restriction commenced is disclosed.
(B) Investments subject to other restrictions include investments in Investee Funds that are subject to a lockup at the measurement date and/or have the ability to limit the individual amount of investor redemptions. The redemption restriction term is based on the restriction period (or range of restriction periods) for Investee Funds as defined in each respective Investee Fund’s governing legal agreement without consideration of the length of time elapsed from the date of investments in Investee Funds. The Fund’s
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investment in a particular Investee Fund classified within the strategies above may be comprised of investments with differing liquidity terms or investments that were made at differing points in time.
The Fund recognizes transfers within the fair value hierarchy as of the beginning of the period. Transfers into and out of Level 3 were primarily related to the availability of broker quotations in accordance with valuation methodology.
The changes in investments measured at fair value for which the Fund used Level 3 inputs to determine fair value are as follows:
Assets: Investments | Common | Preferred | Bank Debt | Corporate | Warrants | Rights | Common | Unfunded | Total | ||||||||||||||||||||||||||||||||||||
Balance as of March 31, 2022 | $ | 805,897 | $ | 9,655,872 | $ | 92,116,920 | $ | 126,440 | $ | 262,811 | $ | — | $ | (11,144 | ) | $ | 71,259 | $ | 103,028,055 | ||||||||||||||||||||||||||
Transfers In | — | — | 13,840,984 | — | — | — | — | — | 13,840,984 | ||||||||||||||||||||||||||||||||||||
Transfers Out | — | — | (44,444,359 | ) | — | — | — | — | — | (44,444,359 | ) | ||||||||||||||||||||||||||||||||||
Purchases | — | — | 3,181,997 | — | — | 102,355 | 12,690 | — | 3,297,042 | ||||||||||||||||||||||||||||||||||||
Sales | (479 | ) | — | (4,499,923 | ) | — | — | — | (6,905 | ) | — | (4,507,307 | ) | ||||||||||||||||||||||||||||||||
Amortization | — | — | 271,515 | — | — | — | — | — | 271,515 | ||||||||||||||||||||||||||||||||||||
Net realized gain (loss) | 479 | — | 702,689 | — | — | — | (1,285 | ) | — | 701,883 | |||||||||||||||||||||||||||||||||||
Net change in unrealized appreciation (depreciation) | — | (209,894 | ) | (4,904,638 | ) | (1,090 | ) | (39,432 | ) | (6,397 | ) | (4,500 | ) | (71,259 | ) | (5,237,210 | ) | ||||||||||||||||||||||||||||
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Balance as of September 30, 2022 | $ | 805,897 | $ | 9,445,978 | $ | 56,265,185 | $ | 125,350 | $ | 223,379 | $ | 95,958 | $ | (11,144 | ) | $ | — | $ | 66,950,603 | ||||||||||||||||||||||||||
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Net change in unrealized appreciation (depreciation) related to investments still held as of September 30, 2022 | $ | — | $ | (209,895 | ) | $ | (4,664,244 | ) | $ | (1,090 | ) | $ | (39,432 | ) | $ | (6,397 | ) | $ | (4,500 | ) | $ | — | $ | (4,925,558 | ) | ||||||||||||||||||||
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The following table summarizes the quantitative inputs and assumptions used for investments classified within Level 3 of the fair value hierarchy as of September 30, 2022.
Assets | Valuation Technique | Unobservable Inputs | Fair Value at | Range of Inputs (Weighted Average) | ||||||||||
Investments in Securities: | ||||||||||||||
Bank Debt | Broker-dealer Quotations | Indicative Bid | $ | 30,390,151 | N/A | |||||||||
Comparable Company Multiples | EBITDA Multiples | 15,251,680 | 9.5 | % (a) | ||||||||||
8,164,555 | 10.0 | % (a) | ||||||||||||
Distribution Analysis | Expected Distribution Proceeds | 2,458,799 | N/A | |||||||||||
Common Stock | Broker-dealer Quotations | Indicative Bid | 794,753 | N/A | ||||||||||
Corporate Bonds & Notes | Broker-dealer Quotations | Indicative Bid | 125,350 | N/A | ||||||||||
Preferred Stock | Broker-dealer Quotations | Indicative Bid | 8,056,659 | N/A | ||||||||||
Comparable Company Multiples | EBITDA Multiples | 1,389,319 | 9.4 | % (a) | ||||||||||
Rights | Broker-dealer Quotations | Indicative Bid | 95,958 | N/A | ||||||||||
Warrants | Distribution Analysis | Expected Distribution Proceeds | 223,379 | N/A | ||||||||||
Broker-dealer Quotations | Indicative Bid | — | N/A | |||||||||||
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Total Investments in Securities | $ | 66,950,603 | ||||||||||||
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(a) | A significant change in unobservable input would have resulted in a correlated significant change to value. |
6. Purchase and Sale of Fund Shares
The Fund currently offers Class D Shares, Class I Shares, Class R Shares and Class Y Shares. During the six-months ended September 30, 2022, 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
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institutional investors and individuals (including through individual retirement accounts) who purchase directly from the Fund. Class Y Shares may also be offered to employees, officers and directors/ trustees of the Investment Adviser, the Fund or their respective affiliates. In addition, Class Y Shares are offered for institutional investors and individuals who are clients of financial intermediaries, broker-dealers, financial institutions, or registered investment advisors that have entered into an arrangement approved by the Distributor and do not charge a fee to the Fund. The minimum investment in Class D Shares by an investor is $10,000, and the minimum subsequent investment in Class D Shares by an investor is $1,000. The minimum investment in Class I Shares by an investor is $100,000, and the minimum subsequent investment in Class I Shares by an investor is $10,000. Class Y Shares have no investment minimum requirements. The Fund’s Class R Shares have no minimum investment requirement and are generally available only to special benefit plans.
Shares of the Fund may be purchased or redeemed at NAV each Business Day.
7. Investment Adviser Fees and Other Transactions with Affiliates
Pursuant to the investment management agreement between the Investment Adviser and the Trust, on behalf of the Fund, the Fund pays the Investment Adviser a management fee (the “Fund Management Fee”) at an annual rate based on the Fund’s average daily net assets, excluding the net assets of the applicable Subsidiaries. The Fund Management Fee accrues daily in arrears and is paid quarterly. The Investment Adviser receives additional compensation at an annual rate based on each Subsidiary’s average daily net assets for providing management services to the Subsidiaries. For collective net assets of the Fund and the respective Subsidiaries up to $2.5 billion, the Fund Management Fee is calculated at a rate of 1.95% (annualized), and for collective net assets greater than or equal to $2.5 billion, the Fund Management Fee is calculated at a rate of 1.80% (annualized). During the six-months ended September 30, 2022, the Fund paid the Investment Adviser $46,675,825 in management fees. From this amount, the Investment Adviser paid $15,528,505 in sub-advisory fees to non-affiliated Sub-Advisers with respect to the Fund, which amounted to 0.62% (annualized) of the Fund’s average daily net assets. The Investment Adviser paid $1,275,798 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 0.05% (annualized) of the Fund’s average daily net assets.
Sub-Advisory Fees
Pursuant to the sub-advisory agreements between the Investment Adviser and the Sub-Advisers, the Sub-Advisers are compensated for the services they provide to the Fund by the Investment Adviser from the Fund Management Fee received by the Investment Adviser.
Distribution and Service Fees
Pursuant to the amended and restated Distribution and Service Plan, the Fund’s Class D Shares bear distribution and service fees at an annual rate of 0.25% of the average daily net assets of the Fund attributable to Class D Shares. Payments of the distribution and service fee may be made without regard to expenses actually incurred. The Distributor may pay all or a portion of the distribution and/or service fee to brokers, dealers, selling agents, other financial institutions, or other industry professionals (collectively, “intermediaries”) for distribution services, sales support services, personal services, and/or the maintenance of shareholder account services provided and related expenses incurred by such intermediaries. The Fund’s Class I Shares, Class Y Shares and Class R Shares are not subject to distribution and service fees.
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Expense Limitation and Reimbursement
The Investment Adviser has entered into an Expense Limitation and Reimbursement Agreement with the Fund to limit the amount of Specified Expenses (as defined below) of the Fund to 2.40% per annum of the Fund’s net assets for Class D Shares, Class I Shares and Class Y Shares and 2.55% per annum of the Fund’s net assets for Class R Shares (collectively, the “Total Expense Cap”) (computed and applied on a monthly basis). Specified Expenses include all expenses incurred by the Fund with the exception of (i) distribution or servicing fees, (ii) acquired fund fees and expenses, (iii) brokerage and trading costs, (iv) interest payments (including any interest expenses, commitment fees, or other expenses related to any line of credit of the Fund), (v) taxes, (vi) dividends and interest on short positions, and (vii) extraordinary expenses (in each case as determined in the sole discretion of BAIA).
To the extent the estimated annualized Specified Expenses for any month exceed the Total Expense Cap, the Investment Adviser will waive its fees and/or reimburse the Fund for expenses to the extent necessary to eliminate such excess. The Investment Adviser may discontinue its obligations under the Expense Limitation and Reimbursement Agreement at any time in its sole discretion after August 31, 2023 upon written notice to the Fund. This arrangement cannot be terminated prior to August 31, 2023, without the Board’s consent. The Fund has agreed to repay the amounts borne by the Investment Adviser under the Expense Limitation and Reimbursement Agreement within the thirty-six month period after the Investment Adviser bears the expense, to the extent the estimated annualized Specified Expenses for a given month are less than the lower of the Total Expense Cap or any expense limitation agreement then in effect with respect to the Fund. The repayment may not raise the level of estimated annualized Specified Expenses in the month of repayment to exceed the Total Expense Cap or any other expense limitation agreement then in effect. During the six-months ended September 30, 2022, there were no repayments or potential repayments to the Investment Adviser.
Related Party Transactions
Blackstone Holdings Finance Co. L.L.C. (“FINCO”), an affiliate of the Fund, pays certain expenses on behalf of the Fund. The Fund reimburses FINCO for such expenses paid on behalf of the Fund. FINCO does not charge any fees for providing such administrative services. At six-months ended September 30, 2022, the Fund has an amount payable to FINCO of $1,981,576
The Investment Adviser utilizes technology offered by Arcesium LLC (“Arcesium”) to provide certain middle- and back-office services to the Fund, and the Fund bears the costs for such services. The parent company of a Sub-Adviser owns a controlling, majority interest in Arcesium and the Investment Adviser owns a non-controlling, minority interest in Arcesium.
8. Other Agreements
State Street Bank and Trust Company serves as the administrator, custodian and transfer agent to the Fund. U.S. Bank National Association (“U.S. Bank”) serves as custodian for certain of the Fund’s securities, commodities, cash, and other property. Blackstone Securities Partners L.P., an affiliate of the Investment Adviser, serves as the Fund’s distributor.
9. Principal Investment Risks
The investment program of the Fund entails substantial risks and includes alternative investment and trading strategies not employed by traditional mutual funds. An investor may lose part or all of your investment and/ or your investment may not perform as well as other similar investments. An investment in the Fund should
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be viewed only as part of an overall investment program. No assurance can be given that the Fund’s investment program will be successful. The following is a summary description of some, but not all, of the principal risks of investing in the Fund, including the indirect risks associated with the Fund’s investments in the Subsidiaries and Investee Funds. Any decision to invest in the Fund should be made after a review of the full set of principal risks in the Fund’s prospectus and should take into account that the Fund may make virtually any kind of investment, and be subject to related risks, which can be substantial. The relative significance of the principal risks identified below, at any given time, will vary depending on the specific composition of the Fund’s investment portfolio from time to time and the allocation of the Fund’s assets among the various investment strategies, which may change frequently and/or significantly over time. As applicable, references in these Risks to the “Fund” mean any one or more of the Fund, Subsidiaries, and Investments in Investee Funds, and references to a “Manager” mean any one or more of the Investment Adviser, Sub-Advisers, and advisers to the Investee Funds.
Market Risk and Selection Risk. The Fund is subject to market risk and selection risk. Market risk is the risk that one or more markets in which the Fund invests will decline in value, including the possibility that the markets will decline sharply and unpredictably. While a Manager may make efforts to control the risks associated with market changes, and may attempt to identify changes as they occur, market environment changes can be sudden and extreme. Significant shocks to or disruptions of the financial markets, including those caused by epidemics and pandemics, economic, natural, and man-made disasters, government action, war, or significant geopolitical events, could adversely affect the liquidity and volatility of securities held by the Fund. Market environment changes may adversely affect the performance of a model and amplify losses. Selection risk is the risk that the securities held by the Fund will underperform the markets, the relevant indices, or the securities selected by other funds with similar investment objectives and investment strategies.
Counterparty Credit Risk. The stability and liquidity of many derivative and securities lending transactions depend in large part on the creditworthiness of the parties to the transactions. If a counterparty to such a transaction defaults, exercising contractual rights may involve delays or costs for the Fund. Furthermore, there is a risk that a counterparty could become the subject of insolvency proceedings, and that the recovery of securities and other assets from such counterparty will be delayed or be of a value less than the value of the securities or assets originally entrusted to such counterparty. At times, including when the Fund has entered into a Basket Swap, the Fund will have significant exposure to a single counterparty.
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 Investee Funds are sometimes illiquid and some Investee 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.
Equity Securities Risk. Common and preferred stocks represent equity ownership in a company. Stock markets are volatile. The prices of equity securities will fluctuate and can decline and reduce the value of a portfolio investing in equities. The value of equity securities purchased by the Fund could decline if the financial condition of the companies the Fund invests in decline or if overall market and economic conditions deteriorate. They may also decline due to factors that affect a particular industry or industries, such as labor shortages or an increase in production costs and competitive conditions within an industry. In addition, they may decline due to general market conditions that are not specifically related to a company or industry, such as real or perceived adverse economic conditions, changes in the general outlook for corporate earnings, changes in interest or currency rates or generally adverse investor sentiment.
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. The Fund invests in derivatives for hedging
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and non-hedging purposes. Derivatives can be volatile and illiquid, are subject to counterparty credit risk, and may create investment exposure greater than the initial investment.
Structured Products Risk. Holders of structured products bear risks of the underlying investments, index, or reference obligation and are subject to counterparty credit, valuation, and liquidity risks. The Fund may have the right to receive payments only from the structured product, and generally does not have direct rights against the issuer or the entity that sold the assets to be securitized. Certain structured products may be thinly traded or have a limited trading market. In addition to the general risks associated with debt securities discussed herein, structured products carry additional risks, including, but not limited to: the possibility that distributions from collateral securities will not be adequate to make interest or other payments; the quality of the reference securities may decline in value or default; the possibility that changes in the reference instrument will reduce the interest rate and principal amount payable on maturity; and the possibility that the position is subordinate to other classes. Structured notes are based upon the movement of one or more factors, including currency exchange rates, interest rates, referenced bonds and stock indices, and changes in interest rates and impact of these factors may cause significant price fluctuations. Additionally, changes in the reference instrument or security may cause the interest rate on the structured note to be reduced to zero. Structured products may be less liquid than other types of securities and more volatile than the reference instrument.
Inflation Risk. Inflation risk is the risk that the value of assets or income from investments will be less in the future as inflation decreases the value of money. 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. This risk may be elevated compared to historical market conditions because of recent monetary policy measures and the current interest rate environment.
Risks Specific to Investments in Investee Funds. In addition to risks relating to their direct investments, Investee Funds often involve additional special risks not present in direct investments. Investors in the Fund bear two layers of fees and expenses at both the Fund level and the Investee Fund level. The Fund’s investments in Investee Funds are priced, in the absence of readily available market values, based on estimates of fair value, which may prove to be inaccurate; these valuations are used to calculate fees payable to the Investment Adviser and the net asset value of the Fund’s shares. The Investment Adviser is also dependent on information, including performance information, provided by the Investee Funds, which if inaccurate could adversely affect the Investment Adviser’s ability to accurately value the Fund’s shares. Some Investee Funds are not registered as investment companies under the 1940 Act, and therefore, the Fund is not able to avail itself of the protections of the 1940 Act with respect to such investments. Certain Investee Funds, including unaffiliated hedge funds and UCITS funds, are also subject to transfer or redemption restrictions that impair the liquidity of these investments, and some Investee Funds may suspend the withdrawal rights of their shareholders, including the Fund, from time to time. Incentive fees charged by advisors of Investee Funds also may create incentives for such advisors to make investments that are riskier or more speculative than in the absence of these fees. To the extent an Investee Fund invests in a special situation investment (an investment in securities or other instruments that an Investee Fund determines to be illiquid or lacking a readily ascertainable fair value and which the Investee Fund designates as a special situation investment), the Fund’s ownership interest with respect to such special situation investment generally may not be withdrawn until the special situation investment, or a portion thereof, is realized or deemed realized. The Fund also may purchase non-voting securities of, or to contractually forego the right to vote in respect of, Investee Funds in order to prevent the Fund from becoming an “affiliated person” of the Investee Fund for purposes of the 1940 Act and becoming subject to the prohibitions on transactions with affiliated persons contained in the 1940 Act. Consequently, the Fund will not be able to vote to the full extent of its economic interest on matters that require approval of investors in each Investee Fund, including matters that could adversely affect the Fund’s investment.
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10. Investment Transactions
The aggregate cost of purchases and proceeds of sales of investments in securities (excluding short-term debt securities with maturities at the time of acquisition of one year or less (if applicable)), for the six-months ended September 30, 2022 were as follows:
Purchases | Sales | |||||
Long-Term | U.S Government | Long-Term | U.S Government | |||
$1,714,436,792 | $6,810,365,585 | $1,085,326,036 | $6,746,343,346 |
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, 2021. 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.
As of September 30, 2022, 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) | |||
$2,486,354,057 | $456,232,524 | $(691,160,354) | $(234,927,830) |
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Notes to Consolidated Financial Statements (Continued)
For the Six-Months Ended September 30, 2022 (Unaudited)
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. As of March 31, 2022, outstanding borrowings bear interest at a rate equal to 0.10%, plus the applicable margin of 1.25%, plus the One-Month USD LIBOR Rate per annum (0.45% at March 31, 2022). Effective April 7, 2022, the Fund has amended its credit agreement such that outstanding borrowings will bear interest at a rate equal to the sum of 0.10%, plus the applicable margin plus the Overnight Bank Funding Rate for such day. 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 6, 2023, the termination date of the Facility at which time the Fund and the Bank can agree to extend the existing agreement. For the six-months ended September 30, 2022, the Fund made no borrowings under the Facility.
13. Subsequent Events
The Investment Adviser has evaluated the impact of subsequent events through the date of financial statement issuance and determined there were no subsequent events outside the normal course of business requiring adjustment to or disclosure in the Consolidated Financial Statements.
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Shareholder Fee Example (Unaudited)
As a shareholder of the Fund, you incur ongoing costs, including management fees and to the extent applicable, distribution (12b-1) fees and/or shareholder services fees and other Fund expenses. This Example is intended to help you to understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
Actual Expenses
The actual expense example is based on an investment of $1,000 invested at the beginning of a six month period and held through the six months-ended September 30, 2022. The first line in the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The hypothetical expense example is based on an investment of $1,000 invested at the beginning of a six month period. The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the actual return of the Fund. The hypothetical amount account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads) or redemption/exchange fees. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Beginning Account Value 4/1/2022 | Ending Account Value 9/30/2022 | Expenses Paid During Period1 | Annualized Expense Ratio | |||||||||||||||||
Class I |
| |||||||||||||||||||
Actual | $1,000.00 | $943.70 | $11.35 | 2.33% | ||||||||||||||||
Hypothetical (assuming a 5% return before expenses) | $1,000.00 | $1,013.39 | $11.76 | 2.33% | ||||||||||||||||
Class D |
| |||||||||||||||||||
Actual | $1,000.00 | $942.70 | $12.66 | 2.60% | ||||||||||||||||
Hypothetical (assuming a 5% return before expenses) | $1,000.00 | $1,012.03 | $13.11 | 2.60% | ||||||||||||||||
Class Y |
| |||||||||||||||||||
Actual | $1,000.00 | $945.20 | $11.02 | 2.26% | ||||||||||||||||
Hypothetical (assuming a 5% return before expenses) | $1,000.00 | $1,013.74 | $11.41 | 2.26% |
1 | Expenses are calculated using the annualized expense ratio, multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half-year period). |
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September 30, 2022 (Unaudited)
Management of the Fund
The Fund’s operations are managed by the Investment Adviser and the Sub-Advisers (defined below), under the direction and oversight of the Board. A majority of the Trustees are not “interested persons” (as defined in the 1940 Act) of the Fund or the Investment Adviser (the “Independent Trustees”). The Trustees and the officers (“Officers”) of the Fund are subject to removal or replacement in accordance with Massachusetts law and the Trust’s Amended and Restated Declaration of Trust. All Trustees were elected by the initial shareholder of the Trust, except for Mr. Gilbert who was appointed to serve as Trustee by the Board.
Sub-Advisers
During the six month 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:
• | Aperture Investors, LLC |
• | Bayforest Capital Limited |
• | Bayview Asset Management, LLC |
• | Blackstone Liquid Credit Strategies LLC |
• | Blackstone Real Estate Special Situations Advisors L.L.C. |
• | Caspian Capital LP |
• | Clear Sky Advisers, LLC |
• | D.E. Shaw Investment Management, L.L.C. |
• | Emso Asset Management Limited |
• | Endeavour Capital Advisors Inc. |
• | HealthCor Management, L.P. |
• | Jasper Capital Hong Kong Limited |
• | Magnetar Asset Management LLC |
• | Mariner Investment Group, LLC |
• | Mesarete Capital LLP |
• | Nephila Capital Ltd. |
• | Sage Rock Capital Management LP |
• | Seiga Asset Management Limited |
• | TrailStone Commodity Trading US, LLC |
• | Two Sigma Advisers, LP |
• | Waterfall Asset Management, LLC |
Compensation for Trustees and Officers
Each of the Independent Trustees is paid by the Fund Complex (as defined below) at a rate of $150,000 per fiscal year in the aggregate for his or her services to the Fund and the Subsidiaries. Mr. Brown was treated as an Independent Trustee until July 20, 2022, after which he was treated as an “interested person” (as defined in the 1940 Act) of the Fund (an “Interested Trustee”) due to a family member’s relationship with a Sub-Adviser. For his service to the Fund as Interested Trustee, Mr. Brown was 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).
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Supplemental Information (Continued)
September 30, 2022 (Unaudited)
The Chairpersons of the Board and the Audit Committee are paid by the Fund Complex an additional $35,000 and $15,000, respectively, per fiscal year. These payments are allocated to the Fund and the Subsidiaries on the basis of assets under management. The Fund and the Subsidiaries pay for the Trustees’ travel expenses related to Board of Trustees meetings. The Trustees do not receive any pension or retirement benefits from the Fund Complex. The Trust has adopted a deferred compensation plan (the “Deferred Compensation Plan”) to allow each Independent Trustee to align his or her interest with the Fund and the Fund’s shareholders without purchasing shares of the Fund. Certain of the Independent Trustees currently participate in the Deferred Compensation Plan. Under the Deferred Compensation Plan, each participating Independent Trustee defers receipt of all or part of the compensation payable for such Trustee’s services and thereby shares in the experience alongside the Fund’s shareholders as the compensation deferred increases or decreases depending on the investment performance of the Fund. Deferred amounts remain in the Fund until distributed in accordance with the provisions of the Trust’s Deferred Compensation Plan. Pursuant to the Deferred Compensation Plan, payments due under the Deferred Compensation Plan are unsecured obligations of the Trust.
In addition, the Fund Complex also paid for a portion of the compensation of the Fund’s former Chief Compliance Officer, Kevin Michel, and the Fund’s current Chief Compliance Officer, William Renahan (Mr. Renahan succeeded Mr. Michel as Chief Compliance Officer effective August 5, 2022), during the six months ended September 30, 2022. No other officers of the Fund received compensation from the Fund Complex during the period. The following tables set forth information regarding the total compensation payable by the Fund and the Fund Complex, during the six months ended September 30, 2022, to the persons who served as Trustees and Officers of the Fund during the period:
Independent Trustees:
Name of Independent Trustee | Aggregate Compensation From the Fund | Total Compensation From the Fund Complex1 | ||||||||
Frank J. Coates | $ | 75,000 | $ | 75,000 | ||||||
Peter M. Gilbert | $ | 75,000 | $ | 75,000 | ||||||
Paul J. Lawler | $ | 75,000 | $ | 75,000 | ||||||
Kristen M. Leopold | $ | 82,500 | $ | 82,500 |
Interested Trustees:
Name of Interested Trustee | Aggregate Compensation From the Fund | Total Compensation From the Fund Complex1 | ||||||||
John M. Brown2 | $ | 89,000 | $ | 89,000 | ||||||
Peter Koffler | None | None |
Officers:
Compensated Officer | Aggregate Compensation From the Fund | Total Compensation From the Fund Complex1 | ||||||||
Chief Compliance Officer | $ | 92,500 | $ | 92,500 |
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Supplemental Information (Continued)
September 30, 2022 (Unaudited)
1 | These amounts represent the aggregate compensation paid to the chief compliance officer by the Fund and the aggregate compensation for the services of each Trustee to each fund in the Fund Complex for which each Trustee serves as trustee. For the purpose of this table, the “Fund Complex” consists of the Fund, the Subsidiaries, Blackstone Floating Rate Enhanced Income Fund, Blackstone Long-Short Credit Income Fund, Blackstone Private Credit Fund, Blackstone Secured Lending Fund, Blackstone Senior Floating Rate Term Fund, Blackstone Strategic Credit Fund, and SPDR Blackstone High Income ETF, SPDR Blackstone Senior Loan ETF. Other than the Fund and the Subsidiaries, no funds in the Fund Complex pay compensation to the Trustees or Officers of the Fund. Certain of the Independent Trustees have elected to defer all or part of their total compensation for the six months ended September 30, 2022, under the Trust’s Deferred Compensation Plan. Amounts deferred for the six months ended September 30, 2022 by Mssrs. Gilbert and Lawler and by Ms. Leopold were $75,000, $75,000, and $27,498, respectively. |
2 | Mr. Brown was treated as an Independent Trustee from his appointment as Trustee in March 2013 through July 20, 2022. |
Form N-PORT Filings
The Fund files a complete schedule of its portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The Fund’s Form N-PORT reports are available on the SEC’s website at http://www.sec.gov. 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 most recent 12-month period ended June 30 is available (1) without charge, upon request, by calling toll free, 1-855-890-7725 and (2) on the SEC’s website at http://www.sec.gov.
Board Approval of the Sub-Advisory Agreements
At meetings of the Board held virtually on May 24-25, 2022 and in person on August 4, 2022, 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 (“Amended Sub-Advisory Agreements”); and (iii) certain new investment sub-advisory agreements (“New Sub-Advisory Agreements” and together with the Amended Sub-Advisory Agreements and Continued Sub-Advisory Agreements, the “Sub-Advisory Agreements”) between BAIA and each of the following sub-advisers (the “Approved Sub-Advisers”):
Continued Sub-Advisory Agreements (approved at May meeting)
• | Bayforest Capital Limited |
• | Caspian Capital LP |
• | Magnetar Asset Management LLC (“Magnetar”) (also amended and restated) |
• | D.E. Shaw Investment Management, L.L.C. |
• | Two Sigma Advisers, LP |
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Supplemental Information (Continued)
September 30, 2022 (Unaudited)
Amended Sub-Advisory Agreements (approved at May meeting)
• | Clear Sky Advisers, LLC (“Clear Sky”) |
• | Magnetar (also continued) |
Continued Sub-Advisory Agreement (approved at August meeting)
• | Bayview Asset Management, LLC |
• | Emso Asset Management Limited |
• | Nephila Capital Ltd. |
• | TrailStone Commodity Trading US, LLC |
Amended Sub-Advisory Agreements (approved at August meeting)
• | Mesarete Capital LLP (“Mesarete”) |
• | Mariner Investment Group, LLC (“Mariner”) |
New Sub-Advisory Agreements (approved at August meeting)
• | Magnetar (a new sub-advisory agreement for an existing Sub-Adviser) |
The Board held its May 2022 meeting 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 voting requirements of Section 15(c) of the 1940 Act and in compliance with the conditions therein. The Board noted that BAIA and the Fund additionally relied on an exemptive order from the SEC that permits the Fund to hire, and make material amendments to sub-advisory agreements with, discretionary or non-discretionary sub-advisers without a shareholder vote, provided that the Board, including a majority of Independent Trustees, approves the new sub-advisers and material amendments, and certain other conditions are met. The Independent Trustees were assisted in their review of the applicable sub-advisory arrangements by their independent legal counsel, and before the meetings, the Board received materials prepared by the Independent Trustees’ independent legal counsel regarding the relevant factors to consider in connection with the approval of the Sub-Advisory Agreements between BAIA and each of the Approved Sub-Advisers. The Board requested and evaluated all the information it deemed reasonably necessary under the circumstances in connection with the approval of the Sub-Advisory Agreements. Prior to the meetings, the Board had requested and received materials prepared by BAIA relating to each Approved Sub-Adviser.
The information the Board received in connection with the consideration of the Sub-Advisory Agreement for each of the Approved Sub-Advisers considered at the May meeting (other than in connection with the Amended Sub-Advisory Agreement for Clear Sky) and the August meeting (other than in connection with the Amended Sub-Advisory Agreement for Mariner) 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, trade execution and allocation, liquidity monitoring, and compliance; and a summary of the key terms of the applicable Sub-Advisory Agreement; |
(2) | a sub-adviser “tear sheet,” which covered in greater detail the performance, returns, and investment exposure of each Approved Sub-Adviser that had, presently or in the past, been allocated Fund assets, including Magnetar (the “Existing Approved Sub-Advisers”); and |
(3) | a completed sub-adviser 15(c) questionnaire, which provided each Approved Sub-Adviser’s responses to the Independent Trustees’ request for information. |
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Supplemental Information (Continued)
September 30, 2022 (Unaudited)
With respect to the Amended Sub-Advisory Agreements approved in May 2022 for ClearSky and Magnetar, and in August 2022 for Mesarete and Mariner, the Board reviewed the proposed amendments to each Sub-Advisory Agreement. With respect to Clear Sky, Mesarate, and Mariner, the Board considered the Amended Sub-Advisory Agreements in light of the information provided in connection with the Board’s most recent approval of the Approved Sub-Adviser’s prior sub-advisory agreements, which occurred at the Board’s meeting on November 16-17, 2021 for Clear Sky, on August 10-11, 2021 for Mesarete, and on February 15, 2022 for Mariner. With respect to the Amended Sub-Advisory Agreement for Magnetar approved in May 2022, the Board considered the amendments in light of the information provided in connection with the Board’s consideration of the continuance of the Sub-Advisory Agreement for Magnetar at the same meeting. In approving the New Sub-Advisory Agreement for Magnetar in August 2022, the Board also received the compliance policies and procedures and codes of ethics of Magnetar.
At the meetings, the Board and BAIA discussed the materials that had been provided to the Board, the terms of the Sub-Advisory Agreements, and other relevant considerations. Additionally, the Board (and separately, the Independent Trustees) conferred with the Independent Trustees’ independent legal counsel to consider the information provided. In evaluating each Sub-Advisory Agreement, the Board took into account the fact that the compensation paid to the Approved Sub-Advisers would be paid by BAIA from the Fund Management Fee it receives from the Fund and would not increase the fees or expenses otherwise incurred by the Fund or its shareholders.
Following this discussion, the Board, including a majority of the Independent Trustees, determined to approve each Continued Sub-Advisory Agreement, each Amended Sub-Advisory Agreement, and 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, including Magnetar (either at the relevant meeting or, in case of the Amended Sub-Advisory Agreements for Clear Sky and Mariner, 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; |
(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. |
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Supplemental Information (Continued)
September 30, 2022 (Unaudited)
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 Existing Approved Sub-Adviser, including, in the case of the New Sub-Advisory Agreement for Magnetar approved in August 2022, the investment performance of Magnetar as a sub-adviser to the Fund. With respect to each Existing Approved Sub-Adviser, the Board considered information about the performance record of the Fund’s assets managed by the Approved Sub-Adviser (net of trading expenses but gross of investment management fees and Fund operating expenses over various periods, including in many cases the year-to-date period, recent calendar month and year periods, and the inception-to-date period), all as compared to the investment returns of (i) a custom index defined by BAIA and (ii) in the case of certain Approved Sub-Advisers, the Approved Sub-Adviser’s hedge fund strategy. In addition, for the Existing Approved Sub-Advisers and Magnetar, the Board considered information about performance and risk measurements of the assets that are or were managed by the Approved Sub-Adviser, if any (including with respect to Magnetar, performance and risk measurements of the assets previously managed by Magnetar), 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.
Costs of Services and Profitability
In analyzing the cost of services and profitability of each Approved Sub-Adviser, the Board considered (i) each Approved Sub-Adviser’s current or proposed sub-advisory fee for managing the allocated Fund assets, including any fee breakpoints or fulcrum fee arrangements; (ii) each Approved Sub-Adviser’s resources devoted or expected to be devoted to the Fund; and (iii) any information provided in response to inquiries regarding the profitability to each Approved Sub-Adviser from providing sub-advisory services to the Fund. The Board considered the specific resources that each Approved Sub-Adviser devoted or expected to devote to the Fund for investment analysis, risk management, compliance, and order execution, and the extent to which each Approved Sub-Adviser’s investment process is or would be scalable. The Board also took into account the entrepreneurial, business, and other risks each Approved Sub-Adviser has undertaken, or would undertake, in serving as a sub-adviser.
The Board noted that the compensation paid to each Approved Sub-Adviser was paid by BAIA, not the Fund, and, accordingly, that the retention of each Approved Sub-Adviser did not increase the fees or expenses otherwise incurred by shareholders of the Fund. It also noted that the terms of each Sub-Advisory Agreement were the result of separate arm’s-length negotiations between BAIA and the Approved Sub-Adviser. The Board considered information comparing the sub-advisory fees to the fees that each Approved Sub-Adviser charges for providing investment advisory services to certain other clients. The Board also considered information regarding the impact that retaining the Approved Sub-Advisers as sub-advisers to the Fund has or would have on BAIA’s profitability, as well as information about the blended average of all sub-advisory fee rates that BAIA pays the Approved Sub-Advisers based on allocations of Fund assets among all the Sub-Advisers.
The Board concluded that the level of investment sub-advisory fees was appropriate in light of the services to be provided.
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Supplemental Information (Continued)
September 30, 2022 (Unaudited)
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 challenges in identifying and measuring economies of scale, both generally and given the Fund’s multi-manager structure and the different sub-adviser fee levels and fee structures. 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 serving as a sub-adviser to 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. The Board also gave due consideration to the recommendation of BAIA that the Sub-Advisory Agreements be approved as in the best interests of the Fund and its shareholders and to BAIA’s belief that the Sub-Advisory Agreements do not present any conflict of interest from which BAIA or any Approved Sub-Adviser derives an inappropriate advantage. 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 Magnetar) to the Fund and in light of the other factors described above that the Board deemed relevant. With respect to the New Sub-Advisory Agreements, the Board also concluded that the proposed terms were in the best interests of the Fund’s shareholders, that the applicable sub-adviser could provide services the nature and quality of which are at least equal to those provided by others offering the same or similar services, and that the engagement of Magnetar was in the best interest of the Fund and its shareholders and did not involve a conflict of interest from which the Investment Adviser or any sub-adviser affiliated with the Investment Adviser derives an inappropriate advantage. The Board noted that both BAIA and the Board had previously determined, or determined at the meetings, that each Approved Sub-Adviser’s compliance program was reasonably designed
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Supplemental Information (Continued)
September 30, 2022 (Unaudited)
to prevent the violation of federal securities laws within the meaning of Rule 38a-1 under the 1940 Act and that each Approved Sub-Adviser’s code of ethics was reasonably designed to prevent “access persons” (as defined in Rule 17j-1 under the 1940 Act) from engaging in any act, practice, or course of business prohibited by Rule 17j-1 under the 1940 Act. The Board based its approval or continuation of each Approved Sub-Adviser’s Sub-Advisory Agreement on a comprehensive consideration of all relevant information presented to the Board at its meetings throughout the year, as applicable, and not on any single controlling factor. The Board was assisted by the advice of independent legal counsel in approving each Sub-Advisory Agreement.
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 November 2022
FACTS | WHAT DO BLACKSTONE REGISTERED FUNDS DO WITH YOUR PERSONAL INFORMATION? |
Why? | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. |
What? | The types of personal information we collect and share depend on the product or service you have with us. This information can include:
∎ Social Security number and income
∎ Assets and investment experience
∎ Risk tolerance and transaction history |
How? | All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons Blackstone Registered Funds (as defined below) choose to share; and whether you can limit this sharing. |
Reasons we can share your personal information | Do Blackstone share? | Can you limit this sharing? | ||
For our everyday business purposes— such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus | Yes | No | ||
For our marketing purposes— to offer our products and services to you | Yes | No | ||
For joint marketing with other financial companies | No | We don’t share | ||
For our affiliates’ everyday business purposes— information about your transactions and experiences | No | We don’t share | ||
For our affiliates’ everyday business purposes— information about your creditworthiness | No | We don’t share | ||
For our affiliates to market to you | No | We don’t share | ||
For nonaffiliates to market to you | No | We don’t share |
Questions? | Email us at GLB.privacy@blackstone.com |
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Who We Are | ||
Who is providing this notice? | Blackstone Registered Funds include Blackstone Alternative Investment Funds, on behalf of its series Blackstone Alternative Multi-Strategy Fund, Blackstone Diversified Multi- Strategy Fund, a sub-fund of Blackstone Alternative Investment Funds plc, Blackstone Floating Rate Enhanced Income Fund, Blackstone Long-Short Credit Income Fund, Blackstone Private Credit Fund, Blackstone Secured Lending Fund, Blackstone Senior Floating Rate Term Fund, Blackstone Strategic Credit Fund, and SPDR Blackstone High Income ETF, SPDR Blackstone Senior Loan ETF. | |
What We Do | ||
How do Blackstone Registered Funds protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. | |
How do Blackstone Registered Funds collect my personal information? | We collect your personal information, for example, when you:
∎ open an account or give us your income information
∎ provide employment information or give us your contact information
∎ tell us about your investment or retirement portfolio
We also collect your personal information from others, such as credit bureaus, affiliates, or other companies. | |
Why can’t I limit all sharing? | Federal law gives you the right to limit only:
∎ sharing for affiliates’ everyday business purposes—information about your creditworthiness
∎ affiliates from using your information to market to you sharing for nonaffiliates to market to you
State laws and individual companies may give you additional rights to limit sharing. See below for more on your rights under state law. | |
What happens when I limit sharing for an account I hold jointly with someone else? | Your choices will apply to everyone on your account—unless you tell us otherwise. | |
Definitions | ||
Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies.
∎ Our affiliates include companies with a Blackstone name and financial companies such as Blackstone Credit and Strategic Partners Fund Solutions. | |
Nonaffiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies.
∎ Blackstone Registered Funds do not share with nonaffiliates so they can market to you. | |
Joint marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you.
∎ Our joint marketing partners include financial services companies. |
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Other Important Information | ||
California Residents—In accordance with California law, we will not share information we collect about California residents with nonaffiliates except as permitted by law, such as with the consent of the customer or to service the customer’s accounts. We will also limit the sharing of information about you with our affiliates to the extent required by applicable California law. Vermont Residents—In accordance with Vermont law, we will not share information we collect about Vermont residents with nonaffiliates except as permitted by law, such as with the consent of the customer or to service the customer’s accounts. We will not share creditworthiness information about Vermont residents among Blackstone Registered Funds’ affiliates except with the authorization or consent of the Vermont resident. | ||
Contact Us | ||
If you have any questions or comments about this Privacy Notice, or if you would like us to update information we have about you or your preferences, please email us at PrivacyQueries@Blackstone.com or access our web form www.blackstone.com/privacy.
You also may write to:
Blackstone Inc. Attn: Legal & Compliance 345 Park Avenue New York, NY 10154
|
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Last Updated: July 23, 2021 |
Investor Data Privacy Notice
Why are you seeing this notice?
• | You may need to provide Personal Data to us as part of your investment into a fund or other investment vehicle (as applicable, the Fund) managed or advised by investment advisers or management companies that are subsidiaries of The Blackstone Group Inc. or its affiliates (and, where applicable, the general partner of the relevant Fund) (collectively, Blackstone). |
• | We want you to understand how and why we use, store and otherwise process your Personal Data when you deal with us or our relevant affiliates (including under applicable data protection laws). If this notice (the Data Privacy Notice) has been made available to you, you may have certain rights with respect to your Personal Data under applicable data protection laws (including as described in this Data Privacy Notice). |
• | “Personal Data” has the meaning given to it under data protection laws that apply to our processing of your personal information, and includes any information that relates to, describes, identifies or can be used, directly or indirectly, to identify an individual (such as name, address, date of birth, personal identification numbers, sensitive personal information, and economic information). |
• | We ask that investors promptly provide the information contained in this Data Privacy Notice to any individuals whose Personal Data they provide to the Fund or its affiliates in connection with ‘know your client’/anti-money laundering requests or otherwise. |
Please read the information below carefully. It explains how and why Personal Data is processed by us.
Who is providing this notice?
Blackstone is committed to protecting and respecting your privacy. Blackstone is a global financial services firm with offices, branches, operations and entities globally, including as described at this link: https://www.blackstone.com/privacy#appendixA
• | For transparency, the Blackstone entities on whose behalf this privacy statement is made are: (i) the Fund; and (ii) where applicable, the Blackstone general partner, manager and/or investment adviser of the relevant Fund, in each case, with which you contract, transact or otherwise share Personal Data (together, the Fund Parties). |
• | Where we use the terms “we”, “us” and “our” in this Data Privacy Notice, we are referring to the Fund and the Fund Parties. |
• | Please consult your subscription documents, private placement memorandum or other offering documentation provided to you by or on behalf of the Fund Parties which will further specify the entities and contact details of the Fund Parties relevant to our relationship with you. |
• | We welcome investors and their representatives to contact us if they have any queries with respect to the Fund Parties (in particular, which Fund Parties are relevant to their relationship with Blackstone). If you have any queries, please see the ‘Contact Us’ section. |
When you provide us with your Personal Data, each Fund Party that decides how and why Personal Data is processed acts as a “data controller”. In simple terms, this means that the Fund Party makes certain decisions on how to use and protect your Personal Data – but only to the extent that we have informed you about the use or are otherwise permitted by law.
Where your Personal Data is processed by an entity controlled by, or under common control with, the Blackstone entity/ies managing a Fund for its own purposes, this entity will also be a data controller.
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What Personal Data do we collect about you?
The types of Personal Data that we collect and share depends on the product or service you have with us and the nature of your investment.
The Personal Data collected about you will help us to provide you with a better service and facilitate our business relationship.
We may combine Personal Data that you provide to us with Personal Data that we collect from you, or about you from other sources, in some circumstances. This will include Personal Data collected in an online or offline context.
As a result of our relationship with you as an investor, in the past 12 months we may have collected Personal Data concerning you in the following categories:
• | Identifiers (e.g., real name, alias, postal address, email address, social security or driver’s 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, online registration details, and other contact information); |
• | Sensitive/protected characteristic information (e.g., age/date of birth, nationality, citizenship, country of residence, gender, and other information used to comply with laws and regulations); |
• | Commercial information (e.g., assets, income, transaction and investment history, accounts at other institutions, financial positions/returns, information concerning source of funds and any applicable restrictions on your investment such as political exposure or sanctions); |
• | Internet or other network activity (e.g., browsing or search history, information regarding interaction with an internet website, application, or advertisement, online identifiers such as cookies); |
• | Sensory and surveillance data (e.g., recordings of telephone calls where permitted or required by law, video (surveillance) recordings, closed-circuit television (CCTV) images and recordings, and other records of your interactions with us or our service providers, including electronic communications); |
• | Professional or employment-related information (e.g., current or past job history); and |
• | Inferences drawn from other personal information (e.g., profiles reflecting preferences and trends, based on information such as assets, investment experience, risk tolerance, investment activity, and transaction history). |
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Where do we obtain your Personal Data?
We collect, and have collected, Personal Data about you from a number of sources, including from you directly:
What | How | |
Personal Data that you give us | ∎ From the forms and any associated documentation that you complete when subscribing for an investment, shares, interests, and/or opening an account with us. This can include information about your name, address, date of birth, passport details or other national identifier, driving license, your national insurance or social security number and income, employment information and details about your investment or retirement portfolio(s), and financial-related data (such as returns and financial positions)
| |
∎ When you provide it to us in correspondence and conversations, including electronic communications such as email and telephone calls
| ||
∎ When you make transactions with respect to the Fund
| ||
∎ When you interact with our online platforms and websites (such as bxaccess.com)
| ||
∎ When you purchase securities from us and/or tell us where to send money
| ||
∎ From cookies, web beacons, and similar interactions when you or your devices access our sites
| ||
∎ When we need to identify you and/or complete necessary security checks, where you visit one of our buildings or attend meetings. This can include form of ID, and your image for CCTV purposes. | ||
Personal Data that we obtain from others | We obtain Personal Data from:
| |
∎ Publicly available and accessible directories and sources
| ||
∎ Bankruptcy registers
| ||
∎ Tax authorities, including those that are based outside the territory in which you are located or domiciled, including the Cayman Islands, the United Kingdom (UK) and the European Economic Area (EEA), if you are subject to tax in another jurisdiction
| ||
∎ Governmental and competent regulatory authorities to whom we have regulatory obligations
| ||
∎ Credit agencies
| ||
∎ Fraud prevention and detection agencies / organizations
| ||
∎ Transaction counterparties |
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Why do we process your Personal Data?
We may process or disclose your Personal Data for the following reasons:
Why | How | |
Contract | It is necessary to perform our contract with you to:
| |
∎ Administer, manage and set up your investor account(s) to allow you to purchase your holding (of shares or interests) in our Funds
| ||
∎ Meet the resulting contractual obligations we have to you
| ||
∎ Facilitate the continuation or termination of the contractual relationship between you and the Fund
| ||
∎ Facilitate the transfer of funds, and administering and facilitating any other transaction, between you and the Fund | ||
Compliance with law | It is necessary for compliance with an applicable legal or regulatory obligation to which we are subject, in order to:
| |
∎ Undertake our client and investor due diligence, and on-boarding checks
| ||
∎ Carry out verification, ‘know your client’, terrorist financing, sanctions, and anti-money laundering checks
| ||
∎ Verify the identity and addresses of our investors (and, if applicable, their beneficial owners)
| ||
∎ Comply with requests from regulatory, governmental, tax and law enforcement authorities
| ||
∎ Carry out surveillance and investigations
| ||
∎ Carry out audit checks
| ||
∎ Maintain statutory registers
| ||
∎ Prevent and detect fraud
| ||
∎ Comply with sanctions requirements | ||
Legitimate Interests | For our legitimate interests or those of a third party (such as a transaction counterparty or lender) to:
| |
∎ Manage and administer your holding in any Funds in which you are invested, and any related accounts on an ongoing basis
| ||
∎ Assess and process any applications or requests made by you
| ||
∎ Open, maintain or close accounts in connection with your investment in, or withdrawal from, the Fund scheme
| ||
∎ Send updates, information and notices or otherwise correspond with you in connection with your investment in the Fund scheme
| ||
∎ Address or investigate any complaints, claims, proceedings or disputes
| ||
∎ Provide you with, and inform you about, our investment products and services
| ||
∎ Monitor and improve our relationships with investors
| ||
∎ Comply with applicable prudential and regulatory obligations, including anti-money laundering, sanctions and ‘know your client’ checks
| ||
∎ Assist our transaction counterparties to comply with their regulatory and legal obligations (including anti-money laundering, ‘know your client’, terrorist financing, and sanctions checks)
| ||
∎ Manage our risk and operations
| ||
∎ Comply with our accounting and tax-reporting requirements |
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Why | How | |
∎ Comply with our audit requirements
∎ Assist with internal compliance with our policies and processes
∎ Ensure appropriate group management and governance
∎ Keep our internal records
∎ Prepare reports on incidents/accidents
∎ Protect our business against fraud, breach of confidence, theft of proprietary materials, and other financial or business crimes (to the extent that this is not required of us by law)
∎ Analyze and manage commercial risks
∎ Seek professional advice, including legal advice
∎ Enable any actual or proposed assignee or transferee, participant or sub-participant of the partnership’s or Fund vehicles’ rights or obligations to evaluate proposed transactions
∎ Facilitate business asset transactions involving the Fund partnership or Fund-related vehicles
∎ Monitor communications to/from us using our systems
∎ Protect the security and integrity of our information technology systems
∎ Protect the security and safety of our buildings and locations where we operate
∎ Operate, run and schedule online meetings, webinars and conferences (for example, using Zoom and other online meeting platforms)
∎ Manage our financing arrangements with our financiers and financing transaction counterparties, including payment providers, intermediaries, and correspondent/agent banks
∎ Monitor the operation of Fund distribution platforms, where these are operated by third parties or service providers
We only rely on these interests where we have considered that, on balance, the legitimate interests are not overridden by your interests, fundamental rights or freedoms. | ||
Monitoring as described in ‘Legitimate Interests’ above
We monitor communications where the law requires us to do so. We will also monitor where we are required to do so to comply with regulatory rules and practices and, where we are permitted to do so, to protect our business and the security of our systems.
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Who we share your Personal Data With
Your Personal Data will be shared with:
Who | Why | |
Fund Associates | We share your Personal Data with our associates, related parties and members of our group. This is:
∎ To manage our relationship with you
∎ For the legitimate interests of a third party in carrying out anti-money laundering, ‘know your client’, and other compliance checks required of them under applicable laws and regulations
∎ For the purposes set out in this Data Privacy Notice | |
Fund Managers, Depositories, Administrators, Custodians, Distributors, Investment Advisers | ∎ Delivering the services you require
∎ Managing your investment
∎ Supporting and administering investment-related activities
∎ Complying with applicable investment, anti-money laundering and other laws and regulations | |
Tax Authorities | ∎ To comply with applicable laws and regulations
∎ Where required or requested by tax authorities in the territory in which you are located or domiciled (in particular, Cayman Island or UK/EEA tax authorities) who, in turn, may share your Personal Data with foreign tax authorities
∎ Where required or requested by foreign tax authorities, including outside of the territory in which you are located or domiciled (including outside the Cayman Islands or UK/EEA) | |
Service Providers | ∎ Delivering and facilitating the services needed to support our business relationship with you (including cloud services)
∎ Supporting and administering investment-related activities
∎ Where disclosure to the service provider is considered necessary to support Blackstone with the purposes described in section 5 of this Data Privacy Notice | |
Financing Counterparties, Lenders, Correspondent and Agent Banks | ∎ Assisting these transaction counterparties with regulatory checks, such as ‘know your client’, and anti-money laundering procedures
∎ Sourcing credit for Fund-related entities in the course of our transactions and fund life cycles
| |
Our Lawyers, Auditors and other Professional Advisers | ∎ Providing you with investment-related services
∎ To comply with applicable legal and regulatory requirements
∎ Supporting Blackstone with the purposes described in section 5 of this Data Privacy Notice |
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In exceptional circumstances, we will share your Personal Data with:
• | Competent regulatory, prosecuting and other governmental agencies or litigation counterparties, in any country or territory; and |
• | Other organizations and agencies—where we are required to do so by law. |
For California residents, in the preceding 12 months, we may have disclosed Personal Data listed in any of the categories in “What Personal Data do we collect about you?” above for a business purpose (in particular, as described in this section).
We have not sold Personal Data in the 12 months preceding the date of this Data Privacy Notice.
Do you have to provide us with this Personal Data?
Where we collect Personal Data from you, we will indicate if:
• | Provision of the Personal Data is necessary for our compliance with a legal obligation; or |
• | It is purely voluntary and there are no implications for you if you do not wish to provide us with it. |
Unless otherwise indicated, you should assume that we require the Personal Data for business and/or compliance purposes.
Some of the Personal Data that we request is necessary for us to perform our contract with you and if you do not wish to provide us with this Personal Data, it will affect our ability to provide our services to you and manage your investment.
Sending your Personal Data Internationally
We may transfer your Personal Data between different countries to recipients in countries other than the country in which the information was originally collected (including to our affiliates and group members, members of the Fund’s partnership, transaction counterparties, and third-party service providers). Where you are based in the UK, the EU, or another country which imposes data transfer restrictions outside of its territory, this includes transfers outside of the UK and the European Economic Area (“EEA”) or that geographical area, to those countries in which our affiliates, group members, service providers and business partners operate. Those countries may not have the same data protection laws as the country in which you initially provided the information.
Where we transfer Personal Data outside of the UK, the EEA, or other territories subject to data transfer restrictions to other members of our group, our service providers or another third party recipient, we will ensure that our arrangements with them are governed by data transfer agreements or appropriate safeguards, designed to ensure that your Personal Data is protected as required under applicable data protection law (including, where appropriate, under an agreement on terms approved for this purpose by the European Commission or by obtaining your consent).
Please contact us if you would like to know more about these agreements or receive a copy of them. Please see the ‘Contact Us’ section for details.
Consent—and Your Right to Withdraw It
Except as may otherwise be required by local law, we do not generally rely on obtaining your consent to process your Personal Data. In particular, we do not generally rely on obtaining your consent where our processing of your Personal Data is subject only to the data protection laws of the UK/EEA (in these circumstances we will usually rely on another legal basis more appropriate in the circumstances, including those set out in “Why do we process your Personal Data?” above). If we do rely on consent for processing of your Personal Data, you have the right to withdraw this consent at any time. Please contact us or send us an email at PrivacyQueries@Blackstone.com at any time if you wish to do so.
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Where required by applicable law, we will obtain your consent for the processing of your Personal Data for direct marketing purposes. If you do receive direct marketing communications from us (for example, by post, email, fax or telephone), you may opt-out by clicking the link in the relevant communication, completing the forms provided to you (where relevant), or by contacting us (see the ‘Contact Us’ section for details).
Retention and Deletion of your Personal Data
We keep your Personal Data for as long as it is required by us for our legitimate business purposes, to perform our contractual obligations or, where longer, such longer period as is required or permitted by law or regulatory obligations which apply to us. We will generally:
• | Retain Personal Data about you throughout the life cycle of any investment you are involved in; and |
• | Retain some Personal Data after your relationship with us ends. |
As a general principle, we do not retain your Personal Data for longer than we need it.
We will usually delete your Personal Data (at the latest) after you cease to be an investor in any fund and there is no longer any legal / regulatory requirement, or business purpose, for retaining your Personal Data.
Your Rights
You may, subject to certain limitations, have data protection rights depending on the data protection laws that apply to our processing of your Personal Data, including the right to:
• | Access your Personal Data, and some related information, including the purpose for processing the Personal Data, the categories of recipients of that Personal Data to the extent that it has been transferred internationally, and, where the Personal Data has not been collected directly from you, the source (the category information) |
• | Restrict the use of your Personal Data in certain circumstances |
• | Have incomplete or inaccurate Personal Data corrected |
• | Ask us to stop processing your Personal Data |
• | Require us to delete your Personal Data in some limited circumstances |
You also have the right in some circumstances to request us to “port” your Personal Data in a portable, re-usable format to other organizations (where this is possible).
California residents may also request certain information about our disclosure of Personal Data during the prior year, including category information (as defined above).
We review and verify requests to protect your Personal Data, and will action data protection requests fairly and in accordance with applicable data protection laws and principles.
If you wish to exercise any of these rights, please see the ‘Contact Us’ section for details.
Concerns or Queries
We take your concerns very seriously. We encourage you to bring to our attention any concerns you have about our processing of your Personal Data. This Data Privacy Notice was drafted with simplicity and clarity in mind. We are, of course, happy to provide any further information or explanation needed. Please see the ‘Contact Us’ section for details.
Please also contact us via any of the contact methods listed below if you have a disability and require an alternative format of this Data Privacy Notice.
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If you want to make a complaint, you can also contact the body regulating data protection in your country, where you live or work, or the location where the data protection issue arose. In particular:
Country | Supervisory Authority | |
Cayman Islands | Cayman Islands Ombudsman (available at: https://ombudsman.ky) | |
European Union | A list of the EU data protection authorities and contact details is available by clicking this link: http://ec.europa.eu/newsroom/article29/item-detail.cfm?item_id=612080 | |
United Kingdom | Information Commissioner’s Office (available at: https://ico.org.uk/global/contact-us/) |
Contact Us
Please contact us if you have any questions about this Data Privacy Notice or the Personal Data we hold about you.
Contact us by email or access our web form by emailing PrivacyQueries@Blackstone.com.
Contact us in writing using this address:
Address |
For EU/UK related queries:
40 Berkeley Square, London, W1J 5AL, United Kingdom
All other queries:
345 Park Avenue, New York, NY 10154
|
A list of country-specific addresses and contacts for locations where we operate is available at https://www.blackstone.com/privacy#appendixA.
Changes to this Data Privacy Notice
We keep this Data Privacy Notice under regular review. Please check regularly for any updates at our investor portal (www.bxaccess.com).
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Blackstone Alternative Multi-Strategy Fund
a series of Blackstone Alternative Investment Funds
Trustees
John M. Brown, Chairman
Frank J. Coates
Paul J. Lawler
Kristen M. Leopold
Peter Koffler
Peter M. Gilbert
Investment Adviser
Blackstone Alternative Investment Advisors LLC
345 Park Avenue
New York, New York 10154
Administrator
State Street Bank and Trust Company
One Lincoln Street
Boston, MA 02111
Custodians
State Street Bank and Trust Company
One Lincoln Street
Boston, MA 02111
U.S. Bank N.A.
U.S. Bank Tower
425 Walnut Street
Cincinnati, OH 45202
Transfer Agent
State Street Bank and Trust Company
One Lincoln Street
Boston, MA 02111
Officers
Brian F. Gavin, President (Principal Executive Officer)
Sarah Kassman, Secretary
Kevin Michel, Chief Legal Officer
Thomas Procida, Treasurer (Principal Financial and Accounting Officer)
William Renahan, Chief Compliance Officer
Sherilene Sibadan, Anti-Money Laundering Officer
Independent Registered Public Accounting Firm
Deloitte & Touche LLP
30 Rockefeller Plaza
New York, New York 10112
Legal Counsel
Ropes & Gray LLP
Prudential Tower
800 Boylston Street
Boston, Massachusetts 02199-3600
This report, including the financial information herein, is transmitted to the shareholders of Blackstone Alternative Multi-Strategy Fund for their information. It is not a prospectus or representation intended for use in the purchase of shares of the Fund or any securities mentioned in this report.
You can find the Fund’s prospectus and other information about the Fund, including the Fund’s statement of additional information, on the Fund’s website at www.bxmix.com. You can also get this information at no cost by calling the Fund at 1-855-890-7725.
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Item 2. Code of Ethics.
Not applicable to this semi-annual report.
Item 3. Audit Committee Financial Expert.
Not applicable to this semi-annual report.
Item 4. Principal Accountant Fees and Services.
Not applicable to this semi-annual report.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Investments.
(a) | The Registrant’s Consolidated Schedule of Investments as of the close of the reporting period is included in the Report to Shareholders filed under Item 1 of this form. |
(b) | Not applicable. |
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
There have been no material changes to the procedures by which the shareholders may recommend nominees to the Registrant’s Board of Trustees.
Item 11. Controls and Procedures.
(a) | The Registrant’s principal executive officer and principal financial officers, or persons performing similar functions, have concluded that the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the 1940 Act) are effective as of a date within 90 days of the filing date of this report based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended. |
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(b) | There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting. |
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
(a) Not applicable.
(b) Not applicable.
Item 13. Exhibits.
(a)(1) Not applicable to this semi-annual report.
(2) Certifications pursuant to Rule 30a-2(a) are attached hereto.
(3) Not applicable.
(4) Not applicable.
(b) Certifications pursuant to Rule 30a-2(b) are attached hereto.
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SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) Blackstone Alternative Investment Funds
By (Signature and Title) | /s/ Brian F. Gavin | |
Brian F. Gavin, President (Principal Executive Officer) | ||
Date November 29, 2022 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.
By (Signature and Title) | /s/ Brian F. Gavin �� | |
Brian F. Gavin, President (Principal Executive Officer) | ||
Date November 29, 2022 |
By (Signature and Title) | /s/ Thomas Procida | |
Thomas Procida, Treasurer (Principal Financial and Accounting Officer) | ||
Date November 29, 2022 |