Blackstone Real Estate Income Master Fund and Subsidiary
Consolidated Schedule of Investments
March 31, 2021 (Unaudited)
| | | | | | | | | | | | |
| | | Principal
Amount | | | | | | Value | |
LONG-TERM INVESTMENTS — 88.4% | | | | | | | | | | | | |
COMMERCIAL MORTGAGE-BACKED SECURITIES — 71.8% | | | | | | | | | | | | |
BAMLL Re-REMIC Trust, Series 2014-FRR9, Class F, 1 mo. USD LIBOR + 20.15%, 2.45%, 12/26/46 (a),(b),(c) | | $ | 22,162,790 | | | | | | | $ | 21,481,568 | |
Bancorp Commercial Mortgage Trust, Series 2018-CRE4, Class D, 1 mo. USD LIBOR + 2.10%, 2.21%, 09/15/35 (a),(b),(c) | | | 917,000 | | | | | | | | 900,528 | |
Bear Stearns Commercial Mortgage Securities Trust, Series 2006-PW12, Class D,
5.38%, 09/11/38 (a),(b),(c) | | | 549,575 | | | | | | | | 271,474 | |
Citigroup Commercial Mortgage Trust, Series 2012-GC8, Class D,
4.88%, 09/10/45 (a),(b),(c) | | | 4,258,000 | | | | | | | | 3,493,372 | |
Citigroup Commercial Mortgage Trust, Series 2014-GC19, Class E,
4.59%, 03/10/47 (a),(b),(c) | | | 100,000 | | | | | | | | 76,926 | |
Cold Finance plc, | | | | | | | | | | | | |
Series 1, Class C, 3 mo. GBP LIBOR + 1.95%, 2.01%, 08/20/29 (b),(d) | | £ | 229,272 | | | | | | | | 315,479 | |
Series 1, Class D, 3 mo. GBP LIBOR + 2.50%, 2.56%, 08/20/29 (b),(d) | | | 755,307 | | | | | | | | 1,031,074 | |
Series 1, Class E, 3 mo. GBP LIBOR + 3.55%, 3.61%, 08/20/29 (b),(d) | | | 773,172 | | | | | | | | 1,049,204 | |
COMM Mortgage Trust, Series 2014-CR14, Class D, 4.62%, 02/10/47 (a),(b),(c) | | $ | 635,000 | | | | | | | | 592,186 | |
COMM Mortgage Trust, | | | | | | | | | | | | |
Series 2019-GC44, Class 180C, 3.40%, 08/15/57 (a),(b),(c) | | | 216,000 | | | | | | | | 186,149 | |
Series 2019-GC44, Class 180D, 3.40%, 08/15/57 (a),(b),(c) | | | 147,000 | | | | | | | | 119,673 | |
Commercial Mortgage Pass Through Certificates, | | | | | | | | | | | | |
Series 2016-CR28, Class D, 3.89%, 02/10/49 (b) | | | 688,000 | | | | | | | | 684,165 | |
Series 2016-CR28, Class F, 3.25%, 02/10/49 (a) | | | 13,754,000 | | | | | | | | 8,267,587 | |
Series 2016-CR28, Class G, 3.25%, 02/10/49 (a),(c) | | | 5,951,000 | | | | | | | | 2,951,605 | |
Series 2016-CR28, Class H, 3.25%, 02/10/49 (a),(c) | | | 9,169,000 | | | | | | | | 4,051,812 | |
Series 2016-CR28, Class J, 3.25%, 02/10/49 (a),(c) | | | 15,121,412 | | | | | | | | 3,744,059 | |
Commercial Mortgage Trust, Series 2006-CD3 SEQ, Class AJ, 5.69%, 10/15/48 (c) | | | 6,763,405 | | | | | | | | 3,726,111 | |
Commercial Mortgage Trust, | | | | | | | | | | | | |
Series 2013-CR8, Class E, 4.00%, 06/10/46 (a),(b) | | | 9,423,992 | | | | | | | | 8,824,925 | |
Series 2013-CR8, Class F, 4.00%, 06/10/46 (a),(b),(c) | | | 3,009,000 | | | | | | | | 2,373,968 | |
Commercial Mortgage Trust, | | | | | | | | | | | | |
Series 2014-FL5, Class KH1, 1 mo. USD LIBOR + 3.65%, 3.76%, 08/15/31 (a),(b),(c) | | | 15,822,081 | | | | | | | | 13,768,992 | |
Series 2014-FL5, Class KH2, 1 mo. USD LIBOR + 4.50%, 4.61%, 08/15/31 (a),(b),(c) | | | 10,258,220 | | | | | | | | 7,849,890 | |
Commercial Mortgage Trust, Series 2014-UBS6, Class D, 3.95%, 12/10/47 (a),(b) | | | 658,000 | | | | | | | | 532,036 | |
Commercial Mortgage Trust, Series 2015-CR22, Class E, 3.00%, 03/10/48 (a),(c) | | | 4,797,000 | | | | | | | | 3,634,273 | |
Commercial Mortgage Trust, | | | | | | | | | | | | |
Series 2015-CR23, Class E, 3.23%, 05/10/48 (a),(c) | | | 7,180,000 | | | | | | | | 5,320,119 | |
Series 2015-CR23, Class F, 4.29%, 05/10/48 (a),(b),(c) | | | 1,170,000 | | | | | | | | 673,350 | |
Commercial Mortgage Trust, Series 2015-LC21, Class E, 3.25%, 07/10/48 (a) | | | 9,077,000 | | | | | | | | 6,298,177 | |
Commercial Mortgage Trust, Series 2016-DC2, Class D, 3.88%, 02/10/49 (a),(b) | | | 877,000 | | | | | | | | 773,402 | |
CoreVest American Finance Trust, Series 2017-2 SEQ, Class M, 5.62%, 12/25/27 (a),(c) | | | 933,000 | | | | | | | | 989,164 | |
CoreVest American Finance Trust, | | | | | | | | | | | | |
Series 2019-1, Class D, 4.82%, 03/15/52 (a),(c) | | | 377,000 | | | | | | | | 394,122 | |
Series 2019-1, Class E, 5.49%, 03/15/52 (a),(c) | | | 202,000 | | | | | | | | 206,790 | |
CoreVest American Finance Trust, | | | | | | | | | | | | |
Series 2019-2, Class D, 4.22%, 06/15/52 (a),(c) | | | 195,000 | | | | | | | | 204,889 | |
Series 2019-2, Class E, 5.22%, 06/15/52 (a),(b),(c) | | | 234,000 | | | | | | | | 232,191 | |
CoreVest American Finance Trust, | | | | | | | | | | | | |
Series 2019-3, Class D, 3.76%, 10/15/52 (a),(c) | | | 106,000 | | | | | | | | 102,856 | |
Series 2019-3, Class E, 4.77%, 10/15/52 (a),(b),(c) | | | 140,000 | | | | | | | | 143,332 | |
CoreVest American Finance Trust, Series 2020-1, Class E, 4.68%, 03/15/50 (a),(b),(c) | | | 100,000 | | | | | | | | 100,325 | |
Credit Suisse Commercial Mortgage Trust, Series 2007-C3, Class AJ,
5.18%, 06/15/39 (b),(c) | | | 22,174 | | | | | | | | 10,225 | |
Credit Suisse First Boston Mortgage Securities Corp., Series 2005-C5, Class G,
5.07%, 08/15/38 (a),(b),(c) | | | 1,397,407 | | | | | | | | 1,296,386 | |
Credit Suisse Mortgage Trust, Series 2006-C5, Class AJ, 5.37%, 12/15/39 (c) | | | 3,310,171 | | | | | | | | 657,850 | |
CSAIL Commercial Mortgage Trust, | | | | | | | | | | | | |
Series 2015-C4, Class F, 3.50%, 11/15/48 (a),(b),(c) | | | 5,842,000 | | | | | | | | 4,518,650 | |
Series 2015-C4, Class G, 3.50%, 11/15/48 (a),(b),(c) | | | 5,786,000 | | | | | | | | 3,901,259 | |
CSAIL Commercial Mortgage Trust, Series 2019-C17, Class D, 2.50%, 09/15/52 (a),(c) | | | 410,000 | | | | | | | | 338,566 | |
European Loan Conduit, | | | | | | | | | | | | |
Series 31, Class D, 3 mo. EURIBOR + 2.30%, 2.30%, 10/26/28 (b),(d),(h) | | € | 1,528,102 | | | | | | | | 1,785,449 | |
See Notes to Consolidated Schedule of Investments.
1
Blackstone Real Estate Income Master Fund and Subsidiary
Consolidated Schedule of Investments (Continued)
March 31, 2021 (Unaudited)
| | | | | | | | | | |
| | | Principal
Amount | | | | | Value | |
Series 31, Class E, 3 mo. EURIBOR + 3.25%, 3.25%, 10/26/28 (b),(d),(h) | | € | 6,861,628 | | | | | $ | 7,966,307 | |
GMAC Commercial Mortgage Securities, Inc., Series 2006-C1, Class AJ,
5.35%, 11/10/45 (b),(c) | | $ | 14,400 | | | | | | 14,015 | |
GS Mortgage Securities Corp. II, Series 2006-CC1, Class A, 5.33%, 03/21/46 (a),(b),(c) | | | 399,947 | | | | | | 369,375 | |
GS Mortgage Securities Corp. II, Series 2013-GC10, Class E, 4.40%, 02/10/46 (a),(b),(c) | | | 1,305,000 | | | | | | 1,087,578 | |
GS Mortgage Securities Corp. II, Series 2018-GS10, Class E, 3.00%, 07/10/51 (a),(b),(c) | | | 501,000 | | | | | | 432,061 | |
GS Mortgage Securities Trust, Series 2006-GG8, Class B, 5.66%, 11/10/39 (c) | | | 2,297,000 | | | | | | 102,357 | |
GS Mortgage Securities Trust, Series 2012-GCJ9, Class E, 4.74%, 11/10/45 (a),(b) | | | 5,250,422 | | | | | | 4,329,459 | |
GS Mortgage Securities Trust, Series 2014-GC20, Class D, 4.96%, 04/10/47 (a),(b),(c) | | | 3,875,000 | | | | | | 2,172,880 | |
GS Mortgage Securities Trust, Series 2014-GC24, Class C, 4.53%, 09/10/47 (b) | | | 843,000 | | | | | | 727,974 | |
IMT Trust, Series 2017-APTS, Class FFX, 3.50%, 06/15/34 (a),(b),(c),(h) | | | 192,000 | | | | | | 189,251 | |
JP Morgan Chase Commercial Mortgage Securities Corp., Series 2019-MARG, Class E,
1 mo. USD LIBOR + 2.50%, 2.61%, 05/15/34 (a),(b) | | | 1,086,000 | | | | | | 961,247 | |
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2014-FL6, Class C,
1 mo. USD LIBOR + 3.03%, 3.14%, 11/15/31 (a),(b) | | | 207,127 | | | | | | 203,254 | |
JPMBB Commercial Mortgage Securities Trust, | | | | | | | | | | |
Series 2015-C31, Class D, 4.12%, 08/15/48 (b) | | | 602,000 | | | | | | 536,012 | |
Series 2015-C31, Class E, 4.62%, 08/15/48 (a),(b) | | | 4,934,000 | | | | | | 3,455,111 | |
JPMBB Commercial Mortgage Securities Trust, Series 2015-C32, Class D,
4.15%, 11/15/48 (b) | | | 2,250,000 | | | | | | 1,687,934 | |
JPMBB Commercial Mortgage Securities Trust, | | | | | | | | | | |
Series 2015-C33, Class F, 4.61%, 12/15/48 (a),(b),(c) | | | 4,285,000 | | | | | | 3,428,845 | |
Series 2015-C33, Class G, 4.61%, 12/15/48 (a),(b),(c) | | | 7,618,000 | | | | | | 3,963,699 | |
Series 2015-C33, Class NR, 4.61%, 12/15/48 (a),(b),(c) | | | 11,426,606 | | | | | | 4,646,042 | |
LB-UBS Commercial Mortgage Trust, Series 2006-C3, Class F, 5.11%, 03/15/39 (b),(c) | | | 360,969 | | | | | | 361,804 | |
LB-UBS Commercial Mortgage Trust, Series 2006-C7, Class AJ, 5.41%, 11/15/38 | | | 3,463,302 | | | | | | 1,207,632 | |
Magnolia Finance XI DAC, | | | | | | | | | | |
Series 2018-2MGN, Class A, 3 mo. EURIBOR + 3.25%, 3.25%, 02/16/23 (b),(d),(h) | | € | 8,060,060 | | | | | | 9,094,065 | |
Series 2018-2MGN, Class B, 3 mo. EURIBOR + 4.75%, 4.75%, 02/16/23 (b),(d),(h) | | | 8,707,345 | | | | | | 9,517,376 | |
ML-CFC Commercial Mortgage Trust, Series 2007-5, Class AJFL,
5.45%, 08/12/48 (a),(b),(c) | | $ | 1,098,019 | | | | | | 586,186 | |
ML-CFC Commercial Mortgage Trust, Series 2007-5 SEQ, Class AJ,
5.45%, 08/12/48 (b),(c) | | | 1,246,409 | | | | | | 665,405 | |
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2016-C31, Class D,
3.00%, 11/15/49 (a),(b) | | | 856,000 | | | | | | 644,941 | |
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2017-C34, Class D,
2.70%, 11/15/52 (a) | | | 688,000 | | | | | | 558,418 | |
Morgan Stanley Capital I Trust, Series 2006-HQ9, Class F, 5.92%, 07/12/44 (b),(c) | | | 3,445,854 | | | | | | 2,960,487 | |
Morgan Stanley Capital I Trust, Series 2006-T23, Class E, 6.23%, 08/12/41 (a),(b),(c) | | | 1,328,000 | | | | | | 1,181,152 | |
Natixis Commercial Mortgage Securities Trust, | | | | | | | | | | |
Series 2018-FL1, Class WAN1, 1 mo. USD LIBOR + 2.75%,
2.86%, 06/15/35 (a),(b),(c) | | | 311,000 | | | | | | 291,819 | |
Series 2018-FL1, Class WAN2, 1 mo. USD LIBOR + 3.75%,
3.86%, 06/15/35 (a),(b),(c) | | | 750,000 | | | | | | 693,955 | |
Natixis Commercial Mortgage Securities Trust, Series 2018-RIVA, Class D, 1 mo. USD LIBOR + 2.05%, 2.16%, 02/15/33 (a),(b),(c) | | | 108,000 | | | | | | 101,093 | |
Natixis Commercial Mortgage Securities Trust, | | | | | | | | | | |
Series 2019-MILE, Class D, 1 mo. USD LIBOR + 2.75%,
2.86%, 07/15/36 (a),(b),(c) | | | 108,000 | | | | | | 106,248 | |
Series 2019-MILE, Class E, 1 mo. USD LIBOR + 3.50%, 3.61%, 07/15/36 (a),(b),(c) | | | 110,000 | | | | | | 106,663 | |
Prima Capital CRE Securitization Ltd., | | | | | | | | | | |
Series 2019-RK1, Class BT, 4.45%, 04/15/38 (a),(c) | | | 347,000 | | | | | | 339,229 | |
Series 2019-RK1, Class CG, 4.00%, 04/15/38 (a),(c) | | | 100,000 | | | | | | 95,326 | |
ReadyCap Commercial Mortgage Trust, Series 2019-6, Class D,
4.77%, 10/25/52 (a),(b),(c) | | | 226,000 | | | | | | 217,375 | |
SG Commercial Mortgage Securities Trust, Series 2016-C5, Class D,
4.84%, 10/10/48 (a),(b),(c) | | | 1,866,000 | | | | | | 1,458,587 | |
Taurus, | | | | | | | | | | |
Series 2018-IT1, Class D, 3 mo. EURIBOR + 3.35%, 3.35%, 05/18/30 (b),(h) | | € | 1,473,158 | | | | | | 1,645,864 | |
Series 2018-IT1, Class E, 3 mo. EURIBOR + 4.50%, 4.50%, 05/18/30 (b),(h) | | | 1,473,158 | | | | | | 1,623,925 | |
Velocity Commercial Capital Loan Trust, | | | | | | | | | | |
Series 2019-2, Class M5, 4.93%, 07/25/49 (a),(b),(c) | | $ | 220,250 | | | | | | 215,630 | |
Series 2019-2, Class M6, 6.30%, 07/25/49 (a),(b),(c) | | | 409,611 | | | | | | 400,093 | |
Wells Fargo Commercial Mortgage Trust, Series 2014-LC18, Class D,
3.96%, 12/15/47 (a),(b),(c) | | | 299,000 | | | | | | 264,639 | |
Wells Fargo Commercial Mortgage Trust, | | | | | | | | | | |
Series 2019-JWDR, Class F, 4.56%, 09/15/31 (a),(b) | | | 1,045,000 | | | | | | 941,012 | |
See Notes to Consolidated Schedule of Investments.
2
Blackstone Real Estate Income Master Fund and Subsidiary
Consolidated Schedule of Investments (Continued)
March 31, 2021 (Unaudited)
| | | | | | | | | | | | |
| | | Principal
Amount | | | | | | Value | |
Series 2019-JWDR, Class G, 5.38%, 09/15/31 (a),(b),(c) | | $ | 943,000 | | | | | | | $ | 773,300 | |
| | | | | | | | | | | | |
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES
(COST $204,942,419) | | | | | | | | | | | 190,199,783 | |
| | | | | | | | | | | | |
RESIDENTIAL MORTGAGE-BACKED SECURITIES — 4.2% | | | | | | | | | | | | |
Angel Oak Mortgage Trust I LLC, Series 2019-2, Class B2, 6.29%, 03/25/49 (a),(b),(c) | | | 113,000 | | | | | | | | 115,195 | |
Deephave Residential Mortgage Trust, Series 2019-2A, Class B2,
5.79%, 04/25/59 (a),(b),(c) | | | 2,947,000 | | | | | | | | 2,877,677 | |
Deephaven Residential Mortgage Trust, Series 2019-3A, Class B2,
5.66%, 07/25/59 (a),(b),(c) | | | 422,000 | | | | | | | | 427,236 | |
Ellington Financial Mortgage Trust, Series 2019-2, Class B1,
4.07%, 11/25/59 (a),(b),(c) | | | 165,000 | | | | | | | | 166,167 | |
GCAT Trust, Series 2019-NQM2, Class B1, 4.01%, 09/25/59 (a),(b),(c) | | | 100,000 | | | | | | | | 100,281 | |
Homeward Opportunities Fund, Series 2019-1, Class B1, 4.80%, 01/25/59 (a),(b) | | | 2,256,000 | | | | | | | | 2,276,889 | |
LHOME Mortgage Trust, Series 2019-RTL1, Class M, 6.90%, 10/25/23 (a),(c) | | | 1,484,000 | | | | | | | | 1,462,799 | |
LHOME Mortgage Trust, Series 2019-RTL2, Class M, 6.05%, 03/25/24 (a),(b),(c) | | | 500,000 | | | | | | | | 481,050 | |
LHOME Mortgage Trust, Series 2019-RTL2 SEQ, Class A2,
4.34%, 03/25/24 (a),(b),(c) | | | 674,000 | | | | | | | | 673,340 | |
SG Residential Mortgage Trust, Series 2019-3 SEQ, Class B1,
4.08%, 09/25/59 (a),(b),(c) | | | 100,000 | | | | | | | | 100,058 | |
Spruce Hill Mortgage Loan Trust, Series 2018-SH1, Class B1, 4.99%, 04/29/49 (a),(b) | | | 1,972,000 | | | | | | | | 1,998,567 | |
Verus Securitization Trust, Series 2019-INV1 SEQ, Class B1, 4.99%, 12/25/59 (a),(c) | | | 275,000 | | | | | | | | 277,163 | |
Verus Securitization Trust, Series 2019-INV2, Class B1, 4.45%, 07/25/59 (a),(b),(c) | | | 288,000 | | | | | | | | 289,154 | |
| | | | | | | | | | | | |
TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES
(COST $11,301,437) | | | | | | | | | | | 11,245,576 | |
| | | | | | | | | | | | |
INTEREST ONLY COMMERCIAL MORTGAGE-BACKED
SECURITIES — 2.5% | | | | | | | | | | | | |
California Housing Finance, Rev., Series 2019 X, 0.29%, 01/15/35 (b),(c),(e) | | | 7,103,148 | | | | | | | | 153,828 | |
CoreVest American Finance Trust, Series 2019-2, Class XA,
2.38%, 06/15/52 (a),(b),(c),(e) | | | 4,348,158 | | | | | | | | 375,379 | |
CSAIL Commercial Mortgage Trust, Series 2017-CX10, Class UESX,
0.12%, 10/15/32 (a),(b),(c),(e) | | | 92,814,500 | | | | | | | | 137,885 | |
Federal Home Loan Mortgage Corp., Series K049, Class X3,
1.55%, 10/25/43 (b),(c),(e) | | | 831,000 | | | | | | | | 50,870 | |
Federal Home Loan Mortgage Corp., Series K086, Class X3,
2.30%, 11/25/46 (b),(c),(e) | | | 6,271,000 | | | | | | | | 924,296 | |
Federal Home Loan Mortgage Corp., Series K095, Class X3,
2.10%, 08/25/47 (b),(c),(e) | | | 4,356,000 | | | | | | | | 638,630 | |
Federal Home Loan Mortgage Corp., Series KG01, Class X3,
3.12%, 05/25/29 (b),(c),(e) | | | 1,961,000 | | | | | | | | 415,676 | |
Federal Home Loan Mortgage Corp., Series KS11, Class XFX,
1.60%, 06/25/29 (b),(c),(e) | | | 9,694,000 | | | | | | | | 1,032,104 | |
Federal Home Loan Mortgage Corp., Series KW01, Class X3,
4.09%, 03/25/29 (b),(e) | | | 9,077,000 | | | | | | | | 1,532,510 | |
Federal Home Loan Mortgage Corp., Series KW09, Class X3,
3.01%, 06/25/29 (b),(c),(e) | | | 2,231,000 | | | | | | | | 447,468 | |
Federal Home Loan Mortgage Corp., Series KW10, Class X3,
2.72%, 10/25/32 (b),(c),(e) | | | 2,765,000 | | | | | | | | 518,997 | |
GS Mortgage Securities Corp. II, Series 2017-SLP, Class XB,
0.46%, 10/10/32 (a),(b),(c),(e) | | | 35,804,000 | | | | | | | | 214,538 | |
GS Mortgage Securities Corp. Trust, Series 2014-GC20, Class XA,
1.01%, 04/10/47 (b),(c),(e) | | | 4,255,018 | | | | | | | | 104,116 | |
GS Mortgage Securities Corp. Trust, Series 2018-HULA, Class XCP,
0.00%, 01/15/25 (a),(b),(c),(e) | | | 92,471,000 | | | | | | | | 1,591 | |
GS Mortgage Securities Corp. Trust, Series 2020-DUNE, Class XCP,
0.93%, 12/15/36 (a),(b),(c),(e) | | | 19,594,000 | | | | | | | | 2,087 | |
| | | | | | | | | | | | |
TOTAL INTEREST ONLY COMMERCIAL MORTGAGE-BACKED SECURITIES
(COST $6,626,495) | | | | | | | | | | | 6,549,975 | |
| | | | | | | | | | | | |
COLLATERALIZED DEBT OBLIGATIONS — 1.3% | | | | | | | | | | | | |
Nomura CRE CDO Ltd., | | | | | | | | | | | | |
Series 2007-2A, Class D, 3 mo. USD LIBOR + .45%, 0.63%, 05/21/42 (a),(b),(c) | | | 6,124,082 | | | | | | | | 3,564,056 | |
Series 2007-2A, Class E, 3 mo. USD LIBOR + .50%,
0.68%, 05/21/42 (a),(b),(c),(f) | | | 5,914,294 | | | | | | | | 15,703 | |
Series 2007-2A, Class F, 3 mo. USD LIBOR + .60%,
0.78%, 05/21/42 (a),(b),(c),(f) | | | 8,082,096 | | | | | | | | 21,458 | |
| | | | | | | | | | | | |
TOTAL COLLATERALIZED DEBT OBLIGATIONS
(COST $4,518,722) | | | | | | | | | | | 3,601,217 | |
| | | | | | | | | | | | |
BANK LOAN — 8.5% | | | | | | | | | | | | |
Casablanca US Holdings, Inc., 2018 1st Lien Term Loan, 3 mo. LIBOR + 4.00%, 4.21%, 03/29/24 (b) | | | 25,334,075 | | | | | | | | 22,511,099 | |
| | | | | | | | | | | | |
TOTAL BANK LOAN
(COST $22,897,121) | | | | | | | | | | | 22,511,099 | |
| | | | | | | | | | | | |
See Notes to Consolidated Schedule of Investments.
3
Blackstone Real Estate Income Master Fund and Subsidiary
Consolidated Schedule of Investments (Continued)
March 31, 2021 (Unaudited)
| | | | | | | | | | | | |
| | | Principal
Amount | | | | | | Value | |
HIGH YIELD BONDS & NOTES — 0.1% | | | | | | | | | | | | |
ESH Hospitality, Inc., 4.63%, 10/01/27 (a),(c) | | $ | 154,000 | | | | | | | $ | 162,347 | |
| | | | | | | | | | | | |
TOTAL HIGH YIELD BONDS & NOTES
(COST $152,725) | | | | | | | | | | | 162,347 | |
| | | | | | | | | | | | |
TOTAL LONG-TERM INVESTMENTS
(COST $250,438,919) | | | | | | | | | | | 234,269,997 | |
| | | | | | | | | | | | |
TOTAL INVESTMENTS IN SECURITIES — 88.4%
(COST $250,438,919) | | | | | | | | | | | 234,269,997 | |
| | | | | | | | | | | | |
Other Assets and Liabilities (g) — 11.6% | | | | | | | | | | | 30,644,964 | |
| | | | | | | | | | | | |
Net Assets — 100.0% | | | | | | | | | | $ | 264,914,961 | |
| | | | | | | | | | | | |
Footnote Legend:
| | (a) | 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. At March 31, 2021, the total value of Rule 144A securities was $158,569,689, representing 67.69% of the Fund’s net assets. Commercial Mortgage-Backed Securities and Residential Mortgage-Backed Securities are typically sold in Rule 144A offerings. |
| | (b) | Variable/Floating interest rate security. Certain variable/floating interest rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities may not indicate a reference rate and spread in their description above. Rate presented is as of March 31, 2021. |
| | (c) | All or a portion of this security is pledged as collateral for derivative financial instruments. |
| | (d) | 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. |
| | (e) | 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. |
| | (f) | Security is currently in default due to bankruptcy or failure to make payment of principal or interest. |
| | (g) | Assets, other than investments in securities, less liabilities other than securities sold short. |
| | (h) | Security is a mortgage-backed securities (“MBS”) collateralized by properties owned by investment vehicles that are advised by an affiliate of the Investment Manager. |
Forward Foreign Currency Exchange Contracts Outstanding at March 31, 2021
| | | | | | | | | | | | | | | | | | | | |
Currency
Purchased | | Amount in
Currency
Purchased | | | Currency
Sold | | Amount in
Currency Sold | | | Counterparty | | Settlement
Date | | | Unrealized
Appreciation
(Depreciation) | |
USD | | | 20,353,929 | | | EUR | | | 16,768,000 | | | Citibank, N.A. | | | 05/17/21 | | | $ | 625,455 | |
USD | | | 3,463,134 | | | EUR | | | 2,946,000 | | | Citibank, N.A. | | | 04/06/21 | | | | 132 | |
USD | | | 2,339,384 | | | GBP | | | 1,767,000 | | | Citibank, N.A. | | | 05/20/21 | | | | (98,947 | ) |
USD | | | 3,444,730 | | | EUR | | | 2,826,000 | | | Citibank, N.A. | | | 05/11/21 | | | | 120,232 | |
| | | | | | | | | | | | | | | | | | | | |
Total Forward Foreign Currency Exchange Contracts Outstanding | | | | | | $ | 646,872 | |
| | | | | | | | | | | | | | | | | | | | |
OTC Credit Default Swaps on Index (Sell Protection) — Outstanding at March 31, 2021
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Reference Obligation | | Rating | | Receive
(Pay)
Rate | | Payment
Frequency | | Maturity
Date | | Counterparty | | Notional
Amount(a) | | | Market Value | | | Upfront
Premium Paid (Received) | | | Unrealized
Appreciation
(Depreciation) | |
CMBX.NA.AA. 1 | | AA | | 0.25% | | 1M | | 10/12/2052 | | Goldman Sachs
International | | | 3,998,757 USD | | | $ | (345,698 | ) | | $ | (634,831 | ) | | $ | 289,133 | |
CMBX.NA.AA. 1 | | AA | | 0.25% | | 1M | | 10/12/2052 | | Goldman Sachs
International | | | 284,953 USD | | | | (24,635 | ) | | | (35,621 | ) | | | 10,986 | |
| | | | | | | | | | | | | | | | | | |
Total OTC Credit Default Swaps on Index (Sell Protection) | | | $ | (370,333 | ) | | $ | (670,452 | ) | | $ | 300,119 | |
| | | | | | | | | | | | | | | | | | |
See Notes to Consolidated Schedule of Investments.
4
Blackstone Real Estate Income Master Fund and Subsidiary
Consolidated Schedule of Investments (Continued)
March 31, 2021 (Unaudited)
| (1) | Using the higher of the S&P’s or Moody’s ratings. NR represents a security that is not rated. |
| (2) | The maximum potential amount the Consolidated Master Fund could be required to pay as a seller of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
Centrally Cleared Interest Rate Swaps Outstanding at March 31, 2021
| | | | | | | | | | | | | | | | | | | | | | | | | | |
Pays/Receives
Floating Rate | | Floating
Rate Index | | Fixed
Rate | | Pay/
Receive
Payment
Frequency | | Maturity
Date | | Counterparty | | Notional Amount | | | Market Value | | | Upfront
Premium
Paid
(Received) | | | Unrealized
Appreciation
(Depreciation) | |
Receives | | 3M Libor | | 1.66% | | 3M | | 06/17/2025 | | Citibank, N.A. | | | 10,000,000 USD | | | $ | (393,958 | ) | | $ | — | | | $ | (393,958 | ) |
Receives | | 3M Libor | | 2.35% | | 3M | | 11/8/2024 | | Citibank, N.A. | | | 3,000,000 USD | | | | (208,208 | ) | | | — | | | | (208,208 | ) |
Receives | | 3M Libor | | 2.37% | | 3M | | 11/1/2024 | | Citibank, N.A. | | | 4,000,000 USD | | | | (281,322 | ) | | | — | | | | (281,322 | ) |
Receives | | 3M Libor | | 2.42% | | 3M | | 10/24/2024 | | Citibank, N.A. | | | 2,000,000 USD | | | | (145,501 | ) | | | — | | | | (145,501 | ) |
Receives | | 3M Libor | | 2.72% | | 3M | | 09/8/2028 | | Citibank, N.A. | | | 1,000,000 USD | | | | (90,007 | ) | | | — | | | | (90,007 | ) |
Receives | | 3M Libor | | 2.86% | | 3M | | 02/24/2023 | | Citibank, N.A. | | | 15,000,000 USD | | | | (778,676 | ) | | | — | | | | (778,676 | ) |
Receives | | 3M Libor | | 3.01% | | 3M | | 03/14/2023 | | Citibank, N.A. | | | 100,000,000 USD | | | | (5,442,963 | ) | | | — | | | | (5,442,963 | ) |
| | | | | | | | | | | | | | | | | | |
Total Centrally Cleared Interest Rate Swaps Outstanding | | | | | | $ | (7,340,635 | ) | | $ | — | | | $ | (7,340,635 | ) |
| | | | | | | | | | | | | | | | | | |
| | |
Abbreviation Legend: |
1M | | Monthly |
3M | | Quarterly |
6M | | Semi-Annually |
EURIBOR | | Euro Interbank Offered Rate |
LIBOR | | London Interbank Offered Rate |
OTC | | Over the Counter |
Currency Legend |
EUR | | Euro |
GBP | | British Pound |
USD | | United States Dollar |
See Notes to Consolidated Schedule of Investments.
5
Blackstone Real Estate Income Master Fund and Subsidiary
Notes to Consolidated Schedule of Investments
For the Period Ended March 31, 2021 (Unaudited)
1. Organization
Blackstone Real Estate Income Master Fund (the “Master Fund”), a Delaware statutory trust registered under the Investment Company Act of 1940, as amended (the “1940 Act”), is a non-diversified, closed-end management investment company. The Master Fund has formed a subsidiary, Blackstone Real Estate Income Master Fund (Cayman) Ltd., a wholly-owned subsidiary (the “Subsidiary”), organized in the Cayman Islands, through which the Master Fund mainly invests in securities exempt from registration pursuant to Regulation S under the Securities Act of 1933, as amended. Blackstone Real Estate Income Fund (“Feeder Fund I”) and Blackstone Real Estate Income Fund II (“Feeder Fund II” and together with Feeder Fund I, the “Feeder Funds”) invest substantially all of their assets in the Master Fund. The Master Fund’s investment objective is to seek long-term total return, with an emphasis on current income, by primarily investing in a broad range of real estate-related debt investments.
The Master Fund consolidates the Subsidiary in accordance with the consolidation policy discussed in Note 2. The Master Fund and Subsidiary are herein referred to collectively as the “Consolidated Master Fund”.
The investment manager of the Consolidated Master Fund and the Feeder Funds is Blackstone Real Estate Income Advisors L.L.C. (the “Investment Manager”), an investment advisor registered under the Investment Advisers Act of 1940, as amended. The Board of Trustees (the “Board” and each member thereof, a “Trustee”) of the Consolidated Master Fund and the Feeder Funds supervises the conduct of the Consolidated Master Fund’s and the Feeder Funds’ affairs and, pursuant to the investment management agreements (the “Investment Management Agreements”), has engaged the Investment Manager to manage the Consolidated Master Fund’s and the Feeder Funds’ day-to-day investment activities and operations.
Capitalized terms used, but not defined herein, shall have the meaning assigned to them in the Prospectus of the Feeder Funds.
Plan of Liquidation
After careful consideration and on the recommendation of the Investment Manager, the Board approved the liquidation, dissolution and termination (the “Dissolution”) of the Feeder Fund I, Feeder Fund II and the Consolidated Master Fund.
Effective July 13, 2020, the Feeder Funds suspended offers and sales of Shares, terminated their distribution reinvestment plans and do not expect to continue to offer to repurchase a portion of the Shares from shareholders, but will make periodic distributions to their shareholders consisting of liquidation proceeds in exchange for the redemption of a corresponding number of shares.
The Investment Manager has waived its management and incentive fees from November 1, 2020 through the remaining life of the Funds. Effective the same date, the Board and the Investment Manager terminated the Expense Limitation and Reimbursement Agreement with the Feeder Funds.
2. Summary of Significant Accounting Policies
Basis of Presentation
The Consolidated Master Fund’s Consolidated Schedule of Investments are prepared in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”) and are stated in U.S. dollars, unless otherwise noted.
The Consolidated Master Fund is an investment company in accordance with Accounting Standards Codifications 946, Financial Services—Investment Companies, which defines investment companies and prescribes specialized accounting and reporting requirements for investment companies.
The preparation of the Consolidated Schedule of Investments in conformity with U.S. GAAP requires the Investment Manager to make estimates and assumptions that affect the amounts in the Consolidated Schedule of Investments and accompanying notes. The Investment Manager believes that the estimates utilized in preparing the Consolidated Schedule of Investments are reasonable and prudent; however, actual results may differ from these estimates.
Consolidation
The Master Fund is presented as consolidated with the Subsidiary, Accordingly, the Consolidated Schedule of Investments include the assets and liabilities and the results of operations of the Master Fund and the Subsidiary listed above. All intercompany balances have been eliminated.
6
Blackstone Real Estate Income Master Fund and Subsidiary
Notes to Consolidated Schedule of Investments (Continued)
For the Period Ended March 31, 2021 (Unaudited)
Valuation Policy
The Consolidated Master Fund values its investments in securities, securities sold short, derivative financial instruments and other investments (together, the “investments”) at fair value. Market quotations can be obtained from third party pricing service providers or, if not available from pricing service providers, from broker-dealers. The Board has established procedures for determining the fair value of investments (the “Valuation Procedures”). The Board has delegated to the Investment Manager day-to-day responsibility for implementing the Valuation Procedures. The Investment Manager provides oversight of the valuation and pricing function of the Consolidated Master Fund for all investments. The Investment Manager will use commercially reasonable efforts to obtain two or more reliable quotations for each investment (where such asset type has multiple pre-approved pricing sources), and in connection therewith, will generally value such investments based on the average of the quotations obtained. 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 in good faith by the Investment Manager, pursuant to procedures adopted by the Board and such determinations shall be reported to the Board. Due to the inherent uncertainty of these estimates, estimates of fair value may differ from the values that would have been used had a ready market for these investments existed and the differences could be material. Market quotes are considered not readily available in circumstances where there is an absence of current or reliable market-based data (e.g., trade information, bid/ask information, or broker-dealer quotations). The Board has delegated to the Investment Manager the responsibility for monitoring significant events that may materially affect the values of the Consolidated Master Fund’s investments and for determining whether the value of the applicable investments should be re-evaluated in light of such significant events.
COVID-19 and Global Economic and Market Conditions
The ongoing novel coronavirus (“COVID19”) pandemic and restrictions on certain non-essential businesses have caused disruption in the U.S. and global economies. Although an economic recovery is partially underway, it continues to be gradual, uneven, and characterized by meaningful dispersion across sectors and regions. The estimates and assumptions underlying these Consolidated Schedule of Investments are based on the information available as of March 31, 2021 for the current period. The estimates and assumptions include judgments about the financial markets and economic conditions which have changed, and may continue to change, over time.
Fair Value of Financial Instruments
Fair value guidance defines fair value, establishes a framework for measuring fair value, and establishes disclosures about fair value measurements. U.S. GAAP defines the fair value as the price that the Consolidated Master Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date.
Valuation techniques and availability of observable inputs can vary from investment to investment and are affected by a variety of factors including the type of investment and the characteristics specific to the investment and the state of the market place, including the existence and transparency of transactions between market participants. Investments with readily available active quoted prices or for which fair value can be measured from actively quoted prices generally will have a higher degree of market price observability and a lesser degree of judgment used in measuring fair value.
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 Consolidated Master Fund does not adjust the quoted price for these investments. |
| | • | | 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. |
| | • | | Level 3 – pricing inputs are unobservable and include instances where there is minimal, if any, market activity for the investment. The Investment Manager, values its investments, in good faith, using valuation techniques applied on a consistent basis. The determination of fair value is based on the best available information in the circumstances and may incorporate the Investment Manager’s own assumptions and involves significant degree of judgment, taking into consideration a combination of internal and external factors. Due to the inherent uncertainty of these estimates, the 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. |
Changes in valuation techniques may result in transfers in or out of an investment’s assigned level within the fair value hierarchy. In addition, in periods of market dislocation, the observability of prices and inputs may be reduced for many instruments. This condition, as well as changes related to liquidity of investments, could cause a security to be reclassified between Level 1, Level 2, or Level 3.
7
Blackstone Real Estate Income Master Fund and Subsidiary
Notes to Consolidated Schedule of Investments (Continued)
For the Period Ended March 31, 2021 (Unaudited)
3. Fair Value Measurement
The following table summarizes the Consolidated Master Fund’s assets and liabilities measured at fair value at March 31, 2021:
| | | | | | | | | | | | | | | | |
| Asset Description: | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Investments in Securities: | | | | | | | | | | | | | | | | |
Commercial Mortgage-Backed Securities | | $ | — | | | $ | 190,199,783 | | | $ | — | | | $ | 190,199,783 | |
Residential Mortgage-Backed Securities | | | — | | | | 11,245,576 | | | | — | | | | 11,245,576 | |
Interest Only Commercial Mortgage-Backed Securities | | | — | | | | 6,549,975 | | | | — | | | | 6,549,975 | |
Collateralized Debt Obligations | | | — | | | | 3,601,217 | | | | — | | | | 3,601,217 | |
Bank Loan | | | — | | | | 22,511,099 | | | | — | | | | 22,511,099 | |
High Yield Bonds & Notes | | | — | | | | 162,347 | | | | — | | | | 162,347 | |
Total Investments in Securities | | $ | — | | | $ | 234,269,997 | | | $ | — | | | $ | 234,269,997 | |
Forward Foreign Currency Exchange Contracts(a) | | | — | | | | 745,819 | | | | — | | | | 745,819 | |
Total Assets | | $ | — | | | $ | 235,015,816 | | | $ | — | | | $ | 235,015,816 | |
| | | | |
| Liability Description: | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Forward Foreign Currency Exchange Contracts(a) | | $ | — | | | $ | 98,947 | | | $ | — | | | $ | 98,947 | |
Credit Default Swap Contracts | | | — | | | | 370,333 | | | | — | | | | 370,333 | |
Interest Rate Swap Contracts | | | — | | | | 7,340,635 | | | | — | | | | 7,340,635 | |
Total Liabilities | | $ | — | | | $ | 7,809,915 | | | $ | — | | | $ | 7,809,915 | |
| (a) | Represents unrealized appreciation (depreciation). |
4. Subsequent Events
The Investment Manager 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.
8
