N-Q 1 d69751dnq.htm BLACKSTONE REAL ESTATE INCOME MASTER FUND BLACKSTONE REAL ESTATE INCOME MASTER FUND

 

 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

 

FORM N-Q

 

 

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number 811-22908

 

 

Blackstone Real Estate Income Master Fund

Exact Name of Registrant as Specified in Charter

 

 

345 Park Avenue

42nd Floor

New York, NY 10154

Address of Principal Executive Offices

Registrant’s telephone number, including area code: (212) 583-5000

 

 

Judy Turchin, Esq.

c/o Blackstone Real Estate Income Advisors L.L.C.

345 Park Avenue

42nd Floor

New York, NY 10154

Name and Address of Agent for Service

 

 

With a Copy to:

Sarah E. Cogan, Esq.

Michael W. Wolitzer, Esq.

Simpson Thacher & Bartlett LLP

425 Lexington Avenue

New York, NY 10017

 

 

Date of fiscal year end: December 31, 2015

Date of reporting period: September 30, 2015

 

 

 

Item 1. The Consolidated Schedule of Investments.

The Consolidated Schedule of Investments is attached herewith.

Blackstone Real Estate Income Master Fund

Consolidated Schedule of Investments

September 30, 2015 (Unaudited)

 

      Principal
Amount		             Value  

LONG-TERM INVESTMENTS — 133.2%

           

COMMERCIAL MORTGAGE-BACKED SECURITIES — 97.9%

           

1211 Avenue of the Americas Trust, Series 2015-1211,
Class E, 4.28%, 08/10/35 (a),(b),(c)

    $ 8,938,000            $ 8,014,142   

American Homes 4 Rent, Series 2014-SFR2, Class E,
6.23%, 10/17/36 (a),(c),(d)

      12,573,000              13,089,895   

American Homes 4 Rent, Series 2014-SFR3, Class E,
6.42%, 12/17/36 (a),(d)

      12,222,000              12,873,152   

American Homes 4 Rent, Series 2015-SFR1, Class E,
5.64%, 04/17/52 (a),(d)

      10,071,000              10,001,376   

American Homes 4 Rent,

           

Series 2015-SFR2, Class A, 3.73%, 10/17/45 (a),(c)

      1,619,000              1,632,260   

Series 2015-SFR2, Class D, 5.04%, 10/17/45 (a),(c)

      3,440,000              3,463,337   

Series 2015-SFR2, Class E, 6.07%, 10/17/45 (a),(c)

      8,906,000              8,964,089   

Banc of America Merrill Lynch, Series 2014-FL1, Class E,
5.71%, 12/15/31 (a),(b),(d)

      9,361,000              8,395,300   

Banc of America Merrill Lynch, Series 2014-FRR5, Class A714,
0.00%, 01/27/47 (a),(c),(e)

      14,843,755              11,314,977   

Banc of America Merrill Lynch,

           

Series 2014-INLD, Class E, 3.54%, 12/15/29 (a),(b),(d)

      21,112,000              20,726,218   

Series 2014-INLD, Class F, 2.73%, 12/15/29 (a),(b),(c),(d)

      45,859,000              42,166,401   

Banc of America Merrill Lynch, Series 2015-ASHF, Class F,
5.21%, 01/15/28 (a),(b),(d)

      8,915,000              8,884,978   

Barclays Commercial Mortgage,

           

Series 2015-RRI, Class E, 3.81%, 05/15/32 (a),(b),(d)

      26,904,000              26,643,744   

Series 2015-RRI, Class F, 4.66%, 05/15/32 (a),(b),(c),(d)

      26,137,000              25,857,475   

BHMS Mortgage Trust,

           

Series 2014-ATLS, Class BFX, 4.24%, 07/05/33 (a),(c),(d)

      11,129,100              11,251,355   

Series 2014-ATLS, Class EFL, 4.19%, 07/05/33 (a),(b),(d)

      10,000,000              9,866,692   

Carefree Portfolio Trust, Series 2014-CARE, Class F,
2.79%, 11/15/19 (a),(b),(d)

      13,538,000              12,933,740   

Citigroup Commercial Mortgage Trust, Series 2012-GC8, Class E,
5.00%, 09/10/45 (a),(b),(d)

      6,296,926              5,731,273   

Citigroup Commercial Mortgage Trust, Series 2013-375 P, Class E,
3.63%, 05/10/35 (a),(b),(d)

      3,099,613              2,825,080   

Colony American Homes, Series 2014-1A, Class E,
3.05%, 05/17/31 (a),(b),(c),(d)

      11,939,830              11,483,281   

Colony American Homes,
Series 2014-2A, Class E, 3.41%, 07/17/31 (a),(b),(c),(d)

      4,536,361              4,422,852   

Commercial Mortgage Trust, Series 2013-CR8, Class E,
4.00%, 06/10/46 (a),(b),(c),(d)

      10,522,000              8,476,936   

Commercial Mortgage Trust, Series 2014-CR17, Class E, 4.96%, 05/10/47 (a),(b),(c)

      8,387,000              7,486,724   

Commercial Mortgage Trust,

           

Series 2014-FL5, Class KH1, 3.85%, 08/15/31 (a),(b),(d)

      16,445,000              15,813,073   

Series 2014-FL5, Class KH2, 4.70%, 08/15/31 (a),(b),(d)

      10,598,000              10,143,547   

Commercial Mortgage Trust, Series 2014-UBS5, Class D, 3.50%, 09/10/47 (a),(c)

      2,006,000              1,582,055   

Commercial Mortgage Trust, Series 2014-UBS6, Class E, 4.62%, 12/10/47 (a),(b),(c)

      9,693,000              7,698,990   

Commercial Mortgage Trust, Series 2015-CR23,
Class CME, 3.81%, 05/10/48 (a),(b),(c)

      7,501,000              6,969,788   

Commercial Mortgage Trust, Series 2015-CR25, Class B, 4.70%, 08/10/48 (b),(c)

      2,259,000              2,360,416   

Commercial Mortgage Trust, Series 2012-CR5, Class F, 4.48%, 12/10/45 (a),(b),(c)

      12,489,160              10,874,980   

Credit Suisse Mortgage Trust, Series 2014-USA, Class E, 4.37%, 09/15/37 (a),(c),(d)

      6,506,000              6,012,054   

Credit Suisse Mortgage Trust, Series 2015-DEAL, Class E,
4.21%, 04/15/29 (a),(b),(c)

      7,993,000              7,926,910   

Credit Suisse Mortgage Trust, Series 2015-CSMC, Class E,
4.36%, 03/15/17 (a),(b),(d)

      26,859,000              26,598,385   

Cress Ltd.,

           

Series 2008, Class B, 1.48%, 12/21/42 (b)

      15,078,866              13,782,083   

Series 2008, Class C, 1.33%, 12/21/42 (b)

      7,500,000              5,400,000   

Series 2008, Class D, 1.48%, 12/21/42 (b)

      4,219,000              1,919,645   

Series 2008, Class E, 1.73%, 12/21/42 (b)

      5,156,000              1,314,780   

Series 2008, Class F, 1.00%, 12/21/42 (b)

      19,637,476              1,963,748   

Equity Mortgage Trust,

           

Series 2014-INNS, Class E, 3.65%, 05/08/31 (a),(b),(d)

      10,000,000              9,924,214   

Series 2014-INNS, Class F, 4.10%, 05/08/31 (a),(b),(c),(d)

      24,443,000              24,046,889   

GAHR Commercial Mortgage Trust,

           

Series 2015-NRF, Class EFX, 3.49%, 12/15/19 (a),(b),(d)

      23,844,000              22,484,925   

Series 2015-NRF, Class FFX, 3.49%, 12/15/19 (a),(b),(c)

      4,087,000              3,791,557   

GCCFC Commercial Mortgage Trust, Series 2007-GG9,
Class AJ, 5.51%, 03/10/39 (b),(d)

      8,454,571              8,132,587   

Great Wolf Trust, Series 2015-WOLF, Class E, 4.66%, 05/15/34 (a),(b),(d)

      23,719,000              23,564,554   

GS Mortgage Securities Trust, Series 2006-GG8, Class B, 5.66%, 11/10/39 (c)

      4,595,000              4,094,016   

GS Mortgage Securities Trust, Series 2007-GG10, Class AM, 5.99%, 08/10/45 (b),(d)

      20,483,000              20,607,555   

GS Mortgage Securities Trust, Series 2012-GCJ9, Class E, 5.01%, 11/10/45 (a),(b),(c)

      10,250,422              9,104,622   

GS Mortgage Securities Trust, Series 2014-GSFL, Class E,
6.15%, 07/15/31 (a),(b),(c),(d)

      19,516,000              19,373,350   

GS Mortgage Securities Trust, Series 2015-GC32, Class C, 4.56%, 07/10/48 (b),(c)

      6,297,000              6,228,016   

JP Morgan Chase Commercial Mortgage Securities Trust, Series 2015-C30, Class C, 4.46%, 07/15/48 (b),(c)

      4,510,500              4,218,819   

JP Morgan Chase Commercial Mortgage Trust, Series 2013-LC11, Class E,
3.25%, 04/15/46 (a),(b),(c)

      4,728,280              3,722,433   

 

See Notes to Consolidated Schedule of Investments

1

Blackstone Real Estate Income Master Fund

Consolidated Schedule of Investments (Continued)

September 30, 2015 (Unaudited)

 

     

Principal

Amount

            

Value

  

JP Morgan Chase Commercial Mortgage Trust, Series 2014-FL6, Class D,
4.46%, 11/15/31 (a),(b),(d)

    $ 12,282,000            $ 11,894,531   

JP Morgan Chase Commercial Mortgage Trust, Series 2014-INN, Class E,
3.81%, 06/15/29 (a),(b),(d)

      16,535,000              16,386,460   

JP Morgan Chase Commercial Mortgage Trust, Series 2015-SGP, Class D,
1.00%, 07/15/36 (a),(b),(d)

      39,330,000              39,330,000   

LB-UBS Commercial Mortgage Trust, Series 2006-C7, Class AJ,
5.41%, 11/15/38 (c),(d)

      13,117,428              11,637,474   

Merrill Lynch Mortgage Trust, Series 2007-C1, Class AJ, 6.03%, 06/12/50 (b),(c)

      8,222,000              3,621,199   

Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2012-C5, Class G, 4.50%, 08/15/45 (a),(d)

      12,300,651              10,686,793   

Morgan Stanley Bank of America Merrill Lynch
Trust, Series 2013-C7, Class F, 4.44%, 02/15/46 (a),(b),(d)

      10,844,953              9,201,264   

Morgan Stanley Bank of America Merrill Lynch Trust,

           

Series 2013-C9, Class E, 4.30%, 05/15/46 (a),(b),(c)

      5,516,000              4,735,831   

Series 2013-C9, Class F, 4.30%, 05/15/46 (b),(c)

      8,644,588              7,140,506   

Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C10,
Class F, 4.22%, 07/15/46 (a),(b),(c)

      10,598,802              8,965,048   

Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C12,
Class E, 4.93%, 10/15/46 (a),(b),(d)

      6,233,532              5,627,712   

Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C14,
Class D, 4.99%, 02/15/47 (a),(b),(c)

      2,315,542              2,191,610   

Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C15,
Class E, 5.06%, 04/15/47 (a),(b),(c)

      4,000,000              3,572,164   

Taurus CMBS PLC, Series 2015-EU3, Class E, REG S, 1.00%, 04/22/28 (b)

      5,477,000              5,749,934   

Wachovia Bank Commercial Mortgage Trust,

           

Series 2006-C27, Class AJ, 5.83%, 07/15/45 (b),(c),(d)

      16,829,837              16,917,253   

Series 2006-C27, Class B, 5.87%, 07/15/45 (b),(c)

      11,503,000              10,253,866   

Wachovia Bank Commercial Mortgage Trust, Series 2006-C29, Class AJ,
5.37%, 11/15/48 (b),(d)

      22,785,682              22,854,467   
          

 

 

  

TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES
(COST $733,508,121)

   

           746,925,380   
          

 

 

  

INTEREST ONLY COMMERCIAL MORTGAGE-BACKED SECURITIES — 1.2%

  

        

Commerical Mortgage Trust, Series 2013-LC6, Class XC,
0.93%, 01/10/46 (a),(b),(c)

      92,323,222              4,482,311   

JP Morgan Chase Commercial Mortgage Trust, Series 2013-C16, Class XC,
1.43%, 12/15/46 (a),(b),(c)

      36,883,521              2,952,950   

JPMBB Commercial Mortgage Securities Trust, Series 2014-C19, Class XC,
1.01%, 04/15/47 (a),(b),(c)

      28,065,772              1,597,740   
          

 

 

  

TOTAL INTEREST ONLY COMMERCIAL MORTGAGE-BACKED SECURITIES
(COST $8,914,671)

   

           9,033,001   
          

 

 

  

BANK LOAN — 2.2%

           

Four Seasons Holdings, Inc., 6.25%, 12/27/20 (b)

      17,028,000              16,942,860   
          

 

 

  

TOTAL BANK LOANS
(COST $17,064,602)

   

           16,942,860   
          

 

 

  

MEZZANINE DEBT — 23.6%

  

        

BHMS Mortgage Trust, Series 2014-MZ, Class M, 7.37%, 07/05/33 (a),(b),(c)

      20,204,000              19,965,985   

Carefree Portfolio Trust, Series 2014-CMZA, Class MZA,
6.18%, 11/15/19 (a),(b),(c)

      24,624,000              24,576,911   

CGBAM Commercial Mortgage Trust, Series 2015-SMRT, Class MZ,
8.21%, 04/10/20 (c)

      102,500,000              104,244,601   

Credit Suisse Mortgage Trust, Series 2015-SAMZ, Class MZ, 5.94%,
08/15/22 (a),(b),(c)

      14,776,000              14,776,739   

Equity Mortgage Trust, Series 2014-INMZ, Class M, 4.95%, 05/08/31 (a),(b),(c)

      16,207,241              16,062,000   
          

 

 

  

TOTAL MEZZANINE DEBT
(COST $178,733,806)

   

           179,626,236   
          

 

 

  

HIGH YIELD BONDS & NOTES — 5.6%

  

        

CPUK Finance Ltd. REG S, 7.00%, 02/28/42 (f)

      27,990,000              42,489,534   
          

 

 

  

TOTAL HIGH YIELD BONDS & NOTES
(COST $43,724,606)

   

           42,489,534   
          

 

 

  
     

Shares

            

Value

  

COMMON STOCK — 2.7%

           

REITS-Mortgage — 2.7%

           

Apollo Commercial Real Estate Finance, Inc. (c)

      1,334,516              20,965,246   
          

 

 

  

TOTAL COMMON STOCK
(COST $22,128,961)

   

           20,965,246   
          

 

 

  

TOTAL LONG-TERM INVESTMENTS
(COST $1,004,074,767)

   

           1,015,982,257   
          

 

 

  

 

See Notes to Consolidated Schedule of Investments

2

Blackstone Real Estate Income Master Fund

Consolidated Schedule of Investments (Continued)

September 30, 2015 (Unaudited)

 

     Principal
Amount		          Value  

SHORT-TERM INVESTMENTS — 2.5%

      

MUTUAL FUND-MONEY MARKET — 2.5%

      

JP Morgan Prime Money Market

   19,200,756     $ 19,200,756   
     

 

 

  

TOTAL SHORT-TERM INVESTMENTS
(COST $19,200,756)

         19,200,756   
     

 

 

  

TOTAL INVESTMENTS IN SECURITIES — 135.7%
(COST $1,023,275,523) (g)

         1,035,183,013   
     

 

 

  

SECURITIES SOLD SHORT — (28.3)%

      

HIGH YIELD BOND — (4.7)%

      

United Kingdom Gilt, 2.00%, 07/22/20

   22,669,000       (35,630,205 ) 
     

 

 

  

TOTAL HIGH YIELD BOND
(PROCEEDS $36,185,926)

         (35,630,205 ) 
     

 

 

  

U.S. TREASURY NOTES — (23.6)%

      

U.S. Treasury Notes, 1.38%, 08/31/20

   38,000,000       (38,069,278 ) 

U.S. Treasury Notes, 1.38%, 03/31/20

   50,000,000       (50,186,855 ) 

U.S. Treasury Notes, 2.00%, 08/15/25

   92,243,000       (91,883,888 ) 
     

 

 

  

TOTAL U.S. TREASURY NOTES
(PROCEEDS $178,680,061)

         (180,140,021 ) 
     

 

 

  

TOTAL SECURITIES SOLD SHORT
(PROCEEDS $214,865,987)

         (215,770,226 ) 
     

 

 

  

Other Assets and Liabilities (h) — (7.4)%

         (56,439,122 ) 
     

 

 

  

Net Assets — 100.0%

       $ 762,973,665   
     

 

 

  

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.
  (b) Variable/floating interest rate security. Rate presented is as of September 30, 2015.
  (c) All or a portion of this security is pledged as collateral for derivative financial instruments.
  (d) All or a portion of this security is pledged as collateral in connection with reverse repurchase agreements.
  (e) Non-interest bearing bond.
  (f) 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.
  (g) The cost for federal income tax purposes was $1,023,275,523. At September 30, 2015, net unrealized appreciation for all securities based on tax cost was $11,907,490. This consisted of aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost of $17,740,561 and aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value of $5,833,071.
  (h) Assets, other than investments in securities, less liabilities other than securities sold short.

 

Abbreviation Legend:

  REITS  

Real Estate Investment Trusts

Reverse Repurchase Agreements Outstanding at September 30, 2015

 

Counterparty

   Interest
Rate		   Trade
Date		     Maturity
Date		     Face
Value		     Face Value
Including
Accrued
Interest		  

Bank of America Merrill Lynch

   1.69%     9/30/2015        10/30/2015      $ 5,349,000      $ 5,349,251   

Bank of America Merrill Lynch

   1.69%     9/30/2015        10/30/2015        5,139,000        5,139,241   

Bank of America Merrill Lynch

   2.08%     8/19/2015        11/19/2015        11,864,000        11,893,475   

Bank of America Merrill Lynch

   2.08%     8/19/2015        11/19/2015        5,964,000        5,978,817   

Bank of America Merrill Lynch

   2.08%     8/19/2015        11/19/2015        10,952,000        10,979,210   

Bank of America Merrill Lynch

   2.08%     8/19/2015        11/19/2015        5,459,000        5,472,563   

Bank of America Merrill Lynch

   2.08%     8/19/2015        11/19/2015        2,255,000        2,260,602   

Bank of America Merrill Lynch

   2.08%     8/19/2015        11/19/2015        1,746,000        1,750,338   

Bank of America Merrill Lynch

   2.18%     8/19/2015        11/19/2015        7,448,000        7,467,394   

 

See Notes to Consolidated Schedule of Investments

3

Blackstone Real Estate Income Master Fund

Consolidated Schedule of Investments (Continued)

September 30, 2015 (Unaudited)

 

Counterparty

   Interest
Rate		   Trade
Date		     Maturity
Date		     Face
Value		     Face Value
Including
Accrued
Interest		  

Bank of America Merrill Lynch

   2.28%     8/19/2015        11/19/2015      $ 7,418,000      $ 7,438,202   

Bank of America Merrill Lynch

   2.28%     8/19/2015        11/19/2015        2,867,000        2,874,808   

Bank of America Merrill Lynch

   1.93%     8/26/2015        11/25/2015        1,656,000        1,659,196   

Bank of America Merrill Lynch

   1.93%     8/26/2015        11/25/2015        8,342,000        8,358,100   

Bank of America Merrill Lynch

   2.04%     9/15/2015        12/15/2015        3,430,000        3,433,110   

Bank of America Merrill Lynch

   2.04%     9/15/2015        12/15/2015        5,628,000        5,633,103   

Bank of America Merrill Lynch

   2.04%     9/15/2015        12/15/2015        6,626,000        6,632,008   

Bank of America Merrill Lynch

   2.04%     9/15/2015        12/15/2015        3,407,000        3,410,089   

Bank of America Merrill Lynch

   2.29%     9/15/2015        12/15/2015        5,240,000        5,245,333   

Bank of America Merrill Lynch

   1.92%     9/22/2015        12/22/2015        9,508,000        9,512,564   

Bank of America Merrill Lynch

   2.17%     9/22/2015        12/22/2015        8,652,000        8,656,694   

Bank of America Merrill Lynch

   2.17%     9/22/2015        12/22/2015        7,515,000        7,519,077   

RBC Capital Markets, LLC

   1.54%     7/21/2015        10/21/2015        6,266,000        6,285,321   

RBC Capital Markets, LLC

   1.45%     7/22/2015        10/22/2015        8,784,000        8,809,033   

RBC Capital Markets, LLC

   1.83%     6/30/2015        10/26/2015        16,603,000        16,681,477   

RBC Capital Markets, LLC

   1.84%     6/25/2015        10/26/2015        15,920,000        15,999,765   

RBC Capital Markets, LLC

   1.94%     6/26/2015        10/26/2015        5,397,000        5,425,208   

RBC Capital Markets, LLC

   1.66%     8/12/2015        11/12/2015        9,829,000        9,851,719   

RBC Capital Markets, LLC

   1.82%     8/17/2015        11/17/2015        13,368,000        13,398,420   

RBC Capital Markets, LLC

   1.57%     8/18/2015        11/18/2015        12,405,000        12,428,872   

RBC Capital Markets, LLC

   1.83%     9/4/2015        12/4/2015        11,798,000        11,814,215   

RBC Capital Markets, LLC

   1.93%     9/4/2015        12/4/2015        12,864,000        12,882,645   

RBC Capital Markets, LLC

   1.83%     9/9/2015        12/9/2015        11,185,000        11,197,529   

RBC Capital Markets, LLC

   1.93%     9/9/2015        12/9/2015        6,689,000        6,696,901   

RBC Capital Markets, LLC

   1.94%     6/23/2015        12/23/2015        10,332,000        10,387,783   

RBC Capital Markets, LLC

   2.04%     6/19/2015        12/23/2015        15,062,000        15,062,000   

RBC Capital Markets, LLC

   1.95%     7/14/2015        1/14/2016        20,265,000        20,351,717   

RBC Capital Markets, LLC

   2.00%     7/15/2015        1/15/2016        4,508,000        4,527,574   

RBC Capital Markets, LLC

   2.00%     7/15/2015        1/15/2016        7,408,000        7,440,165   

RBC Capital Markets, LLC

   2.10%     7/15/2015        1/15/2016        2,722,000        2,734,409   

RBC Capital Markets, LLC

   1.61%     9/21/2015        1/22/2016        18,400,000        18,408,239   

RBC Capital Markets, LLC

   1.60%     9/25/2015        1/25/2016        11,861,000        11,864,157   

RBC Capital Markets, LLC

   1.88%     9/30/2015        3/30/2016        29,498,000        29,499,543   
       

 

 

  

Total Reverse Repurchase Agreements Outstanding

         $ 377,629,000      $ 378,409,867   
       

 

 

  

Forward Foreign Currency Exchange Contracts Outstanding at September 30, 2015

 

Currency
Purchased

   

Amount in
Currency
Purchased

     

Currency

Sold

  

Amount in
Currency
Sold

    

Counterparty

  

Settlement
Date

  

Unrealized
Appreciation
(Depreciation)

  

GBP

      5,484,000       USD     8,531,459      Citigroup Global Markets, Inc.   07/31/17   $ (249,667 ) 

USD

      5,754,330       EUR     5,100,000      State Street Bank and Trust Company   09/28/16     7,365   

USD

      63,426,848       GBP     40,804,714      Citigroup Global Markets, Inc.   07/31/17         1,804,648   
             

 

 

  

Total Forward Foreign Currency Exchange Contracts Outstanding

     $ 1,562,346   
             

 

 

  

OTC Credit Default Swaps on Index (Sell Protection) — Outstanding at September 30, 2015

 

Reference

Obligation

  

Rating

    

Master
Fund
Fixed
Deal
(Pay)

Rate

    

Maturity

Date

  

Counterparty

  

Notional

Amount(1)

   

Market

Value

    

Upfront

Premium

Paid

(Received)

    

Unrealized

Appreciation

(Depreciation)

  

CMBX.NA.BB.6

     BB        5.00%     

05/25/63

   Citibank, N.A.     103,326,210  USD      $ (3,658,155)      $ 801,643      $ (4,459,798)   

CMBX.NA.BB.6

     BB        5.00%     

05/25/63

   Morgan
Stanley &
Co. LLC		     5,532,220  USD        (195,862)        35,503        (231,365)   

CMBX.NA.BB.6

     BB        5.00%     

05/25/63

   Goldman
Sachs & Co.		     26,875,610  USD        (951,503)        94,725        (1,046,228)   

CMBX.NA.BB.7

     BB        5.00%     

01/25/47

   Citibank, N.A.     11,838,410  USD        (634,608)        (322,722)        (311,886)   

CMBX.NA.BB.7

     BB        5.00%     

01/25/47

   Morgan
Stanley & Co.
LLC		     5,000,000  USD        (268,029)        (9,739)        (258,290)   

CMBX.NA.BBB-.7

     BBB        3.00%     

01/25/47

   Morgan
Stanley &
Co. LLC		     41,815,000  USD        (2,355,396)        (1,802,874)        (552,522)   

CMBX.NA.BBB-.7

     BBB        3.00%     

01/25/47

   Citibank, N.A.     4,186,000  USD        (235,793)        (199,977)        (35,816)   

CMBX.NA.BBB-.7

     BBB        3.00%     

01/25/47

   Goldman
Sachs & Co.		     11,838,000  USD        (666,822)        (557,754)        (109,068)   

CMBX.NA.BBB.6

     BB        5.00%     

01/25/47

   Citibank, N.A.     4,425,510  USD        (249,284)        (139,592)        (109,692)   

CMBX.NA.BBB.7

     BB        5.00%     

01/25/47

   Goldman
Sachs & Co.		     8,067,000  USD        (432,438)        (117,833)        (314,605)   
           

 

 

  

Total OTC Credit Default Swaps on Index (Sell Protection)

  

   $     (9,647,890)      $     (2,218,620)      $     (7,429,270)   
           

 

 

  

 

 

See Notes to Consolidated Schedule of Investments

4

Blackstone Real Estate Income Master Fund

Consolidated Schedule of Investments (Continued)

September 30, 2015 (Unaudited)

 

(1) The maximum potential amount the 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 Credit Default Swaps on Index (Buy Protection) — Outstanding at September 30, 2015

 

Reference

Obligation

  

Rating

    

Master
Fund
Fixed
Deal

(Pay)
Rate

    

Maturity
Date

  

Counterparty

  

Notional

Amount

    

Market

Value

    

Upfront

Premium

Paid

(Received)

    

Unrealized
Appreciation
(Depreciation)

  

CDX.NA.HY.20

     BB        (5.00%)     

06/20/18

   Citibank, N.A.     30,720,000  USD      $ (1,771,573)      $ (2,450,707)      $ 679,134   

CDX.NA.HY.21

     BB        (5.00%)     

06/20/18

   Citibank, N.A.     28,800,000  USD        (1,517,160)        (2,229,120)        711,960   

CDX.NA.HY.22

     BB        (5.00%)     

06/20/19

   Citibank, N.A.     58,560,000  USD        (2,920,324)        (4,449,198)        1,528,874   

CDX.NA.HY.23

     BB        (5.00%)     

12/20/19

   Citibank, N.A.     97,000,000  USD        (4,587,266)        (4,187,167)        (400,099)   
           

 

 

  

Total Centrally Cleared Credit Default Swaps on Index (Buy Protection)

  

   $     (10,796,323)      $     (13,316,192)      $     2,519,869   
           

 

 

  

OTC Total Return Swaps Outstanding at September 30, 2015

 

Reference

Instrument

  

Termination

Date

    

Counterparty

  

Notional

Amount

  

Unrealized
Appreciation
(Depreciation)

  

J.C. Penney Corp., Inc.

     05/22/2018      Citibank, N.A.  

3,421,499  USD

   $ 1896   

J.C. Penney Corp., Inc.

     05/22/2018      Citibank, N.A.  

3,436,422  USD

     1,904   

Four Seasons Holding, Inc.

     06/29/2020      Citibank, N.A.  

8,894,152  USD

     (46,943)   

Four Seasons Holding, Inc.

     06/29/2020      Citibank, N.A.  

1,996,477  USD

     (14,197)   

CPUK Finance Ltd.

     03/11/2016      Citibank, N.A.  

30,000,000  GBP

     486,520   

CityCenter Holdings LLC

     10/16/2020      Citibank, N.A.  

8,278,000  USD

     (1,639)   

CityCenter Holdings LLC

     10/16/2020      Citibank, N.A.  

3,777,000  USD

     (4,596)   
       

 

 

  

Total OTC Total Return Swaps Outstanding

     $ 422,945   
       

 

 

  

Centrally Cleared Interest Rate Swaps Outstanding at September 30, 2015

 

Master Fund

Pay/

Receives

Floating Rate

  

Floating

Rate

Index

   

Fixed
Rate

     

Maturity

Date

   

Counterparty

   

Notional

Amount

     

Market

Value

     

Upfront

Premium

Paid
(Received)

     

Unrealized

Appreciation
(Depreciation)

  

Receives

  

Three-Month Libor

      2.03%       05/20/21    Citibank, N.A.      100,000,000  USD       $ (2,901,185)       $ —       $ (2,901,185)   
                

 

 

  

Total Centrally Cleared Interest Rate Swap Outstanding

       $     (2,901,185)       $     —       $     (2,901,185)   
                

 

 

  

 

See Notes to Consolidated Schedule of Investments

 

5

Blackstone Real Estate Income Master Fund

Consolidated Notes to Schedule of Investments (Unaudited)

September 30, 2015

 

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 (the “Subsidiary”) organized in the Cayman Islands, through which the Master Fund 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 investment manager of the Master Fund and the Feeder Funds is Blackstone Real Estate Income Advisors L.L.C. (the “Investment Manager”), a registered investment advisor under the Investment Advisers Act of 1940, as amended. The Board of Trustees of the Master Fund and the Feeder Funds supervises the conduct of the Master Funds’ and Feeder Funds’ affairs and, pursuant to the investment management agreements, has engaged the Investment Manager to manage the Master Fund’s and the Feeder Funds’ day-to-day investment activities and operations.

2. Basis of Presentation

The Master Fund is an investment company that applies the accounting and reporting guidance issued in Topic 946 by the U.S. Financial Accounting Standard Board.

The Master Fund’s Consolidated Schedule of Investments is prepared in accordance with accounting principles generally accepted in the United States of America and is stated in U.S. dollars. The Master Fund’s Investment Portfolio has been consolidated and includes the portfolio holdings of the Master Fund and the Subsidiary. All inter-company transactions and balances have been eliminated.

3. Fair Value Hierarchy

Current fair value guidance defines fair value, establishes a framework for measuring fair value, and expands disclosures about fair value measurements. The hierarchy established under the fair value guidance gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3).

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 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. Inputs reflect the best estimate of what market participants would use in determining fair value of investments as of the measurement date.

Changes in valuation techniques may result in transfers in or out of an investment’s assigned level within the fair value hierarchy. 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.

 

6

Blackstone Real Estate Income Master Fund

Schedule of Investments

September 30, 2015 (Unaudited)

 

The following is a summary categorization, as of September 30, 2015, of the Master Fund’s investments based on the level of inputs utilized in determining the value of such investments:

 

Asset Description:   Level 1     Level 2     Level 3     Total  

Investments in Securities:

        

Commercial Mortgage-Backed Securities

   $ —      $ 722,545,124      $ 24,380,256      $ 746,925,380   

Interest Only Commercial Mortgage-Backed Securities

     —        9,033,001        —        9,033,001   

Bank Loans

     —        16,942,860        —        16,942,860   

Mezzanine Debt

     —        179,626,236        —        179,626,236   

High Yield Bonds & Notes

     —        42,489,534        —        42,489,534   

Common Stock

     20,965,246        —        —        20,965,246   

Mutual Fund-Money Market

     19,200,756        —        —        19,200,756   

Total Return Swap Contract

     —        422,945 1       —        422,945   

Total Investments in Securities and Swaps Contract:

   $ 40,166,002      $ 971,059,700      $ 24,380,256      $ 1,035,605,958   

Forward Foreign Currency Exchange Contracts

     1,562,346 1      —        —        1,562,346   

Cash

     29,076,987        —        —        29,076,987   

Restricted cash segregated with counterparties

     254,554,779        —        —        254,554,779   

Total Assets

   $       325,360,114      $       971,059,700      $       24,380,256      $       1,320,800,070   
Liability Description:   Level 1     Level 2     Level 3     Total  

Securities Sold Short

   $ —      $ 215,770,226      $ —      $ 215,770,226   

Reverse Repurchase Agreements

     —        378,409,867        —        378,409,867   

Credit Default Swap Contracts

     —        20,444,213        —        20,444,213   

Interest Rate Swap Contract

     —        2,901,185        —        2,901,185   

Total Liabilities

   $ —      $ 617,525,491      $ —      $ 617,525,491   

 

1 

Represents unrealized appreciation (depreciation).

There were no transfers between Level 1 and Level 2 during the period ended September 30, 2015.

The changes in investments measured at fair value for which the Master Fund used Level 3 inputs to determine fair value are as follows:

 

Asset Description:  

Commercial

Mortgage-

Backed

Securities

     Total  

Balance as of January 1, 2015

   $ 47,005,068      $ 47,005,068   

Transfers In

     —        —   

Transfers Out

     —        —   

Purchases

     —        —   

Sales

     (28,694,757 )      (28,694,757 ) 

Net realized gain (loss)

     2,069,730        2,069,730   

Amortization Premium/Discount

     156,625        156,625   

Net change in unrealized appreciation

     3,843,590        3,843,590   
 

 

 

    

 

 

  

Balance as of September 30, 2015

   $ 24,380,256      $ 24,380,256   
 

 

 

    

 

 

  

Net change in unrealized appreciation related to investments still held as of September 30, 2015

   $ 3,781,844      $ 3,781,844   
 

 

 

    

 

 

  

 

7

Blackstone Real Estate Income Master Fund

Schedule of Investments (Continued)

September 30, 2015 (Unaudited)

 

Investments that are categorized as Level 3 were valued utilizing third party pricing information without adjustment. Such valuations are based on unobservable inputs. A significant change in third party information could result in a significantly lower or higher value in such Level 3 investments.

 

8

Item 2. Controls and Procedures.

 

(a) The registrant’s principal executive officer and principal financial officer, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”), are effective as of 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 Rule 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended.

 

(b) There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the registrant’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 3. Exhibits.

Certification of Principal Executive Officer and Principal Financial Officer of the registrant as required by Rule 30a-2(a) under the 1940 Act is attached hereto as Exhibit 99.302CERT.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, as amended, and the Investment Company Act of 1940, as amended, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

 

Blackstone Real Estate Income Master Fund
By:  

/s/ Michael Nash

  Michael Nash (Principal Executive Officer)
  Chairman, Chief Executive Officer and President
November 24, 2015

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:  

/s/ Michael Nash

  Michael Nash (Principal Executive Officer)
  Chairman, Chief Executive Officer and President
November 24, 2015
By:  

/s/ Garrett Goldberg

  Garrett Goldberg
  (Principal Financial and Accounting Officer)
  Chief Financial Officer and Treasurer
November 24, 2015