N-Q 1 d388127dnq.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, 2017

Date of reporting period: March 31, 2017

 

 

 

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

March 31, 2017 (Unaudited)

 

     Principal
Amount		               Value  

LONG-TERM INVESTMENTS — 125.8%

           

COMMERCIAL MORTGAGE-BACKED SECURITIES — 102.9%

           

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

    $       12,573,000           $           13,644,797  

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

      7,902,000             8,680,790  

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

      10,071,000             10,427,913  

American Homes 4 Rent, Series 2015-SFR2, Class E, 6.07%, 10/17/45 (a),(c)

      4,857,000             5,183,917  

Banc of America Merrill Lynch, Series 2014-FL1, Class E, 1 mo. USD LIBOR + 5.50%, 6.41%, 12/15/31 (a),(b),(d)

      9,361,000             8,787,190  

Banc of America Merrill Lynch,

           

Series 2014-INLD, Class E, 1 mo. USD LIBOR + 3.34%,
4.11%, 12/15/29 (a),(b),(d)

      9,030,000             9,034,593  

Series 2014-INLD, Class F, 1 mo. USD LIBOR + 2.53%,
3.30%, 12/15/29 (a),(b),(c),(d)

      45,859,000             44,432,258  

Banc of America Merrill Lynch, Series 2015-ASHF, Class F, 1 mo. USD LIBOR + 5.00%, 5.91%, 01/15/28 (a),(b),(d)

      8,915,000             8,973,317  

Barclays Commercial Mortgage,

           

Series 2015-RRI, Class E, 1 mo. USD LIBOR + 3.60%,
4.51%, 05/15/32 (a),(b),(d)

      26,904,000             26,979,191  

Series 2015-RRI, Class F, 1 mo. USD LIBOR + 4.45%,
5.36%, 05/15/32 (a),(b),(c),(d)

      26,137,000             26,206,111  

BBCMS Trust, Series 2015-STP, Class E, 4.28%, 09/10/28 (a),(b),(c),(d)

      14,884,000             14,147,891  

BHMS Mortgage Trust, Series 2014-ATLS, Class EFL, 1 mo. USD LIBOR + 4.00%,
4.83%, 07/05/33 (a),(b),(d)

      10,000,000             9,867,868  

CD Commercial Mortgage Trust, Series 2016-CD2, Class D, 2.78%, 11/10/49 (c),(d)

      5,873,000             4,595,247  

CFCRE Commercial Mortgage Trust, Series 2016-C7, Class D,
4.44%, 12/10/54 (a),(c)

      1,260,000             1,008,738  

Citigroup Commercial Mortgage Trust, Series 2012-GC8, Class E,
4.88%, 09/10/45 (a),(d)

      6,296,926             5,108,476  

Citigroup Commercial Mortgage Trust, Series 2013-GC11, Class D,
4.46%, 04/10/46 (a),(c),(d)

      2,824,000             2,585,298  

Citigroup Commercial Mortgage Trust, Series 2016, Class P5, 3.00%, 10/10/49 (a),(c)

      3,024,000             2,156,916  

Citigroup Commercial Mortgage Trust, Series 2016-P6, Class D, 3.25%, 12/10/49 (a)

      1,208,000             867,756  

Colony American Homes, Series 2014-1A, Class E, 1 mo. USD LIBOR + 2.80%,
3.71%, 05/17/31 (a),(b),(c),(d)

      11,939,830             11,959,768  

Colony Starwood Homes Trust, Series 2016-1A, Class E, 1 mo. USD LIBOR +
4.15%, 5.09%, 07/17/33 (a),(d)

      6,295,000             6,463,662  

Commercial Mortgage Trust, Series 2006-CD3 SEQ, Class AJ, 5.69%, 10/15/48 (b)

      31,585,000             17,677,149  

Commercial Mortgage Trust,

           

Series 2012-CR5, Class E, 4.33%, 12/10/45 (a),(c),(d)

      848,000             759,466  

Series 2012-CR5, Class F, 4.33%, 12/10/45 (a),(b),(d)

      12,489,160             9,359,892  

Commercial Mortgage Trust, Series 2013-CR11, Class D, 5.17%, 08/10/50 (a),(c),(d)

      666,000             637,563  

Commercial Mortgage Trust,

           

Series 2013-CR8, Class D, 3.96%, 06/10/46 (a),(c),(d)

      17,866,000             15,603,368  

Series 2013-CR8, Class E, 3.96%, 06/10/46 (a),(b),(c),(d)

      10,522,000             7,443,705  

Commercial Mortgage Trust, Series 2013-LC13, Class D, 5.04%, 08/10/46 (a),(c),(d)

      2,218,000             2,127,664  

Commercial Mortgage Trust, Series 2014-CR15, Class D, 4.76%, 02/10/47 (a),(c),(d)

      1,012,000             914,378  

Commercial Mortgage Trust, Series 2014-CR17, Class E, 4.80%, 05/10/47 (a),(c),(d)

      8,387,000             6,195,978  

Commercial Mortgage Trust,

           

Series 2014-FL5, Class KH1, 1 mo. USD LIBOR + 3.65%,
4.56%, 08/15/31 (a),(c),(d)

      16,445,000             15,144,355  

Series 2014-FL5, Class KH2, 1 mo. USD LIBOR + 4.50%,
5.41%, 08/15/31 (a),(c),(d)

      10,598,000             9,557,224  

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

      2,006,000             1,485,923  

Commercial Mortgage Trust, Series 2014-UBS6, Class E, 4.46%, 12/10/47 (a),(c),(d)

      9,693,000             6,734,009  

Commercial Mortgage Trust,

           

Series 2015-CR23, Class CMD, 3.68%, 05/10/48 (a),(b),(d)

      12,898,000             12,321,766  

Series 2015-CR23, Class CME, 3.68%, 05/10/48 (a),(b),(d)

      15,044,000             13,629,076  

Commercial Mortgage Trust, Series 2015-CR24, Class D, 3.46%, 08/10/48 (c),(d)

      5,125,000             3,835,463  

Commercial Mortgage Trust, Series 2015-CR25, Class D, 3.80%, 08/10/48 (c),(d)

      1,243,000             958,067  

Commercial Mortgage Trust, Series 2015-CR26, Class D, 3.49%, 10/10/48 (c),(d)

      3,739,000             2,692,737  

Commercial Mortgage Trust, Series 2016-CD1, Class D, 2.77%, 08/10/49 (a),(c),(d)

      1,456,000             1,063,760  

Commercial Mortgage Trust, Series 2016-COR1, Class D, 3.40%, 10/10/49 (a),(b),(d)

      9,479,000             6,806,787  

Commercial Mortgage Trust, Series 2016-CR28, Class D, 3.90%, 02/10/49 (c),(d)

      2,546,000             2,246,267  

Commercial Mortgage Trust, Series 2016-DC2, Class D, 3.89%, 02/10/49 (a),(d)

      877,000             639,200  

Credit Suisse Commercial Mortgage Trust, Series 2015-SAND, Class E,
4.76%, 08/15/30 (a),(d)

      1,939,000             1,953,279  

Credit Suisse Mortgage Trust, Series 2006-C5, Class AJ, 5.37%, 12/15/39 (c)

      6,696,054             6,297,219  

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

      8,115,000             6,990,159  

See Notes to Consolidated Schedule of Investments.

 

1

Blackstone Real Estate Income Master Fund

Consolidated Schedule of Investments (Continued)

March 31, 2017 (Unaudited)

 

     Principal
Amount		             Value  

Credit Suisse Mortgage Trust, Series 2015-CSMC, Class E, 1 mo. USD LIBOR +
4.15%, 5.06%, 03/15/28 (a),(b),(d)

    $       26,859,000           $           26,891,878  

Cress Ltd.,

           

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

      11,022,607             10,120,958  

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

      7,500,000             5,377,200  

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

      4,219,000             1,871,464  

Series 2008, Class E, 8.07%, 12/21/42 (d)

      5,156,000             1,318,028  

Series 2008, Class F, 2.08%, 12/21/42 (d)

      19,862,204             2,101,024  

Equity Mortgage Trust, Series 2014-INNS, Class F, 1 mo. USD LIBOR + 3.90%,
4.75%, 05/08/31 (a),(b),(c),(d)

      24,443,000             24,013,708  

FREMF Mortgage Trust, Series 2015-K50, Class C, 3.78%, 10/25/48 (a),(c),(d)

      3,704,000             3,264,642  

FREMF Mortgage Trust, Series 2015-K51, Class C, 3.95%, 10/25/48 (a),(d)

      8,226,000             7,319,159  

FREMF Mortgage Trust, Series 2016-K53, Class C, 4.02%, 03/25/49 (a),(b),(c),(d)

      12,348,000             11,008,479  

FREMF Mortgage Trust, Series 2016-K54, Class C, 4.05%, 02/25/26 (a),(b),(c),(d)

      9,224,000             8,226,768  

FREMF Mortgage Trust,

           

Series 2016-K55, Class B, 4.16%, 04/25/49 (a),(d)

      5,291,000             5,265,226  

Series 2016-K55, Class C, 4.16%, 04/25/49 (a),(b),(d)

      4,706,000             4,123,839  

FREMF Mortgage Trust,

           

Series 2016-K56, Class B, 3.94%, 06/25/49 (a),(c),(d)

      2,664,000             2,522,577  

Series 2016-K56, Class C, 3.94%, 06/25/49 (a),(c),(d)

      1,658,000             1,433,027  

FREMF Mortgage Trust, Series 2016-K57, Class C, 3.92%, 08/25/49 (a),(c),(d)

      3,869,000             3,390,227  

FREMF Mortgage Trust, Series 2016-K58, Class C, 3.74%, 09/25/49 (a),(c),(d)

      5,205,000             4,487,669  

FREMF Mortgage Trust,

           

Series 2016-K59, Class B, 3.58%, 11/25/49 (a),(c),(d)

      955,000             880,342  

Series 2016-K59, Class C, 3.58%, 11/25/49 (a),(c),(d)

      955,000             805,424  

FREMF Mortgage Trust,

           

Series 2016-K60, Class B, 3.54%, 12/25/49 (a),(c),(d)

      1,342,000             1,228,339  

Series 2016-K60, Class C, 3.54%, 12/25/49 (a),(c),(d)

      1,744,000             1,454,146  

FREMF Mortgage Trust,

           

Series 2016-K722, Class B, 3.84%, 07/25/49 (a),(d)

      3,171,000             3,197,737  

Series 2016-K722, Class C, 3.84%, 07/25/49 (a),(b),(d)

      3,370,000             3,043,730  

FREMF Mortgage Trust, Series 2016-KF16, Class B, 1 mo. USD LIBOR + 6.64%,
7.42%, 03/25/26 (a),(c),(d)

      9,785,450             9,982,454  

FREMF Mortgage Trust, Series 2016-KF25, Class B, 1 mo. USD LIBOR + 5.00%,
3.12%, 09/25/23 (a),(b),(d)

      11,370,680             11,892,516  

FREMF Mortgage Trust, Series 2017-K63, Class B, 4.00%, 02/25/50 (a),(d)

      4,353,000             4,093,876  

FREMF Mortgage Trust,

           

Series 2017-K724, Class B, 3.50%, 11/25/23 (a),(d)

      1,897,000             1,807,289  

Series 2017-K724, Class C, 3.50%, 11/25/23 (a),(d)

      2,481,000             2,216,290  

FREMF Mortgage Trust, Series 2017-KF28, Class B, 1 mo. USD LIBOR + 4.00%,
4.79%, 01/25/24 (a),(d)

      5,478,000             5,473,811  

GAHR Commercial Mortgage Trust,

           

Series 2015-NRF, Class EFX, 3.38%, 12/15/34 (a),(b),(d)

      20,361,000             20,184,688  

Series 2015-NRF, Class FFX, 3.38%, 12/15/34 (a),(c),(d)

      4,087,000             3,987,219  

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

      11,530,160             11,105,917  

GE Commercial Mortgage Corp. Trust, Series 2007-C1, Class AM,
5.61%, 12/10/49 (b),(d)

      11,535,300             11,506,442  

Great Wolf Trust, Series 2015-WOLF, Class E, 1 mo. USD LIBOR + 4.45%,
5.36%, 05/15/34 (a),(b),(d)

      23,719,000             24,044,759  

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

      4,595,000             2,299,063  

GS Mortgage Securities Trust, Series 2007-GG10, Class AM, 5.95%, 08/10/45 (b),(d)

      30,483,000             30,466,746  

GS Mortgage Securities Trust, Series 2012-GCJ9, Class E, 4.85%, 11/10/45 (a),(c),(d)

      10,250,422             7,962,263  

GS Mortgage Securities Trust, Series 2014-GSFL, Class E, 1 mo. USD LIBOR +
5.95%, 6.86%, 07/15/31 (a),(b),(c),(d)

      19,516,000             19,231,943  

JP Morgan Chase Commercial Mortgage Securities Trust,

           

Series 2006-LDP9 SEQ, Class AJ, 5.41%, 05/15/47 (b)

      38,833,000             26,630,176  

Series 2006-LDP9 SEQ, Class AM, 5.37%, 05/15/47

      3,210,744             3,213,468  

JP Morgan Chase Commercial Mortgage Securities Trust, Series 2007-CB18,
Class AJ, 5.50%, 06/12/47 (b),(d)

      16,362,846             14,049,783  

JP Morgan Chase Commercial Mortgage Securities Trust, Series 2007-LDPX, Class AM, 5.46%, 01/15/49 (b),(d)

      8,739,890             8,728,839  

JP Morgan Chase Commercial Mortgage Securities Trust, Series 2014-INN, Class E,
1 mo. USD LIBOR + 3.60%, 4.51%, 06/15/29 (a),(b),(d)

      10,000,000             10,009,828  

See Notes to Consolidated Schedule of Investments.

 

2

Blackstone Real Estate Income Master Fund

Consolidated Schedule of Investments (Continued)

March 31, 2017 (Unaudited)

 

     Principal
Amount		               Value  

JP Morgan Chase Commercial Mortgage Securities Trust,

           

Series 2016-ATRM, Class E, 6.43%, 10/05/28 (a),(b)

    $       16,400,000           $           16,632,998  

Series 2016-ATRM, Class F, 7.29%, 10/05/28 (a),(b)

      13,600,000             13,808,753  

JP Morgan Chase Commercial Mortgage Securities Trust, Series 2016-JP2, Class D,
3.80%, 08/15/49 (a),(c),(d)

      5,934,000             4,720,715  

JP Morgan Chase Commercial Mortgage Securities Trust, Series 2016-JP3, Class D,
3.48%, 08/15/49 (a),(c),(d)

      1,413,000             1,102,142  

JP Morgan Chase Commercial Mortgage Securities Trust, Series 2016-JP4, Class D,
3.46%, 12/15/49 (a),(c),(d)

      4,056,000             3,058,862  

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

      4,728,280             3,240,384  

JP Morgan Chase Commercial Mortgage Trust, Series 2014-FL6, Class D, 1 mo. USD LIBOR + 4.25%, 5.16%, 11/15/31 (a),(b),(d)

      12,282,000             11,612,699  

JP Morgan Chase Commercial Mortgage Trust, Series 2015-SGP, Class D, 1 mo. USD LIBOR + 4.50%, 5.41%, 07/15/36 (a),(b),(d)

      30,786,000             30,929,518  

JPMBB Commercial Mortgage Securities Trust,

           

Series 2013-C17, Class D, 4.89%, 01/15/47 (a),(c),(d)

      5,168,000             4,719,547  

Series 2013-C17, Class E, 3.87%, 01/15/47 (a),(c),(d)

      4,949,000             3,454,591  

JPMDB Commercial Mortgage Securities Trust, Series 2016-C4, Class D,
3.10%, 12/15/49 (a),(c),(d)

      2,030,000             1,484,566  

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

      6,935,092             5,431,872  

LSTAR Commercial Mortgage Trust, Series 2017-5, Class C,
4.87%, 03/10/50 (a),(d)

      3,258,000             2,944,138  

Merrill Lynch Mortgage Trust, Series 2007-C1, Class AJ, 5.84%, 06/12/50 (c),(d)

      8,222,000             2,734,007  

ML-CFC Commercial Mortgage Trust, Series 2007-5, Class AJFL,
5.45%, 08/12/48 (a),(c),(d)

      5,726,257             4,958,470  

ML-CFC Commercial Mortgage Trust, Series 2007-5 SEQ, Class AJ,
5.45%, 08/12/48 (b),(d)

      6,500,120             5,616,384  

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

      12,300,651             9,689,203  

Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C10, Class F,
4.08%, 07/15/46 (a),(c),(d)

      10,598,802             7,704,684  

Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C12, Class E,
4.77%, 10/15/46 (a),(b),(d)

      6,233,532             4,714,362  

Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C7, Class F,
4.26%, 02/15/46 (a),(b),(d)

      10,844,953             7,965,680  

Morgan Stanley Bank of America Merrill Lynch Trust,

           

Series 2013-C9, Class E, 4.15%, 05/15/46 (a),(c),(d)

      5,516,000             4,165,997  

Series 2013-C9, Class F, 4.15%, 05/15/46 (c),(d)

      8,644,588             6,232,387  

Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C15, Class E,
4.89%, 04/15/47 (a),(c),(d)

      4,000,000             2,877,636  

Morgan Stanley Capital I Trust, Series 2016-UB11, Class D,
3.50%, 08/15/49 (a),(c),(d)

      2,077,000             1,637,044  

Morgan Stanley Capital I Trust, Series 2017-PRME, Class E, 1 mo. USD LIBOR +
4.50%, 5.41%, 02/15/34 (a),(b),(d)

      13,101,000             13,159,064  

Progress Residential Trust, Series 2016-SFR1, Class E, 1 mo. USD LIBOR + 3.85%,
4.79%, 09/17/33 (a),(c),(d)

      4,766,000             4,853,878  

SG Commercial Mortgage Securities Trust, Series 2016-C5, Class D,
4.85%, 10/10/48 (a),(c),(d)

      1,477,000             1,141,469  

Taurus CMBS PLC, Series 2015-EU3, Class E, REG S, 3 mo. EURIBOR + 4.00%,
4.00%, 04/22/28 (d),(e)

      3,057,416             3,187,574  

VNO Mortgage Trust, Series 2016-350P, Class E, 3.90%, 01/10/35 (a),(b),(d)

      10,000,000             9,235,585  

Wachovia Bank Commercial Mortgage Trust,

           

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

      8,645,911             8,700,685  

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

      12,645,000             12,107,600  

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

      4,498,071             4,502,266  

Wells Fargo Commercial Mortgage Trust, Series 2015-C28, Class D,
4.14%, 05/15/48 (c),(d)

      739,000             565,849  

Wells Fargo Commercial Mortgage Trust, Series 2015-C29, Class D,
4.23%, 06/15/48 (c),(d)

      4,072,000             3,283,921  

Wells Fargo Commercial Mortgage Trust, Series 2016-C36, Class D,
2.94%, 11/15/59 (a),(c)

      880,000             612,706  

Wells Fargo Commercial Mortgage Trust, Series 2016-LC25, Class D,
3.14%, 12/15/59 (a),(c)

      4,316,000             2,796,342  

WFRBS Commercial Mortgage Trust, Series 2013-C18, Class D,
4.66%, 12/15/46 (a),(c),(d)

      6,395,000             5,974,988  

WFRBS Commercial Mortgage Trust, Series 2014-C25, Class D,
3.80%, 11/15/47 (a),(c),(d)

      1,803,000             1,311,465  
          

 

 

  

TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES
(COST $959,191,354)

              969,289,143  
          

 

 

  

INTEREST ONLY COMMERCIAL MORTGAGE-BACKED SECURITIES — 0.0%

 

        

Commercial Mortgage Trust, Series 2010-C1, Class XWA, 1.96%, 07/10/46 (a),(d)

      1,375,970             70,907  
          

 

 

  

TOTAL INTEREST ONLY COMMERCIAL MORTGAGE-BACKED SECURITIES
(COST $71,035)

 

           70,907  
          

 

 

  

See Notes to Consolidated Schedule of Investments.

 

3

Blackstone Real Estate Income Master Fund

Consolidated Schedule of Investments (Continued)

March 31, 2017 (Unaudited)

 

     Principal
Amount		               Value  

MEZZANINE DEBT — 18.9%

           

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

    $       20,204,000           $           19,320,705  

CGBAM Commercial Mortgage Trust, Series 2015-SMRT, Class MZ,
8.21%, 04/10/28 (a),(c),(d)

      102,500,000             103,679,908  

Credit Suisse Mortgage Trust, Series 2015-SAMZ, Class MZ, 1 mo. USD LIBOR + 5.74%, 6.65%, 08/15/22 (a),(c),(d)

      20,017,000             20,029,010  

Equity Mortgage Trust, Series 2014-INMZ, Class M, 1 mo. USD LIBOR + 4.75%,
5.60%, 05/08/31 (a),(c),(d)

      16,055,334             15,740,266  

Simply Self Storage, Mezzanine Loan, 6.25%, 09/06/21

      19,710,000             19,716,406  
          

 

 

  

TOTAL MEZZANINE DEBT
(COST $178,644,248)

              178,486,295  
          

 

 

  

BANK LOAN — 0.4%

           

Casablanca US Holdings, Inc., 9.00%, 03/15/25

      3,497,000             3,432,888  
          

 

 

  

TOTAL BANK LOAN
(COST $3,374,605)

              3,432,888  
          

 

 

  

HIGH YIELD BONDS & NOTES — 3.6%

           

CPUK Finance Ltd., 7.00%, 02/28/42 (b),(e)

      20,770,000             27,344,755  

Diamond Resorts, Inc., 7.75%, 09/01/23 (a),(c)

      5,985,000             6,248,714  
          

 

 

  

TOTAL HIGH YIELD BONDS & NOTES
(COST $38,438,611)

              33,593,469  
          

 

 

  

TOTAL LONG-TERM INVESTMENTS
(COST $1,179,719,852)

              1,184,872,702  
          

 

 

  

SHORT-TERM INVESTMENTS — 6.9%

           

MUTUAL FUND - MONEY MARKET FUND — 6.9%

           

JP Morgan Prime Money Market, Capital Class

      65,034,985             65,034,985  
          

 

 

  

TOTAL SHORT-TERM INVESTMENTS
(COST $65,034,985)

              65,034,985  
          

 

 

  
     Contracts               Value  

PURCHASED OPTIONS — 0.1%

           

Exchange-Traded Put Options — 0.1%

           

SPDR S&P 500 ETF Trust Strike Price 225.00 USD Expires 07/21/17

      3,400             1,026,800  
          

 

 

  

TOTAL PURCHASED OPTIONS
(PREMIUMS PAID $1,054,000)

              1,026,800  
          

 

 

  

TOTAL INVESTMENTS IN SECURITIES — 132.8%
(COST $1,245,808,837) (f)

              1,250,934,487  
          

 

 

  
     Principal
Amount		               Value  

SECURITIES SOLD SHORT — (15.4)%

           

FOREIGN GOVERNMENT OBLIGATIONS — (2.5)%

           

United Kingdom Gilt, 2.00%, 07/22/20 (d)

    £ 18,099,000             (23,998,271 ) 
          

 

 

  

TOTAL FOREIGN GOVERNMENT OBLIGATIONS
(PROCEEDS $28,712,401)

              (23,998,271 ) 
          

 

 

  

U.S. TREASURY NOTES — (12.9)%

           

U.S. Treasury Notes, 1.25%, 03/31/21

    $ 41,000,000             (40,173,596 ) 

U.S. Treasury Notes, 1.25%, 10/31/21

      45,000,000             (43,762,500 ) 

U.S. Treasury Notes, 1.38%, 06/30/23

      15,000,000             (14,336,719 ) 

See Notes to Consolidated Schedule of Investments.

 

4

Blackstone Real Estate Income Master Fund

Consolidated Schedule of Investments (Continued)

March 31, 2017 (Unaudited)

 

     Principal
Amount		               Value  

U.S. Treasury Notes, 2.00%, 11/15/26

    $       23,561,000           $ (22,776,862 ) 
          

 

 

  

TOTAL U.S. TREASURY NOTES
(PROCEEDS $122,791,873)

              (121,049,677 ) 
          

 

 

  

TOTAL SECURITIES SOLD SHORT
(PROCEEDS $151,504,274)

              (145,047,948 ) 
          

 

 

  

Other Liabilities in Excess of Other Assets (g) — (17.4)%

              (163,862,917 ) 
          

 

 

  

Net Assets — 100.0%

            $      942,023,622  
          

 

 

  

 

  (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) All or a portion of this security is pledged as collateral in connection with reverse repurchase agreements.
  (c) All or a portion of this security is pledged as collateral for derivative financial instruments.
  (d) Variable/floating interest rate security. Rate presented is as of March 31, 2017.
  (e) Security is exempt from registration pursuant to Regulation S under the Securities Act of 1933, as amended. Security may only be offered or sold outside of the Unites States unless registered under the Securities Act of 1933, as amended, or otherwise exempt from registration.
  (f) The cost for federal income tax purposes was $1,245,808,837. At March 31, 2017, net unrealized appreciation for all securities based on tax cost was $5,125,650. This consisted of aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost of $30,513,887 and aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value of $25,388,237.
  (g) Assets, other than investments in securities, less liabilities other than securities sold short.

Reverse Repurchase Agreements Outstanding at March 31, 2017

 

Counterparty

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

Citigroup Global Markets, Inc.

   2.91%     03/22/17       06/20/17     $     8,660,000     $     8,666,991  

Deutsche Bank Securities, Inc.

   2.01%     11/10/16       05/10/17       20,921,108       21,160,324  

Merrill Lynch, Pierce, Fenner & Smith, Inc.

   2.78%     03/29/17       04/28/17       5,376,000       5,377,245  

Merrill Lynch, Pierce, Fenner & Smith, Inc.

   2.80%     02/21/17       05/19/17       1,838,000       1,843,575  

Merrill Lynch, Pierce, Fenner & Smith, Inc.

   2.80%     02/21/17       05/19/17       5,170,000       5,185,682  

Merrill Lynch, Pierce, Fenner & Smith, Inc.

   3.00%     02/21/17       05/19/17       3,420,000       3,431,115  

Merrill Lynch, Pierce, Fenner & Smith, Inc.

   3.10%     02/21/17       05/19/17       7,474,000       7,499,100  

Merrill Lynch, Pierce, Fenner & Smith, Inc.

   2.80%     02/21/17       05/19/17       11,679,000       11,714,426  

Merrill Lynch, Pierce, Fenner & Smith, Inc.

   2.80%     02/21/17       05/19/17       10,574,000       10,606,074  

Merrill Lynch, Pierce, Fenner & Smith, Inc.

   2.75%     02/23/17       05/23/17       5,406,000       5,421,279  

Merrill Lynch, Pierce, Fenner & Smith, Inc.

   2.85%     02/28/17       05/30/17       4,145,000       4,155,501  

Merrill Lynch, Pierce, Fenner & Smith, Inc.

   2.96%     03/22/17       06/22/17       7,466,000       7,472,139  

Merrill Lynch, Pierce, Fenner & Smith, Inc.

   2.96%     03/22/17       06/22/17       8,668,000       8,675,127  

Royal Bank of Canada

   2.76%     10/14/16       04/17/17       6,140,000       6,219,660  

Royal Bank of Canada

   2.66%     10/14/16       04/17/17       9,798,000       9,920,519  

Royal Bank of Canada

   2.76%     10/20/16       04/20/17       7,024,000       7,111,799  

Royal Bank of Canada

   2.51%     10/20/16       04/20/17       9,783,000       9,894,213  

Royal Bank of Canada

   2.79%     04/28/16       04/27/17       6,053,000       6,211,706  

Royal Bank of Canada

   2.39%     02/14/17       05/15/17       9,384,000       9,412,612  

Royal Bank of Canada

   2.54%     02/15/17       05/15/17       9,612,000       9,642,506  

Royal Bank of Canada

   2.24%     02/16/17       05/16/17       8,020,000       8,041,931  

Royal Bank of Canada

   2.75%     05/24/16       05/24/17       3,474,000       3,556,857  

Royal Bank of Canada

   2.75%     05/24/16       05/24/17       4,327,000       4,430,202  

Royal Bank of Canada

   2.70%     12/16/16       06/16/17       4,983,000       5,022,586  

Royal Bank of Canada

   2.65%     01/23/17       07/24/17       3,901,000       3,920,538  

Royal Bank of Canada

   2.63%     01/23/17       07/24/17       14,273,000       14,343,812  

Royal Bank of Canada

   2.81%     02/01/17       08/01/17       6,249,000       6,277,743  

Royal Bank of Canada

   2.86%     02/01/17       08/01/17       18,409,000       18,495,183  

Royal Bank of Canada

   2.84%     02/16/17       08/16/17       10,463,000       10,499,274  

Royal Bank of Canada

   2.94%     02/16/17       08/16/17       10,812,000       10,850,806  

Royal Bank of Canada

   2.77%     02/17/17       08/17/17       7,009,000       7,032,182  

Royal Bank of Canada

   2.76%     02/23/17       08/23/17       2,829,000       2,837,032  

See Notes to Consolidated Schedule of Investments.

 

5

Blackstone Real Estate Income Master Fund

Consolidated Schedule of Investments (Continued)

March 31, 2017 (Unaudited)

 

Counterparty

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

Royal Bank of Canada

     2.76%       02/23/17       08/23/17     $ 2,392,000     $ 2,398,791  

Royal Bank of Canada

     2.87%       03/02/17       09/01/17       8,337,000       8,356,973  

Royal Bank of Canada

     2.97%       03/02/17       09/01/17       8,834,000       8,855,900  

Royal Bank of Canada

     2.93%       03/15/17       09/14/17       5,024,000       5,030,956  

Royal Bank of Canada

     2.93%       03/15/17       09/14/17       5,598,000       5,605,751  

Royal Bank of Canada

     2.93%       03/15/17       09/14/17       2,926,000       2,930,051  

Royal Bank of Canada

     2.82%       03/30/17       09/29/17       23,886,000       23,889,749  

Royal Bank of Canada

     3.25%       01/13/17       01/12/18       1,383,000       1,392,747  

Royal Bank of Canada

     3.20%       01/13/17       01/12/18       18,870,000       19,000,950  

Royal Bank of Canada

     3.18%       01/23/17       01/22/18       4,472,000       4,498,846  

Royal Bank of Canada

     3.28%       01/23/17       01/22/18       25,346,000       25,502,945  

Royal Bank of Canada

     3.00%       01/25/17       01/24/18       11,309,000       11,371,121  

Royal Bank of Canada

     3.22%       01/25/17       01/24/18       15,406,000       15,496,981  

Royal Bank of Canada

     3.22%       01/25/17       01/24/18       12,650,000       12,724,705  

Royal Bank of Canada

     3.26%       02/16/17       02/15/18       12,274,000       12,322,873  

Royal Bank of Canada

     3.35%       03/06/17       03/05/18       12,029,000       12,058,088  

Royal Bank of Canada

     3.25%       03/06/17       03/05/18       17,592,000       17,633,269  

Royal Bank of Canada

     3.30%       03/10/17       03/09/18       10,903,000       10,924,996  

Royal Bank of Canada

     3.36%       03/21/17       03/21/18       9,027,000       9,036,276  
       

 

 

  

Total Reverse Repurchase Agreements Outstanding

         $     461,598,108     $     463,961,713  
       

 

 

  

Forward Foreign Currency Exchange Contracts Outstanding at March 31, 2017

 

Currency

Purchased

   

Amount in

Currency

Purchased

     

Currency
Sold

    

Amount in

Currency Sold

    

Counterparty

  

Settlement

Date

    

Unrealized

Appreciation

(Depreciation)

  

EUR

      2,419,584        USD       2,613,586     State Street Bank and Trust Company     10/05/17     $ (8,463 ) 

GBP

      5,484,000        USD       8,531,459     Citigroup Global Markets, Inc.     07/31/17       (1,640,137 ) 

USD

      6,245,916        EUR       5,477,000     State Street Bank and Trust Company     10/05/17       348,927  

USD

      28,180,530        EUR       25,830,000     Citigroup Global Markets, Inc.     01/31/18       178,444  

USD

      63,426,849        GBP       40,804,715     Citigroup Global Markets, Inc.     07/31/17           12,150,699  

USD

      16,484,603        GBP       13,339,000     Citigroup Global Markets, Inc.     03/15/18       (392,802 ) 
             

 

 

  

Total Forward Foreign Currency Exchange Contracts Outstanding

     $ 10,636,668  
             

 

 

  

OTC Credit Default Swaps on Index (Buy Protection) — Outstanding at March 31, 2017

 

Reference

Obligation

  

Master

Fund

Fixed

Deal

(Pay)
Rate

    

Maturity

Date

    

Counterparty

  

Notional

Amount

    

Market

Value

    

Upfront

Premium

Paid

(Received)

    

Unrealized

Appreciation

(Depreciation)

  

CMBX.NA.BB.6

     (5.00)%       05/11/63     Goldman Sachs & Co.   $     103,221,650     $ 20,967,184     $ 17,136,995     $ 3,830,189  

CMBX.NA.BB.7

     (5.00)%       01/17/47     Morgan Stanley Capital Services LLC     7,453,000       1,305,973       1,459,939       (153,966 ) 

CMBX.NA.BBB-.6

     (3.00)%       05/11/63     Merrill Lynch Capital Services, Inc.     4,813,000       612,775       371,244       241,531  

CMBX.NA.BBB-.6

     (3.00)%       05/11/63     Goldman Sachs & Co.     3,209,000       408,559       255,245       153,314  

CMBX.NA.BBB-.7

     (3.00)%       01/17/47     Morgan Stanley Capital Services LLC     3,887,320       353,617       417,089       (63,472 ) 

CMBX.NA.BBB-.7

     (3.00)%       01/17/47     Goldman Sachs & Co.     12,182,190       1,106,367       1,305,533       (199,166 ) 
         

 

 

  

Total OTC Credit Default Swaps on Index (Buy Protection)

 

   $     24,754,475     $     20,946,045     $     3,808,430  
         

 

 

  

See Notes to Consolidated Schedule of Investments.

 

6

Blackstone Real Estate Income Master Fund

Consolidated Schedule of Investments (Continued)

March 31, 2017 (Unaudited)

 

OTC Credit Default Swaps on Index (Sell Protection) — Outstanding at March 31, 2017

 

Reference

Obligation

  

Rating

    

Master
Fund

Fixed
Deal

(Pay)
Rate

    

Maturity

Date

  

Counterparty

  

Notional

Amount(a)

    

Market

Value

    

Upfront

Premium

Paid

(Received)

    

Unrealized

Appreciation

(Depreciation)

  

CMBX.NA.AA.1

     AA       0.25%    

10/12/52

   Goldman Sachs & Co.   $    14,909,267     $ (2,527,887 )    $ (2,366,950 )    $ (160,937 ) 

CMBX.NA.BB.6

     BB       5.00%    

05/11/63

   Merrill Lynch Capital

Services, Inc.

     5,136,610       (1,043,388 )      (540,435 )      (502,953 ) 

CMBX.NA.BB.6

     BB       5.00%    

05/11/63

   Citibank, N.A.     95,725,820       (19,444,573 )      900,110       (20,344,683 ) 

CMBX.NA.BB.6

     BB       5.00%    

05/11/63

   Morgan Stanley
Capital Services LLC		     2,359,220       (479,223 )      (243,206 )      (236,017 ) 

CMBX.NA.BB.7

     BB       5.00%    

01/17/47

   Goldman Sachs & Co.     8,067,000       (1,413,563 )      (117,833 )      (1,295,730 ) 

CMBX.NA.BB.7

     BB       5.00%    

01/17/47

   Citibank, N.A.     11,838,410       (2,074,418 )      (322,722 )      (1,751,696 ) 

CMBX.NA.BBB-.6

     BBB-       3.00%    

05/11/63

   Morgan Stanley
Capital Services LLC		     8,022,000       (1,021,334 )      (660,683 )      (360,651 ) 

CMBX.NA.BBB-.7

     BBB-       3.00%    

01/17/47

   Citibank, N.A.     8,611,510       (781,208 )      (339,570 )      (441,638 ) 

CMBX.NA.BBB-.7

     BBB-       3.00%    

01/17/47

   Merrill Lynch Capital
Services, Inc.		     7,458,000       (676,565 )      (790,200 )      113,635  
           

 

 

  

Total OTC Credit Default Swaps on Index (Sell Protection)

 

   $    (29,462,159 )    $    (4,481,489 )    $    (24,980,670 ) 
           

 

 

  

 

(a) 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.

OTC Total Return Swaps Outstanding at March 31, 2017

 

Reference

Instrument

  

Termination
Date

    

Counterparty

  

Financing
Rate

  

Notional

Amount

    

Unrealized

Appreciation
(Depreciation)

  

Americold Realty Operating Partnership L.P.

     03/13/2018     Citibank, N.A.   L + 1.6%(a)   $     30,635,229     $ 1,100,353  

Apple Leisure

     06/17/2017     Bank of America, N.A.   L + 1.5%(a)     10,000,000       166,667  

Casablanca US Holdings, Inc.

     03/13/2018     Citibank, N.A.   L + 1.6%(a)     42,157,050       801,705  

CPUK Finance Ltd.

     03/13/2018     Citibank, N.A.   L + 2.0%(a)   £ 30,000,000       2,945,483  

Diamond Resorts International, Inc.

     03/13/2018     Citibank, N.A.   L + 1.6%(a)     23,220,912       1,018,761  

Equinix, Inc.

     03/13/2018     Citibank, N.A.   E + 1.6%(b)   € 25,830,000       285,268  

Four Seasons Holdings, Inc.

     03/13/2018     Citibank, N.A.   L + 1.6%(c)   $ 11,549,987       217,962  

Parkdean Resorts Holdco Ltd.

     03/13/2018     Citibank, N.A.   L + 1.6%(a)   £ 13,272,305       269,178  

Quality Care Properties

     03/13/2018     Citibank, N.A.   L + 2.0%(a)   $ 5,222,000       317,937  

Quality Care Properties

     03/13/2018     Citibank, N.A.   L + 1.6%(a)     16,334,861       719,918  
         

 

 

  

Total OTC Total Return Swaps Outstanding

       $     7,843,232  
         

 

 

  

 

(a) L= 1 month LIBOR
(b) E= 3 month EurIBOR
(c) L= 3 month LIBOR

Centrally Cleared Interest Rate Swaps Outstanding at March 31, 2017

 

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

     1.86%       10/08/23     Citibank, N.A.     75,000,000  USD     $ 969,546     $ —     $ 969,546  

Receives

  

Three-Month Libor

     2.03%       05/20/21     Citibank, N.A.     100,000,000  USD           (931,362 )      —           (931,362 ) 

Receives

  

Three-Month Libor

     2.19%       07/10/24     Citibank, N.A.     49,000,000  USD       19,199       —       19,199  

Receives

  

Three-Month Libor

     2.25%       07/10/25     Citibank, N.A.     55,000,000  USD       36,270       —       36,270  
           

 

 

  

Total Centrally Cleared Interest Rate Swaps Outstanding

 

   $ 93,653     $     —     $ 93,653  
           

 

 

  

See Notes to Consolidated Schedule of Investments.

 

7

Blackstone Real Estate Income Master Fund

Consolidated Schedule of Investments (Continued)

March 31, 2017 (Unaudited)

 

Abbreviation Legend:

  REG S  

Regulation-S

Currency Legend:

  EUR  

Euro

  GBP  

British Pound

  USD  

United States Dollar

See Notes to Consolidated Schedule of Investments.

 

8

Blackstone Real Estate Income Master Fund

Notes to Consolidated Schedule of Investments

March 31, 2017 (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. (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 investment manager of the 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 Master Fund and the Feeder Funds supervises the conduct of the 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 Master Fund’s and the Feeder Funds’ day-to-day investment activities and operations.

2. Summary of Significant Accounting Policies

Basis of Presentation

The Master Fund’s Consolidated Schedule of Investments is 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 Master Fund is an investment company that applies the accounting and reporting guidance issued in Topic 946 by the U.S. Financial Accounting Standards Board. 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.

Use of Estimates

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 is reasonable and prudent; however, actual results may differ from these estimates.

3. Fair Value Hierarchy

FASB ASC Topic 820, Fair Value Measurement (“ASC 820”), establishes a framework for measuring fair value, and expands disclosures about fair value measurements. Under normal market conditions, fair value of an investment is the amount that would be received to sell an asset or transfer a liability in an orderly transaction between market participants at the measurement date (i.e., the exit price).

ASC 820 establishes a hierarchal disclosure framework which prioritizes and ranks the level of market price observability used in measuring investments at fair value. Market price observability is impacted by a number 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:

 

  •   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. These inputs require significant judgment or estimation by management of thirdparties when determining fair value and generally represent anything that does not meet the criteria of Levels 1 and 2. Due to the inherent uncertainty of these estimates, these values may differ materially from the values that would have been used had a ready market for these investments existed.

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.

 

9

Blackstone Real Estate Income Master Fund

Notes to Consolidated Schedule of Investments (Continued)

March 31, 2017 (Unaudited)

 

The following table summarizes the Master Fund’s assets and liabilities measured at fair value at March 31, 2017:

 

Asset Description:   Level 1     Level 2     Level 3     Total  

Investment in Securities:

        

Commercial Mortgage-Backed Securities

   $ —     $ 948,500,469     $ 20,788,674     $ 969,289,143  

Interest Only Commercial Mortgage-Backed Securities

     —       70,907       —       70,907  

Mezzanine Debt

     —       178,486,295       —       178,486,295  

Bank Loan

     —       3,432,888       —       3,432,888  

High Yield Bonds & Notes

       33,593,469         33,593,469  

Purchased Options

     1,026,800       —       —       1,026,800  

Mutual Fund-Money Market Fund

     65,034,985       —       —       65,034,985  

Total Investments in Securities

   $ 66,061,785     $ 1,164,084,028     $ 20,788,674     $ 1,250,934,487  

Forward Foreign Currency Exchange Contracts(a)

     —       12,678,070       —       12,678,070  

Credit Default Swap Contracts

     —       24,754,475       —       24,754,475  

Total Return Swap Contracts(a)

     —       7,843,232       —       7,843,232  

Interest Rate Swap Contracts

     —       1,025,015       —       1,025,015  

Cash and Cash Equivalents

     44,950,684       —       —       44,950,684  

Restricted Cash Segregated with Counterparties

     245,650,169       —       —       245,650,169  

Total Assets

   $     356,662,638     $     1,210,384,820     $     20,788,674     $     1,587,836,132  
Liability Description:   Level 1     Level 2     Level 3     Total  

Securities Sold Short:

        

Foreign Government Obligations

   $ —     $ 23,998,271     $ —     $ 23,998,271  

U.S. Treasury Notes

     —       121,049,677       —       121,049,677  

Total Securities Sold Short

     —       145,047,948       —       145,047,948  

Reverse Repurchase Agreements

     —       463,961,713       —       463,961,713  

Forward Foreign Currency Exchange Contracts(a)

     —       2,041,402       —       2,041,402  

Credit Default Swap Contracts

     —       29,462,159       —       29,462,159  

Interest Rate Swap Contracts

     —       931,362       —       931,362  

Total Liabilities

   $ —     $ 641,444,584     $ —     $ 641,444,584  

 

(a)  Represents unrealized appreciation (depreciation).

There were no transfers between Level 1 and Level 2 during the period ended March 31, 2017.

The following table reconciles the beginning and ending balances of investments measured at fair value using Level 3 inputs:

 

    Investments in
Securities, at fair
value		  
    Commercial
Mortgage-
Backed
Securities		  

Balance as of January 1, 2017

   $     20,822,168  

Transfers In

     —  

Transfers Out

     —  

Purchases

     —  

Sales

     (123,720 ) 

Amortization

     42,784  

Net realized gain (loss)

     122,330  

Net change in unrealized appreciation

     (74,888 ) 
 

 

 

  

Balance as of March 31, 2017

   $ 20,788,674  
 

 

 

  

Net change in unrealized appreciation related to investments still held as of March 31, 2017

   $ (74,887 ) 
 

 

 

  

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.

The following table summarizes the quantitative inputs and assumptions used for investments classified within Level 3 of the fair value hierarchy as of March 31, 2017:

 

Investments in Securities, at fair value

   Fair Value at
March 31, 2017		     Valuation
Technique		   Unobservable
Inputs		   Range of inputs
(Weighted
Average)

Commercial Mortgage-Backed Securities

   $     20,788,674     Quote from Pricing

Service Provider

   Indicative Bid   N/A

 

10

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/ Jonathan Pollack

  Jonathan Pollack
  (Principal Executive Officer)
  Chief Executive Officer and President
May 22, 2017

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/ Jonathan Pollack

  Jonathan Pollack
  (Principal Executive Officer)
  Chief Executive Officer and President
May 22, 2017
By:  

/s/ Anthony F. Marone, Jr.

  Anthony F. Marone, Jr.
  (Principal Financial and Accounting Officer)
  Chief Financial Officer and Treasurer

May 22, 2017