STONE RIDGE REINSURANCE RISK PREMIUM INTERVAL FUND

Consolidated Schedule of Investments as of January 31, 2021 (Unaudited)

 

                                                       
     PRINCIPAL
AMOUNT
     VALUE  
EVENT LINKED BONDS - 19.8%      
Europe - 0.0% (a)      

Earthquake - 0.0% (a)

     

Azzurro Re II Class A

     

(3 Month Euribor + 4.500%), 01/17/2024 (b)(c)(d)(e) (Cost: $360,807; Original Acquisition Date: 07/06/2020)

   EUR 319,000      $ 387,780  
     

 

 

 
Global - 5.8%      

Earthquake - 0.6%

     

Acorn Re 2018-1 Class A

     

(3 Month Libor USD + 2.750%), 11/10/2021 (b)(c)(d)(e) (Cost: $6,413,000; Original Acquisition Date: 07/03/2018)

   $ 6,413,000        6,439,935  

IBRD CAR 116

     

(3 Month Libor USD + 2.500%), 02/15/2021 (b)(c)(d)(e) (Cost: $6,951,341; Original Acquisition Date: 05/08/2019)

     6,954,000        6,949,132  

IBRD CAR 117

     

(3 Month Libor USD + 3.000%), 02/15/2021 (b)(c)(d)(e) (Cost: $3,338,688; Original Acquisition Date: 10/15/2019)

     3,341,000        3,338,828  

IBRD CAR 123 Class A

     

(3 Month Libor USD + 5.500%), 12/02/2022 (b)(c)(d)(e) (Cost: $588,000; Original Acquisition Date: 11/15/2019)

     588,000        585,001  
     

 

 

 
             17,312,896  
     

 

 

 

Multiperil - 5.2%

     

Atlas Capital 2020 DAC 2020-1

     

(T-Bill 3 Month + 8.250%), 06/10/2024 (b)(c)(d)(e) (Cost: $16,135,000; Original Acquisition Date: 04/23/2020)

              16,135,000        16,570,645  

Atlas Capital UK 2019 PLC 2019-1

     

(3 Month Libor USD + 12.180%), 06/07/2023 (b)(c)(d)(e) (Cost: $4,564,000; Original Acquisition Date: 05/24/2019)

     4,564,000        4,576,779  

Hypatia Ltd. 2020-1 Class A

     

(T-Bill 3 Month + 6.750%), 06/07/2023 (b)(c)(d)(e) (Cost: $2,737,000; Original Acquisition Date: 07/10/2020)

     2,737,000        2,873,576  

Hypatia Ltd. 2020-1 Class B

     

(T-Bill 3 Month + 9.750%), 06/07/2023 (b)(c)(d)(e) (Cost: $4,211,000; Original Acquisition Date: 07/10/2020)

     4,211,000        4,477,977  

Kendall Re 2018-1 Class A

     

(3 Month Libor USD + 5.250%), 05/06/2021 (b)(c)(d)(e) (Cost: $9,458,055; Original Acquisition Date: 04/19/2018)

     9,507,000        9,521,261  

Kilimanjaro Re II 2017-1 Class A-1

     

(6 Month Libor USD + 10.610%), 04/20/2021 (b)(c)(d)(e) (Cost: $13,834,000; Original Acquisition Date: 04/06/2017)

     13,834,000        13,972,340  

Kilimanjaro Re II 2017-1 Class B-1

     

(6 Month Libor USD + 7.910%), 04/20/2021 (b)(c)(d)(e) (Cost: $28,974,902; Original Acquisition Date: 04/06/2017)

     28,976,000        29,157,100  

Kilimanjaro Re II 2017-1 Class C-1

     

(6 Month Libor USD + 6.300%), 04/20/2021 (b)(c)(d)(e) (Cost: $18,974,273; Original Acquisition Date: 04/06/2017)

     18,973,000        19,124,784  

Kilimanjaro Re II 2017-2 Class A-2

     

(6 Month Libor USD + 10.610%), 04/21/2022 (b)(c)(d)(e) (Cost: $5,929,000; Original Acquisition Date: 04/06/2017)

     5,929,000        5,926,628  

Kilimanjaro Re II 2017-2 Class B-2

     

(6 Month Libor USD + 7.910%), 04/21/2022 (b)(c)(d)(e) (Cost: $8,893,000; Original Acquisition Date: 04/06/2017)

     8,893,000        8,901,893  

Kilimanjaro Re II 2017-2 Class C-2

     

(6 Month Libor USD + 6.300%), 04/21/2022 (b)(c)(d)(e) (Cost: $6,640,000; Original Acquisition Date: 04/06/2017)

     6,640,000        6,670,876  

Matterhorn Re Ltd 2020-2 Class A

     

(T-Bill 3 Month + 5.000%), 01/08/2024 (b)(c)(d)(e) (Cost: $3,049,000; Original Acquisition Date: 01/29/2020)

     3,049,000        3,004,790  

Northshore Re 2018-1 Class A

     

(3 Month Libor USD + 8.000%), 07/08/2022 (b)(c)(d)(e) (Cost: $9,227,962; Original Acquisition Date: 07/02/2018)

     9,290,000        9,433,531  

Northshore Re II 2019-1 Class A

     

(T-Bill 3 Month + 7.660%), 07/07/2023 (b)(c)(d)(e) (Cost: $3,905,000; Original Acquisition Date: 06/21/2019)

     3,905,000        3,977,828  

 

1


STONE RIDGE REINSURANCE RISK PREMIUM INTERVAL FUND

Consolidated Schedule of Investments as of January 31, 2021 (Unaudited)

 

                                                       
     PRINCIPAL
AMOUNT
     VALUE  

Resilience Re Series 1711A

   $ 25,000,000      $  

0.000%, 05/01/2021 (b)(e)(f)(h) (Cost: $238,865; Original Acquisition Date: 02/06/2017)

     

Resilience Re Series 1741A

              75,000,000         

0.000%, 04/06/2021 (b)(e)(f)(h) (Cost: $205,044; Original Acquisition Date: 04/10/2017)

     
     

 

 

 
           138,190,008  
     

 

 

 
        155,502,904  
     

 

 

 
Japan - 1.0%      

Earthquake - 0.6%

     

Kizuna Re II 2018-1 Class B

     

(T-Bill 3 Month + 2.500%), 04/11/2023 (b)(c)(d)(e) (Cost: $388,000; Original Acquisition Date: 03/16/2018)

     388,000        388,000  

Nakama Re 2016-1 Class 2

     

(6 Month Libor USD + 3.250%), 10/13/2021 (b)(c)(d)(e) (Cost: $10,170,000; Original Acquisition Date: 09/21/2016)

     10,170,000        10,167,457  

Nakama Re 2018-1 Class 1

     

(3 Month Libor USD + 2.000%), 04/13/2023 (b)(c)(d)(e) (Cost: $1,728,304; Original Acquisition Date: 03/11/2019)

     1,744,000        1,736,675  

Nakama Re 2018-1 Class 2

     

(3 Month Libor USD + 3.000%), 04/13/2023 (b)(c)(d)(e) (Cost: $3,334,275; Original Acquisition Date: 05/02/2019)

     3,362,000        3,354,604  

Nakama Re 2020-1 Class 1

     

(T-Bill 3 Month + 2.200%), 01/14/2025 (b)(c)(d)(e) (Cost: $871,000; Original Acquisition Date: 02/04/2020)

     871,000        871,915  
     

 

 

 
        16,518,651  
     

 

 

 

Multiperil - 0.2%

     

Akibare Re 2018-1 Class A

     

(3 Month Libor USD + 1.900%), 04/07/2022 (b)(c)(d)(e) (Cost: $2,895,215; Original Acquisition Date: 01/29/2020)

     2,960,000        2,965,180  

Akibare Re 2018-1 Class B

     

(3 Month Libor USD + 1.900%), 04/07/2022 (b)(c)(d)(e) (Cost: $2,623,060; Original Acquisition Date: 03/09/2020)

     2,669,000        2,675,139  
     

 

 

 
        5,640,319  
     

 

 

 

Windstorm - 0.2%

     

Aozora Re 2017-1 Class A

     

(6 Month Libor USD + 2.000%), 04/07/2021 (b)(c)(d)(e) (Cost: $4,717,236; Original Acquisition Date: 01/31/2020)

     4,733,000        4,734,183  
     

 

 

 
        26,893,153  
     

 

 

 
Mexico - 0.3%      

Earthquake - 0.2%

     

IBRD CAR 125 Class A

     

(3 Month Libor USD + 3.500%), 03/13/2024 (b)(c)(d)(e) (Cost: $3,619,000; Original Acquisition Date: 02/28/2020)

     3,619,000        3,562,363  

IBRD CAR 126 Class B

     

(3 Month Libor USD + 9.000%), 03/13/2024 (b)(c)(d)(e) (Cost: $639,000; Original Acquisition Date: 02/28/2020)

     639,000        630,629  
     

 

 

 
        4,192,992  
     

 

 

 

Windstorm - 0.1%

     

IBRD CAR 127 Class C

     

(3 Month Libor USD + 10.000%), 03/13/2024 (b)(c)(d)(e) (Cost: $3,479,387; Original Acquisition Date: 02/28/2020)

     3,479,000        3,488,219  
     

 

 

 
        7,681,211  
     

 

 

 
United States - 12.7%      

Earthquake - 2.7%

     

Merna Re 2018-1 Class A

     

(T-Bill 3 Month + 2.000%), 04/08/2021 (b)(c)(d)(e) (Cost: $4,007,000; Original Acquisition Date: 03/26/2018)

     4,007,000        4,006,399  

Sutter Re 2020-2 Class A

     

(T-Bill 3 Month + 5.000%), 06/06/2022 (b)(c)(d)(e) (Cost: $13,219,000; Original Acquisition Date: 05/13/2020)

     13,219,000        13,475,449  

 

2


STONE RIDGE REINSURANCE RISK PREMIUM INTERVAL FUND

Consolidated Schedule of Investments as of January 31, 2021 (Unaudited)

 

                                                       
     PRINCIPAL
AMOUNT
     VALUE  

Sutter Re 2020-2 Class F

     

(T-Bill 3 Month + 8.500%), 06/06/2022 (b)(c)(d)(e) (Cost: $12,227,000; Original Acquisition Date: 05/13/2020)

   $ 12,227,000      $ 12,516,780  

Ursa Re 2018-1 Class D

     

(T-Bill 3 Month + 5.230%), 09/24/2021 (b)(c)(d)(e) (Cost: $15,966,108; Original Acquisition Date: 09/07/2018)

             16,012,000        16,052,030  

Ursa Re 2019-1 Class C

     

(T-Bill 3 Month + 5.750%), 12/10/2022 (b)(c)(d)(e) (Cost: $12,152,000; Original Acquisition Date: 11/20/2019)

     12,152,000        12,279,596  

Ursa Re II 2020-1 Class AA

     

(T-Bill 3 Month + 3.750%), 12/07/2023 (b)(c)(d)(e) (Cost: $3,683,000; Original Acquisition Date: 10/08/2020)

     3,683,000        3,760,343  

Ursa Re II 2020-1 Class D

     

(T-Bill 3 Month + 6.250%), 12/07/2023 (b)(c)(d)(e) (Cost: $9,303,000; Original Acquisition Date: 10/08/2020)

     9,303,000        9,486,269  
     

 

 

 
             71,576,866  
     

 

 

 

Fire - 0.0% (a)

     

SD Re 2020-1 Class A

     

(T-Bill 3 Month + 9.750%), 07/14/2023 (b)(c)(d)(e) (Cost: $1,062,000; Original Acquisition Date: 07/02/2020)

     1,062,000        1,061,363  
     

 

 

 

Flood - 1.4%

     

FloodSmart Re 2018 Class A

     

(T-Bill 3 Month + 11.830%), 08/06/2024 (b)(c)(e) (Cost: $7,972,753; Original Acquisition Date: 04/20/2020)

     8,107,000        8,305,622  

FloodSmart Re 2018 Class B

     

(T-Bill 3 Month + 14.080%), 08/06/2024 (b)(c)(e) (Cost: $13,031,045; Original Acquisition Date: 04/21/2020)

     13,473,000        13,735,724  

FloodSmart Re 2019 Class A

     

(T-Bill 3 Month + 11.830%), 03/07/2022 (b)(c)(e) (Cost: $11,953,676; Original Acquisition Date: 04/22/2020)

     12,203,000        12,271,337  

FloodSmart Re 2019 Class B

     

(T-Bill 3 Month + 15.080%), 03/07/2022 (b)(c)(e) (Cost: $616,417; Original Acquisition Date: 07/17/2020)

     632,000        631,431  

FloodSmart Re 2020 Class A

     

(T-Bill 3 Month + 11.000%), 02/27/2026 (b)(c)(e) (Cost: $719,588; Original Acquisition Date: 07/22/2020)

     736,000        737,030  

FloodSmart Re 2020 Class B

     

(T-Bill 3 Month + 14.500%), 02/27/2023 (b)(c)(e) (Cost: $3,408,764; Original Acquisition Date: 04/28/2020)

     3,500,000        3,541,125  
     

 

 

 
        39,222,269  
     

 

 

 

Multiperil - 5.7%

     

Armor Re II 2019-1 Class A

     

(T-Bill 3 Month + 6.330%), 06/08/2022 (b)(c)(d)(e) (Cost: $5,180,820; Original Acquisition Date: 05/09/2019)

     5,219,000        5,258,925  

Bonanza Re 2020-1 Class A

     

(T-Bill 3 Month + 4.750%), 02/20/2024 (b)(c)(d)(e) (Cost: $2,025,000; Original Acquisition Date: 02/13/2020)

     2,025,000        2,027,329  

Bowline 2018-1 Class A

     

(T-Bill 3 Month + 4.760%), 05/23/2022 (b)(c)(d)(e) (Cost: $7,246,782; Original Acquisition Date: 05/10/2018)

     7,262,000        7,295,768  

Bowline Re 2019-1 Class A

     

(T-Bill 3 Month + 4.500%), 03/20/2023 (b)(c)(d)(e) (Cost: $3,983,000; Original Acquisition Date: 03/08/2019)

     3,983,000        4,020,042  

Bowline Re 2019-1 Class B

     

(T-Bill 3 Month + 8.850%), 03/20/2023 (b)(c)(d)(e) (Cost: $4,656,065; Original Acquisition Date: 03/08/2019)

     4,662,000        4,746,382  

Caelus Re 2018-1 Class A

     

(T-Bill 3 Month + 3.190%), 06/07/2021 (b)(c)(d)(e) (Cost: $2,681,000; Original Acquisition Date: 05/04/2018)

     2,681,000        2,171,610  

Caelus Re 2018-1 Class B

     

(T-Bill 3 Month + 4.030%), 06/07/2021 (b)(c)(d)(e) (Cost: $1,743,791; Original Acquisition Date: 05/04/2018)

     1,745,000        846,325  

 

3


STONE RIDGE REINSURANCE RISK PREMIUM INTERVAL FUND

Consolidated Schedule of Investments as of January 31, 2021 (Unaudited)

 

                                                       
     PRINCIPAL
AMOUNT
     VALUE  

Caelus Re 2018-1 Class C

     

(T-Bill 3 Month + 7.240%), 06/07/2021 (b)(c)(d)(e)(f) (Cost: $3,218,000; Original Acquisition Date: 05/04/2018)

   $ 3,218,000      $ 756,230  

Caelus Re 2018-1 Class D

     

(T-Bill 3 Month + 10.700%), 06/07/2021 (b)(c)(d)(e)(f) (Cost: $536,000; Original Acquisition Date: 05/04/2018)

             536,000        41,540  

Caelus Re 2020-1 Class A-1

     

(T-Bill 3 Month + 5.500%), 06/07/2023 (b)(c)(d)(e) (Cost: $1,095,881; Original Acquisition Date: 04/20/2020)

     1,135,000        1,149,187  

Caelus Re V 2017-1 Class B

     

(T-Bill 3 Month + 0.500%), 06/05/2024 (b)(c)(d)(e) (Cost: $2,476,500; Original Acquisition Date: 04/27/2017)

     2,476,500               2,265,997  

Caelus Re V 2017-1 Class C

     

(T-Bill 3 Month + 0.500%), 06/05/2023 (b)(c)(d)(e)(f) (Cost: $3,170,000; Original Acquisition Date: 04/27/2017)

     3,170,000        79,408  

Caelus Re V 2017-1 Class D

     

(T-Bill 3 Month + 0.500%), 06/05/2023 (b)(c)(d)(e)(f) (Cost: $1,400,468; Original Acquisition Date: 04/27/2017)

     1,400,468        140  

Easton Re 2020-1 Class A

     

(T-Bill 3 Month + 4.000%), 01/08/2027 (b)(c)(d)(e) (Cost: $1,397,000; Original Acquisition Date: 12/15/2020)

     1,397,000        1,395,114  

Espada Reinsurance 2016-1 Class 20

     

(T-Bill 3 Month + 0.500%), 03/06/2021 (b)(c)(d)(e)(f) (Cost: $632,841; Original Acquisition Date: 02/12/2016)

     632,841        417,928  

Fortius Re 2017-1

     

(6 Month Libor USD + 3.420%), 07/07/2021 (b)(c)(d)(e) (Cost: $740,000; Original Acquisition Date: 07/14/2017)

     740,000        742,146  

Herbie Re 2020-1 Class A

     

(T-Bill 3 Month + 9.000%), 07/08/2024 (b)(c)(d)(e) (Cost: $5,101,000; Original Acquisition Date: 06/09/2020)

     5,101,000        5,253,265  

Kilimanjaro III Re 2019-1 Class A-1

     

(T-Bill 3 Month + 15.750%), 12/19/2023 (b)(c)(d)(e) (Cost: $14,155,618; Original Acquisition Date: 04/28/2020)

     14,750,000        14,747,050  

Kilimanjaro III Re 2019-1 Class A-2

     

(T-Bill 3 Month + 15.750%), 12/19/2024 (b)(c)(d)(e) (Cost: $10,437,644; Original Acquisition Date: 04/29/2020)

     10,883,000        10,894,427  

Kilimanjaro Re 2018-1 Class A-1

     

(3 Month Libor USD + 13.610%), 05/06/2022 (b)(c)(d)(e) (Cost: $5,391,872; Original Acquisition Date: 04/18/2018)

     5,671,000        5,628,468  

Kilimanjaro Re 2018-1 Class B-1

     

(3 Month Libor USD + 4.940%), 05/06/2022 (b)(c)(d)(e) (Cost: $5,381,688; Original Acquisition Date: 04/18/2018)

     5,389,000        5,402,742  

Kilimanjaro Re 2018-2 Class A-2

     

(3 Month Libor USD + 13.610%), 05/05/2023 (b)(c)(d)(e) (Cost: $2,538,643; Original Acquisition Date: 04/18/2018)

     2,660,000        2,596,958  

Kilimanjaro Re 2018-2 Class B-2

     

(3 Month Libor USD + 4.940%), 05/05/2023 (b)(c)(d)(e) (Cost: $4,945,000; Original Acquisition Date: 04/18/2018)

     4,945,000        4,937,830  

Long Point Re III 2018-1 Class A

     

(T-Bill 3 Month + 2.750%), 06/01/2022 (b)(c)(d)(e) (Cost: $6,047,162; Original Acquisition Date: 10/04/2018)

     6,054,000        6,047,341  

MetroCat Re 2020-1 Class A

     

(T-Bill 3 Month + 5.500%), 05/28/2024 (b)(c)(e) (Cost: $2,495,896; Original Acquisition Date: 05/06/2020)

     2,467,000        2,502,278  

Mona Lisa Re 2020-1 Class A

     

(T-Bill 3 Month + 7.500%), 01/09/2023 (b)(c)(e) (Cost: $3,937,515; Original Acquisition Date: 03/20/2020)

     4,000,000        4,042,000  

Mystic Re IV 2021-1 Class A

     

(T-Bill 3 Month + 9.000%), 12/08/2027 (b)(c)(d)(e) (Cost: $1,862,000; Original Acquisition Date: 12/15/2020)

     1,862,000        1,856,693  

Residential Re 2015-I Class 10

     

(T-Bill 3 Month + 0.500%), 03/06/2021 (b)(c)(d)(e)(f) (Cost: $8,171,509; Original Acquisition Date: 05/21/2015)

     8,171,509        817,151  

Residential Re 2016-I Class 10

     

(T-Bill 3 Month + 0.500%), 03/06/2021 (b)(c)(d)(e)(f) (Cost: $1,353,174; Original Acquisition Date: 04/28/2016)

     1,353,174        68  

 

4


STONE RIDGE REINSURANCE RISK PREMIUM INTERVAL FUND

Consolidated Schedule of Investments as of January 31, 2021 (Unaudited)

 

                                                       
     PRINCIPAL
AMOUNT
     VALUE  

Residential Re 2017-I Class 11

     

(T-Bill 3 Month + 5.170%), 06/06/2024 (b)(c)(d)(e) (Cost: $6,731,000; Original Acquisition Date: 04/19/2017)

   $ 6,731,000      $ 6,240,310  

Residential Re 2017-II Class 2

     

(T-Bill 3 Month + 13.040%), 12/06/2021 (b)(c)(d)(e) (Cost: $958,473; Original Acquisition Date: 05/27/2020)

             989,000        986,181  

Residential Re 2018-I Class 13

     

(T-Bill 3 Month + 3.360%), 06/06/2025 (b)(c)(d)(e) (Cost: $7,344,176; Original Acquisition Date: 04/30/2018)

     7,353,000        7,179,837  

Residential Re 2019-I Class 12

     

(T-Bill 3 Month + 8.680%), 06/06/2023 (b)(c)(d)(e) (Cost: $505,000; Original Acquisition Date: 05/08/2019)

     505,000        498,511  

Residential Re 2019-I Class 13

     

(T-Bill 3 Month + 4.650%), 06/06/2023 (b)(c)(d)(e) (Cost: $1,082,107; Original Acquisition Date: 05/08/2019)

     1,088,000        1,072,986  

Residential Re 2019-II Class 2

     

(T-Bill 3 Month + 12.370%), 12/06/2027 (b)(c)(d)(e) (Cost: $1,294,000; Original Acquisition Date: 11/05/2019)

     1,294,000        1,289,795  

Residential Re 2020-I Class 13

     

(T-Bill 3 Month + 5.500%), 06/06/2024 (b)(c)(d)(e) (Cost: $1,759,000; Original Acquisition Date: 05/27/2020)

     1,759,000        1,760,407  

Residential Re 2020-II Class 1

     

23.917%, 12/06/2021 (b)(d)(e)(h) (Cost: $463,026; Original Acquisition Date: 10/30/2020)

     586,000        439,441  

Residential Re 2020-II Class 3

     

(T-Bill 3 Month + 8.250%), 12/06/2024 (b)(c)(d)(e) (Cost: $586,000; Original Acquisition Date: 10/30/2020)

     586,000        583,334  

Residential Re 2020-II Class 4

     

(T-Bill 3 Month + 6.250%), 12/06/2024 (b)(c)(d)(e) (Cost: $1,269,000; Original Acquisition Date: 10/30/2020)

     1,269,000        1,273,949  

Sanders Re 2017-1 Class A

     

(6 Month Libor USD + 2.930%), 12/06/2021 (b)(c)(d)(e) (Cost: $4,540,477; Original Acquisition Date: 03/01/2019)

     4,573,000        4,550,364  

Sanders Re 2018-1 Class A

     

(T-Bill 3 Month + 5.500%), 04/07/2022 (b)(c)(d)(e) (Cost: $14,986,340; Original Acquisition Date: 03/23/2018)

     15,079,000        13,624,630  

Sanders Re II 2020-1 Class A

     

(3 Month Libor USD + 4.500%), 04/07/2024 (b)(c)(d)(e) (Cost: $2,689,000; Original Acquisition Date: 03/18/2020)

     2,689,000        2,711,453  

Spectrum Capital Ltd. 2017-1 A

     

(6 Month Libor USD + 5.750%), 06/08/2021 (b)(c)(d)(e) (Cost: $2,343,000; Original Acquisition Date: 06/13/2017)

     2,343,000        2,346,397  

Stratosphere Re 2020-1 Class A

     

(T-Bill 3 Month + 2.750%), 02/07/2027 (b)(c)(d)(e) (Cost: $563,740; Original Acquisition Date: 04/20/2020)

     568,000        567,915  

Tailwind Re 2017-1 Class A

     

(T-Bill 3 Month + 7.650%), 01/08/2022 (b)(c)(d)(e) (Cost: $1,959,767; Original Acquisition Date: 10/14/2020)

     1,936,000        1,952,553  

Tailwind Re 2017-1 Class B

     

(T-Bill 3 Month + 9.460%), 01/08/2022 (b)(c)(d)(e) (Cost: $3,757,788; Original Acquisition Date: 06/11/2019)

     3,743,000        3,776,500  

Tailwind Re 2017-1 Class C

     

(T-Bill 3 Month + 11.550%), 01/08/2022 (b)(c)(d)(e) (Cost: $3,020,094; Original Acquisition Date: 08/02/2019)

     3,027,000        3,047,432  
     

 

 

 
           151,842,337  
     

 

 

 

Windstorm - 2.9%

     

Alamo Re 2018-1 Class A

     

(T-Bill 3 Month + 3.400%), 06/07/2024 (b)(c)(d)(e) (Cost: $4,487,484; Original Acquisition Date: 07/03/2018)

     4,506,000        4,526,502  

Alamo Re 2019-1 Class A

     

(T-Bill 3 Month + 4.450%), 06/08/2022 (b)(c)(d)(e) (Cost: $2,792,000; Original Acquisition Date: 05/21/2019)

     2,792,000        2,813,778  

Alamo Re 2020-1 Class A

     

(T-Bill 3 Month + 5.750%), 06/08/2023 (b)(c)(d)(e) (Cost: $12,320,000; Original Acquisition Date: 05/29/2020)

     12,320,000        12,804,792  

 

5


STONE RIDGE REINSURANCE RISK PREMIUM INTERVAL FUND

Consolidated Schedule of Investments as of January 31, 2021 (Unaudited)

 

                                                       
     PRINCIPAL
AMOUNT
     VALUE  

Blue Halo Re 2020-1 Class A

     

(T-Bill 3 Month + 13.250%), 06/28/2023 (b)(c)(d)(e) (Cost: $3,616,000; Original Acquisition Date: 06/16/2020)

   $ 3,616,000      $ 3,733,158  

Bonanza Re 2020-2 Class A

     

(T-Bill 3 Month + 4.750%), 12/23/2028 (b)(c)(d)(e) (Cost: $1,490,000; Original Acquisition Date: 12/15/2020)

             1,490,000        1,486,871  

Cape Lookout Re 2019-1 Class A

     

(T-Bill 3 Month + 4.240%), 02/25/2022 (b)(c)(d)(e) (Cost: $13,603,381; Original Acquisition Date: 02/11/2019)

     13,609,000        13,853,962  

Cape Lookout Re 2019-2 Class A

     

(T-Bill 3 Month + 6.490%), 05/09/2022 (b)(c)(d)(e) (Cost: $2,560,000; Original Acquisition Date: 06/14/2019)

     2,560,000        2,614,784  

Citrus Re 2016-1 Class D-50

     

(T-Bill 3 Month + 0.100%), 02/25/2021 (b)(c)(d)(e)(f) (Cost: $4,189,217; Original Acquisition Date: 02/19/2016)

     4,189,217        1,048  

Citrus Re 2017-1 Class A

     

(6 Month Libor USD + 5.310%), 03/20/2023 (b)(c)(d)(e)(f)(g) (Cost: $1,100,416; Original Acquisition Date: 03/06/2017)

     1,100,416        253,206  

Everglades II 2020-2 A

     

(T-Bill 3 Month + 6.250%), 05/04/2023 (b)(c)(d)(e) (Cost: $1,649,000; Original Acquisition Date: 05/21/2020)

     1,649,000        1,679,424  

Everglades Re II 2018-1 A

     

(T-Bill 3 Month + 4.730%), 05/04/2021 (b)(c)(d)(e) (Cost: $8,030,000; Original Acquisition Date: 05/09/2018)

     8,030,000        8,076,574  

First Coast Re 2019-1 Class A

     

(T-Bill 3 Month + 5.660%), 06/07/2023 (b)(c)(d)(e) (Cost: $506,000; Original Acquisition Date: 05/16/2019)

     506,000        508,176  

Integrity Re 2020-1 Class A

     

(3 Month Libor USD + 7.250%), 04/12/2023 (b)(c)(e) (Cost: $2,061,000; Original Acquisition Date: 03/18/2020)

     2,061,000        2,117,162  

Manatee Re II 2018-1 Class A

     

(T-Bill 3 Month + 4.530%), 06/07/2021 (b)(c)(d)(e) (Cost: $4,274,614; Original Acquisition Date: 03/22/2018)

     4,280,000        4,296,906  

Manatee Re II 2018-1 Class B

     

(T-Bill 3 Month + 8.280%), 06/07/2021 (b)(c)(d)(e) (Cost: $2,291,767; Original Acquisition Date: 03/22/2018)

     2,299,000        2,300,494  

Manatee Re III 2019-1 Class B

     

(T-Bill 3 Month + 9.620%), 06/07/2022 (b)(c)(d)(e) (Cost: $507,000; Original Acquisition Date: 05/23/2019)

     507,000        504,693  

Matterhorn Re Ltd 2020-1 Class B

     

(T-Bill 3 Month + 7.500%), 12/07/2021 (b)(c)(d)(e) (Cost: $6,058,042; Original Acquisition Date: 03/12/2020)

     6,108,000        6,101,281  

Matterhorn Re Ltd 2020-2 Class B

     

(T-Bill 3 Month + 6.250%), 12/07/2021 (b)(c)(d)(e) (Cost: $4,342,656; Original Acquisition Date: 01/29/2020)

     4,347,000        4,343,088  

Matterhorn Re Ltd 2020-4 Class A

     

(T-Bill 3 Month + 10.000%), 12/07/2021 (b)(c)(d)(e) (Cost: $1,065,000; Original Acquisition Date: 06/25/2020)

     1,065,000        1,082,785  

Matterhorn Re Ltd 2020-4 Class B

     

6.036%, 12/07/2021 (b)(d)(e)(h) (Cost: $3,608,404; Original Acquisition Date: 06/25/2020)

     3,928,000        3,647,541  
        76,746,225  
     

 

 

 
        340,449,060  
     

 

 

 
TOTAL EVENT LINKED BONDS (Cost $548,819,603)            530,914,108  
     

 

 

 
PARTICIPATION NOTES - 3.3%      
Global - 3.3%      

Multiperil - 3.3%

     

Alturas Re 2019-1 Class A

     

03/10/2023 (b)(d)(e)(f)(g) (Cost: $20,001; Original Acquisition Date: 12/20/2018)

     20,001        46,976  

Alturas Re 2020-1 Class B

     

03/10/2023 (b)(d)(e)(f)(g)(i) (Cost: $4,600,000; Original Acquisition Date: 12/27/2019)

     4,600,000        2,378,200  

Eden Re II 2018-1 Class A

     

03/22/2022 (b)(d)(e)(f)(g) (Cost: $18,527; Original Acquisition Date: 12/15/2017)

     18,527        246,606  

 

6


STONE RIDGE REINSURANCE RISK PREMIUM INTERVAL FUND

Consolidated Schedule of Investments as of January 31, 2021 (Unaudited)

 

                                                       
     PRINCIPAL
AMOUNT
     VALUE  

Eden Re II 2018-1 Class B

     

03/22/2022 (b)(d)(e)(f)(g) (Cost: $91,003; Original Acquisition Date: 12/27/2017)

   $ 91,003      $ 3,033,880  

Eden Re II 2019-1 Class B

     

03/22/2023 (b)(d)(e)(f)(g) (Cost: $70,358; Original Acquisition Date: 12/19/2018)

             70,357        2,096,209  

Eden Re II 2020-1 Class B

     

03/22/2024 (b)(d)(e)(f)(i) (Cost: $5,000,000; Original Acquisition Date: 12/26/2019)

     5,000,000        10,285,767  

Eden Re II 2021-1 Class B

     

03/21/2025 (b)(d)(e)(f)(i) (Cost: $22,500,000; Original Acquisition Date: 12/21/2020)

     22,500,000        22,643,244  

Limestone Re 2016-1

     

08/31/2021 (b)(d)(e)(f)(g) (Cost: $23,371; Original Acquisition Date: 09/12/2017)

     64,520        49,743  

Limestone Re 2018-1 A

     

03/01/2022 (b)(d)(e)(f) (Cost: $1,188; Original Acquisition Date: 06/20/2018)

     9,000        64,308  

Limestone Re 2019-1 B

     

09/09/2022 (b)(d)(e)(f)(g) (Cost: $48,606; Original Acquisition Date: 12/24/2018)

     24,559        248,650  

Limestone Re 2019-2 B

     

03/01/2023 (b)(d)(e)(f)(i) (Cost: $1,039,859; Original Acquisition Date: 06/25/2019)

     1,039,859        1,870,342  

Limestone Re 2020-2 B

     

10/01/2024 (b)(d)(e)(f)(i) (Cost: $9,100,000; Original Acquisition Date: 06/26/2020)

     9,100,000        9,677,395  

Sector Re V Series 10 Class A

     

03/01/2025 (b)(e)(f)(i) (Cost: $10,000,000; Original Acquisition Date: 04/24/2020)

     10,000,000        12,112,061  

Sector Re V Series 10 Class B

     

03/01/2025 (b)(e)(f)(i) (Cost: $10,666,131; Original Acquisition Date: 04/24/2020)

     10,666,131        12,918,883  

Sector Re V Series 9 Class A

     

03/01/2023 (b)(e)(f)(i) (Cost: $4,561,699; Original Acquisition Date: 04/24/2019)

     4,561,699        1,958,362  

Sector Re V Series 9 Class B

     

03/01/2023 (b)(e)(f)(i) (Cost: $2,549,056; Original Acquisition Date: 04/24/2019)

     2,549,056        1,094,324  

Sector Re V Series 9 Class D

     

12/01/2024 (b)(e)(f)(i) (Cost: $319,973; Original Acquisition Date: 12/10/2019)

     319,973        801,985  

Sector Re V Series 9 Class G

     

03/01/2023 (b)(e)(f) (Cost: $23,759; Original Acquisition Date: 04/24/2019)

     23,759        619,111  

Sussex Re 2020-A

     

12/31/2022 (e)(f)(g) (Cost: $0; Original Acquisition Date: 01/22/2020)

     3,868,355        395,132  

Sussex Re 2021-A

     

12/31/2022 (b)(d)(e)(f)(g) (Cost: $2,471,645; Original Acquisition Date: 12/29/2020)

     2,471,645        2,487,252  

Versutus 2017 A-5

     

04/15/2021 (b)(e)(f)(g)(i) (Cost: $1,665,037; Original Acquisition Date: 12/28/2016)

     1,917,360        131,887  

Versutus 2018 A-5

     

12/31/2021 (b)(e)(f)(i) (Cost: $484,140; Original Acquisition Date: 12/15/2017)

     3,787,810        —    

Versutus 2019-B

     

12/31/2022 (b)(e)(f)(g) (Cost: $4,067,991; Original Acquisition Date: 12/21/2018)

     35,000,000        1,586,644  

Williamsburg (Horseshoe Re)

     

08/31/2021 (b)(e)(f)(g) (Cost: $0; Original Acquisition Date: 12/15/2016)

     1,602,021        711  
     

 

 

 
TOTAL PARTICIPATION NOTES (Cost $79,322,344)         86,747,672  
     

 

 

 
     SHARES         
PREFERENCE SHARES - 59.2%      
Global - 58.4%      

Marine/Energy - 0.0% (a)

     

Kauai (Artex Segregated Account Company) (b)(e)(f)(g)(i) (Cost: $27,411,567; Original Acquisition Date: 01/07/2016)

     51,394        11  
     

 

 

 

Multiperil - 58.4%

     

Altiplano (Mt. Logan Re) (b)(e)(f)(i) (Cost: $33,500,000; Original Acquisition Date: 06/01/2018)

     33,500        13,774,359  

Arenal (Artex Segregated Account Company) (b)(e)(f)(i) (Cost: $47,236,033; Original Acquisition Date: 05/07/2015)

     165,450        36,030,420  

Baldwin (Horseshoe Re) (b)(e)(f)(g)(i) (Cost: $42,549,921; Original Acquisition Date: 01/04/2018)

     1,328,746        2,210,059  

Biscayne (Artex Segregated Account Company) (b)(e)(f) (Cost: $0; Original Acquisition Date: 04/30/2014)

     46,979        860,125  

Bowery (Artex Segregated Account Company) (b)(e)(f)(g)(i) (Cost: $89,892,055; Original Acquisition Date: 09/29/2017)

     200,075        67,146,089  

Brighton (Horseshoe Re) (b)(e)(f)(g)(i) (Cost: $98,642,504; Original Acquisition Date: 06/12/2020)

     1,022,526           107,737,840  

Cardinal Re 2015-1 (b)(e)(f)(g)(i) (Cost: $55,715,759; Original Acquisition Date: 07/29/2015)

     149        44,767,654  

 

7


STONE RIDGE REINSURANCE RISK PREMIUM INTERVAL FUND

Consolidated Schedule of Investments as of January 31, 2021 (Unaudited)

 

                                                       
     SHARES      VALUE  

Carlsbad 2 (Artex Segregated Account Company) (b)(e)(f)(g) (Cost: $0; Original Acquisition Date: 12/19/2014)

     190,319      $ 2,986,549  

Cumberland (Artex Segregated Account Company) (b)(e)(f)(g)(i) (Cost: $29,918,817; Original Acquisition Date: 04/10/2015)

             28,898        10,616,849  

Cypress (Horseshoe Re) (b)(e)(f)(g)(i) (Cost: $30,191,196; Original Acquisition Date: 05/31/2017)

     125,090,500        25,935,013  

Edmund 2 (Mt. Logan Re) (b)(e)(f)(i) (Cost: $30,490,064; Original Acquisition Date: 10/31/2017)

     30,490        23,521,621  

Emerald Lake (Artex Segregated Account Company) (b)(e)(f)(g)(i) (Cost: $58,093,155; Original Acquisition Date: 12/16/2015)

     504,899        22,517,785  

Florblanca (Artex Segregated Account Company) (b)(e)(f)(g)(i) (Cost: $26,480,971; Original Acquisition Date: 12/29/2016)

     77,550        26,488,957  

Freeport (Horseshoe Re) (b)(e)(f)(i) (Cost: $30,264,500; Original Acquisition Date: 04/04/2018)

     750,718        —    

Harambee Re 2017 (b)(e)(f)(g)(i) (Cost: $17,596; Original Acquisition Date: 12/20/2016)

     37,992        89,003  

Harambee Re 2018 (b)(e)(f)(g)(i) (Cost: $151,717; Original Acquisition Date: 12/15/2017)

     151,717        322,268  

Harambee Re 2019 (b)(e)(f)(g)(i) (Cost: $150,473; Original Acquisition Date: 12/21/2018)

     150,473        298,399  

Hatteras (Artex Segregated Account Company) (b)(e)(f)(i) (Cost: $79,779,874; Original Acquisition Date: 12/30/2014)

     77,632        62,220,882  

Hudson Charles (Mt. Logan Re) (b)(e)(f)(i) (Cost: $19,013,816; Original Acquisition Date: 01/02/2014)

     19,014        16,430,443  

Hudson Charles 2 (Mt. Logan Re) (b)(e)(f)(i) (Cost: $19,105,594; Original Acquisition Date: 03/31/2017)

     19,106        15,676,629  

Hudson Charles 3 (Mt. Logan Re) (b)(e)(f)(i) (Cost: $8,240,625; Original Acquisition Date: 06/19/2014)

     8,241        6,606,512  

Hudson Charles 4 (Mt. Logan Re) (b)(e)(f)(i) (Cost: $10,968,750; Original Acquisition Date: 02/07/2018)

     10,969        10,237,735  

Hudson Paul (Mt. Logan Re) (b)(e)(f)(i) (Cost: $16,875,000; Original Acquisition Date: 01/02/2014)

     16,875        14,917,878  

Hudson Paul 3 (Mt. Logan Re) (b)(e)(f)(i) (Cost: $21,093,800; Original Acquisition Date: 03/31/2017)

     21,094        17,948,560  

Hudson Paul 4 (Mt. Logan Re) (b)(e)(f)(i) (Cost: $1,575,000; Original Acquisition Date: 02/07/2018)

     1,575        1,428,499  

Iseo (Artex Segregated Account Company) (b)(e)(f)(g)(i) (Cost: $0; Original Acquisition Date: 09/08/2017)

     183,543        5,436,002  

Kensington (Horseshoe Re) (b)(e)(f)(g) (Cost: $69,086,305; Original Acquisition Date: 08/16/2018)

     954,585        96,545,414  

Latigo (Artex Segregated Account Company) (b)(e)(f)(g)(i) (Cost: $43,767,718; Original Acquisition Date: 01/06/2014)

     473        36,417,903  

Lorimer (Horseshoe Re) (b)(e)(f)(g) (Cost: $2,130,727; Original
Acquisition Date: 01/03/2019)

     501,528        4,436,171  

LRe 2018 (Lorenz Re Ltd.) (b)(e)(f)(g)(i) (Cost: $53,225; Original
Acquisition Date: 07/10/2018)

     3,536        447,237  

LRe 2019 (Lorenz Re Ltd.) (b)(e)(f)(g)(i) (Cost: $5,500,000; Original Acquisition Date: 07/30/2019)

     55,000        3,915,253  

Mackinac (Artex Segregated Account Company) (b)(e)(f)(g)(i) (Cost: $11,173,894; Original Acquisition Date: 02/05/2015)

     55,584        20,515,858  

Madison (Artex Segregated Account Company) (b)(e)(f)(i) (Cost: $66,063,165; Original Acquisition Date: 12/12/2016)

     97,141        55,764,699  

Malibu (Horseshoe Re) (b)(e)(f)(g)(i) (Cost: $15,746,735; Original
Acquisition Date: 11/08/2016)

     15,746,735        10,892,788  

Mohonk (Artex Segregated Account Company) (b)(e)(f)(g)(i) (Cost: $77,159,598; Original Acquisition Date: 01/30/2019)

     103        74,573,137  

Mojave (Mt. Logan Re) (b)(e)(f)(i) (Cost: $31,719,991; Original
Acquisition Date: 12/30/2014)

     31,720        27,329,963  

Mojave 2 (Mt. Logan Re) (b)(e)(f)(i) (Cost: $15,859,996; Original
Acquisition Date: 12/24/2015)

     15,860        13,664,982  

Mulholland (Artex Segregated Account Company) (b)(e)(f)(i) (Cost: $12,372,687; Original Acquisition Date: 12/26/2013)

     114        —    

Pelham (Horseshoe Re) (b)(e)(f)(g)(i) (Cost: $21,129,518; Original
Acquisition Date: 01/02/2018)

     264,553        3,815,229  

Peregrine LCA (b)(e)(f)(g)(i) (Cost: $88,342,563; Original
Acquisition Date: 12/27/2016)

     12,839,275        89,738,906  

Revelstoke (Artex Segregated Account Company) (b)(e)(f)(g) (Cost: $0; Original Acquisition Date: 01/28/2015)

     15,350        17,928  

Rondout (Artex Segregated Account Company) (b)(e)(f)(i) (Cost: $175,747,317; Original Acquisition Date: 06/19/2014)

     184,131           165,338,289  

 

8


STONE RIDGE REINSURANCE RISK PREMIUM INTERVAL FUND

Consolidated Schedule of Investments as of January 31, 2021 (Unaudited)

 

                                                       
     SHARES      VALUE  

Sheepshead (Horseshoe Re) (b)(e)(f)(g)(i) (Cost: $93,012,746; Original Acquisition Date: 06/12/2020)

     969,034      $ 102,144,374  

Skytop (Artex Segregated Account Company) (b)(e)(f)(g) (Cost: $0; Original Acquisition Date: 01/09/2014)

             210        2,763,944  

SR0001 (Horseshoe Re) (b)(e)(f)(i) (Cost: $0; Original
Acquisition Date: 07/10/2015)

     1,757        —    

St. Kevins (Artex Segregated Account Company) (b)(e)(f)(g)(i) (Cost: $25,001,106; Original Acquisition Date: 12/29/2016)

     42,944        3,924,889  

Sugarloaf (Artex Segregated Account Company) (b)(e)(f)(i) (Cost: $2,262,381; Original Acquisition Date: 01/12/2016)

     19,288        —    

Sussex Designated Investment Series (b)(e)(f)(g) (Cost: $2,733,920; Original Acquisition Date: 01/22/2019)

     4,790        278,427  

Sussex Designated Investment Series Dec 19 (b)(e)(f)(g)(i) (Cost: $1,420,564; Original Acquisition Date: 01/24/2020)

     3,895        1,318,002  

Sussex Designated Investment Series May 2019 (b)(e)(f)(g)(i) (Cost: $564,313; Original Acquisition Date: 06/20/2019)

     1,378        213,393  

Sutton (Artex Segregated Account Company) (b)(e)(f)(g)(i) (Cost: $32,337,251; Original Acquisition Date: 03/24/2017)

     42,693        6,059,473  

Thopas Re 2018 (b)(e)(f)(g)(i) (Cost: $3,490,013; Original
Acquisition Date: 12/08/2017)

     81,287        141  

Thopas Re 2019 (b)(e)(f)(g)(i) (Cost: $410,516; Original
Acquisition Date: 12/21/2018)

     4,812        547,509  

Turing Re 2017-1 (b)(e)(f)(i) (Cost: $20,026,674; Original
Acquisition Date: 05/23/2017)

     400,000        —    

Twin Lakes (Artex Segregated Account Company) (b)(e)(f)(g) (Cost: $5,711,434; Original Acquisition Date: 01/04/2016)

     86,107        6,536,438  

Viribus Re 2018 (b)(e)(f)(g) (Cost: $0; Original
Acquisition Date: 12/22/2017)

     1,416,046        111,890  

Viribus Re 2019 (b)(e)(f)(g)(i) (Cost: $617,030; Original
Acquisition Date: 12/26/2018)

     601,833        47,311  

Windsor (Horseshoe Re) (b)(e)(f)(g)(i) (Cost: $1,521,913; Original
Acquisition Date: 12/29/2017)

     1,230,204        31,650,780  

Woodside (Horseshoe Re) (b)(e)(f)(g)(i) (Cost: $97,937,332; Original Acquisition Date: 06/12/2020)

     1,012,875        106,702,055  

Yellowstone (Artex Segregated Account Company) (b)(e)(f)(g)(i) (Cost: $0; Original Acquisition Date: 01/08/2014)

     100        45,164  

Yoho (Artex Segregated Account Company) (b)(e)(f) (Cost: $77,861,362; Original Acquisition Date: 05/16/2017)

     357,363        42,430,859  

Yorkville (Artex Segregated Account Company) (b)(e)(f)(g)(i) (Cost: $130,097,000; Original Acquisition Date: 05/31/2019)

     143,394        122,236,585  
     

 

 

 
        1,566,631,121  
     

 

 

 
        1,566,631,132  
     

 

 

 
United States - 0.8%      

Multiperil - 0.0% (a)

     

SR0005 (Horseshoe Re) (b)(e)(f)(i) (Cost: $6,360,627; Original
Acquisition Date: 04/15/2016)

     6,966,774        —    

Yosemite (Horseshoe Re) (b)(e)(f)(g) (Cost: $0; Original
Acquisition Date: 07/11/2017)

     162,602        4,985  
     

 

 

 
        4,985  
     

 

 

 

Windstorm - 0.8%

     

Riverdale (Horseshoe Re) (b)(e)(f)(g)(i) (Cost: $25,161,000; Original Acquisition Date: 06/10/2020)

     251,610        21,753,042  

SR0006 (Horseshoe Re) (b)(e)(f)(i) (Cost: $2,470,449; Original
Acquisition Date: 08/09/2016)

     39,381,541        —    
     

 

 

 
        21,753,042  
     

 

 

 
        21,758,027  
     

 

 

 
TOTAL PREFERENCE SHARES (Cost $1,942,209,857)         1,588,389,159  
     

 

 

 
PRIVATE FUND UNITS - 0.8%      
Global - 0.8%      

Multiperil - 0.8%

     

Aeolus Property Catastrophe J17 Keystone Fund (b)(e)(f)(g)(i) (Cost: $14,296,089; Original Acquisition Date: 01/20/2017)

     16,342        8,668,471  

 

9


STONE RIDGE REINSURANCE RISK PREMIUM INTERVAL FUND

Consolidated Schedule of Investments as of January 31, 2021 (Unaudited)

 

                                                       
     SHARES      VALUE  

Aeolus Property Catastrophe J18 Keystone Fund (b)(e)(f)(g)(i) (Cost: $6,901,985; Original Acquisition Date: 02/20/2018)

     6,897      $ 8,885,134  

Aeolus Property Catastrophe J19 Keystone Fund (b)(d)(e)(f)(g)(i) (Cost: $667,239; Original Acquisition Date: 01/14/2019)

     667        1,133,168  

Aeolus Property Catastrophe MY17 Keystone Fund (b)(e)(f)(g)(i) (Cost: $5,588,874; Original Acquisition Date: 07/06/2017)

     5,589        1,040,450  

Aeolus Property Catastrophe MY18 Keystone Fund (b)(e)(f)(g)(i) (Cost: $3,105,726; Original Acquisition Date: 07/17/2018)

     3,106        2,786,179  
     

 

 

 
TOTAL PRIVATE FUND UNITS (Cost $30,559,913)         22,513,402  
     

 

 

 
LIMITED LIABILITY PARTNERSHIP - 0.0%      
Operating Companies - 0.0%      
Global - 0.0%      

Multiperil - 0.0%

     

Point Dume LLP (f)(i)(g)(j)

        —    
     

 

 

 
TOTAL LIMITED LIABILITY PARTNERSHIP (Cost $50,015,324)         —    
     

 

 

 
SHORT-TERM INVESTMENTS - 9.7%      

Money Market Fund - 9.7%

     

Fidelity Institutional Money Market Funds - Government Portfolio - Institutional Class - 0.01% (k)

     127,933,549        127,933,549  

First American Government Obligations Fund - Class Z - 0.04% (k)

     1,139,440        1,139,440  

First American Treasury Obligations Fund - Class Z - 0.03% (k)

     1,139,440        1,139,440  

Morgan Stanley Institutional Liquidity Funds - Government Portfolio - Institutional Class - 0.03% (k)

     129,072,989        129,072,989  

Short-Term Investments Trust - Treasury Portfolio - Institutional Class - 0.01% (k)

     1,139,440        1,139,440  
     

 

 

 
TOTAL SHORT-TERM INVESTMENTS (Cost $260,424,858)         260,424,858  
     

 

 

 
TOTAL INVESTMENTS (Cost $2,911,351,899) - 92.8%         2,488,989,199  
     

 

 

 

OTHER ASSETS IN EXCESS OF LIABILITIES - 7.2%

        192,605,670  
     

 

 

 
TOTAL NET ASSETS - 100.0%       $ 2,681,594,869  
     

 

 

 

Principal amounts stated in U.S. dollars unless otherwise stated.

Country shown is geographic area of peril risk.

Percentages are stated a as percent of net assets.

 

(a)

Rounds to zero.

(b)

Foreign issued security. Total foreign securities by country of domicile are $2,228,169,208. Foreign concentration is as follows: Bermuda: 79.6%, Cayman Islands: 1.3%, Supranational: 0.7%, Singapore: 0.7%, Ireland: 0.6%, and Great Britain: 0.2%.

(c)

Variable rate security. Reference rates as of January 31, 2021 are as follows: 3 Month Euribor -0.54%, 3 Month Libor 0.20%, T-Bill 3 Month 0.06%, and 6 Month Libor 0.22%. Actual reference rates may vary based on the reset date of the security.

(d)

Although security is restricted as to resale, the Fund’s Adviser has determined this security to be liquid based upon procedures approved by the Board of Trustees. The aggregate value of these securities at January 31, 2021 was $539,292,139, which represented 20.1% of net assets.

(e)

Security is restricted as to resale.

(f)

Value determined using significant unobservable inputs.

(g)

Security is fair valued by the Adviser pursuant to procedures approved by the Board of Trustees. The aggregate value of these securities is $1,099,675,202, which represents 41.0% of net assets.

(h)

Zero-coupon bond. The rate shown is the yield to maturity based upon original cost which may differ from current cost due to returns of capital received.

(i)

Non-income producing security.

(j)

The partnership is a member of the Lloyd’s of London marketplace through which it may generate profits from participations in the insurance or reinsurance of activities of certain underwriters. Members are required to post collateral for potential losses, which is in the form of a trust deed and is included on the Statement of Assets and Liabilities.

(k)

Rate shown is the 7-day effective yield.

The accompanying Notes are an integral part of the Consolidated Schedule of Investments.

 

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Notes to Consolidated Financial Statements

1. Summary of Significant Accounting Policies

The following is a summary of significant accounting policies consistently followed by the Stone Ridge Reinsurance Risk Premium Interval Fund (the “Fund”) in the preparation of its consolidated financial statements. The consolidated financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America. The Fund is an investment company and applies specific accounting and financial reporting requirements under Financial Accounting Standards Board Accounting Standards Topic 946, Financial Services – Investment Companies.

2. Investment Valuation and Fair Value Measurement

The Board of Trustees (the “Board”) has approved procedures pursuant to which the Fund values its investments (the “Valuation Procedures”). The Board has established an Adviser Valuation Committee made up of employees of Stone Ridge Asset Management LLC (the “Adviser”) to which the Board has delegated responsibility for overseeing the implementation of the Valuation Procedures, including fair value determinations made on behalf of the Board.

Listed below is a summary of certain of the methods generally used currently to value investments of the Fund under the Valuation Procedures:

With respect to pricing of insurance-linked securities (including participation notes and preference shares) for which at least one designated independent broker provides a price, that price (or, if multiple designated independent brokers provide a price, the average of such prices) will be used to value the security. The Fund typically utilizes an independent data delivery vendor to obtain the prices, average them and communicate the resulting value to the Administrator. If no designated independent broker provides a price for the security in question, the Adviser Valuation Committee will generally utilize prices provided by one or more other brokers that the Adviser has approved to value the security. For certain securities, an administrator or third-party manager may regularly provide net asset values that may be used to determine the price at which an investor can subscribe for or redeem an investment in that security, subject to any relevant restrictions on the timing of such subscriptions or redemptions. The Adviser Valuation Committee will generally rely upon such valuations, with any necessary adjustment to reflect relevant corporate actions (e.g., dividends paid but not yet reflected in the reported net asset value).

Non-prime money market funds and cash sweep programs are generally valued at amortized cost, which approximates fair value.

Other debt securities, including corporate and government debt securities (of U.S. or foreign issuers) and municipal debt securities, loans, mortgage-backed securities, collateralized mortgage obligations and other asset-backed securities (except event-linked bonds) are valued by an independent pricing service at an evaluated (or estimated) mean between the closing bid and asked prices.

For investments in investment companies that are registered under the 1940 Act, the value of the shares of such funds is calculated based upon the net asset value (“NAV”) per share of such funds. The prospectuses for such funds explain the circumstances under which they will use fair value pricing and its effects.

Exchange-traded derivatives, such as options and futures contracts, are valued at the settlement price on the exchange or mean of the bid and asked prices.

Non-exchange traded derivatives, including over-the-counter options, are generally valued on the basis of valuations provided by a pricing service or using quotes provided by a broker/dealer (typically the counterparty).

Generally, the Fund must value its assets using market quotations when they are readily available. If, with respect to any portfolio instrument, market quotations are not readily available or available market quotations are deemed to be unreliable by the Adviser Valuation Committee, then such instruments will be valued as determined in good faith by the Adviser Valuation Committee. In these circumstances, the Fund determines fair value in a manner that seeks to reflect the market value of the security on the valuation date based on consideration by the Adviser Valuation Committee of any information or factors it deems appropriate.

Fair value pricing may require subjective determinations about the value of a portfolio instrument. Fair values may differ from quoted or published prices, or from prices that are used by others, for the same investments. Also, the use of fair value pricing may not always result

 

11


in adjustments to the prices of securities or other assets or liabilities held by the Fund. It is possible that the fair value determined for a security may be materially different than the value that could be realized upon the sale of such security. Thus, fair valuation may have an unintended dilutive or accretive effect on the value of shareholders’ investments in the Fund

A substantial portion of the Fund’s investments are U.S. dollar denominated investments. Investments initially valued in currencies other than the U.S. dollar are converted to U.S. dollars using exchange rates obtained from pricing services. As a result, the NAV of the Fund’s shares may be affected by changes in the value of currencies in relation to the U.S. dollar. International markets are sometimes open on days when U.S. markets are closed, which means that the value of foreign securities owned by the Fund could change on days when Fund shares cannot be bought or sold. The value of investments traded in markets outside the U.S. or denominated in currencies other than the U.S. dollar may be affected significantly on a day that the NYSE is closed, and the NAV of the Fund’s shares may change on days when an investor is not able to purchase shares or sell shares in connection with a periodic repurchase offer. The calculation of the Fund’s NAV may not take place contemporaneously with the determination of the prices of foreign securities used in NAV calculations.

The Fund adheres to authoritative fair valuation accounting standards that set out a hierarchy for measuring fair valuation inputs. These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair value and a discussion of changes in valuation techniques and related inputs during the period. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to significant unobservable inputs (Level 3 measurements). The three levels of the fair value hierarchy are as follows:

Level 1 Inputs: quoted prices (unadjusted) in active markets for identical assets or liabilities that the Fund can access at the measurement date;

Level 2 Inputs: inputs other than quoted prices included in level 1 that are observable for the asset or liability, either directly or indirectly including inputs in markets that are not considered to be active or in active markets for similar assets or liabilities, observable inputs other than quoted prices and inputs that are not directly observable but are corroborated by observable market data;

Level 3 Inputs: significant unobservable inputs for the asset or liability.

Inputs are used in applying the various valuation techniques and broadly refer to the assumptions that market participants use to make valuation decisions, including assumptions about risk. A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input that is significant to the fair value measurement. However, the determination of what constitutes “observable” requires significant judgment by the Adviser. The Adviser considers observable data to be that market data which is readily available, regularly distributed or updated, reliable and verifiable, not proprietary, and provided by independent sources that are actively involved in the relevant market. The categorization of a financial instrument within the hierarchy is based upon the pricing transparency of the instrument and does not necessarily correspond to the Adviser’s perceived risk of that instrument.

There were transfers between Level 2 and Level 3 during the reporting period. The transfers from Level 2 to Level 3 occurred because there is no longer observable market data for these securities for the period ended January 31, 2021. The following table summarizes the inputs used to value the Fund’s investments as of January 31, 2021.

The following table summarizes the inputs used to value the Fund’s investments as of January 31, 2021:

 

                                                                                                   

DESCRIPTION

   LEVEL 1      LEVEL 2      LEVEL 3      TOTAL  

Assets

           

Event-Linked Bonds

           

Europe

   $ —        $ 387,780      $ —        $ 387,780  

Global

     —          155,502,904        —          155,502,904  

Japan

     —          26,893,153        —          26,893,153  

Mexico

     —          7,681,211        —          7,681,211  

United States

     —          338,082,341        2,366,719        340,449,060  
  

 

 

    

 

 

    

 

 

    

 

 

 

Total Event-Linked Bonds

     —          528,547,389        2,366,719        530,914,108  

Participation Notes

     —          —          86,747,672        86,747,672  

Preference Shares

           

 

12


                                                                                                   

DESCRIPTION

   LEVEL 1      LEVEL 2      LEVEL 3      TOTAL  

Global

   $ —        $ —        $ 1,566,631,132      $ 1,566,631,132  

United States

     —          —          21,758,027        21,758,027  
  

 

 

    

 

 

    

 

 

    

 

 

 

Total Preference Shares

     —          —          1,588,389,159        1,588,389,159  

Private Fund Units (1)

     —          —          22,513,402        22,513,402  

Limited Liability Partnership

     —          —          —          —    

Money Market Funds

     260,424,858        —          —          260,424,858  
  

 

 

    

 

 

    

 

 

    

 

 

 

Total Assets

   $ 260,424,858      $ 528,547,389      $ 1,700,016,952      $ 2,488,989,199  
  

 

 

    

 

 

    

 

 

    

 

 

 

 

(1) 

For further security characteristics, see the Fund’s Consolidated Schedule of Investments.

Below is a reconciliation that details the activity of securities in Level 3 during the period ended January 31, 2021:

 

                                                                                                                                                     
     Event-
Linked
Bonds
    Participation
Notes
    Preference
Shares
    Private Fund
Units
    Limited Liability
Partnership
    Swap
Contracts
 
Beginning Balance - November 1, 2020    $ 9,931,444     $ 121,928,384     $ 1,855,362,126     $ 36,808,857     $ —       $ (2,452,778

Acquisitions

     3,825,460       24,971,645       —         —         —         —    

Dispositions

     (1,179,609     (54,684,313     (95,240,214     (16,145,366     (1,275,849     2,500,000  

Realized losses

     (1,789,979     (2,916,449     (3,100,633     (853,153     —         (47,222

Return of capital

     —         (4,626,615     (205,426,327     —         —         —    

Change in unrealized appreciation/(depreciation)

     (9,218,367     2,075,020       36,794,207       2,703,064       1,275,849       —    

Transfers in/(out) Level 3

     797,770       —         —         —         —         —    
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
Ending Balance - January 31, 2021    $
 
 
2,366,719
 
 
  $ 86,747,672     $ 1,588,389,159     $
 
 
22,513,402
 
 
  $ —       $ —    
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

As of January 31, 2021, the change in unrealized appreciation (depreciation) on positions still held in the Fund was $(11,202,817) for Event-Linked Bonds, $(482,719) for Participation Notes, $36,794,207 for Preference Shares, $2,703,064 for Private Fund Units, and $1,275,849 for Limited Liability Partnerships.

Unobservable inputs included original transaction price, losses from severe weather events, other natural and non-natural catastrophes and insurance and reinsurance premiums. Significant decreases in premiums or increases in losses related to severe weather or other natural and non-natural catastrophes in isolation would result in a significantly lower fair value measurement. Participation notes, preference shares, and private fund units are monitored daily for significant events that could affect the value of the instruments.

The following table summarizes the quantitative inputs used for investments categorized as Level 3 of the fair value hierarchy as of January 31, 2021.

 

TYPE OF SECURITY

  

INDUSTRY

   FAIR VALUE
AT 1/31/21
    

VALUATION TECHNIQUES

  

UNOBSERVABLE
INPUTS

  

RANGE

  

WEIGHTED

AVERAGE

Participation Notes    Financial Services    $ 47,565,551      Insurance industry loss model   

Estimated losses:

 

  

$0.0MM-$34.2MM

 

  

$2.5MM

 

   Estimated premiums earned:    $0.5MM-$34.9MM    $5.5MM
Preference Shares    Financial Services    $ 1,426,851,978      Insurance industry loss model   

Estimated losses:

 

  

$0.0MM-$141.0MM

 

  

$19.1MM

 

   Estimated premiums earned:    $0.0MM-$231.7MM    $36.5MM
Private Fund Units    Financial Services    $ 22,513,402      Insurance industry loss model   

Estimated losses:

 

  

$2.6MM-$56.0MM

 

  

$35.7MM

 

   Estimated premiums earned:    $9.1MM-$25.0MM    $19.8MM
Limited Liability Partnership    Financial Services    $ —        Insurance industry loss model   

Estimated losses:

 

  

$0.0MM-$69.4MM

 

  

$41.9MM

 

   Estimated premiums earned:    $0.0MM-$75.4MM    $48.1MM

The Level 3 securities listed above were fair valued by the Adviser Valuation Committee. Other Level 3 securities not listed above were fair valued by the Adviser Valuation Committee or priced using an indicative bid and have a value equal to $2,366,719 for Event-Linked Bonds, $39,182,121 for Participation Notes, and $161,537,181 for Preference Shares.

 

13