STONE RIDGE REINSURANCE RISK PREMIUM INTERVAL FUND

Schedule of Investments as of July 31, 2020 (Unaudited)

 

                                                       
     PRINCIPAL
AMOUNT
     VALUE  
EVENT LINKED BONDS - 17.9%      
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      $ 375,936  
     

 

 

 
Global - 6.3%      

Earthquake - 0.6%

     

Acorn Re 2018-1 Class A

     

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

   $         6,413,000        6,362,979  

IBRD CAR 116

     

(3 Month Libor USD + 2.500%), 02/15/2021 (b)(c)(d)(e)(f) (Cost: $6,916,831; Original Acquisition Date: 03/12/2020)

     6,954,000        6,820,483  

IBRD CAR 117

     

(3 Month Libor USD + 3.000%), 02/15/2021 (b)(c)(d)(e)(f) (Cost: $3,308,822; Original Acquisition Date: 03/26/2020)

         3,341,000        3,276,686  

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        582,649  
     

 

 

 
        17,042,797  
     

 

 

 

Mortality/Longevity/Disease - 0.0% (a)

     

Vita Capital VI

     

(6 Month Libor USD + 2.900%), 01/08/2021 (b)(c)(d)(e) (Cost: $786,999; Original Acquisition Date: 05/15/2020)

     1,256,000        1,100,758  
     

 

 

 

Multiperil - 5.7%

     

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        16,269,727  

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        4,431,644  

Atlas IX 2015-1

     

(3 Month Libor USD + 0.100%), 01/07/2021 (b)(c)(d)(e) (Cost: $1,230,634; Original Acquisition Date: 06/16/2017)

     1,230,588        1,052,152  

Galilei Re 2017-1 Class A-2

     

(6 Month Libor USD + 13.840%), 01/08/2021 (b)(c)(d)(e) (Cost: $5,250,000; Original Acquisition Date: 12/21/2016)

     5,250,000        5,125,313  

Galilei Re 2017-1 Class C-2

     

(6 Month Libor USD + 5.680%), 01/08/2021 (b)(c)(d)(e) (Cost: $16,000,000; Original Acquisition Date: 12/21/2016)

     16,000,000             15,755,200  

Galilei Re 2017-1 Class D-2

     

(6 Month Libor USD + 5.880%), 01/08/2021 (b)(c)(d)(e) (Cost: $8,000,000; Original Acquisition Date: 12/21/2016)

     8,000,000        7,874,800  

Galileo Re 2017-1 Class B

     

(3 Month Libor USD + 17.500%), 11/06/2020 (b)(c)(d)(e) (Cost: $1,676,000; Original Acquisition Date: 10/30/2017)

     1,676,000        1,645,245  

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        2,747,674  

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        4,227,633  

Kendall Re 2018-1 Class A

     

(3 Month Libor USD + 5.250%), 05/06/2021 (b)(c)(d)(e) (Cost: $9,371,608; Original Acquisition Date: 04/29/2020)

     9,507,000        9,314,959  

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        13,638,249  

Kilimanjaro Re II 2017-1 Class B-1

     

(6 Month Libor USD + 7.910%), 04/20/2021 (b)(c)(d)(e) (Cost: $28,986,566; Original Acquisition Date: 07/31/2020)

     28,976,000        28,541,360  

Kilimanjaro Re II 2017-1 Class C-1

     

(6 Month Libor USD + 6.300%), 04/20/2021 (b)(c)(d)(e) (Cost: $18,990,335; Original Acquisition Date: 07/10/2018)

     18,973,000             18,821,216  

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        5,743,719  

 

1


STONE RIDGE REINSURANCE RISK PREMIUM INTERVAL FUND

Schedule of Investments as of July 31, 2020 (Unaudited)

 

                                                       
     PRINCIPAL
AMOUNT
     VALUE  

Multiperil - 5.7% (continued)

     

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      $ 8,795,177  

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        6,536,084  

Loma Re 2013-1 Class C

     

(T-Bill 3 Month + 0.500%), 01/08/2021 (b)(c)(d)(e)(g) (Cost: $1,739,000; Original Acquisition Date: 12/20/2013)

     1,739,000        530,395  

Matterhorn Re Ltd 2020-2 Class A

     

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

         3,049,000        3,007,534  

Northshore Re 2018-1 Class A

     

(3 Month Libor USD + 7.990%), 07/08/2022 (b)(c)(d)(e) (Cost: $8,021,957; Original Acquisition Date: 04/21/2020)

     8,123,000        8,030,804  

Northshore Re II 2019-1 Class A

     

(T-Bill 3 Month + 7.500%), 07/07/2023 (b)(c)(d)(e) (Cost: $3,905,000; Original Acquisition Date: 06/21/2019)

     3,905,000        3,894,066  

Resilience Re Series 1711A

     

0.000%, 12/31/2020 (b)(e)(g)(i) (Cost: $238,865; Original Acquisition Date: 02/06/2017)

     25,000,000        —    

Resilience Re Series 1741A

     

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

     75,000,000        —    

Riverfront Re 2017-1 Class A

     

(T-Bill 3 Month + 4.860%), 01/15/2021 (b)(c)(d)(e) (Cost: $10,908,295; Original Acquisition Date: 05/07/2020)

     10,949,000             10,751,918  
     

 

 

 
        176,734,869  
     

 

 

 
        194,878,424  
     

 

 

 
Japan - 0.9%      

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        382,665  

Nakama Re 2015-1 Class 2

     

(T-Bill 3 Month + 3.250%), 01/14/2021 (b)(c)(d)(e) (Cost: $2,130,028; Original Acquisition Date: 05/03/2019)

     2,132,000        2,120,274  

Nakama Re 2016-1 Class 2

     

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

     10,170,000        10,138,473  

Nakama Re 2018-1 Class 1

     

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

     1,744,000        1,715,834  

Nakama Re 2018-1 Class 2

     

(3 Month Libor USD + 3.000%), 04/13/2023 (b)(c)(d)(e)(f) (Cost: $3,327,672; Original Acquisition Date: 11/05/2019)

     3,362,000        3,325,186  

Nakama Re 2020-1 Class 1

     

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

     871,000        851,969  
     

 

 

 
        18,534,401  
     

 

 

 

Multiperil - 0.2%

     

Akibare Re 2018-1 Class A

     

(3 Month Libor USD + 1.900%), 04/07/2022 (b)(c)(d)(e)(f) (Cost: $2,868,211; Original Acquisition Date: 04/28/2020)

     2,960,000        2,907,756  

Akibare Re 2018-1 Class B

     

(3 Month Libor USD + 1.900%), 04/07/2022 (b)(c)(d)(e)(f) (Cost: $2,603,539; Original Acquisition Date: 03/09/2020)

     2,669,000        2,606,012  
     

 

 

 
        5,513,768  
     

 

 

 

Windstorm - 0.1%

     

Aozora Re 2017-1 Class A

     

(6 Month Libor USD + 2.000%), 04/07/2021 (b)(c)(d)(e) (Cost: $2,717,721; Original Acquisition Date: 01/31/2020)

     2,792,000        2,777,202  
     

 

 

 
        26,825,371  
     

 

 

 

 

2


STONE RIDGE REINSURANCE RISK PREMIUM INTERVAL FUND

Schedule of Investments as of July 31, 2020 (Unaudited)

 

                                                       
     PRINCIPAL
AMOUNT
     VALUE  
Mexico - 0.3%      

Earthquake - 0.2%

     

IBRD CAR 125 Class A

     

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

   $ 3,619,000      $ 3,534,859  

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        624,910  
     

 

 

 
        4,159,769  
     

 

 

 

Windstorm - 0.1%

     

IBRD CAR 127 Class C

     

(3 Month Libor USD + 10.000%), 03/13/2024 (b)(c)(d)(e) (Cost: $3,479,481; Original Acquisition Date: 02/28/2020)

     3,479,000               3,356,539  
     

 

 

 
        7,516,308  
     

 

 

 
United States - 10.4%      

Earthquake - 1.9%

     

Merna Re 2018-1 Class A

     

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

            4,007,000        3,980,554  

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        13,254,691  

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        12,318,703  

Ursa Re 2018-1 Class D

     

(T-Bill 3 Month + 5.240%), 09/24/2021 (b)(c)(d)(e)(f) (Cost: $15,931,390; Original Acquisition Date: 05/15/2020)

     16,012,000        15,735,793  

Ursa Re 2019-1 Class C

     

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

       12,152,000             11,998,885  
     

 

 

 
        57,288,626  
     

 

 

 

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        1,062,053  
     

 

 

 

Flood - 0.5%

     

FloodSmart Re 2019 Class A

     

(T-Bill 3 Month + 11.830%), 03/07/2022 (b)(c)(e) (Cost: $11,851,186; Original Acquisition Date: 05/18/2020)

     12,203,000        11,860,096  

FloodSmart Re 2019 Class B

     

(T-Bill 3 Month + 15.080%), 03/07/2022 (b)(c)(e) (Cost: $610,181; Original Acquisition Date: 07/17/2020)

     632,000        606,530  

FloodSmart Re 2020 Class A

     

(T-Bill 3 Month + 11.000%), 02/27/2026 (b)(c)(e) (Cost: $718,356; Original Acquisition Date: 07/22/2020)

     736,000        718,299  

FloodSmart Re 2020 Class B

     

(T-Bill 3 Month + 14.500%), 02/27/2023 (b)(c)(e) (Cost: $3,390,505; Original Acquisition Date: 04/28/2020)

     3,500,000        3,386,600  
     

 

 

 
        16,571,525  
     

 

 

 

Multiperil - 5.3%

     

Armor Re II 2019-1 Class A

     

(T-Bill 3 Month + 6.330%), 06/08/2022 (b)(c)(d)(e) (Cost: $5,167,311; Original Acquisition Date: 06/08/2020)

     5,219,000        5,135,496  

Bonanza Re 2020-1 Class A

     

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

     2,025,000        1,975,185  

Bowline 2018-1 Class A

     

(T-Bill 3 Month + 4.760%), 05/23/2022 (b)(c)(d)(e) (Cost: $7,240,933; Original Acquisition Date: 05/19/2020)

     7,262,000        7,092,069  

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        3,880,039  

 

3


STONE RIDGE REINSURANCE RISK PREMIUM INTERVAL FUND

Schedule of Investments as of July 31, 2020 (Unaudited)

 

                                                       
     PRINCIPAL
AMOUNT
     VALUE  

Multiperil - 5.3% (continued)

     

Bowline Re 2019-1 Class B

     

(T-Bill 3 Month + 8.850%), 03/20/2023 (b)(c)(d)(e) (Cost: $3,236,000; Original Acquisition Date: 03/08/2019)

   $ 3,236,000      $ 3,163,837  

Caelus 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        2,568,800  

Caelus 2018-1 Class B

     

(T-Bill 3 Month + 4.030%), 06/07/2021 (b)(c)(d)(e) (Cost: $1,743,791; Original Acquisition Date: 07/24/2018)

     1,745,000        1,637,944  

Caelus 2018-1 Class C

     

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

     3,218,000        2,851,309  

Caelus 2018-1 Class D

     

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

     536,000        422,877  

Caelus Re 2020-1 Class A-1

     

(T-Bill 3 Month + 5.500%), 06/07/2023 (b)(c)(d)(e) (Cost: $1,088,092; Original Acquisition Date: 04/20/2020)

     1,135,000        1,096,580  

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)(g) (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)(g) (Cost: $1,400,468; Original Acquisition Date: 04/27/2017)

     1,400,468        140  

Espada Reinsurance 2016-1 Class 20

     

(T-Bill 3 Month + 5.700%), 09/08/2020 (b)(c)(d)(e)(g)(h) (Cost: $822,666; Original Acquisition Date: 02/12/2016)

     822,666        626,954  

FloodSmart Re 2018 Class A

     

(T-Bill 3 Month + 11.250%), 08/06/2024 (b)(c)(e) (Cost: $6,939,908; Original Acquisition Date: 07/20/2020)

     7,052,000        6,899,677  

FloodSmart Re 2018 Class B

     

(T-Bill 3 Month + 13.500%), 08/06/2024 (b)(c)(e) (Cost: $13,031,045; Original Acquisition Date: 07/08/2020)

     13,473,000             13,078,915  

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        730,972  

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        5,102,785  

Kilimanjaro III Re 2019-1 Class A-1

     

(T-Bill 3 Month + 15.750%), 12/19/2023 (b)(c)(d)(e) (Cost: $14,067,239; Original Acquisition Date: 04/28/2020)

     14,750,000        14,228,588  

Kilimanjaro III Re 2019-1 Class A-2

     

(T-Bill 3 Month + 15.750%), 12/19/2024 (b)(c)(d)(e) (Cost: $10,390,459; Original Acquisition Date: 07/17/2020)

     10,883,000        10,527,126  

Kilimanjaro Re 2018-1 Class A-1

     

(3 Month Libor USD + 13.610%), 05/05/2023 (b)(c)(d)(e) (Cost: $5,345,135; Original Acquisition Date: 05/22/2020)

     5,671,000        5,442,459  

Kilimanjaro Re 2018-1 Class B-1

     

(3 Month Libor USD + 4.940%), 05/06/2022 (b)(c)(d)(e) (Cost: $5,379,315; Original Acquisition Date: 04/21/2020)

     5,389,000        5,351,277  

Kilimanjaro Re 2018-2 Class A-2

     

(3 Month Libor USD + 13.610%), 05/05/2023 (b)(c)(d)(e) (Cost: $2,518,312; Original Acquisition Date: 06/04/2020)

            2,660,000        2,502,395  

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        4,879,726  

Long Point Re III 2018-1 Class A

     

(T-Bill 3 Month + 2.750%), 06/01/2022 (b)(c)(d)(e) (Cost: $6,044,569; Original Acquisition Date: 08/20/2019)

     6,054,000        5,928,682  

MetroCat Re 2020-1 Class A

     

(T-Bill 3 Month + 5.500%), 05/28/2024 (b)(c)(e) (Cost: $1,109,000; Original Acquisition Date: 05/06/2020)

     1,109,000        1,106,061  

 

4


STONE RIDGE REINSURANCE RISK PREMIUM INTERVAL FUND

Schedule of Investments as of July 31, 2020 (Unaudited)

 

                                                       
     PRINCIPAL
AMOUNT
     VALUE  

Multiperil - 5.3% (continued)

     

Mona Lisa Re 2020-1 Class A

     

(T-Bill 3 Month + 7.500%), 01/09/2023 (b)(c)(e) (Cost: $3,922,300; Original Acquisition Date: 03/20/2020)

   $ 4,000,000      $ 3,970,000  

Residential Re 2015-I Class 10

     

(T-Bill 3 Month + 0.500%), 09/08/2020 (b)(c)(d)(e)(g)(h) (Cost: $4,346,049; Original Acquisition Date: 05/21/2015)

     4,346,049        122,994  

Residential Re 2015-I Class 11

     

(T-Bill 3 Month + 0.500%), 09/08/2020 (b)(c)(d)(e)(g)(h) (Cost: $1,783,000; Original Acquisition Date: 05/21/2015)

     1,783,000        1,562,978  

Residential Re 2016-I Class 10

     

(T-Bill 3 Month + 11.520%), 09/08/2020 (b)(c)(d)(e)(g) (Cost: $4,609,000; Original Acquisition Date: 04/28/2016)

     4,609,000        115,225  

Residential Re 2016-I Class 11

     

(T-Bill 3 Month + 5.030%), 09/08/2020 (b)(c)(d)(e)(g)(h) (Cost: $1,158,753; Original Acquisition Date: 04/28/2016)

     1,158,753        920,398  

Residential Re 2016-II Class 4

     

(T-Bill 3 Month + 4.080%), 12/06/2023 (b)(c)(d)(e) (Cost: $1,250,000; Original Acquisition Date: 11/03/2016)

     1,250,000        1,234,563  

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        6,197,232  

Residential Re 2017-II Class 2

     

(T-Bill 3 Month + 13.040%), 12/06/2021 (b)(c)(d)(e) (Cost: $942,292; Original Acquisition Date: 05/27/2020)

     989,000        952,704  

Residential Re 2018-I Class 13

     

(T-Bill 3 Month + 3.360%), 06/06/2025 (b)(c)(d)(e) (Cost: $7,343,254; Original Acquisition Date: 05/11/2020)

     7,353,000        7,097,483  

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        498,536  

Residential Re 2019-I Class 13

     

(T-Bill 3 Month + 4.650%), 06/06/2023 (b)(c)(d)(e) (Cost: $1,080,853; Original Acquisition Date: 05/11/2020)

     1,088,000        1,067,600  

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        1,243,987  

Residential Re 2020-I Class 13

     

(T-Bill 3 Month + 5.500%), 06/06/2028 (b)(c)(d)(e) (Cost: $1,759,000; Original Acquisition Date: 05/27/2020)

     1,759,000        1,760,319  

Sanders Re 2017-1 Class A

     

(6 Month Libor USD + 2.930%), 12/06/2021 (b)(c)(d)(e) (Cost: $4,520,371; Original Acquisition Date: 08/21/2019)

     4,573,000        4,426,664  

Sanders Re 2018-1 Class A

     

(T-Bill 3 Month + 5.500%), 04/07/2022 (b)(c)(d)(e) (Cost: $14,946,166; Original Acquisition Date: 09/11/2019)

       15,079,000        14,249,655  

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        2,664,127  

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               2,299,069  

Stratosphere Re 2020-1 Class A

     

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

     568,000        562,320  

Tailwind Re 2017-1 Class B

     

(T-Bill 3 Month + 9.100%), 01/08/2022 (b)(c)(d)(e) (Cost: $1,790,091; Original Acquisition Date: 05/12/2020)

     1,807,000        1,777,998  

Tailwind Re 2017-1 Class C

     

(T-Bill 3 Month + 11.060%), 01/08/2022 (b)(c)(d)(e) (Cost: $3,015,050; Original Acquisition Date: 05/12/2020)

     3,027,000        2,988,860  
     

 

 

 
        164,288,010  
     

 

 

 

Windstorm - 2.7%

     

Alamo Re 2018-1 Class A

     

(T-Bill 3 Month + 3.400%), 06/07/2024 (b)(c)(d)(e)(f) (Cost: $4,487,484; Original Acquisition Date: 03/26/2019)

     4,506,000        4,482,569  

 

5


STONE RIDGE REINSURANCE RISK PREMIUM INTERVAL FUND

Schedule of Investments as of July 31, 2020 (Unaudited)

 

                                                       
     PRINCIPAL
AMOUNT
     VALUE  

Windstorm - 2.7% (continued)

     

Alamo Re 2019-1 Class A

     

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

   $ 2,792,000      $ 2,800,376  

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        12,478,312  

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        3,613,469  

Cape Lookout Re 2019-1 Class A

     

(T-Bill 3 Month + 4.240%), 02/25/2022 (b)(c)(d)(e)(f) (Cost: $13,602,388; Original Acquisition Date: 02/05/2020)

       13,609,000             13,568,173  

Cape Lookout Re 2019-2 Class A

     

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

            2,560,000        2,558,848  

Citrus Re 2016-1 Class D-50

     

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

     4,189,217        1,274,988  

Citrus Re 2017-1 Class A

     

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

     1,100,416        365,778  

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        1,649,742  

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        7,882,248  

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        499,422  

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        2,047,603  

Manatee Re II 2018-1 Class A

     

(T-Bill 3 Month + 4.530%), 06/07/2021 (b)(c)(d)(e) (Cost: $4,266,809; Original Acquisition Date: 03/11/2020)

     4,280,000        4,193,116  

Manatee Re II 2018-1 Class B

     

(T-Bill 3 Month + 8.280%), 06/07/2021 (b)(c)(d)(e) (Cost: $2,281,477; Original Acquisition Date: 07/08/2020)

     2,299,000        2,245,663  

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        494,528  

Matterhorn Re 2019-1 Class A

     

5.413%, 12/07/2020 (b)(d)(e)(i) (Cost: $5,730,310; Original Acquisition Date: 07/07/2020)

     5,858,000        5,659,414  

Matterhorn Re Ltd 2020-1 Class B

     

(T-Bill 3 Month + 7.500%), 12/07/2021 (b)(c)(d)(e)(f) (Cost: $6,032,207; Original Acquisition Date: 06/11/2020)

     6,108,000        5,994,391  

Matterhorn Re Ltd 2020-2 Class B

     

(T-Bill 3 Month + 6.250%), 12/07/2021 (b)(c)(d)(e)(f) (Cost: $4,340,140; Original Acquisition Date: 07/07/2020)

     4,347,000        4,300,052  

Matterhorn Re Ltd 2020-3 Class C

     

10.383%, 12/07/2020 (b)(d)(e)(i) (Cost: $2,826,286; Original Acquisition Date: 04/30/2020)

     3,000,000        2,765,700  

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        1,063,190  

Matterhorn Re Ltd 2020-4 Class B

     

10.077%, 12/07/2021 (b)(d)(e)(i) (Cost: $2,409,597; Original Acquisition Date: 06/25/2020)

     2,769,000        2,401,277  
     

 

 

 
        82,338,859  
     

 

 

 
        321,549,073  
     

 

 

 
TOTAL EVENT LINKED BONDS (Cost $575,964,330)         551,145,112  
     

 

 

 
PARTICIPATION NOTES - 4.0%      
Global - 4.0%      

Multiperil - 4.0%

     

Alturas Re 2019-1 Class A

     

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

     20,001        373,000  

Alturas Re 2020-1 Class B

     

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

     4,600,000        3,527,280  

Eden Re II 2018-1 Class A

     

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

     18,527        189,906  

 

6


STONE RIDGE REINSURANCE RISK PREMIUM INTERVAL FUND

Schedule of Investments as of July 31, 2020 (Unaudited)

 

                                                       
     PRINCIPAL
AMOUNT
     VALUE  

Multiperil - 4.0% (continued)

     

Eden Re II 2018-1 Class B

     

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

   $ 91,003      $ 2,319,314  

Eden Re II 2019-1 Class B

     

03/22/2023 (b)(d)(e)(g)(h)(j) (Cost: $600,000; Original Acquisition Date: 12/19/2018)

     600,000        4,759,815  

Eden Re II 2020-1 Class B

     

03/22/2024 (b)(d)(e)(g)(h)(j) (Cost: $50,000,000; Original Acquisition Date: 12/26/2019)

       50,000,000             52,460,460  

Limestone Re 2016-1

     

08/31/2021 (b)(d)(e)(g)(h) (Cost: $36,257; Original Acquisition Date: 09/12/2017)

     36,257        278,569  

Limestone Re 2018-1 A

     

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

     1,188        300,084  

Limestone Re 2019-1 B

     

09/09/2022 (b)(d)(e)(g)(h)(j) (Cost: $440,663; Original Acquisition Date: 12/24/2018)

     440,663        779,302  

Limestone Re 2019-2 B

     

03/01/2023 (b)(d)(e)(g)(h)(j) (Cost: $1,144,000; Original Acquisition Date: 06/25/2019)

     1,144,000        1,768,910  

Limestone Re 2020-2 B

     

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

            9,100,000        9,105,005  

Sector Re V Series 10 Class A

     

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

     10,000,000        10,321,012  

Sector Re V Series 10 Class B

     

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

     10,666,131        11,008,527  

Sector Re V Series 8 Class C

     

12/01/2023 (b)(e)(g)(j) (Cost: $6,200,136; Original Acquisition Date: 12/05/2018)

     6,200,136        4,304,696  

Sector Re V Series 8 Class D

     

12/01/2023 (b)(e)(g)(j) (Cost: $4,191,346; Original Acquisition Date: 12/07/2018)

     4,191,346        2,931,193  

Sector Re V Series 9 Class A

     

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

     4,561,699        2,148,801  

Sector Re V Series 9 Class B

     

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

     2,549,056        1,199,439  

Sector Re V Series 9 Class D

     

12/01/2024 (b)(e)(g)(j) (Cost: $3,199,725; Original Acquisition Date: 12/10/2019)

     3,199,725        3,215,538  

Sector Re V Series 9 Class G

     

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

     23,759        1,690,260  

Sussex Re 2020-A

     

12/31/2022 (e)(g)(h)(j) (Cost: $6,340,000; Original Acquisition Date: 01/22/2020)

     6,340,000        6,623,156  

Versutus 2017 A-5

     

01/15/2021 (b)(e)(g)(h)(j) (Cost: $1,784,866; Original Acquisition Date: 12/28/2016)

     1,917,360        253,383  

Versutus 2018 A-5

     

12/31/2020 (b)(e)(g)(j) (Cost: $1,221,938; Original Acquisition Date: 12/15/2017)

     1,221,938        —    

Versutus 2019-B

     

12/31/2022 (b)(e)(g)(h) (Cost: $5,959,641; Original Acquisition Date: 03/10/2020)

     5,959,641        1,669,519  

Williamsburg (Horseshoe Re)

     

08/31/2021 (b)(e)(g)(h) (Cost: $1,242; Original Acquisition Date: 12/15/2016)

     1,602,021        1,150,025  
     

 

 

 
TOTAL PARTICIPATION NOTES (Cost $122,751,178)         122,377,194  
     

 

 

 
     SHARES      VALUE  
PREFERENCE SHARES - 60.7%      
Global - 59.8%      

Marine/Energy - 0.0% (a)

     

Kauai (Artex Segregated Account Company) (b)(e)(g)(h)(j) (Cost: $28,140,947; Original Acquisition Date: 01/07/2016)

     51,394        17,935  
     

 

 

 

Multiperil - 59.8%

     

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

     33,500        18,974,571  

Arenal (Artex Segregated Account Company) (b)(e)(g)(h)(j) (Cost: $56,721,669; Original Acquisition Date: 12/22/2017)

     165,450        36,834,879  

Axis Ventures Re Cell 0006 (b)(e)(g)(j) (Cost: $1,038; Original Acquisition Date: 01/11/2018)

     10        —    

Axis Ventures Re Cell 0007 (b)(e)(g)(j) (Cost: $953; Original Acquisition Date: 01/25/2017)

     10        —    

Baldwin (Horseshoe Re) (b)(e)(g)(h)(j) (Cost: $52,662,992; Original Acquisition Date: 01/22/2019)

     1,328,746        9,645,636  

Biscayne (Artex Segregated Account Company) (b)(e)(g)(h) (Cost: $0; Original Acquisition Date: 01/09/2018)

     46,979        2,174,516  

Bowery (Artex Segregated Account Company) (b)(e)(g)(h)(j) (Cost: $121,058,000; Original Acquisition Date: 09/29/2017)

     200,075        90,467,492  

Brighton (Horseshoe Re) (b)(e)(g)(h)(j) (Cost: $102,252,600; Original Acquisition Date: 06/12/2020)

     1,022,526        102,545,101  

Cardinal Re 2015-1 (b)(e)(g)(h)(j) (Cost: $80,393,858; Original Acquisition Date: 12/30/2015)

     149        70,193,278  

Carlsbad 2 (Artex Segregated Account Company) (b)(e)(g)(h) (Cost: $0; Original Acquisition Date: 12/22/2016)

     190,319        3,016,007  

Cumberland (Artex Segregated Account Company) (b)(e)(g)(h)(j) (Cost: $29,918,817; Original Acquisition Date: 09/15/2017)

     28,898        14,017,295  

Cypress (Horseshoe Re) (b)(e)(g)(h)(j) (Cost: $30,289,306; Original Acquisition Date: 05/31/2017)

            125,090,500        24,197,006  

 

7


STONE RIDGE REINSURANCE RISK PREMIUM INTERVAL FUND

Schedule of Investments as of July 31, 2020 (Unaudited)

 

                                                       
     SHARES      VALUE  

Multiperil - 59.8% (continued)

     

Edmund 2 (Mt. Logan Re) (b)(e)(g)(j) (Cost: $40,653,419; Original Acquisition Date: 10/31/2017)

     40,653      $ 28,274,660  

Emerald Lake (Artex Segregated Account Company) (b)(e)(g)(h)(j) (Cost: $83,697,569; Original Acquisition Date: 12/17/2018)

     504,899        42,854,634  

Florblanca (Artex Segregated Account Company) (b)(e)(g)(h)(j) (Cost: $34,822,586; Original Acquisition Date: 12/21/2017)

     77,550          32,838,070  

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

     750,718        —    

Harambee Re 2017 (b)(e)(g)(h)(j) (Cost: $61,238; Original Acquisition Date: 12/20/2016)

     132,225        148,726  

Harambee Re 2018 (b)(e)(g)(h)(j) (Cost: $1,235,008; Original Acquisition Date: 12/15/2017)

            1,235,008        1,499,962  

Harambee Re 2019 (b)(e)(g)(h)(j) (Cost: $515,254; Original Acquisition Date: 12/21/2018)

     515,254        553,612  

Hatteras (Artex Segregated Account Company) (b)(e)(g)(h)(j) (Cost: $79,779,874; Original Acquisition Date: 04/11/2019)

     77,632        63,773,172  

Hudson Charles (Mt. Logan Re) (b)(e)(g)(j) (Cost: $25,351,754; Original Acquisition Date: 01/13/2017)

     25,352        22,166,996  

Hudson Charles 2 (Mt. Logan Re) (b)(e)(g)(j) (Cost: $25,474,125; Original Acquisition Date: 03/31/2017)

     25,474        21,149,994  

Hudson Charles 3 (Mt. Logan Re) (b)(e)(g)(j) (Cost: $10,987,500; Original Acquisition Date: 06/19/2014)

     10,988        8,913,120  

Hudson Charles 4 (Mt. Logan Re) (b)(e)(g)(j) (Cost: $14,625,000; Original Acquisition Date: 02/07/2018)

     14,625        13,812,156  

Hudson Paul (Mt. Logan Re) (b)(e)(g)(j) (Cost: $22,500,000; Original Acquisition Date: 01/02/2014)

     22,500        19,243,346  

Hudson Paul 3 (Mt. Logan Re) (b)(e)(g)(j) (Cost: $28,125,000; Original Acquisition Date: 03/31/2017)

     28,125        23,152,725  

Hudson Paul 4 (Mt. Logan Re) (b)(e)(g)(j) (Cost: $2,100,000; Original Acquisition Date: 02/07/2018)

     2,100        1,842,695  

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

     183,543        5,519,679  

Kensington (Horseshoe Re) (b)(e)(g)(h) (Cost: $74,827,367; Original Acquisition Date: 06/12/2020)

     953,585        102,901,824  

Latigo (Artex Segregated Account Company) (b)(e)(g)(h)(j) (Cost: $64,194,863; Original Acquisition Date: 11/01/2018)

     473        53,084,364  

Lorimer (Horseshoe Re) (b)(e)(g)(h)(j) (Cost: $20,835,882; Original Acquisition Date: 01/03/2019)

     501,528        22,140,400  

LRe 2018 (Lorenz Re Ltd.) (b)(e)(g)(h)(j) (Cost: $266,605; Original Acquisition Date: 07/10/2018)

     17,714        1,887,782  

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

     55,000        4,131,607  

Mackinac (Artex Segregated Account Company) (b)(e)(g)(h)(j) (Cost: $11,173,894; Original Acquisition Date: 01/09/2018)

     55,584        21,555,626  

Madison (Artex Segregated Account Company) (b)(e)(g)(h)(j) (Cost: $66,063,165; Original Acquisition Date: 02/03/2020)

     97,141        54,445,394  

Malibu (Horseshoe Re) (b)(e)(g)(h)(j) (Cost: $15,746,735; Original Acquisition Date: 04/29/2020)

       15,746,735        10,919,715  

Mohonk (Artex Segregated Account Company) (b)(e)(g)(h)(j) (Cost: $77,159,598; Original Acquisition Date: 04/11/2019)

     103        75,096,147  

Mojave (Mt. Logan Re) (b)(e)(g)(j) (Cost: $31,719,991; Original Acquisition Date: 01/13/2017)

     31,720        24,128,436  

Mojave 2 (Mt. Logan Re) (b)(e)(g)(j) (Cost: $21,146,661; Original Acquisition Date: 01/13/2017)

     21,147        16,085,624  

Mulholland (Artex Segregated Account Company) (b)(e)(g)(j) (Cost: $12,372,687; Original Acquisition Date: 12/31/2015)

     114        —    

Pelham (Horseshoe Re) (b)(e)(g)(h)(j) (Cost: $21,129,518; Original Acquisition Date: 04/25/2018)

     264,553        3,422,430  

Peregrine LCA (b)(e)(g)(h)(j) (Cost: $136,221,016; Original Acquisition Date: 06/07/2019)

     19,479,011        132,916,278  

Revelstoke (Artex Segregated Account Company) (b)(e)(g)(h) (Cost: $0; Original Acquisition Date: 01/19/2016)

     15,350        28,238  

Rondout (Artex Segregated Account Company) (b)(e)(g)(h)(j) (Cost: $175,747,317; Original Acquisition Date: 07/15/2019)

     184,131        158,379,537  

Sheepshead (Horseshoe Re) (b)(e)(g)(h)(j) (Cost: $96,903,400; Original Acquisition Date: 06/12/2020)

     969,034        98,536,326  

Skytop (Artex Segregated Account Company) (b)(e)(g)(h) (Cost: $0; Original Acquisition Date: 12/18/2017)

     210        3,504,339  

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

     1,757        —    

St. Kevins (Artex Segregated Account Company) (b)(e)(g)(h)(j) (Cost: $25,001,106; Original Acquisition Date: 06/27/2018)

     42,944        10,123,172  

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

     19,288        41,567  

Sussex Designated Investment Series (b)(e)(g)(h) (Cost: $4,168,447; Original Acquisition Date: 01/22/2019)

     4,790        825,948  

Sussex Designated Investment Series Dec 19 (b)(e)(g)(h)(j) (Cost: $1,569,766; Original Acquisition Date: 01/24/2020)

     3,895        1,304,842  

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

     1,378        209,194  

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

     42,693        4,991,377  

Thopas Re 2018 (b)(e)(g)(h)(j) (Cost: $6,283,883; Original Acquisition Date: 12/08/2017)

     139,876        382  

Thopas Re 2019 (b)(e)(g)(h)(j) (Cost: $2,538,282; Original Acquisition Date: 12/21/2018)

     25,383        1,124,657  

Turing Re 2017-1 (b)(e)(g)(h)(j) (Cost: $22,818,636; Original Acquisition Date: 05/23/2017)

     400,000        214,962  

Twin Lakes (Artex Segregated Account Company) (b)(e)(g)(h)(j) (Cost: $5,711,434; Original Acquisition Date: 12/28/2017)

     86,107        7,499,065  

 

8


STONE RIDGE REINSURANCE RISK PREMIUM INTERVAL FUND

Schedule of Investments as of July 31, 2020 (Unaudited)

 

                                                       
     SHARES      VALUE  

Multiperil - 59.8% (continued)

     

Viribus Re 2018 (b)(e)(g)(h)(j) (Cost: $318,746; Original Acquisition Date: 12/22/2017)

     1,416,046      $ 119,074  

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

     601,833        252,577  

Windsor (Horseshoe Re) (b)(e)(g)(h)(j) (Cost: $116,793,771; Original Acquisition Date: 12/29/2017)

     1,230,204        122,185,969  

Woodside (Horseshoe Re) (b)(e)(g)(h)(j) (Cost: $101,287,500; Original Acquisition Date: 06/12/2020)

     1,012,875           100,923,215  

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

     100        45,726  

Yoho (Artex Segregated Account Company) (b)(e)(g)(h)(j) (Cost: $86,532,181; Original Acquisition Date: 06/05/2020)

     357,363        55,910,245  

Yorkville (Artex Segregated Account Company) (b)(e)(g)(h)(j) (Cost: $130,097,000; Original Acquisition Date: 06/03/2020)

     143,394        95,120,639  
     

 

 

 
        1,841,866,006  
     

 

 

 
        1,841,883,941  
     

 

 

 
United States - 0.9%      

Multiperil - 0.0% (a)

     

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

     6,966,774        —    

Yosemite (Horseshoe Re) (b)(e)(g)(h) (Cost: $0; Original Acquisition Date: 10/18/2018)

     162,602        397  
     

 

 

 
        397  
     

 

 

 

Windstorm - 0.9%

     

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

     251,610        26,419,433  

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

     39,381,541        —    
     

 

 

 
        26,419,433  
     

 

 

 
        26,419,830  
     

 

 

 
TOTAL PREFERENCE SHARES (Cost $2,339,035,510)         1,868,303,771  
     

 

 

 
PRIVATE FUND UNITS - 1.3%      
Global - 1.3%      

Multiperil - 1.3%

     

Aeolus Property Catastrophe J17 Keystone Fund (b)(e)(g)(h)(j) (Cost: $21,413,046; Original Acquisition Date: 01/20/2017)

     24,477        16,638,868  

Aeolus Property Catastrophe J18 Keystone Fund (b)(e)(g)(h)(j) (Cost: $12,744,519; Original Acquisition Date: 02/20/2018)

     12,736        11,867,741  

Aeolus Property Catastrophe J19 Keystone Fund (b)(d)(e)(g)(h)(j) (Cost: $4,230,327; Original Acquisition Date: 01/14/2019)

     4,230        4,640,724  

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

     5,589        3,641,125  

Aeolus Property Catastrophe MY18 Keystone Fund (b)(e)(g)(h)(j) (Cost: $5,538,242; Original Acquisition Date: 07/17/2018)

     5,538        4,867,538  
     

 

 

 
TOTAL PRIVATE FUND UNITS (Cost $49,515,007)         41,655,996  
     

 

 

 
LIMITED LIABILITY PARTNERSHIP - 0.0% (a)      
Operating Companies - 0.0% (a)      

Point Dume LLP (g)(j)

        —    
     

 

 

 
TOTAL LIMITED LIABILITY PARTNERSHIP (Cost $31,272,420)         —    
     

 

 

 
SHORT-TERM INVESTMENTS - 11.3%      

Money Market Fund - 11.3%

     

Fidelity Institutional Money Market Funds - Government Portfolio - Institutional Class - 0.05% (k)

     171,324,320        171,324,320  

First American Government Obligations Fund - Class Z - 0.09% (k)

     1,110,105        1,110,105  

First American Treasury Obligations Fund - Class Z - 0.09% (k)

     1,110,105        1,110,105  

Morgan Stanley Institutional Liquidity Funds - Government Portfolio - Institutional Class - 0.04% (k)

            172,434,427           172,434,427  

Short-Term Investments Trust - Treasury Portfolio - Institutional Class - 0.08% (k)

     1,110,104        1,110,104  
     

 

 

 
TOTAL SHORT-TERM INVESTMENTS (Cost $347,089,061)         347,089,061  
     

 

 

 
TOTAL INVESTMENTS (Cost $3,465,627,506) - 95.2%         2,930,571,134  
     

 

 

 
OTHER ASSETS IN EXCESS OF LIABILITIES - 4.8%         147,219,788  
     

 

 

 
TOTAL NET ASSETS - 100.0%       $ 3,077,790,922  
     

 

 

 

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 $2,576,858,917. Foreign concentration is as follows: Bermuda: 80.6%, Cayman Islands: 1.3%, Ireland: 0.6%, Supranational: 0.6%, Singapore: 0.5%, and Great Britain: 0.1%.

 

9


STONE RIDGE REINSURANCE RISK PREMIUM INTERVAL FUND

Schedule of Investments as of July 31, 2020 (Unaudited)

 

(c)

Variable rate security. Reference rates as of July 31, 2020 are as follows: 3 Month Euribor -0.47%, 3 Month Libor 0.25%, 6 Month Libor 0.31%, and T-Bill 3 Month 0.09%. 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 July 31, 2020 was $585,436,195, which represented 19.0% of net assets.

(e)

Security is restricted as to resale.

(f)

All or a portion of the security is pledged as collateral for excess mortality swap.

(g)

Value determined using significant unobservable inputs.

(h)

Security is fair valued by the Adviser pursuant to procedures approved by the Board of Trustees. The aggregate value of these securities is $1,790,014,977, which represents 58.2% of net assets.

(i)

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.

(j)

Non-income producing security.

(k)

Rate shown is the 7-day effective yield.

Excess Mortality Swaps

 

COUNTERPARTY

  

REFERENCE
ENTITY

  

BUY/SELL
PROTECTION

   FINANCING
RATE
 

TERMINATION
DATE

  

PAYMENT
FREQUENCY

   NOTIONAL
VALUE
     MAXIMUM
POTENTIAL
FUTURE PAYMENT
     UPFRONT
PREMIUM
PAID
     VALUE/UNREALIZED
DEPRECIATION
 
EXCESS MORTALITY SWAP CONTRACTS               
Hannover Re (a)(b)    Custom Mortality Index    Sell    1.00%   Jan 15 2021    Quarterly    $ 100,000,000      $ 100,000,000      $ —        $ (2,452,778
  

 

 

 
TOTAL EXCESS MORTALITY SWAP CONTRACTS                $ (2,452,778
  

 

 

 

 

(a)

Security is fair valued by the Adviser pursuant to procedures approved by the Board of Trustees. Value determined using significant unobservable inputs.

(b)

The mortality index value is based on the weighted mortality rates for males and females in the United States, United Kingdom, and Australia

The accompanying footnotes are an integral part of the Schedule of Investments.

 

10


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 and 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 Investment Company Act of 1940 (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.

Equity securities (other than insurance-linked securities that are valued pursuant to the valuation methods described above) are valued at the last sale, official close or if there are no reported sales at the mean between the bid and asked price on the primary exchange on which they are traded. The values of the Fund’s investments in publicly-traded foreign equity securities generally will be the closing or final trading prices in the local trading markets but may be adjusted based on values determined by a pricing service using pricing models designed to estimate changes in the values of those securities between the times in which the trading in those securities is substantially completed and the close of the New York Stock Exchange (“NYSE”).

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).

 

11


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 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 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 July 31, 2020. The transfers from level 3 to level 2 occurred because there was observable market data that became available as of July 31, 2020. The following table summarizes the inputs used to value the Fund’s investments as of July 31, 2020:

 

                                                                                                   

DESCRIPTION

   LEVEL 1      LEVEL 2      LEVEL 3      TOTAL  

Assets

           

Event-Linked Bonds

           

Europe

   $ —        $ 375,936      $ —        $ 375,936  

Global

     —          194,348,029        530,395        207,356,736  

Japan

     —          26,825,371        —          26,825,371  

Mexico

     —          7,516,308        —          7,516,308  

United States

     —          316,480,209        5,068,864        309,070,761  
  

 

 

    

 

 

    

 

 

    

 

 

 

Total Event-Linked Bonds

     —          545,545,853        5,599,259        551,145,112  

Participation Notes

     —          —          122,377,194        122,377,194  

Preference Shares

           

Global

     —          —          1,841,883,941        1,841,883,941  

United States

     —          —          26,419,830        26,419,830  
  

 

 

    

 

 

    

 

 

    

 

 

 

Total Preference Shares

     —          —          1,868,303,771        1,868,303,771  

Private Fund Units (1)

     —          —          41,655,996        41,655,996  

Money Market Funds

     347,089,061        —          —          347,089,061  
  

 

 

    

 

 

    

 

 

    

 

 

 

Total Assets

   $ 347,089,061      $ 545,545,853      $ 2,037,936,220      $ 2,930,571,134  
  

 

 

    

 

 

    

 

 

    

 

 

 

 

12


                                                                                                   

DESCRIPTION

   LEVEL 1      LEVEL 2      LEVEL 3     TOTAL  

Other Financial Instruments*

                                                                                                                    

Unrealized depreciation on swap contracts

   $ —        $ —        $ (2,452,778   $ (2,452,778
  

 

 

    

 

 

    

 

 

   

 

 

 

Total

   $ —        $ —        $ (2,452,778   $ (2,452,778
  

 

 

    

 

 

    

 

 

   

 

 

 

 

*

Other financial instruments are derivatives, such as swap contracts. These instruments are reflected at the unrealized appreciation (depreciation) on the instrument.

(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 July 31, 2020:

 

                                                                                                                                                     
     Event-
Linked
Bonds
    Participation
Notes
    Preference
Shares
    Private Fund
Units
    Limited Liability
Partnership
    Swap
Contracts
 
Beginning Balance - November 1, 2019    $ 30,879,195     $ 204,480,702     $ 3,188,794,080     $ 139,494,767     $ —       $ 47,222  

Acquisitions

     —         93,905,856       468,971,131       —         15,884,959       —    

Dispositions

     (22,383,489     (141,784,712     (897,598,435     (97,117,315     —         —    

Realized losses

     (15,569,457     7,671,415       (149,545,543     (5,890,260     —         —    

Return of capital

     —         (34,169,960     (770,427,993     —         —         —    

Change in unrealized appreciation/ (depreciation)

     14,474,811       (7,726,107     28,110,531       5,168,804       (15,884,959     (2,500,000

Transfers in/(out) Level 3

     (1,801,801     —         —         —         —         —    
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
Ending Balance - July 31, 2020    $ 5,599,259     $ 122,377,194     $ 1,868,303,771     $ 41,655,996     $ —       $ (2,452,778
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

As of July 31, 2020, the change in unrealized appreciation (depreciation) on positions still held in the Fund was $3,710,047 for Event-Linked Bonds, $(9,878,413) for Participation Notes, $(48,514,511) for Preference Shares,    $5,168,804 for Private Fund Units, $(15,884,959) for Limited Liability Partnerships, and $(2,500,000) for Swap Contracts.

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 July 31, 2020:

 

TYPE OF SECURITY

  

INDUSTRY

   FAIR VALUE
AT 7/31/20
    

VALUATION TECHNIQUES

  

UNOBSERVABLE
INPUTS

  

RANGE

  

WEIGHTED
AVERAGE

Participation Notes    Financial Services    $ 72,925,444      Insurance industry loss model   

Estimated losses:

 

Estimated premiums earned:

  

$0.0MM-$19.7MM

 

$0.0MM-$29.8MM

  

$4.2MM

 

$7.6MM

                 
Preference Shares    Financial Services    $ 1,670,559,449      Insurance industry loss model   

Estimated losses:

 

Estimated premiums earned:

  

$0.0MM-$161.7MM

 

$0.0MM-$231.6MM

  

$28.6MM

 

$45.3MM

                 
Private Fund Units    Financial Services    $ 41,655,996      Insurance industry loss model   

Estimated losses:

 

Estimated premiums earned:

  

$4.4MM-$61.8MM

 

$9.4MM-$26.9MM

  

$38.7MM

 

$20.3MM

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 $5,599,259 for Event-Linked Bonds, $49,451,750 for Participation Notes, $197,744,322 for Preference Shares, $0 for Private Fund Units, $0 for Limited Liability Partnership and $(2,452,778) for Swap Contracts.

 

13