STONE RIDGE HIGH YIELD REINSURANCE RISK PREMIUM FUND    

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

 

                                                       
     PRINCIPAL
AMOUNT
     FAIR VALUE  
EVENT LINKED BONDS - 82.6%      
Europe - 0.1%      

Earthquake - 0.1%

     

Azzurro Re II Class A

     

(3 Month Euribor + 4.500%), 01/17/2024 (a)(b)(c)(d) (Cost: $487,485; Original Acquisition Date: 07/06/2020)

   EUR 431,000      $ 507,926  
     

 

 

 
Global - 17.8%      

Earthquake - 3.3%

     

Acorn Re 2018-1 Class A

     

(3 Month Libor USD + 2.750%), 11/10/2021 (a)(b)(c)(d)(e)(f) (Cost: $10,809,765; Original Acquisition Date: 07/03/2018)

   $ 10,837,000        10,752,471  

IBRD CAR 116

     

(3 Month Libor USD + 2.500%), 02/15/2021 (a)(b)(c)(d)(f) (Cost: $10,492,568; Original Acquisition Date: 02/02/2018)

     10,546,000        10,343,517  

IBRD CAR 117

     

(3 Month Libor USD + 3.000%), 02/15/2021 (a)(b)(c)(d)(f) (Cost: $8,356,819; Original Acquisition Date: 02/02/2018)

     8,384,000        8,222,608  

IBRD CAR 120

     

(3 Month Libor USD + 6.000%), 02/15/2021 (a)(b)(c)(d) (Cost: $1,400,000; Original Acquisition Date: 02/02/2018)

     1,400,000        1,389,640  

IBRD CAR 123 Class A

     

(3 Month Libor USD + 5.500%), 12/02/2022 (a)(b)(c)(d) (Cost: $662,000; Original Acquisition Date: 11/15/2019)

     662,000        655,976  
     

 

 

 
        31,364,212  
     

 

 

 

Mortality/Longevity/Disease - 0.7%

     

Chesterfield 2014-1

     

4.500%, 12/15/2034 (c)(d)(g) (Cost: $3,212,500; Original Acquisition Date: 12/11/2014)

     3,212,500        3,184,872  

Vita Capital VI

     

(6 Month Libor USD + 2.900%), 01/08/2021 (a)(b)(c)(d)(e) (Cost: $3,817,767; Original Acquisition Date: 12/15/2015)

     4,444,000        3,894,722  
     

 

 

 
        7,079,594  
     

 

 

 

Multiperil - 13.8%

     

3264 Re 2020-1 Class A

     

(T-Bill 3 Month + 9.750%), 02/07/2023 (a)(b)(c)(d)(f) (Cost: $1,500,000; Original Acquisition Date: 01/17/2020)

     1,500,000        1,478,700  

Atlas Capital 2020 DAC 2020-1

     

(T-Bill 3 Month + 8.250%), 06/10/2024 (a)(b)(c)(d) (Cost: $7,865,000; Original Acquisition Date: 04/23/2020)

     7,865,000        7,930,673  

Atlas Capital UK 2018 PLC

     

(3 Month Libor USD + 6.140%), 06/07/2022 (a)(b)(c)(d) (Cost: $8,750,000; Original Acquisition Date: 05/25/2018)

     8,750,000        8,516,375  

Atlas Capital UK 2019 PLC 2019-1

     

(3 Month Libor USD + 12.180%), 06/07/2023 (a)(b)(c)(d)(e) (Cost: $4,436,000; Original Acquisition Date: 05/24/2019)

     4,436,000        4,307,356  

Atlas IX 2015-1

     

(3 Month Libor USD + 0.100%), 01/07/2021 (a)(b)(c)(d) (Cost: $1,119,363; Original Acquisition Date: 02/05/2015)

     1,119,260        956,967  

Galileo Re 2017-1 Class B

     

(3 Month Libor USD + 17.500%), 11/06/2020 (a)(b)(c)(d) (Cost: $2,074,000; Original Acquisition Date: 10/30/2017)

     2,074,000        2,035,942  

Hypatia Ltd. 2020-1 Class A

     

(T-Bill 3 Month + 6.750%), 06/07/2023 (a)(b)(c)(d) (Cost: $3,763,000; Original Acquisition Date: 07/10/2020)

     3,763,000        3,777,676  

Hypatia Ltd. 2020-1 Class B

     

(T-Bill 3 Month + 9.750%), 06/07/2023 (a)(b)(c)(d) (Cost: $5,789,000; Original Acquisition Date: 07/10/2020)

     5,789,000        5,811,867  

Kendall Re 2018-1 Class A

     

(3 Month Libor USD + 5.250%), 05/06/2021 (a)(b)(c)(d) (Cost: $10,020,615; Original Acquisition Date: 04/19/2018)

     10,029,000        9,826,414  

Kilimanjaro Re II 2017-1 Class A-1

     

(6 Month Libor USD + 10.610%), 04/20/2021 (a)(b)(c)(d) (Cost: $13,580,357; Original Acquisition Date: 04/06/2017)

     13,666,000        13,472,626  

Kilimanjaro Re II 2017-1 Class B-1

     

(6 Month Libor USD + 7.910%), 04/20/2021 (a)(b)(c)(d)(e) (Cost: $14,237,523; Original Acquisition Date: 04/06/2017)

     14,224,000        14,010,640  

 

1


STONE RIDGE HIGH YIELD REINSURANCE RISK PREMIUM FUND    

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

 

                                                       
     PRINCIPAL
AMOUNT
     FAIR VALUE  

Multiperil - 13.8% (continued)

     

Kilimanjaro Re II 2017-1 Class C-1

     

(6 Month Libor USD + 6.300%), 04/20/2021 (a)(b)(c)(d)(e) (Cost: $18,663,456; Original Acquisition Date: 04/06/2017)

   $ 18,627,000      $ 18,477,984  

Kilimanjaro Re II 2017-2 Class A-2

     

(6 Month Libor USD + 10.610%), 04/21/2022 (a)(b)(c)(d) (Cost: $1,571,000; Original Acquisition Date: 04/06/2017)

     1,571,000        1,521,906  

Kilimanjaro Re II 2017-2 Class B-2

     

(6 Month Libor USD + 7.910%), 04/21/2022 (a)(b)(c)(d) (Cost: $2,357,000; Original Acquisition Date: 04/06/2017)

     2,357,000        2,331,073  

Kilimanjaro Re II 2017-2 Class C-2

     

(6 Month Libor USD + 6.300%), 04/21/2022 (a)(b)(c)(d)(e) (Cost: $6,251,000; Original Acquisition Date: 04/06/2017)

     6,260,000        6,162,031  

Loma Re 2013-1 Class C

     

(T-Bill 3 Month + 0.500%), 01/08/2021 (a)(b)(c)(d)(g) (Cost: $19,011,000; Original Acquisition Date: 12/20/2013)

     19,011,000        5,798,355  

Matterhorn Re Ltd 2020-2 Class A

     

(T-Bill 3 Month + 5.000%), 01/08/2024 (a)(b)(c)(d)(f) (Cost: $3,951,000; Original Acquisition Date: 01/29/2020)

     3,951,000        3,897,266  

Northshore Re 2018-1 Class A

     

(3 Month Libor USD + 7.990%), 07/08/2022 (a)(b)(c)(d)(e) (Cost: $12,019,649; Original Acquisition Date: 07/02/2018)

     12,177,000        12,038,791  

Northshore Re II 2019-1 Class A

     

(T-Bill 3 Month + 7.500%), 07/07/2023 (a)(b)(c)(d)(e) (Cost: $4,095,000; Original Acquisition Date: 06/21/2019)

     4,095,000        4,083,534  

Riverfront Re 2017-1 Class A

     

(T-Bill 3 Month + 4.860%), 01/15/2021 (a)(b)(c)(d)(f) (Cost: $6,670,844; Original Acquisition Date: 05/23/2017)

     6,716,000        6,595,112  
     

 

 

 
        133,031,288  
     

 

 

 
        171,475,094  
     

 

 

 
Great Britain - 0.3%      

Terrorism - 0.3%

     

Baltic PCC 2019-1 Class A

     

(T-Bill 3 Month + 5.900%), 03/07/2027 (a)(b)(c)(d)(g) (Cost: $2,906,566; Original Acquisition Date: 02/15/2019)

   GBP 2,300,000        3,010,708  
     

 

 

 
Japan - 6.6%      

Earthquake - 4.5%

     

Kizuna Re II 2018-1 Class B

     

(T-Bill 3 Month + 2.500%), 04/11/2023 (a)(b)(c)(d)(e) (Cost: $362,000; Original Acquisition Date: 03/16/2018)

   $ 362,000        357,022  

Nakama Re 2015-1 Class 2

     

(T-Bill 3 Month + 3.250%), 01/14/2021 (a)(b)(c)(d)(e) (Cost: $8,091,064; Original Acquisition Date: 12/14/2015)

     8,093,000        8,048,489  

Nakama Re 2016-1 Class 1

     

(6 Month Libor USD + 2.200%), 10/13/2021 (a)(b)(c)(d)(e) (Cost: $7,500,000; Original Acquisition Date: 09/21/2016)

     7,500,000        7,464,375  

Nakama Re 2016-1 Class 2

     

(6 Month Libor USD + 3.250%), 10/13/2021 (a)(b)(c)(d)(e) (Cost: $4,830,000; Original Acquisition Date: 09/21/2016)

     4,830,000        4,815,027  

Nakama Re 2018-1 Class 1

     

(3 Month Libor USD + 2.000%), 04/13/2023 (a)(b)(c)(d)(e) (Cost: $15,240,196; Original Acquisition Date: 02/22/2018)

     15,256,000        15,009,616  

Nakama Re 2018-1 Class 2

     

(3 Month Libor USD + 3.000%), 04/13/2023 (a)(b)(c)(d)(e)(f) (Cost: $6,600,926; Original Acquisition Date: 02/22/2018)

     6,638,000        6,565,314  

Nakama Re 2020-1 Class 1

     

(T-Bill 3 Month + 2.200%), 01/01/2025 (a)(b)(c)(d)(f) (Cost: $1,129,000; Original Acquisition Date: 02/04/2020)

     1,129,000        1,104,331  
     

 

 

 
        43,364,174  
     

 

 

 

 

2


STONE RIDGE HIGH YIELD REINSURANCE RISK PREMIUM FUND    

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

 

                                                       
     PRINCIPAL
AMOUNT
     FAIR VALUE  

Multiperil - 1.7%

     

Akibare Re 2018-1 Class A

     

(3 Month Libor USD + 1.900%), 04/07/2022 (a)(b)(c)(d)(e)(f) (Cost: $8,854,811; Original Acquisition Date: 03/22/2018)

   $ 9,195,000      $ 9,032,708  

Akibare Re 2018-1 Class B

     

(3 Month Libor USD + 1.900%), 04/07/2022 (a)(b)(c)(d)(f) (Cost: $7,362,686; Original Acquisition Date: 03/22/2018)

     7,513,000        7,335,693  
     

 

 

 
        16,368,401  
     

 

 

 

Windstorm - 0.4%

     

Aozora Re 2017-1 Class A

     

(6 Month Libor USD + 2.000%), 04/07/2021 (a)(b)(c)(d)(f) (Cost: $4,096,291; Original Acquisition Date: 01/30/2020)

     4,208,000        4,185,698  
     

 

 

 
        63,918,273  
     

 

 

 
Mexico - 1.2%      

Earthquake - 0.7%

     

IBRD CAR 125 Class A

     

(3 Month Libor USD + 3.500%), 03/13/2024 (a)(b)(c)(d)(f) (Cost: $5,631,000; Original Acquisition Date: 02/28/2020)

     5,631,000        5,500,079  

IBRD CAR 126 Class B

     

(3 Month Libor USD + 9.000%), 03/13/2024 (a)(b)(c)(d) (Cost: $1,111,000; Original Acquisition Date: 02/28/2020)

     1,111,000        1,086,503  
     

 

 

 
        6,586,582  
     

 

 

 

Windstorm - 0.5%

     

IBRD CAR 127 Class C

     

(3 Month Libor USD + 10.000%), 03/13/2024 (a)(b)(c)(d)(f) (Cost: $5,021,871; Original Acquisition Date: 02/28/2020)

     5,021,000        4,844,261  
     

 

 

 
        11,430,843  
     

 

 

 
United States - 56.6%      

Earthquake - 8.2%

     

Merna Re 2018-1 Class A

     

(T-Bill 3 Month + 2.000%), 04/08/2021 (a)(b)(c)(d)(e) (Cost: $5,472,501; Original Acquisition Date: 03/26/2018)

     5,493,000        5,456,746  

Merna Re II 2019-1 Class A

     

(T-Bill 3 Month + 2.000%), 04/07/2022 (a)(b)(c)(d) (Cost: $1,966,744; Original Acquisition Date: 03/24/2020)

     2,000,000        1,973,800  

Sierra 2020-1 Class B

     

(T-Bill 3 Month + 5.750%), 12/28/2022 (a)(b)(c)(d)(f) (Cost: $3,750,000; Original Acquisition Date: 12/20/2019)

     3,750,000        3,713,062  

Sutter Re 2020-2 Class A

     

(T-Bill 3 Month + 5.000%), 06/06/2022 (a)(b)(c)(d) (Cost: $16,781,000; Original Acquisition Date: 05/13/2020)

     16,781,000        16,826,309  

Sutter Re 2020-2 Class F

     

(T-Bill 3 Month + 8.500%), 06/06/2022 (a)(b)(c)(d) (Cost: $15,523,000; Original Acquisition Date: 05/13/2020)

     15,523,000        15,639,423  

Ursa Re 2018-1 Class D

     

(T-Bill 3 Month + 5.240%), 09/24/2021 (a)(b)(c)(d)(e) (Cost: $15,385,627; Original Acquisition Date: 09/07/2018)

     15,488,000        15,220,832  

Ursa Re 2019-1 Class C

     

(T-Bill 3 Month + 5.750%), 12/10/2022 (a)(b)(c)(d)(f) (Cost: $20,348,000; Original Acquisition Date: 11/20/2019)

     20,348,000        20,091,615  
     

 

 

 
        78,921,787  
     

 

 

 

Fire - 0.1%

     

SD Re 2020-1 Class A

     

(T-Bill 3 Month + 9.750%), 07/14/2023 (a)(b)(c)(d) (Cost: $1,438,000; Original Acquisition Date: 07/02/2020)

     1,438,000        1,438,072  
     

 

 

 

Flood - 5.4%

     

FloodSmart Re 2019 Class A

     

(T-Bill 3 Month + 11.830%), 03/07/2022 (a)(b)(c)(d) (Cost: $17,550,568; Original Acquisition Date: 04/10/2019)

     17,797,000        17,296,904  

FloodSmart Re 2019 Class B

     

(T-Bill 3 Month + 15.080%), 03/07/2022 (a)(b)(c)(d) (Cost: $2,088,033; Original Acquisition Date: 04/10/2019)

     2,118,000        2,032,645  

 

3


STONE RIDGE HIGH YIELD REINSURANCE RISK PREMIUM FUND    

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

 

                                                       
     PRINCIPAL
AMOUNT
     FAIR VALUE  

Flood - 5.4% (continued)

     

FloodSmart Re 2020 Class A

     

(T-Bill 3 Month + 11.000%), 02/27/2026 (a)(b)(c)(d) (Cost: $24,989,692; Original Acquisition Date: 02/14/2020)

   $ 25,014,000      $ 24,412,413  

FloodSmart Re 2020 Class B

     

(T-Bill 3 Month + 14.500%), 02/27/2023 (a)(b)(c)(d) (Cost: $9,000,000; Original Acquisition Date: 02/14/2020)

     9,000,000        8,708,400  
     

 

 

 
        52,450,362  
     

 

 

 

Mortality/Longevity/Disease - 0.8%

     

Vitality Re IX 2018 Class A

     

(T-Bill 3 Month + 1.600%), 01/10/2022 (a)(b)(c)(d)(e) (Cost: $1,501,425; Original Acquisition Date: 09/24/2019)

     1,500,000        1,450,425  

Vitality Re IX 2018 Class B

     

(T-Bill 3 Month + 1.750%), 01/10/2022 (a)(b)(c)(d)(e) (Cost: $1,250,791; Original Acquisition Date: 09/24/2019)

     1,250,000        1,153,750  

Vitality Re VIII 2017 Class A

     

(T-Bill 3 Month + 1.750%), 01/08/2021 (a)(b)(c)(d) (Cost: $1,000,971; Original Acquisition Date: 12/03/2019)

     1,000,000        972,850  

Vitality Re X 2019 Class B

     

(T-Bill 3 Month + 2.000%), 01/10/2023 (a)(b)(c)(d)(e) (Cost: $2,500,000; Original Acquisition Date: 01/17/2019)

     2,500,000        2,290,875  

Vitality Re XI Limited 2020 Class A

     

(T-Bill 3 Month + 1.500%), 01/09/2024 (a)(b)(c)(d) (Cost: $1,000,000; Original Acquisition Date: 01/23/2020)

     1,000,000        955,200  

Vitality Re XI Limited 2020 Class B

     

(T-Bill 3 Month + 1.800%), 01/09/2024 (a)(b)(c)(d) (Cost: $750,000; Original Acquisition Date: 01/23/2020)

     750,000        678,713  
     

 

 

 
        7,501,813  
     

 

 

 

Multiperil - 28.7%

     

Armor Re II 2019-1 Class A

     

(T-Bill 3 Month + 6.330%), 06/08/2022 (a)(b)(c)(d) (Cost: $8,970,491; Original Acquisition Date: 05/09/2019)

     9,031,000        8,886,504  

Blue Halo Re 2016-1 Class A

     

(T-Bill 3 Month + 0.500%), 06/21/2022 (a)(b)(c)(d) (Cost: $4,750,000; Original Acquisition Date: 06/10/2016)

     4,750,000        4,613,437  

Blue Halo Re 2016-1 Class B

     

(T-Bill 3 Month + 0.100%), 06/21/2022 (a)(b)(c)(d)(g)(h) (Cost: $341,380; Original Acquisition Date: 06/10/2016)

     341,380        324,823  

Bonanza Re 2020-1 Class A

     

(T-Bill 3 Month + 4.750%), 02/20/2024 (a)(b)(c)(d) (Cost: $2,725,000; Original Acquisition Date: 02/13/2020)

     2,725,000        2,657,965  

Bowline 2018-1 Class A

     

(T-Bill 3 Month + 4.760%), 05/23/2022 (a)(b)(c)(d)(e) (Cost: $13,900,313; Original Acquisition Date: 05/10/2018)

     13,938,000        13,611,851  

Bowline Re 2019-1 Class A

     

(T-Bill 3 Month + 4.500%), 03/20/2023 (a)(b)(c)(d)(e) (Cost: $4,017,000; Original Acquisition Date: 03/08/2019)

     4,017,000        3,913,161  

Bowline Re 2019-1 Class B

     

(T-Bill 3 Month + 8.850%), 03/20/2023 (a)(b)(c)(d) (Cost: $3,264,000; Original Acquisition Date: 03/08/2019)

     3,264,000        3,191,213  

Caelus 2018-1 Class A

     

(T-Bill 3 Month + 3.190%), 06/07/2021 (a)(b)(c)(d) (Cost: $2,319,000; Original Acquisition Date: 05/04/2018)

     2,319,000        2,221,950  

Caelus 2018-1 Class B

     

(T-Bill 3 Month + 4.030%), 06/07/2021 (a)(b)(c)(d) (Cost: $1,902,959; Original Acquisition Date: 05/04/2018)

     1,905,000        1,788,128  

Caelus 2018-1 Class C

     

(T-Bill 3 Month + 7.240%), 06/07/2021 (a)(b)(c)(d) (Cost: $2,782,000; Original Acquisition Date: 05/04/2018)

     2,782,000        2,464,991  

Caelus 2018-1 Class D

     

(T-Bill 3 Month + 10.700%), 06/07/2021 (a)(b)(c)(d) (Cost: $464,000; Original Acquisition Date: 05/04/2018)

     464,000        366,073  

Caelus Re 2020-1 Class A-1

     

(T-Bill 3 Month + 5.500%), 06/07/2023 (a)(b)(c)(d) (Cost: $6,787,922; Original Acquisition Date: 02/20/2020)

     6,865,000        6,632,620  

 

4


STONE RIDGE HIGH YIELD REINSURANCE RISK PREMIUM FUND    

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

 

                                                       
     PRINCIPAL
AMOUNT
     FAIR VALUE  

Multiperil - 28.7% (continued)

     

Caelus Re 2020-1 Class B-1

     

(T-Bill 3 Month + 5.500%), 06/07/2024 (a)(b)(c)(d) (Cost: $4,000,000; Original Acquisition Date: 02/20/2020)

   $ 4,000,000      $ 3,820,400  

Caelus Re V 2017-1 Class B

     

(T-Bill 3 Month + 0.500%), 06/05/2024 (a)(b)(c)(d) (Cost: $648,500; Original Acquisition Date: 04/27/2017)

     648,500        593,377  

Caelus Re V 2017-1 Class C

     

(T-Bill 3 Month + 0.500%), 06/05/2023 (a)(b)(c)(d)(g) (Cost: $830,000; Original Acquisition Date: 04/27/2017)

     830,000        20,791  

Caelus Re V 2017-1 Class D

     

(T-Bill 3 Month + 0.500%), 06/05/2023 (a)(b)(c)(d)(g) (Cost: $366,684; Original Acquisition Date: 04/27/2017)

     366,684        37  

Espada Reinsurance 2016-1 Class 20

     

(T-Bill 3 Month + 5.700%), 09/08/2020 (a)(b)(c)(d)(g)(h) (Cost: $456,752; Original Acquisition Date: 02/12/2016)

     456,752        348,091  

FloodSmart Re 2018 Class A

     

(T-Bill 3 Month + 11.250%), 08/06/2024 (a)(b)(c)(d)(e) (Cost: $22,417,592; Original Acquisition Date: 07/25/2018)

     22,448,000        21,963,123  

FloodSmart Re 2018 Class B

     

(T-Bill 3 Month + 13.500%), 08/06/2024 (a)(b)(c)(d)(e) (Cost: $12,657,555; Original Acquisition Date: 07/25/2018)

     12,727,000        12,354,735  

Fortius Re 2017-1

     

(6 Month Libor USD + 3.420%), 07/07/2021 (a)(b)(c)(d) (Cost: $2,511,517; Original Acquisition Date: 07/14/2017)

     2,510,000        2,479,378  

Galileo Re 2019-1 Class C

     

(T-Bill 3 Month + 9.250%), 01/08/2024 (a)(b)(c)(d) (Cost: $3,000,000; Original Acquisition Date: 12/06/2019)

     3,000,000        2,977,050  

Galileo Re 2019-1 Class D

     

(T-Bill 3 Month + 7.450%), 01/08/2027 (a)(b)(c)(d)(f) (Cost: $2,000,000; Original Acquisition Date: 12/06/2019)

     2,000,000        1,971,900  

Golden State Re II 2018-1 Class A

     

(3 Month Libor USD + 2.200%), 01/08/2023 (a)(b)(c)(d)(e) (Cost: $7,250,000; Original Acquisition Date: 11/29/2018)

     7,250,000        7,132,913  

Herbie Re 2020-1 Class A

     

(T-Bill 3 Month + 9.000%), 07/08/2024 (a)(b)(c)(d) (Cost: $6,899,000; Original Acquisition Date: 06/09/2020)

     6,899,000        6,901,415  

Kilimanjaro III Re 2019-1 Class A-1

     

(T-Bill 3 Month + 15.750%), 12/19/2023 (a)(b)(c)(d) (Cost: $6,750,000; Original Acquisition Date: 12/09/2019)

     6,750,000        6,511,388  

Kilimanjaro III Re 2019-1 Class A-2

     

(T-Bill 3 Month + 15.750%), 12/19/2024 (a)(b)(c)(d) (Cost: $10,807,595; Original Acquisition Date: 12/09/2019)

     11,117,000        10,753,474  

Kilimanjaro III Re 2019-1 Class B-1

     

(T-Bill 3 Month + 9.500%), 12/19/2023 (a)(b)(c)(d) (Cost: $12,500,000; Original Acquisition Date: 12/09/2019)

     12,500,000        12,251,250  

Kilimanjaro III Re 2019-1 Class B-2

     

(T-Bill 3 Month + 9.500%), 12/19/2024 (a)(b)(c)(d) (Cost: $9,250,000; Original Acquisition Date: 12/09/2019)

     9,250,000        8,948,450  

Kilimanjaro Re 2018-1 Class A-1

     

(3 Month Libor USD + 13.610%), 05/05/2023 (a)(b)(c)(d) (Cost: $5,866,016; Original Acquisition Date: 04/18/2018)

     6,229,000        5,977,971  

Kilimanjaro Re 2018-1 Class B-1

     

(3 Month Libor USD + 4.940%), 05/06/2022 (a)(b)(c)(d)(e) (Cost: $8,020,055; Original Acquisition Date: 04/18/2018)

     8,036,000        7,979,748  

Kilimanjaro Re 2018-2 Class A-2

     

(3 Month Libor USD + 13.610%), 05/05/2023 (a)(b)(c)(d) (Cost: $2,214,358; Original Acquisition Date: 04/18/2018)

     2,340,000        2,201,355  

Kilimanjaro Re 2018-2 Class B-2

     

(3 Month Libor USD + 4.940%), 05/05/2023 (a)(b)(c)(d)(e) (Cost: $4,305,000; Original Acquisition Date: 04/18/2018)

     4,305,000        4,248,174  

Long Point Re III 2018-1 Class A

     

(T-Bill 3 Month + 2.750%), 06/01/2022 (a)(b)(c)(d)(e) (Cost: $16,205,976; Original Acquisition Date: 05/17/2018)

     16,196,000        15,860,743  

MetroCat Re 2020-1 Class A

     

(T-Bill 3 Month + 5.500%), 05/28/2024 (a)(b)(c)(d) (Cost: $1,391,000; Original Acquisition Date: 05/06/2020)

     1,391,000        1,387,314  

 

5


STONE RIDGE HIGH YIELD REINSURANCE RISK PREMIUM FUND    

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

 

                                                       
     PRINCIPAL
AMOUNT
     FAIR VALUE  

Multiperil - 28.7% (continued)

     

Mona Lisa Re 2020-1 Class A

     

(T-Bill 3 Month + 7.500%), 01/09/2023 (a)(b)(c)(d)(f) (Cost: $7,750,000; Original Acquisition Date: 12/30/2019)

   $ 7,750,000      $ 7,691,875  

Mona Lisa Re 2020-1 Class B

     

(T-Bill 3 Month + 8.000%), 01/09/2023 (a)(b)(c)(d)(f) (Cost: $6,500,000; Original Acquisition Date: 12/30/2019)

     6,500,000        6,382,025  

Residential Re 2015-I Class 10

     

(T-Bill 3 Month + 0.500%), 06/06/2020 (a)(b)(c)(d)(g)(h) (Cost: $3,209,301; Original Acquisition Date: 05/21/2015)

     3,209,301        90,824  

Residential Re 2015-I Class 11

     

(T-Bill 3 Month + 0.500%), 06/08/2020 (a)(b)(c)(d)(g)(h) (Cost: $1,317,000; Original Acquisition Date: 05/21/2015)

     1,317,000        1,154,482  

Residential Re 2016-I Class 10

     

(T-Bill 3 Month + 11.520%), 06/06/2023 (a)(b)(c)(d)(g) (Cost: $2,391,000; Original Acquisition Date: 04/28/2016)

     2,391,000        59,775  

Residential Re 2016-I Class 11

     

(T-Bill 3 Month + 5.030%), 09/08/2020 (a)(b)(c)(d)(g)(h) (Cost: $601,081; Original Acquisition Date: 04/28/2016)

     601,081        477,439  

Residential Re 2017-I Class 11

     

(T-Bill 3 Month + 5.170%), 06/06/2024 (a)(b)(c)(d) (Cost: $1,769,000; Original Acquisition Date: 04/19/2017)

     1,769,000        1,628,718  

Residential Re 2017-II Class 2

     

(T-Bill 3 Month + 13.040%), 12/06/2021 (a)(b)(c)(d) (Cost: $1,201,446; Original Acquisition Date: 05/27/2020)

     1,261,000        1,214,721  

Residential Re 2018-I Class 13

     

(T-Bill 3 Month + 3.360%), 06/06/2025 (a)(b)(c)(d) (Cost: $6,387,254; Original Acquisition Date: 04/30/2018)

     6,397,000        6,174,704  

Residential Re 2018-II Class 2

     

(T-Bill 3 Month + 11.790%), 12/06/2022 (a)(b)(c)(d) (Cost: $4,500,000; Original Acquisition Date: 11/15/2018)

     4,500,000        4,322,250  

Residential Re 2019-I Class 12

     

(T-Bill 3 Month + 8.680%), 06/06/2023 (a)(b)(c)(d) (Cost: $495,000; Original Acquisition Date: 05/08/2019)

     495,000        488,664  

Residential Re 2019-I Class 13

     

(T-Bill 3 Month + 4.650%), 06/06/2023 (a)(b)(c)(d) (Cost: $1,152,904; Original Acquisition Date: 05/08/2019)

     1,162,000        1,140,213  

Residential Re 2019-II Class 2

     

(T-Bill 3 Month + 12.370%), 12/06/2027 (a)(b)(c)(d) (Cost: $1,456,000; Original Acquisition Date: 11/05/2019)

     1,456,000        1,399,726  

Residential Re 2020-I Class 13

     

(T-Bill 3 Month + 5.500%), 06/06/2028 (a)(b)(c)(d) (Cost: $2,241,000; Original Acquisition Date: 05/27/2020)

     2,241,000        2,242,681  

Sanders Re 2017-1 Class A

     

(6 Month Libor USD + 2.930%), 12/06/2021 (a)(b)(c)(d) (Cost: $10,381,513; Original Acquisition Date: 10/17/2018)

     10,427,000        10,093,336  

Sanders Re 2018-1 Class A

     

(T-Bill 3 Month + 5.500%), 04/07/2022 (a)(b)(c)(d) (Cost: $19,278,786; Original Acquisition Date: 03/23/2018)

     19,421,000        18,352,845  

Sanders Re II 2020-1 Class A

     

(3 Month Libor USD + 4.500%), 04/07/2024 (a)(b)(c)(d) (Cost: $4,811,000; Original Acquisition Date: 03/18/2020)

     4,811,000        4,766,498  

Sierra 2020-1 Class A

     

(T-Bill 3 Month + 3.250%), 12/28/2023 (a)(b)(c)(d)(f) (Cost: $2,000,000; Original Acquisition Date: 12/20/2019)

     2,000,000        1,994,400  

Spectrum Capital Ltd. 2017-1 A

     

(6 Month Libor USD + 5.750%), 06/08/2021 (a)(b)(c)(d) (Cost: $11,657,000; Original Acquisition Date: 06/13/2017)

     11,657,000        11,438,431  

Stratosphere Re 2020-1 Class A

     

(T-Bill 3 Month + 2.750%), 02/07/2027 (a)(b)(c)(d)(f) (Cost: $1,925,010; Original Acquisition Date: 01/17/2020)

     1,932,000        1,912,680  

Tailwind Re 2017-1 Class B

     

(T-Bill 3 Month + 9.100%), 01/08/2022 (a)(b)(c)(d) (Cost: $1,973,029; Original Acquisition Date: 08/02/2019)

     1,993,000        1,961,012  

 

6


STONE RIDGE HIGH YIELD REINSURANCE RISK PREMIUM FUND    

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

 

                                                       
     PRINCIPAL
AMOUNT
     FAIR VALUE  

Multiperil - 28.7% (continued)

     

Tailwind Re 2017-1 Class C

     

(T-Bill 3 Month + 11.060%), 01/08/2022 (a)(b)(c)(d) (Cost: $4,660,550; Original Acquisition Date: 08/02/2019)

   $ 4,673,000      $ 4,614,120  
     

 

 

 
        276,957,212  
     

 

 

 

Other - 0.4%

     

Cal Phoenix Re 2018-1 Class A

     

(3 Month Libor USD + 0.500%), 08/13/2021 (a)(b)(c)(d)(g) (Cost: $4,750,000; Original Acquisition Date: 07/30/2018)

     4,750,000        53,437  

SD Re 2018-1 Class A

     

(3 Month Libor USD + 4.000%), 10/19/2021 (a)(b)(c)(d)(f) (Cost: $3,679,213; Original Acquisition Date: 10/05/2018)

     3,750,000        3,558,750  
     

 

 

 
        3,612,187  
     

 

 

 

Windstorm - 13.0%

     

Alamo Re 2018-1 Class A

     

(T-Bill 3 Month + 3.400%), 06/07/2024 (a)(b)(c)(d)(f) (Cost: $20,957,641; Original Acquisition Date: 05/23/2018)

     20,994,000        20,884,831  

Alamo Re 2019-1 Class A

     

(T-Bill 3 Month + 4.450%), 06/08/2022 (a)(b)(c)(d)(f) (Cost: $2,708,000; Original Acquisition Date: 05/21/2019)

     2,708,000        2,716,124  

Alamo Re 2020-1 Class A

     

(T-Bill 3 Month + 5.750%), 06/08/2023 (a)(b)(c)(d) (Cost: $15,680,000; Original Acquisition Date: 05/29/2020)

     15,680,000        15,881,488  

Blue Halo Re 2020-1 Class A

     

(T-Bill 3 Month + 13.250%), 06/28/2023 (a)(b)(c)(d) (Cost: $4,884,000; Original Acquisition Date: 06/16/2020)

     4,884,000        4,880,581  

Cape Lookout Re 2019-1 Class A

     

(T-Bill 3 Month + 4.240%), 02/25/2022 (a)(b)(c)(d)(f) (Cost: $13,382,975; Original Acquisition Date: 02/11/2019)

     13,391,000        13,350,827  

Cape Lookout Re 2019-2 Class A

     

(T-Bill 3 Month + 6.490%), 05/09/2022 (a)(b)(c)(d) (Cost: $2,690,000; Original Acquisition Date: 06/14/2019)

     2,690,000        2,688,789  

Citrus Re 2016-1 Class D-50

     

(T-Bill 3 Month + 0.100%), 02/25/2021 (a)(b)(c)(d)(g)(h) (Cost: $1,937,160; Original Acquisition Date: 02/19/2016)

     1,937,160        589,575  

Everglades II 2020-2 A

     

(T-Bill 3 Month + 6.250%), 05/04/2023 (a)(b)(c)(d) (Cost: $2,101,000; Original Acquisition Date: 05/21/2020)

     2,101,000        2,101,945  

Everglades Re II 2018-1 A

     

(T-Bill 3 Month + 4.730%), 05/04/2021 (a)(b)(c)(d)(f) (Cost: $6,970,000; Original Acquisition Date: 05/09/2018)

     6,970,000        6,841,752  

First Coast Re 2019-1 Class A

     

(T-Bill 3 Month + 5.660%), 06/07/2023 (a)(b)(c)(d) (Cost: $494,000; Original Acquisition Date: 05/16/2019)

     494,000        487,578  

Frontline 2018-1 Class A

     

(T-Bill 3 Month + 7.740%), 07/06/2022 (a)(b)(c)(d)(e) (Cost: $4,000,000; Original Acquisition Date: 06/12/2018)

     4,000,000        1,670,600  

Integrity Re 2020-1 Class A

     

(3 Month Libor USD + 7.250%), 04/12/2023 (a)(b)(c)(d) (Cost: $3,689,000; Original Acquisition Date: 03/18/2020)

     3,689,000        3,665,022  

Manatee Re II 2018-1 Class A

     

(T-Bill 3 Month + 4.530%), 06/07/2021 (a)(b)(c)(d) (Cost: $5,446,054; Original Acquisition Date: 03/22/2018)

     5,470,000        5,358,959  

Manatee Re II 2018-1 Class B

     

(T-Bill 3 Month + 8.280%), 06/07/2021 (a)(b)(c)(d) (Cost: $2,427,244; Original Acquisition Date: 03/22/2018)

     2,451,000        2,394,137  

Manatee Re III 2019-1 Class B

     

(T-Bill 3 Month + 9.620%), 06/07/2022 (a)(b)(c)(d) (Cost: $493,000; Original Acquisition Date: 05/23/2019)

     493,000        480,872  

Matterhorn Re 2019-1 Class A

     

6.182%, 12/07/2020 (a)(c)(d)(e)(i) (Cost: $5,767,418; Original Acquisition Date: 06/14/2019)

     5,892,000        5,692,261  

Matterhorn Re Ltd 2020-1 Class A

     

(T-Bill 3 Month + 5.250%), 12/07/2021 (a)(b)(c)(d) (Cost: $7,500,000; Original Acquisition Date: 12/20/2019)

     7,500,000        7,348,500  

Matterhorn Re Ltd 2020-1 Class B

     

(T-Bill 3 Month + 7.500%), 12/07/2021 (a)(b)(c)(d)(f) (Cost: $16,787,015; Original Acquisition Date: 12/20/2019)

     16,892,000        16,577,809  

 

7


STONE RIDGE HIGH YIELD REINSURANCE RISK PREMIUM FUND    

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

 

                                                       
     PRINCIPAL
AMOUNT
     FAIR VALUE  

Windstorm - 13.0% (continued)

     

Matterhorn Re Ltd 2020-2 Class B

     

(T-Bill 3 Month + 6.250%), 12/07/2021 (a)(b)(c)(d) (Cost: $5,643,680; Original Acquisition Date: 01/29/2020)

   $ 5,653,000      $ 5,591,948  

Matterhorn Re Ltd 2020-4 Class A

     

(T-Bill 3 Month + 10.000%), 12/07/2021 (a)(b)(c)(d) (Cost: $1,435,000; Original Acquisition Date: 06/25/2020)

     1,435,000        1,432,561  

Matterhorn Re Ltd 2020-4 Class B

     

10.755%, 12/07/2021 (a)(c)(d)(i) (Cost: $3,246,734; Original Acquisition Date: 06/25/2020)

     3,731,000        3,235,523  

Pelican Re 2018-1 Class A

     

(3 Month Libor USD + 2.000%), 05/07/2021 (a)(b)(c)(d)(f) (Cost: $2,039,345; Original Acquisition Date: 04/23/2018)

     2,046,000        2,035,463  
     

 

 

 
        125,907,145  
     

 

 

 
        546,788,578  
     

 

 

 
TOTAL EVENT LINKED BONDS (Cost $836,935,492)         797,131,422  
     

 

 

 
PARTICIPATION NOTES - 8.2%      
Global - 8.2%      

Multiperil - 8.2%

     

Eden Re II 2019-1 Class A

     

03/22/2023 (a)(c)(d)(g)(h)(j) (Cost: $249,500; Original Acquisition Date: 12/14/2018)

     249,500        1,910,705  

Eden Re II 2020-1 Class A

     

03/22/2024 (a)(c)(d)(g)(h)(j) (Cost: $12,750,000; Original Acquisition Date: 12/16/2019)

     12,750,000        13,377,341  

Eden Re II 2020-1 Class B

     

03/22/2024 (a)(c)(d)(g)(h)(j) (Cost: $24,700,000; Original Acquisition Date: 12/26/2019)

     24,700,000        25,915,467  

Limestone Re 2018-1 A

     

03/01/2022 (a)(c)(d)(g)(h)(j) (Cost: $1,049; Original Acquisition Date: 06/20/2018)

     8,000        266,742  

Limestone Re 2019-1 A

     

09/09/2022 (a)(c)(d)(g)(h) (Cost: $214,459; Original Acquisition Date: 12/24/2018)

     227,000        779,302  

Limestone Re 2019-2 A

     

03/01/2023 (a)(c)(d)(g)(h)(j) (Cost: $410,000; Original Acquisition Date: 06/25/2019)

     410,000        633,798  

Limestone Re 2019-2 B

     

03/01/2023 (a)(c)(d)(g)(h)(j) (Cost: $1,018,000; Original Acquisition Date: 06/25/2019)

     1,018,000        1,574,083  

Limestone Re 2020-1 B

     

03/01/2024 (a)(c)(d)(g)(h)(j) (Cost: $4,950,000; Original Acquisition Date: 12/27/2019)

     4,950,000        5,028,210  

Limestone Re 2020-2 B

     

10/01/2024 (a)(c)(d)(g)(j) (Cost: $9,900,000; Original Acquisition Date: 06/26/2020)

     9,900,000        9,905,445  

Sector Re V Series 10 Class B

     

03/01/2025 (a)(d)(g)(j) (Cost: $7,333,868; Original Acquisition Date: 04/24/2020)

     7,333,868        7,569,294  

Sector Re V Series 10 Class G

     

03/01/2025 (a)(d)(g)(j) (Cost: $8,829,996; Original Acquisition Date: 04/24/2020)

     8,829,996        8,973,023  

Sector Re V Series 9 Class A

     

03/01/2023 (a)(d)(g)(j) (Cost: $3,605,992; Original Acquisition Date: 04/24/2019)

     3,605,992        1,698,612  

Sector Re V Series 9 Class B

     

03/01/2023 (a)(d)(g)(j) (Cost: $1,283,254; Original Acquisition Date: 04/24/2019)

     1,283,254        603,826  

Sector Re V Series 9 Class G

     

03/01/2023 (a)(d)(g)(j) (Cost: $18,782; Original Acquisition Date: 04/24/2019)

     18,782        1,336,187  
     

 

 

 
TOTAL PARTICIPATION NOTES (Cost $75,264,900)         79,572,035  
     

 

 

 
     SHARES      FAIR VALUE  
PREFERENCE SHARES - 6.2%      
Global - 6.2%      

Multiperil - 6.2%

     

Arenal (Artex Segregated Account Company) (a)(d)(g)(h)(j) (Cost: $9,085,059; Original Acquisition Date: 05/07/2015)

     18,011        4,009,816  

Biscayne (Artex Segregated Account Company) (a)(d)(g)(h) (Cost: $0; Original Acquisition Date: 04/30/2014)

     28,192        1,304,938  

Hatteras (Artex Segregated Account Company) (a)(d)(g)(h)(j) (Cost: $15,502,685; Original Acquisition Date: 12/30/2014)

     18,297        15,030,297  

Hudson Charles 2 (Mt. Logan Re) (a)(d)(g)(j) (Cost: $11,534,500; Original Acquisition Date: 04/02/2014)

     11,535        9,576,565  

Hudson Charles 3 (Mt. Logan Re) (a)(d)(g)(j) (Cost: $15,350,000; Original Acquisition Date: 06/19/2014)

     15,350        12,452,004  

 

8


STONE RIDGE HIGH YIELD REINSURANCE RISK PREMIUM FUND    

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

 

                                                       
     SHARES      FAIR VALUE  

Multiperil - 6.2% (continued)

     

Madison (Artex Segregated Account Company) (a)(d)(g)(h)(j) (Cost: $2,722,962; Original Acquisition Date: 02/03/2020)

     5,011      $ 2,808,544  

Rondout (Artex Segregated Account Company) (a)(d)(g)(h)(j) (Cost: $14,040,097; Original Acquisition Date: 05/29/2015)

     13,910        11,964,784  

Yoho (Artex Segregated Account Company) (a)(d)(g)(h) (Cost: $4,337,300; Original Acquisition Date: 05/17/2016)

     14,890        2,329,574  
     

 

 

 
TOTAL PREFERENCE SHARES (Cost $72,572,603)         59,476,522  
     

 

 

 
SHORT-TERM INVESTMENTS - 3.1%      

Money Market Fund - 3.1%

     

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

     15,152,477        15,152,477  

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

     15,152,476        15,152,476  
     

 

 

 
TOTAL SHORT-TERM INVESTMENTS (Cost $30,304,952)         30,304,953  
     

 

 

 
TOTAL INVESTMENTS (Cost $1,015,077,948) - 100.1%         966,484,932  
     

 

 

 
LIABILITIES IN EXCESS OF OTHER ASSETS - (0.1)%         (966,344
     

 

 

 
TOTAL NET ASSETS - 100.0%       $      965,518,588  
     

 

 

 

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

Country shown is geographic area of peril risk.    

Percentages are stated as a percent of net assets.     

 

(a)

Foreign issued security. Total foreign securities by country of domicile are $932,995,107. Foreign concentration is as follows: Bermuda: 81.7%, Cayman Islands: 6.8%, Supranational: 3.3%, Singapore: 2.1%, Great Britain: 1.6%, and Ireland: 1.0%

(b)

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.

(c)

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 $856,522,515, which represented 88.7% of net assets.

(d)

Security is restricted as to resale.

(e)

All or a portion of the security is pledged as collateral for the Fund’s financing facility.

(f)

All or a portion of the security is pledged as collateral for the Fund’s reverse repurchase agreements.

(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 $89,918,835, which represents 9.3% 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.

Reverse Repurchase Agreements    

 

                                                 

DESCRIPTION

   PRINCIPAL
VALUE
     FAIR VALUE  
REVERSE REPURCHASE AGREEMENTS SOLD      

Repurchase Agreement with JP Morgan Chase Securities, Inc., dated 7/16/2020, collateralized by $14,602,086 Event Linked Bonds, due 9/16/2020

   $ 5,000,000      $ 5,000,000  
  

 

 

    

 

 

 
TOTAL REVERSE REPURCHASE AGREEMENTS SOLD    $ 5,000,000      $ 5,000,000  
  

 

 

    

 

 

 
(Premiums Received $5,000,000)      

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

 

9


STONE RIDGE U.S. HEDGED EQUITY FUND

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

 

                                                                                   
     NUMBER OF
CONTRACTS
     NOTIONAL
AMOUNT
     FAIR VALUE  
PURCHASED OPTIONS - (a) 0.0%         
PUT OPTIONS - (a) 0.0%         
CBOE S&P 500 Index, Expires 8/7/2020, Strike Price $2,450.00      130      $ 42,524,560      $ 1,950  
CBOE S&P 500 Index, Expires 8/7/2020, Strike Price $2,540.00      50        16,355,600        500  
        

 

 

 
TOTAL PURCHASED OPTIONS (Cost $2,209)            2,450  
        

 

 

 
        
            SHARES      FAIR VALUE  
SHORT-TERM INVESTMENTS - 100.2%         
Money Market Funds - 0.6%         
Fidelity Investments Money Market Funds - Government Portfolio - Institutional Class - 0.05% (b)         70,033        70,033  
First American Government Obligations Fund - Class Z - 0.09% (b)         70,032        70,032  
First American Treasury Obligations Fund - Class Z - 0.09% (b)         70,032        70,032  
Morgan Stanley Institutional Liquidity Funds - Government Portfolio - Institutional Class - 0.04% (b)         70,033        70,033  
Short-Term Investments Trust - Treasury Portfolio - Institutional Class - 0.08% (b)         70,033        70,033  
        

 

 

 
           350,163  
        

 

 

 
        
            PRINCIPAL
AMOUNT
     FAIR VALUE  
U.S. Treasury Bills - 99.6%         
1.556%, 10/8/2020 (c)(d)       $ 7,819,000        7,817,710  
1.517%, 11/5/2020 (c)(d)         22,775,000        22,769,945  
1.076%, 12/31/2020 (c)(d)         7,525,000        7,521,865  
0.134%, 2/25/2021 (c)(d)         6,775,000        6,771,123  
0.162%, 3/25/2021 (c)(d)         4,975,000        4,972,009  
0.156%, 4/22/2021 (c)(d)         7,800,000        7,794,323  
0.125%, 6/17/2021 (c)(d)         1,025,000        1,024,038  
        

 

 

 
           58,671,013  
        

 

 

 
TOTAL SHORT-TERM INVESTMENTS (Cost $58,877,825)            59,021,176  
        

 

 

 
        
TOTAL INVESTMENTS (Cost $58,880,034) - 100.2%            59,023,626  
        

 

 

 
LIABILITIES IN EXCESS OF OTHER ASSETS - (0.2)%            (138,330
        

 

 

 
TOTAL NET ASSETS - 100.0%          $ 58,885,296  
        

 

 

 

Percentages are stated as a percent of net assets.    

 

(a)

Rounds to zero.

(b)

Rate shown is the 7-day effective yield.

(c)

Rate shown is the effective yield based on purchase price. The calculation assumes the security is held to maturity.

(d)

All or a portion of this security is held as collateral for written put options.

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

 

10


STONE RIDGE U.S. HEDGED EQUITY FUND

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

 

Written Options    

 

                                                                                   

DESCRIPTION

   NUMBER OF
CONTRACTS
     NOTIONAL
AMOUNT
     FAIR VALUE  
PUT OPTIONS         
CBOE S&P 500 Index, Expires 8/3/2020, Strike Price $3,225.00      10      $ 3,271,120      $ 3,250  
CBOE S&P 500 Index, Expires 8/3/2020, Strike Price $3,230.00      20        6,542,240        7,600  
CBOE S&P 500 Index, Expires 8/3/2020, Strike Price $3,235.00      20        6,542,240        8,900  
CBOE S&P 500 Index, Expires 8/3/2020, Strike Price $3,255.00      6        1,962,672        5,100  
CBOE S&P 500 Index, Expires 8/5/2020, Strike Price $3,250.00      6        1,962,672        9,960  
CBOE S&P 500 Index, Expires 8/5/2020, Strike Price $3,255.00      27        8,832,024        49,005  
CBOE S&P 500 Index, Expires 8/5/2020, Strike Price $3,260.00      30        9,813,360        59,250  
CBOE S&P 500 Index, Expires 8/7/2020, Strike Price $3,235.00      16        5,233,792        32,112  
CBOE S&P 500 Index, Expires 8/7/2020, Strike Price $3,250.00      18        5,888,016        43,902  
CBOE S&P 500 Index, Expires 8/7/2020, Strike Price $3,255.00      17        5,560,904        43,163  
CBOE S&P 500 Index, Expires 8/7/2020, Strike Price $3,260.00      10        3,271,120        26,800  
        

 

 

 
TOTAL PUT OPTIONS            289,042  
        

 

 

 
(Premiums Received $589,305)         
        
TOTAL WRITTEN OPTIONS          $ 289,042  
        

 

 

 
(Premiums Received $589,305)         

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

 

11


STONE RIDGE DIVERSIFIED ALTERNATIVES FUND    

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

 

                                                                                   
          SHARES      FAIR VALUE  
INVESTMENT COMPANIES - 64.2%         
Open-End Mutual Funds - 64.2%         
Stone Ridge High Yield Reinsurance Risk Premium Fund - Class I (a)         1,833,736      $ 16,668,658  
        

 

 

 
TOTAL INVESTMENT COMPANIES (Cost $16,376,933)            16,668,658  
        

 

 

 
        
     NUMBER OF
CONTRACTS
   NOTIONAL
AMOUNT
     FAIR VALUE  
PURCHASED OPTIONS (b) - 0.0%         
Put Options (b) - 0.0%         
S&P 500 Emini Index, Expires: 08/14/20, Strike Price: $2,695.00    80    $ 13,054,000        4,831  
S&P 500 Emini Index, Expires: 08/28/20, Strike Price: $2,250.00    80      13,054,000        4,600  
        

 

 

 
TOTAL PURCHASED OPTIONS (Cost $14,948)            9,431  
        

 

 

 
        
          SHARES      FAIR VALUE  
SHORT-TERM INVESTMENTS - 34.5%         
Money Market Funds - 13.3%         
First American Government Obligations Fund - Class X 0.09% (c)         1,722,731        1,722,731  
Morgan Stanley Institutional Liquidity Funds - Government Portfolio - Institutional Class 0.04% (c)         1,722,731        1,722,731  
        

 

 

 
           3,445,462  
        

 

 

 
        
          PRINCIPAL
AMOUNT
     FAIR VALUE  
U.S. Treasury Bills - 21.2%         
0.154%, 04/22/2021 (d)(e)       $ 5,500,000        5,495,997  
        

 

 

 
TOTAL SHORT-TERM INVESTMENTS (Cost $8,939,312)            8,941,459  
        

 

 

 
        
TOTAL INVESTMENTS (Cost $25,331,193) - 98.7%            25,619,548  
        

 

 

 
OTHER ASSETS IN EXCESS OF LIABILITIES - 1.3%            327,387  
        

 

 

 
TOTAL NET ASSETS - 100.0%          $ 25,946,935  
        

 

 

 

Percentages are stated as a percent of net assets.

 

(a)

Affiliated company. See Footnote 3.

(b)

Rounds to zero.

(c)

Rate shown is the 7-day effective yield.

(d)

All or a portion of this security is held as collateral for derivative contracts.

(e)

Rate shown is the effective yield based on purchase price. The calculation assumes the security is held to maturity.

Written Options    

 

                                                                                   

DESCRIPTION

   NUMBER OF
CONTRACTS
     NOTIONAL
AMOUNT
     FAIR VALUE  
CALL OPTIONS         
Australian Dollar Future, August 2020 Settlement, Expires 08/07/2020, Strike Price $70.00      20        1,429,400      $ 30,800  
Australian Dollar Future, August 2020 Settlement, Expires 08/07/2020, Strike Price $70.50      40        2,858,800        44,000  
Australian Dollar Future, August 2020 Settlement, Expires 08/07/2020, Strike Price $71.00      35        2,501,450        25,200  
Australian Dollar Future, August 2020 Settlement, Expires 08/07/2020, Strike Price $71.50      20        1,429,400        8,400  
British Pound Future, August 2020 Settlement, Expires 08/07/2020, Strike Price $126.50      40        3,277,000        114,750  
British Pound Future, August 2020 Settlement, Expires 08/07/2020, Strike Price $127.00      40        3,277,000        102,250  
British Pound Future, August 2020 Settlement, Expires 08/07/2020, Strike Price $127.50      20        1,638,500        45,000  

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

 

12


STONE RIDGE DIVERSIFIED ALTERNATIVES FUND    

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

 

                                                                                   

DESCRIPTION

   NUMBER OF
CONTRACTS
     NOTIONAL
AMOUNT
     FAIR VALUE  
British Pound Future, August 2020 Settlement, Expires 08/07/2020, Strike Price $128.00      20        1,638,500      $ 39,000  
Canadian Dollar Future, August 2020 Settlement, Expires 08/07/2020, Strike Price $74.00      40        2,988,800        31,200  
Canadian Dollar Future, August 2020 Settlement, Expires 08/07/2020, Strike Price $74.50      37        2,764,640        15,170  
Canadian Dollar Future, August 2020 Settlement, Expires 08/07/2020, Strike Price $75.00      35        2,615,200        5,950  
Cocoa Future, September 2020 Settlement, Expires 08/07/2020, Strike Price $2,300.00      30        720,000        31,800  
Cocoa Future, September 2020 Settlement, Expires 08/07/2020, Strike Price $2,350.00      25        600,000        16,500  
Cocoa Future, September 2020 Settlement, Expires 08/07/2020, Strike Price $2,400.00      26        624,000        9,360  
Cocoa Future, September 2020 Settlement, Expires 08/07/2020, Strike Price $2,450.00      20        480,000        3,400  
Cocoa Future, September 2020 Settlement, Expires 08/07/2020, Strike Price $2,500.00      10        240,000        700  
Coffee ‘C’ Future, September 2020 Settlement, Expires 08/14/2020, Strike Price $102.50      10        446,063        62,438  
Coffee ‘C’ Future, September 2020 Settlement, Expires 08/14/2020, Strike Price $105.00      10        446,063        53,513  
Coffee ‘C’ Future, September 2020 Settlement, Expires 08/14/2020, Strike Price $107.50      15        669,094        67,219  
Coffee ‘C’ Future, September 2020 Settlement, Expires 08/14/2020, Strike Price $110.00      15        669,094        54,900  
Corn Future, September 2020 Settlement, Expires 08/21/2020, Strike Price $330.00      50        790,000        4,375  
Corn Future, September 2020 Settlement, Expires 08/21/2020, Strike Price $335.00      75        1,185,000        4,688  
Corn Future, September 2020 Settlement, Expires 08/21/2020, Strike Price $340.00      25        395,000        1,094  
Corn Future, September 2020 Settlement, Expires 08/21/2020, Strike Price $345.00      25        395,000        781  
Corn Future, September 2020 Settlement, Expires 08/21/2020, Strike Price $350.00      25        395,000        625  
Corn Future, September 2020 Settlement, Expires 08/21/2020, Strike Price $355.00      8        126,400        150  
Cotton Future, September 2020 Settlement, Expires 08/21/2020, Strike Price $60.00      10        313,300        15,500  
Cotton Future, September 2020 Settlement, Expires 08/21/2020, Strike Price $61.00      10        313,300        11,700  
Cotton Future, September 2020 Settlement, Expires 08/21/2020, Strike Price $62.00      20        626,600        16,900  
Cotton Future, September 2020 Settlement, Expires 08/21/2020, Strike Price $63.00      10        313,300        5,850  
Cotton Future, September 2020 Settlement, Expires 08/21/2020, Strike Price $64.00      10        313,300        3,900  
Cotton Future, September 2020 Settlement, Expires 08/21/2020, Strike Price $65.00      14        438,620        3,570  
Crude Oil Future, October 2020 Settlement, Expires 08/25/2020, Strike Price $45.50      40        1,740,800        29,600  
Crude Oil Future, October 2020 Settlement, Expires 08/25/2020, Strike Price $45.75      30        1,305,600        19,800  
Crude Oil Future, October 2020 Settlement, Expires 08/25/2020, Strike Price $46.00      30        1,305,600        17,400  
Crude Oil Future, October 2020 Settlement, Expires 08/25/2020, Strike Price $46.25      41        1,784,320        21,320  
Crude Oil Future, October 2020 Settlement, Expires 08/25/2020, Strike Price $46.50      40        1,740,800        18,400  
Crude Oil Future, October 2020 Settlement, Expires 08/25/2020, Strike Price $46.75      20        870,400        8,000  
Euro FX Future, August 2020 Settlement, Expires 08/07/2020, Strike Price $1.150      3        442,481        11,325  
Gold Future, September 2020 Settlement, Expires 08/26/2020, Strike Price $2,000.00      20        3,947,800        62,400  
Gold Future, September 2020 Settlement, Expires 08/26/2020, Strike Price $2,005.00      20        3,947,800        58,800  
Gold Future, September 2020 Settlement, Expires 08/26/2020, Strike Price $2,010.00      20        3,947,800        55,600  
HG Copper Future, September 2020 Settlement, Expires 08/26/2020, Strike Price $300.00      3        215,100        1,463  
HG Copper Future, September 2020 Settlement, Expires 08/26/2020, Strike Price $303.00      3        215,100        1,193  
HG Copper Future, September 2020 Settlement, Expires 08/26/2020, Strike Price $305.00      5        358,500        1,625  
HG Copper Future, September 2020 Settlement, Expires 08/26/2020, Strike Price $308.00      5        358,500        1,312  
HG Copper Future, September 2020 Settlement, Expires 08/26/2020, Strike Price $310.00      5        358,500        1,125  
Japanese Yen Future, August 2020 Settlement, Expires 08/07/2020, Strike Price $94.00      10        1,182,438        9,625  
Japanese Yen Future, August 2020 Settlement, Expires 08/07/2020, Strike Price $94.50      20        2,364,875        11,500  
Lean Hogs Future, August 2020 Settlement, Expires 08/14/2020, Strike Price $53.00      10        208,000        3,300  
Lean Hogs Future, August 2020 Settlement, Expires 08/14/2020, Strike Price $54.00      9        187,200        1,800  
Live Cattle Future, August 2020 Settlement, Expires 08/07/2020, Strike Price $101.00      10        411,300        9,000  
Live Cattle Future, August 2020 Settlement, Expires 08/07/2020, Strike Price $101.00      25        1,028,250        14,750  
Natural Gas Future, September 2020 Settlement, Expires 08/26/2020, Strike Price $1.90      75        1,349,250        49,950  
Natural Gas Future, September 2020 Settlement, Expires 08/26/2020, Strike Price $1.95      75        1,349,250        37,800  
Natural Gas Future, September 2020 Settlement, Expires 08/26/2020, Strike Price $2.00      50        899,500        18,800  
Natural Gas Future, September 2020 Settlement, Expires 08/26/2020, Strike Price $2.05      50        899,500        13,900  
Silver Future, September 2020 Settlement, Expires 08/26/2020, Strike Price $29.50      5        605,400        5,850  
Silver Future, September 2020 Settlement, Expires 08/26/2020, Strike Price $29.75      5        605,400        5,425  
Silver Future, September 2020 Settlement, Expires 08/26/2020, Strike Price $30.25      5        605,400        4,675  
Silver Future, September 2020 Settlement, Expires 08/26/2020, Strike Price $30.50      5        605,400        4,325  
Silver Future, September 2020 Settlement, Expires 08/26/2020, Strike Price $31.00      5        605,400        3,775  
Soybean Oil Future, September 2020 Settlement, Expires 08/21/2020, Strike Price $30.50      15        274,230        4,950  
Soybean Oil Future, September 2020 Settlement, Expires 08/21/2020, Strike Price $31.00      20        365,640        4,380  
Soybean Oil Future, September 2020 Settlement, Expires 08/21/2020, Strike Price $31.50      10        182,820        1,380  
Soybean Oil Future, September 2020 Settlement, Expires 08/21/2020, Strike Price $32.00      10        182,820        870  
Soybean Oil Future, September 2020 Settlement, Expires 08/21/2020, Strike Price $32.50      14        255,948        756  
Sugar Future, September 2020 Settlement, Expires 08/17/2020, Strike Price $11.75      25        353,920        26,600  
Sugar Future, September 2020 Settlement, Expires 08/17/2020, Strike Price $12.00      25        353,920        20,720  
Sugar Future, September 2020 Settlement, Expires 08/17/2020, Strike Price $12.25      25        353,920        15,400  
Sugar Future, September 2020 Settlement, Expires 08/17/2020, Strike Price $12.50      15        212,352        6,552  

 

13


STONE RIDGE DIVERSIFIED ALTERNATIVES FUND    

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

 

                                                                                   

DESCRIPTION

   NUMBER OF
CONTRACTS
     NOTIONAL
AMOUNT
     FAIR VALUE  
Sugar Future, September 2020 Settlement, Expires 08/17/2020, Strike Price $12.75      15        212,352      $ 4,368  
U.S. Treasury 10-Year Note Future, September 2020 Settlement, Expires 08/21/2020, Strike Price $140.50      4        560,313        937  
U.S. Treasury Long Bond Future, September 2020 Settlement, Expires 08/21/2020, Strike Price $184.00      4        729,125        3,125  
Wheat Future, September 2020 Settlement, Expires 08/21/2020, Strike Price $550.00      25        664,063        6,250  
Wheat Future, September 2020 Settlement, Expires 08/21/2020, Strike Price $555.00      25        664,063        5,000  
Wheat Future, September 2020 Settlement, Expires 08/21/2020, Strike Price $560.00      25        664,063        3,750  
Wheat Future, September 2020 Settlement, Expires 08/21/2020, Strike Price $565.00      50        1,328,125        5,937  
Wheat Future, September 2020 Settlement, Expires 08/21/2020, Strike Price $570.00      50        1,328,125        4,375  
        

 

 

 
TOTAL CALL OPTIONS            1,449,871  
        

 

 

 
(Premiums Received $946,997)         
        
PUT OPTIONS         
Australian Dollar Future, August 2020 Settlement, Expires 08/07/2020, Strike Price $68.00      40        2,858,800        200  
Australian Dollar Future, August 2020 Settlement, Expires 08/07/2020, Strike Price $68.50      40        2,858,800        400  
Australian Dollar Future, August 2020 Settlement, Expires 08/07/2020, Strike Price $69.00      20        1,429,400        400  
British Pound Future, August 2020 Settlement, Expires 08/07/2020, Strike Price $122.00      20        1,638,500        125  
British Pound Future, August 2020 Settlement, Expires 08/07/2020, Strike Price $122.50      35        2,867,375        219  
British Pound Future, August 2020 Settlement, Expires 08/07/2020, Strike Price $123.00      32        2,621,600        200  
British Pound Future, August 2020 Settlement, Expires 08/07/2020, Strike Price $123.50      20        1,638,500        125  
Canadian Dollar Future, August 2020 Settlement, Expires 08/07/2020, Strike Price $72.00      20        1,494,400        100  
Canadian Dollar Future, August 2020 Settlement, Expires 08/07/2020, Strike Price $72.50      20        1,494,400        100  
Canadian Dollar Future, August 2020 Settlement, Expires 08/07/2020, Strike Price $73.00      40        2,988,800        200  
Canadian Dollar Future, August 2020 Settlement, Expires 08/07/2020, Strike Price $73.50      40        2,988,800        800  
Coffee ‘C’ Future, September 2020 Settlement, Expires 08/14/2020, Strike Price $95.00      15        669,094        337  
Corn Future, September 2020 Settlement, Expires 08/21/2020, Strike Price $320.00      150        2,370,000        61,875  
Corn Future, September 2020 Settlement, Expires 08/21/2020, Strike Price $325.00      200        3,160,000        117,500  
Cotton Future, September 2020 Settlement, Expires 08/21/2020, Strike Price $53.00      14        438,620        280  
Cotton Future, September 2020 Settlement, Expires 08/21/2020, Strike Price $54.00      10        313,300        300  
Cotton Future, September 2020 Settlement, Expires 08/21/2020, Strike Price $55.00      20        626,600        700  
Cotton Future, September 2020 Settlement, Expires 08/21/2020, Strike Price $56.00      10        313,300        500  
Cotton Future, September 2020 Settlement, Expires 08/21/2020, Strike Price $57.00      10        313,300        650  
Euro FX Future, August 2020 Settlement, Expires 08/07/2020, Strike Price $1.110      3        442,481        19  
Gold Future, September 2020 Settlement, Expires 08/26/2020, Strike Price $1,815.00      20        3,947,800        7,800  
Gold Future, September 2020 Settlement, Expires 08/26/2020, Strike Price $1,820.00      20        3,947,800        8,400  
Gold Future, September 2020 Settlement, Expires 08/26/2020, Strike Price $1,825.00      22        4,342,580        9,900  
HG Copper Future, September 2020 Settlement, Expires 08/26/2020, Strike Price $275.00      5        358,500        2,687  
HG Copper Future, September 2020 Settlement, Expires 08/26/2020, Strike Price $278.00      4        286,800        2,850  
HG Copper Future, September 2020 Settlement, Expires 08/26/2020, Strike Price $280.00      5        358,500        4,250  
HG Copper Future, September 2020 Settlement, Expires 08/26/2020, Strike Price $282.00      5        358,500        5,125  
Japanese Yen Future, August 2020 Settlement, Expires 08/07/2020, Strike Price $92.00      10        1,182,438        125  
Japanese Yen Future, August 2020 Settlement, Expires 08/07/2020, Strike Price $92.50      15        1,773,656        375  
Lean Hogs Future, August 2020 Settlement, Expires 08/14/2020, Strike Price $46.00      9        187,200        450  
Lean Hogs Future, August 2020 Settlement, Expires 08/14/2020, Strike Price $47.00      10        208,000        700  
Live Cattle Future, August 2020 Settlement, Expires 08/07/2020, Strike Price $92.00      20        822,600        600  
Live Cattle Future, August 2020 Settlement, Expires 08/07/2020, Strike Price $93.00      15        616,950        450  
Natural Gas Future, September 2020 Settlement, Expires 08/26/2020, Strike Price $1.55      52        935,480        16,432  
Natural Gas Future, September 2020 Settlement, Expires 08/26/2020, Strike Price $1.60      25        449,750        10,350  
Natural Gas Future, September 2020 Settlement, Expires 08/26/2020, Strike Price $1.65      25        449,750        13,550  
Natural Gas Future, September 2020 Settlement, Expires 08/26/2020, Strike Price $1.70      25        449,750        17,425  
S&P 500 Emini Index, August 2020 Settlement, Expires 08/07/2020, Strike Price $3,115.00      150        24,476,250        38,902  
Silver Future, September 2020 Settlement, Expires 08/26/2020, Strike Price $20.60      10        1,210,800        7,300  
Silver Future, September 2020 Settlement, Expires 08/26/2020, Strike Price $20.70      10        1,210,800        7,850  
Silver Future, September 2020 Settlement, Expires 08/26/2020, Strike Price $20.80      10        1,210,800        8,450  

 

14


STONE RIDGE DIVERSIFIED ALTERNATIVES FUND

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

 

                                                                                   

DESCRIPTION

   NUMBER OF
CONTRACTS
     NOTIONAL
AMOUNT
     FAIR VALUE  
Soybean Meal Future, September 2020 Settlement, Expires 08/21/2020, Strike Price $280.00      10        291,200      $ 500  
Soybean Meal Future, September 2020 Settlement, Expires 08/21/2020, Strike Price $285.00      10        291,200        1,350  
Soybean Meal Future, September 2020 Settlement, Expires 08/21/2020, Strike Price $290.00      21        611,520        7,140  
Sugar Future, September 2020 Settlement, Expires 08/17/2020, Strike Price $10.50      20        283,136        224  
Sugar Future, September 2020 Settlement, Expires 08/17/2020, Strike Price $10.75      25        353,920        280  
Sugar Future, September 2020 Settlement, Expires 08/17/2020, Strike Price $11.00      26        368,077        291  
Sugar Future, September 2020 Settlement, Expires 08/17/2020, Strike Price $11.25      30        424,704        672  
Sugar Future, September 2020 Settlement, Expires 08/17/2020, Strike Price $11.50      25        353,920        1,120  
U.S. Treasury 10-Year Note Future, September 2020 Settlement, Expires 08/21/2020, Strike Price $139.00      4        560,313        312  
U.S. Treasury Long Bond Future, September 2020 Settlement, Expires 08/21/2020, Strike Price $179.00      4        729,125        1,625  
Wheat Future, September 2020 Settlement, Expires 08/21/2020, Strike Price $520.00      25        664,063        8,750  
Wheat Future, September 2020 Settlement, Expires 08/21/2020, Strike Price $525.00      25        664,063        11,094  
Wheat Future, September 2020 Settlement, Expires 08/21/2020, Strike Price $530.00      39        1,035,938        21,694  
        

 

 

 
TOTAL PUT OPTIONS            404,053  
        

 

 

 
(Premiums Received $582,223)         
        
TOTAL WRITTEN OPTIONS          $ 1,853,924  
        

 

 

 
(Premiums Received $1,529,220)         

Open Futures Contracts

 

                                                                          

DESCRIPTION

   NUMBER OF
CONTRACTS
     NOTIONAL
VALUE
     VALUE/
UNREALIZED
APPRECIATION
(DEPRECIATION)
 
FUTURES CONTRACTS SOLD         
Brent Crude, January 2021 Settlement      2      $ 88,940      $ (2,253
Coffee ‘C’, December 2020 Settlement      2        91,200        (9,953
Copper, September 2020 Settlement      1        71,700        (1,452
Corn, September 2020 Settlement      178        2,812,400        16,072  
Corn, December 2020 Settlement      22        359,700        14,877  
DAX Index, September 2020 Settlement      2        727,416        (866
Euro Stoxx 50, September 2020 Settlement      11        412,437        4,975  
FTSE/JSE Top 40 Index, September 2020 Settlement      29        870,386        (25,098
FTSE/MIB Index, September 2020 Settlement      4        449,908        12,287  
KC HRW Wheat, December 2020 Settlement      17        385,050        18,984  
KOSPI2 Index, September 2020 Settlement      7        439,703        (26,270
Lean Hogs, December 2020 Settlement      6        120,900        6,603  
Low Su Gasoil, January 2021 Settlement      2        76,200        47  
Natural Gas, January 2021 Settlement      6        174,900        (3,234
NY Harbor ULSD, January 2021 Settlement      1        54,272        208  
OMXS30 Index, August 2020 Settlement      1        19,481        276  
S&P500 Emini, September 2020 Settlement      4        652,700        (4,851
Silver, September 2020 Settlement      2        242,160        (44,664
Soybean Meal, September 2020 Settlement      8        232,960        1,558  
     

 

 

    

 

 

 
TOTAL FUTURES CONTRACTS SOLD       $ 8,282,413      $ (42,754
     

 

 

    

 

 

 
FUTURES CONTRACTS PURCHASED         
Australian Dollar, September 2020 Settlement      66        4,717,020        6,471  
Amsterdam Index, August 2020 Settlement      3        384,060        (17,253
British Pound, September 2020 Settlement      112        9,175,600        182,751  
Brent Crude, October 2020 Settlement      40        1,740,800        (17,263

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

 

15


STONE RIDGE DIVERSIFIED ALTERNATIVES FUND

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

 

                                                                          

DESCRIPTION

   NUMBER OF
CONTRACTS
     NOTIONAL
VALUE
     VALUE/
UNREALIZED
APPRECIATION
(DEPRECIATION)
 
Canadian Dollar, September 2020 Settlement      53      $ 3,960,160      $ 2,074  
CAC 40 Index, August 2020 Settlement      1        56,318        (2,513
Cocoa, September 2020 Settlement      53        1,272,000        41,308  
Coffee ‘C’, September 2020 Settlement      40        1,784,250        121,995  
Copper, December 2020 Settlement      3        216,787        21,077  
Cotton No.2, December 2020 Settlement      28        877,240        (10,662
FTSE 100 Index, September 2020 Settlement      5        385,272        (22,192
FTSE China A50 Index, August 2020 Settlement      2        30,275        311  
RBOB Gasoline, January 2021 Settlement      8        366,744        (7,612
Gold 100 Oz, October 2020 Settlement      15        2,960,850        4,644  
Gold 100 Oz, December 2020 Settlement      1        198,590        14,238  
IBEX 35 Index, August 2020 Settlement      10        814,260        (48,213
Japanese Yen, September 2020 Settlement      18        2,128,388        (5,520
Lean Hogs, August 2020 Settlement      5        104,000        (5,014
Live Cattle, October 2020 Settlement      22        904,860        (1,651
Live Cattle, December 2020 Settlement      1        44,620        1,663  
MSCI Taiwan Index, August 2020 Settlement      1        49,930        438  
Natural Gas, September 2020 Settlement      75        1,349,250        (44,047
S&P/TSX 60 Index, September 2020 Settlement      3        432,446        21,366  
SGX Nifty 50 Index, August 2020 Settlement      1        22,209        (237
Silver, December 2020 Settlement      1        122,345        30,855  
Soybean, January 2021 Settlement      6        269,400        (2,566
Soybean Meal, January 2021 Settlement      10        298,400        (7,787
Soybean Oil, September 2020 Settlement      13        237,666        4,039  
Soybean Oil, January 2021 Settlement      5        92,790        5,296  
Sugar #11, October 2020 Settlement      60        849,408        4,151  
Sugar #11, March 2021 Settlement      29        428,736        22,653  
Swiss Market Index, September 2020 Settlement      4        437,680        (2,977
Wheat Future, September 2020 Settlement      5        132,813        (2,451
Wheat Future, December 2020 Settlement      3        80,812        1,689  
WTI Crude, January 2021 Settlement      10        414,900        9,477  
     

 

 

    

 

 

 
TOTAL FUTURES CONTRACTS PURCHASED       $ 37,340,879      $ 298,538  
     

 

 

    

 

 

 

Open Forward Currency Contracts

 

                                                                                                                                                           

COUNTERPARTY

  

FORWARD
SETTLEMENT
DATE

  

CURRENCY TO BE RECEIVED

   AMOUNT OF
CURRENCY TO BE
RECEIVED IN
LOCAL
CURRENCY
     CURRENCY TO BE
DELIVERED
     AMOUNT OF
CURRENCY TO BE

DELIVERED  IN
LOCAL
CURRENCY
     UNREALIZED
APPRECIATION
(DEPRECIATION)
 
Morgan Stanley Capital Services LLC    10/6/2020    British Pound      1,245,039        United States Dollar        1,546,712      $ 83,703  
Morgan Stanley Capital Services LLC    10/5/2020    Canadian Dollar      2,214,533        United States Dollar        1,632,053        21,643  
Morgan Stanley Capital Services LLC    10/6/2020    Colombian Peso      4,341,565,673        United States Dollar        1,157,967        (194
Morgan Stanley Capital Services LLC    10/6/2020    Euro      1,295,977        United States Dollar        1,457,819        70,770  
Morgan Stanley Capital Services LLC    10/7/2020    Indian Rupee      92,316,930        United States Dollar        1,210,825        14,648  
Morgan Stanley Capital Services LLC    10/6/2020    Indonesian Rupiah      17,944,426,500        United States Dollar        1,210,825        (3,509
Morgan Stanley Capital Services LLC    10/6/2020    Mexican Peso      1,219,825        United States Dollar        52,858        1,509  
Morgan Stanley Capital Services LLC    10/6/2020    New Zealand Dollar      136,481        United States Dollar        88,321        2,196  
Morgan Stanley Capital Services LLC    10/5/2020    Russian Ruble      3,785,690        United States Dollar        52,858        (2,184
Morgan Stanley Capital Services LLC    10/5/2020    Turkish Lira      8,512,100        United States Dollar        1,210,825        (40,534
Morgan Stanley Capital Services LLC    10/7/2020    United States Dollar      1,457,181        Australian Dollar        2,108,953        (49,995
Morgan Stanley Capital Services LLC    10/6/2020    United States Dollar      1,157,967        Chilean Peso        948,641,305        (95,739
Morgan Stanley Capital Services LLC    10/6/2020    United States Dollar      1,210,825        Czeck Koruna        28,714,957        (78,210
Morgan Stanley Capital Services LLC    10/6/2020    United States Dollar      1,210,825        Israeli New Shekel        4,174,501        (16,618
Morgan Stanley Capital Services LLC    10/6/2020    United States Dollar      88,097        Japanese Yen        9,452,544        (1,258
Morgan Stanley Capital Services LLC    10/7/2020    United States Dollar      52,858        New Taiwan Dollar        1,538,696        (9
Morgan Stanley Capital Services LLC    10/6/2020    United States Dollar      1,543,956        Norwegian Krone        14,745,938        (75,930
Morgan Stanley Capital Services LLC    10/6/2020    United States Dollar      52,858        Polish Zloty        210,052        (3,234
Morgan Stanley Capital Services LLC    10/7/2020    United States Dollar      1,210,825        South Korean Won        1,455,181,593        (10,167
Morgan Stanley Capital Services LLC    10/6/2020    United States Dollar      1,632,053        Swiss Franc        1,541,882        (56,840
  

 

 

 
         $ (239,952
  

 

 

 

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

 

16


Notes to Financial Statements

1. Summary of Significant Accounting Policies

The following is a summary of significant accounting policies consistently followed by the Stone Ridge High Yield Reinsurance Risk Premium Fund (the “High Yield Reinsurance Fund”), the Stone Ridge U.S. Hedged Equity Fund (the “U.S. Hedged Equity Fund”) and the Stone Ridge Diversified Alternatives Fund (the “Diversified Alternatives Fund”) (together, the “Funds”) in the preparation of their financial statements. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America. The Funds are investment companies and apply 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 (“Board”) has approved procedures pursuant to which each 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 each 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 Funds typically utilize 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).

The Funds’ holdings in whole loans, securitizations and certain other types of alternative lending related securities, and the Funds’ holdings in mortgage loans, mezzanine loans and certain other types of single family real estate debt investments, are typically fair valued based on prices provided by a third-party pricing service. Each loan and fractional loan is fair valued using inputs that take into account individual borrower-level data (e.g., payment history) that is updated periodically to reflect new information regarding the borrower or loan.

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.

The Funds’ holdings in private funds are fair valued based on valuations of the Funds’ interests in such private funds provided by the managers of such private funds or their agents. Valuations will be provided to the Funds on a monthly or quarterly basis based on the interim unaudited financial statements of such private funds, and, therefore, will be estimates subject to adjustment (upward or downward) upon the completion of the audit of such financial statements and may fluctuate as a result. The Funds will perform an independent review of such valuations and will consider all relevant information, including the reliability of the pricing information provided by the managers of the private funds. The Funds may conclude, in certain circumstances, that the valuation provided by the manager of a private fund is not indicative of what actual fair value would be in an active, liquid or established market. In those circumstances, the Funds may value their interests in the private fund at a discount or a premium to the valuation they receive from the private fund. Additionally, between the monthly or quarterly dates on which such private fund provides a net asset value, the valuation of the Funds’ interest in such private fund may be adjusted more frequently based on the estimated total return that such private fund will generate during such period and other general market or private fund-specific changes the Adviser is aware of. At the end of the month or quarter, as applicable, each private investment private fund’s net asset value is adjusted based on the actual income and appreciation or depreciation realized by such private fund when the monthly or quarterly valuations and income are reported.

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 Funds’ 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).

 

17


Generally, the Funds must value their 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 Funds determine 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 a 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 a Fund.

A substantial portion of the Funds’ 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 a 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 a 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 a Fund’s shares may change on days when an investor is not able to purchase, redeem or exchange shares. The calculation of a Fund’s NAV may not take place contemporaneously with the determination of the prices of foreign securities used in NAV calculations.

The Funds adhere 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 within 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 Funds’ investments as of July 31, 2020:

 

18


                                                                                                   

DESCRIPTION

   LEVEL 1     LEVEL 2     LEVEL 3      TOTAL  

High Yield Fund

         

Assets

         

Event-Linked Bonds

         

Europe

   $ —       $ 507,926     $ —        $ 507,926  

Global

     —         162,491,867       8,983,227        187,356,582  

Great Britain

     —         —         3,010,708        3,010,708  

Japan

     —         63,918,273       —          63,918,273  

Mexico

     —         11,430,843       —          11,430,843  

United States

     —         543,669,304       3,119,274        530,907,090  
  

 

 

   

 

 

   

 

 

    

 

 

 

Total Event-Linked Bonds

     —         782,018,213       15,113,209        797,131,422  

Participation Notes

     —         —         79,572,035        79,572,035  

Preference Shares(1)

     —         —         59,476,522        59,476,522  

Money Market Funds

     30,304,953       —         —          30,304,953  
  

 

 

   

 

 

   

 

 

    

 

 

 

Total Assets

   $ 30,304,953     $ 782,018,213     $ 154,161,766      $ 966,484,932  
  

 

 

   

 

 

   

 

 

    

 

 

 

Liabilities

         

Reverse Repurchase Agreement

   $ —       $ 5,000,000     $ —        $ 5,000,000  
  

 

 

   

 

 

   

 

 

    

 

 

 

Total Liabilities

   $ —       $ 5,000,000     $ —        $ 5,000,000  
  

 

 

   

 

 

   

 

 

    

 

 

 
         

U.S. Hedged Equity Fund(2)

         

Assets

         

Purchased Options

   $ 2,450     $ —       $ —        $ 2,450  

Money Market Funds

     350,163       —         —          350,163  

U.S. Treasury Bills

     —         58,671,013       —          58,671,013  
  

 

 

   

 

 

   

 

 

    

 

 

 

Total Assets

   $ 352,613     $ 58,671,013     $ —        $ 59,023,626  
  

 

 

   

 

 

   

 

 

    

 

 

 

Liabilities

         

Written Options

   $ 145,977     $ 143,065     $ —        $ 289,042  
  

 

 

   

 

 

   

 

 

    

 

 

 

Total Liabilities

   $ 145,977     $ 143,065     $ —        $ 289,042  
  

 

 

   

 

 

   

 

 

    

 

 

 
         

Diversified Alternatives Fund(2)

         

Assets

         

Investment Companies

   $ 16,668,658     $ —       $ —        $ 16,668,658  

Purchased Options

     4,600       4,831       —          9,431  

Money Market Funds

     3,445,462       —         —          3,445,462  

U.S. Treasury Bills

     —         5,495,997       —          5,495,997  
  

 

 

   

 

 

   

 

 

    

 

 

 

Total Assets

   $ 20,118,720     $ 5,500,828     $ —        $ 25,619,548  
  

 

 

   

 

 

   

 

 

    

 

 

 

Liabilities

         

Written Options

   $ 1,813,829     $ 40,095     $ —        $ 1,853,924  
  

 

 

   

 

 

   

 

 

    

 

 

 

Total Liabilities

   $ 1,813,829     $ 40,095     $ —        $ 1,853,924  
  

 

 

   

 

 

   

 

 

    

 

 

 
         

Other Financial Instruments*

         

Unrealized appreciation on forward currency contracts

   $ —       $ 194,469     $ —        $ 194,469  

Unrealized depreciation on forward currency contracts

     —         (434,421     —          (434,421

Unrealized appreciation on futures contracts

     572,383       —         —          572,383  

Unrealized depreciation on futures contracts

     (316,599     —         —          (316,599
  

 

 

   

 

 

   

 

 

    

 

 

 

Total

   $ 255,784     $ (239,952   $ —        $ 15,832  
  

 

 

   

 

 

   

 

 

    

 

 

 

 

(1)

For further security characteristics, see the Funds’ Schedules of Investments.

(2)

The Funds measure Level 3 activity as of the beginning and end of each financial reporting period. For the period ended July 31, 2020, the Funds did not have significant unobservable inputs (Level 3 securities) used in determining fair value. Therefore, reconciliations of assets and liabilities in which significant unobservable inputs (Level 3 securities) were used in determining fair value are not applicable.

*

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

 

19


Below is a reconciliation that details the activity of securities in Level 3 during the period ended July 31, 2020:

 

                                                                          
     High Yield Fund  
     Event-
Linked
Bonds
    Participation
Notes
    Preference
Shares
 
Beginning Balance - November 1, 2019    $ 36,019,370     $ 70,862,377     $ 82,807,594  

Acquisitions

     1,601,373       68,463,864       13,636,308  

Dispositions

     (11,773,494     (63,051,751     —    

Realized losses

     (17,172,183     (715,498     —    

Return of capital

     —         (113,426     (32,700,763

Change in unrealized appreciation (depreciation)

     13,690,761       4,126,469       (4,266,617

Transfers in/out of Level 3

     (7,252,618     —         —    
  

 

 

   

 

 

   

 

 

 
Ending Balance - July 31, 2020    $ 15,113,209     $ 79,572,035     $ 59,476,522  
  

 

 

   

 

 

   

 

 

 

As of July 31, 2020, the change in unrealized depreciation on positions still held in the High Yield Reinsurance Fund was $(337,966) for Event-Linked Bonds, $2,807,668 for Participation Notes, and $(3,814,050) for Preference Shares.

Unobservable inputs included 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 and preference shares 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.

 

High Yield Reinsurance Fund
                 

TYPE OF SECURITY

  

INDUSTRY

   FAIR VALUE
AT 7/31/20
    

VALUATION TECHNIQUES

  

UNOBSERVABLE
INPUTS

  

RANGE

  

WEIGHTED
AVERAGE

Participation Notes    Financial Services    $ 49,485,648      Insurance industry loss model   

Estimated losses:

 

Estimated premium earned:

  

$0.0MM-$2.9MM

 

$0.0MM-$4.4MM

  

$1.7MM

 

$3.1MM

Preference Shares    Financial Services    $ 37,447,953      Insurance industry loss model   

Estimated losses:

 

Estimated premium earned:

  

$0.0MM-$14.3MM

 

$0.0MM-$11.6MM

  

$3.2MM

 

$6.2MM

The Level 3 securities listed above were fair valued by the Adviser Valuation Committee. Other Level 3 securities not listed above were priced using an indicative bid and have a value equal to $15,113,209 for Event-Linked Bonds, $30,086,387 for Participation Notes and $22,028,569 for Preference Shares.

A reverse repurchase agreement is the sale by a fund of a security to a party for a specified price, with the simultaneous agreement by the fund to repurchase that security from that party on a future date at a higher price. Reverse repurchase agreements involve the risk that the counterparty will become subject to bankruptcy or other insolvency proceedings or fail to return a security to a fund. In such situations, a fund may incur losses as a result of a possible decline in the value of the underlying security during the period while a fund seeks to enforce its rights, a possible lack of access to income on the underlying security during this period, or expenses of enforcing its rights. The Funds will segregate assets determined to be liquid by the Adviser or otherwise cover its obligation under the reverse repurchase agreement.

The gross obligations for secured borrowing by the type of collateral pledged and remaining time to maturity is as follows:

 

                                                                                                                            

Reverse Repurchase Agreements

   Overnight
and
Continuous
     Up to
30 Days
     30-90
Days
     Greater than
90 Days
     Total  
Event Linked Bonds    $ —        $ 5,000,000      $ —        $ —        $ 5,000,000  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total

   $ —        $ 5,000,000      $ —        $ —        $ 5,000,000  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

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3. Transactions with Affiliates

The following may be deemed to be affiliated with Funds during the quarter ended July 31, 2020. As defined in Section (2)(a)(3) of the 1940 Act, such issuers are:

 

                                                 
     Diversified Alternatives Fund  
     Stone Ridge
High Yield
Reinsurance
Risk Premium -

Class I
     Total  
May 1, 2020 Balance      

Shares

     —       

Cost

   $ —        $ —    
Additions      

Shares

     1,833,736     

Cost

   $ 16,376,933     
Reductions      

Shares

     —       

Cost

   $ —       
July 31, 2020 Balance      

Shares

     1,833,736     

Cost

   $ 16,376,933      $ 16,376,933  

Value

   $ 16,668,658      $ 16,668,658  
Dividend Income    $ —        $ —    
Realized Gain/(Loss)    $ —        $ —    
Change in Unrealized Appreciation    $ 291,725      $ 291,725  

 

21