STONE RIDGE REINSURANCE RISK PREMIUM INTERVAL FUND
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Schedule of Investments as of January 31, 2014 (Unaudited)
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Principal
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Fair
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Amount
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Value
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EVENT LINKED BONDS - 1.8%
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FINANCIAL SERVICES - 1.8%
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Global - 0.9%
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Loma Re 2013-1 A
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9.775%, 01/08/2018 (a)(b)(c)
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$ | 335,000 | $ | 337,114 | ||||
Loma Re 2013-1 B
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12.025%, 01/08/2018 (a)(b)(c)
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1,005,000 | 1,011,884 | ||||||
Loma Re 2013-1 C
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17.025%, 01/08/2018 (a)(b)(c)
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1,739,000 | 1,752,998 | ||||||
Venterra Re 2013-1 A
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3.775%, 01/09/2017 (a)(b)(c)
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2,154,000 | 2,180,107 | ||||||
5,282,103 | ||||||||
United States - 0.9%
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Skyline Re 2014-1 A
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14.000%, 01/06/2017 (a)(b)(c)
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2,166,000 | 2,170,332 | ||||||
Vitality Re V B
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2.525%, 01/07/2019 (a)(b)(c)
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3,618,000 | 3,617,991 | ||||||
5,788,323 | ||||||||
TOTAL EVENT LINKED BONDS (Cost $11,017,000)
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11,070,426 | |||||||
PARTICIPATION NOTES (QUOTA SHARES) - 2.7%
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Financial Services - 2.7%
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Global - 2.7%
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Eden Re 2014-1
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04/21/2017 (b)(d)(e)(Cost: $6,250,000; Acquisition Date: December 31, 2013)
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6,250,000 | 6,289,455 | ||||||
Silverton Re 2014-1
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09/16/2016 (b)(d)(e)(Cost: $10,175,000; Acquisition Date: December 18, 2013)
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10,000,000 | 10,143,000 | ||||||
16,432,455 | ||||||||
TOTAL PARTICIPATION NOTES (QUOTA SHARES) (Cost $16,425,000)
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16,432,455 | |||||||
Shares
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PREFERENCE SHARES (QUOTA SHARES) - 73.9%
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Financial Services - 73.9%
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Canada - 4.1%
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Awosting (Kane Segregated Account Company) (b)(d)(e)
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100 | $ | 24,599,193 | |||||
(Cost: $25,865,645; Acquisition Date: December 27, 2013)
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Global - 65.6%
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Acadia (Kane Segregated Account Company) (b)(d)(e)
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100 | 31,227,217 | ||||||
(Cost: $31,181,538; Acquisition Date: December 27, 2013)
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Altair Re II (b)(d)(e)
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15,000,000 | 15,088,500 | ||||||
(Cost: $15,000,000; Acquisition Date: December 27, 2013)
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Axis Ventures Re Cell 0001 Class A (b)(d)(e)
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500,000 | 50,642,831 | ||||||
(Cost: $50,000,000; Acquisition Date: December 30, 2013)
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Decker (Kane Segregated Account Company) (b)(d)(e)
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100 | 18,995,489 | ||||||
(Cost: $18,870,785; Acquisition Date: December 26, 2013)
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Leggett 1 (Kane Segregated Account Company) (b)(d)(e)
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100 | 25,784,914 | ||||||
(Cost: $25,671,804; Acquisition Date: December 27, 2013)
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Leggett 2 (Kane Segregated Account Company) (b)(d)(e)
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100 | 25,296,793 | ||||||
(Cost: $25,225,438; Acquisition Date: December 27, 2013)
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Mohonk (Kane Segregated Account Company) (b)(d)(e)
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100 | 76,270,238 | ||||||
(Cost: $75,061,438; Acquisition Date: December 24, 2013)
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Hudson Alexander (Mt. Logan Re) (b)(d)(e)
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40,000 | 40,163,880 | ||||||
(Cost: $40,000,000; Acquisition Date: January 2, 2014)
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Hudson Charles (Mt. Logan Re) (b)(d)(e)
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30,000 | 30,224,367 | ||||||
(Cost: $30,000,000; Acquisition Date: January 2, 2014)
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Hudson Paul (Mt. Logan Re) (b)(d)(e)
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30,000 | 30,236,091 | ||||||
(Cost: $30,000,000; Acquisition Date: January 2, 2014)
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Mulholland (Kane Segregated Account Company) (b)(d)(e)
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100 | 15,135,923 | ||||||
(Cost: $15,028,722; Acquisition Date: December 26, 2013)
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Skytop (Kane Segregated Account Company) (b)(d)(e)
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100 | 13,953,559 | ||||||
(Cost: $13,791,625; Acquisition Date: January 9, 2014)
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Victoria (Kane Segregated Account Company) (b)(d)(e)
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4,801 | 4,800,502 | ||||||
(Cost: $4,800,502; Acquisition Date: January 30, 2014)
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Yellowstone (Kane Segregated Account Company) (b)(d)(e)
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100 | 20,017,335 | ||||||
(Cost: $19,861,438; Acquisition Date: January 8, 2014)
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397,837,639 | ||||||||
United States - 4.2%
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Latigo (Kane Segregated Account Company) (b)(d)(e)
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100 | 25,293,736 | ||||||
(Cost: $25,059,282; Acquisition Date: January 6, 2014)
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TOTAL PREFERENCE SHARES (QUOTA SHARES) (Cost $445,418,217)
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447,730,568 | |||||||
PRIVATE FUND UNITS - 2.1%
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Financial Services - 2.1%
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Global - 2.1%
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Aeolus Property Catastrophe Keystone Fund (b)(d)(e)
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12,500 | 12,655,796 | ||||||
(Cost: $12,500,000; Acquisition Date: January 1, 2014)
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TOTAL PRIVATE FUND UNITS (Cost $12,500,000)
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12,655,796 | |||||||
SHORT-TERM INVESTMENTS - 19.7%
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Money Market Funds - 19.7%
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Fidelity Institutional Money Market Funds - Money Market Portfolio - Institutional Class - 0.04% (f)
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23,840,773 | 23,840,773 | ||||||
First American Government Obligations Fund - Class Z - 0.01% (f)
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23,840,773 | 23,840,773 | ||||||
First American Prime Obligations Fund - Class Z - 0.02% (f)
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23,840,773 | 23,840,773 | ||||||
Short Term Investments Trust - Liquid Assets Portfolio - Institutional Class - 0.07% (f)
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23,840,773 | 23,840,772 | ||||||
Short Term Investments Trust - Treasury Portfolio - Institutional Class - 0.02% (f)
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23,840,773 | 23,840,772 | ||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $119,203,863)
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119,203,863 | |||||||
TOTAL INVESTMENTS (Cost $604,564,080) - 100.2%
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607,093,108 | |||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (0.2)%
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(886,333 | ) | ||||||
TOTAL NET ASSETS - 100.0%
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$ | 606,206,775 | ||||||
Country shown is geographic area of peril risk.
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Percentages are stated as a percent of net assets.
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(a)
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Security is restricted to resale to institutional investors. The Fund’s Adviser has deemed this security to be liquid based upon procedures approved by the Board of Trustees. The aggregate value of these securities at January 31, 2014 was $11,070,426 which represents 1.8% of net assets.
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(b)
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Foreign issued security. Total foreign securities are $487,889,245 which represents 80.5% of net assets.
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(c)
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Variable rate security. The rate shown is as of January 31, 2014.
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(d)
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Security is restricted to resale. The aggregate value of these securities at January 31, 2014 was $476,818,819 which represents 78.7% of net assets.
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(e)
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Non-income producing security.
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(f)
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Rate shown is the 7-day effective yield.
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The accompanying footnotes are an integral part of this Schedule of Investments.
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Level 1
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Level 2
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Level 3
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Total
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Stone Ridge Reinsurance Risk Premium Interval Fund
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Assets
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Event-Linked Bonds
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Global
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$ | - | $ | 5,282,103 | $ | - | $ | 5,282,103 | ||||||||
United States
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- | 3,617,991 | 2,170,332 | 5,788,323 | ||||||||||||
Total Event-Linked Bonds
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- | 8,900,094 | 2,170,332 | 11,070,426 | ||||||||||||
Participation Notes (Quota Shares) (1)
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- | - | 16,432,455 | 16,432,455 | ||||||||||||
Preference Shares (Quota Shares) (1)
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- | - | 447,730,568 | 447,730,568 | ||||||||||||
Private Fund Units (1)
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- | - | 12,655,796 | 12,655,796 | ||||||||||||
Money Market Funds
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119,203,863 | - | - | 119,203,863 | ||||||||||||
Total Assets
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$ | 119,203,863 | $ | 8,900,094 | $ | 478,989,151 | $ | 607,093,108 | ||||||||
(1) For further security characteristics, see the Fund's Schedules of Investments.
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Stone Ridge Reinsurance Risk Premium Interval Fund
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Event-Linked
Bonds
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Participation Notes (Quota Shares)
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Preference Shares (Quota Shares)
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Private Fund
Units
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Beginning Balance (1)
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$ | - | $ | - | $ | - | $ | - | ||||||||
Purchases
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2,166,000 | 16,425,000 | 445,418,217 | 12,500,000 | ||||||||||||
Sales
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- | - | - | - | ||||||||||||
Realized gains
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- | - | - | - | ||||||||||||
Realized losses
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- | - | - | - | ||||||||||||
Change in unrealized appreciation (depreciation)
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4,332 | 7,455 | 2,312,351 | 155,796 | ||||||||||||
Transfers in/(out) of Level 3
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- | - | - | - | ||||||||||||
Ending Balance - January 31, 2014
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$ | 2,170,332 | $ | 16,432,455 | $ | 447,730,568 | $ | 12,655,796 | ||||||||
(1) Inception Date was December 10, 2013 for the Reinsurance Risk Premium Interval Fund.
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Type of Security
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Industry
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Fair Value at 1/31/14
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Valuation Techniques
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Unobservable Inputs
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Range
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Event-Linked Bonds
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Financial Services
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$2,170,332
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Indicative bids
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Non-public broker quotations
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100.20
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Participation Notes (Quota Shares)
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Financial Services
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16,432,455
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Indicative bids
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Non-public broker quotations
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101.43
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Preference Shares (Quota Shares)
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Financial Services
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447,730,568
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Indicative bids
Insurance industry loss model
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Non-public broker quotations
Losses and anticipated losses versus premiums earned
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1.0059-1007.87
N/A
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Private Fund Units
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Financial Services
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12,655,796
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Insurance industry loss model
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Losses and anticipated losses versus premiums earned
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N/A
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Stone Ridge Reinsurance Risk Premium Interval Fund
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Cost of Investments
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$ | 604,564,080 | ||
Gross unrealized appreciation
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3,827,488 | |||
Gross unrealized depreciation
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(1,298,460 | ) | ||
Net unrealized appreciation
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$ | 2,529,028 |
(a)
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The Registrant’s President and Treasurer have concluded that the Registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “1940 Act”)) (17 CFR 270.30a-3(c)) are effective as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rule 13a-15(b) or Rule 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(d)).
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(b)
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There were no changes in the Registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) (17 CFR 270.30a-3(d)) that occurred during the Registrant's last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the Registrant's internal control over financial reporting.
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