Schedule of Investments as of July 31, 2014 (Unaudited)
|
||||||||
Principal
|
Fair
|
|||||||
Amount
|
Value
|
|||||||
EVENT LINKED BONDS - 14.8%
|
||||||||
FINANCIAL SERVICES - 14.8%
|
||||||||
Global - 3.0%
|
||||||||
IBRD Re 2014-1
|
||||||||
6.500%, 06/07/2017 (a)(b)(c)
|
$ | 5,000,000 | $ | 4,984,500 | ||||
Kilimanjaro Re 2014-1 Class B
|
||||||||
4.520%, 04/30/2018 (a)(b)(c)
|
14,504,000 | 14,398,846 | ||||||
Loma Re 2013-1 A
|
||||||||
9.770%, 01/08/2018 (a)(b)(c)
|
335,000 | 341,616 | ||||||
Loma Re 2013-1 B
|
||||||||
12.020%, 01/08/2018 (a)(b)(c)
|
1,005,000 | 1,029,120 | ||||||
Loma Re 2013-1 C
|
||||||||
17.020%, 01/08/2018 (a)(b)(c)
|
1,739,000 | 1,764,563 | ||||||
Market Re 2014-4 Class A
|
||||||||
8.000%, 07/15/2016 (a)(b)(c)
|
2,802,000 | 2,811,807 | ||||||
Market Re 2014-4 Class B
|
||||||||
8.000%, 07/15/2016 (a)(b)(c)
|
1,019,000 | 1,022,567 | ||||||
Venterra Re 2013-1 A
|
||||||||
3.770%, 01/09/2017 (a)(b)(c)
|
2,154,000 | 2,205,373 | ||||||
28,558,392 | ||||||||
United States - 11.8%
|
||||||||
Alamo Re
|
||||||||
6.370%, 06/07/2017 (a)(b)(c)
|
892,000 | 900,965 | ||||||
Armor Re
|
||||||||
4.020%, 12/15/2016 (a)(b)(c)
|
1,000,000 | 987,100 | ||||||
Citrus Re 2014-1
|
||||||||
4.270%, 04/18/2017 (a)(b)(c)
|
7,410,000 | 7,306,630 | ||||||
Citrus Re 2014-2
|
||||||||
3.770%, 04/24/2017 (a)(b)(c)
|
1,483,000 | 1,462,238 | ||||||
East Lane Re VI
|
||||||||
2.770%, 03/14/2018 (a)(b)(c)
|
14,443,000 | 14,272,573 | ||||||
Everglades Re 2014
|
||||||||
7.520%, 04/28/2017 (a)(b)(c)
|
17,758,000 | 17,868,100 | ||||||
Gator Re 2014
|
||||||||
6.520%, 01/09/2017 (a)(b)(c)
|
13,724,000 | 13,649,890 | ||||||
Kilimanjaro Re 2014-1 Class A
|
||||||||
4.770%, 04/30/2018 (a)(b)(c)
|
9,740,000 | 9,721,494 | ||||||
Residential Re 2014-1 10
|
||||||||
15.020%, 06/06/2018 (a)(b)(c)
|
10,338,000 | 10,310,087 | ||||||
Residential Re 2014-1 13
|
||||||||
3.520%, 06/06/2018 (a)(b)(c)
|
2,859,000 | 2,861,716 | ||||||
Riverfront Re 2014
|
||||||||
4.020%, 01/06/2017 (a)(b)(c)
|
4,522,000 | 4,446,483 | ||||||
Sanders Re 2014-1 D
|
||||||||
3.920%, 05/28/2019 (a)(b)(c)
|
21,295,000 | 21,069,273 | ||||||
Sanders Re 2014-2
|
||||||||
3.920%, 06/07/2017 (a)(b)(c)
|
4,927,000 | 4,894,482 | ||||||
Skyline Re 2014-1 A
|
||||||||
14.020%, 01/23/2017 (a)(b)(c)
|
2,166,000 | 2,209,320 | ||||||
111,960,351 | ||||||||
TOTAL EVENT LINKED BONDS (Cost $141,115,000)
|
140,518,743 | |||||||
PARTICIPATION NOTES (QUOTA SHARES) - 1.9%
|
||||||||
FINANCIAL SERVICES - 1.9%
|
||||||||
Global - 1.9%
|
||||||||
Eden Re 2014-1
|
||||||||
04/21/2017 (a)(d)(e)(Cost: $6,250,000; Acquisition Date: 12/31/2013)
|
6,250,000 | 6,702,411 | ||||||
Silverton Re 2014-1
|
||||||||
09/16/2016 (a)(d)(e)(Cost: $10,175,000; Acquisition Date: 12/18/2013)
|
10,000,000 | 11,563,367 | ||||||
TOTAL PARTICIPATION NOTES (QUOTA SHARES) (Cost $16,425,000)
|
18,265,778 | |||||||
Shares
|
||||||||
PREFERENCE SHARES (QUOTA SHARES) - 76.8%
|
||||||||
FINANCIAL SERVICES - 76.8%
|
||||||||
Canada - 2.1%
|
||||||||
Awosting (Kane Segregated Account Company) (a)(e)(Cost: $20,236,028; Acquisition Date: 12/27/2013)
|
100 | 19,770,446 | ||||||
Global - 63.1%
|
||||||||
Acadia (Kane Segregated Account Company) (a)(d)(e)(Cost: $51,881,538; Acquisition Date: 12/27/2013)
|
100 | 52,670,710 | ||||||
Altair Re II (a)(d)(e)(Cost: $25,000,000; Acquisition Date: 12/27/2013)
|
25,000,000 | 26,032,500 | ||||||
Axis Ventures Re Cell 0001 Class A (a)(d)(e)(Cost: $50,000,000; Acquisition Date: 12/30/2013)
|
500,000 | 53,329,343 | ||||||
Biscayne (Kane Segregated Account Company) (a)(d)(e)(Cost: $28,710,347; Acquisition Date: 04/30/2014)
|
29,293 | 29,200,933 | ||||||
Carlsbad (Kane Segregated Account Company) (a)(d)(e)(Cost: $100; Acquisition Date: 04/01/2014)
|
100 | 100 | ||||||
Carlsbad 2 (Kane Segregated Account Company) (a)(e)(Cost: $20,050,576; Acquisition Date: 04/28/2014)
|
20,051 | 19,350,177 | ||||||
Carpathian (Kane Segregated Account Company) (a)(d)(e)(Cost: $15,646,064; Acquisition Date: 02/06/2014)
|
15,646 | 16,293,168 | ||||||
Decker (Kane Segregated Account Company) (a)(d)(e)(Cost: $18,870,785; Acquisition Date: 12/26/2013)
|
100 | 21,341,418 | ||||||
Hudson Alexander (Mt. Logan Re) (a)(d)(e)(Cost: $40,000,000; Acquisition Date: 01/02/2014)
|
40,000 | 42,060,455 | ||||||
Hudson Charles (Mt. Logan Re) (a)(d)(e)(Cost: $30,000,000; Acquisition Date: 01/02/2014)
|
30,000 | 31,753,596 | ||||||
Hudson Charles 2 (Mt. Logan Re) (a)(d)(e)(Cost: $8,465,500; Acquisition Date: 04/02/2014)
|
8,466 | 8,850,481 | ||||||
Hudson Charles 3 (Mt. Logan Re) (a)(d)(e)(Cost: $14,650,000; Acquisition Date: 06/19/2014)
|
14,650 | 14,943,159 | ||||||
Hudson Paul (Mt. Logan Re) (a)(d)(e)(Cost: $30,000,000; Acquisition Date: 01/02/2014)
|
30,000 | 32,882,609 | ||||||
Hudson Paul 3 (Mt. Logan Re) (a)(d)(e)(Cost: $8,465,500; Acquisition Date: 04/02/2014)
|
8,466 | 8,760,724 | ||||||
Innsbruck (Kane Segregated Account Company) (a)(d)(e)(Cost: $23,690,670; Acquisition Date: 02/18/2014)
|
23,691 | 24,198,140 | ||||||
Leggett 1 (Kane Segregated Account Company) (a)(d)(e)(Cost: $25,671,804; Acquisition Date: 12/27/2013)
|
100 | 26,616,830 | ||||||
Leggett 2 (Kane Segregated Account Company) (a)(d)(e)(Cost: $25,225,438; Acquisition Date: 12/27/2013)
|
100 | 26,071,359 | ||||||
Minnewaska (Kane Segregated Account Company) (a)(d)(e)(Cost: $10,046,063; Acquisition Date: 05/30/2014)
|
10,046 | 10,225,383 | ||||||
Mohonk (Kane Segregated Account Company) (a)(d)(e)(Cost: $75,061,438; Acquisition Date: 12/24/2013)
|
100 | 82,890,954 | ||||||
Mulholland (Kane Segregated Account Company) (a)(d)(e)(Cost: $15,028,722; Acquisition Date: 12/26/2013)
|
100 | 17,076,322 | ||||||
Skytop (Kane Segregated Account Company) (a)(d)(e)(Cost: $13,791,625; Acquisition Date: 01/09/2014)
|
100 | 15,237,874 | ||||||
Victoria (Kane Segregated Account Company) (a)(d)(e)(Cost: $4,800,502; Acquisition Date: 01/30/2014)
|
4,801 | 3,595,424 | ||||||
Yellowstone (Kane Segregated Account Company) (a)(d)(e)(Cost: $33,061,438; Acquisition Date: 01/08/2014)
|
100 | 35,066,919 | ||||||
598,448,578 | ||||||||
United States - 11.6%
|
||||||||
Bayswater (Kane Segregated Account Company) (a)(d)(e)(Cost: $26,899,465; Acquisition Date: 06/16/2014)
|
26,899 | 27,297,609 | ||||||
Latigo (Kane Segregated Account Company) (a)(d)(e)(Cost: $25,059,282; Acquisition Date: 01/06/2014)
|
100 | 26,154,392 | ||||||
Marbletown (Kane Segregated Account Company) (a)(e)(Cost: $6,267,238; Acquisition Date: 04/29/2014)
|
6,267 | 6,273,372 | ||||||
Rondout (Kane Segregated Account Company) (a)(d)(e)(Cost: $50,046,063; Acquisition Date: 06/19/2014)
|
50,046 | 50,884,656 | ||||||
110,610,029 | ||||||||
TOTAL PREFERENCE SHARES (QUOTA SHARES) (Cost $696,626,186)
|
728,829,053 | |||||||
PRIVATE FUND UNITS - 4.6%
|
||||||||
FINANCIAL SERVICES - 4.6%
|
||||||||
Global - 4.6%
|
||||||||
Aeolus Property Catastrophe Keystone Fund (a)(d)(e)(Cost: $12,500,000; Acquisition Date: 01/01/2014)
|
12,500 | 13,456,831 | ||||||
Aeolus Property Catastrophe Midyear Keystone Fund (a)(d)(e)(Cost: $30,000,000; Acquisition Date: 05/23/2014)
|
30,000 | 30,481,580 | ||||||
TOTAL PRIVATE FUND UNITS (Cost $42,500,000)
|
43,938,411 | |||||||
SHORT-TERM INVESTMENTS - 1.9%
|
||||||||
Money Market Funds - 1.9%
|
||||||||
Fidelity Institutional Money Market Funds - Money Market Portfolio - Institutional Class - 0.05% (f)
|
3,531,145 | 3,531,145 | ||||||
First American Government Obligations Fund - Class Z - 0.01% (f)
|
3,531,145 | 3,531,145 | ||||||
First American Prime Obligations Fund - Class Z - 0.02% (f)
|
3,531,144 | 3,531,144 | ||||||
Short Term Investments Trust - Liquid Assets Portfolio - Institutional Class - 0.06% (f)
|
3,531,144 | 3,531,144 | ||||||
Short Term Investments Trust - Treasury Portfolio - Institutional Class - 0.01% (f)
|
3,531,144 | 3,531,144 | ||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $17,655,722)
|
17,655,722 | |||||||
TOTAL INVESTMENTS (Cost $914,321,908) - 100.0%
|
949,207,707 | |||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - 0.0%
|
(393,779 | ) | ||||||
TOTAL NET ASSETS - 100.0%
|
$ | 948,813,928 |
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 $931,551,985. Foreign concentration is as follows: Bermuda: 94.8%, Cayman Islands: 2.9% and Suprnational: 0.5%.
|
(b)
|
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 July 31, 2014 was $140,518,743 which represented 14.8% of net assets.
|
(c)
|
Variable rate security. The rate shown is as of July 31, 2014.
|
(d)
|
Non-income producing security.
|
(e)
|
Security is restricted to resale. The aggregate value of these securities at July 31, 2014 was $791,033,242 which represented 83.4% of net assets.
|
(f)
|
Rate shown is the 7-day effective yield.
|
The accompanying footnotes are an integral part of these Schedules of Investments.
|
The cost basis of investments for federal income tax purposes at July 31, 2014 was as follows:
|
||||
Stone Ridge Reinsurance Risk Premium Interval Fund
|
||||
Cost of Investments
|
$ | 914,321,908 | ||
Gross unrealized appreciation
|
$ | 38,298,338 | ||
Gross unrealized depreciation
|
(3,412,539 | ) | ||
Net unrealized appreciation
|
$ | 34,885,799 |
* Because tax adjustments are calculated annually, the above table does not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to Financial Statements section in the Fund’s most recent annual report.
|
Description
|
Level 1
|
Level 2
|
Level 3
|
Total
|
|||||||||||
Stone Ridge Reinsurance Risk Premium Interval Fund
|
|||||||||||||||
Assets
|
|||||||||||||||
Event-Linked Bonds
|
|||||||||||||||
Global
|
$ | - | $ | 19,739,518 | $ | 8,818,874 | $ | 28,558,392 | |||||||
United States
|
- | 109,751,031 | 2,209,320 | 111,960,351 | |||||||||||
Total Event-Linked Bonds
|
- | 129,490,549 | 11,028,194 | 140,518,743 | |||||||||||
Participation Notes (Quota Shares) (1)
|
- | - | 18,265,778 | 18,265,778 | |||||||||||
Preference Shares (Quota Shares) (1)
|
- | - | 728,829,053 | 728,829,053 | |||||||||||
Private Fund Units (1)
|
- | - | 43,938,411 | 43,938,411 | |||||||||||
Money Market Funds
|
17,655,722 | - | - | 17,655,722 | |||||||||||
Total Assets
|
$ | 17,655,722 | $ | 129,490,549 | $ | 802,061,436 | $ | 949,207,707 | |||||||
(1) For further security characteristics, see the Funds' Schedules of Investments.
|
Below is a reconciliation that details the activity of securities in Level 3 during the current fiscal period:
|
|||||||||||||||
Stone Ridge Reinsurance Risk Premium Interval Fund
|
|||||||||||||||
Event-Linked
Bonds
|
Participation Notes (Quota Shares)
|
Preference Shares (Quota Shares)
|
Private Fund
Units
|
||||||||||||
Beginning Balance (1)
|
$ | - | $ | - | $ | - | $ | - | |||||||
Acquisitions
|
10,987,000 | 16,425,000 | 696,626,186 | 42,500,000 | |||||||||||
Dispositions
|
- | - | - | - | |||||||||||
Realized gains
|
- | - | - | - | |||||||||||
Realized losses
|
- | - | - | - | |||||||||||
Change in unrealized appreciation (depreciation)
|
41,194 | 1,840,778 | 32,202,867 | 1,438,411 | |||||||||||
Transfers in/(out) of Level 3
|
- | - | - | - | |||||||||||
Ending Balance - July 31, 2014
|
$ | 11,028,194 | $ | 18,265,778 | $ | 728,829,053 | $ | 43,938,411 | |||||||
(1) Inception Date was December 10, 2013.
|
Type of Security
|
Fair Value at 7/31/14
|
Valuation Techniques
|
Unobservable Inputs
|
Range
|
Event-Linked Bonds
Financial Services
|
$11,028,194
|
Indicative bids
|
Non-public broker quotations
|
99.69 - 102
|
Participation Notes (Quota Shares)
Financial Services
|
$18,265,778
|
Insurance industry loss model
|
Losses and anticipated losses versus premiums earned
|
107.24 – 115.63
|
Preference Shares (Quota Shares)
Financial Services
|
$45,802,946
|
Indicative bids
|
Non-public broker quotations
|
1.0413 – 215,567.05
|
$683,026,107
|
Insurance industry loss model
|
Losses and anticipated losses versus premiums earned
|
1 – 828,909.54
|
|
Private Fund Units
Financial Services
|
$43,938,411
|
Insurance industry loss model
|
Losses and anticipated losses versus premiums earned
|
1,016.05 – 1,076.55
|
(a)
|
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)).
|
(b)
|
There were no changes in the Registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) (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.
|