UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS
OF REGISTERED MANAGEMENT INVESTMENT COMPANY
811-22870
Investment Company Act file number:
Stone Ridge Trust II
(Exact name of registrant as specified in charter)
510 Madison Avenue, 21st Floor
New York, NY 10022
(Address of principal executive offices) (Zip code)
Stone Ridge Trust II
510 Madison Avenue, 21st Floor
New York, NY 10022
(Name and address of agent for service)
1-855-609-3680
Registrant’s telephone number, including area code
Date of fiscal year end: October 31, 2016
Date of reporting period: January 31, 2016
Item 1. | Schedule of Investments. |
STONE RIDGE REINSURANCE RISK PREMIUM INTERVAL FUND
Consolidated Schedule of Investments as of January 31, 2016 (Unaudited)
PRINCIPAL AMOUNT |
FAIR VALUE | |||||||
EVENT LINKED BONDS - 11.6% |
||||||||
China - 0.1% |
||||||||
Earthquake - 0.1% |
||||||||
Panda Re 2015-1 |
||||||||
4.370%, 06/30/2018 (a)(b)(c) |
$ | 2,935,000 | $ | 2,905,782 | ||||
|
|
|||||||
Global - 3.5% |
||||||||
Earthquake - 0.1% |
||||||||
Market Re 2014-4 Class A |
||||||||
4.000%, 06/15/2016 (a)(b)(c) |
2,802,000 | 2,792,053 | ||||||
Market Re 2014-4 Class B |
||||||||
4.000%, 06/15/2016 (a)(b)(c) |
1,019,000 | 1,015,382 | ||||||
|
|
|||||||
3,807,435 | ||||||||
|
|
|||||||
Mortality/Longevity - 0.8% |
||||||||
Chesterfield Re 2014-1 |
||||||||
4.500%, 12/15/2034 (c) |
4,550,676 | 4,564,897 | ||||||
Vitality Re VI Class B |
||||||||
2.420%, 01/08/2018 (a)(b)(c) |
19,000,000 | 18,803,350 | ||||||
|
|
|||||||
23,368,247 | ||||||||
|
|
|||||||
Multiperil - 2.5% |
||||||||
Atlas IX 2015-1 |
||||||||
7.447%, 01/07/2019 (a)(b)(c) |
8,516,000 | 8,371,654 | ||||||
Galileo Re 2015-1 Class A |
||||||||
13.815%, 01/08/2018 (a)(b)(c) |
15,778,000 | 16,057,271 | ||||||
Galileo Re 2016-1 Class A |
||||||||
13.815%, 01/08/2019 (a)(b)(c) |
4,382,000 | 4,383,972 | ||||||
Galileo Re 2016-1 Class B |
||||||||
9.000%, 01/08/2019 (a)(b)(c) |
4,382,000 | 4,382,657 | ||||||
Galileo Re 2016-1 Class C |
||||||||
7.320%, 01/08/2019 (a)(b)(c) |
4,383,000 | 4,383,219 | ||||||
IBRD Re 2014-1 |
||||||||
6.985%, 10/07/2017 (a)(b)(c) |
5,000,000 | 4,986,000 | ||||||
Kilimanjaro Re 2014-1 Class B |
||||||||
4.820%, 04/30/2018 (a)(b)(c) |
14,504,000 | 14,294,417 | ||||||
Loma Re 2013-1 A |
||||||||
9.685%, 01/08/2018 (a)(b)(c) |
335,000 | 345,502 | ||||||
Loma Re 2013-1 B |
||||||||
12.055%, 01/08/2018 (a)(b)(c) |
1,005,000 | 1,036,105 | ||||||
Loma Re 2013-1 C |
||||||||
18.055%, 01/08/2018 (a)(b)(c) |
1,739,000 | 1,820,907 | ||||||
RW0003 (Horseshoe Segregated Account) |
||||||||
13.794%, 07/22/2016 (a)(b)(d)(e)(f)(g) (Cost: $7,919,966; Acquisition Date: 08/26/2015) |
8,466,870 | 8,049,611 | ||||||
VenTerra Re 2013-1 A |
||||||||
4.070%, 01/09/2017 (a)(b)(c) |
2,154,000 | 2,153,569 | ||||||
|
|
|||||||
70,264,884 | ||||||||
|
|
|||||||
Windstorm - 0.1% |
||||||||
Queen Street X Re Ltd |
||||||||
6.070%, 06/08/2018 (a)(b)(c) |
1,721,000 | 1,702,844 | ||||||
|
|
|||||||
99,143,410 | ||||||||
|
|
|||||||
Japan - 0.2% |
||||||||
Earthquake - 0.2% |
||||||||
Kizuna Re II Class A |
||||||||
2.570%, 04/06/2018 (a)(b)(c) |
2,500,000 | 2,488,875 | ||||||
Nakama Re |
||||||||
2.815%, 04/13/2018 (a)(b)(c) |
1,500,000 | 1,491,750 | ||||||
Nakama Re 2014-2 Class 1 |
||||||||
2.440%, 01/16/2019 (a)(b)(c) |
1,000,000 | 993,850 | ||||||
|
|
|||||||
4,974,475 | ||||||||
|
|
|||||||
Mexico - 0.0% |
||||||||
Windstorm - 0.0% |
||||||||
MultiCat Mexico 2012-1 C |
||||||||
3.315%, 03/04/2016 (a)(b)(c) |
4,000,000 | 600,000 | ||||||
|
|
|||||||
Turkey - 0.0% |
||||||||
Earthquake - 0.0% |
||||||||
Bosphorus Re 2013-1 A |
||||||||
2.815%, 05/03/2016 (a)(b)(c) |
1,250,000 | 1,239,000 | ||||||
|
|
|||||||
United States - 7.8% |
||||||||
Earthquake - 0.8% |
||||||||
Golden State Re II |
||||||||
2.520%, 01/08/2019 (a)(b)(c) |
5,400,000 | 5,300,100 | ||||||
Merna Re 2015-1 |
||||||||
2.315%, 04/09/2018 (a)(b)(c) |
2,522,000 | 2,506,363 | ||||||
Ursa Re 2015-1 |
||||||||
5.000%, 09/21/2018 (a)(b)(c) |
15,000,000 | 14,946,750 | ||||||
|
|
|||||||
22,753,213 | ||||||||
|
|
|||||||
Multiperil - 3.1% |
||||||||
East Lane Re VI |
||||||||
3.065%, 03/14/2018 (a)(b)(c) |
14,443,000 | 14,266,796 | ||||||
East Lane VI 2015-1 |
||||||||
4.065%, 03/13/2020 (a)(b)(c) |
13,213,000 | 13,175,343 | ||||||
PennUnion Re 2015-1 |
||||||||
4.815%, 12/07/2018 (a)(b)(c) |
4,671,000 | 4,642,273 | ||||||
Residential Re 2015-1 Class 10 |
||||||||
11.315%, 06/06/2019 (a)(b)(c) |
8,197,000 | 8,267,494 | ||||||
Residential Re 2015-1 Class 11 |
||||||||
6.315%, 06/06/2019 (a)(b)(c) |
8,915,000 | 8,986,320 | ||||||
Residential Re 2014-1 10 |
||||||||
15.315%, 06/06/2018 (a)(b)(c) |
10,338,000 | 10,375,734 | ||||||
Residential Re 2014-1 13 |
||||||||
3.820%, 06/06/2018 (a)(b)(c) |
2,859,000 | 2,858,142 | ||||||
Riverfront Re 2014 |
||||||||
4.315%, 01/06/2017 (a)(b)(c) |
4,022,000 | 3,961,871 | ||||||
Sanders Re 2014-1 D |
||||||||
4.175%, 05/28/2019 (a)(b)(c) |
21,295,000 | 20,682,769 | ||||||
Skyline Re 2014-1 A |
||||||||
14.315%, 01/23/2017 (a)(b)(c) |
2,166,000 | 2,284,047 | ||||||
|
|
|||||||
89,500,789 | ||||||||
|
|
|||||||
Windstorm - 3.9% |
||||||||
Alamo Re 2015-1 Class A |
||||||||
6.215%, 06/07/2018 (a)(b)(c) |
1,903,000 | 1,949,053 | ||||||
Alamo Re 2015-1 Class B |
||||||||
4.915%, 06/07/2018 (a)(b)(c) |
809,000 | 824,775 | ||||||
Alamo Re Ltd. |
||||||||
5.555%, 06/07/2017 (a)(b)(c) |
892,000 | 906,629 | ||||||
Citrus Re 2014-1 |
||||||||
4.775%, 04/18/2017 (a)(b)(c) |
944,000 | 934,135 | ||||||
Citrus Re 2014-2 |
||||||||
4.595%, 04/24/2017 (a)(b)(c) |
1,483,000 | 1,472,026 | ||||||
Citrus Re 2015-1 Class A |
||||||||
5.205%, 04/09/2018 (a)(b)(c) |
8,501,000 | 8,429,167 | ||||||
Citrus Re 2015-1 Class B |
||||||||
6.640%, 04/09/2018 (a)(b)(c) |
17,253,000 | 17,240,060 | ||||||
Citrus Re 2015-1 Class C |
||||||||
9.800%, 04/09/2018 (a)(b)(c) |
5,319,000 | 5,363,946 | ||||||
Cranberry Re 2015-1 |
||||||||
4.115%, 07/06/2018 (a)(b)(c) |
5,044,000 | 5,104,528 |
Everglades Re 2014 |
||||||||
7.765%, 04/28/2017 (a)(b)(c) |
17,758,000 | 18,188,631 | ||||||
Everglades Re II 2015-1 |
||||||||
5.465%, 05/03/2018 (a)(b)(c) |
10,000,000 | 10,072,500 | ||||||
Gator Re 2014 |
||||||||
6.585%, 01/09/2017 (a)(b)(c) |
13,724,000 | 13,150,337 | ||||||
Kilimanjaro Re 2014-1 Class A |
||||||||
5.065%, 04/30/2018 (a)(b)(c) |
9,740,000 | 9,671,820 | ||||||
Manatee Re 2015-1 |
||||||||
5.315%, 12/22/2017 (a)(b)(c) |
4,571,000 | 4,522,776 | ||||||
Market Re 2015-2 |
||||||||
6.950%, 06/07/2016 (a)(b)(c)(d) |
5,272,000 | 5,544,035 | ||||||
Pelican Re 2013-1 A |
||||||||
6.315%, 05/15/2017 (a)(b)(c) |
8,000,000 | 8,154,800 | ||||||
|
|
|||||||
111,529,218 | ||||||||
|
|
|||||||
223,783,220 | ||||||||
|
|
|||||||
TOTAL EVENT LINKED BONDS (Cost $336,795,316) |
332,645,887 | |||||||
|
|
|||||||
PARTICIPATION NOTES (QUOTA SHARES) - 11.0% |
||||||||
Global - 11.0% |
||||||||
Multiperil - 11.0% |
||||||||
Eden Re 2015-1 |
||||||||
04/19/2018 (a)(e)(f)(g) (Cost: $7,000,000; Acquisition Date: 12/29/2014) |
7,000,000 | 7,893,786 | ||||||
Eden Re II 2015-1 |
||||||||
04/19/2018 (a)(e)(f)(g) (Cost: $1,556,768; Acquisition Date: 03/19/2015) |
1,542,500 | 12,868,351 | ||||||
Eden Re II 2016-1 |
||||||||
04/23/2019 (a)(e)(f)(g) (Cost: $152,707,500; Acquisition Date: 12/30/2015) |
152,707,500 | 153,628,906 | ||||||
Sector Re V LTD Series 5 Class A |
||||||||
03/01/2020 (a)(f)(g) (Cost: $2,492,759; Acquisition Date: 04/27/2015) |
2,492,759 | 3,013,746 | ||||||
Sector Re V LTD Series 5 Class F |
||||||||
03/01/2020 (a)(f)(g) Cost: $17,250,000; Acquisition Date: 04/27/2015) |
17,250,000 | 19,373,475 | ||||||
Sector Re V LTD Series 5 Class G |
||||||||
03/01/2020 (a)(f)(g) (Cost: $71,330,000; Acquisition Date: 06/26/2015) |
71,330,000 | 79,490,152 | ||||||
Silverton Re 2014-1 |
||||||||
09/16/2016 (a)(e)(f)(g) (Cost: $162,270; Acquisition Date: 12/18/2013) |
162,270 | 86,422 | ||||||
Silverton Re 2015-1 |
||||||||
09/18/2017 (a)(e)(g) (Cost: $35,000; Acquisition Date: 12/18/2014) |
35,000 | 1,743,128 | ||||||
Silverton Re 2016-1 |
||||||||
09/17/2018 (a)(e)(f)(g) (Cost: $35,262,500; Acquisition Date: 12/18/2015) |
35,000,000 | 35,300,752 | ||||||
|
|
|||||||
TOTAL PARTICIPATION NOTES (QUOTA SHARES) (Cost $287,796,797) |
313,398,718 | |||||||
|
|
|||||||
SHARES | FAIR VALUE | |||||||
PREFERENCE SHARES (QUOTA SHARES) - 71.7% |
||||||||
Canada - 0.1% |
||||||||
Multiperil - 0.1% |
||||||||
Awosting (Kane Segregated Account Company) (a)(f)(g) (Cost: $357,919; Original Acquisition Date: 12/27/2013) |
112 | 1,210,968 | ||||||
|
|
|||||||
Global - 66.0% |
||||||||
Marine/Energy - 2.0% |
||||||||
Kauai (Kane Segregated Account Company) (a)(e)(f)(g) (Cost: $51,394,000; Acquisition Date: 01/07/2016) |
51,394 | 51,853,680 | ||||||
Victoria (Kane Segregated Account Company) (a)(e)(f)(g) (Cost: $5,180,502; Original Acquisition Date: 01/30/2014) |
5,159 | 5,623,716 | ||||||
|
|
|||||||
57,477,396 | ||||||||
|
|
|||||||
Multiperil - 64.0% |
||||||||
Altair Re II (a)(f)(g) (Cost: $6,954,295; Original Acquisition Date: 12/27/2013) |
15,632,172 | 634,666 | ||||||
Altair Re III (a)(f)(g) (Cost: $4,926,317; Original Acquisition Date: 12/23/2014) |
24,351,607 | 9,652,977 | ||||||
Altair Re IV (a)(e)(f)(g) (Cost: $25,000,000; Acquisition Date: 01/04/2016) |
25,000 | 25,024,508 | ||||||
Arenal (Kane Segregated Account Company) (a)(e)(f)(g) (Cost: $61,758,224; Acquisition Date: 05/07/2015) |
61,758 | 70,532,002 | ||||||
Axis Ventures Re Cell 0003 (a)(e)(f)(g) (Cost: $33,453,740; Acquisition Date: 03/05/2015) |
430,466 | 20,012,501 | ||||||
Axis Ventures Re Cell 0004 (a)(e)(f)(g) (Cost: $50,000,000; Acquisition Date: 07/02/2015) |
500,000 | 57,478,783 | ||||||
Axis Ventures Re Cell 0005 (a)(e)(f)(g) (Cost: $42,000,000; Acquisition Date: 01/20/2016) |
420,000 | 42,326,532 | ||||||
Banff (Kane Segregated Account Company) (a)(e)(f)(g) (Cost: $29,715,000; Acquisition Date: 01/22/2015) |
29,715 | 31,851,842 | ||||||
Biscayne (Kane Segregated Account Company) (a)(e)(f)(g) (Cost: $38,714,888; Original Acquisition Date: 04/30/2014) |
38,655 | 43,777,414 | ||||||
Cardinal Re 2015-1 (a)(e)(f)(g) (Cost: $82,493,681; Original Acquisition Date: 07/29/2015) |
149 | 83,575,422 | ||||||
Carlsbad (Kane Segregated Account Company) (a)(e)(f)(g) (Cost: $100; Acquisition Date: 04/01/2014) |
100 | 100 | ||||||
Carlsbad 2 (Kane Segregated Account Company) (a)(e)(f)(g) (Cost: $133,003,576; Original Acquisition Date: 04/28/2014) |
132,800 | 141,485,546 | ||||||
Cumberland (Kane Segregated Account Company) (a)(e)(f)(g) (Cost: $19,500,000; Acquisition Date: 04/10/2015) |
19,500 | 25,232,220 | ||||||
Decker (Kane Segregated Account Company) (a)(e)(f)(g) (Cost: $8,012,643; Acquisition Date: 12/26/2013) |
100 | 9,998,681 | ||||||
Denali (Kane Segregated Account Company) (a)(e)(f)(g) (Cost: $75,060,000; Acquisition Date: 01/05/2015) |
75,060 | 86,713,652 | ||||||
Emerald Lake (Kane Segregated Account Company) (a)(e)(f)(g) (Cost: $225,073,000; Acquisition Date: 12/16/2015) |
225,073 | 227,672,477 | ||||||
Hatteras (Kane Segregated Account Company) (a)(e)(g) (Cost: $68,808,000; Original Acquisition Date: 12/30/2014) |
64,983 | 69,047,140 | ||||||
Hilo (Kane Segregated Account Company) (a)(e)(f)(g) (Cost: $5,155,976; Acquisition Date: 06/09/2015) |
5,156 | 5,654,146 | ||||||
Hudson Alexander (Mt. Logan Re) (a)(e)(g) (Cost: $40,000,000; Acquisition Date: 01/02/2014) |
40,000 | 40,035,812 | ||||||
Hudson Charles (Mt. Logan Re) (a)(e)(g) (Cost: $30,000,000; Acquisition Date: 01/02/2014) |
30,000 | 30,536,454 | ||||||
Hudson Charles 2 (Mt Logan Re) (a)(e)(f)(g) (Cost: $8,465,500; Acquisition Date: 04/02/2014) |
8,466 | 10,361,036 | ||||||
Hudson Charles 3 (Mt Logan Re) (a)(e)(f)(g) (Cost: $14,650,000; Acquisition Date: 06/19/2014) |
14,650 | 17,763,932 | ||||||
Hudson Paul (Mt. Logan Re) (a)(g) (Cost: $30,000,000; Acquisition Date: 01/02/2014) |
30,000 | 30,810,441 | ||||||
Hudson Paul 3 (Mt Logan Re) (a)(f)(g) (Cost: $8,465,500; Acquisition Date: 04/02/2014) |
8,466 | 11,269,241 | ||||||
Kona (Kane Segregated Account Company) (a)(e)(f)(g) (Cost: $5,873,000; Acquisition Date: 07/23/2015) |
5,873 | 6,436,776 | ||||||
La Ruta (Kane Segregated Account Company) (a)(e)(f)(g) (Cost: $23,765,000; Acquisition Date: 03/30/2015) |
23,765 | 25,661,030 | ||||||
Latigo (Kane Segregated Account Company) (a)(e)(f)(g) (Cost: $98,121,720; Original Acquisition Date: 01/06/2014) |
358 | 119,032,152 | ||||||
LRe 2015 (a)(e)(f)(g) (Cost: $33,255,235; Acquisition Date: 03/31/2015) |
332,552 | 39,188,981 | ||||||
Mackinac (Kane Segregated Account Company) (a)(e)(f)(g) (Cost: $25,426,251; Acquisition Date: 02/05/2015) |
22,136 | 28,926,949 | ||||||
Minnewaska (Kane Segregated Account Company) (a)(e)(f)(g) (Cost: $17,856,196; Original Acquisition Date: 05/30/2014) |
16,755 | 22,205,783 | ||||||
Mohonk (Kane Segregated Account Company) (a)(e)(g) (Cost: $75,061,438; Acquisition Date: 12/24/2013) |
100 | 75,626,118 | ||||||
Mojave (Kane Segregated Account Company) (a)(e)(g) (Cost: $37,500,000; Acquisition Date: 12/30/2014) |
37,500 | 37,961,678 | ||||||
Mojave 2 (Mt. Logan Re) (a)(e)(f)(g) (Cost: $25,000,000; Acquisition Date: 12/24/2015) |
25,000 | 25,307,785 | ||||||
Mulholland (Kane Segregated Account Company) (a)(e)(f)(g) (Cost: $14,411,287; Original Acquisition Date: 12/26/2013) |
114 | 17,374,886 | ||||||
Rainier (Mt. Logan Re) (a)(f)(g) (Cost: $15,000,000; Acquisition Date: 01/07/2016) |
15,000 | 15,045,732 | ||||||
Revelstoke (Kane Segregated Account Company) (a)(e)(f)(g) (Cost: $15,377,000; Original Acquisition Date: 01/28/2015) |
15,350 | 16,915,536 | ||||||
Rondout (Kane Segregated Account Company) (a)(e)(f)(g) (Cost: $64,420,273; Original Acquisition Date: 06/19/2014) |
62,734 | 78,668,155 | ||||||
Skytop (Kane Segregated Account Company) (a)(e)(f)(g) (Cost: $11,991,913; Acquisition Date: 01/09/2014) |
100 | 18,880,898 | ||||||
SR0001 (Horseshoe Re Segregated Account) (a)(e)(f)(g) (Cost: $17,618,550; Acquisition Date: 07/10/2015) |
1,000 | 19,478,682 | ||||||
SR0002 (Horseshoe Re Segregated Account) (a)(e)(f)(g) (Cost: $29,041,250; Acquisition Date: 12/30/2015) |
29,041,250 | 29,250,434 | ||||||
SR0003 (Horseshoe Re Segregated Account) (a)(e)(f)(g) (Cost: $16,041,250; Acquisition Date: 12/30/2015) |
16,041,250 | 16,146,064 | ||||||
SR0004 (Horseshoe Re Segregated Account) (a)(e)(f)(g) (Cost: $15,741,250; Acquisition Date: 12/30/2015) |
15,741,250 | 15,810,921 | ||||||
Sugarloaf (Kane Segregated Account Company) (a)(e)(f)(g) (Cost: $19,288,000; Acquisition Date: 01/12/2016) |
19,288 | 19,325,745 | ||||||
Tallgrass (Kane Segregated Account Company) (a)(e)(g) (Cost: $37,500,000; Acquisition Date: 12/30/2014) |
37,500 | 37,535,501 | ||||||
Turrialba (Kane Segregated Account Company) (a)(e)(f)(g) (Cost: $10,061,000; Acquisition Date: 03/31/2015) |
10,061 | 11,322,324 | ||||||
Twin Lakes (Kane Segregated Account Company) (a)(e)(f)(g) (Cost: $49,532,000; Acquisition Date: 01/04/2016) |
49,532 | 49,841,496 | ||||||
Yellowstone (Kane Segregated Account Company) (a)(e)(f)(g) (Cost: $2,078,580; Acquisition Date: 01/08/2014) |
100 | 8,550,025 | ||||||
|
|
|||||||
1,825,941,176 | ||||||||
|
|
|||||||
1,883,418,572 | ||||||||
|
|
|||||||
United States - 5.6% |
||||||||
Agriculture - 3.6% |
||||||||
Axis Venture Re Cell 0002 (a)(e)(f)(g) (Cost: $7,489,400; Acquisition Date: 08/29/2014) |
74,894 | 2,643,160 | ||||||
Bayswater (Kane Segregated Account Company) (a)(e)(f)(g) (Cost: $20,310,577; Acquisition Date: 06/16/2014) |
26,899 | 23,532,566 | ||||||
Demeter Re 2015 Class A (a)(e)(f)(g) (Cost: $22,750,000; Acquisition Date: 05/20/2015 |
227,500 | 24,661,554 | ||||||
Demeter Re 2015 Class C (a)(e)(f)(g) (Cost: $4,500,000; Acquisition Date: 05/20/2015) |
45,000 | 5,137,681 | ||||||
Hanalei (Kane Segregated Account Company) (a)(e)(f)(g) (Cost: $40,885,000; Acquisition Date: 06/22/2015) |
40,885 | 47,261,692 | ||||||
|
|
|||||||
103,236,653 | ||||||||
|
|
|||||||
Windstorm - 2.0% |
||||||||
Fescue (Mt. Logan Re) (a)(f)(g) (Cost: $50,000,000; Acquisition Date: 06/11/2015) |
50,000 | 56,672,790 | ||||||
|
|
|||||||
159,909,443 | ||||||||
|
|
|||||||
TOTAL PREFERENCE SHARES (QUOTA SHARES) (Cost $1,904,039,033) |
2,044,538,983 | |||||||
|
|
|||||||
PRIVATE FUND UNITS - 4.9% |
||||||||
Global - 4.9% |
||||||||
Multiperil - 4.9% |
||||||||
Aeolus Property Catastrophe J15 Keystone Fund (a)(e)(f)(g) (Cost: $14,574,323; Original Acquisition Date: 12/23/2014) |
16,146 | 16,815,113 | ||||||
Aeolus Property Catastrophe J16 Keystone Fund (a)(e)(f)(g) (Cost: $52,875,903; Acquisition Date: 01/21/2016) |
52,876 | 53,444,989 | ||||||
Aeolus Property Catastrophe MY15 Keystone Fund (a)(e)(f)(g) (Cost: $60,045,727; Original Acquisition Date: 05/20/2015) |
60,046 | 69,658,945 | ||||||
|
|
|||||||
TOTAL PRIVATE FUND UNITS (Cost $127,495,953) |
139,919,047 | |||||||
|
|
SHORT-TERM INVESTMENTS - 0.1% |
||||||||
Money Market Fund - 0.1% |
||||||||
Fidelity Institutional Money Market Funds - Government Portfolio - Institutional Class - 0.18% (h) |
912,112 | 912,112 | ||||||
First American Government Obligations Fund - Class Z - 0.12% (h) |
922,762 | 922,762 | ||||||
First American Treasury Obligations Fund - Class Z - 0.14% (h) |
922,761 | 922,761 | ||||||
Short Term Investments Trust - Treasury Portfolio - Institutional Class - 0.18% (h) |
922,762 | 922,762 | ||||||
|
|
|||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $3,680,397) |
3,680,397 | |||||||
|
|
|||||||
TOTAL INVESTMENTS (Cost $2,659,807,496) - 99.3% |
2,834,183,032 | |||||||
|
|
|||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.7% |
18,580,605 | |||||||
|
|
|||||||
TOTAL NET ASSETS - 100.0% |
$ | 2,852,763,637 | ||||||
|
|
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 $2,825,937,738. Foreign concentration is as follows: Bermuda: 95.5%, Cayman Islands: 3.0%, Ireland: 0.4%, Supranational: 0.2%. |
(b) | Variable rate security. The rate shown is as of January 31, 2016. |
(c) | 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, 2016 was $324,596,276, which represents 11.4% of net assets. |
(d) | Zero-coupon bond. The rate shown is the yield to maturity. |
(e) | Security is fair valued by the Adviser pursuant to procedures approved by the Board of Trustees. The aggregate value of these securities is $2,278,732,171, which represents 79.9% of net assets. |
(f) | Non-income producing security. |
(g) | Security is restricted to resale. The aggregate value of these securities at January 31, 2016 was $2,505,906,359, which represents 87.8% of net assets. |
(h) | Rate shown is the 7-day effective yield. |
Open Futures Contracts
DESCRIPTION |
NUMBER OF CONTRACTS SOLD |
NOTIONAL VALUE |
UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||
FUTURES CONTRACTS SOLD |
||||||||||
Australian Dollar, March 2016 Settlement |
282 | $ | 19,889,460 | $ | 491,283 | |||||
Canadian Dollar, March 2016 Settlement |
17 | 1,213,290 | 40,503 | |||||||
Euro Fx, March 2016 Settlement |
205 | 27,773,656 | 89,981 | |||||||
U.S. Treasury 5-Year Note, March 2016 Settlement |
28 | 3,378,812 | (53,873 | ) | ||||||
|
|
|
|
|||||||
TOTAL FUTURES CONTRACTS SOLD |
$ | 52,255,218 | $ | 567,894 | ||||||
|
|
|
|
Written Options
DESCRIPTION |
NUMBER OF CONTRACTS |
FAIR VALUE | ||||
CALL OPTIONS |
||||||
Average Temperature Index, Expires 03/31/2016, Strike Level 452 (a) |
1 | $ | 1,252,685 | |||
|
|
|||||
TOTAL WRITTEN OPTIONS (Premiums Received: $1,097,277) |
$ | 1,252,685 | ||||
|
|
(a) | Security is fair valued by the Adviser pursuant to procedures approved by the Board of Trustees. The aggregate value of these securities is $1,252,685, which represents 0.0% of net assets. |
The accompanying footnotes are an integral part of these Schedules of Investments.
The cost basis of investments for federal income tax purposes at January 31, 2016 was as follows:
Stone Ridge Reinsurance Risk Premium Interval Fund |
||||
Cost of investments |
$ | 2,659,807,496 | ||
|
|
|||
Unrealized Appreciation |
$ | 209,831,519 | ||
Unrealized Depreciation |
(35,455,983 | ) | ||
|
|
|||
Net unrealized appreciation |
$ | 174,375,536 | ||
|
|
* | 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. |
1. Summary of Significant Accounting Policies
The following is a summary of significant accounting policies consistently followed by the Stone Ridge Reinsurance Risk Premium Interval Fund (the “Fund”) in the preparation of its consolidated financial statements. The consolidated financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (“GAAP”). The Fund is an investment company and applies specific accounting and financial reporting requirements under Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946, Financial Services-Investment Companies.
Investment Valuation and Fair Value Measurement
In determining the net asset value (“NAV”) of the Fund’s shares, investments in open-end mutual funds, including money market funds, are generally priced at the ending NAV provided by the service agent of the Trust. Investments in closed-end mutual funds are valued at the last sale price on the exchange on which the shares are primarily traded.
Futures contracts are valued at the settlement price on the exchange on which they are primarily traded.
Long-term debt securities issued with a maturity in excess of 60 days, including corporate debt securities and municipal debt securities, collateralized mortgage obligations, loans, and other asset-backed securities are valued daily using the mean between the closing bid and asked prices provided by either a pricing service or two independent brokers. Short-term debt securities issued with a maturity of less than 60 days, including U.S. Treasury securities, are valued at amortized cost, which approximates fair value.
Event-linked bonds (catastrophe bonds) are valued using average firm bids from at least two independent brokers or at least one firm bid from an independent market maker. In the event that the Trust’s pricing vendor is unable to provide two independent broker firm bids or a market maker firm bid for event-linked bonds the Adviser (as defined herein) will use an indicative price or firm bid as the price of the security (or average, if multiple such prices) provided that the Adviser Valuation Committee (the “Committee”) (comprised of officers of the Adviser and established pursuant to the policies and procedures adopted by the Board of Trustees) determines that the indicative price or firm bid is reasonable. The Committee will use internal and/or independent external models to generate marks for the security. If the internal and/or independent external marks are within a predetermined range of the indicative price or firm bid, then the Committee may deem the indicative price or firm bid as reasonable. If the pricing sources above are not available, the Committee will fair value the security pursuant to procedures approved by the Board of Trustees. Event-linked bonds and similar restricted securities are valued on a weekly basis and on the last business day of each month. The Adviser monitors event-linked bonds daily for significant events that could affect the value of these investments.
Participation notes and preference shares (“Quota Shares”) and private fund units are valued using at least one firm bid from an independent market maker. In the event that the Trust’s pricing vendor is unable to provide a market maker firm bid for Quota Shares, the Adviser will use an indicative price or firm bid as the price of the security (or average, if multiple such prices) provided that the Committee determines that the indicative price or firm bid is reasonable. The committee will use internal and/or independent external models to generate marks for the security. If the internal and/or independent external marks are within a predetermined range of the indicative price or firm bid, then the Committee may deem the indicative price or firm bid as reasonable. If the pricing sources above are not available, the Committee will fair value the security pursuant to procedures approved by the Board of Trustees. Quota Shares and private fund units are valued on a weekly basis and on the last business day of each month. The Adviser monitors Quota Shares and private fund units daily for significant events that could affect the value of these investments.
Over-the-counter (“OTC”) options are valued based on quotations obtained from a pricing service or from a broker (typically the counterparty to the option).
If market values are not readily available (including in cases where available market quotations are deemed to be unreliable or infrequent), the Fund’s investments will be valued as determined in good faith pursuant
to policies and procedures approved by the Board of Trustees (“fair value pricing”). In these circumstances, the Fund determines fair value in a manner that fairly reflects the market value of the security on the valuation date based on consideration of any information or factors it deems appropriate as further described below. The Committee has the responsibility for overseeing the implementation of the Fund’s valuation procedures and fair value determinations made on behalf of the Board of Trustees. For purposes of determining fair value of securities, the Committee may use (or make use of) a variety of valuation methodologies, including, without limitation: (i) mathematical techniques that refer to the prices of similar or related securities; (ii) a percentage increase or decrease across all securities of a region, country or industry affected by a significant event; (iii) a multiple of earnings; (iv) a discount from market of a similar freely traded security; (v) the yield to maturity of debt securities; (vi) the recommendation of a pricing service; (vii) a single broker’s (or insurance company’s) quote; (viii) recent primary and/or secondary market transactions that the Fund believes to be comparable; (ix) modeling or development of events; or (x) any combination of the above. Fair value pricing may require subjective determinations about the value of an asset or liability. Fair values used to determine the Fund’s NAVs may differ from quoted or published prices, or from prices that are used by others, for the same investments. The use of fair value pricing may not always result in adjustments to the prices of securities or other assets or liabilities held by the Fund and 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.
The Fund has adopted authoritative fair valuation accounting standards which establish an authoritative definition of fair value and set out a hierarchy for measuring fair value. 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 measurement) and the lowest priority to unobservable inputs (Level 3 measurements). The three levels of the fair value hierarchy are as follows:
Level 1: Inputs that reflect unadjusted quoted prices in active markets for identical assets or liabilities that the Fund has the ability to access at the measurement date;
Level 2: Significant inputs other than quoted prices that are observable for the asset or liability either directly or indirectly, including inputs in markets that are not considered to be active and firm bids from brokers or market makers which are not publically available;
Level 3: Significant inputs that are unobservable.
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.
Transfers between levels are recognized at the end of the reporting period. There were no transfers between levels during the reporting period. The following table summarizes the inputs used to value the Fund’s investments as of January 31, 2016:
DESCRIPTION |
LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTAL | ||||||||||||
Assets |
||||||||||||||||
Event-Linked Bonds |
||||||||||||||||
China |
$ | — | $ | — | $ | 2,905,782 | $ | 2,905,782 | ||||||||
Global |
— | 77,735,467 | 21,407,943 | $ | 99,143,410 | |||||||||||
Japan |
— | 4,974,475 | — | 4,974,475 | ||||||||||||
Mexico |
— | 600,000 | — | 600,000 | ||||||||||||
Turkey |
— | 1,239,000 | — | 1,239,000 | ||||||||||||
United States |
— | 215,955,138 | 7,828,082 | 223,783,220 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Event-Linked Bonds |
— | 300,504,080 | 32,141,807 | 332,645,887 | ||||||||||||
Participation Notes (Quota Shares) (1) |
— | — | 313,398,718 | 313,398,718 | ||||||||||||
Preference Shares (Quota Shares) (1) |
— | — | 2,044,538,983 | 2,044,538,983 | ||||||||||||
Private Fund Units (1) |
— | — | 139,919,047 | 139,919,047 | ||||||||||||
Money Market Funds |
3,680,397 | — | — | 3,680,397 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Assets |
$ | 3,680,397 | $ | 300,504,080 | $ | 2,529,998,555 | $ | 2,834,183,032 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Liabilities |
||||||||||||||||
Written OTC Options |
$ | — | $ | — | $ | (1,252,685 | ) | $ | (1,252,685 | ) | ||||||
|
|
|
|
|
|
|
|
|||||||||
Total Liabilities |
$ | — | $ | — | $ | (1,252,685 | ) | $ | (1,252,685 | ) | ||||||
|
|
|
|
|
|
|
|
|||||||||
Other Financial Instruments* |
||||||||||||||||
Unrealized appreciation on futures |
$ | 621,767 | $ | — | $ | — | $ | 621,767 | ||||||||
Unrealized depreciation on futures |
(53,873 | ) | — | — | (53,873 | ) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | 567,894 | $ | — | $ | — | $ | 567,894 | ||||||||
|
|
|
|
|
|
|
|
* | Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures. These instruments are reflected at the net unrealized appreciation (depreciation) on the instrument. |
(1) | For further security characteristics, see the Fund’s Schedule of Investments. |
Below is a reconciliation that details the activity of securities in Level 3 during the current period ended January 31, 2016:
Event-Linked Bonds |
Participation Notes (Quota Shares) |
Preference Shares (Quota Shares) |
Private Fund Units |
Written Options | ||||||||||||||||
Beginning Balance - November 1, 2015 |
$ | 31,984,576 | $ | 284,548,010 | $ | 1,561,009,607 | $ | 139,185,229 | $ | — | ||||||||||
Acquisitions/Cover |
— | 187,970,000 | 567,774,552 | 52,875,903 | — | |||||||||||||||
Dispositions/Short |
— | (152,707,500 | ) | (31,406,996 | ) | (52,932,271 | ) | (1,097,277 | ) | |||||||||||
Realized gains |
— | — | 2,151,838 | 6,510,136 | — | |||||||||||||||
Realized losses |
— | (487,545 | ) | (8,501,703 | ) | — | — | |||||||||||||
Return of capital |
— | (14,017,730 | ) | (55,082,398 | ) | (1,571,759 | ) | — | ||||||||||||
Change in unrealized appreciation (depreciation) |
157,231 | 8,093,483 | 8,594,083 | (4,148,191 | ) | (155,408 | ) | |||||||||||||
Transfers in/(out) of Level 3 |
— | — | — | — | — | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Ending Balance - January 31, 2016 |
$ | 32,141,807 | $ | 313,398,718 | $ | 2,044,538,983 | $ | 139,919,047 | $ | (1,252,685 | ) | |||||||||
|
|
|
|
|
|
|
|
|
|
As of January 31, 2016, the change in unrealized appreciation (depreciation) on positions still held in the Fund was $157,231 for Event-linked Bonds, $8,093,483 for Participation Notes, $8,594,083 for Preference Shares, $(4,135,951) for Private Fund Units and $(155,408) for Written Options.
Unobservable inputs included original transaction price, losses from severe weather events, and changes in market risk spread of comparable securities (including catastrophe bonds with similar risk profiles). Significant increases in the market risk spread of comparable instruments or severe weather losses in isolation would result in a significantly lower fair value measurement. A high amount of loss from severe weather may also increase market risk spreads. Quota 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 January 31, 2016:
TYPE OF SECURITY | INDUSTRY | FAIR VALUE AT 1/31/2016 |
VALUATION TECHNIQUES |
UNOBSERVABLE INPUTS |
RANGE | WEIGHTED AVERAGE |
||||||||||||
Event Linked Bonds |
Financial Services | $ | 8,049,611 | Insurance industry loss model | Estimated Losses: Estimated premiums earned: | $
$ |
0.5MM-$0.5MM
1.0MM-$1.0MM |
|
$
$ |
0.5MM
1.0MM |
| |||||||
Participation Notes (Quota Shares) |
Financial Services | $ | 211,521,345 | Insurance industry loss model | Estimated Losses: Estimated premiums earned: | $
$ |
0.0MM-$11.5MM
0.0MM-$22.1MM |
|
$
$ |
3.4MM
6.3MM |
| |||||||
Preference Shares (Quota Shares) |
Financial Services | $ | 1,919,242,168 | Insurance industry loss model | Estimated Losses: Estimated premiums earned: | $
$ |
0.1MM-$40.4MM
0.4MM-$57.5MM |
|
$
$ |
6.4MM
11.6MM |
| |||||||
Private Fund Units |
Financial Services | $ | 139,919,047 | Insurance industry loss model | Estimated Losses: Estimated premiums earned: | $
$ |
1.4MM-$9.3MM
3.1MM-$18.2MM |
|
$
$ |
4.4MM
10.1MM |
|
The Level 3 securities not listed above were priced using an indicative bid and amount to $251,266,384.
Derivative Transactions – The Fund engaged in derivatives and hedging activities during the period ended January 31, 2016. The use of derivatives included options and futures contracts. Further information regarding derivative activity for the Fund can be found in the Schedule of Investments.
Futures Contracts — The Fund may purchase and sell futures contracts. The Fund held futures contracts during the period ended January 31, 2016. The Fund uses futures contracts to hedge interest rate and foreign exchange rate exposure. With futures, there is minimal counterparty credit risk to the Fund since futures are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default. Upon entering into a contract, the Fund deposits and maintains as collateral, an initial margin as required by the exchange on which the transaction is effected. Pursuant to the contract, the Fund agrees to receive from or pay to the broker, an amount of cash equal to the daily fluctuation in value of the contract. Such receipts or payments are known as variation margin and are recorded by the Fund as unrealized gains and losses. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. In connection with physically-settled futures contracts, the Fund is required under the 1940 Act to maintain assets consisting of cash, cash equivalents or liquid securities. The amount of the segregated assets is required to be adjusted daily to reflect the market value of the purchase obligation for long futures contracts or the market value of the instrument underlying the contract, but not less than the market price at which the futures contract was established, for short futures contracts. The average notional amount of futures contracts during the period ended January 31, 2016, was $81,497,606 for short contracts.
Options — The Fund may purchase and write call or put options on securities and indices and enter into related closing transactions. The Fund wrote call or put options during the period ended January 31, 2016. The Fund writes put and call options to earn premium income. With options, there is minimal counterparty credit risk to the Fund since options are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded options, guarantees the options against default. OTC options are customized agreements between the parties. With OTC options, there is no clearinghouse guarantee against default, thus OTC options are subject to the risk that the counterparty will not fulfill its obligations under the contract.
As the writer of a call option, the Fund has the obligation to sell the security at the exercise price during the exercise period. As a writer of a put option, the Fund has the obligation to buy the underlying security at the exercise price during the exercise period. The premium that the Fund pays when purchasing a call option or receives when writing a call option will reflect, among other things, the market price of the security, the relationship of the exercise price to the market price of the security, the relationship of the exercise price to the volatility of the security, the length of the option period and supply and demand factors. The premium is the market value of the option.
A purchaser (holder) of a put option pays a non-refundable premium to the seller (writer) of a put option to obtain the right to sell a specified amount of a security at a fixed price (the exercise price) during a specified period (exercise period). Conversely, the seller (writer) of a put option, upon payment by the holder of the premium, has the obligation to buy the security from the holder of the put option at the exercise price during the exercise period. When an option is exercised, the premium originally received decreases the cost basis of the underlying security (or increases the proceeds on the security sold short) and the Fund realizes a gain or loss from the sale of the security (or closing of the short sale).
Options on indices (including weather indices) are similar to options on securities, except that the index options require cash settlement payments and do not involve the actual purchase or sale of securities.
The average market value of written options for the period ended January 31, 2016, was $1,046,249.
Transactions in options written during the period ended January 31, 2016 were as follows:
Reinsurance Risk Premium Interval Fund |
||||||||
OTC Options | Contracts | Premiums | ||||||
Outstanding, Beginning of period |
— | $ | — | |||||
Options written |
2 | 2,278,739 | ||||||
Options terminated in closing transactions |
— | — | ||||||
Options exercised |
— | — | ||||||
Options expired |
(1 | ) | (1,181,462 | ) | ||||
|
|
|
|
|||||
Outstanding, end of period |
1 | $ | 1,097,277 |
Statement of Assets and Liabilities — Values of Derivatives at January 31, 2016
ASSET DERIVATIVES | LIABILITY DERIVATIVES | |||||||||||||
STATEMENT OF ASSETS AND LIABILITIES LOCATION |
FAIR VALUE | STATEMENT OF ASSETS AND LIABILITIES LOCATION |
FAIR VALUE | |||||||||||
Reinsurance Risk Premium Interval Fund |
||||||||||||||
Net assets - Unrealized appreciation on futures* |
$ | 621,767 | Net assets - Unrealized depreciation on futures* | $ | 53,873 | |||||||||
|
|
|
|
|||||||||||
Total |
$ | 621,767 | $ | 53,873 | ||||||||||
Options written, at Fair Value | $ | 1,252,685 | ||||||||||||
|
|
|||||||||||||
Total |
$ | 1,252,685 |
* | Reflects cumulative unrealized appreciation (depreciation) of futures contracts as reported in the Schedule of Investments. |
Item 2. | Controls and Procedures. |
(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. |
Item 3. | Exhibits. |
Separate certifications for each principal executive officer and principal financial officer of the Registrant as required by Rule 30a-2(a) under the 1940 Act (17 CFR 270.30a-2(a)). Filed herewith.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) | Stone Ridge Trust II |
By (Signature and Title) | /s/ Ross Stevens |
Ross Stevens, President |
Date | March 29, 2016 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By (Signature and Title)* | /s/ Ross Stevens |
Ross Stevens, President |
Date | March 29, 2016 |
By (Signature and Title)* | /s/ Patrick Kelly |
Patrick Kelly, Treasurer |
Date | March 29, 2016 |
* | Print the name and title of each signing officer under his or her signature. |