N-Q 1 d164199dnq.htm STONE RIDGE TRUST II Stone Ridge Trust II

 

 

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.