N-Q 1 d436886dnq.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: July 31, 2016

 

 

 


Item 1. Schedule of Investments.


STONE RIDGE REINSURANCE RISK PREMIUM INTERVAL FUND    

Schedule of Investments as of July 31, 2016 (Unaudited)    

 

     PRINCIPAL            
     AMOUNT         FAIR VALUE  

EVENT-LINKED BONDS - 13.1%

      

Australia - 0.1%

      

Multiperil - 0.1%

      

RW0005 (L1-1)

      

86.185%, 07/03/2017 (a)(b)(c)(d)(e)

   $ 5,600,000        $ 2,240,021   
      

 

 

 

China - 0.1%

      

Earthquake - 0.1%

      

Panda Re 2015-1

      

4.288%, 06/30/2018 (a)(b)(c)

     2,935,000          2,926,342   
      

 

 

 

Global - 4.3%

      

Mortality/Longevity - 0.7%

      

Chesterfield Re 2014-1

      

4.500%, 12/15/2034 (c)

     4,236,336          4,258,577   

Vitality Re VI Class B

      

2.338%, 01/08/2018 (a)(b)(c)

     19,000,000          18,977,200   
      

 

 

 
         23,235,777   
      

 

 

 

Multiperil - 3.2%

      

Atlas IX 2015-1

      

7.481%, 01/07/2019 (a)(b)(c)

     8,516,000          8,542,400   

Galileo Re 2015-1 Class A

      

13.738%, 01/08/2018 (a)(b)(c)

          18,968,000          19,459,271   

Galileo Re 2016-1 Class A

      

13.738%, 01/08/2019 (a)(b)(c)

     4,382,000          4,454,084   

Galileo Re 2016-1 Class B

      

9.238%, 01/08/2019 (a)(b)(c)

     4,382,000          4,432,393   

Galileo Re 2016-1 Class C

      

7.238%, 01/08/2019 (a)(b)(c)

     4,383,000          4,433,405   

IBRD Re 2014-1

      

7.286%, 10/07/2017 (a)(b)(c)

     5,000,000          4,959,500   

Kilimanjaro Re 2014-1 Class B

      

4.738%, 04/30/2018 (a)(b)(c)

     14,504,000          14,574,344   

Kilimanjaro Re 2015-1 Class E

      

6.988%, 12/06/2019 (a)(b)(c)

     2,966,000          3,013,159   

Loma Re 2013-1 A

      

9.608%, 01/08/2018 (a)(b)(c)

     335,000          341,248   

Loma Re 2013-1 B

      

11.978%, 01/08/2018 (a)(b)(c)

     1,005,000          1,022,789   

Loma Re 2013-1 C

      

17.978%, 01/08/2018 (a)(b)(c)

     1,739,000          1,776,562   

Queen Street XII

      

6.068%, 04/08/2020 (a)(b)(c)

     6,537,000          6,550,074   

Resilience Re Series 1642B

      

11.070%, 04/07/2017 (a)(b)(c)(d)

     29,589,000          27,399,414   

VenTerra Re 2013-1 A

      

3.988%, 01/09/2017 (a)(b)(c)

     4,128,000          4,139,558   
      

 

 

 
         105,098,201   
      

 

 

 

Other - 0.3%

      

Operational Re

      

5.500%, 04/08/2021 (a)(c)

   CHF 9,953,000          10,240,540   
      

 

 

 

Windstorm - 0.1%

      

Queen Street X Re Ltd

      

5.988%, 06/08/2018 (a)(b)(c)

   $ 1,721,000          1,723,582   
      

 

 

 
         140,298,100   
      

 

 

 

Japan - 0.2%

      

Earthquake - 0.1%

      

Kizuna Re II Class A

      

2.488%, 04/06/2018 (a)(b)(c)

     2,500,000          2,501,625   

Nakama Re

      

2.738%, 04/13/2018 (a)(b)(c)

     1,500,000          1,506,150   

Nakama Re 2014-2 Class 1

      

2.363%, 01/16/2019 (a)(b)(c)

     1,000,000          1,000,400   
      

 

 

 
         5,008,175   
      

 

 

 

Windstorm - 0.1%

      

Aozora Re 2016-1 A

      

2.954%, 04/07/2020 (a)(b)(c)

     2,101,000          2,108,248   
      

 

 

 
         7,116,423   
      

 

 

 

United States - 8.4%

      

Earthquake - 0.8%

      

Golden State Re II

      

2.438%, 01/08/2019 (a)(b)(c)

     5,400,000          5,333,310   

Merna Re 2015-1

      

2.238%, 04/09/2018 (a)(b)(c)

     2,522,000          2,532,718   

Merna Re 2016-1

      

2.488%, 04/08/2019 (a)(b)(c)

     2,119,000          2,136,376   

Ursa Re 2015-1

      

5.000%, 09/21/2018 (a)(b)(c)

     15,000,000          15,177,750   
      

 

 

 
         25,180,154   
      

 

 

 

Multiperil - 3.9%

      

Caelus Re IV 2016-1

      

5.738%, 03/06/2020 (a)(b)(c)

     20,182,000          20,699,668   

East Lane Re VI

      

2.888%, 03/14/2018 (a)(b)(c)

     14,443,000          14,468,275   


                   
                   

East Lane VI 2015-1

       

3.628%, 03/13/2020 (a)(b)(c)

     13,213,000           13,429,693   

Espada Re 2016-1 20

       

5.750%, 06/06/2020 (a)(b)(c)

     3,215,000           3,208,570   

PennUnion Re 2015-1

       

4.738%, 12/07/2018 (a)(b)(c)

     4,671,000           4,698,559   

Residential Re 2013-2 1

       

20.238%, 12/06/2017 (a)(b)(c)

     1,977,000           2,013,080   

Residential Re 2014-1 10

       

15.238%, 06/06/2018 (a)(b)(c)

          10,338,000           10,441,897   

Residential Re 2014-1 13

       

3.738%, 06/06/2018 (a)(b)(c)

     2,859,000           2,878,441   

Residential Re 2015-1 Class 10

       

11.208%, 06/06/2019 (a)(b)(c)

     8,197,000           8,287,987   

Residential Re 2015-1 Class 11

       

6.198%, 06/06/2019 (a)(b)(c)

     8,915,000           9,190,474   

Residential Re 2016-1 10

       

11.738%, 06/06/2023 (a)(b)(c)

     4,609,000           4,658,316   

Residential Re 2016-1 11

       

4.988%, 06/06/2023 (a)(b)(c)

     5,926,000           5,926,000   

Riverfront Re 2014

       

4.238%, 01/06/2017 (a)(b)(c)

     4,022,000           3,948,800   

Sanders Re 2014-1 D

       

4.108%, 05/28/2019 (a)(b)(c)

          21,295,000           21,160,842   

Sanders Re 2014-2

       

4.008%, 06/07/2017 (a)(b)(c)

     1,992,000           1,987,219   

Skyline Re 2014-1 A

       

14.238%, 01/23/2017 (a)(b)(c)

     2,166,000           2,219,284   
       

 

 

 
                 129,217,105   
       

 

 

 

Windstorm - 3.7%

       

Alamo Re 2015-1 Class A

       

6.018%, 06/07/2018 (a)(b)(c)

     1,903,000           1,958,853   

Alamo Re 2015-1 Class B

       

4.858%, 06/07/2018 (a)(b)(c)

     1,059,000           1,096,965   

Alamo Re Ltd.

       

5.438%, 06/07/2017 (a)(b)(c)

     892,000           904,087   

Citrus Re 2014-1

       

5.248%, 04/18/2017 (a)(b)(c)

     944,000           937,534   

Citrus Re 2014-2

       

4.538%, 04/24/2017 (a)(b)(c)

     1,483,000           1,474,621   

Citrus Re 2015-1 Class A

       

5.378%, 04/09/2018 (a)(b)(c)

     8,501,000           8,468,271   

Citrus Re 2015-1 Class B

       

7.198%, 04/09/2018 (a)(b)(c)

     17,253,000           17,047,689   

Citrus Re 2015-1 Class C

       

9.268%, 04/09/2018 (a)(b)(c)

     5,319,000           5,262,619   

Citrus Re 2016-1 D-50

       

7.738%, 02/25/2019 (a)(b)(c)

     10,257,000           10,394,957   

Citrus Re 2016-1 E-50

       

10.738%, 02/25/2019 (a)(b)(c)

     8,548,000           8,552,701   

Cranberry Re 2015-1

       

4.098%, 07/06/2018 (a)(b)(c)

     5,044,000           5,129,496   

Everglades Re 2014

       

7.348%, 04/28/2017 (a)(b)(c)

     17,758,000           17,981,751   

Everglades Re II 2015-1

       

5.468%, 05/03/2018 (a)(b)(c)

     10,000,000           10,118,000   

Gator Re 2014

       

6.508%, 01/09/2017 (a)(b)(c)

     13,724,000           11,419,740   

Kilimanjaro Re 2014-1 Class A

       

4.988%, 04/30/2018 (a)(b)(c)

     9,740,000           9,708,832   

Manatee Re 2015-1

       

5.238%, 12/22/2017 (a)(b)(c)

     4,571,000           4,542,888   

Manatee Re 2016-1 A

       

5.250%, 03/13/2019 (a)(b)(c)

     1,444,000           1,445,733   

Manatee Re 2016-1 C

       

16.250%, 03/14/2022 (a)(b)(c)

     2,165,000           2,171,278   

Pelican Re 2013-1 A

       

6.238%, 05/15/2017 (a)(b)(c)

     8,000,000           8,066,800   
       

 

 

 
          126,682,815   
       

 

 

 
          281,080,074   
       

 

 

 

TOTAL EVENT-LINKED BONDS (Cost $432,736,388)

          433,660,960   
       

 

 

 

PARTICIPATION NOTES (QUOTA SHARES) - 9.7%

       

Global - 9.7%

       

Multiperil - 9.7%

       

Eden Re II 2015-1

       

04/19/2018 (a)(e)(f)(g) (Cost: $0; Acquisition Date: 03/19/2015)

     —             2,316,380   

Eden Re II 2016-1

       

04/23/2019 (a)(c)(e)(h) (Cost: $160,757,500; Original Acquisition Date: 12/30/2015)

     160,757,500           169,041,462   

Sector Re V LTD Series 5 Class A

       

03/01/2020 (a)(f) (Cost: $10,666; Acquisition Date: 04/27/2015)

     10,666           619,233   

Sector Re V LTD Series 5 Class F

       

03/01/2020 (a)(f) (Cost: $71,875; Acquisition Date: 04/27/2015)

     71,875           2,316,423   

Sector Re V LTD Series 5 Class G

       

03/01/2020 (a)(f) (Cost: $178,324; Acquisition Date: 06/26/2015)

     178,324           8,900,811   

Sector Re V LTD Series 6 Class A

       

03/01/2021 (a)(f)(h) (Cost: $106,372; Acquisition Date: 04/25/2016)

     106,372           107,755   

Sector Re V LTD Series 6 Class B

       

03/01/2021 (a)(f)(h) (Cost: $2,492,759; Acquisition Date: 04/28/2016)

     2,492,759           2,525,165   


                   
                   

Sector Re V LTD Series 6 Class F

       

03/01/2021 (a)(f)(h) (Cost: $11,113,055; Acquisition Date: 04/25/2016)

     11,113,055           11,199,737   

Sector Re V LTD Series 6 Class G

       

03/01/2021 (a)(f)(h) (Cost: $88,580,000; Acquisition Date: 04/28/2016)

     88,580,000           89,270,924   

Silverton Re 2014-1

       

09/16/2016 (a)(f) (Cost: $73,371; Acquisition Date: 12/18/2013)

          73,371           35,034   

Silverton Re 2015-1

       

09/18/2017 (a)(f)(g) (Cost: $0; Acquisition Date: 12/18/2014)

     —             339,710   

Silverton Re 2016-1

       

09/17/2018 (a)(e)(f)(h) (Cost: $35,262,500; Acquisition Date: 12/18/2015)

          35,000,000           36,811,486   
       

 

 

 

TOTAL PARTICIPATION NOTES (QUOTA SHARES) (Cost $298,685,690)

          323,484,120   
       

 

 

 
     SHARES          FAIR VALUE  

PREFERENCE SHARES (QUOTA SHARES) - 71.0%

       

Canada - 0.0%

       

Multiperil - 0.0%

       

Awosting (Artex Segregated Account Company) (a)(f) (Cost: $357,919; Original Acquisition Date: 12/27/2013)

     112           95,965   
       

 

 

 

Global - 63.1%

       

Marine/Energy - 1.6%

       

Kauai (Artex Segregated Account Company) (a)(e)(f)(h) (Cost: $51,394,000; Acquisition Date: 01/07/2016)

     51,394           50,185,169   

Victoria (Artex Segregated Account Company) (a)(e)(f)(h) (Cost: $4,130,502; Original Acquisition Date: 01/30/2014)

     5,159           4,819,232   
       

 

 

 
          55,004,401   
       

 

 

 

Multiperil - 61.5%

       

Altair Re IV (a)(e)(f)(h) (Cost: $50,000,000; Original Acquisition Date: 01/04/2016)

     50,000           50,647,810   

Arenal (Artex Segregated Account Company) (a)(e)(f)(h) (Cost: $80,793,023; Original Acquisition Date: 05/07/2015)

     77,921                  89,226,728   

Axis Ventures Re Cell 0002 (a)(e)(f)(h) (Cost: $50,027,044; Original Acquisition Date: 08/29/2014)

     1,271,508           45,643,920   

Axis Ventures Re Cell 0003 (a)(e)(f)(h) (Cost: $32,044,220; Acquisition Date: 03/05/2015)

     412,329           25,799,836   

Axis Ventures Re Cell 0004 (a)(e)(f)(h) (Cost: $6,769,900; Acquisition Date: 07/02/2015)

     67,699           6,882,937   

Axis Ventures Re Cell 0005 (a)(e)(f)(h) (Cost: $42,000,000; Acquisition Date: 01/20/2016)

     420,000           43,642,234   

Axis Ventures Re Cell 0006 (a)(e)(f)(h) (Cost: $56,000,000; Acquisition Date: 06/28/2016)

     560,000           56,485,191   

Biscayne (Artex Segregated Account Company) (a)(e)(f) (Cost: $38,714,888; Original Acquisition Date: 04/30/2014)

     38,655           42,286,204   

Cardinal Re 2015-1 (a)(e)(f)(h) (Cost: $82,493,681; Original Acquisition Date: 07/29/2015)

     149           86,017,728   

Carlsbad (Artex Segregated Account Company) (a)(e)(f)(h) (Cost: $100; Acquisition Date: 04/01/2014)

     100           100   

Carlsbad 2 (Artex Segregated Account Company) (a)(e)(f) (Cost: $44,093,236; Original Acquisition Date: 04/28/2014)

     132,800           53,128,413   

Cumberland (Artex Segregated Account Company) (a)(e)(f)(h) (Cost: $20,906,812; Original Acquisition Date: 04/10/2015)

     20,626           26,936,881   

Decker (Artex Segregated Account Company) (a)(e)(f)(h) (Cost: $1,292,643; Acquisition Date: 12/26/2013)

     100           3,554,608   

Denali (Artex Segregated Account Company) (a)(e)(f)(h) (Cost: $63,579,339; Acquisition Date: 01/05/2015)

     75,060           77,573,762   

Emerald Lake (Artex Segregated Account Company) (a)(e)(f)(h) (Cost: $225,073,000; Acquisition Date: 12/16/2015)

     225,073           237,057,245   

Golden (a)(e)(f)(h) (Cost: $16,384,000; Acquisition Date: 07/06/2016)

     16,384           16,446,969   

Hatteras (Artex Segregated Account Company) (a)(e)(f) (Cost: $70,338,613; Original Acquisition Date: 12/30/2014)

     66,356           69,089,399   

Hilo (Artex Segregated Account Company) (a)(e)(f)(h) (Cost: $5,155,976; Acquisition Date: 06/09/2015)

     5,156           5,931,392   

Hudson Alexander (Mt. Logan Re) (a)(f) (Cost: $40,000,000; Acquisition Date: 01/02/2014)

     40,000           40,091,192   

Hudson Charles (Mt. Logan Re) (a)(f) (Cost: $30,000,000; Acquisition Date: 01/02/2014)

     30,000           30,979,095   

Hudson Charles 2 (Mt Logan Re) (a)(f) (Cost: $13,465,500; Acquisition Date: 04/02/2014)

     13,466           13,501,605   

Hudson Charles 3 (Mt Logan Re) (a)(f) (Cost: $14,650,000; Acquisition Date: 06/19/2014)

     14,650           14,734,876   

Hudson Paul (Mt. Logan Re) (a)(f) (Cost: $30,000,000; Acquisition Date: 01/02/2014)

     30,000           31,291,227   

Hudson Paul 3 (Mt Logan Re) (a)(f) (Cost: $8,465,500; Acquisition Date: 04/02/2014)

     8,466           8,530,180   

Kona (Artex Segregated Account Company) (a)(e)(f)(h) (Cost: $5,232,953; Acquisition Date: 07/23/2015)

     5,873           6,055,471   

Latigo (Artex Segregated Account Company) (a)(e)(f) (Cost: $88,823,064; Original Acquisition Date: 01/06/2014)

     358           108,692,907   

Leadville (Artex Segregated Account Company) (a)(e)(f)(h) (Cost: $22,019,000; Acquisition Date: 06/07/2016)

     22,019           22,434,637   

LRe 2015 (a)(e)(f) (Cost: $166,276; Acquisition Date: 03/31/2015)

     1,663           2,839,822   

LRe 2016 (a)(e)(f)(h) (Cost: $49,893,000; Original Acquisition Date: 03/31/2016)

     498,930           50,611,507   

Mackinac (Artex Segregated Account Company) (a)(e)(f)(h) (Cost: $21,535,218; Acquisition Date: 02/05/2015)

     22,136           28,280,091   

Minnewaska (Artex Segregated Account Company) (a)(e)(f)(h) (Cost: $23,713,352; Original Acquisition Date: 05/30/2014)

     21,079           29,145,201   

Mohonk (Artex Segregated Account Company) (a)(e)(f) (Cost: $76,592,050; Original Acquisition Date: 12/24/2013)

     102           75,501,525   

Mojave (Artex Segregated Account Company) (a)(f) (Cost: $37,500,000; Acquisition Date: 12/30/2014)

     37,500           38,379,022   

Mojave 2 (Mt. Logan Re) (a)(f)(h) (Cost: $25,000,000; Acquisition Date: 12/24/2015)

     25,000           25,586,015   

Mulholland (Artex Segregated Account Company) (a)(e)(f)(h) (Cost: $14,411,287; Original Acquisition Date: 12/26/2013)

     114           18,741,220   

Pranamar (a)(e)(f)(h) (Cost: $57,568,000; Acquisition Date: 07/07/2016)

     57,568           57,653,811   

Rainier (Mt. Logan Re) (a)(f)(h) (Cost: $15,000,000; Acquisition Date: 01/07/2016)

     15,000           14,901,334   

Revelstoke (Artex Segregated Account Company) (a)(e)(f)(h) (Cost: $14,476,459; Original Acquisition Date: 01/28/2015)

     15,350           15,483,534   

Rondout (Artex Segregated Account Company) (a)(e)(f) (Cost: $106,140,276; Original Acquisition Date: 06/19/2014)

     95,580           125,451,093   

Skytop (Artex Segregated Account Company) (a)(e)(f)(h) (Cost: $7,918,913; Acquisition Date: 01/09/2014)

     100           15,325,600   

SR0001 (Horseshoe Re) (a)(e)(f)(h) (Cost: $32,779,746; Original Acquisition Date: 07/10/2015)

     1,757           35,649,485   


                   
                   

SR0002 (Horseshoe Re) (a)(e)(f)(h) (Cost: $29,041,250; Acquisition Date: 12/30/2015)

          29,041,250           29,462,639   

SR0003 (Horseshoe Re) (a)(e)(f)(h) (Cost: $16,041,250; Acquisition Date: 12/30/2015)

     16,041,250           16,914,856   

SR0004 (Horseshoe Re) (a)(e)(f)(h) (Cost: $15,741,250; Acquisition Date: 12/30/2015)

     15,741,250           16,460,767   

Sugarloaf (Artex Segregated Account Company) (a)(e)(f)(h) (Cost: $19,288,000; Acquisition Date: 01/12/2016)

          19,288           19,930,121   

Tallgrass (Artex Segregated Account Company) (a)(f) (Cost: $37,500,000; Acquisition Date: 12/30/2014)

     37,500           37,093,417   

Turrialba (Artex Segregated Account Company) (a)(e)(f)(h) (Cost: $13,721,000; Original Acquisition Date: 03/31/2015)

     13,274           15,385,577   

Twin Lakes (Artex Segregated Account Company) (a)(e)(f)(h) (Cost: $49,532,000; Acquisition Date: 01/04/2016)

     49,532           51,833,577   

Yellowstone (Artex Segregated Account Company) (a)(e)(f)(h) (Cost: $2,078,580; Acquisition Date: 01/08/2014)

     100           8,660,290   

Yoho (Artex Segregated Account Company) (a)(e)(f)(h) (Cost: $97,577,000; Acquisition Date: 05/17/2016)

     97,577           99,258,537   
       

 

 

 
          2,041,211,588   
       

 

 

 
          2,096,215,989   
       

 

 

 

United States - 7.9%

       

Agriculture - 2.4%

       

Bayswater (Artex Segregated Account Company) (a)(e)(f)(h) (Cost: $4,288,755; Acquisition Date: 06/16/2014)

     26,899           7,628,165   

Demeter Re 2015 Class C (a)(e)(f)(h) (Cost: $20,966; Acquisition Date: 05/05/2015)

     45,000           911,259   

Demeter Re 2016 Class A (a)(e)(f)(h) (Cost: $20,000,000; Acquisition Date: 06/28/2016)

     200,000           20,065,401   

Demeter Re 2016 Class C (a)(e)(f)(h) (Cost: $3,000,000; Acquisition Date: 06/28/2016)

     30,000           3,003,706   

Hanalei (Artex Segregated Account Company) (a)(e)(f)(h) (Cost: $40,885,000; Acquisition Date: 06/22/2015)

     40,885           48,074,324   
       

 

 

 
          79,682,855   
       

 

 

 

Multiperil - 0.2%

       

SR0005 (Horseshoe Re) (a)(e)(f)(h) (Cost: $7,158,137; Acquisition Date: 04/15/2016)

     7,158,137           7,345,609   
       

 

 

 

Windstorm - 5.3%

       

Fescue (Mt. Logan Re) (a)(f) (Cost: $50,000,000; Acquisition Date: 06/11/2015)

     50,000           50,442,045   

Fescue 2 (Mt. Logan Re) (a)(f)(h) (Cost: $50,000,000; Acquisition Date: 03/30/2016)

     50,000           50,412,635   

Hermosa (Mt. Logan Re) (a)(f)(h) (Cost: $50,000,000; Acquisition Date: 04/29/2016)

     50,000           50,443,590   

Morningside (Artex Segregated Account Company) (a)(e)(f)(h) (Cost: $24,187,825; Acquisition Date: 06/12/2016)

     24,187,825           24,535,984   
       

 

 

 
          175,834,254   
       

 

 

 
          262,862,718   
       

 

 

 

TOTAL PREFERENCE SHARES (QUOTA SHARES) (Cost $2,247,610,913)

          2,359,174,672   
       

 

 

 

PRIVATE FUND UNITS- 3.2%

       

Global - 3.2%

       

Multiperil - 3.2%

       

Aeolus Property Catastrophe J15 Keystone Fund (a)(e)(f) (Cost: $1,260,123; Original Acquisition Date: 12/23/2014)

     1,260           1,455,939   

Aeolus Property Catastrophe J16 Keystone Fund (a)(e)(f)(h) (Cost: $52,875,903; Acquisition Date: 01/21/2016)

     52,876           55,652,821   

Aeolus Property Catastrophe MY15 Keystone Fund (a)(e)(f) (Cost: $5,559,766; Original Acquisition Date: 05/20/2015)

     5,560           6,169,411   

Aeolus Property Catastrophe MY16 Keystone Fund (a)(e)(f)(h) (Cost: $41,008,329; Acquisition Date: 06/14/2016)

     41,008           41,732,253   
       

 

 

 

TOTAL PRIVATE FUND UNITS (Cost $59,695,792)

          105,010,424   
       

 

 

 

SHORT-TERM INVESTMENTS - 3.0%

       

Money Market Funds - 3.0%

       

Fidelity Institutional Money Market Funds - Government Portfolio - Institutional Class - 0.25% (i)

     22,222,850           22,222,850   

First American Government Obligations Fund - Class Z - 0.23% (i)

     25,239,517           25,239,517   

First American Treasury Obligations Fund - Class Z - 0.22% (i)

     25,239,517           25,239,517   

Short-Term Investments Trust - Treasury Portfolio -
Institutional Class - 0.23% (i)

     25,239,517           25,239,517   
       

 

 

 

TOTAL SHORT-TERM INVESTMENTS (Cost $97,941,401)

          97,941,401   
       

 

 

 

TOTAL INVESTMENTS (Cost $3,136,670,184) - 100.0%

          3,319,271,577   
       

 

 

 

LIABILITIES IN EXCESS OF OTHER ASSETS - 0.0%

          (839,894
       

 

 

 

TOTAL NET ASSETS - 100.0%

        $ 3,318,431,683   
       

 

 

 

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 $3,217,071,599. Foreign concentration is as follows: Bermuda: 92.6%, Cayman Islands: 3.7%, Ireland: 0.5%, Supranational 0.1%.
(b) Variable rate security. The rate shown is as of July 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 July 31, 2016 was $602,702,422 which represented 18.2% 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 $2,268,112,247, which represents 68.3% of net assets.
(f) Security is restricted to resale. The aggregate value of these securities at July 31, 2016 was $2,618,627,754, which represents 78.9% of net assets.
(g) Security’s principal was returned in full so the fair value represents the expected future dividend receipt.
(h) Non-income producing security.
(i) Rate shown is the 7-day effective yield.

Open Futures Contracts    

 

     NUMBER OF             UNREALIZED  
     CONTRACTS      NOTIONAL      APPRECIATION  

DESCRIPTION

   SOLD      VALUE      (DEPRECIATION)  

FUTURES CONTRACTS SOLD

        

Australian Dollar, September 2016 Settlement

     365       $ 27,707,150       $ (876,719

Euro Fx, September 2016 Settlement

     200         28,003,750         527,847   

Swiss Franc, September 2016 Settlement

     79         10,223,588         11,189   

U.S. Treasury 5-Year Note, September 2016 Settlement

     24         2,928,375         (49,721
     

 

 

    

 

 

 

TOTAL FUTURES CONTRACTS SOLD

      $ 68,862,863       $ (387,404
     

 

 

    

 

 

 
     NUMBER OF                
     CONTRACTS      NOTIONAL      UNREALIZED  

DESCRIPTION

   PURCHASED      VALUE      DEPRECIATION  

FUTURES CONTRACTS PURCHASED

        

Canadian Dollar, September 2016 Settlement

     257       $ 19,708,045       $ (190,453
     

 

 

    

 

 

 

TOTAL FUTURES CONTRACTS PURCHASED

      $ 19,708,045       $ (190,453
     

 

 

    

 

 

 

The accompanying footnotes are an integral part of these Schedules of Investments.    


Written Options

 

DESCRIPTION

   NUMBER OF
CONTRACTS
     FAIR
VALUE
 

Call Options

     

ILW SWAP, Expires 12/31/2018, Strike Price $3 billion (a)

     1       $ 921,637   

TOTAL CALL OPTIONS

     

(Premiums Received $950,000)

        921,637   
     

 

 

 

TOTAL WRITTEN OPTION

     

(Premiums Received $950,000)

      $ 921,637   
     

 

 

 

 

(a) Security is fair valued by the Adviser pursuant to procedures approved by the Board of Trustees.

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


Excess Mortality Swaps    

 

COUNTERPARTY

  REFERENCE ENTITY   BUY/SELL
PROTECTION
  (PAY)/RECEIVE
FIXED RATES
  TERMINATION
DATE
  NOTIONAL
VALUE
    MAXIMUM
POTENTIAL
FUTURE
PAYMENT
    UPFRONT
PREMIUM
RECEIVED
    UNREALIZED
APPRECIATION
 

EXCESS MORTALITY SWAP SELL CONTRACTS

  

   

Hannover Re (a)

  Custom Mortality Index   Sell   1.00%   Dec 20 2020   $ 100,000,000      $ 100,000,000      $ —       $ 47,222   
               

 

 

 

TOTAL EXCESS MORTALITY SWAP SELL CONTRACTS

  

    $ 47,222   
         

 

 

 

 

(a) Security is fair valued by the Adviser pursuant to procedures approved by the Board of Trustees.

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


The cost basis of investments for federal income tax purposes at July 31, 2016 was as follows:

 

     Stone Ridge
Reinsurance Risk
Premium Interval
Fund
 

Cost of investments

   $ 3,136,670,184   
  

 

 

 

Gross unrealized appreciation

   $ 203,494,422   

Gross unrealized depreciation

     (20,893,029
  

 

 

 

Net unrealized appreciation

   $ 182,601,393   
  

 

 

 

 

* 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 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 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.

Short-term debt securities issued with a maturity of less than 60 days, including U.S. Treasury securities, are valued at amortized cost.

Other debt securities, including corporate and government debt securities (of U.S. or foreign issuers) and municipal debt securities in each case having a remaining maturity in excess of 60 days, loans, mortgage-backed securities, collateralized mortgage obligations, and other asset-backed securities (except event-linked bonds) are valued by an independent pricing service at an evaluated (or estimated) mean between the closing bid and asked prices.

Event-linked bonds are valued at the average firm bid provided by an external pricing service based on bids issued by established market makers and/or insurance companies (or, issued by one broker, insurance or reinsurance company, if only one quote is available). With respect to pricing of certain reinsurance- related event-linked or similar restricted securities for which at least one independent market-maker or two independent brokers regularly provide firm bids, the Fund will utilize an independent data delivery vendor to aggregate and provide this pricing data to the Administrator. If the independent data delivery vendor pricing service cannot obtain independent firm bids for such securities, but there is an independent market maker or independent brokers who will supply firm bids for such securities, then the Adviser may supply the Administrator with a contact from whom to obtain such bids. If, with respect to such securities, such independent firm bids are not available, but at least one independent firm or indicative bid is available, then the Adviser Valuation Committee may use that bid (or the average of those bids if more than one) as the value of the security if the Adviser Valuation Committee determines that such value is reasonable, and may consider internal and/or independent external models in making that determination.

Over-the-counter (“OTC”) options are valued based on quotations obtained from an independent pricing service or from a broker (typically the counterparty to the option).

If market quotations 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 a security or other asset. 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 July 31, 2016:

 

DESCRIPTION

   LEVEL 1      LEVEL 2      LEVEL 3      TOTAL  

Assets

           

Event-Linked Bonds

           

Australia

   $ —         $ —         $ 2,240,021       $ 2,240,021   

China

     —           —           2,926,342         2,926,342   

Global

     —           93,440,069         46,858,031         140,298,100   

Japan

     —           7,116,423         —           7,116,423   

United States

     —           278,860,790         2,219,284         281,080,074   
  

 

 

    

 

 

    

 

 

    

 

 

 

Total Event-Linked Bonds

     —           379,417,282         54,243,678         433,660,960   

Participation Notes (1)

     —           —           323,484,120         323,484,120   

Preference Shares (1)

     —           —           2,359,174,672         2,359,174,672   

Private Fund Units (1)

     —           —           105,010,424         105,010,424   

Money Market Funds

     97,941,401         —           —           97,941,401   
  

 

 

    

 

 

    

 

 

    

 

 

 

Total Assets

   $ 97,941,401       $ 379,417,282       $ 2,841,912,894       $ 3,319,271,577   
  

 

 

    

 

 

    

 

 

    

 

 

 

Liabilities

           

Written Options

   $ —         $ —         $ (921,637    $ (921,637
  

 

 

    

 

 

    

 

 

    

 

 

 

Total Liabilities

   $ —         $ —         $ (921,637    $ (921,637
  

 

 

    

 

 

    

 

 

    

 

 

 

Other Financial Instruments*

           

Unrealized appreciation on futures

   $ 539,036       $ —         $ —         $ 539,036   

Unrealized depreciation on futures

     (1,116,893      —           —           (1,116,893

Unrealized appreciation on swaps

     —           —           47,222         47,222   
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

   $ (577,857    $ —         $ 47,222       $ (530,635
  

 

 

    

 

 

    

 

 

    

 

 

 

 

* Other financial instruments are derivatives, such as futures and swaps. These instruments are reflected at the net unrealized appreciation (depreciation) on the instrument.
(1) For further security characteristics, see the Fund’s Consolidated Schedule of Investments.

Below is a reconciliation that details the activity of securities in Level 3 during the current period ended July 31, 2016:    

 

    Event-Linked Bonds     Participation Notes
(Quota Shares)
    Preference Shares
(Quota Shares)
    Private Fund Units     Written Options     Swap Contracts  

Beginning Balance - November 1, 2015

  $ 31,984,576      $ 284,548,010      $ 1,561,009,607      $ 139,185,229      $ —        $ —     

Acquisitions

    38,826,609        298,383,934        1,184,000,347        93,884,232        (950,000     —     

Dispositions

    (17,846,929     (243,519,394     (140,349,400     (129,467,647     —          —     

Realized gains/(losses)

    345,321        (487,545     (5,855,335     13,673,592        —          —     

Return of Capital

    —          (22,698,397     (259,938,849     —          —          —     

Change in unrealized appreciation (depreciation)

    934,101        7,257,512        20,308,302        (12,264,982     28,363        47,222   

Transfers in/(out) of Level 3

    —          —          —          —          —          —     
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Ending Balance - July 31, 2016

  $ 54,243,678      $ 323,484,120      $ 2,359,174,672      $ 105,010,424      $ (921,637   $ 47,222   
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

As of July 31, 2016, the change in unrealized appreciation (depreciation) on positions still held in the Fund was $954,749 for Event-linked Bonds, $8,005,696 for Participation Notes, $20,656,520 for Preference Shares, $(12,252,742) for Private Fund Units, $28,363 for Written Options, and $47,222 for Swaps Contracts.

Unobservable inputs included original transaction price, losses from severe weather events, other natural and non-natural catastrophes 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 losses related to severe weather, other natural and non-natural catastrophes in isolation would result in a significantly lower fair value measurement. A high amount of loss from severe weather, other natural or non-natural catastrophes 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 July 31, 2016:    

 

TYPE OF SECURITY   INDUSTRY   FAIR VALUE
AT 7/31/2016
    VALUATION
TECHNIQUES
  UNOBSERVABLE
INPUTS
  RANGE   WEIGHTED
AVERAGE

Event-Linked Bonds

  Financial Services   $ 2,240,021      Insurance industry
loss model
  Estimated losses:
Estimated premiums
earned:
 

$1.2MM-$1.2MM

 

$2.1MM-$2.1MM

  $1.2MM

 

$2.1MM

Participation Notes

  Financial Services   $ 208,169,328      Insurance industry
loss model
  Estimated losses:
Estimated premiums
earned:
 

$0.1MM-$12.6MM

 

$0.2MM-$24.2MM

  $6.8MM

 

$12.0MM

Preference Shares

  Financial Services   $ 1,952,692,474      Insurance industry
loss model
  Estimated losses:
Estimated premiums
earned:
 

$0.2MM-$37.9MM

 

$0.3MM-$43.2MM

  $5.9MM

 

$9.4MM

Private Fund Units

  Financial Services   $ 105,010,424      Insurance industry
loss model
  Estimated losses:
Estimated premiums
earned:
 

$0.1MM-$4.1MM

 

$0.2MM-$8.5MM

  $1.9MM

 

$4.7MM

Written Options

  Financial Services   $ (921,637   Insurance industry
loss model
  Estimated losses:
Estimated premiums
earned:
 

$0.6MM-$0.6MM

 

$1.0MM-$1.0MM

  $0.6MM

 

$1.0MM

Swap Contracts

  Financial Services   $ 47,222      Insurance industry
loss model
  Estimated losses:
Estimated premiums
earned:
 

$0.2MM-$0.2MM

 

$1.0MM-$1.0MM

  $0.2MM

 

$1.0MM

The level 3 securities not listed above were priced using an indicative bid and amount to $573,800,647.    

Derivative Transactions – The Fund engaged in derivatives and hedging activities during the period ended July 31, 2016. The use of derivatives included options, futures and swap contracts. Further information regarding derivative activity for the Fund can be found in the Consolidated Schedule of Investments.

Futures Contracts — The Fund may purchase and sell futures contracts and has held futures contracts during the period ended July 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. Variation margin is settled daily. 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 July 31, 2016, was $3,852,789 for long contracts and $68,475,337 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 July 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 upon exercise index options require cash payments and do not involve the actual purchase or sale of securities.


The average market value of written options for the period ended July 31, 2016, was $651,364.

Transactions in written options during the period ended July 31, 2016 were as follows:

 

OTC Options    Contracts      Premiums  

Outstanding, beginning of period

     —         $ —     

Options written

     3         3,228,739   

Options terminated in closing transactions

     —           —     

Options exercised

     —           —     

Options expired

     (2      (2,278,739
  

 

 

    

 

 

 

Outstanding, end of period

     1       $ 950,000   

Excess Mortality Swaps – The Fund may enter into excess mortality swaps in order to gain exposure to reinsurance-related risks tied to population mortality experience. In an excess mortality swap, the protection buyer pays periodic premiums in exchange for a potential payment from the seller of protection if the specified mortality index exceeds a set value during an agreed upon period. The average notional amount of excess mortality swaps during the period ended July 31, 2016 was $40,000,000 for contracts in which the Fund sold protection.

Consolidated Statement of Assets and Liabilities — Values of Derivatives at July 31, 2016    

 

     ASSET DERIVATIVES      LIABILITY DERIVATIVES  
     STATEMENT OF ASSETS AND
LIABILITIES LOCATION
   FAIR VALUE      STATEMENT OF ASSETS AND
LIABILITIES LOCATION
   FAIR VALUE  
   Net assets - Unrealized appreciation on futures*    $ 539,036       Net assets - Unrealized depreciation on futures*    $ 1,116,893   
     

 

 

       

 

 

 

Total

      $ 539,036          $ 1,116,893   
      $ —         Written options, at fair value    $ 921,637   
     

 

 

       

 

 

 

Total

      $ —            $ 921,637   
   Unrealized appreciation on open swap contracts**    $ 47,222          $ —     
     

 

 

       

 

 

 

Total

      $ 47,222          $ —     

 

* Reflects cumulative unrealized appreciation (depreciation) of futures contracts as reported in the Consolidated Schedule of Investments.    
** Reflects cumulative unrealized appreciation of swap contracts as reported in the Consolidated 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

  9/29/2016

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

  9/29/2016

 

By (Signature and Title)*

  /s/ Patrick Kelly
  Patrick Kelly, Treasurer

Date

  9/29/2016

 

* Print the name and title of each signing officer under his or her signature.