DELAWARE | 20-4897069 | |
(State or other jurisdiction of incorporation or organization) | (I.R.S. Employer Identification No.) |
Securities to be registered pursuant to Section | ||
Blended Strategies Portfolio: Units of Interests | ||
(Title of Class) |
Large accelerated filer ☐ | Accelerated filer ☐ | Non-accelerated filer ☐ | Smaller reporting company ☑ | Emerging Growth Company |
☐ |
Item 1: | BUSINESS |
(i) | General |
ii) | The Manager |
(iii) | The Trading Program |
(iv) | Use of Proceeds |
(i) | Advisory Fee |
(ii) | Sponsor Fee |
Period | Class 0 | Class 2 | ||||||
For the period from January 1, 2016 through March 31, 2017 | 0.75 | % | 2.75 | % | ||||
For the period from April 1, 2017 through June 30, 2017 | 0.75 | % | 1.50 | % | ||||
For the period from July 1, 2017 through December 31, 2017 | 0.50 | % | 1.25 | % |
Class 0 | Class 2 |
0.50% | 1.25% |
(iii) | Incentive Allocation |
a. | The value of unrealized |
b. | The value of any option listed or traded on any recognized foreign or U.S. exchange shall be the settlement price published by the principal exchange on which it is traded on the relevant Valuation Day. If the recognized foreign or U.S. exchange does not publish a settlement price, the value of any option shall be the last reported sale price on the relevant Valuation Day on the principal exchange on which such option is traded. If no such sale of such option was reported on that date, the market value shall be the average of the last reported bid and asked price. The market value of any over-the-counter option for which representative broker’s quotations are available shall be determined in like manner by reference to the last reported sale price, or, if none is available, to the average of the last reported bid and asked quotation. Premiums for the sale of such options written by the Fund shall be included in the assets of the portfolio, and the market value of such options shall be included as a liability. |
c. | The value of any U.S. government security shall be the cost of such security plus accrued interest, discount and amortization of premium. |
Item 1A: | RISK FACTORS |
Item 1B: | UNRESOLVED STAFF COMMENTS |
Item 2: | PROPERTIES |
Item 3: | LEGAL PROCEEDINGS |
Item 4: | MINE SAFETY DISCLOSURES |
Item 5: | MARKET FOR REGISTRANT’S COMMON EQUITY, RELATED STOCKHOLDER MATTERS AND ISSUER PURCHASES OF EQUITY SECURITIES |
(a) | Market information |
(b) | Holders |
(c) | Dividends |
(d) | Securities Authorized for Issuance under Equity Compensation Plans |
(e) | Performance Graph |
(f) | Recent Sales of Unregistered Securities |
Month beginning: | Blended Strategies Portfolio Class 0 Number of Units Purchased | Price of Blended Strategies Portfolio Class 0 Units Purchased | Blended Strategies Portfolio Class 2 Number of Units Purchased | Price of Blended Strategies Portfolio Class 2 Units Purchased | ||||||||||||
October 1, 2017 | 0.000 | $ | 138.81 | 0.000 | $ | 100.61 | ||||||||||
November 1, 2017 | 6,385.848 | $ | 140.33 | 0.000 | $ | 101.65 | ||||||||||
December 1, 2017 | 353.408 | $ | 141.90 | 976.366 | $ | 102.42 |
Month beginning: | Blended Strategies Portfolio Class 0 Number of Units Purchased | Price of Blended Strategies Portfolio Class 0 Units Purchased | Blended Strategies Portfolio Class 2 Number of Units Purchased | Price of Blended Strategies Portfolio Class 2 Units Purchased | |||||||||||
October 1, 2019 | 3,845.126 | $ | 153.25 | 1,309.997 | $ | 109.35 | |||||||||
November 1, 2019 | 1,439.954 | $ | 153.90 | - | $ | 109.74 | |||||||||
December 1, 2019 | 951.752 | $ | 152.04 | - | $ | 108.35 |
Item 6: | SELECTED FINANCIAL DATA |
Item 7: | MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS |
(a) | Management’s Discussion and Analysis of Financial Condition and Results of Operations |
(i) | Results of Operations |
Agriculture / Softs | $ | (263,764 | ) | |
Base Metals | (272,861 | ) | ||
Energy | (728,769 | ) | ||
Equities | 2,823,263 | |||
Foreign Exchange | (305,087 | ) | ||
Long Term / Intermediate Rates | 1,590,681 | |||
Precious Metals | 596,196 | |||
Short Term Rates | 655,201 | |||
$ | 4,094,860 |
Agriculture / Softs | (2.2 | )% | ||
Base Metals | (0.6 | )% | ||
Energy | 3.0 | % | ||
Equities | 1.5 | % | ||
Foreign Exchange | 4.3 | % | ||
Long Term / Intermediate Rates | (3.9 | )% | ||
Precious Metals | 36.0 | % | ||
Short Term Rates | 61.9 | % | ||
100.0 | % |
Agriculture / Softs | $ | (1,092,956 | ) | $ | (523,771 | ) | ||
Base Metals | 169,719 | (507,105 | ) | |||||
Energy | (1,568,578 | ) | 308,301 | |||||
Equities | 3,908,747 | (383,376 | ) | |||||
Foreign Exchange | (596,087 | ) | (467,397 | ) | ||||
Long Term / Intermediate Rates | (2,083,774 | ) | (360,806 | ) | ||||
Precious Metals | (425,524 | ) | (110,771 | ) | ||||
Short Term Rates | 164,081 | 1,136,736 | ||||||
$ | (1,524,372 | ) | $ | (908,189 | ) |
Agriculture / Softs | (15.9 | )% | ||
Base Metals | (17.1 | )% | ||
Energy | 11.3 | % | ||
Equities | 14.6 | % | ||
Foreign Exchange | 26.2 | % | ||
Long Term / Intermediate Rates | 17.4 | % | ||
Precious Metals | 24.7 | % | ||
Short Term Rates | 38.8 | % | ||
100.0 | % |
Agriculture / Softs | $ | 1,048,011 | ||
Base Metals | (2,460,508 | ) | ||
Energy | (794,356 | ) | ||
Equities | (1,067,204 | ) | ||
Foreign Exchange | 1,526,527 | |||
Long Term / Intermediate Rates | 1,994,423 | |||
Precious Metals | 775,132 | |||
Short Term Rates | 772,785 | |||
$ | 1,794,810 |
(ii) | Liquidity |
(iii) | Capital Resources |
(iv) | Critical Accounting Policies |
(v) | Off-Balance Sheet Arrangements |
Item 7A: | QUANTITATIVE AND QUALITATIVE DISCLOSURE ABOUT MARKET RISK |
Item 8: | FINANCIAL STATEMENTS AND SUPPLEMENTARY DATA |
Financial Statements Graham Alternative Investment Fund I LLC | |
Blended Strategies Portfolio | |
Years | |
2018 with Report of Independent Registered Public Accounting Firm |
By: | Graham Capital Management, L.P., as Sole Manager | ||
By: | |||
George Schrade | |||
Chief Financial Officer | |||
March |
Report of Independent Registered Public Accounting Firm | |
Statements of Financial Condition | |
33 | |
Statements of Operations | 34 |
Statements of Changes in Members’ Capital | |
Statements of Cash Flows | |
Notes to Financial Statements |
December 31, | December 31, | |||||||||||||||
2017 | 2016 | 2019 | 2018 | |||||||||||||
Assets | ||||||||||||||||
Investment in Graham Alternative Investment Trading LLC, at fair value | $ | 42,232,939 | $ | 72,903,383 | $ | 26,882,563 | $ | 31,314,964 | ||||||||
Redemption receivable from Graham Alternative Investment Trading LLC | 265,369 | 1,207,986 | ||||||||||||||
Redemptions receivable from Graham Alternative Investment Trading LLC | 144,707 | 337,111 | ||||||||||||||
Total assets | $ | 42,498,308 | $ | 74,111,369 | $ | 27,027,270 | $ | 31,652,075 | ||||||||
Liabilities and members’ capital | ||||||||||||||||
Liabilities: | ||||||||||||||||
Accrued redemptions | $ | 265,369 | $ | 1,207,986 | ||||||||||||
Redemptions payable | $ | 144,707 | $ | 337,111 | ||||||||||||
Total liabilities | 265,369 | 1,207,986 | 144,707 | 337,111 | ||||||||||||
Members’ capital: | ||||||||||||||||
Class 0 Units (167,183.591 and 331,592.087 units issued and outstanding at $140.90 and $146.92, respectively) | 23,556,805 | 48,718,754 | ||||||||||||||
Class 2 Units (183,209.822 and 225,124.868 units issued and outstanding at $101.94 and $107.43, respectively) | 18,676,134 | 24,184,629 | ||||||||||||||
Class 0 Units (103,946.549 and 137,453.802 units issued and outstanding at $152.04 and $133.70, respectively) | 15,804,368 | 18,378,136 | ||||||||||||||
Class 2 Units (102,244.827 and 134,750.838 units issued and outstanding at $108.35 and $96.01, respectively) | 11,078,195 | 12,936,828 | ||||||||||||||
Total members’ capital | 42,232,939 | 72,903,383 | 26,882,563 | 31,314,964 | ||||||||||||
Total liabilities and members’ capital | $ | 42,498,308 | $ | 74,111,369 | $ | 27,027,270 | $ | 31,652,075 |
Years ended December 31, | Years Ended December 31, | |||||||||||||||
2017 | 2016 | 2019 | 2018 | |||||||||||||
Net (loss) gain allocated from investment in Graham Alternative Investment Trading LLC | ||||||||||||||||
Net realized (loss) gain on investments | $ | (1,663,254 | ) | $ | 1,107,650 | |||||||||||
Net increase in unrealized appreciation on investments | 138,882 | 687,160 | ||||||||||||||
Net gain (loss) allocated from investment in Graham Alternative Investment Trading LLC: | ||||||||||||||||
Net realized gain (loss) on investment | $ | 4,461,361 | $ | (234,618 | ) | |||||||||||
Net decrease in unrealized appreciation on investment | (366,501 | ) | (673,571 | ) | ||||||||||||
Brokerage commissions and fees | (359,595 | ) | (468,083 | ) | (222,862 | ) | (275,290 | ) | ||||||||
Net (loss) gain allocated from investment in Graham Alternative Investment Trading LLC | (1,883,967 | ) | 1,326,727 | |||||||||||||
Net gain (loss) allocated from investment in Graham Alternative Investment Trading LLC | 3,871,998 | (1,183,479 | ) | |||||||||||||
Net investment loss allocated from investment in Graham Alternative Investment Trading LLC | ||||||||||||||||
Investment income | ||||||||||||||||
Net investment loss allocated from investment in Graham Alternative Investment Trading LLC: | ||||||||||||||||
Investment income: | ||||||||||||||||
Interest income | 514,250 | 368,746 | 570,153 | 600,228 | ||||||||||||
Expenses | ||||||||||||||||
Expenses: | ||||||||||||||||
Advisory fees | 1,004,481 | 1,388,718 | 435,127 | 574,952 | ||||||||||||
Sponsor fees | 620,543 | 1,102,687 | 234,265 | 321,383 | ||||||||||||
Professional fees and other | 203,546 | 207,179 | 181,804 | 203,041 | ||||||||||||
Administrator’s fees | 81,350 | 103,331 | 37,873 | 49,854 | ||||||||||||
Interest expense | 6,246 | - | ||||||||||||||
Incentive allocation | - | - | 187 | - | ||||||||||||
Total expenses | 1,909,920 | 2,801,915 | 895,502 | 1,149,230 | ||||||||||||
Net investment loss allocated from investment in Graham Alternative Investment Trading LLC | (1,395,670 | ) | (2,433,169 | ) | (325,349 | ) | (549,002 | ) | ||||||||
Net loss | $ | (3,279,637 | ) | $ | (1,106,442 | ) | ||||||||||
Net income (loss) | $ | 3,546,649 | $ | (1,732,481 | ) |
Class 0 Units | Class 2 Units | Total Members’ Capital | Class 0 Units | Class 2 Units | ||||||||||||||||||||||||||||||||||||
Units | Capital | Units | Capital | Units | Capital | Units | Capital | Total Members’ Capital | ||||||||||||||||||||||||||||||||
Members’ capital, December 31, 2015 | 400,877.751 | $ | 59,064,584 | 244,435.571 | $ | 26,866,727 | $ | 85,931,311 | ||||||||||||||||||||||||||||||||
Members’ capital, December 31, 2017 | 167,183.591 | $ | 23,556,805 | 183,209.822 | $ | 18,676,134 | $ | 42,232,939 | ||||||||||||||||||||||||||||||||
Subscriptions | 4,318.522 | 620,000 | 9,922.534 | 1,046,739 | 1,666,739 | 1,966.934 | 275,000 | 974.513 | 100,000 | 375,000 | ||||||||||||||||||||||||||||||
Redemptions | (73,604.186 | ) | (10,502,194 | ) | (29,233.237 | ) | (3,086,031 | ) | (13,588,225 | ) | (31,696.723 | ) | (4,588,394 | ) | (49,433.497 | ) | (4,972,100 | ) | (9,560,494 | ) | ||||||||||||||||||||
Net loss | – | (463,636 | ) | – | (642,806 | ) | (1,106,442 | ) | – | (865,275 | ) | – | (867,206 | ) | (1,732,481 | ) | ||||||||||||||||||||||||
Members’ capital, December 31, 2016 | 331,592.087 | 48,718,754 | 225,124.868 | 24,184,629 | 72,903,383 | |||||||||||||||||||||||||||||||||||
Members’ capital, December 31, 2018 | 137,453.802 | 18,378,136 | 134,750.838 | 12,936,828 | 31,314,964 | |||||||||||||||||||||||||||||||||||
Subscriptions | 20,167.169 | 2,888,637 | 3,356.742 | 350,000 | 3,238,637 | 1,499.645 | 200,000 | – | – | 200,000 | ||||||||||||||||||||||||||||||
Redemptions | (184,575.665 | ) | (25,976,272 | ) | (45,271.788 | ) | (4,653,172 | ) | (30,629,444 | ) | (35,006.898 | ) | (4,901,470 | ) | (32,506.011 | ) | (3,277,580 | ) | (8,179,050 | ) | ||||||||||||||||||||
Net loss | – | (2,074,314 | ) | – | (1,205,323 | ) | (3,279,637 | ) | ||||||||||||||||||||||||||||||||
Members’ capital, December 31, 2017 | 167,183.591 | $ | 23,556,805 | 183,209.822 | $ | 18,676,134 | $ | 42,232,939 | ||||||||||||||||||||||||||||||||
Net income | – | 2,127,702 | – | 1,418,947 | 3,546,649 | |||||||||||||||||||||||||||||||||||
Members’ capital, December 31, 2019 | 103,946.549 | $ | 15,804,368 | 102,244.827 | $ | 11,078,195 | $ | 26,882,563 |
Years Ended December 31, | Years Ended December 31, | |||||||||||||||
2017 | 2016 | 2019 | 2018 | |||||||||||||
Cash flows provided by operating activities | ||||||||||||||||
Net loss | $ | (3,279,637 | ) | $ | (1,106,442 | ) | ||||||||||
Adjustments to reconcile net loss to net cash provided by operating activities: | ||||||||||||||||
Net loss allocated from investment in Graham Alternative Investment Trading LLC | 3,279,637 | 1,106,442 | ||||||||||||||
Proceeds from sale of investments in Graham Alternative Investment Trading LLC | 31,572,061 | 15,318,961 | ||||||||||||||
Investments in Graham Alternative Investment Trading LLC | (3,238,637 | ) | (1,666,739 | ) | ||||||||||||
Net income (loss) | $ | 3,546,649 | $ | (1,732,481 | ) | |||||||||||
Adjustments to reconcile net income (loss) to net cash provided by operating activities: | ||||||||||||||||
Net (income) loss allocated from investment in Graham Alternative Investment Trading LLC | (3,546,649 | ) | 1,732,481 | |||||||||||||
Proceeds from sale of investment in Graham Alternative Investment Trading LLC | 8,371,454 | 9,488,752 | ||||||||||||||
Purchases of investment in Graham Alternative Investment Trading LLC | (200,000 | ) | (375,000 | ) | ||||||||||||
Net cash provided by operating activities | 28,333,424 | 13,652,222 | 8,171,454 | 9,113,752 | ||||||||||||
Cash flows used in financing activities | ||||||||||||||||
Subscriptions | 3,238,637 | 1,666,739 | 200,000 | 375,000 | ||||||||||||
Redemptions | (31,572,061 | ) | (15,318,961 | ) | (8,371,454 | ) | (9,488,752 | ) | ||||||||
Net cash used in financing activities | (28,333,424 | ) | (13,652,222 | ) | (8,171,454 | ) | (9,113,752 | ) | ||||||||
Net change in cash and cash equivalents | – | – | – | – | ||||||||||||
Cash and cash equivalents, beginning of year | – | – | – | – | ||||||||||||
Cash and cash equivalents, end of year | $ | – | $ | – | $ | – | $ | – |
Class 0 | Class 2 |
�� | |
0.50% | 1.25% |
Period | Class 0 | Class 2 | ||||||
For the period from January 1, 2016 through March 31, 2017 | 0.75 | % | 2.75 | % | ||||
For the period from April 1, 2017 through June 30, 2017 | 0.75 | % | 1.50 | % | ||||
For the period from July 1, 2017 through December 31, 2017 | 0.50 | % | 1.25 | % |
Class 0 | Class 2 | Class 0 | Class 2 | |||||||||||||
Per unit operating performance | ||||||||||||||||
Net asset value per unit, December 31, 2015 | $ | 147.34 | $ | 109.91 | ||||||||||||
Net loss: | ||||||||||||||||
Net investment loss | (3.52 | ) | (4.74 | ) | ||||||||||||
Net gain on investments | 3.10 | 2.26 | ||||||||||||||
Net loss | (0.42 | ) | (2.48 | ) | ||||||||||||
Net asset value per unit, December 31, 2016 | 146.92 | 107.43 | ||||||||||||||
Net asset value per Unit, December 31, 2017 | $ | 140.90 | $ | 101.94 | ||||||||||||
Net loss: | ||||||||||||||||
Net investment loss | (2.82 | ) | (3.08 | ) | (1.57 | ) | (1.91 | ) | ||||||||
Net loss on investments | (3.20 | ) | (2.41 | ) | (5.63 | ) | (4.02 | ) | ||||||||
Net loss | (6.02 | ) | (5.49 | ) | (7.20 | ) | (5.93 | ) | ||||||||
Net asset value per unit, December 31, 2017 | $ | 140.90 | $ | 101.94 | ||||||||||||
Net asset value per Unit, December 31, 2018 | 133.70 | 96.01 | ||||||||||||||
Net income: | ||||||||||||||||
Net investment loss | (1.18 | ) | (1.63 | ) | ||||||||||||
Net gain on investments | 19.52 | 13.97 | ||||||||||||||
Net income | 18.34 | 12.34 | ||||||||||||||
Net asset value per Unit, December 31, 2019 | $ | 152.04 | $ | 108.35 |
Class 0 | Class 2 | |||||||||||||||
2017 | 2016 | 2017 | 2016 | |||||||||||||
Total return before Incentive Allocation | (4.10 | )% | (0.29 | )% | (5.11 | )% | (2.26 | )% | ||||||||
Incentive Allocation | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||
Total return after Incentive Allocation | (4.10 | )% | (0.29 | )% | (5.11 | )% | (2.26 | )% | ||||||||
Net investment loss before Incentive Allocation | (1.99 | )% | (2.45 | )% | (2.99 | )% | (4.47 | )% | ||||||||
Incentive Allocation | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||
Net investment loss after Incentive Allocation | (1.99 | )% | (2.45 | )% | (2.99 | )% | (4.47 | )% | ||||||||
Total expenses before Incentive Allocation | 2.85 | % | 2.93 | % | 3.85 | % | 4.95 | % | ||||||||
Incentive Allocation | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||
Total expenses after Incentive Allocation | 2.85 | % | 2.93 | % | 3.85 | % | 4.95 | % |
Class 0 | Class 2 | |||||||||||||||
2019 | 2018 | 2019 | 2018 | |||||||||||||
Total return before Incentive Allocation | 13.72% | (5.11)% | 12.86% | (5.82)% | ||||||||||||
Incentive Allocation | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||
Total return after Incentive Allocation | 13.72% | (5.11)% | 12.86% | (5.82)% | ||||||||||||
Net investment loss before Incentive Allocation | (0.83)% | (1.11)% | (1.59)% | (1.87)% | ||||||||||||
Incentive Allocation | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||
Net investment loss after Incentive Allocation | (0.83)% | (1.11)% | (1.59)% | (1.87)% | ||||||||||||
Total expenses before Incentive Allocation | 2.83% | 2.69% | 3.59% | 3.46% | ||||||||||||
Incentive Allocation | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||
Total expenses after Incentive Allocation | 2.83% | 2.69% | 3.59% | 3.46% |
Financial Statements Graham Alternative Investment Trading LLC | |
Years | |
2018 with Report of Independent Registered Public Accounting Firm |
By: | Graham Capital Management, L.P., as Sole Manager | ||
By: | |||
George Schrade | |||
Chief Financial Officer | |||
March |
Report of Independent Registered Public Accounting Firm | |
Statements of Financial Condition | |
Condensed Schedules of Investments | |
Statements of Operations and Incentive Allocation | |
Statements of Changes in Members’ Capital | |
Statements of Cash Flows | |
Notes to Financial Statements |
December 31, | ||||||||
2017 | 2016 | |||||||
Assets | ||||||||
Investments in Master Funds, at fair value | $ | 7,809,515 | $ | 16,404,782 | ||||
Investment in Graham Cash Assets LLC, at fair value | 73,474,604 | 123,316,812 | ||||||
Receivable from Master Funds | 101 | 45 | ||||||
Total assets | $ | 81,284,220 | $ | 139,721,639 | ||||
Liabilities and members’ capital | ||||||||
Liabilities: | ||||||||
Accrued redemptions | $ | 367,689 | $ | 1,570,542 | ||||
Accrued professional fees | 171,603 | 184,381 | ||||||
Accrued advisory fees | 101,840 | 205,048 | ||||||
Accrued sponsor fees | 54,975 | 158,099 | ||||||
Accrued administrator’s fee | 9,041 | 13,455 | ||||||
Payable to Master Funds | - | 85 | ||||||
Total liabilities | 705,148 | 2,131,610 | ||||||
Members’ capital: | ||||||||
Class 0 Units (331,577.130 and 650,889.077 units issued and outstanding at $140.90 and $146.92 per unit, respectively) | 46,720,480 | 95,631,060 | ||||||
Class 2 Units (320,722.151 and 379,525.982 units issued and outstanding at $101.94 and $107.43 per unit, respectively) | 32,693,924 | 40,771,563 | ||||||
Class M Units (4,671.470 units issued and outstanding at $249.32 and $254.18 per unit, respectively) | 1,164,668 | 1,187,406 | ||||||
Total members’ capital | 80,579,072 | 137,590,029 | ||||||
Total liabilities and members’ capital | $ | 81,284,220 | $ | 139,721,639 |
December 31, | ||||||||
2019 | 2018 | |||||||
Investments in Master Funds, at fair value | $ | 7,251,243 | $ | 5,730,163 | ||||
Investment in Graham Cash Assets LLC, at fair value | 48,977,607 | 55,501,064 | ||||||
Receivable from Master Funds | 167 | 43 | ||||||
Total assets | $ | 56,229,017 | $ | 61,231,270 | ||||
Liabilities and members’ capital | ||||||||
Liabilities: | ||||||||
Redemptions payable | $ | 386,119 | $ | 520,046 | ||||
Accrued professional fees | 195,023 | 165,656 | ||||||
Accrued advisory fees | 69,712 | 76,351 | ||||||
Accrued sponsor fees | 37,281 | 41,055 | ||||||
Accrued administrator’s fees | 6,032 | 6,870 | ||||||
Payable to Master Funds | 195 | 68 | ||||||
Total liabilities | 694,362 | 810,046 | ||||||
Members’ capital: | ||||||||
Class 0 Units (213,162.414 and 263,114.613 units issued and outstanding at $152.04 and $133.70 per unit, respectively) | 32,409,897 | 35,179,498 | ||||||
Class 2 Units (201,355.180 and 251,175.400 units issued and outstanding at $108.35 and $96.01 per unit, respectively) | 21,816,766 | 24,114,225 | ||||||
Class M Units (4,671.470 units issued and outstanding at $279.99 and $241.36 per unit, respectively) | 1,307,992 | 1,127,501 | ||||||
Total members’ capital | 55,534,655 | 60,421,224 | ||||||
Total liabilities and members’ capital | $ | 56,229,017 | $ | 61,231,270 |
Description | December 31, 2017 | December 31, 2016 | ||||||||||||||
Fair Value | Percentage of Members’ Capital | Fair Value | Percentage of Members’ Capital | |||||||||||||
Investments in Master Funds, at fair value | ||||||||||||||||
Graham Commodity Strategies LLC | $ | 3,235,547 | 4.01 | % | $ | 7,580,654 | 5.51 | % | ||||||||
Graham K4D Trading Ltd. | 4,573,968 | 5.68 | % | 8,824,128 | 6.41 | % | ||||||||||
Total investments in Master Funds | $ | 7,809,515 | 9.69 | % | $ | 16,404,782 | 11.92 | % |
Years Ended December 31, | ||||||||
2017 | 2016 | |||||||
Net (loss) gain allocated from investments in Master Funds | ||||||||
Net realized (loss) gain on investments | $ | (3,168,433 | ) | $ | 1,916,316 | |||
Net increase in unrealized appreciation on investments | 287,917 | 1,448,462 | ||||||
Brokerage commissions and fees | (661,183 | ) | (880,900 | ) | ||||
Net (loss) gain allocated from investments in Master Funds | (3,541,699 | ) | 2,483,878 | |||||
Net investment income (loss) allocated from investments in Master Funds | 87,838 | (19,203 | ) | |||||
Investment income | ||||||||
Interest income | 859,221 | 712,063 | ||||||
Total investment income | 859,221 | 712,063 | ||||||
Expenses | ||||||||
Advisory fees | 1,827,525 | 2,592,751 | ||||||
Sponsor fees | 1,103,331 | 1,977,590 | ||||||
Professional fees and other | 373,889 | 387,737 | ||||||
Administrator’s fees | 149,581 | 194,581 | ||||||
Total expenses | 3,454,326 | 5,152,659 | ||||||
Net investment loss of the Fund | (2,595,105 | ) | (4,440,596 | ) | ||||
Net loss | (6,048,966 | ) | (1,975,921 | ) | ||||
Incentive allocation | - | - | ||||||
Net loss available for pro-rata allocation to all members | $ | (6,048,966 | ) | $ | (1,975,921 | ) |
December 31, 2019 | December 31, 2018 | |||||||||||||||
Description | Fair Value | Percentage of Members’ Capital | Fair Value | Percentage of Members’ Capital | ||||||||||||
Investments in Master Funds, at fair value | ||||||||||||||||
Graham Commodity Strategies LLC | $ | 3,714,431 | 6.69% | $ | 2,439,800 | 4.03% | ||||||||||
Graham K4D Trading Ltd. | 3,536,812 | 6.37% | 3,290,363 | 5.45% | ||||||||||||
Total investments in Master Funds | $ | 7,251,243 | 13.06% | $ | 5,730,163 | 9.48% |
Years Ended December 31, | ||||||||
2019 | 2018 | |||||||
Net gain (loss) allocated from investments in Master Funds: | ||||||||
Net realized gain (loss) on investments | $ | 9,119,953 | $ | (503,880 | ) | |||
Net decrease in unrealized appreciation on investments | (797,770 | ) | (1,345,077 | ) | ||||
Brokerage commissions and fees | (449,698 | ) | (534,701 | ) | ||||
Net gain (loss) allocated from investments in Master Funds | 7,872,485 | (2,383,658 | ) | |||||
Net investment income allocated from investments in Master Funds | 96,481 | 106,205 | ||||||
Investment income: | ||||||||
Interest income | 1,052,923 | 1,059,277 | ||||||
Total investment income | 1,052,923 | 1,059,277 | ||||||
Expenses: | ||||||||
Advisory fees | 859,146 | 1,098,714 | ||||||
Sponsor fees | 458,417 | 594,359 | ||||||
368,022 | 381,833 | |||||||
Administrator’s fees | 76,344 | 96,803 | ||||||
Interest expense | 12,598 | 12,287 | ||||||
Total expenses | 1,774,527 | 2,183,996 | ||||||
Net investment loss of the Fund | (721,604 | ) | (1,124,719 | ) | ||||
Net income (loss) | 7,247,362 | (3,402,172 | ) | |||||
Incentive allocation | (187 | ) | - | |||||
Net income (loss) available for pro-rata allocation to all members | $ | 7,247,175 | $ | (3,402,172 | ) |
Class 0 | Class 2 | Class M | Total Capital | Class 0 | Class 2 | Class M | Total | |||||||||||||||||||||||||||||||||||||||||||||||||
Units | Capital | Units | Capital | Units | Capital | Units | Capital | Units | Capital | Units | Capital | Capital | ||||||||||||||||||||||||||||||||||||||||||||
Members’ capital, December 31, 2015 | 791,620.850 | $ | 116,635,944 | 415,606.489 | $ | 45,680,694 | 4,671.470 | $ | 1,161,324 | $ | 163,477,962 | |||||||||||||||||||||||||||||||||||||||||||||
Subscriptions | 60,400.008 | 8,435,000 | 15,622.922 | 1,658,239 | – | – | 10,093,239 | |||||||||||||||||||||||||||||||||||||||||||||||||
Redemptions | (201,131.781 | ) | (28,560,069 | ) | (51,703.429 | ) | (5,445,182 | ) | – | – | (34,005,251 | ) | ||||||||||||||||||||||||||||||||||||||||||||
Incentive allocation | – | – | – | – | – | – | – | |||||||||||||||||||||||||||||||||||||||||||||||||
Net income (loss) | – | (879,815 | ) | – | (1,122,188 | ) | – | 26,082 | (1,975,921 | ) | ||||||||||||||||||||||||||||||||||||||||||||||
Members’ capital, December 31, 2016 | 650,889.077 | 95,631,060 | 379,525.982 | 40,771,563 | 4,671.470 | 1,187,406 | 137,590,029 | |||||||||||||||||||||||||||||||||||||||||||||||||
331,577.130 | $ | 46,720,480 | 320,722.151 | $ | 32,693,924 | 4,671.470 | $ | 1,164,668 | $ | 80,579,072 | ||||||||||||||||||||||||||||||||||||||||||||||
Subscriptions | 22,311.608 | 3,197,637 | 6,175.457 | 640,000 | – | – | 3,837,637 | 1,966.934 | 275,000 | 974.513 | 100,000 | – | – | 375,000 | ||||||||||||||||||||||||||||||||||||||||||
Redemptions | (341,623.555 | ) | (48,128,656 | ) | (64,979.288 | ) | (6,670,972 | ) | – | – | (54,799,628 | ) | (70,429.451 | ) | (10,011,338 | ) | (70,521.264 | ) | (7,119,338 | ) | – | – | (17,130,676 | ) | ||||||||||||||||||||||||||||||||
Incentive allocation | – | – | – | – | – | – | – | – | – | – | – | – | – | – | ||||||||||||||||||||||||||||||||||||||||||
Net loss | – | (3,979,561 | ) | – | (2,046,667 | ) | – | (22,738 | ) | (6,048,966 | ) | – | (1,804,644 | ) | – | (1,560,361 | ) | – | (37,167 | ) | (3,402,172 | ) | ||||||||||||||||||||||||||||||||||
Members’ capital, December 31, 2017 | 331,577.130 | $ | 46,720,480 | 320,722.151 | $ | 32,693,924 | 4,671.470 | $ | 1,164,668 | $ | 80,579,072 | |||||||||||||||||||||||||||||||||||||||||||||
Members’ capital, December 31, 2018 | 263,114.613 | 35,179,498 | 251,175.400 | 24,114,225 | 4,671.470 | 1,127,501 | 60,421,224 | |||||||||||||||||||||||||||||||||||||||||||||||||
Subscriptions | 3,755.988 | 500,000 | 775.525 | 73,500 | – | – | 573,500 | |||||||||||||||||||||||||||||||||||||||||||||||||
Redemptions | (53,708.187 | ) | (7,610,164 | ) | (50,595.745 | ) | (5,097,080 | ) | – | (187 | ) | (12,707,431 | ) | |||||||||||||||||||||||||||||||||||||||||||
Incentive allocation | – | (187 | ) | – | – | – | 187 | – | ||||||||||||||||||||||||||||||||||||||||||||||||
Net income | – | 4,340,750 | – | 2,726,121 | – | 180,491 | 7,247,362 | |||||||||||||||||||||||||||||||||||||||||||||||||
Members’ capital, December 31, 2019 | 213,162.414 | $ | 32,409,897 | 201,355.180 | $ | 21,816,766 | 4,671.470 | $ | 1,307,992 | $ | 55,534,655 |
Years Ended December 31, | Years Ended December 31, | |||||||||||||||
2017 | 2016 | 2019 | 2018 | |||||||||||||
Cash flows provided by operating activities | ||||||||||||||||
Net loss | $ | (6,048,966 | ) | $ | (1,975,921 | ) | ||||||||||
Adjustments to reconcile net loss to net cash provided by operating activities: | ||||||||||||||||
Net loss (income) allocated from investments in Master Funds | 3,453,861 | (2,464,675 | ) | |||||||||||||
Net income allocated from investment in Graham Cash Assets LLC | (859,221 | ) | (712,063 | ) | ||||||||||||
$ | 7,247,362 | $ | (3,402,172 | ) | ||||||||||||
Adjustments to reconcile net income (loss) to net cash provided by operating activities: | ||||||||||||||||
Net (income) loss allocated from investments in Master Funds | (7,968,966 | ) | 2,277,453 | |||||||||||||
Net (income) allocated from investment in Graham Cash Assets LLC | (1,052,923 | ) | (1,059,277 | ) | ||||||||||||
Proceeds from sale of investments in Master Funds | 110,380,663 | 134,987,628 | 67,523,881 | 81,122,724 | ||||||||||||
Proceeds from sale of investments in Graham Cash Assets LLC | 139,927,540 | 133,838,408 | 58,936,560 | 76,894,719 | ||||||||||||
Investments in Master Funds | (105,239,398 | ) | (131,431,124 | ) | ||||||||||||
Investments in Graham Cash Assets LLC | (89,226,111 | ) | (105,911,104 | ) | ||||||||||||
Purchase of investments in Master Funds | (61,075,992 | ) | (81,320,699 | ) | ||||||||||||
Purchase of investments in Graham Cash Assets LLC | (51,360,180 | ) | (57,861,902 | ) | ||||||||||||
Changes in assets and liabilities: | ||||||||||||||||
Decrease in accrued advisory fees | (103,208 | ) | (42,838 | ) | (6,639 | ) | (25,489 | ) | ||||||||
Decrease in accrued sponsor fees | (103,124 | ) | (26,412 | ) | (3,774 | ) | (13,920 | ) | ||||||||
(Decrease) increase in accrued professional fees | (12,778 | ) | 117,131 | |||||||||||||
Decrease in accrued administrator’s fee | (4,414 | ) | (6,292 | ) | ||||||||||||
Increase (decrease) in accrued professional fees | 29,367 | (5,947 | ) | |||||||||||||
Decrease in accrued administrator’s fees | (838 | ) | (2,171 | ) | ||||||||||||
Net cash provided by operating activities | 52,164,844 | 26,372,738 | 12,267,858 | 16,603,319 | ||||||||||||
Cash flows used in financing activities | ||||||||||||||||
Subscriptions | 3,837,637 | 10,093,239 | 573,500 | 375,000 | ||||||||||||
Redemptions | (56,002,481 | ) | (36,465,977 | ) | (12,841,358 | ) | (16,978,319 | ) | ||||||||
Net cash used in financing activities | (52,164,844 | ) | (26,372,738 | ) | (12,267,858 | ) | (16,603,319 | ) | ||||||||
Net change in cash and cash equivalents | – | – | – | – | ||||||||||||
Cash and cash equivalents, beginning of year | – | – | – | – | ||||||||||||
Cash and cash equivalents, end of year | $ | – | $ | – | $ | – | $ | – | ||||||||
Supplemental cash flow information | ||||||||||||||||
Interest paid | $ | 12,598 | $ | 12,287 |
Graham Alternative Investment Trading LLC
Notes to Financial Statements
December 31, 2017
Graham Alternative Investment Trading LLC
Notes to Financial Statements (continued)
Graham Alternative Investment Trading LLC
Notes to Financial Statements (continued)
Graham Alternative Investment Trading LLC
Notes to Financial Statements (continued)
Graham Alternative Investment Trading LLC
Notes to Financial Statements (continued)
Graham Alternative Investment Trading LLC
Notes to Financial Statements (continued)
Graham Alternative Investment Trading LLC
Notes to Financial Statements (continued)
Graham Alternative Investment Trading LLC
Notes to Financial Statements (continued)
December 31, 2017 | ||||||||||||||||||||||||
Investment – Objective | Percent of Members’ Capital | Fair Value | Net Income (Loss) | Percent of Members’ Capital | Fair Value | Net Income | ||||||||||||||||||
Global Macro Funds | ||||||||||||||||||||||||
Graham Commodity Strategies LLC | 4.01 | % | $ | 3,235,547 | $ | (5,975,551 | ) | 6.69% | $ | 3,714,431 | $ | 3,233,458 | ||||||||||||
Systematic Macro Funds | ||||||||||||||||||||||||
Graham K4D Trading Ltd. | 5.68 | % | 4,573,968 | 2,521,690 | 6.37% | 3,536,812 | 4,735,508 | |||||||||||||||||
9.69 | % | $ | 7,809,515 | $ | (3,453,861 | ) | 13.06% | $ | 7,251,243 | $ | 7,968,966 |
December 31, 2016 | ||||||||||||||||||||||||
December 31, 2018 | December 31, 2018 | |||||||||||||||||||||||
Investment – Objective | Percent of Members’ Capital | Fair Value | Net Income (Loss) | Percent of Members’ Capital | Fair Value | Net Income (Loss) | ||||||||||||||||||
Global Macro Funds | ||||||||||||||||||||||||
Graham Commodity Strategies LLC | 5.51 | % | $ | 7,580,654 | $ | 9,444,633 | 4.03% | $ | 2,439,800 | $ | 2,535,205 | |||||||||||||
Systematic Macro Funds | ||||||||||||||||||||||||
Graham K4D Trading Ltd. | 6.41 | % | 8,824,128 | (6,979,958 | ) | 5.45% | 3,290,363 | (4,812,658 | ) | |||||||||||||||
11.92 | % | $ | 16,404,782 | $ | 2,464,675 | 9.48% | $ | 5,730,163 | $ | (2,277,453 | ) |
Graham Commodity Strategies LLC (Delaware) | Graham K4D Trading Ltd. (BVI) | Graham Commodity Strategies LLC (Delaware) | Graham K4D Trading Ltd. (BVI) | |||||||||||||
Assets: | ||||||||||||||||
Fixed income securities, at fair value (cost $34,872,355) | $ | – | $ | 35,296,686 | ||||||||||||
Due from brokers | $ | 75,982,823 | $ | 57,953,421 | 129,280,189 | 18,550,998 | ||||||||||
Derivative financial instruments, at fair value | 43,001,886 | 36,313,912 | 18,431,371 | – | ||||||||||||
Exchange membership, at fair value | 4,641,500 | 1,024,250 | ||||||||||||||
Exchange memberships, at fair value | 6,211,100 | 433,250 | ||||||||||||||
Interest receivable | 65,045 | 223,901 | ||||||||||||||
Dividends receivable | 73,500 | - | 52,500 | – | ||||||||||||
Total assets | 123,699,709 | 95,291,583 | 154,040,205 | 54,504,835 | ||||||||||||
Liabilities: | ||||||||||||||||
Derivative financial instruments, at fair value | 2,426,201 | 864,462 | – | 5,607,980 | ||||||||||||
Interest payable | 11,220 | 6,615 | ||||||||||||||
Total liabilities | 2,426,201 | 864,462 | 11,220 | 5,614,595 | ||||||||||||
Members’ Capital / Net Assets | $ | 121,273,508 | $ | 94,427,121 | $ | 154,028,985 | $ | 48,890,240 | ||||||||
Percentage of Master Fund held by GAIT | 2.67 | % | 4.84 | % | 2.41 | % | 7.23 | % |
Graham Alternative Investment Trading LLC
Notes to Financial Statements (continued)
Description | Number of Contracts / Notional Amounts | Fair Value | Percentage of Members’ Capital of Master Fund | Number of Contracts / Notional Amounts | Fair Value | Percentage of Members’ Capital | ||||||||||||||||||
Graham Commodity Strategies LLC | ||||||||||||||||||||||||
Exchange memberships (cost $2,146,960) | ||||||||||||||||||||||||
United States (cost $2,146,960) | ||||||||||||||||||||||||
Financial services (cost $2,146,960) | $ | 6,211,100 | 4.03 | % | ||||||||||||||||||||
Total exchange memberships | $ | 6,211,100 | 4.03 | % | ||||||||||||||||||||
Derivative financial instruments | ||||||||||||||||||||||||
Long contracts | ||||||||||||||||||||||||
Futures | ||||||||||||||||||||||||
Natural gas February 2018 | 658 | $ | 2,158,330 | 1.78 | % | |||||||||||||||||||
Commodity | ||||||||||||||||||||||||
Gold 100 Oz February 2020 | 1,326 | $ | 4,984,390 | 3.24 | % | |||||||||||||||||||
Other commodity | 5,434,751 | 4.48 | % | 2,909,894 | 1.89 | % | ||||||||||||||||||
Currency | 11,053 | 0.01 | % | |||||||||||||||||||||
Foreign bond | (1,350,205 | ) | (0.88 | )% | ||||||||||||||||||||
Foreign index | (354,017 | ) | (0.29 | )% | (560,883 | ) | (0.36 | )% | ||||||||||||||||
Interest rate | (623,605 | ) | (0.52 | )% | (1,463,850 | ) | (0.96 | )% | ||||||||||||||||
U.S. 2yr. – 5yr. note March 2018 | 10,027 | 850,898 | 0.70 | % | ||||||||||||||||||||
U.S. Ultra bond March 2018 | 313 | 991,875 | 0.82 | % | ||||||||||||||||||||
U.S. bond | 2,649,266 | 1.72 | % | |||||||||||||||||||||
U.S. index | 51,870 | 0.04 | % | 705,547 | 0.46 | % | ||||||||||||||||||
Total futures | 8,510,102 | 7.01 | % | 7,885,212 | 5.12 | % | ||||||||||||||||||
Forwards | ||||||||||||||||||||||||
Chinese yuan / U.S. dollar 01/05/2018 – 06/27/2018 | CNY | 5,455,827,240 | 10,139,758 | 8.36 | % | |||||||||||||||||||
Euro / U.S. dollar 01/02/2018 – 01/03/2018 | EUR | 931,390,201 | 4,434,234 | 3.66 | % | |||||||||||||||||||
Taiwan dollar / U.S. dollar 01/02/2020 – 03/18/2020 | TWD | 31,715,871,614 | 14,298,690 | 9.28 | % | |||||||||||||||||||
Other foreign currency | 6,345,166 | 5.23 | % | 17,331,749 | 11.26 | % | ||||||||||||||||||
Total forwards | 20,919,158 | 17.25 | % | 31,630,439 | 20.54 | % | ||||||||||||||||||
Options (cost $54,432,797) | ||||||||||||||||||||||||
Natural gas Euro February 2018 – March 2018, $2.85 – $4.00 Call | 5 | 5,500,625 | 4.54 | % | ||||||||||||||||||||
Natural gas Euro April 2018, $2.40 Put | 1 | 243,000 | 0.20 | % | ||||||||||||||||||||
Other commodity futures | 6,436,170 | 5.30 | % | |||||||||||||||||||||
Euro / U.S. dollar January 2018 – June 2018, $1.20 – $1.25 Call | 8 | 12,619,168 | 10.40 | % | ||||||||||||||||||||
U.S. dollar / Chinese yuan January 2018 – March 2018, $6.52 – $6.53 Put | 2 | 1,194,579 | 0.99 | % | ||||||||||||||||||||
Other currency | 4,387,683 | 3.62 | % | |||||||||||||||||||||
Euro-Bund February 2018 – March 2018, $159.50 – $161.50 Put | 4 | 2,750,159 | 2.27 | % | ||||||||||||||||||||
Options (cost $47,570,776) | ||||||||||||||||||||||||
Commodity futures | ||||||||||||||||||||||||
Gold February 2020 - April 2020, $1,550.00 – $1,650.00 Call | 2 | 6,007,490 | 3.90 | % | ||||||||||||||||||||
Other commodity | 373,430 | 0.24 | % | |||||||||||||||||||||
Currency futures | ||||||||||||||||||||||||
U.S. dollar / Taiwan dollar February 2020, $33.00 Call | 1 | 2 | 0.00 | % | ||||||||||||||||||||
Other currency futures | 19,948,850 | 12.97 | % | |||||||||||||||||||||
Foreign bond futures | 915,343 | 0.59 | % | |||||||||||||||||||||
Interest rate futures | 920,619 | 0.76 | % | (337,798 | ) | (0.22 | )% | |||||||||||||||||
U.S. bond futures | 839,267 | 0.54 | % | |||||||||||||||||||||
U.S. index futures | 2,361,250 | 1.95 | % | 1,946,160 | 1.26 | % | ||||||||||||||||||
Total options | 36,413,253 | 30.03 | % | 29,692,744 | 19.28 | % |
Graham Alternative Investment Trading LLC
Notes to Financial Statements (continued)
Description | Number of Contracts / Notional Amounts | Fair Value | Percentage of Members’ Capital of Master Fund | Number of Contracts / Notional Amounts | Fair Value | Percentage of Members’ Capital | ||||||||||||||||||
Graham Commodity Strategies LLC (continued) | ||||||||||||||||||||||||
Derivative financial instruments (continued) | ||||||||||||||||||||||||
Short contracts | ||||||||||||||||||||||||
Futures | ||||||||||||||||||||||||
Commodity | $ | (4,482,357 | ) | (3.69 | )% | $ | 150 | 0.00 | % | |||||||||||||||
Euro Bund March 2018 | (900 | ) | 306,192 | 0.25 | % | |||||||||||||||||||
Euro Buxl 30 Year bond March 2018 | (1,215 | ) | 4,378,522 | 3.61 | % | |||||||||||||||||||
Euro Bobl March 2018 | (500 | ) | 54,045 | 0.04 | % | |||||||||||||||||||
Other foreign bond | 4,280,253 | 3.53 | % | |||||||||||||||||||||
Currency | 54 | 0.00 | % | |||||||||||||||||||||
Foreign bond | 857,428 | 0.56 | % | |||||||||||||||||||||
Foreign index | 216,165 | 0.14 | % | |||||||||||||||||||||
Interest rate | 2,869,308 | 2.37 | % | (419,994 | ) | (0.27 | )% | |||||||||||||||||
U.S. 5yr - 10yr note March 2018 | (9,478 | ) | (784,141 | ) | (0.65 | )% | ||||||||||||||||||
U.S. Long bond March 2018 | (2,850 | ) | (5,533,781 | ) | (4.56 | )% | ||||||||||||||||||
U.S. bond | 1,703,860 | 1.10 | % | |||||||||||||||||||||
U.S. index | 239,200 | 0.16 | % | |||||||||||||||||||||
Total futures | 1,088,041 | 0.90 | % | 2,596,863 | 1.69 | % | ||||||||||||||||||
Forwards | ||||||||||||||||||||||||
U.S. dollar / Chinese yuan 01/05/2018 - 12/27/2018 | CNY | (3,140,200,529) | (4,654,222 | ) | (3.84 | )% | ||||||||||||||||||
U.S. dollar / Euro dollar 01/02/2018 - 01/03/2018 | EUR | (170,559,412) | (460,013 | ) | (0.38 | )% | ||||||||||||||||||
U.S. dollar / Taiwan dollar 02/05/2020 | TWD | (8,048,818,557 | ) | (8,431,977 | ) | (5.47 | )% | |||||||||||||||||
U.S. dollar / Taiwan dollar 01/02/2020 – 03/18/2020 | TWD | (25,995,417,072 | ) | (15,787,940 | ) | (10.25 | )% | |||||||||||||||||
Other foreign currency | (6,278,444 | ) | (5.17 | )% | (19,091,770 | ) | (12.40 | )% | ||||||||||||||||
Total forwards | (11,392,679 | ) | (9.39 | )% | (43,311,687 | ) | (28.12 | )% | ||||||||||||||||
Options (proceeds $22,973,074) | ||||||||||||||||||||||||
Natural gas Euro February 2018 - March 2018, $3.10 - $3.50 Call | (2 | ) | (1,806,500 | ) | (1.49 | )% | ||||||||||||||||||
Natural gas Euro July 2018 - December 2018, $2.80 Put | (6 | ) | (1,707,000 | ) | (1.41 | )% | ||||||||||||||||||
Options (proceeds $20,452,912) | ||||||||||||||||||||||||
Commodity futures | ||||||||||||||||||||||||
Gold April 2020, $1,750.00 – $1,900.00 Call | (2 | ) | (1,181,900 | ) | (0.77 | )% | ||||||||||||||||||
Other commodity futures | (2,961,175 | ) | (2.44 | )% | (138,510 | ) | (0.09 | )% | ||||||||||||||||
Euro dollar / U.S. dollar January 2018 - May 2018, $1.21 - $1.30 Call | (5 | ) | (3,531,255 | ) | (2.91 | )% | ||||||||||||||||||
Other currency | (1,688,050 | ) | (1.39 | )% | ||||||||||||||||||||
Euro-bund February 2018 - March 2018, $158.50 - $160.50 Put | (3 | ) | (1,611,205 | ) | (1.33 | )% | ||||||||||||||||||
Currency futures | (5,260,260 | ) | (3.42 | )% | ||||||||||||||||||||
Foreign bond futures | (515,648 | ) | (0.33 | )% | ||||||||||||||||||||
Interest rate futures | 319,245 | 0.26 | % | (439,272 | ) | (0.29 | )% | |||||||||||||||||
U.S. bond futures | (368,875 | ) | (0.24 | )% | ||||||||||||||||||||
U.S. index futures | (1,976,250 | ) | (1.63 | )% | (2,157,735 | ) | (1.40 | )% | ||||||||||||||||
Total options | (14,962,190 | ) | (12.34 | )% | (10,062,200 | ) | (6.54 | )% | ||||||||||||||||
Total derivative financial instruments | $ | 40,575,685 | 33.46 | % | $ | 18,431,371 | 11.97 | % |
Graham Alternative Investment Trading LLC
Notes to Financial Statements (continued)
Description | Number of Contracts / Notional Amounts | Fair Value | Percentage of Net Assets of Master Fund | Principal Amount / Number of Contracts | Fair Value | Percentage of Net Assets | ||||||||||||||||||
Graham K4D Trading Ltd. | ||||||||||||||||||||||||
Fixed income securities owned (cost $34,872,355) | ||||||||||||||||||||||||
Government bonds (cost $34,872,355) | ||||||||||||||||||||||||
United States (cost $34,872,355) | ||||||||||||||||||||||||
Treasury bonds (cost $31,087,793) | ||||||||||||||||||||||||
U.S. Treasury bond 1.38% due 01/15/2020 | $ | 31,500,000 | $ | 31,498,770 | 64.43 | % | ||||||||||||||||||
Total Treasury Bonds | 31,498,770 | 64.43 | % | |||||||||||||||||||||
Treasury bills (cost $3,784,562) | ||||||||||||||||||||||||
U.S. Treasury bills 0.00% due 01/16/2020 | $ | 3,800,000 | 3,797,916 | 7.77 | % | |||||||||||||||||||
Total Treasury bills | 3,797,916 | 7.77 | % | |||||||||||||||||||||
Total United States | 35,296,686 | 72.20 | % | |||||||||||||||||||||
Total government bonds | 35,296,686 | 72.20 | % | |||||||||||||||||||||
Total fixed income securities owned | $ | 35,296,686 | 72.20 | % | ||||||||||||||||||||
Exchange memberships (cost $1,051,100) | ||||||||||||||||||||||||
United States (cost $1,051,100) | ||||||||||||||||||||||||
Financial services (cost $1,051,100) | $ | 433,250 | 0.89 | % | ||||||||||||||||||||
Total exchange memberships | $ | 433,250 | 0.89 | % | ||||||||||||||||||||
Derivative financial instruments | ||||||||||||||||||||||||
Long contracts | ||||||||||||||||||||||||
Futures | ||||||||||||||||||||||||
LME Aluminum March 2018 | 1,060 | $ | 4,755,763 | 5.04 | % | |||||||||||||||||||
NY Harbor ULSD February 2018 | 779 | 4,733,191 | 5.01 | % | ||||||||||||||||||||
Brent crude oil March 2018 | 872 | 2,874,432 | 3.04 | % | ||||||||||||||||||||
WTI crude oil February 2018 | 560 | 1,896,805 | 2.01 | % | ||||||||||||||||||||
Other commodity | 13,843,544 | 14.66 | % | |||||||||||||||||||||
Commodity | $ | 3,318,844 | 6.78 | % | ||||||||||||||||||||
Currency | 58,265 | 0.06 | % | 14,595 | 0.03 | % | ||||||||||||||||||
Foreign bond | (2,189,927 | ) | (2.32 | )% | (2,634,458 | ) | (5.39 | )% | ||||||||||||||||
Foreign index | 4,937,220 | 5.23 | % | 380,112 | 0.78 | % | ||||||||||||||||||
Interest rate | (508,175 | ) | (0.54 | )% | 27,104 | 0.06 | % | |||||||||||||||||
U.S. bond | 441,140 | 0.47 | % | |||||||||||||||||||||
U.S. 2 yr – 10 yr note March 2020 | 2,090 | (1,390,733 | ) | (2.84 | )% | |||||||||||||||||||
U.S. long bond March 2020 | 516 | (1,382,658 | ) | (2.83 | )% | |||||||||||||||||||
U.S. index | 2,077,053 | 2.20 | % | 531,446 | 1.09 | % | ||||||||||||||||||
Total futures | 32,919,311 | 34.86 | % | (1,135,748 | ) | (2.32 | )% | |||||||||||||||||
Forwards | ||||||||||||||||||||||||
Foreign currency | 8,014,637 | 8.49 | % | 1,590,436 | 3.25 | % | ||||||||||||||||||
Total forwards | 8,014,637 | 8.49 | % | 1,590,436 | 3.25 | % | ||||||||||||||||||
Short contracts | ||||||||||||||||||||||||
Futures | ||||||||||||||||||||||||
LME Aluminum March 2018 | (217 | ) | (1,135,344 | ) | (1.20 | )% | ||||||||||||||||||
Other commodity | (656,808 | ) | (0.70 | )% | ||||||||||||||||||||
Currency | 299,999 | 0.32 | % | |||||||||||||||||||||
Foreign bond | 545,339 | 0.58 | % | |||||||||||||||||||||
Foreign index | 21,830 | 0.02 | % | |||||||||||||||||||||
Interest rate | 580,989 | 0.62 | % | |||||||||||||||||||||
U.S. bond | 3,659,496 | 3.87 | % | |||||||||||||||||||||
U.S. index | 90,860 | 0.10 | % | |||||||||||||||||||||
Total futures | 3,406,361 | 3.61 | % | |||||||||||||||||||||
Forwards | ||||||||||||||||||||||||
Foreign currency | (8,890,859 | ) | (9.42 | )% | ||||||||||||||||||||
Total forwards | (8,890,859 | ) | (9.42 | )% | ||||||||||||||||||||
Total derivative financial instruments | $ | 35,449,450 | 37.54 | % |
Graham Alternative Investment Trading LLC
Notes to Financial Statements (continued)
Description | Principal Amount / Number of Contracts | Fair Value | Percentage of Net Assets | |||||||
Graham K4D Trading Ltd. (continued) | ||||||||||
Derivative financial instruments (continued) | ||||||||||
Short contracts | ||||||||||
Futures | ||||||||||
Commodity | $ | (3,239,514 | ) | (6.62 | )% | |||||
Currency | (30,159 | ) | (0.06 | )% | ||||||
Foreign bond | 1,896,129 | 3.88 | % | |||||||
Foreign index | 16,525 | 0.03 | % | |||||||
Interest rate | 12,120 | 0.02 | % | |||||||
U.S. index | (650,009 | ) | (1.33 | )% | ||||||
Total futures | (1,994,908 | ) | (4.08 | )% | ||||||
Forwards | ||||||||||
Foreign currency | (4,067,760 | ) | (8.32 | )% | ||||||
Total forwards | (4,067,760 | ) | (8.32 | )% | ||||||
Total derivative financial instruments | $ | (5,607,980 | ) | (11.47 | )% |
Graham Alternative Investment Trading LLC
Notes to Financial Statements (continued)
Graham Commodity Strategies LLC | Graham K4D Trading Ltd. | |||||||
Assets | ||||||||
Level 1: | ||||||||
$ | 8,202,787 | $ | 4,548,612 | |||||
Commodity futures options | 6,380,920 | – | ||||||
Currency futures | 11,107 | 73,472 | ||||||
Exchange memberships | 6,211,100 | 433,250 | ||||||
Foreign bond futures | 857,428 | 1,943,300 | ||||||
Foreign bond futures options | 915,343 | – | ||||||
Foreign index futures | 806,271 | 983,149 | ||||||
Interest rate futures | 86,329 | 74,409 | ||||||
Interest rate futures options | 4,525,823 | – | ||||||
U.S. bond futures | 5,547,173 | 2,347 | ||||||
U.S. bond future options | 839,267 | – | ||||||
U.S. index futures | 1,609,698 | 552,136 | ||||||
U.S. index futures options | 1,946,160 | – | ||||||
Total Level 1 | 37,939,406 | 8,610,675 | ||||||
Level 2: | ||||||||
Foreign currency forwards | 32,356,429 | 1,609,343 | ||||||
Foreign currency options | 19,948,852 | – | ||||||
Government bonds* | – | 35,296,686 | ||||||
Total Level 2 | 52,305,281 | 36,906,029 | ||||||
Total investment related assets | $ | 90,244,687 | $ | 45,516,704 | ||||
Liabilities | ||||||||
Level 1: | ||||||||
Commodity futures | $ | (308,353 | ) | $ | (4,469,282 | ) | ||
Commodity futures options | (1,320,410 | ) | – | |||||
Currency futures | – | (89,036 | ) | |||||
Foreign bond futures | (1,350,205 | ) | (2,681,629 | ) | ||||
Foreign bond futures options | (515,648 | ) | – | |||||
Foreign index futures | (1,150,989 | ) | (586,512 | ) | ||||
Interest rate futures | (1,970,173 | ) | (35,185 | ) | ||||
Interest rate futures options | (5,302,893 | ) | – | |||||
U.S. bond futures | (1,194,047 | ) | (2,775,738 | ) | ||||
U.S. bond future options | (368,875 | ) | – | |||||
U.S. index futures | (664,951 | ) | (670,699 | ) | ||||
U.S. index futures options | (2,157,735 | ) | – | |||||
Total Level 1 | (16,304,279 | ) | (11,308,081 | ) | ||||
Level 2: | ||||||||
Foreign currency forwards | (44,037,677 | ) | (4,086,667 | ) | ||||
Foreign currency options | (5,260,260 | ) | – | |||||
Total Level 2 | (49,297,937 | ) | (4,086,667 | ) | ||||
Total investment related liabilities | $ | (65,602,216 | ) | $ | (15,394,748 | ) |
Graham Commodity Strategies LLC | Graham K4D Trading Ltd. | |||||||
Assets | ||||||||
Level 1: | ||||||||
Commodity futures | $ | 13,829,633 | $ | 31,996,866 | ||||
Commodity futures options | 13,308,775 | - | ||||||
Currency futures | - | 434,847 | ||||||
Foreign bond futures | 9,019,012 | 2,311,119 | ||||||
Foreign index futures | - | 6,250,768 | ||||||
Foreign index futures options | 4,040,611 | - | ||||||
Interest rate futures | 4,532,907 | 846,231 | ||||||
Interest rate futures options | 2,225,495 | - | ||||||
U.S. bond futures | 2,505,664 | 4,100,636 | ||||||
U.S. index futures | 173,120 | 2,593,457 | ||||||
U.S. index futures options | 2,361,250 | - | ||||||
Total Level 1 | 51,996,467 | 48,533,924 | ||||||
Level 2: | ||||||||
Foreign currency forwards | 23,574,930 | 9,288,894 | ||||||
Foreign currency options | 18,201,430 | - | ||||||
Total Level 2 | 41,776,360 | 9,288,894 | ||||||
Total investment related assets | $ | 93,772,827 | $ | 57,822,818 | ||||
Liabilities | ||||||||
Level 1: | ||||||||
Commodity futures | $ | (10,718,909 | ) | $ | (5,685,283 | ) | ||
Commodity futures options | (7,603,655 | ) | - | |||||
Currency futures | - | (76,583 | ) | |||||
Foreign bond futures | - | (3,955,707 | ) | |||||
Foreign bond futures options | (2,901,657 | ) | - | |||||
Foreign index futures | (354,017 | ) | (1,291,718 | ) | ||||
Interest rate futures | (2,287,204 | ) | (773,417 | ) | ||||
Interest rate futures options | (985,631 | ) | - | |||||
U.S. bond futures | (6,980,813 | ) | - | |||||
U.S. index futures | (121,250 | ) | (425,544 | ) | ||||
U.S. index futures options | (1,976,250 | ) | - | |||||
Total Level 1 | (33,929,386 | ) | (12,208,252 | ) | ||||
Level 2: | ||||||||
Foreign currency forwards | (14,048,451 | ) | (10,165,116 | ) | ||||
Foreign currency options | (5,219,305 | ) | - | |||||
Total Level 2 | (19,267,756 | ) | (10,165,116 | ) | ||||
Total investment related liabilities | $ | (53,197,142 | ) | $ | (22,373,368 | ) |
Graham Alternative Investment Trading LLC
Notes to Financial Statements (continued)
Long exposure | Short exposure | |||||||||||||||||||||||
Notional amounts | Number of contracts | Notional amounts | Number of contracts | Derivative assets | Derivative liabilities | |||||||||||||||||||
Commodity price | ||||||||||||||||||||||||
Futures | $ | 313,741,559 | 3,397 | $ | (30,152,749 | ) | (549 | ) | $ | 8,202,787 | $ | (308,353 | ) | |||||||||||
Options (a) | 200,027,267 | 5,972 | (128,937,374 | ) | (5,645 | ) | 6,380,920 | (1,320,410 | ) | |||||||||||||||
513,768,826 | 9,369 | (159,090,123 | ) | (6,194 | ) | 14,583,707 | (1,628,763 | ) | ||||||||||||||||
Equity price | ||||||||||||||||||||||||
Futures | 297,466,626 | 2,785 | (147,992,807 | ) | (1,505 | ) | 2,415,969 | (1,815,940 | ) | |||||||||||||||
Options (a) | 112,874,233 | 3,043 | (70,088,951 | ) | (6,420 | ) | 1,946,160 | (2,157,735 | ) | |||||||||||||||
410,340,859 | 5,828 | (218,081,758 | ) | (7,925 | ) | 4,362,129 | (3,973,675 | ) | ||||||||||||||||
Foreign currency exchange rate | ||||||||||||||||||||||||
Forwards | 8,819,006,482 | N/A | (3,422,599,977 | ) | N/A | 32,356,429 | (44,037,677 | ) | ||||||||||||||||
Futures | 1,764,474 | 17 | (1,132,569 | ) | (13 | ) | 11,107 | – | ||||||||||||||||
Options (a) | 1,096,647,293 | 60 | (1,210,201,282 | ) | (51 | ) | 19,948,852 | (5,260,260 | ) | |||||||||||||||
9,917,418,249 | 77 | (4,633,933,828 | ) | (64 | ) | 52,316,388 | (49,297,937 | ) | ||||||||||||||||
Interest rate | �� | |||||||||||||||||||||||
Futures | 14,635,375,167 | 57,069 | (6,634,714,049 | ) | (30,450 | ) | 6,490,930 | (4,514,425 | ) | |||||||||||||||
Options (a) | 6,863,224,095 | 310,134 | (4,118,997,465 | ) | (225,245 | ) | 6,280,433 | (6,187,416 | ) | |||||||||||||||
21,498,599,262 | 367,203 | (10,753,711,514 | ) | (255,695 | ) | 12,771,363 | (10,701,841 | ) | ||||||||||||||||
Total | $ | 32,340,127,196 | 382,477 | $ | (15,764,817,223 | ) | (269,878 | ) | $ | 84,033,587 | $ | (65,602,216 | ) |
(a) | Notional amounts for options are based on the delta-adjusted positions. |
Graham Alternative Investment Trading LLC
Notes to Financial Statements (continued)
Long exposure | Short exposure | |||||||||||||||||||||||
Notional amounts | Number of contracts | Notional amounts | Number of contracts | Derivative assets | Derivative liabilities | |||||||||||||||||||
Commodity price | ||||||||||||||||||||||||
Futures | $ | 161,257,969 | 1,889 | $ | (195,309,082 | ) | (4,220 | ) | $ | 4,548,612 | $ | (4,469,282 | ) | |||||||||||
161,257,969 | 1,889 | (195,309,082 | ) | (4,220 | ) | 4,548,612 | (4,469,282 | ) | ||||||||||||||||
Equity price | ||||||||||||||||||||||||
Futures | 519,198,139 | 5,371 | (29,874,004 | ) | (284 | ) | 1,535,285 | (1,257,211 | ) | |||||||||||||||
519,198,139 | 5,371 | (29,874,004 | ) | (284 | ) | 1,535,285 | (1,257,211 | ) | ||||||||||||||||
Foreign currency exchange rate | ||||||||||||||||||||||||
Forwards | 220,150,774 | N/A | (639,550,041 | ) | N/A | 1,609,343 | (4,086,667 | ) | ||||||||||||||||
Futures | 16,316,430 | 172 | (11,935,977 | ) | (116 | ) | 73,472 | (89,036 | ) | |||||||||||||||
236,467,204 | 172 | (651,486,018 | ) | (116 | ) | 1,682,815 | (4,175,703 | ) | ||||||||||||||||
Interest rate | ||||||||||||||||||||||||
Futures | 2,146,985,600 | 11,917 | (271,028,601 | ) | (1,663 | ) | 2,020,056 | (5,492,552 | ) | |||||||||||||||
2,146,985,600 | 11,917 | (271,028,601 | ) | (1,663 | ) | 2,020,056 | (5,492,552 | ) | ||||||||||||||||
Total | $ | 3,063,908,912 | 19,349 | $ | (1,147,697,705 | ) | (6,283 | ) | $ | 9,786,768 | $ | (15,394,748 | ) |
Graham Alternative Investment Trading LLC
Notes to Financial Statements (continued)
Description | Gross Amount | Gross Amount Offset in the Statements of Financial Condition | Net Amount Presented in the Statements of Financial Condition | Collateral (Received) / Pledged | Net Amount | |||||||||||||||
Graham Commodity Strategies LLC1 | ||||||||||||||||||||
Derivative assets | $ | 84,033,587 | $ | (65,602,216 | ) | $ | 18,431,371 | $ | – | $ | 18,431,371 | |||||||||
Derivative liabilities | (65,602,216 | ) | 65,602,216 | – | – | – | ||||||||||||||
Graham K4D Trading Ltd.2 | ||||||||||||||||||||
Derivative assets | $ | 9,786,768 | $ | (9,786,768 | ) | $ | – | $ | – | $ | – | |||||||||
Derivative liabilities | (15,394,748 | ) | 9,786,768 | (5,607,980 | ) | 5,607,980 | – | |||||||||||||
Graham Alternative Investment Trading LLC
Notes to Financial Statements (continued)
Graham Commodity Strategies LLC | Graham K4D Trading Ltd. | |||||||
Net investment income | $ | 1,695,009 | $ | 852,215 | ||||
Net realized gain on investments | 161,844,525 | 74,248,611 | ||||||
Net (decrease) increase in unrealized appreciation on investments | (16,079,092 | ) | 1,849,119 | |||||
Brokerage commissions and fees | (16,705,934 | ) | (444,510 | ) | ||||
Net gain on investments | 129,059,499 | 75,653,220 | ||||||
Net income | $ | 130,754,508 | $ | 76,505,435 |
Graham Commodity Strategies LLC | Graham K4D Trading Ltd. | |||||||
Commodity price | ||||||||
Futures | $ | 40,005,521 | $ | (38,310,326 | ) | |||
Options | 2,619,881 | – | ||||||
42,625,402 | (38,310,326 | ) | ||||||
Equity price | �� | |||||||
Equities | 347,500 | (323,250 | ) | |||||
Futures | 47,352,770 | 61,272,160 | ||||||
Options | 16,629,520 | – | ||||||
64,329,790 | 60,948,910 | |||||||
Foreign currency exchange rate | ||||||||
Forwards | 33,291,191 | (2,158,269 | ) | |||||
Futures | (125,234 | ) | 520,264 | |||||
Options | (59,222,699 | ) | – | |||||
(26,056,742 | ) | (1,638,005 | ) | |||||
Interest rate | ||||||||
Fixed income securities | – | 420,024 | ||||||
Futures | 73,690,299 | 54,677,127 | ||||||
Options | (8,823,316 | ) | – | |||||
64,866,983 | 55,097,151 | |||||||
Total | $ | 145,765,433 | $ | 76,097,730 |
Graham Alternative Investment Trading LLC
Notes to Financial Statements (continued)
Graham Commodity Strategies LLC (Delaware) | Graham K4D Trading Ltd. (BVI) | |||||||
Assets: | ||||||||
Fixed income securities, at fair value (cost $62,362,617) | $ | - | $ | 62,592,100 | ||||
Due from brokers | 76,813,273 | 13,515,716 | ||||||
Derivative financial instruments, at fair value | 20,399,655 | - | ||||||
Exchange memberships, at fair value | 5,863,600 | 756,500 | ||||||
Interest receivable | 36,830 | 364,002 | ||||||
Dividends receivable | 36,750 | - | ||||||
Total assets | 103,150,108 | 77,228,318 | ||||||
Liabilities: | ||||||||
Derivative financial instruments, at fair value | 1,878,673 | 7,631,786 | ||||||
Interest payable | 525 | 11,474 | ||||||
Total liabilities | 1,879,198 | 7,643,260 | ||||||
Members’ Capital / Net Assets | $ | 101,270,910 | $ | 69,585,058 | ||||
Percentage of Master Fund held by GAIT | 2.41 | % | 4.73 | % |
Graham Alternative Investment Trading LLC
Notes to Financial Statements (continued)
Description | Number of Contracts / Notional Amounts | Fair Value | Percentage of Members’ Capital of Master Fund | |||||||||
Graham Commodity Strategies LLC | ||||||||||||
Exchange memberships (cost $2,146,960) | ||||||||||||
United States (cost $2,146,960) | ||||||||||||
Financial services (cost $2,146,960) | $ | 5,863,600 | 5.79 | % | ||||||||
Total exchange memberships | $ | 5,863,600 | 5.79 | % | ||||||||
Derivative financial instruments | ||||||||||||
Long contracts | ||||||||||||
Futures | ||||||||||||
Commodity | $ | 3,698,683 | 3.65 | % | ||||||||
Currency | (1,165 | ) | (0.00 | )% | ||||||||
Foreign index | (42,275 | ) | (0.04 | )% | ||||||||
Interest rate | ||||||||||||
Fed Fund 30 day July 2019 | 13,491 | 14,851,438 | 14.67 | % | ||||||||
Fed Fund 30 day January 2019 - December 2019 | 15,909 | 4,051,887 | 4.00 | % | ||||||||
Other interest rate | 719,375 | 0.71 | % | |||||||||
U.S. bond | ||||||||||||
U.S. 5yr note March 2019 | 15,538 | 15,861,867 | 15.66 | % | ||||||||
U.S. 2yr - 10yr note March 2019 | 5,294 | 2,530,094 | 2.50 | % | ||||||||
U.S. long bond March 2019 | 200 | (119,188 | ) | (0.12 | )% | |||||||
U.S. Ultra bond March 2019 | 411 | 947,844 | 0.94 | % | ||||||||
U.S. index | 43,370 | 0.04 | % | |||||||||
Total futures | 42,541,930 | 42.01 | % | |||||||||
Forwards | ||||||||||||
Chinese yuan / U.S. dollar 02/01/2019 - 10/15/2019 | CNH | 2,289,561,625 | 3,331,384 | 3.29 | % | |||||||
Japanese yen / U.S. dollar 01/04/2019 - 01/07/2019 | JPY | 84,717,596,509 | 6,780,540 | 6.70 | % | |||||||
Taiwan dollar / U.S. dollar 01/03/2019 - 06/13/2019 | TWD | 48,008,984,652 | 3,144,452 | 3.10 | % | |||||||
Other foreign currency | 869,160 | 0.86 | % | |||||||||
Total forwards | 14,125,536 | 13.95 | % |
Graham Alternative Investment Trading LLC
Notes to Financial Statements (continued)
Description | Number of Contracts / Notional Amounts | Fair Value | Percentage of Members’ Capital of Master Fund | ||||||||
Graham Commodity Strategies LLC (continued) | |||||||||||
Derivative financial instruments (continued) | |||||||||||
Long contracts (continued) | |||||||||||
Options (cost $75,200,814) | |||||||||||
Commodity futures | $ | 2,337,480 | 2.31 | % | |||||||
Currency | |||||||||||
Euro / U.S. dollar January 2019 - May 2019, $1.15 - $1.34 Call | 3 | 849,954 | 0.83 | % | |||||||
Euro / U.S. dollar January 2019 - June 2019, $1.05 - $1.12 Put | 5 | 3,613,066 | 3.57 | % | |||||||
U.S. dollar / Chinese yuan January 2019, $7.20 Call | 1 | 20 | 0.00 | % | |||||||
U.S. dollar / Chinese yuan April 2019 - December 2019, $6.60 - $6.92 Put | 4 | 9,111,130 | 9.00 | % | |||||||
U.S. dollar / Japanese yen February 2019, $110.60 Put | 1 | 7,663,920 | 7.57 | % | |||||||
U.S. dollar / Japanese yen April 2019, $111.20 Put | 1 | 7,368,200 | 7.27 | % | |||||||
U.S. dollar / Japanese yen January 2019 - May 2019, $109.75 - $111.60 Put | 6 | 17,712,554 | 17.49 | % | |||||||
U.S. dollar / Taiwan dollar January 2019 - June 2019, $31.30 - $31.70 Call | 11 | 1,806,425 | 1.78 | % | |||||||
Other currency | 10,550,246 | 10.42 | % | ||||||||
Interest rate | |||||||||||
Euro 1yr midcurve June 2019 – September 2019, $96.50 Put | 2 | (5,421,875 | ) | (5.35 | )% | ||||||
Euribor 2yr midcurve June 2019, $100.00 Call | 1 | 4,171,579 | 4.12 | % | |||||||
Other interest rate futures | 7,249,033 | 7.16 | % | ||||||||
U.S. index futures | 1,256,250 | 1.24 | % | ||||||||
Total options | 68,267,982 | 67.41 | % |
Graham Alternative Investment Trading LLC
Notes to Financial Statements (continued)
Description | Number of Contracts / Notional Amounts | Fair Value | Percentage of Members’ Capital of Master Fund | |||||||||
Graham Commodity Strategies LLC (continued) | ||||||||||||
Derivative financial instruments (continued) | ||||||||||||
Short contracts | ||||||||||||
Futures | ||||||||||||
Commodity | $ | 225,676 | 0.22 | % | ||||||||
Foreign bond | (504,546 | ) | (0.50 | )% | ||||||||
Interest rate | ||||||||||||
Fed Fund 30 day August 2019 | (13,491 | ) | (16,380,602 | ) | (16.17 | )% | ||||||
Fed Fund 30 day May 2019 - November 2019 | (6,167 | ) | (5,045,154 | ) | (4.98 | )% | ||||||
Other interest rate | (47,354 | ) | (0.05 | )% | ||||||||
U.S. bond | ||||||||||||
U.S. Ultra bond March 2019 | (2,837 | ) | (102,187 | ) | (0.10 | )% | ||||||
U.S. index | (242,000 | ) | (0.24 | )% | ||||||||
Total futures | (22,096,167 | ) | (21.82 | )% | ||||||||
Forwards | ||||||||||||
U.S. dollar / Chinese yuan 02/01/2019 - 10/15/2019 | CNH | (2,874,294,571 | ) | (3,464,643 | ) | (3.42 | )% | |||||
U.S. dollar / Japanese yen 01/04/2019 - 01/07/2019 | JPY | (51,210,507,355 | ) | (3,940,829 | ) | (3.89 | )% | |||||
U.S. dollar / Taiwan dollar 01/03/2019 - 06/13/2019 | TWD | (56,242,002,182 | ) | (8,214,043 | ) | (8.11 | )% | |||||
Other foreign currency | 3,420,784 | 3.37 | % | |||||||||
Total forwards | (12,198,731 | ) | (12.05 | )% | ||||||||
Options (proceeds $66,816,605) | ||||||||||||
Commodity futures | (1,000,339 | ) | (0.99 | )% | ||||||||
Currency | ||||||||||||
Euro / U.S. dollar January 2019 - December 2019, $1.15 - $1.34 Call | (6 | ) | (7,129,507 | ) | (7.04 | )% | ||||||
Euro / U.S. dollar February 2019 - June 2019, $1.05 - $1.10 Put | (4 | ) | (3,590,823 | ) | (3.55 | )% | ||||||
U.S. dollar / Chinese yuan January 2019, $7.40 Call | (1 | ) | (20 | ) | (0.00 | )% | ||||||
U.S. dollar / Chinese yuan April 2019 - December 2019, $6.35 - $6.92 Put | (4 | ) | (7,737,030 | ) | (7.64 | )% | ||||||
U.S. dollar / Japanese yen February 2019, $110.60 Put | (1 | ) | (7,663,920 | ) | (7.57 | )% | ||||||
U.S. dollar / Japanese yen April 2019, $111.20 Put | (1 | ) | (7,368,200 | ) | (7.28 | )% | ||||||
U.S. dollar / Japanese yen January 2019 - May 2019, $110.00 - $111.60 Put | (4 | ) | (17,155,353 | ) | (16.94 | )% | ||||||
Taiwan dollar / U.S. dollar May 2019 - June 2019, $31.55 - $31.63 Call | (2 | ) | (608,610 | ) | (0.60 | )% | ||||||
Other currency | (8,372,745 | ) | (8.26 | )% | ||||||||
Interest rate | ||||||||||||
Euro 1yr midcurve June 2019 - September 2019, $96.00 - $96.25 Put | (2 | ) | 1,921,875 | 1.90 | % | |||||||
Euribor 2yr midcurve June 2019, $99.88 Call | (1 | ) | (9,137,745 | ) | (9.02 | )% | ||||||
Other interest rate futures | (1,468,651 | ) | (1.45 | )% | ||||||||
U.S. index futures | (2,808,500 | ) | (2.77 | )% | ||||||||
Total options | (72,119,568 | ) | (71.21 | )% | ||||||||
Total derivative financial instruments | $ | 18,520,982 | 18.29 | % |
Graham Alternative Investment Trading LLC
Notes to Financial Statements (continued)
Description | Principal / Number of Contracts / Notional Amounts | Fair Value | Percentage of Net Assets of Master Fund | |||||||||
Graham K4D Trading Ltd. | ||||||||||||
Fixed income securities owned (cost $62,362,617) | ||||||||||||
Bonds (cost $62,362,617) | ||||||||||||
United States (cost $62,362,617) | ||||||||||||
Government Bonds (cost $62,362,617) | ||||||||||||
U.S. Treasury bond 1.13% due 01/15/2019 | $ | 31,500,000 | $ | 31,486,465 | 45.25 | % | ||||||
U.S. Treasury bond 1.38% due 01/15/2020 | $ | 31,500,000 | 31,105,635 | 44.70 | % | |||||||
Total United States | 62,592,100 | 89.95 | % | |||||||||
Total bonds | 62,592,100 | 89.95 | % | |||||||||
Total fixed income securities owned | $ | 62,592,100 | 89.95 | % | ||||||||
Exchange memberships (cost $1,051,100) | ||||||||||||
United States (cost $1,051,100) | ||||||||||||
Financial services (cost $1,051,100) | $ | 756,500 | 1.09 | % | ||||||||
Total exchange memberships | $ | 756,500 | 1.09 | % | ||||||||
Derivative financial instruments | ||||||||||||
Long contracts | ||||||||||||
Futures | ||||||||||||
Commodity | ||||||||||||
Natural gas February 2019 | 378 | $ | (5,558,587 | ) | (7.99 | )% | ||||||
Other commodity | (1,630,362 | ) | (2.35 | )% | ||||||||
Currency | ||||||||||||
Japanese yen March 2019 | 4 | 11,862 | 0.02 | % | ||||||||
Other currency | (291,631 | ) | (0.42 | )% | ||||||||
Foreign bond | 4,250,332 | 6.11 | % | |||||||||
Foreign index | (1,951,495 | ) | (2.80 | )% | ||||||||
Interest rate | 480,650 | 0.69 | % | |||||||||
U.S. bond | ||||||||||||
U.S. 10yr note March 2019 | 679 | 340,805 | 0.49 | % | ||||||||
U.S. long bond March 2019 | 886 | 1,496,445 | 2.15 | % | ||||||||
U.S. index | (3,303,916 | ) | (4.75 | )% | ||||||||
Total futures | (6,155,897 | ) | (8.85 | )% | ||||||||
Forwards | ||||||||||||
Japanese yen / U.S. dollar 01/04/2019 – 03/20/2019 | JPY | 7,409,817,000 | 518,746 | 0.75 | % | |||||||
Other foreign currency | 876,576 | 1.26 | % | |||||||||
Total forwards | 1,395,322 | 2.01 | % |
Graham Alternative Investment Trading LLC
Notes to Financial Statements (continued)
Description | Number of Contracts / Notional Amounts | Fair Value | Percentage of Net Assets of Master Fund | |||||||||
Graham K4D Trading Ltd. (continued) | ||||||||||||
Derivative financial instruments (continued) | ||||||||||||
Short contracts | ||||||||||||
Futures | ||||||||||||
Commodity | $ | 8,406,227 | 12.08 | % | ||||||||
Currency | 27,885 | 0.04 | % | |||||||||
Foreign index | 2,446,585 | 3.52 | % | |||||||||
Interest rate | ||||||||||||
90 day Eurodollar June 2020 | (3,081 | ) | (4,086,692 | ) | (5.87 | )% | ||||||
Other interest rate | (98,172 | ) | (0.14 | )% | ||||||||
U.S. bond | ||||||||||||
U.S. 2 yr – 5 yr note March 2019 | (2,956 | ) | (4,784,097 | ) | (6.88 | )% | ||||||
U.S. index | 326,957 | 0.47 | % | |||||||||
Total futures | 2,238,693 | 3.22 | % | |||||||||
Forwards | ||||||||||||
U.S. dollar / Japanese yen 01/04/2019 – 01/07/2019 | JPY | (2,633,486,422 | ) | (143,282 | ) | (0.21 | )% | |||||
U.S. dollar / Japanese yen 03/20/2019 | JPY | (22,697,264,000 | ) | (6,247,196 | ) | (8.98 | )% | |||||
Other foreign currency | 1,280,574 | 1.84 | % | |||||||||
Total forwards | (5,109,904 | ) | (7.35 | )% | ||||||||
Total derivative financial instruments | $ | (7,631,786 | ) | (10.97 | )% |
Graham Alternative Investment Trading LLC
Notes to Financial Statements (continued)
Graham Commodity Strategies LLC | Graham K4D Trading Ltd. | |||||||
Assets | ||||||||
Level 1: | ||||||||
Commodity futures | $ | 4,486,309 | $ | 10,924,441 | ||||
Commodity futures options | 2,337,480 | - | ||||||
Currency futures | 475 | 59,691 | ||||||
Exchange memberships | 5,863,600 | 756,500 | ||||||
Foreign bond futures | 138,198 | 4,250,332 | ||||||
Foreign index futures | - | 2,603,289 | ||||||
Interest rate futures | 20,013,528 | 480,650 | ||||||
Interest rate futures options | 13,342,488 | - | ||||||
U.S. bond futures | 19,339,805 | 1,837,250 | ||||||
U.S. index futures | 43,370 | 326,957 | ||||||
U.S. index futures options | 1,256,250 | - | ||||||
Total Level 1 | 66,821,503 | 21,239,110 | ||||||
Level 2: | ||||||||
Foreign currency forwards | 27,155,059 | 5,540,490 | ||||||
Foreign currency futures options | 58,675,515 | - | ||||||
Government bonds* | - | 62,592,100 | ||||||
Total Level 2 | 85,830,574 | 68,132,590 | ||||||
Total investment related assets | $ | 152,652,077 | $ | 89,371,700 | ||||
Liabilities | ||||||||
Level 1: | ||||||||
Commodity futures | $ | (561,950 | ) | $ | (9,707,163 | ) | ||
Commodity futures options | (1,000,339 | ) | - | |||||
Currency futures | (1,640 | ) | (311,575 | ) | ||||
Foreign bond futures | (642,744 | ) | - | |||||
Foreign index futures | (42,275 | ) | (2,108,199 | ) | ||||
Interest rate futures | (21,863,938 | ) | (4,184,864 | ) | ||||
Interest rate futures options | (16,028,272 | ) | - | |||||
U.S. bond futures | (221,375 | ) | (4,784,097 | ) | ||||
U.S. index futures | (242,000 | ) | (3,303,916 | ) | ||||
U.S. index futures options | (2,808,500 | ) | - | |||||
Total Level 1 | (43,413,033 | ) | (24,399,814 | ) | ||||
Level 2: | ||||||||
Foreign currency forwards | (25,228,254 | ) | (9,255,072 | ) | ||||
Foreign currency futures options | (59,626,208 | ) | - | |||||
Total Level 2 | (84,854,462 | ) | (9,255,072 | ) | ||||
Total investment related liabilities | $ | (128,267,495 | ) | $ | (33,654,886 | ) |
Graham Alternative Investment Trading LLC
Notes to Financial Statements (continued)
Long exposure | Short exposure | Long exposure | Short exposure | ||||||||||||||||||||||||||||||||||||||||||||
Notional amounts | Number of contracts | Notional amounts | Number of contracts | Derivative Assets | Derivative Liabilities | Notional amounts | Number of contracts | Notional amounts | Number of contracts | Derivative assets | Derivative liabilities | ||||||||||||||||||||||||||||||||||||
Commodity price | |||||||||||||||||||||||||||||||||||||||||||||||
Futures | $ | 684,895,792 | 26,605 | $ | (418,457,890 | ) | (10,460 | ) | $ | 13,829,633 | $ | (10,718,909 | ) | $ | 272,541,861 | 5,754 | $ | (177,709,601 | ) | (3,732 | ) | $ | 4,486,309 | $ | (561,950 | ) | |||||||||||||||||||||
Options(a) | 886,926,208 | 48,656 | (638,485,018 | ) | (52,972 | ) | 13,308,775 | (7,603,655 | ) | ||||||||||||||||||||||||||||||||||||||
Options (a) | 1,298,537,787 | 18,027 | (380,553,060 | ) | (19,678 | ) | 2,337,480 | (1,000,339 | ) | ||||||||||||||||||||||||||||||||||||||
1,571,822,000 | 75,261 | (1,056,942,908 | ) | (63,432 | ) | 27,138,408 | (18,322,564 | ) | 1,571,079,648 | 23,781 | (558,262,661 | ) | (23,410 | ) | 6,823,789 | (1,562,289 | ) | ||||||||||||||||||||||||||||||
Equity price | |||||||||||||||||||||||||||||||||||||||||||||||
Futures | 205,942,579 | 1,991 | (241,079,315 | ) | (2,453 | ) | 173,120 | (475,267 | ) | 319,487,143 | 5,171 | (165,950,877 | ) | (1,336 | ) | 43,370 | (284,275 | ) | |||||||||||||||||||||||||||||
Options(a) | 59,964,058 | 4,650 | (32,309,289 | ) | (5,525 | ) | 2,361,250 | (1,976,250 | ) | ||||||||||||||||||||||||||||||||||||||
265,906,637 | 6,641 | (273,388,604 | ) | (7,978 | ) | 2,534,370 | (2,451,517 | ) | |||||||||||||||||||||||||||||||||||||||
Options (a) | 254,692,833 | 16,240 | (191,820,390 | ) | (23,034 | ) | 1,256,250 | (2,808,500 | ) | ||||||||||||||||||||||||||||||||||||||
574,179,976 | 21,411 | (357,771,267 | ) | (24,370 | ) | 1,299,620 | (3,092,775 | ) | |||||||||||||||||||||||||||||||||||||||
Foreign currency exchange rate | Foreign currency exchange rate | ||||||||||||||||||||||||||||||||||||||||||||||
Forwards | 38,829,225,666 | N/A | (2,004,799,747 | ) | N/A | 23,574,930 | (14,048,451 | ) | 16,918,431,703 | N/A | (3,410,910,329 | ) | N/A | 27,155,059 | (25,228,254 | ) | |||||||||||||||||||||||||||||||
Options(a) | 1,153,407,119 | 34 | (799,574,425 | ) | (33 | ) | 18,201,430 | (5,219,305 | ) | ||||||||||||||||||||||||||||||||||||||
Futures | 423,939 | 4 | - | - | 475 | (1,640 | ) | ||||||||||||||||||||||||||||||||||||||||
Options (a) | 2,197,339,066 | 51 | (2,396,099,814 | ) | (41 | ) | 58,675,515 | (59,626,208 | ) | ||||||||||||||||||||||||||||||||||||||
39,982,632,785 | 34 | (2,804,374,172 | ) | (33 | ) | 41,776,360 | (19,267,756 | ) | 19,116,194,708 | 55 | (5,807,010,143 | ) | (41 | ) | 85,831,049 | (84,856,102 | ) | ||||||||||||||||||||||||||||||
Interest rate | |||||||||||||||||||||||||||||||||||||||||||||||
Futures | 7,826,142,920 | 30,549 | (23,846,250,019 | ) | (88,273 | ) | 16,057,583 | (9,268,017 | ) | 20,804,178,975 | 62,009 | (25,465,899,339 | ) | (76,933 | ) | 39,491,531 | (22,728,057 | ) | |||||||||||||||||||||||||||||
Options(a) | 3,705,221,105 | 123,619 | (6,474,304,873 | ) | (119,408 | ) | 6,266,106 | (3,887,288 | ) | ||||||||||||||||||||||||||||||||||||||
Options (a) | 7,298,162,958 | 167,030 | (8,522,843,364 | ) | (123,049 | ) | 13,342,488 | (16,028,272 | ) | ||||||||||||||||||||||||||||||||||||||
11,531,364,025 | 154,168 | (30,320,554,892 | ) | (207,681 | ) | 22,323,689 | (13,155,305 | ) | 28,102,341,933 | 229,039 | (33,988,742,703 | ) | (199,982 | ) | 52,834,019 | (38,756,329 | ) | ||||||||||||||||||||||||||||||
Total | $ | 53,351,725,447 | 236,104 | $ | (34,455,260,576 | ) | (279,124 | ) | $ | 93,772,827 | $ | (53,197,142 | ) | $ | 49,363,796,265 | 274,286 | $ | (40,711,786,774 | ) | (247,803 | ) | $ | 146,788,477 | $ | (128,267,495 | ) |
(a) |
Graham Alternative Investment Trading LLC
Notes to Financial Statements (continued)
Long exposure | Short exposure | Long exposure | Short exposure | |||||||||||||||||||||||||||||||||||||||||||||
Notional amounts | Number of contracts | Notional amounts | Number of contracts | Derivative Assets | Derivative Liabilities | Notional amounts | Number of contracts | Notional amounts | Number of contracts | Derivative assets | Derivative liabilities | |||||||||||||||||||||||||||||||||||||
Commodity price | ||||||||||||||||||||||||||||||||||||||||||||||||
Futures | $ | 369,756,628 | 4,817 | $ | (363,243,889 | ) | (8,875 | ) | $ | 31,996,866 | $ | (5,685,283 | ) | $ | 352,534,389 | 4,767 | $ | (315,959,595 | ) | (5,520 | ) | $ | 10,924,441 | $ | (9,707,163 | ) | ||||||||||||||||||||||
369,756,628 | 4,817 | (363,243,889 | ) | (8,875 | ) | 31,996,866 | (5,685,283 | ) | 352,534,389 | 4,767 | (315,959,595 | ) | (5,520 | ) | 10,924,441 | (9,707,163 | ) | |||||||||||||||||||||||||||||||
Equity price | ||||||||||||||||||||||||||||||||||||||||||||||||
Futures | 916,387,258 | 8,530 | (16,306,851 | ) | (785 | ) | 8,844,225 | (1,717,262 | ) | 417,348,057 | 3,525 | (137,133,948 | ) | (1,719 | ) | 2,930,246 | (5,412,115 | ) | ||||||||||||||||||||||||||||||
417,348,057 | 3,525 | (137,133,948 | ) | (1,719 | ) | 2,930,246 | (5,412,115 | ) | ||||||||||||||||||||||||||||||||||||||||
916,387,258 | 8,530 | (16,306,851 | ) | (785 | ) | 8,844,225 | (1,717,262 | ) | ||||||||||||||||||||||||||||||||||||||||
Foreign currency exchange rate | Foreign currency exchange rate | Foreign currency exchange rate | ||||||||||||||||||||||||||||||||||||||||||||||
Forwards | 1,124,238,162 | N/A | (798,826,259 | ) | N/A | 9,288,894 | (10,165,116 | ) | 309,204,100 | N/A | (781,505,253 | ) | N/A | 5,540,490 | (9,255,072 | ) | ||||||||||||||||||||||||||||||||
Futures | 14,700,523 | 152 | (40,445,174 | ) | (424 | ) | 434,847 | (76,583 | ) | 24,478,900 | 261 | (16,744,023 | ) | (166 | ) | 59,691 | (311,575 | ) | ||||||||||||||||||||||||||||||
1,138,938,685 | 152 | (839,271,433 | ) | (424 | ) | 9,723,741 | (10,241,699 | ) | 333,683,000 | 261 | (798,249,276 | ) | (166 | ) | 5,600,181 | (9,566,647 | ) | |||||||||||||||||||||||||||||||
Interest rate | ||||||||||||||||||||||||||||||||||||||||||||||||
Futures | 3,211,871,054 | 18,268 | (2,037,461,446 | ) | (10,891 | ) | 7,257,986 | (4,729,124 | ) | 1,794,077,328 | 9,368 | (2,321,524,647 | ) | (13,412 | ) | 6,568,232 | (8,968,961 | ) | ||||||||||||||||||||||||||||||
3,211,871,054 | 18,268 | (2,037,461,446 | ) | (10,891 | ) | 7,257,986 | (4,729,124 | ) | 1,794,077,328 | 9,368 | (2,321,524,647 | ) | (13,412 | ) | 6,568,232 | (8,968,961 | ) | |||||||||||||||||||||||||||||||
Total | $ | 5,636,953,625 | 31,767 | $ | (3,256,283,619 | ) | (20,975 | ) | $ | 57,822,818 | $ | (22,373,368 | ) | $ | 2,897,642,774 | 17,921 | $ | (3,572,867,466 | ) | (20,817 | ) | $ | 26,023,100 | $ | (33,654,886 | ) |
Graham Alternative Investment Trading LLC
Notes to Financial Statements (continued)
Description | Gross Amount | Gross Amount Offset in the Statements of Financial Condition | Net Amount Presented in the Statements of Financial Condition | Collateral (Received) / Pledged | Net Amount | Gross Amount | Gross Amount Offset in the Statements of Financial Condition | Net Amount Presented in the Statements of Financial Condition | Collateral (Received) / Pledged | Net Amount | ||||||||||||||||||||||||||||||
Graham Commodity Strategies LLC1 | Graham Commodity Strategies LLC1 | Graham Commodity Strategies LLC1 | ||||||||||||||||||||||||||||||||||||||
Derivative assets | $ | 93,772,827 | $ | (50,770,941 | ) | $ | 43,001,886 | $ | - | $ | 43,001,886 | $ | 146,788,477 | $ | (126,388,822 | ) | $ | 20,399,655 | $ | - | $ | 20,399,655 | ||||||||||||||||||
Derivative liabilities | (53,197,142 | ) | 50,770,941 | (2,426,201 | ) | 2,426,201 | - | (128,267,495 | ) | 126,388,822 | (1,878,673 | ) | 1,878,673 | - | ||||||||||||||||||||||||||
Graham K4D Trading Ltd.2 | ||||||||||||||||||||||||||||||||||||||||
Derivative assets | $ | 57,822,818 | $ | (21,508,906 | ) | $ | 36,313,912 | $ | - | $ | 36,313,912 | $ | 26,023,100 | $ | (26,023,100 | ) | $ | - | $ | - | $ | - | ||||||||||||||||||
Derivative liabilities | (22,373,368 | ) | 21,508,906 | (864,462 | ) | 864,462 | - | (33,654,886 | ) | 26,023,100 | (7,631,786 | ) | 5,875,703 | (1,756,083 | ) | |||||||||||||||||||||||||
Graham Alternative Investment Trading LLC
Notes to Financial Statements (continued)
Graham Commodity Strategies LLC | Graham K4D Trading Ltd. | |||||||
Net investment income | $ | 1,084,285 | $ | 854,787 | ||||
Net realized (loss) gain on investments | (163,425,728 | ) | 32,347,730 | |||||
Net (decrease) increase in unrealized appreciation on investments | (2,261,460 | ) | 25,016,746 | |||||
Brokerage commissions and fees | (17,056,032 | ) | (948,442 | ) | ||||
Net (loss) gain on investments | (182,743,220 | ) | 56,416,034 | |||||
Net (loss) income | $ | (181,658,935 | ) | $ | 57,270,821 |
Graham Commodity Strategies LLC | Graham K4D Trading Ltd. | |||||||
Net investment income | $ | 1,610,124 | $ | 1,185,941 | ||||
Net realized gain (loss) on investments | 110,884,772 | (59,156,197 | ) | |||||
Net increase (decrease) in unrealized appreciation on investments | 2,788,134 | (38,911,339 | ) | |||||
Brokerage commissions and fees | (18,599,777 | ) | (729,122 | ) | ||||
Net gain (loss) on investments | 95,073,129 | (98,796,658 | ) | |||||
Net income (loss) | $ | 96,683,253 | $ | (97,610,717 | ) |
Graham Commodity Strategies LLC | Graham K4D Trading Ltd. | Graham Commodity Strategies LLC | Graham K4D Trading Ltd. | |||||||||||||
Commodity price | ||||||||||||||||
Futures | $ | (67,611,263 | ) | $ | (1,092,753 | ) | $ | (21,647,877 | ) | $ | (29,727,153 | ) | ||||
Options | (94,727,703 | ) | - | (1,165,479 | ) | - | ||||||||||
(162,338,966 | ) | (1,092,753 | ) | (22,813,356 | ) | (29,727,153 | ) | |||||||||
Equity price | ||||||||||||||||
Equities | 783,000 | 357,500 | 1,222,100 | (267,750 | ) | |||||||||||
Futures | (29,109,760 | ) | 158,273,603 | 54,261,527 | �� | (36,121,427 | ) | |||||||||
Options | (14,306,330 | ) | - | (10,056,860 | ) | - | ||||||||||
(42,633,090 | ) | 158,631,103 | 45,426,767 | (36,389,177 | ) | |||||||||||
Foreign currency exchange rate | ||||||||||||||||
Forwards | 153,768,036 | (62,373,010 | ) | 55,130,797 | (23,455,994 | ) | ||||||||||
Futures | - | 914,855 | 325,538 | 396,611 | ||||||||||||
Options | (67,951,966 | ) | - | (59,716,244 | ) | - | ||||||||||
85,816,070 | (61,458,155 | ) | (4,259,909 | ) | (23,059,383 | ) | ||||||||||
Interest rate | ||||||||||||||||
Fixed income securities | - | 229,482 | ||||||||||||||
Futures | (11,832,693 | ) | (38,715,719 | ) | 102,455,028 | (9,121,305 | ) | |||||||||
Options | (34,698,509 | ) | - | (7,135,624 | ) | - | ||||||||||
(46,531,202 | ) | (38,715,719 | ) | 95,319,404 | (8,891,823 | ) | ||||||||||
Total | $ | (165,687,188 | ) | $ | 57,364,476 | $ | 113,672,906 | $ | (98,067,536 | ) |
Graham Alternative Investment Trading LLC
Notes to Financial Statements (continued)
Graham Commodity Strategies LLC (Delaware) | Graham K4D Trading Ltd. (BVI) | |||||||
Assets: | ||||||||
Due from brokers | $ | 106,497,715 | $ | 89,715,477 | ||||
Derivative financial instruments, at fair value | 59,863,776 | 10,834,324 | ||||||
Exchange membership, at fair value | 3,858,500 | 666,750 | ||||||
Dividends receivable | 68,250 | - | ||||||
Total assets | 170,288,241 | 101,216,551 | ||||||
Liabilities: | ||||||||
Derivative financial instruments, at fair value | - | - | ||||||
Total liabilities | - | - | ||||||
Members’ Capital / Net Assets | $ | 170,288,241 | $ | 101,216,551 | ||||
Percentage of Master Fund held by GAIT | 4.45 | % | 8.72 | % |
Description | Number of Contracts / Notional Amounts | Fair Value | Percentage of Members’ Capital of Master Fund | |||||||||
Graham Commodity Strategies LLC | ||||||||||||
Derivative financial instruments | ||||||||||||
Long contracts | ||||||||||||
Futures | ||||||||||||
Brent crude oil March 2017 – December 2017 | 420 | $ | 323,780 | 0.19 | % | |||||||
Coffee May 2017 | 32 | (65,400 | ) | (0.04 | )% | |||||||
Coffee Robusta March 2017 | 4,325 | 5,634,070 | 3.31 | % | ||||||||
Natural gas March 2017 | 500 | 619,660 | 0.36 | % | ||||||||
WTI crude oil April 2017 – June 2017 | 1,800 | 1,031,760 | 0.61 | % | ||||||||
Other commodity | 2,391,795 | 1.39 | % | |||||||||
Foreign index | 678,522 | 0.40 | % | |||||||||
Interest rate | 163,377 | 0.10 | % | |||||||||
U.S. bond | 1,290,594 | 0.76 | % | |||||||||
U.S. index | (159,638 | ) | (0.09 | )% | ||||||||
Total futures | 11,908,520 | 6.99 | % | |||||||||
Forwards | ||||||||||||
Chinese yuan / U.S. dollar 01/09/2017 - 10/31/2017 | CNY | 1,858,354,550 | (5,082,907 | ) | (2.99 | )% | ||||||
Euro / U.S. dollar 01/03/2017 | EUR | 45,000,000 | 424,786 | 0.25 | % | |||||||
Japanese yen / U.S. dollar 01/04/2017 - 01/05/2017 | JPY | 24,025,706,717 | 370,501 | 0.22 | % | |||||||
Other foreign currency | (992,700 | ) | (0.58 | )% | ||||||||
Total forwards | (5,280,320 | ) | (3.10 | )% | ||||||||
Options (cost $148,645,305) | ||||||||||||
Coffee Robusta March 2017, $2,050.00 - $2,200.00 Call | 3 | 1,469,500 | 0.86 | % | ||||||||
Coffee Robusta March 2017, $1,900.00 - $2,000.00 Put | 2 | (331,000 | ) | (0.19 | )% | |||||||
Coffee future March - May 2017, $170.00 Call | 2 | 1,948,500 | 1.14 | % | ||||||||
Crude oil March 2017 - December 2018, $50.00 - $73.00 Call | 6 | 15,410,500 | 9.05 | % | ||||||||
Natural gas Euro February 2017 - October 2017, $3.25 - $4.00 Call | 11 | 20,719,250 | 12.17 | % | ||||||||
Other commodity futures | 17,080,628 | 10.03 | % | |||||||||
Foreign bond futures | 371,034 | 0.22 | % | |||||||||
Euro / U.S. dollar 01/13/2017, $1.13 - $1.12 Call | 2 | 5,580 | 0.00 | % | ||||||||
Euro / U.S. dollar 01/10/2017 - 05/19/2017, $0.93 - $1.03 Put | 9 | 4,748,294 | 2.79 | % | ||||||||
U.S. dollar / Chinese yuan 01/23/2017 - 09/17/2017, $6.90 - $7.60 Call | 11 | 7,954,932 | 4.67 | % | ||||||||
U.S. dollar / Japanese yen 02/03/2017, $109.00 Call | 1 | 13,245,000 | 7.78 | % | ||||||||
U.S. dollar / Japanese yen 01/04/2017 - 03/30/2017, $112.50 - $122.48 Call | 11 | 17,623,072 | 10.35 | % | ||||||||
U.S. dollar / Japanese yen 02/03/2017 - 02/28/2017, $104.50 - $122.98 Put | 2 | 293,183 | 0.17 | % | ||||||||
Other currency | 10,789,649 | 6.34 | % | |||||||||
IMM Eurodollar June 2017, $99.00 Put | 1 | 24,750,000 | 14.53 | % | ||||||||
IMM Eurodollar December 2017, $98.50 Put | 1 | 11,093,750 | 6.51 | % |
Description | Number of Contracts / Notional Amounts | Fair Value | Percentage of Members’ Capital of Master Fund | |||||||||
Graham Commodity Strategies LLC (continued) | ||||||||||||
Derivative financial instruments (continued) | ||||||||||||
Long contracts (continued) | ||||||||||||
Options (continued) | ||||||||||||
IMM Eurodollar June 2017 - December 2018, $97.75 - $98.63 Put | 2 | $ | 6,312,500 | 3.71 | % | |||||||
IMM Eurodollar March 2017, $99.38 Call | 1 | 46,875 | 0.03 | % | ||||||||
Other interest rate futures | 4,715,625 | 2.77 | % | |||||||||
U.S. bond futures | 1,476,563 | 0.87 | % | |||||||||
U.S. index futures | 2,475,000 | 1.45 | % | |||||||||
Total options | 162,198,435 | 95.25 | % | |||||||||
Short contracts | ||||||||||||
Futures | ||||||||||||
Brent crude oil December 2018 | (150 | ) | (170,790 | ) | (0.10 | )% | ||||||
WTI crude oil February - March 2017 | (1,500 | ) | (590,670 | ) | (0.35 | )% | ||||||
Other commodity | 2,116,601 | 1.25 | % | |||||||||
Foreign bond | (1,640,883 | ) | (0.96 | )% | ||||||||
Interest rate | 1,901,210 | 1.12 | % | |||||||||
U.S. bond | (2,580,891 | ) | (1.52 | )% | ||||||||
U.S. index | 430,525 | 0.25 | % | |||||||||
Total futures | (534,898 | ) | (0.31 | )% | ||||||||
Forwards | ||||||||||||
Chinese yuan / U.S. dollar 01/09/2017 - 10/31/2017 | CNY | (1,995,485,204 | ) | 4,111,234 | 2.41 | % | ||||||
Euro / U.S. dollar 01/03/2017 | EUR | (1,814,750,514 | ) | (8,472,386 | ) | (4.97 | )% | |||||
Japanese yen / U.S. dollar 01/04/2017 - 01/05/2017 | JPY | (36,516,967,351 | ) | (279,864 | ) | (0.16 | )% | |||||
Other foreign currency | (285,428 | ) | (0.17 | )% | ||||||||
Total forwards | (4,926,444 | ) | (2.89 | )% |
Description | Number of Contracts / Notional Amounts | Fair Value | Percentage of Members’ Capital of Master Fund | |||||||||
Graham Commodity Strategies LLC (continued) | ||||||||||||
Derivative financial instruments (continued) | ||||||||||||
Short contracts | ||||||||||||
Options (proceeds $91,934,878) | ||||||||||||
Coffee Robusta March 2017, $2,400.00 Call | (1 | ) | $ | (17,000 | ) | (0.01 | )% | |||||
Coffee Robusta March 2017, $1,900.00 - $1,950.00 Put | (2 | ) | 196,500 | 0.12 | % | |||||||
Coffee future March - May 2017, $185.00 - $200.00 Call | (3 | ) | (635,250 | ) | (0.37 | )% | ||||||
Crude oil future February 2017 - December 2018, $52.50 - $80.00 Call | (10 | ) | (17,391,000 | ) | (10.21 | )% | ||||||
Crude oil future February 2017 - December 2017, $45.00 - $54.00 Put | (12 | ) | (7,941,520 | ) | (4.66 | )% | ||||||
Natural gas Euro February 2017 - October 2017, $3.50 - $5.00 Call | (20 | ) | (15,652,875 | ) | (9.19 | )% | ||||||
Natural gas Euro February 2017 - August 2017, $2.75 - $3.50 Put | (5 | ) | (2,718,750 | ) | (1.60 | )% | ||||||
Other commodity futures | (2,090,590 | ) | (1.24 | )% | ||||||||
Euro / U.S. dollar 01/13/2017, $1.13 - $1.12 Call | (2 | ) | (5,580 | ) | (0.00 | )% | ||||||
Euro / U.S. dollar 01/10/2017 - 05/19/2017, $0.93 - $1.01 Put | (4 | ) | (2,800,870 | ) | (1.64 | )% | ||||||
U.S. dollar / Chinese yuan 01/23/2017 - 09/17/2017, $7.20 - $7.90 Call | (4 | ) | (917,033 | ) | (0.54 | )% | ||||||
U.S. dollar / Japanese yen 02/03/2017, $109.00 Call | (1 | ) | (13,245,000 | ) | (7.78 | )% | ||||||
U.S. dollar / Japanese yen 01/13/2017 - 02/02/2017, $116.50 - $122.52 Call | (5 | ) | (5,196,358 | ) | (3.05 | )% | ||||||
U.S. dollar / Japanese yen 01/23/2017 - 02/03/2017, $104.50 - $113.75 Put | (3 | ) | (455,030 | ) | (0.27 | )% | ||||||
Other currency | (1,596,719 | ) | (0.94 | )% | ||||||||
IMM Eurodollar June 2017, $98.88 Put | (1 | ) | (14,062,500 | ) | (8.26 | )% | ||||||
IMM Eurodollar March 2017, $99.63 Call | (1 | ) | (46,875 | ) | (0.03 | )% | ||||||
IMM Eurodollar June 2017 - December 2018, $97.25 - $98.75 Put | (3 | ) | (15,656,250 | ) | (9.19 | )% | ||||||
Other interest rate futures | (2,187,500 | ) | (1.29 | )% | ||||||||
Foreign bond futures | (265,692 | ) | (0.16 | )% | ||||||||
U.S. bond futures | (328,125 | ) | (0.19 | )% | ||||||||
U.S. index futures | (487,500 | ) | (0.29 | )% | ||||||||
Total options | (103,501,517 | ) | (60.79 | )% | ||||||||
Total derivative financial instruments | $ | 59,863,776 | 35.15 | % |
Description | Number of Contracts / Notional Amounts | Fair Value | Percentage of Net Assets of Master Fund | |||||||||
Graham K4D Trading Ltd. | ||||||||||||
Derivative financial instruments | ||||||||||||
Long contracts | ||||||||||||
Futures | ||||||||||||
Commodity | $ | (3,650,299 | ) | (3.61 | )% | |||||||
Canadian dollar March 2017 | 17 | (24,477 | ) | (0.02 | )% | |||||||
Other currency | 296,075 | 0.28 | % | |||||||||
Foreign bond | 3,609,660 | 3.57 | % | |||||||||
Foreign index | 4,228,909 | 4.18 | % | |||||||||
Interest rate | (90,443 | ) | (0.09 | )% | ||||||||
U.S. bond | (276,795 | ) | (0.27 | )% | ||||||||
U.S. index | (1,187,357 | ) | (1.17 | )% | ||||||||
Total futures | 2,905,273 | 2.87 | % | |||||||||
Forwards | ||||||||||||
Canadian dollar / U.S. dollar 03/15/2017 | CAD | 53,947,000 | (349,056 | ) | (0.35 | )% | ||||||
Australian dollar / U.S. dollar 03/15/2017 | AUD | 199,857,000 | (5,618,079 | ) | (5.55 | )% | ||||||
Australian dollar / U.S. dollar 01/03/2017 – 03/15/2017 | AUD | 43,303,274 | (108,700 | ) | (0.11 | )% | ||||||
Other foreign currency | (3,545,034 | ) | (3.50 | )% | ||||||||
Total forwards | (9,620,869 | ) | (9.51 | )% | ||||||||
Short contracts | ||||||||||||
Futures | ||||||||||||
Commodity | 4,381,482 | 4.33 | % | |||||||||
Australian dollar March 2017 | (10 | ) | 6,093 | 0.01 | % | |||||||
Other currency | (13,007 | ) | (0.01 | )% | ||||||||
Foreign bond | (947,794 | ) | (0.94 | )% | ||||||||
Foreign index | (749,021 | ) | (0.74 | )% | ||||||||
Interest rate | 1,325,779 | 1.31 | % | |||||||||
U.S. bond | 1,255,178 | 1.24 | % | |||||||||
U.S. index | 34,730 | 0.03 | % | |||||||||
Total futures | 5,293,440 | 5.23 | % | |||||||||
Forwards | ||||||||||||
Canadian dollar / U.S. dollar 03/15/2017 | CAD | (287,093,000 | ) | 5,336,391 | 5.27 | % | ||||||
Australian dollar / U.S. dollar 01/03/2017 – 03/15/2017 | AUD | (90,861,000 | ) | 35,674 | 0.04 | % | ||||||
Other foreign currency | 6,884,415 | 6.80 | % | |||||||||
Total forwards | 12,256,480 | 12.11 | % | |||||||||
Total derivative financial instruments | $ | 10,834,324 | 10.70 | % |
Graham Commodity Strategies LLC | Graham K4D Trading Ltd. | |||||||
Assets | ||||||||
Level 1: | ||||||||
Commodity futures | $ | 14,319,838 | $ | 8,742,664 | ||||
Commodity futures options | 56,824,878 | - | ||||||
Currency futures | - | 302,492 | ||||||
Foreign bond futures | 48,225 | 3,822,421 | ||||||
Foreign bond futures options | 371,034 | - | ||||||
Foreign index futures | 985,283 | 4,321,716 | ||||||
Interest rate futures | 3,317,486 | 1,882,466 | ||||||
Interest rate futures options | 46,918,750 | - | ||||||
U.S. bond futures | 1,290,594 | 1,432,048 | ||||||
U.S. bond futures options | 1,476,563 | - | ||||||
U.S. index futures | 430,525 | 1,249,198 | ||||||
U.S. index futures options | 2,475,000 | - | ||||||
Total Level 1 | 128,458,176 | 21,753,005 | ||||||
Level 2: | ||||||||
Foreign currency forwards | 10,689,404 | 14,142,320 | ||||||
Foreign currency options | 54,659,710 | - | ||||||
Total Level 2 | 65,349,114 | 14,142,320 | ||||||
Total investment related assets | $ | 193,807,290 | $ | 35,895,325 | ||||
Liabilities | ||||||||
Level 1: | ||||||||
Commodity futures | $ | (3,029,032 | ) | $ | (8,011,481 | ) | ||
Commodity futures options | (46,777,985 | ) | - | |||||
Currency futures | - | (37,808 | ) | |||||
Foreign bond futures | (1,689,108 | ) | (1,160,555 | ) | ||||
Foreign bond futures options | (265,692 | ) | - | |||||
Foreign index futures | (306,761 | ) | (841,828 | ) | ||||
Interest rate futures | (1,252,899 | ) | (647,130 | ) | ||||
Interest rate futures options | (31,953,125 | ) | - | |||||
U.S. bond futures | (2,580,891 | ) | (453,665 | ) | ||||
U.S. bond futures options | (328,125 | ) | - | |||||
U.S. index futures | (159,638 | ) | (2,401,825 | ) | ||||
U.S. index futures options | (487,500 | ) | - | |||||
Total Level 1 | (88,830,756 | ) | (13,554,292 | ) | ||||
Level 2: | ||||||||
Foreign currency forwards | (20,896,168 | ) | (11,506,709 | ) | ||||
Foreign currency options | (24,216,590 | ) | - | |||||
Total Level 2 | (45,112,758 | ) | (11,506,709 | ) | ||||
Total investment related liabilities | $ | (133,943,514 | ) | $ | (25,061,001 | ) |
Long exposure | Short exposure | |||||||||||||||||||||||
Notional amounts | Number of contracts | Notional amounts | Number of contracts | Derivative Assets | Derivative Liabilities | |||||||||||||||||||
Commodity price | ||||||||||||||||||||||||
Futures | $ | 594,473,573 | 18,890 | $ | (378,174,689 | ) | (10,348 | ) | $ | 14,319,838 | $ | (3,029,032 | ) | |||||||||||
Options(a) | 645,422,049 | 43,618 | (422,143,840 | ) | (28,650 | ) | 56,824,878 | (46,777,985 | ) | |||||||||||||||
Swaps(b) | 27,685,864 | 595 | - | - | - | - | ||||||||||||||||||
1,267,581,486 | 63,103 | (800,318,529 | ) | (38,998 | ) | 71,144,716 | (49,807,017 | ) | ||||||||||||||||
Equity price | ||||||||||||||||||||||||
Futures | 93,578,564 | 1,005 | (62,056,131 | ) | (781 | ) | 1,415,808 | (466,399 | ) | |||||||||||||||
Options(a) | 64,008,276 | 7,398 | (12,900,694 | ) | (4,998 | ) | 2,475,000 | (487,500 | ) | |||||||||||||||
157,586,840 | 8,403 | (74,956,825 | ) | (5,779 | ) | 3,890,808 | (953,899 | ) | ||||||||||||||||
Foreign currency exchange rate | ||||||||||||||||||||||||
Forwards | 9,482,312,254 | N/A | (4,518,659,130 | ) | N/A | 10,689,404 | (20,896,168 | ) | ||||||||||||||||
Options(a) | 1,178,965,223 | 50 | (1,118,794,294 | ) | (50 | ) | 54,659,710 | (24,216,590 | ) | |||||||||||||||
10,661,277,477 | 50 | (5,637,453,424 | ) | (50 | ) | 65,349,114 | (45,112,758 | ) | ||||||||||||||||
Interest rate | ||||||||||||||||||||||||
Futures | 18,154,657,514 | 59,205 | (15,921,789,404 | ) | (49,300 | ) | 4,656,305 | (5,522,898 | ) | |||||||||||||||
Options(a) | 8,496,802,913 | 147,025 | (9,037,141,028 | ) | (124,875 | ) | 48,766,347 | (32,546,942 | ) | |||||||||||||||
Swaps(b) | 559,814 | 1 | (2,624,769 | ) | (2 | ) | - | - | ||||||||||||||||
26,652,020,241 | 206,231 | (24,961,555,201 | ) | (174,177 | ) | 53,422,652 | (38,069,840 | ) | ||||||||||||||||
Total | $ | 38,738,466,044 | 277,787 | $ | (31,474,283,979 | ) | (219,004 | ) | $ | 193,807,290 | $ | (133,943,514 | ) |
Long exposure | Short exposure | |||||||||||||||||||||||
Notional amounts | Number of contracts | Notional amounts | Number of contracts | Derivative Assets | Derivative Liabilities | |||||||||||||||||||
Commodity price | ||||||||||||||||||||||||
Futures | $ | 369,934,460 | 7,477 | $ | (256,322,203 | ) | (5,940 | ) | $ | 8,742,664 | $ | (8,011,481 | ) | |||||||||||
369,934,460 | 7,477 | (256,322,203 | ) | (5,940 | ) | 8,742,664 | (8,011,481 | ) | ||||||||||||||||
Equity price | ||||||||||||||||||||||||
Futures | 574,565,900 | 5,873 | (135,885,108 | ) | (2,117 | ) | 5,570,914 | (3,243,653 | ) | |||||||||||||||
574,565,900 | 5,873 | (135,885,108 | ) | (2,117 | ) | 5,570,914 | (3,243,653 | ) | ||||||||||||||||
Foreign currency exchange rate | ||||||||||||||||||||||||
Forwards | 654,891,983 | N/A | (815,502,972 | ) | N/A | 14,142,320 | (11,506,709 | ) | ||||||||||||||||
Futures | 21,012,235 | 210 | (53,944,482 | ) | (552 | ) | 302,492 | (37,808 | ) | |||||||||||||||
675,904,218 | 210 | (869,447,454 | ) | (552 | ) | 14,444,812 | (11,544,517 | ) | ||||||||||||||||
Interest rate | ||||||||||||||||||||||||
Futures | 3,085,056,458 | 17,936 | (1,804,155,003 | ) | (8,701 | ) | 7,136,935 | (2,261,350 | ) | |||||||||||||||
3,085,056,458 | 17,936 | (1,804,155,003 | ) | (8,701 | ) | 7,136,935 | (2,261,350 | ) | ||||||||||||||||
Total | $ | 4,705,461,036 | 31,496 | $ | (3,065,809,768 | ) | (17,310 | ) | $ | 35,895,325 | $ | (25,061,001 | ) |
Description | Gross Amount | Gross Amount Offset in the Statements of Financial Condition | Net Amount Presented in the Statements of Financial Condition | Collateral (Received) / Pledged | Net Amount | |||||||||||||||
Graham Commodity Strategies LLC1 | ||||||||||||||||||||
Derivative assets | $ | 193,807,290 | $ | (133,943,514 | ) | $ | 59,863,776 | $ | - | $ | 59,863,776 | |||||||||
Derivative liabilities | (133,943,514 | ) | 133,943,514 | - | - | - | ||||||||||||||
Graham K4D Trading Ltd.2 | ||||||||||||||||||||
Derivative assets | $ | 35,895,325 | $ | (25,061,001 | ) | $ | 10,834,324 | $ | - | $ | 10,834,324 | |||||||||
Derivative liabilities | (25,061,001 | ) | 25,061,001 | - | - | - |
Graham Commodity Strategies LLC | Graham K4D Trading Ltd. | |||||||
Net investment income | $ | 252,436 | $ | 67,766 | ||||
Net realized gain (loss) on investments | 205,015,671 | (77,423,253 | ) | |||||
Net increase in unrealized appreciation on investments | 26,938,318 | 3,619,734 | ||||||
Brokerage commissions and fees | (16,236,638 | ) | (839,619 | ) | ||||
Net gain (loss) on investments | 215,717,351 | (74,643,138 | ) | |||||
Net income (loss) | $ | 215,969,787 | $ | (74,575,372 | ) |
Graham Commodity Strategies LLC | Graham K4D Trading Ltd. | |||||||
Commodity price | ||||||||
Futures | $ | 85,195,708 | $ | (96,510,977 | ) | |||
Options | 63,910,871 | - | ||||||
Swaps | (5,443,954 | ) | - | |||||
143,662,625 | (96,510,977 | ) | ||||||
Equity price | ||||||||
Equities | 835,500 | (85,250 | ) | |||||
Futures | 10,397,961 | (10,239,849 | ) | |||||
Options | (14,874,092 | ) | - | |||||
(3,640,631 | ) | (10,325,099 | ) | |||||
Foreign currency exchange rate | ||||||||
Forwards | 59,099,687 | 913,138 | ||||||
Futures | (78,885 | ) | (4,847,264 | ) | ||||
Options | 4,530,160 | - | ||||||
63,550,962 | (3,934,126 | ) | ||||||
Interest rate | ||||||||
Futures | 26,958,886 | 36,966,683 | ||||||
Options | 2,127,453 | - | ||||||
Swaps | (705,306 | ) | - | |||||
28,381,033 | 36,966,683 | |||||||
Total | $ | 231,953,989 | $ | (73,803,519 | ) |
December 31, 2017 | December 31, 2016 | December 31, 2019 | December 31, 2018 | |||||||||||||
Assets: | ||||||||||||||||
Cash and cash equivalents | $ | 793,958,319 | $ | 613,789,536 | $ | 552,689,299 | $ | 727,311,005 | ||||||||
Investments in fixed income securities (amortized cost $4,468,747,923 and $4,208,763,924, respectively) | 4,468,747,923 | 4,208,763,924 | ||||||||||||||
Accrued interest receivable | 11,157,235 | 8,117,639 | ||||||||||||||
Investments in fixed income securities (amortized cost $5,318,988,355 and $3,678,136,029, respectively) | 5,318,988,355 | 3,678,136,029 | ||||||||||||||
Interest receivable | 17,960,353 | 12,116,133 | ||||||||||||||
Total assets | 5,273,863,477 | 4,830,671,099 | 5,889,638,007 | 4,417,563,167 | ||||||||||||
Liabilities: | ||||||||||||||||
Accrued bank fee expense | 17,000 | - | ||||||||||||||
Total liabilities | 17,000 | - | ||||||||||||||
Members’ capital | $ | 5,273,863,477 | $ | 4,830,671,099 | $ | 5,889,621,007 | $ | 4,417,563,167 |
2017 | 2016 | 2019 | 2018 | |||||||||||||
Investment income | ||||||||||||||||
Interest income | $ | 42,251,368 | $ | 21,756,966 | $ | 101,745,765 | $ | 81,860,549 | ||||||||
Total investment income | 42,251,368 | 21,756,966 | 101,745,765 | 81,860,549 | ||||||||||||
Expenses: | ||||||||||||||||
Bank fee expense | 69,771 | 49,380 | 255,102 | 130,571 | ||||||||||||
Total expenses | 69,771 | 49,380 | 255,102 | 130,571 | ||||||||||||
Net investment income | 42,181,597 | 21,707,586 | 101,490,663 | 81,729,978 | ||||||||||||
Net income | $ | 42,181,597 | $ | 21,707,586 | $ | 101,490,663 | $ | 81,729,978 |
Graham Alternative Investment Trading LLC
Notes to Financial Statements (continued)
Description | Principal Amount | Fair Value | Percentage of Members’ Capital | |||||||||
Investments in Fixed Income Securities (amortized cost $4,468,747,923) | ||||||||||||
United States | ||||||||||||
Government Bonds (amortized cost $4,043,922,365) | ||||||||||||
U.S. Treasury bonds 0.63% – 3.13% due 01/15/2018 – 04/30/2020 | $ | 4,050,000,000 | $ | 4,043,922,365 | 76.68 | % | ||||||
Total Government Bonds | 4,043,922,365 | 76.68 | % | |||||||||
Treasury Bills (amortized cost $424,825,558) | ||||||||||||
U.S. Treasury bills 0.00% due 01/04/2018 – 01/25/2018 | 425,000,000 | 424,825,558 | 8.05 | % | ||||||||
Total Treasury Bills | 424,825,558 | 8.05 | % | |||||||||
Total United States | 4,468,747,923 | 84.73 | % | |||||||||
Total Investments in Fixed Income Securities | $ | 4,468,747,923 | 84.73 | % |
Description | Principal Amount | Fair Value | Percentage of Members’ Capital | Principal Amount | Fair Value | Percentage of Members’ Capital | ||||||||||||||||||
Investments in Fixed Income Securities (amortized cost $4,208,763,924) | ||||||||||||||||||||||||
Investments in Fixed Income Securities (amortized cost $5,318,988,355) | ||||||||||||||||||||||||
United States | ||||||||||||||||||||||||
Government Bonds (amortized cost $3,533,849,051) | ||||||||||||||||||||||||
U.S. Treasury bonds 0.50% – 3.25% due 01/15/2017 – 04/15/2019 | $ | 3,525,000,000 | $ | 3,533,849,051 | 73.16 | % | ||||||||||||||||||
Government Bonds (amortized cost $5,069,101,450) | ||||||||||||||||||||||||
U.S. Treasury bonds 1.13% – 2.75% due 01/15/2020 – 03/31/2021 | $ | 5,075,000,000 | $ | 5,069,101,450 | 86.07% | |||||||||||||||||||
Total Government Bonds | 3,533,849,051 | 73.16 | % | 5,069,101,450 | 86.07% | |||||||||||||||||||
Treasury Bills (amortized cost $674,914,873) | ||||||||||||||||||||||||
U.S. Treasury bill 0.00% due 01/12/2017 | 275,000,000 | 274,964,768 | 5.69 | % | ||||||||||||||||||||
U.S. Treasury bills 0.00% due 01/5/2017 – 01/19/2017 | 400,000,000 | 399,950,105 | 8.28 | % | ||||||||||||||||||||
Treasury Bills (amortized cost $249,886,905) | ||||||||||||||||||||||||
U.S. Treasury bills 0.00% 01/07/2020 – 01/14/2020 | 250,000,000 | 249,886,905 | 4.24% | |||||||||||||||||||||
Total Treasury Bills | 674,914,873 | 13.97 | % | 249,886,905 | 4.24% | |||||||||||||||||||
Total United States | 4,208,763,924 | 87.13 | % | 5,318,988,355 | 90.31% | |||||||||||||||||||
Total Investments in Fixed Income Securities | $ | 4,208,763,924 | 87.13 | % | $ | 5,318,988,355 | 90.31% |
Description | Principal Amount | Fair Value | Percentage of Members’ Capital | |||||||||
Investments in Fixed Income Securities (amortized cost $3,678,136,029) | ||||||||||||
United States | ||||||||||||
Government Bonds (amortized cost $3,678,136,029) | ||||||||||||
U.S. Treasury bonds 0.75% – 3.13% due 01/15/2019 – 10/31/2020 | $ | 3,700,000,000 | $ | 3,678,136,029 | 83.26% | |||||||
Total Government Bonds | 3,678,136,029 | 83.26% | ||||||||||
Total United States | 3,678,136,029 | 83.26% | ||||||||||
Total Investments in Fixed Income Securities | $ | 3,678,136,029 | 83.26% |
Graham Alternative Investment Trading LLC
Notes to Financial Statements (continued)
2017 | 2016 | 2019 | 2018 | |||||||||||||
Assets | ||||||||||||||||
Level 2: | ||||||||||||||||
Fixed income securities | ||||||||||||||||
Government bonds | $ | 4,043,922,365 | $ | 3,533,849,051 | $ | 5,069,101,450 | $ | 3,678,136,029 | ||||||||
Treasury bills | 424,825,558 | 674,914,873 | 249,886,905 | - | ||||||||||||
Total fixed income securities | 4,468,747,923 | 4,208,763,924 | 5,318,988,355 | 3,678,136,029 | ||||||||||||
Total Level 2 | 4,468,747,923 | 4,208,763,924 | 5,318,988,355 | 3,678,136,029 | ||||||||||||
Total assets | $ | 4,468,747,923 | $ | 4,208,763,924 | $ | 5,318,988,355 | $ | 3,678,136,029 |
Graham Alternative Investment Trading LLC
Notes to Financial Statements (continued)
Period | Class 0 | Class2 | ||||||
For the period from January 1, 2016 through March 31, 2017 | 0.75 | % | 2.75 | % | ||||
For the period from April 1, 2017 through June 30, 2017 | 0.75 | % | 1.50 | % | ||||
For the period from July 1, 2017 through December 31, 2017 | 0.50 | % | 1.25 | % |
Class 0 | Class 2 |
0.50% | 1.25% |
Graham Alternative Investment Trading LLC
Notes to Financial Statements (continued)
Class 0 | Class 2 | Class 0 | Class 2 | |||||||||||||
Per unit operating performance | ||||||||||||||||
Net asset value per unit, December 31, 2015 | $ | 147.34 | $ | 109.91 | ||||||||||||
Net loss: | ||||||||||||||||
Net investment loss | (3.54 | ) | (4.75 | ) | ||||||||||||
Net gain on investments | 3.12 | 2.27 | ||||||||||||||
Net loss | (0.42 | ) | (2.48 | ) | ||||||||||||
Net asset value per unit, December 31, 2016 | 146.92 | 107.43 | ||||||||||||||
Net asset value per Unit, December 31, 2017 | $ | 140.90 | $ | 101.94 | ||||||||||||
Net loss: | ||||||||||||||||
Net investment loss | (2.80 | ) | (3.06 | ) | (1.57 | ) | (1.91 | ) | ||||||||
Net loss on investments | (3.22 | ) | (2.43 | ) | (5.63 | ) | (4.02 | ) | ||||||||
Net loss | (6.02 | ) | (5.49 | ) | (7.20 | ) | (5.93 | ) | ||||||||
Net asset value per unit, December 31, 2017 | $ | 140.90 | $ | 101.94 | ||||||||||||
Net asset value per Unit, December 31, 2018 | 133.70 | 96.01 | ||||||||||||||
Net income: | ||||||||||||||||
Net investment loss | (1.19 | ) | (1.63 | ) | ||||||||||||
Net gain on investments | 19.53 | 13.97 | ||||||||||||||
Net income | 18.34 | 12.34 | ||||||||||||||
Net asset value per Unit, December 31, 2019 | $ | 152.04 | $ | 108.35 |
Class 0 | Class 2 | Class 0 | Class 2 | |||||||||||||||||||||||||||||
2017 | 2016 | 2017 | 2016 | 2019 | 2018 | 2019 | 2018 | |||||||||||||||||||||||||
Total return before Incentive Allocation | (4.10 | )% | (0.29 | )% | (5.11 | )% | (2.26 | )% | 13.72% | (5.11)% | 12.86% | (5.82)% | ||||||||||||||||||||
Incentive Allocation | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||||||||||||||
Total return after Incentive Allocation | (4.10 | )% | (0.29 | )% | (5.11 | )% | (2.26 | )% | 13.72% | (5.11)% | 12.86% | (5.82)% | ||||||||||||||||||||
Net investment loss before Incentive Allocation | (1.97 | )% | (2.46 | )% | (2.97 | )% | (4.47 | )% | (0.83)% | (1.11)% | (1.59)% | (1.87)% | ||||||||||||||||||||
Incentive Allocation | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||||||||||||||
Net investment loss after Incentive Allocation | (1.97 | )% | (2.46 | )% | (2.97 | )% | (4.47 | )% | (0.83)% | (1.11)% | (1.59)% | (1.87)% | ||||||||||||||||||||
Total expenses before Incentive Allocation | 2.83 | % | 2.94 | % | 3.83 | % | 4.95 | % | 2.84% | 2.71% | 3.60% | 3.47% | ||||||||||||||||||||
Incentive Allocation | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||||||||||||||
Total expenses after Incentive Allocation | 2.83 | % | 2.94 | % | 3.83 | % | 4.95 | % | 2.84% | 2.71% | 3.60% | 3.47% |
Item 9: | CHANGES IN AND DISAGREEMENTS WITH ACCOUNTANTS ON ACCOUNTING AND FINANCIAL DISCLOSURE |
Item 9A: | CONTROLS AND PROCEDURES |
Item 9B: | OTHER INFORMATION |
Item 10: | DIRECTORS, EXECUTIVE OFFICERS AND CORPORATE GOVERNANCE |
Item 11: | EXECUTIVE COMPENSATION |
Item 12: | SECURITY OWNERSHIP OF CERTAIN BENEFICIAL OWNERS AND MANAGEMENT AND RELATED STOCKHOLDER MATTERS |
(a) | Security ownership of certain beneficial owners |
(b) | Security ownership of management |
(c) | Changes in control |
Item 13: | CERTAIN RELATIONSHIPS AND RELATED TRANSACTIONS, AND DIRECTOR INDEPENDENCE |
Item 14: | PRINCIPAL ACCOUNTANT FEES AND SERVICES |
(1) | Audit Fees |
FEE CATEGORY | 2017 | 2016 | 2019 | 2018 | ||||||||||||
Audit Fees | $ | 82,650 | * | $ | 83,620 | $ | 86,550 | * | $ | 85,400 | ||||||
Audit-Related Fees | – | – | – | – | ||||||||||||
Tax Fees | 41,750 | * | 48,650 | 34,075 | * | 37,000 | ||||||||||
All Other Fees | – | – | – | – | ||||||||||||
TOTAL FEES | $ | 124,400 | * | $ | 132,270 | $ | 120,625 | * | $ | 122,400 |
* | Amount expected to be billed for |
(2) | Audit-Related Fees |
(3) | Tax Fees |
(4) | All Other Fees |
(5) | Not Applicable. |
(6) | Not Applicable. |
Item 15: | EXHIBITS, FINANCIAL STATEMENT SCHEDULES |
(a) | Financial Statements |
(b) | Exhibits |
Exhibit Designation | Description |
Certificate of Formation of Graham Alternative Investment Fund I LLC | |
Certificate of Amendment to Certificate of Formation of Graham Alternative Investment Fund I LLC | |
Amended and Restated Limited Liability Company Agreement of Graham Alternative Investment Fund I LLC | |
Description of Securities | |
Form of Subscription Agreement | |
Form of Placement Agreement | |
Safekeeping Account Agreement between Graham Cash Assets LLC and Bank of America, N.A. | |
Rule 13a-14(a)/15d Certification (Certification of Principal Executive Officer). | |
Rule 13a-14(a)/15d Certification (Certification of Principal Financial Officer). | |
Section 1350 Certification (Certification of Principal Executive Officer and Principal Financial Officer) |
Item 16: | FORM 10-K SUMMARY |
Dated: March | GRAHAM ALTERNATIVE INVESTMENT FUND I LLC | ||
BLENDED STRATEGIES PORTFOLIO | |||
By: | GRAHAM CAPITAL MANAGEMENT, L.P. | ||
its Manager | |||
By: | /s/ | ||
By: | /s/ | ||