DELAWARE | 20-4897069 | |
(State or other jurisdiction of incorporation or organization) | (I.R.S. Employer Identification No.) |
Title of each class | Trading Symbol(s) | Name of each exchange on which registered | |||
None | N/A | None |
Securities registered pursuant to Section 12(g) of the Act: | ||
(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 |
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 listed or traded on any recognized foreign or U.S. securities exchange 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 |
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 |
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, 2021 | 192.947 | $ 181.40 | - | - | ||||||||
November 1, 2021 | 4,800.219 | $ 176.60 | - | - | ||||||||
December 1, 2021 | 1,439.808 | $ 176.27 | - | - |
Month beginning: | Core Macro Portfolio Class 0 Number of Units Purchased | Price of Core Macro Portfolio Class 0 Units Purchased | Core Macro Portfolio Class 2 Number of Units Purchased | Price of Core Macro Portfolio Class 2 Units Purchased | |||||||||||||
October 1, 2022 | 1,798.138 | $ | 230.97 | 921.741 | $ | 163.97 | |||||||||||
November 1, 2022 | 810.095 | $ | 224.11 | - | - | ||||||||||||
December 1, 2022 | 1,627.988 | $ | 224.59 | 968.677 | $ | 159.22 |
Item 6: | RESERVED |
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 |
Agriculture / Softs | $ | (147,371 | ) | |
Base Metals | 106,735 | |||
Commodity Mix | (63,460 | ) | ||
Energy | 1,425,170 | |||
Equities | 638,791 | |||
Foreign Exchange | 2,749,233 | |||
Long Term / Intermediate Rates | 3,585,260 | |||
Precious Metals | (270,892 | ) | ||
Short Term Rates | 1,066,283 | |||
$ | 9,089,749 |
Agriculture / Softs | 54.9 | % | ||
Base Metals | (13.5 | )% | ||
Energy | 117.0 | % | ||
Equities | (354.0 | )% | ||
Foreign Exchange | 75.2 | % | ||
Long Term / Intermediate Rates | 84.8 | % | ||
Precious Metals | (3.0 | )% | ||
Short Term Rates | 138.6 | % | ||
100.0 | % |
Agriculture / Softs | $ | 659,505 | ||
Base Metals | 407,714 | |||
Energy | 806,437 | |||
Equities | 1,644,987 | |||
Foreign Exchange | 481,009 | |||
Long Term / Intermediate Rates | (1,669,494 | ) | ||
Precious Metals | (442,463 | ) | ||
Short Term Rates | 34,661 | |||
$ | 1,922,356 |
Agriculture / Softs | 13.8 | % | ||
Base Metals | 13.5 | % | ||
Energy | 107.9 | % | ||
Equities | (6.6 | )% | ||
Foreign Exchange | (47.7 | )% | ||
Long Term / Intermediate Rates | 23.3 | % | ||
Precious Metals | (6.1 | )% | ||
Short Term Rates | 1.9 | % | ||
100.0 | % |
Agriculture / Softs | $ | 153,724 | ||
Base Metals | 526,582 | |||
Energy | (593,323 | ) | ||
Equities | 127,947 | |||
Foreign Exchange | 1,069,861 | |||
Long Term / Intermediate Rates | 834,068 | |||
Precious Metals | 1,407,650 | |||
Short Term Rates | 1,365,092 | |||
$ | 4,891,601 |
(ii) | Liquidity |
(iii) | Capital Resources |
(iv) | Critical Accounting Policies |
Item 7A: | QUANTITATIVE AND QUALITATIVE DISCLOSURE ABOUT MARKET RISK |
Item 8: | FINANCIAL STATEMENTS AND SUPPLEMENTARY DATA |
Financial Statements | |
Graham Alternative Investment Fund I LLC | |
Core Macro Portfolio (formerly known as Blended Strategies | |
Portfolio) Years Ended December 31, | |
2021 with Report of Independent Registered Public Accounting Firm |
By: | Graham Capital Management, L.P., as | ||
Sole Manager |
By: | /s/ George Schrade | ||
George Schrade | |||
Chief Financial Officer | |||
March 30, |
Report of Independent Registered Public Accounting Firm (PCAOB ID 42) | |
Statements of Financial Condition | |
Statements of Operations | |
Statements of Changes in Members’ Capital | |
Statements of Cash Flows | |
Notes to Financial Statements |
Ernst & Young LLP 300 First Stamford Place Stamford, CT 06902-6765 | Tel: +1 203 674 3000 ey.com |
A member firm of Ernst & Young Global Limited |
December 31, | December 31, | |||||||||||||||
2021 | 2020 | 2022 | 2021 | |||||||||||||
Assets | ||||||||||||||||
Investment in Graham Alternative Investment Trading LLC, at fair value | $ | 25,597,490 | $ | 29,194,816 | $ | 28,825,841 | $ | 25,597,490 | ||||||||
Redemptions receivable from Graham Alternative Investment Trading LLC | 253,800 | 233,089 | 519,852 | 253,800 | ||||||||||||
Total assets | $ | 25,851,290 | $ | 29,427,905 | $ | 29,345,693 | $ | 25,851,290 | ||||||||
Liabilities and members’ capital | ||||||||||||||||
Liabilities: | ||||||||||||||||
Redemptions payable | $ | 253,800 | $ | 233,089 | $ | 519,852 | $ | 253,800 | ||||||||
Total liabilities | 253,800 | 233,089 | 519,852 | 253,800 | ||||||||||||
Members’ capital: | ||||||||||||||||
Class 0 Units (83,586.118 and 100,881.333 units issued and outstanding at $176.27 and $173.06, respectively) | 14,734,016 | 17,458,496 | ||||||||||||||
Class 2 Units (86,438.110 and 94,473.834 units issued and outstanding at $125.68 and $124.23, respectively) | 10,863,474 | 11,736,320 | ||||||||||||||
Class 0 Units (70,066.654 and 83,586.118 units issued and outstanding at $224.59 and $176.27, respectively) | 15,735,969 | 14,734,016 | ||||||||||||||
Class 2 Units (82,214.218 and 86,438.110 units issued and outstanding at $159.22 and $125.68, respectively) | 13,089,872 | 10,863,474 | ||||||||||||||
Total members’ capital | 25,597,490 | 29,194,816 | 28,825,841 | 25,597,490 | ||||||||||||
Total liabilities and members’ capital | $ | 25,851,290 | $ | 29,427,905 | $ | 29,345,693 | $ | 25,851,290 |
Years Ended December 31, | Years Ended December 31, | |||||||||||||||
2021 | 2020 | 2022 | 2021 | |||||||||||||
Net gain allocated from investment in Graham Alternative Investment Trading LLC: | ||||||||||||||||
Net realized gain on investment | $ | 2,462,629 | $ | 3,943,355 | $ | 8,779,529 | $ | 2,462,629 | ||||||||
Net (decrease) increase in unrealized appreciation on investment | (540,273 | ) | 948,246 | |||||||||||||
Net increase (decrease) in unrealized appreciation on investment | 310,220 | (540,273 | ) | |||||||||||||
Brokerage commissions and fees | (80,400 | ) | (115,902 | ) | (100,465 | ) | (80,400 | ) | ||||||||
Net gain allocated from investment in Graham Alternative Investment Trading LLC | 1,841,956 | 4,775,699 | 8,989,284 | 1,841,956 | ||||||||||||
Net investment loss allocated from investment in Graham Alternative Investment Trading LLC: | ||||||||||||||||
Investment income: | ||||||||||||||||
Interest income | 23,986 | 286,149 | 273,351 | 23,986 | ||||||||||||
Expenses: | ||||||||||||||||
Incentive allocation | 429,807 | 531,233 | 1,602,167 | 429,807 | ||||||||||||
Advisory fees | 428,699 | 422,787 | 443,408 | 428,699 | ||||||||||||
Sponsor fees | 229,473 | 227,766 | 244,840 | 229,473 | ||||||||||||
Professional fees and other | 162,087 | 133,265 | ||||||||||||||
Administrator’s fees | 36,445 | 36,459 | ||||||||||||||
Professional fees | 172,431 | 162,087 | ||||||||||||||
Administrator’s fee | 37,235 | 36,445 | ||||||||||||||
Operating expenses | 10,562 | – | ||||||||||||||
Interest expense | 6,667 | 6,745 | 6,368 | 6,667 | ||||||||||||
Total expenses | 1,293,178 | 1,358,255 | 2,517,011 | 1,293,178 | ||||||||||||
Net investment loss allocated from investment in Graham Alternative Investment Trading LLC | (1,269,192 | ) | (1,072,106 | ) | (2,243,660 | ) | (1,269,192 | ) | ||||||||
Net income | $ | 572,764 | $ | 3,703,593 | $ | 6,745,624 | $ | 572,764 |
Class 0 Units | Class 2 Units | Class 0 Units | Class 2 Units | |||||||||||||||||||||||||||||||||||||
Units | Capital | Units | Capital | Total Members’ Capital | Units | Capital | Units | Capital | Total Members’ Capital | |||||||||||||||||||||||||||||||
Members’ capital, December 31, 2019 | 103,946.549 | $ | 15,804,368 | 102,244.827 | $ | 11,078,195 | $ | 26,882,563 | ||||||||||||||||||||||||||||||||
Subscriptions | 0 | 0 | 0 | 0 | 0 | |||||||||||||||||||||||||||||||||||
Redemptions | (3,065.216 | ) | (473,190 | ) | (7,770.993 | ) | (918,150 | ) | (1,391,340 | ) | ||||||||||||||||||||||||||||||
Net income | – | 2,127,318 | – | 1,576,275 | 3,703,593 | |||||||||||||||||||||||||||||||||||
Members’ capital, December 31, 2020 | 100,881.333 | 17,458,496 | 94,473.834 | 11,736,320 | 29,194,816 | 100,881.333 | $ | 17,458,496 | 94,473.834 | $ | 11,736,320 | $ | 29,194,816 | |||||||||||||||||||||||||||
Subscriptions | 0 | 0 | 0 | 0 | 0 | – | – | – | – | – | ||||||||||||||||||||||||||||||
Redemptions | (17,295.215 | ) | (3,098,485 | ) | (8,035.724 | ) | (1,071,605 | ) | (4,170,090 | ) | (17,295.215 | ) | (3,098,485 | ) | (8,035.724 | ) | (1,071,605 | ) | (4,170,090 | ) | ||||||||||||||||||||
Net income | – | 374,005 | – | 198,759 | 572,764 | – | 374,005 | – | 198,759 | 572,764 | ||||||||||||||||||||||||||||||
Members’ capital, December 31, 2021 | 83,586.118 | $ | 14,734,016 | 86,438.110 | $ | 10,863,474 | $ | 25,597,490 | 83,586.118 | $ | 14,734,016 | 86,438.110 | $ | 10,863,474 | $ | 25,597,490 | ||||||||||||||||||||||||
Subscriptions | – | – | – | – | – | |||||||||||||||||||||||||||||||||||
Redemptions | (13,519.464 | ) | (2,892,405 | ) | (4,223.892 | ) | (624,868 | ) | (3,517,273 | ) | ||||||||||||||||||||||||||||||
Net income | – | 3,894,358 | – | 2,851,266 | 6,745,624 | |||||||||||||||||||||||||||||||||||
Members’ capital, December 31, 2022 | 70,066.654 | $ | 15,735,969 | 82,214.218 | $ | 13,089,872 | $ | 28,825,841 |
Years Ended December 31, | Years Ended December 31, | |||||||||||||||
2021 | 2020 | 2022 | 2021 | |||||||||||||
Cash flows provided by operating activities | ||||||||||||||||
Net income | $ | 572,764 | $ | 3,703,593 | $ | 6,745,624 | $ | 572,764 | ||||||||
Adjustments to reconcile net income to net cash provided by operating activities: | ||||||||||||||||
Net (income) allocated from investment in Graham Alternative Investment Trading LLC | (572,764 | ) | (3,703,593 | ) | (6,745,624 | ) | (572,764 | ) | ||||||||
Proceeds from sale of investment in Graham Alternative Investment Trading LLC | 4,149,379 | 1,302,958 | 3,251,221 | 4,149,379 | ||||||||||||
Net cash provided by operating activities | 4,149,379 | 1,302,958 | 3,251,221 | 4,149,379 | ||||||||||||
Cash flows used in financing activities | ||||||||||||||||
Subscriptions | 0 | 0 | – | – | ||||||||||||
Redemptions (net of redemptions payable) | (4,149,379 | ) | (1,302,958 | ) | (3,251,221 | ) | (4,149,379 | ) | ||||||||
Net cash used in financing activities | (4,149,379 | ) | (1,302,958 | ) | (3,251,221 | ) | (4,149,379 | ) | ||||||||
Net change in cash and cash equivalents | 0 | 0 | – | – | ||||||||||||
Cash and cash equivalents, beginning of year | 0 | 0 | – | – | ||||||||||||
Cash and cash equivalents, end of year | $ | 0 | $ | 0 | $ | – | $ | – |
Class 0 | Class 2 |
0.50% | 1.25% |
Class 0 | Class 2 | Class 0 | Class 2 | |||||||||||||
Per unit operating performance | ||||||||||||||||
Net asset value per Unit, December 31, 2019 | $ | 152.04 | $ | 108.35 | ||||||||||||
Net income: | ||||||||||||||||
Net investment loss | (6.72 | ) | (3.94 | ) | ||||||||||||
Net gain on investments | 27.74 | 19.82 | ||||||||||||||
Net income | 21.02 | 15.88 | ||||||||||||||
Net asset value per Unit, December 31, 2020 | 173.06 | 124.23 | $ | 173.06 | $ | 124.23 | ||||||||||
Net income: | ||||||||||||||||
Net investment loss | (7.55 | ) | (6.29 | ) | (7.55 | ) | (6.29 | ) | ||||||||
Net gain on investments | 10.76 | 7.74 | 10.76 | 7.74 | ||||||||||||
Net income | 3.21 | 1.45 | 3.21 | 1.45 | ||||||||||||
Net asset value per Unit, December 31, 2021 | $ | 176.27 | $ | 125.68 | $ | 176.27 | $ | 125.68 | ||||||||
Net income: | ||||||||||||||||
Net investment loss | (16.04 | ) | (12.02 | ) | ||||||||||||
Net gain on investments | 64.36 | 45.56 | ||||||||||||||
Net income | 48.32 | 33.54 | ||||||||||||||
Net asset value per Unit, December 31, 2022 | $ | 224.59 | $ | 159.22 |
Class 0 | Class 2 | Class 0 | Class 2 | ||||||||||||||||||||||||||||||
2021 | 2020 | 2021 | 2020 | 2022 | 2021 | 2022 | 2021 | ||||||||||||||||||||||||||
Total return before Incentive Allocation | 3.65 | % | 16.34 | % | 2.75 | % | 15.66 | % | 34.89 | % | 3.65 | % | 33.25 | % | 2.75 | % | |||||||||||||||||
Incentive Allocation | (1.79 | ) | (2.52 | ) | (1.58 | ) | (1.01 | ) | (7.48 | ) | (1.79 | ) | (6.56 | ) | (1.58 | ) | |||||||||||||||||
Total return after Incentive Allocation | 1.86 | % | 13.82 | % | 1.17 | % | 14.65 | % | 27.41 | % | 1.86 | % | 26.69 | % | 1.17 | % | |||||||||||||||||
Net investment loss before Incentive Allocation | (2.68 | )% | (1.63 | )% | (3.42 | )% | (2.38 | )% | (1.91 | )% | (2.68 | )% | (2.65 | )% | (3.42 | )% | |||||||||||||||||
Incentive Allocation | (1.54 | ) | (2.52 | ) | (1.49 | ) | (1.01 | ) | (5.73 | ) | (1.54 | ) | (5.38 | ) | (1.49 | ) | |||||||||||||||||
Net investment loss after Incentive Allocation | (4.22 | )% | (4.15 | )% | (4.91 | )% | (3.39 | )% | (7.64 | )% | (4.22 | )% | (8.03 | )% | (4.91 | )% | |||||||||||||||||
Total expenses before Incentive Allocation | 2.76 | % | 2.65 | % | 3.50 | % | 3.40 | % | 2.86 | % | 2.76 | % | 3.61 | % | 3.50 | % | |||||||||||||||||
Incentive Allocation | 1.54 | 2.52 | 1.49 | 1.01 | 5.73 | 1.54 | 5.38 | 1.49 | |||||||||||||||||||||||||
Total expenses after Incentive Allocation | 4.30 | % | 5.17 | % | 4.99 | % | 4.41 | % | 8.59 | % | 4.30 | % | 8.99 | % | 4.99 | % |
Financial Statements Graham Alternative Investment Trading LLC Years Ended December 31, with Report of Independent Registered Public Accounting Firm |
By: | Graham Capital Management, L.P., as | ||
Sole Manager |
By: | /s/ George Schrade | ||
George Schrade | |||
Chief Financial Officer | |||
March 30, |
Report of Independent Registered Public Accounting Firm (PCAOB ID 42) | |
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 |
Ernst & Young LLP 300 First Stamford Place Stamford, CT 06902-6765 | Tel: +1 203 674 3000 ey.com |
December 31, | ||||||||
2022 | 2021 | |||||||
Assets | ||||||||
Investments in Master Funds, at fair value | $ | 6,078,610 | $ | 4,769,945 | ||||
Investment in Graham Cash Assets LLC, at fair value | 58,599,019 | 51,121,197 | ||||||
Receivable from Master Funds | 181 | 44 | ||||||
Total assets | $ | 64,677,810 | $ | 55,891,186 | ||||
Liabilities and members’ capital | ||||||||
Liabilities: | ||||||||
Redemptions payable | $ | 1,169,444 | $ | 263,800 | ||||
Accrued professional fees | 132,957 | 114,472 | ||||||
Accrued advisory fees | 79,343 | 68,959 | ||||||
Accrued sponsor fees | 42,803 | 36,436 | ||||||
Accrued administrator’s fees | 7,030 | 6,154 | ||||||
Accrued operating expenses | 3,223 | - | ||||||
Payable to Master Funds | 102 | 825 | ||||||
Total liabilities | 1,434,902 | 490,646 | ||||||
Members’ capital: | ||||||||
Class 0 Units (161,081.937 and 185,533.074 units issued and outstanding at $224.59 and $176.27 per unit, respectively) | 36,176,761 | 32,704,572 | ||||||
Class 2 Units (155,844.459 and 167,534.772 units issued and outstanding at $159.22 and $125.68 per unit, respectively) | 24,813,000 | 21,055,621 | ||||||
Class M Units (4,671.470 units issued and outstanding at $482.32 and $351.14 per unit, respectively) | 2,253,147 | 1,640,347 | ||||||
Total members’ capital | 63,242,908 | 55,400,540 | ||||||
Total liabilities and members’ capital | $ | 64,677,810 | $ | 55,891,186 |
December 31, | ||||||||
2021 | 2020 | |||||||
Assets | ||||||||
Investments in Master Funds, at fair value | $ | 4,769,945 | $ | 6,446,067 | ||||
Investment in Graham Cash Assets LLC, at fair value | 51,121,197 | 54,304,841 | ||||||
Receivable from Master Funds | 44 | 3 | ||||||
Total assets | $ | 55,891,186 | $ | 60,750,911 | ||||
Liabilities and members’ capital | ||||||||
Liabilities: | ||||||||
Redemptions payable | $ | 263,800 | $ | 757,071 | ||||
Accrued professional fees | 114,472 | 128,331 | ||||||
Accrued advisory fees | 68,959 | 75,035 | ||||||
Accrued sponsor fees | 36,436 | 39,910 | ||||||
Accrued administrator’s fees | 6,154 | 6,618 | ||||||
Payable to Master Funds | 825 | 95 | ||||||
Total liabilities | 490,646 | 1,007,060 | ||||||
Members’ capital: | ||||||||
Class 0 Units (185,533.074 and 203,816.771 units issued and outstanding at $176.27 and $173.06 per unit, respectively) | 32,704,572 | 35,272,482 | ||||||
Class 2 Units (167,534.772 and 184,460.524 units issued and outstanding at $125.68 and $124.23 per unit, respectively) | 21,055,621 | 22,915,191 | ||||||
Class M Units (4,671.470 units issued and outstanding at $351.14 and $333.12 per unit, respectively) | 1,640,347 | 1,556,178 | ||||||
Total members’ capital | 55,400,540 | 59,743,851 | ||||||
Total liabilities and members’ capital | $ | 55,891,186 | $ | 60,750,911 |
December 31, 2022 | December 31, 2021 | ||||||||||||||||
Description | Fair Value | Percentage of Members’ Capital | Fair Value | Percentage of Members’ Capital | |||||||||||||
Investments in Master Funds, at fair value | |||||||||||||||||
Graham Commodity Strategies LLC | $ | 2,190,592 | 3.46 | % | $ | 1,849,637 | 3.34 | % | |||||||||
Graham Derivatives Strategies LLC | 794,631 | 1.26 | % | – | 0.00 | % | |||||||||||
Graham K4D Trading Ltd. | 3,093,387 | 4.89 | % | 2,920,308 | 5.27 | % | |||||||||||
Total investments in Master Funds | $ | 6,078,610 | 9.61 | % | $ | 4,769,945 | 8.61 | % |
December 31, 2021 | December 31, 2020 | |||||||||||||||
Description | Fair Value | Percentage of Members’ Capital | Fair Value | Percentage of Members’ Capital | ||||||||||||
Investments in Master Funds, at fair value | ||||||||||||||||
Graham Commodity Strategies LLC | $ | 1,849,637 | 3.34 | % | $ | 2,103,213 | 3.52 | % | ||||||||
Graham K4D Trading Ltd. | 2,920,308 | 5.27 | % | 4,342,854 | 7.27 | % | ||||||||||
Total investments in Master Funds | $ | 4,769,945 | 8.61 | % | $ | 6,446,067 | 10.79 | % |
Years Ended December 31, | ||||||||
2022 | 2021 | |||||||
Net gain allocated from investments in Master Funds: | ||||||||
Net realized gain on investments | $ | 19,231,395 | $ | 4,995,591 | ||||
Net increase (decrease) in unrealized appreciation on investments | 650,760 | (1,105,630 | ) | |||||
Brokerage commissions and fees | (220,096 | ) | (168,014 | ) | ||||
Net gain allocated from investments in Master Funds | 19,662,059 | 3,721,947 | ||||||
Net investment income (loss) allocated from investments in Master Funds | 49,163 | (4,687 | ) | |||||
Investment income: | ||||||||
Interest income | 549,107 | 54,144 | ||||||
Total investment income | 549,107 | 54,144 | ||||||
Expenses: | ||||||||
Advisory fees | 939,577 | 870,429 | ||||||
Sponsor fees | 502,596 | 459,358 | ||||||
Professional fees | 376,372 | 338,317 | ||||||
Administrator’s fees | 81,540 | 76,111 | ||||||
Operating expenses | 23,104 | - | ||||||
Interest expense | 13,933 | 13,927 | ||||||
Total expenses | 1,937,122 | 1,758,142 | ||||||
Net investment loss of the Fund | (1,388,015 | ) | (1,703,998 | ) | ||||
Net income | 18,323,207 | 2,013,262 | ||||||
Incentive allocation | (3,404,318 | ) | (855,525 | ) | ||||
Net income available for pro-rata allocation to all members | $ | 14,918,889 | $ | 1,157,737 |
Years Ended December 31, | ||||||||
2021 | 2020 | |||||||
Net gain allocated from investments in Master Funds: | ||||||||
Net realized gain on investments | $ | 4,995,591 | $ | 8,083,093 | ||||
Net (decrease) increase in unrealized appreciation on investments | (1,105,630 | ) | 1,936,154 | |||||
Brokerage commissions and fees | (168,014 | ) | (238,140 | ) | ||||
Net gain allocated from investments in Master Funds | 3,721,947 | 9,781,107 | ||||||
Net investment (loss) income allocated from investments in Master Funds | (4,687 | ) | 31,324 | |||||
Investment income: | ||||||||
Interest income | 54,144 | 555,205 | ||||||
Total investment income | 54,144 | 555,205 | ||||||
Expenses: | ||||||||
Advisory fees | 870,429 | 845,384 | ||||||
Sponsor fees | 459,358 | 450,565 | ||||||
Professional fees and other | 338,317 | 272,012 | ||||||
Administrator’s fees | 76,111 | 74,748 | ||||||
Interest expense | 13,927 | 13,739 | ||||||
Total expenses | 1,758,142 | 1,656,448 | ||||||
Net investment loss of the Fund | (1,703,998 | ) | (1,101,243 | ) | ||||
Net income | 2,013,262 | 8,711,188 | ||||||
Incentive allocation | (855,525 | ) | (1,068,033 | ) | ||||
Net income available for pro-rata allocation to all members | $ | 1,157,737 | $ | 7,643,155 |
Class 0 | Class 2 | Class M | Total | |||||||||||||||||||||||||
Units | Capital | Units | Capital | Units | Capital | Capital | ||||||||||||||||||||||
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 | |||||||||||||||||
Subscriptions | – | – | – | – | – | – | – | |||||||||||||||||||||
Redemptions | (9,345.643 | ) | (1,466,655 | ) | (16,894.656 | ) | (1,967,304 | ) | – | (1,068,033 | ) | (4,501,992 | ) | |||||||||||||||
Incentive allocation | – | (844,052 | ) | – | (223,981 | ) | – | 1,068,033 | – | |||||||||||||||||||
Net income | – | 5,173,292 | – | 3,289,710 | – | 248,186 | 8,711,188 | |||||||||||||||||||||
Members’ capital, December 31, 2020 | 203,816.771 | 35,272,482 | 184,460.524 | 22,915,191 | 4,671.470 | 1,556,178 | 59,743,851 | |||||||||||||||||||||
Subscriptions | – | – | – | – | – | – | – | |||||||||||||||||||||
Redemptions | (18,283.697 | ) | (3,277,246 | ) | (16,925.752 | ) | (2,223,802 | ) | – | (855,525 | ) | (6,356,573 | ) | |||||||||||||||
Incentive allocation | – | (525,669 | ) | – | (329,856 | ) | – | 855,525 | – | |||||||||||||||||||
Net income | – | 1,235,005 | – | 694,088 | – | 84,169 | 2,013,262 | |||||||||||||||||||||
Members’ capital, December 31, 2021 | 185,533.074 | $ | 32,704,572 | 167,534.772 | $ | 21,055,621 | 4,671.470 | $ | 1,640,347 | $ | 55,400,540 |
Class 0 | Class 2 | Class M | Total | |||||||||||||||||||||||||
Units | Capital | Units | Capital | Units | Capital | Capital | ||||||||||||||||||||||
Members’ capital, December 31, 2020 | 203,816.771 | $ | 35,272,482 | 184,460.524 | $ | 22,915,191 | 4,671.470 | $ | 1,556,178 | $ | 59,743,851 | |||||||||||||||||
Subscriptions | – | – | – | – | – | – | – | |||||||||||||||||||||
Redemptions | (18,283.697 | ) | (3,277,246 | ) | (16,925.752 | ) | (2,223,802 | ) | – | (855,525 | ) | (6,356,573 | ) | |||||||||||||||
Incentive allocation | – | (525,669 | ) | – | (329,856 | ) | – | 855,525 | – | |||||||||||||||||||
Net income | – | 1,235,005 | – | 694,088 | – | 84,169 | 2,013,262 | |||||||||||||||||||||
Members’ capital, December 31, 2021 | 185,533.074 | $ | 32,704,572 | 167,534.772 | $ | 21,055,621 | 4,671.470 | $ | 1,640,347 | $ | 55,400,540 | |||||||||||||||||
Subscriptions | – | – | – | – | – | – | – | |||||||||||||||||||||
Redemptions | (24,451.137 | ) | (5,262,123 | ) | (11,690.313 | ) | (1,814,398 | ) | – | (3,404,318 | ) | (10,480,839 | ) | |||||||||||||||
Incentive allocation | – | (2,076,348 | ) | – | (1,327,970 | ) | – | 3,404,318 | – | |||||||||||||||||||
Net income | – | 10,810,660 | – | 6,899,747 | – | 612,800 | 18,323,207 | |||||||||||||||||||||
Members’ capital, December 31, 2022 | 161,081.937 | $ | 36,176,761 | 155,844.459 | $ | 24,813,000 | 4,671.470 | $ | 2,253,147 | $ | 63,242,908 |
Years Ended December 31, | ||||||||
2021 | 2020 | |||||||
Cash flows provided by operating activities | ||||||||
Net income | $ | 2,013,262 | $ | 8,711,188 | ||||
Adjustments to reconcile net income to net cash provided by operating activities: | ||||||||
Net (income) allocated from investments in Master Funds | (3,717,260 | ) | (9,812,431 | ) | ||||
Net (income) allocated from investment in Graham Cash Assets LLC | (54,144 | ) | (555,205 | ) | ||||
Proceeds from sale of investments in Master Funds | 63,866,707 | 64,069,644 | ||||||
Proceeds from sale of investments in Graham Cash Assets LLC | 51,951,676 | 43,854,840 | ||||||
Purchase of investments in Master Funds | (58,472,636 | ) | (53,473,547 | ) | ||||
Purchase of investments in Graham Cash Assets LLC | (48,713,888 | ) | (48,605,295 | ) | ||||
Changes in assets and liabilities: | ||||||||
(Decrease) in accrued professional fees | (13,859 | ) | (66,692 | ) | ||||
(Decrease) increase in accrued advisory fees | (6,076 | ) | 5,323 | |||||
(Decrease) increase in accrued sponsor fees | (3,474 | ) | 2,629 | |||||
(Decrease) increase in accrued administrator’s fees | (464 | ) | 586 | |||||
Net cash provided by operating activities | 6,849,844 | 4,131,040 | ||||||
Cash flows used in financing activities | ||||||||
Subscriptions | – | – | ||||||
Redemptions (net of redemptions payable) | (6,849,844 | ) | (4,131,040 | ) | ||||
Net cash used in financing activities | (6,849,844 | ) | (4,131,040 | ) | ||||
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 | $ | 13,927 | $ | 13,739 |
Years Ended December 31, | ||||||||
2022 | 2021 | |||||||
Cash flows provided by operating activities | ||||||||
Net income | $ | 18,323,207 | $ | 2,013,262 | ||||
Adjustments to reconcile net income to net cash provided by operating activities: | ||||||||
Net (income) allocated from investments in Master Funds | (19,711,222 | ) | (3,717,260 | ) | ||||
Net (income) allocated from investment in Graham Cash Assets LLC | (549,107 | ) | (54,144 | ) | ||||
Proceeds from sale of investments in Master Funds | 71,652,796 | 63,866,707 | ||||||
Proceeds from sale of investments in Graham Cash Assets LLC | 45,124,212 | 51,951,676 | ||||||
Purchase of investments in Master Funds | (53,251,099 | ) | (58,472,636 | ) | ||||
Purchase of investments in Graham Cash Assets LLC | (52,052,927 | ) | (48,713,888 | ) | ||||
Changes in assets and liabilities: | ||||||||
Increase (decrease) in accrued professional fees | 18,485 | (13,859 | ) | |||||
Increase (decrease) in accrued advisory fees | 10,384 | (6,076 | ) | |||||
Increase (decrease) in accrued sponsor fees | 6,367 | (3,474 | ) | |||||
Increase (decrease) in accrued administrator’s fees | 876 | (464 | ) | |||||
Increase in operating expenses | 3,223 | – | ||||||
Net cash provided by operating activities | 9,575,195 | 6,849,844 | ||||||
Cash flows used in financing activities | ||||||||
Subscriptions | – | – | ||||||
Redemptions (net of redemptions payable) | (9,575,195 | ) | (6,849,844 | ) | ||||
Net cash used in financing activities | (9,575,195 | ) | (6,849,844 | ) | ||||
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 | $ | 13,933 | $ | 13,927 |
December 31, 2022 | ||||||||||||
Investment – Objective | Percent of Members’ Capital | Fair Value | Net Income | |||||||||
Global Macro Funds | ||||||||||||
Graham Commodity Strategies LLC | 3.46 | % | $ | 2,190,592 | $ | 9,542,437 | ||||||
Graham Derivatives Strategies LLC | 1.26 | % | 794,631 | 4,262,773 | ||||||||
Systematic Macro Funds | ||||||||||||
Graham K4D Trading Ltd. | 4.89 | % | 3,093,387 | 5,906,012 | ||||||||
9.61 | % | $ | 6,078,610 | $ | 19,711,222 |
December 31, 2021 | ||||||||||||
Investment – Objective | Percent of Members’ Capital | Fair Value | Net Income | |||||||||
Global Macro Funds | ||||||||||||
Graham Commodity Strategies LLC | 3.34 | % | $ | 1,849,637 | $ | 3,009,872 | ||||||
Systematic Macro Funds | ||||||||||||
Graham K4D Trading Ltd. | 5.27 | % | 2,920,308 | 707,388 | ||||||||
8.61 | % | $ | 4,769,945 | $ | 3,717,260 |
December 31, 2020 | ||||||||||||
Investment – Objective | Percent of Members’ Capital | Fair Value | Net Income | |||||||||
Global Macro Funds | ||||||||||||
Graham Commodity Strategies LLC | 3.52 | % | $ | 2,103,213 | $ | 9,622,548 | ||||||
Systematic Macro Funds | ||||||||||||
Graham K4D Trading Ltd. | 7.27 | % | 4,342,854 | 189,883 | ||||||||
10.79 | % | $ | 6,446,067 | $ | 9,812,431 |
Graham Commodity Strategies LLC (Delaware) | Graham Derivatives Strategies LLC (Delaware) | Graham K4D Trading Ltd. (BVI) | ||||||||||
Assets: | ||||||||||||
Due from brokers | $ | 51,314,793 | $ | 4,022,847 | $ | 41,554,615 | ||||||
Derivative financial instruments, at fair value | 32,942,978 | 28,122,323 | 3,702,198 | |||||||||
Exchange memberships, at fair value | 6,902,176 | – | 1,647,049 | |||||||||
Interest receivable | 225,389 | 35,580 | 30,745 | |||||||||
Dividend receivable | 111,816 | – | 15,923 | |||||||||
Total assets | 91,497,152 | 32,180,750 | 46,950,530 | |||||||||
Liabilities: | ||||||||||||
Derivative financial instruments, at fair value | – | – | 2,319,737 | |||||||||
Interest payable | 9,630 | 3,587 | – | |||||||||
Total liabilities | 9,630 | 3,587 | 2,319,737 | |||||||||
Members’ Capital / Net Assets | $ | 91,487,522 | $ | 32,177,163 | $ | 44,630,793 | ||||||
Percentage of Master Fund held by GAIT | 2.39 | % | 2.47 | % | 6.93 | % |
Description | Number of Contracts | Fair Value | Percentage of Members’ Capital | |||||||||
Graham Commodity Strategies LLC | ||||||||||||
Exchange memberships (cost $3,649,411) | ||||||||||||
United States (cost $3,649,411) | ||||||||||||
Financial services (cost $3,649,411) | $ | 6,902,176 | 7.54 | % | ||||||||
Total exchange memberships | $ | 6,902,176 | 7.54 | % | ||||||||
Derivative financial instruments | ||||||||||||
Long contracts | ||||||||||||
Futures | ||||||||||||
Commodity | $ | 2,497,000 | 2.73 | % | ||||||||
Foreign bond | (118 | ) | (0.00 | )% | ||||||||
Foreign index | 23,027 | 0.03 | % | |||||||||
Interest rate | ||||||||||||
3 month SOFR March 2023 | 712 | 61,213 | 0.07 | % | ||||||||
3 month SOFR June 2023 | 5,342 | (1,321,100 | ) | (1.44 | )% | |||||||
Other interest rate | (20,892 | ) | (0.03 | )% | ||||||||
U.S. bond | ||||||||||||
U.S. 2 yr Note (CBT) March 2023 | 7,403 | (4,826,937 | ) | (5.28 | )% | |||||||
U.S. index | 312,773 | 0.34 | % | |||||||||
Total futures | (3,275,034 | ) | (3.58 | )% | ||||||||
Forwards | ||||||||||||
Foreign currency | 372,322 | 0.41 | % | |||||||||
Total forwards | 372,322 | 0.41 | % | |||||||||
Options (cost $4,818,694) | ||||||||||||
Currency futures | ||||||||||||
U.S. dollar / Japanese Yen January 2023 - May 2023, $125.05 - $130.10 Put | 8 | 6,156,445 | 6.73 | % | ||||||||
Other currency futures | 3,477,917 | 3.80 | % | |||||||||
U.S. index futures | 70,125 | 0.08 | % | |||||||||
Total options | 9,704,487 | 10.61 | % |
Description | Number of Contracts | Fair Value | Percentage of Members’ Capital | |||||||||
Graham Commodity Strategies LLC (continued) | ||||||||||||
Derivative financial instruments (continued) | ||||||||||||
Short contracts | ||||||||||||
Futures | ||||||||||||
Commodity | $ | (33,030 | ) | (0.04 | )% | |||||||
Foreign bond | ||||||||||||
Japan 10 yr Bond March 2023 | (977 | ) | 16,185,652 | 17.69 | % | |||||||
Other foreign bond | 1,543,377 | 1.69 | % | |||||||||
Foreign index | 5,158,227 | 5.64 | % | |||||||||
Interest rate | ||||||||||||
3 month SOFR March 2024 | (1,780 | ) | 467,988 | 0.51 | % | |||||||
3 month SOFR June 2024 | (2,848 | ) | 1,023,225 | 1.12 | % | |||||||
3 month SOFR December 2023 | (6,787 | ) | 3,559,411 | 3.89 | % | |||||||
U.S. bond | ||||||||||||
U.S. 5 yr Note (CBT) March 2023 | (949 | ) | 396,727 | 0.43 | % | |||||||
U.S. 10 yr Note (CBT) March 2023 | (2,019 | ) | 1,473,414 | 1.61 | % | |||||||
U.S. Long bond (CBT) March 2023 | (29 | ) | 7,500 | 0.01 | % | |||||||
U.S. Ultra bond (CBT) March 2023 | (215 | ) | (241,500 | ) | (0.26 | )% | ||||||
U.S. index | 586,740 | 0.64 | % | |||||||||
Total futures | 30,127,731 | 32.93 | % | |||||||||
Forwards | ||||||||||||
Foreign currency | (555,295 | ) | (0.61 | )% | ||||||||
Total forwards | (555,295 | ) | (0.61 | )% | ||||||||
Options (proceeds $962,413) | ||||||||||||
Currency futures | ||||||||||||
U.S. dollar / Japanese Yen January 2023 - February 2023, $125.05 - $130.10 Put | (6 | ) | (3,345,095 | ) | (3.66 | )% | ||||||
Other currency futures | (86,138 | ) | (0.09 | )% | ||||||||
Total options | (3,431,233 | ) | (3.75 | )% | ||||||||
Total derivative financial instruments | $ | 32,942,978 | 36.01 | % |
Description | Number of Contracts | Fair Value | Percentage of Members’ Capital | |||||||||
Graham Derivatives Strategies LLC | ||||||||||||
Derivative financial instruments | ||||||||||||
Long contracts | ||||||||||||
Futures | ||||||||||||
Commodity | $ | 55,450 | 0.17 | % | ||||||||
Foreign bond | (70,256 | ) | (0.22 | )% | ||||||||
U.S. bond | (69,031 | ) | (0.21 | )% | ||||||||
Total futures | (83,837 | ) | (0.26 | )% | ||||||||
Forwards | ||||||||||||
Foreign currency | (34,812 | ) | (0.11 | )% | ||||||||
Total forwards | (34,812 | ) | (0.11 | )% | ||||||||
Options (cost $38,031,263) | ||||||||||||
Commodity futures | 1,294,020 | 4.02 | % | |||||||||
Currency futures | ||||||||||||
Euro dollar / British pound March 2023, $0.90 Call | 2 | 2,786,554 | 8.66 | % | ||||||||
Euro dollar / British pound February 2023, $0.89 Call | 1 | 1,918,757 | 5.96 | % | ||||||||
Euro dollar / Canadian dollar March 2023 - June 2023, $1.50 - $1.55 Call | 2 | 2,102,023 | 6.53 | % | ||||||||
U.S. dollar / Japanese yen May 2023 - June 2023, $147.00 - $148.00 Call | 2 | 459,528 | 1.43 | % | ||||||||
U.S. dollar / Japanese yen June 2023, $124.00 Put | 1 | 6,554,699 | 20.37 | % | ||||||||
U.S. dollar / Japanese yen February 2023, $127.50 Put | 1 | 1,787,137 | 5.55 | % | ||||||||
U.S. dollar / Japanese yen February 2023 - May 2023, $125.00 - $128.00 Put | 4 | 4,763,727 | 14.80 | % | ||||||||
U.S. dollar / Japanese yen January 2023 - April 2023 (eko $125.50 -$129.00), $131.50 - $134.00 Put | 4 | 2,834,864 | 8.81 | % | ||||||||
Other currency | 1,877,623 | 5.84 | % | |||||||||
Foreign bond futures | 630,334 | 1.96 | % | |||||||||
Interest rate futures | ||||||||||||
3 month SOFR February 2023, $95.00 Call | 1 | 2,734,050 | 8.50 | % | ||||||||
3 month SOFR February 2023, $95.19 Call | 1 | 1,685,450 | 5.24 | % | ||||||||
3 month SOFR January 2023, $95.00 Call | 1 | 2,836,500 | 8.82 | % | ||||||||
3 month SOFR March 2023, $95.31 Call | 1 | 1,897,250 | 5.90 | % | ||||||||
3 month SOFR January 2023 - March 2023, $95.13 - $95.19 Call | 2 | 2,097,938 | 6.52 | % | ||||||||
U.S. bond futures | 1,159,813 | 3.60 | % | |||||||||
U.S. index futures | ||||||||||||
S&P 500 E-mini September 2023, $4,800.00 Call | 1 | 590,425 | 1.83 | % | ||||||||
S&P 500 E-mini January 2023, $3,700.00 Put | 1 | 2,991,175 | 9.30 | % | ||||||||
S&P 500 E-mini January 2023, $3,400.00 Put | 1 | 210,788 | 0.66 | % | ||||||||
Total options | 43,212,655 | 134.30 | % |
Description | Number of Contracts | Fair Value | Percentage of Members’ Capital | |||||||||
Graham Derivatives Strategies LLC (continued) | ||||||||||||
Derivative financial instruments (continued) | ||||||||||||
Short contracts | ||||||||||||
Futures | ||||||||||||
Foreign bond | $ | 1,194,016 | 3.71 | % | ||||||||
Interest rate | ||||||||||||
3 month SOFR December 2023 | (38 | ) | (3,325 | ) | (0.01 | )% | ||||||
U.S. bond | 2,539 | 0.01 | % | |||||||||
U.S. index | ||||||||||||
E-mini Russ 2000 March 2023 | (9 | ) | (1,890 | ) | (0.01 | )% | ||||||
S&P 500 E-mini March 2023 | (32 | ) | (19,162 | ) | (0.06 | )% | ||||||
Total futures | 1,172,178 | 3.64 | % | |||||||||
Options (proceeds $22,332,158) | ||||||||||||
Commodity futures | (462,150 | ) | (1.44 | )% | ||||||||
Currency futures | ||||||||||||
U.S. dollar / Japanese yen February 2023, $125.00 - $125.50 Put | (2 | ) | (1,855,231 | ) | (5.77 | )% | ||||||
Other currency futures | (1,512,474 | ) | (4.70 | )% | ||||||||
Foreign bond futures | (201,630 | ) | (0.63 | )% | ||||||||
Interest rate futures | ||||||||||||
3 month SOFR February 2023, $95.06 Call | (1 | ) | (2,071,250 | ) | (6.44 | )% | ||||||
3 month SOFR January 2023, $95.06 Call | (1 | ) | (1,891,000 | ) | (5.88 | )% | ||||||
3 month SOFR January 2023 - March 2023, $95.13 - $95.44 Call | (5 | ) | (5,215,713 | ) | (16.20 | )% | ||||||
U.S. bond futures | (888,688 | ) | (2.76 | )% | ||||||||
U.S. index futures | ||||||||||||
S&P 500 E-mini September 2023, $4,700.00 Call | (1 | ) | (841,225 | ) | (2.61 | )% | ||||||
S&P 500 E-mini January 2023, $3,500.00 Put | (1 | ) | (1,204,500 | ) | (3.74 | )% | ||||||
Total options | (16,143,861 | ) | (50.17 | )% | ||||||||
Total derivative financial instruments | $ | 28,122,323 | 87.40 | % |
Description | Number of Contracts | Fair Value | Percentage of Net Assets | |||||||||
Graham K4D Trading Ltd. | ||||||||||||
Exchange memberships (cost $1,924,208) | ||||||||||||
United States (cost $1,924,208) | ||||||||||||
Financial services (cost $1,924,208) | $ | 1,647,049 | 3.69 | % | ||||||||
Total exchange memberships | $ | 1,647,049 | 3.69 | % | ||||||||
Derivative financial instruments | ||||||||||||
Long contracts | ||||||||||||
Futures | ||||||||||||
Commodity | $ | 3,736,084 | 8.37 | % | ||||||||
Currency | ||||||||||||
Euro FX currency March 2023 | 15 | 7,505 | 0.02 | % | ||||||||
Other currency | (25,432 | ) | (0.06 | )% | ||||||||
Foreign bond | ||||||||||||
Euro-Buxl 30 yr March 2023 | 13 | (218,664 | ) | (0.49 | )% | |||||||
Euro-Oat March 2023 | 8 | (72,824 | ) | (0.16 | )% | |||||||
Euro-Schatz March 2023 | 491 | 28,435 | 0.06 | % | ||||||||
Other foreign bond futures | (1,506,373 | ) | (3.38 | )% | ||||||||
Foreign index | ||||||||||||
CAC 40 10 Euro January 2023 | 279 | (831,148 | ) | (1.86 | )% | |||||||
Euro Stoxx 50 March 2023 | 1,396 | (2,927,143 | ) | (6.56 | )% | |||||||
Nikkei 225 (OSE) March 2023 | 196 | (2,812,569 | ) | (6.30 | )% | |||||||
Other foreign index | (2,936,199 | ) | (6.58 | )% | ||||||||
U.S. bond | (971,258 | ) | (2.18 | )% | ||||||||
U.S. index | (988,125 | ) | (2.21 | )% | ||||||||
Total futures | (9,517,711 | ) | (21.33 | )% | ||||||||
Swaps (cost $149,945) | ||||||||||||
Interest rate | 7,998 | 0.02 | % | |||||||||
Total swaps | 7,998 | 0.02 | % | |||||||||
Forwards | ||||||||||||
Foreign currency | 926,650 | 2.08 | % | |||||||||
Total forwards | 926,650 | 2.08 | % |
Description | Number of Contracts | Fair Value | Percentage of Net Assets | |||||||||
Graham K4D Trading Ltd. (continued) | ||||||||||||
Derivative financial instruments (continued) | ||||||||||||
Short contracts | ||||||||||||
Futures | ||||||||||||
Commodity | $ | 400,881 | 0.90 | % | ||||||||
Currency | (30,113 | ) | (0.07 | )% | ||||||||
Foreign bond | ||||||||||||
Euro-Bobl March 2023 | (248 | ) | 1,336,006 | 2.99 | % | |||||||
Euro-Btp March 2023 | (6 | ) | (20,715 | ) | (0.05 | )% | ||||||
Euro-Bund March 2023 | (104 | ) | 970,271 | 2.17 | % | |||||||
Other foreign bond | 1,420,235 | 3.19 | % | |||||||||
Foreign index | (77,544 | ) | (0.17 | )% | ||||||||
Interest rate | ||||||||||||
3 month Euro Euribor December 2023 | (1,254 | ) | 2,334,823 | 5.23 | % | |||||||
Other interest rate | 1,291,770 | 2.90 | % | |||||||||
U.S. bond | 769,686 | 1.72 | % | |||||||||
U.S. index | 750,082 | 1.68 | % | |||||||||
Total futures | 9,145,382 | 20.49 | % | |||||||||
Swaps (proceeds $64,745) | ||||||||||||
Interest rate | 108,048 | 0.24 | % | |||||||||
Total swaps | 108,048 | 0.24 | % | |||||||||
Forwards | ||||||||||||
Foreign currency | 712,094 | 1.60 | % | |||||||||
Total forwards | 712,094 | 1.60 | % | |||||||||
Total derivative financial instruments | $ | 1,382,461 | 3.10 | % |
Graham Commodity Strategies LLC | Graham Derivatives Strategies LLC | Graham K4D Trading Ltd. | ||||||||||
Assets | ||||||||||||
Level 1: | ||||||||||||
Commodity futures | $ | 4,725,880 | $ | 76,970 | $ | 5,591,646 | ||||||
Commodity futures options | – | 1,294,020 | – | |||||||||
Currency futures | – | – | 9,067 | |||||||||
Exchange memberships* | 6,902,176 | – | 1,647,049 | |||||||||
Foreign bond futures | 17,729,029 | 1,194,016 | 3,754,947 | |||||||||
Foreign bond futures options | – | 630,334 | – | |||||||||
Foreign index futures | 5,220,331 | – | 11,627 | |||||||||
Interest rate futures | 5,111,837 | – | 3,626,593 | |||||||||
Interest rate futures options | – | 11,251,188 | – | |||||||||
U.S. bond futures | 2,018,336 | 111,297 | 769,686 | |||||||||
U.S. bond futures options | – | 1,159,813 | – | |||||||||
U.S. index futures | 1,910,878 | – | 815,657 | |||||||||
U.S. index futures options | 70,125 | 3,792,388 | – | |||||||||
Total Level 1 | 43,688,592 | 19,510,026 | 16,226,272 | |||||||||
Level 2: | ||||||||||||
Foreign currency forwards | 2,067,521 | 25,084,912 | 2,851,140 | |||||||||
Foreign currency futures options | 9,634,362 | – | – | |||||||||
Interest rate swap | – | – | 150,127 | |||||||||
Total Level 2 | 11,701,883 | 25,084,912 | 3,001,267 | |||||||||
Total investment related assets | $ | 55,390,475 | $ | 44,594,938 | $ | 19,227,539 | ||||||
Liabilities | ||||||||||||
Level 1: | ||||||||||||
Commodity futures | $ | (2,261,910 | ) | $ | (21,520 | ) | $ | (1,454,681 | ) | |||
Commodity futures options | – | (462,150 | ) | – | ||||||||
Currency futures | – | – | (57,107 | ) | ||||||||
Foreign bond futures | (118 | ) | (70,256 | ) | (1,818,576 | ) | ||||||
Foreign index futures | (39,077 | ) | – | (9,596,230 | ) | |||||||
Foreign bond futures options | – | (201,630 | ) | – | ||||||||
Interest rate futures | (1,341,992 | ) | (3,325 | ) | – | |||||||
Interest rate futures options | – | (9,177,963 | ) | – | ||||||||
U.S. bond futures | (5,209,132 | ) | (177,789 | ) | (971,258 | ) | ||||||
U.S. bond futures options | – | (888,688 | ) | – | ||||||||
U.S. index futures | (1,011,365 | ) | (21,052 | ) | (1,053,700 | ) | ||||||
U.S. index futures options | – | (2,045,725 | ) | – | ||||||||
Total Level 1 | (9,863,594 | ) | (13,070,098 | ) | (14,951,552 | ) | ||||||
Level 2: | ||||||||||||
Foreign currency forwards | (2,250,494 | ) | (34,812 | ) | (1,212,396 | ) | ||||||
Foreign currency futures options | (3,431,233 | ) | (3,367,705 | ) | – | |||||||
Interest rate swap | – | – | (34,081 | ) | ||||||||
Total Level 2 | (5,681,727 | ) | (3,402,517 | ) | (1,246,477 | ) | ||||||
Total investment related liabilities | $ | (15,545,321 | ) | $ | (16,472,615 | ) | $ | (16,198,029 | ) |
Long exposure | Short exposure | |||||||||||||||||||||||
Notional Amounts | Number of contracts | Notional amounts | Number of contracts | Derivative assets | Derivative liabilities | |||||||||||||||||||
Commodity price | ||||||||||||||||||||||||
Futures | $ | 186,625,658 | 2,101 | $ | (15,498,641 | ) | (467 | ) | $ | 4,725,880 | $ | (2,261,910 | ) | |||||||||||
Options (a) | 13,373,826 | 1,072 | (5,762,599 | ) | (575 | ) | – | – | ||||||||||||||||
199,999,484 | 3,173 | (21,261,240 | ) | (1,042 | ) | 4,725,880 | (2,261,910 | ) | ||||||||||||||||
Equity price | ||||||||||||||||||||||||
Futures | 105,393,870 | 997 | (223,123,315 | ) | (2,820 | ) | 7,131,209 | (1,050,442 | ) | |||||||||||||||
Options (a) | 714,207 | 1,639 | (934,457 | ) | (1,636 | ) | 70,125 | – | ||||||||||||||||
106,108,077 | 2,636 | (224,057,772 | ) | (4,456 | ) | 7,201,334 | (1,050,442 | ) | ||||||||||||||||
Foreign currency exchange rate | ||||||||||||||||||||||||
Forwards | 1,316,655,676 | N/A | (1,208,969,411 | ) | N/A | 2,067,521 | (2,250,494 | ) | ||||||||||||||||
Options (a) | 60,751,845 | 7 | (96,796,503 | ) | (20 | ) | 9,634,362 | (3,431,233 | ) | |||||||||||||||
1,377,407,521 | 7 | (1,305,765,914 | ) | (20 | ) | 11,701,883 | (5,681,727 | ) | ||||||||||||||||
Interest rate | ||||||||||||||||||||||||
Futures | 1,238,790,866 | 7,141 | (2,850,846,022 | ) | (12,398 | ) | 24,859,202 | (6,551,242 | ) | |||||||||||||||
Options (a) | 805,426,116 | 16,775 | (914,747,665 | ) | (16,775 | ) | – | – | ||||||||||||||||
2,044,216,982 | 23,916 | (3,765,593,687 | ) | (29,173 | ) | 24,859,202 | (6,551,242 | ) | ||||||||||||||||
Total | $ | 3,727,732,064 | 29,732 | $ | (5,316,678,613 | ) | (34,691 | ) | $ | 48,488,299 | $ | (15,545,321 | ) |
(a) | Notional amounts for options are based on the delta-adjusted positions. |
Long exposure | Short exposure | |||||||||||||||||||||||
Notional Amounts | Number of contracts | Notional amounts | Number of contracts | Derivative assets | Derivative liabilities | |||||||||||||||||||
Commodity price | ||||||||||||||||||||||||
Futures | $ | 11,546,990 | 78 | $ | – | – | $ | 76,970 | $ | (21,520 | ) | |||||||||||||
Options (a) | 84,705,847 | 2,514 | (59,510,938 | ) | (2,520 | ) | 1,294,020 | (462,150 | ) | |||||||||||||||
96,252,837 | 2,592 | (59,510,938 | ) | (2,520 | ) | 1,370,990 | (483,670 | ) | ||||||||||||||||
Equity price | ||||||||||||||||||||||||
Futures | 5,392,423 | 24 | (7,282,457 | ) | (39 | ) | – | (21,052 | ) | |||||||||||||||
Options (a) | 51,591,974 | 2,432 | (96,065,054 | ) | (2,221 | ) | 3,792,388 | (2,045,725 | ) | |||||||||||||||
56,984,397 | 2,456 | (103,347,511 | ) | (2,260 | ) | 3,792,388 | (2,066,777 | ) | ||||||||||||||||
Foreign currency exchange rate | ||||||||||||||||||||||||
Forwards | 43,567,730 | N/A | (39,590,124 | ) | N/A | – | (34,812 | ) | ||||||||||||||||
Options (a) | 475,407,964 | 15 | (523,109,593 | ) | (18 | ) | 25,084,912 | (3,367,705 | ) | |||||||||||||||
518,975,694 | 15 | (562,699,717 | ) | (18 | ) | 25,084,912 | (3,402,517 | ) | ||||||||||||||||
Interest rate | ||||||||||||||||||||||||
Futures | 155,838,281 | 448 | (244,880,268 | ) | (1,134 | ) | 1,305,313 | (251,370 | ) | |||||||||||||||
Options (a) | 1,586,360,072 | 26,015 | (1,403,160,971 | ) | (26,024 | ) | 13,041,335 | (10,268,281 | ) | |||||||||||||||
1,742,198,353 | 26,463 | (1,648,041,239 | ) | (27,158 | ) | 14,346,648 | (10,519,651 | ) | ||||||||||||||||
Total | $ | 2,414,411,281 | 31,526 | $ | (2,373,599,405 | ) | (31,956 | ) | $ | 44,594,938 | $ | (16,472,615 | ) |
Long exposure | Short exposure | |||||||||||||||||||||||
Notional amounts | Number of contracts | Notional amounts | Number of contracts | Derivative assets | Derivative liabilities | |||||||||||||||||||
Commodity price | ||||||||||||||||||||||||
Futures | $ | 141,871,998 | 1,982 | $ | (56,120,835 | ) | (614 | ) | $ | 5,591,646 | $ | (1,454,681 | ) | |||||||||||
141,871,998 | 1,982 | (56,120,835 | ) | (614 | ) | 5,591,646 | (1,454,681 | ) | ||||||||||||||||
Equity price | ||||||||||||||||||||||||
Futures | 142,215,748 | 1,513 | (42,942,281 | ) | (352 | ) | 827,284 | (10,649,930 | ) | |||||||||||||||
142,215,748 | 1,513 | (42,942,281 | ) | (352 | ) | 827,284 | (10,649,930 | ) | ||||||||||||||||
Foreign currency exchange rate | ||||||||||||||||||||||||
Forwards | 179,977,788 | N/A | (386,554,059 | ) | N/A | 2,851,140 | (1,212,396 | ) | ||||||||||||||||
Futures | 11,720,226 | 113 | (4,111,082 | ) | (45 | ) | 9,067 | (57,107 | ) | |||||||||||||||
191,698,014 | 113 | (390,665,141 | ) | (45 | ) | 2,860,207 | (1,269,503 | ) | ||||||||||||||||
Interest rate | ||||||||||||||||||||||||
Futures | 160,551,408 | 874 | (770,715,266 | ) | (3,914 | ) | 8,151,226 | (2,789,834 | ) | |||||||||||||||
Swaps | 9,556,692 | 82 | (9,556,692 | ) | (82 | ) | 150,127 | (34,081 | ) | |||||||||||||||
170,108,100 | 956 | (780,271,958 | ) | (3,996 | ) | 8,301,353 | (2,823,915 | ) | ||||||||||||||||
Total | $ | 645,893,860 | 4,564 | $ | (1,270,000,215 | ) | (5,007 | ) | $ | 17,580,490 | $ | (16,198,029 | ) |
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 | $ | 48,488,299 | $ | (15,545,321 | ) | $ | 32,942,978 | $ | – | $ | 32,942,978 | |||||||||
Derivative liabilities | $ | (15,545,321 | ) | $ | 15,545,321 | $ | – | $ | – | $ | – | |||||||||
Graham Derivatives Strategies LLC2 | ||||||||||||||||||||
Derivative assets | $ | 44,594,938 | $ | (16,472,615 | ) | $ | 28,122,323 | $ | – | $ | 28,122,323 | |||||||||
Derivative liabilities | $ | (16,472,615 | ) | $ | 16,472,615 | $ | – | $ | – | $ | – | |||||||||
Graham K4D Trading Ltd.3 | ||||||||||||||||||||
Derivative assets | $ | 17,580,490 | $ | (13,878,292 | ) | $ | 3,702,198 | $ | – | $ | 3,702,198 | |||||||||
Derivative liabilities | $ | (16,198,029 | ) | $ | 13,878,292 | $ | (2,319,737 | ) | $ | 2,319,737 | $ | – |
Graham Commodity Strategies LLC | Graham Derivatives Strategies LLC* | Graham K4D Trading Ltd. | ||||||||||
Net investment income | $ | 1,187,038 | $ | 244,643 | $ | 204,186 | ||||||
Net realized gain on investments | 363,322,241 | 169,124,792 | 90,506,367 | |||||||||
Net increase (decrease) in unrealized appreciation on investments | 32,748,243 | 13,441,022 | (1,037,734 | ) | ||||||||
Brokerage commissions and fees | (2,253,916 | ) | (6,252,662 | ) | (188,196 | ) | ||||||
Net gain on investments | 393,816,568 | 176,313,152 | 89,280,437 | |||||||||
Net income | $ | 395,003,606 | $ | 176,557,795 | $ | 89,484,623 |
Graham Commodity Strategies LLC | Graham Derivatives Strategies LLC* | Graham K4D Trading Ltd. | ||||||||||||||||||||||
Net realized gain | Net increase in unrealized appreciation on investments | Net realized gain | Net increase in unrealized appreciation on investments | Net realized gain | Net decrease in unrealized appreciation on investments | |||||||||||||||||||
Commodity price | ||||||||||||||||||||||||
Futures | $ | 2,907,544 | $ | 1,243,636 | $ | 2,400,200 | $ | 55,450 | $ | 42,900,227 | $ | (517,832 | ) | |||||||||||
Options | (733,965 | ) | 1,320,437 | (3,248,823 | ) | 272,740 | – | – | ||||||||||||||||
Swaps | (5,991,484 | ) | 280,016 | – | – | – | – | |||||||||||||||||
(3,817,905 | ) | 2,844,089 | (848,623 | ) | 328,190 | 42,900,227 | (517,832 | ) | ||||||||||||||||
Equity price | ||||||||||||||||||||||||
Futures | 64,920,095 | 9,633,034 | 11,429,590 | (21,053 | ) | (8,594,983 | ) | (9,910,752 | ) | |||||||||||||||
Options | (3,209,455 | ) | 938,092 | 21,628,195 | 1,136,428 | – | – | |||||||||||||||||
61,710,640 | 10,571,126 | 33,057,785 | 1,115,375 | (8,594,983 | ) | (9,910,752 | ) | |||||||||||||||||
Foreign currency exchange rate | ||||||||||||||||||||||||
Forwards | 27,480,703 | (1,366,639 | ) | 11,210,206 | (34,812 | ) | 31,244,316 | 3,981,184 | ||||||||||||||||
Futures | – | – | – | – | 1,241,546 | 28,612 | ||||||||||||||||||
Options | (5,308,954 | ) | 4,454,582 | 39,757,703 | 9,670,316 | – | – | |||||||||||||||||
22,171,749 | 3,087,943 | 50,967,909 | 9,635,504 | 32,485,862 | 4,009,796 | |||||||||||||||||||
Interest rate | ||||||||||||||||||||||||
Futures | 263,360,169 | 11,771,666 | 32,633,828 | 1,053,944 | 23,797,926 | 5,387,604 | ||||||||||||||||||
Options | 3,751,242 | 277,905 | 20,547,696 | 290,205 | – | – | ||||||||||||||||||
Swaps | – | – | – | – | (17,334 | ) | 30,846 | |||||||||||||||||
267,111,411 | 12,049,571 | 53,181,524 | 1,344,149 | 23,780,592 | 5,418,450 | |||||||||||||||||||
Total | $ | 347,175,895 | $ | 28,552,729 | $ | 136,358,595 | $ | 12,423,218 | $ | 90,571,698 | $ | (1,000,338 | ) |
Graham Commodity Strategies LLC (Delaware) | Graham K4D Trading Ltd. (BVI) | |||||||
Assets: | ||||||||
Due from brokers | $ | 54,219,749 | $ | 46,687,074 | ||||
Derivative financial instruments, at fair value | 10,252,299 | 5,746,495 | ||||||
Exchange memberships, at fair value | 9,085,145 | 1,727,865 | ||||||
Dividends receivable | 80,756 | 11,500 | ||||||
Interest receivable | 1,197 | 293 | ||||||
Total assets | 73,639,146 | 54,173,227 | ||||||
Liabilities: | ||||||||
Derivative financial instruments, at fair value | 280,016 | 3,448,896 | ||||||
Interest payable | 11,382 | 17,478 | ||||||
Total liabilities | 291,398 | 3,466,374 | ||||||
Members’ Capital / Net Assets | $ | 73,347,748 | $ | 50,706,853 | ||||
Percentage of Master Fund held by GAIT | 2.52 | % | 5.76 | % |
Description | Number of Contracts / Notional Amounts | Fair Value | Percentage of Members’ Capital | Number of Contracts | Fair Value | Percentage of Members’ Capital | ||||||||||||||||||
Graham Commodity Strategies LLC | ||||||||||||||||||||||||
Exchange memberships (cost $3,649,411) | ||||||||||||||||||||||||
United States (cost $3,649,411) | ||||||||||||||||||||||||
Financial services (cost $3,649,411) | $ | 9,085,145 | 12.39 | % | $ | 9,085,145 | 12.39 | % | ||||||||||||||||
Total exchange memberships | $ | 9,085,145 | 12.39 | % | $ | 9,085,145 | 12.39 | % | ||||||||||||||||
Derivative financial instruments | ||||||||||||||||||||||||
Long contracts | ||||||||||||||||||||||||
Futures | ||||||||||||||||||||||||
Commodity | $ | 1,237,134 | 1.68 | % | $ | 1,237,134 | 1.68 | % | ||||||||||||||||
Interest rate | (476,955 | ) | (0.65 | )% | (476,955 | ) | (0.65 | )% | ||||||||||||||||
U.S. bond | 130,375 | 0.18 | % | 130,375 | 0.18 | % | ||||||||||||||||||
U.S. index | (1,226,851 | ) | (1.67 | )% | (1,226,851 | ) | (1.67 | )% | ||||||||||||||||
Total futures | (336,297 | ) | (0.46 | )% | (336,297 | ) | (0.46 | )% | ||||||||||||||||
Forwards | ||||||||||||||||||||||||
Foreign currency | 1,113,521 | 1.52 | % | 1,113,521 | 1.52 | % | ||||||||||||||||||
Total forwards | 1,113,521 | 1.52 | % | 1,113,521 | 1.52 | % | ||||||||||||||||||
Options (cost $26,424,623) | ||||||||||||||||||||||||
Commodity futures | 1,442,372 | 1.97 | % | 1,442,372 | 1.97 | % | ||||||||||||||||||
Currency futures | 3,844,021 | 5.24 | % | 3,844,021 | 5.24 | % | ||||||||||||||||||
Foreign bond futures | 272,025 | 0.37 | % | 272,025 | 0.37 | % | ||||||||||||||||||
Interest rate futures | ||||||||||||||||||||||||
IMM Euro September 2022 - December 2022, $99.63 - $99.75 Call | 3 | 1,073,538 | 1.46 | % | 3 | 1,073,538 | 1.46 | % | ||||||||||||||||
IMM Euro December 2022, $98.25 - $98.88 Put | 3 | 5,652,300 | 7.71 | % | 3 | 5,652,300 | 7.71 | % | ||||||||||||||||
Other interest rate futures | (252,463 | ) | (0.35 | )% | (252,463 | ) | (0.35 | )% | ||||||||||||||||
U.S. bond futures | 796,750 | 1.09 | % | 796,750 | 1.09 | % | ||||||||||||||||||
U.S. index futures | 1,249,360 | 1.70 | % | 1,249,360 | 1.70 | % | ||||||||||||||||||
Total options | 14,077,903 | 19.19 | % | 14,077,903 | 19.19 | % | ||||||||||||||||||
Swaps | ||||||||||||||||||||||||
Commodity | (280,016 | ) | (0.38 | )% | (280,016 | ) | (0.38 | )% | ||||||||||||||||
Total swaps | (280,016 | ) | (0.38 | )% | (280,016 | ) | (0.38 | )% |
Description | Number of Contracts | Fair Value | Percentage of Members’ Capital | |||||||||
Graham Commodity Strategies LLC (continued) | ||||||||||||
Derivative financial instruments (continued) | ||||||||||||
Short contracts | ||||||||||||
Futures | ||||||||||||
Commodity | $ | (16,800 | ) | (0.02 | )% | |||||||
Foreign bond | 5,234,595 | 7.13 | % | |||||||||
Foreign index | (2,318,737 | ) | (3.16 | )% | ||||||||
Interest rate | 901,827 | 1.23 | % | |||||||||
U.S. bond | 746,453 | 1.02 | % | |||||||||
U.S. index | (6,680 | ) | (0.01 | )% | ||||||||
Total futures | 4,540,658 | 6.19 | % | |||||||||
Forwards | ||||||||||||
Foreign currency | 70,145 | 0.10 | % | |||||||||
Total forwards | 70,145 | 0.10 | % | |||||||||
Options (proceeds $16,986,308) | ||||||||||||
Commodity futures | (708,089 | ) | (0.97 | )% | ||||||||
Currency futures | (722,252 | ) | (0.98 | )% | ||||||||
Foreign bond futures | (28,061 | ) | (0.04 | )% | ||||||||
Interest rate futures | ||||||||||||
IMM Euro September 2022 - December 2022, $99.50 - $99.88 Call | 3 | (1,296,569 | ) | (1.77 | )% | |||||||
IMM Euro December 2022, $98.50 - $98.63 Put | 2 | (4,705,788 | ) | (6.42 | )% | |||||||
Other interest rate futures | (24,356 | ) | (0.03 | )% | ||||||||
U.S. bond futures | (1,344,516 | ) | (1.83 | )% | ||||||||
U.S. index futures | (384,000 | ) | (0.52 | )% | ||||||||
Total options | (9,213,631 | ) | (12.56 | )% | ||||||||
Total derivative financial instruments | $ | 9,972,283 | 13.60 | % |
Description | Number of Contracts / Notional Amounts | Fair Value | Percentage of Net Assets | Fair Value | Percentage of Net Assets | ||||||||||||
Graham K4D Trading Ltd. | |||||||||||||||||
Exchange memberships (cost $1,924,208) | |||||||||||||||||
United States (cost $1,924,208) | |||||||||||||||||
Financial services (cost $1,924,208) | $ | 1,727,865 | 3.41 | % | $ | 1,727,865 | 3.41 | % | |||||||||
Total exchange memberships | $ | 1,727,865 | 3.41 | % | $ | 1,727,865 | 3.41 | % | |||||||||
Derivative financial instruments | |||||||||||||||||
Long contracts | |||||||||||||||||
Futures | |||||||||||||||||
Commodity | $ | 6,111,606 | 12.05 | % | $ | 6,111,606 | 12.05 | % | |||||||||
Currency | (70,744 | ) | (0.14 | )% | (70,744 | ) | (0.14 | )% | |||||||||
Foreign bond | (1,394,892 | ) | (2.75 | )% | (1,394,892 | ) | (2.75 | )% | |||||||||
Foreign index | 516,782 | 1.02 | % | 516,782 | 1.02 | % | |||||||||||
Interest rate | (2,126 | ) | (0.00 | )% | (2,126 | ) | (0.00 | )% | |||||||||
U.S. bond | (444,578 | ) | (0.88 | )% | (444,578 | ) | (0.88 | )% | |||||||||
U.S. index | 2,296,230 | 4.53 | % | 2,296,230 | 4.53 | % | |||||||||||
Total futures | 7,012,278 | 13.83 | % | 7,012,278 | 13.83 | % | |||||||||||
Forwards | |||||||||||||||||
Foreign currency | 1,328,234 | 2.62 | % | 1,328,234 | 2.62 | % | |||||||||||
Total forwards | 1,328,234 | 2.62 | % | 1,328,234 | 2.62 | % |
Short contracts | ||||||||
Futures | ||||||||
Commodity | (1,456,810 | ) | (2.87 | )% | ||||
Currency | (5,907 | ) | (0.01 | )% | ||||
Foreign bond | (111 | ) | (0.00 | )% | ||||
Foreign index | (2,140,421 | ) | (4.22 | )% | ||||
Interest rate | 1,816,526 | 3.57 | % | |||||
U.S. bond | (1,031 | ) | (0.00 | )% | ||||
U.S. index | (584,485 | ) | (1.15 | )% | ||||
Total futures | (2,372,239 | ) | (4.68 | )% | ||||
Forwards | ||||||||
Foreign currency | (3,670,674 | ) | (7.24 | )% | ||||
Total forwards | (3,670,674 | ) | (7.24 | )% | ||||
Total derivative financial instruments | $ | 2,297,599 | 4.53 | % |
Graham Commodity Strategies LLC | Graham K4D Trading Ltd. | |||||||
Assets | ||||||||
Level 1: | ||||||||
Commodity futures | $ | 4,113,190 | $ | 7,152,836 | ||||
Commodity futures options | 1,442,372 | – | ||||||
Currency futures | – | 12,605 | ||||||
Exchange memberships* | 9,085,145 | 1,727,865 | ||||||
Foreign bond futures | 5,234,595 | 1,102,214 | ||||||
Foreign bond futures options | 272,025 | – | ||||||
Foreign index futures | – | 516,782 | ||||||
Interest rate futures | 901,826 | 1,821,016 | ||||||
Interest rate futures options | 9,001,768 | – | ||||||
U.S. bond futures | 1,114,625 | 11,938 | ||||||
U.S. bond future options | 796,750 | – | ||||||
U.S. index futures | 1,190,740 | 2,296,230 | ||||||
U.S. index futures options | 1,249,360 | – | ||||||
Total Level 1 | 34,402,396 | 14,641,486 | ||||||
Level 2: | ||||||||
Foreign currency forwards | 3,203,077 | 3,484,404 | ||||||
Foreign currency options | 3,844,020 | – | ||||||
Total Level 2 | 7,047,097 | 3,484,404 | ||||||
Total investment related assets | $ | 41,449,493 | $ | 18,125,890 | ||||
Liabilities | ||||||||
Level 1: | ||||||||
Commodity futures | $ | (2,892,856 | ) | $ | (2,498,040 | ) | ||
Commodity futures options | (708,089 | ) | – | |||||
Currency futures | – | (89,256 | ) | |||||
Foreign bond futures | – | (2,497,217 | ) | |||||
Foreign bond futures options | (28,061 | ) | – | |||||
Foreign index futures | (2,318,737 | ) | (2,140,421 | ) | ||||
Interest rate futures | (476,954 | ) | (6,616 | ) | ||||
Interest rate futures options | (8,555,106 | ) | – | |||||
U.S. bond futures | (237,797 | ) | (457,547 | ) | ||||
U.S. bond future options | (1,344,516 | ) | – | |||||
U.S. index futures | (2,424,271 | ) | (584,485 | ) | ||||
U.S. index futures options | (384,000 | ) | – | |||||
Total Level 1 | (19,370,387 | ) | (8,273,582 | ) | ||||
Level 2: | ||||||||
Commodity swaps | (280,016 | ) | – | |||||
Foreign currency forwards | (2,019,411 | ) | (5,826,844 | ) | ||||
Foreign currency options | (722,251 | ) | – | |||||
Total Level 2 | (3,021,678 | ) | (5,826,844 | ) | ||||
Total investment related liabilities | $ | (22,392,065 | ) | $ | (14,100,426 | ) |
Long exposure | Short exposure | |||||||||||||||||||||||
Notional amounts | Number of contracts | Notional amounts | Number of contracts | Derivative assets | Derivative liabilities | |||||||||||||||||||
Commodity price | ||||||||||||||||||||||||
Futures | $ | 160,157,100 | 2,478 | $ | (17,824,150 | ) | (294 | ) | $ | 4,113,190 | $ | (2,892,856 | ) | |||||||||||
Options (a) | 51,917,266 | 2,529 | (25,606,504 | ) | (2,187 | ) | 1,442,372 | (708,089 | ) | |||||||||||||||
Swaps | 74,719,984 | 400,930 | - | - | - | (280,016 | ) | |||||||||||||||||
286,794,350 | 405,937 | (43,430,654 | ) | (2,481 | ) | 5,555,562 | (3,880,961 | ) | ||||||||||||||||
Equity price | ||||||||||||||||||||||||
Futures | 189,776,655 | 1,808 | (142,021,171 | ) | (1,378 | ) | 1,190,740 | (4,743,008 | ) | |||||||||||||||
Options (a) | 87,618,175 | 2,939 | (28,825,458 | ) | (2,194 | ) | 1,249,360 | (384,000 | ) | |||||||||||||||
277,394,830 | 4,747 | (170,846,629 | ) | (3,572 | ) | 2,440,100 | (5,127,008 | ) | ||||||||||||||||
Foreign currency exchange rate | ||||||||||||||||||||||||
Forwards | 1,008,305,622 | N/A | (818,213,619 | ) | N/A | 3,203,077 | (2,019,411 | ) | ||||||||||||||||
Options (a) | 587,964,589 | 27 | (523,304,530 | ) | (37 | ) | 3,844,020 | (722,251 | ) | |||||||||||||||
1,596,270,211 | 27 | (1,341,518,149 | ) | (37 | ) | 7,047,097 | (2,741,662 | ) | ||||||||||||||||
Interest rate | ||||||||||||||||||||||||
Futures | 2,879,608,916 | 11,873 | (6,021,325,916 | ) | (33,248 | ) | 7,251,046 | (714,751 | ) | |||||||||||||||
Options (a) | 1,499,806,595 | 40,301 | (1,722,139,616 | ) | (41,722 | ) | 10,070,543 | (9,927,683 | ) | |||||||||||||||
4,379,415,511 | 52,174 | (7,743,465,532 | ) | (74,970 | ) | 17,321,589 | (10,642,434 | ) | ||||||||||||||||
Total | $ | 6,539,874,902 | 462,885 | $ | (9,299,260,964 | ) | (81,060 | ) | $ | 32,364,348 | $ | (22,392,065 | ) |
(a) | Notional amounts for options are based on the delta-adjusted positions. |
Long exposure | Short exposure | |||||||||||||||||||||||
Notional amounts | Number of contracts | Notional amounts | Number of contracts | Derivative assets | Derivative liabilities | |||||||||||||||||||
Commodity price | ||||||||||||||||||||||||
Futures | $ | 229,290,080 | 3,427 | $ | (87,412,380 | ) | (780 | ) | $ | 7,152,836 | $ | (2,498,040 | ) | |||||||||||
229,290,080 | 3,427 | (87,412,380 | ) | (780 | ) | 7,152,836 | (2,498,040 | ) | ||||||||||||||||
Equity price | ||||||||||||||||||||||||
Futures | 253,211,004 | 1,455 | (50,035,289 | ) | (380 | ) | 2,813,012 | (2,724,906 | ) | |||||||||||||||
253,211,004 | 1,455 | (50,035,289 | ) | (380 | ) | 2,813,012 | (2,724,906 | ) | ||||||||||||||||
Foreign currency exchange rate | ||||||||||||||||||||||||
Forwards | 197,256,363 | N/A | (550,659,993 | ) | N/A | 3,484,404 | (5,826,844 | ) | ||||||||||||||||
Futures | 6,531,283 | 66 | (8,079,620 | ) | (87 | ) | 12,605 | (89,256 | ) | |||||||||||||||
203,787,646 | 66 | (558,739,613 | ) | (87 | ) | 3,497,009 | (5,916,100 | ) | ||||||||||||||||
Interest rate | ||||||||||||||||||||||||
Futures | 1,521,988,805 | 7,496 | (545,462,419 | ) | (3,036 | ) | 2,935,168 | (2,961,380 | ) | |||||||||||||||
1,521,988,805 | 7,496 | (545,462,419 | ) | (3,036 | ) | 2,935,168 | (2,961,380 | ) | ||||||||||||||||
Total | $ | 2,208,277,535 | 12,444 | $ | (1,241,649,701 | ) | (4,283 | ) | $ | 16,398,025 | $ | (14,100,426 | ) |
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 | $ | 32,364,348 | $ | (22,112,049 | ) | $ | 10,252,299 | $ | – | $ | 10,252,299 | $ | 32,364,348 | $ | (22,112,049 | ) | $ | 10,252,299 | $ | – | $ | 10,252,299 | ||||||||||||||||||
Derivative liabilities | $ | (22,392,065 | ) | $ | 22,112,049 | $ | (280,016 | ) | $ | 280,016 | $ | – | $ | (22,392,065 | ) | $ | 22,112,049 | $ | (280,016 | ) | $ | 280,016 | $ | – | ||||||||||||||||
Graham K4D Trading Ltd.2 | ||||||||||||||||||||||||||||||||||||||||
Derivative assets | $ | 16,398,025 | $ | (10,651,530 | ) | $ | 5,746,495 | $ | – | $ | 5,746,495 | $ | 16,398,025 | $ | (10,651,530 | ) | $ | 5,746,495 | $ | – | $ | 5,746,495 | ||||||||||||||||||
Derivative liabilities | $ | (14,100,426 | ) | $ | 10,651,530 | $ | (3,448,896 | ) | $ | 3,448,896 | $ | – | $ | (14,100,426 | ) | $ | 10,651,530 | $ | (3,448,896 | ) | $ | 3,448,896 | $ | – |
Graham Commodity Strategies LLC | Graham K4D Trading Ltd. | |||||||
Net investment income (loss) | $ | 36,971 | $ | (79,643 | ) | |||
Net realized gain on investments | 121,209,519 | 20,694,135 | ||||||
Net increase (decrease) in unrealized appreciation on investments | 3,180,758 | (15,726,939 | ) | |||||
Brokerage commissions and fees | (5,317,907 | ) | (318,762 | ) | ||||
Net gain on investments | 119,072,370 | 4,648,434 | ||||||
Net income | $ | 119,109,341 | $ | 4,568,791 |
Graham Commodity Strategies LLC | Graham K4D Trading Ltd. | |||||||||||||||
Net realized gain on investments | Net decrease in unrealized appreciation on investments | Net realized gain on investments | Net decrease in unrealized appreciation on investments | |||||||||||||
Commodity price | ||||||||||||||||
Futures | $ | 21,056,892 | $ | (1,101,538 | ) | $ | 33,798,765 | $ | (7,178,065 | ) | ||||||
Options | (5,856,562 | ) | (870,366 | ) | – | – | ||||||||||
Swaps | – | (280,016 | ) | – | – | |||||||||||
15,200,330 | (2,251,920 | ) | 33,798,765 | (7,178,065 | ) | |||||||||||
Equity price | ||||||||||||||||
Futures | 63,867,870 | (4,394,378 | ) | 20,989,263 | (6,483,706 | ) | ||||||||||
Options | 3,584,534 | 24,251 | – | – | ||||||||||||
67,452,404 | (4,370,127 | ) | 20,989,263 | (6,483,706 | ) | |||||||||||
Foreign currency exchange rate | ||||||||||||||||
Forwards | 59,126,582 | (988,466 | ) | 7,864,793 | (1,440,956 | ) | ||||||||||
Futures | – | – | 53,757 | (166,457 | ) | |||||||||||
Options | (22,508,573 | ) | (7,555,635 | ) | – | – | ||||||||||
36,618,009 | (8,544,101 | ) | 7,918,550 | (1,607,413 | ) | |||||||||||
Interest rate | ||||||||||||||||
Futures | 769,574 | 9,556,951 | (42,032,916 | ) | (799,784 | ) | ||||||||||
Options | 7,581,042 | 510,249 | – | – | ||||||||||||
8,350,616 | 10,067,200 | (42,032,916 | ) | (799,784 | ) | |||||||||||
Total | $ | 127,621,359 | $ | (5,098,948 | ) | $ | 20,673,662 | $ | (16,068,968 | ) |
Graham Commodity Strategies LLC (Delaware) | Graham K4D Trading Ltd. (BVI) | |||||||
Assets: | ||||||||
Fixed income securities, at fair value (cost $15,290,650) | $ | – | $ | 15,299,973 | ||||
Due from brokers | 53,351,844 | 13,045,449 | ||||||
Derivative financial instruments, at fair value | 19,688,505 | 19,267,599 | ||||||
Exchange memberships, at fair value | 7,217,279 | 1,376,513 | ||||||
Dividends receivable | 62,120 | 8,846 | ||||||
Interest receivable | 1,123 | 379 | ||||||
Total assets | 80,320,871 | 48,998,759 | ||||||
Liabilities: | ||||||||
Derivative financial instruments, at fair value | – | 901,032 | ||||||
Interest payable | 26,417 | 2,940 | ||||||
Total liabilities | 26,417 | 903,972 | ||||||
Members’ Capital / Net Assets | $ | 80,294,454 | $ | 48,094,787 | ||||
Percentage of Master Fund held by GAIT | 2.62 | % | 9.03 | % |
Description | Number of Contracts / Notional Amounts | Fair Value | Percentage of Members’ Capital | |||||||||
Graham Commodity Strategies LLC | ||||||||||||
Exchange memberships (cost $3,649,411) | ||||||||||||
United States (cost $3,649,411) | ||||||||||||
Financial services (cost $3,649,411) | $ | 7,217,279 | 8.99 | % | ||||||||
Total exchange memberships | $ | 7,217,279 | 8.99 | % | ||||||||
Derivative financial instruments | ||||||||||||
Long contracts | ||||||||||||
Futures | ||||||||||||
Commodity | $ | 3,605,184 | 4.49 | % | ||||||||
Foreign index | 86,848 | 0.11 | % | |||||||||
Interest rate | (1,593,877 | ) | (1.99 | )% | ||||||||
U.S. index | 945,270 | 1.18 | % | |||||||||
Total futures | 3,043,425 | 3.79 | % | |||||||||
Forwards | ||||||||||||
Euro dollar / U.S. dollar 01/04/2021 - 01/05/2021 | EUR 996,045,395 | (6,213,377 | ) | (7.74 | )% | |||||||
Other foreign currency | 8,418,948 | 10.49 | % | |||||||||
Total forwards | 2,205,571 | 2.75 | % | |||||||||
Options (cost $34,126,355) | ||||||||||||
Commodity futures | 2,853,904 | 3.55 | % | |||||||||
Currency futures | ||||||||||||
Euro dollar / U.S. dollar January 2021 - February 2021, $1.13 $1.21 Put | 2 | 201,977 | 0.25 | % | ||||||||
Euro dollar / U.S. dollar January 2021 - June 2021, $1.21 - $1.29 Call | 22 | 7,930,615 | 9.88 | % | ||||||||
Other currency futures | 15,258,361 | 19.01 | % | |||||||||
Foreign bond futures | (474,329 | ) | (0.59 | )% | ||||||||
Interest rate futures | (353,350 | ) | (0.44 | )% | ||||||||
U.S. bond futures | ||||||||||||
U.S. 10 yr. January 2021 - February 2021, $137.00 Put | 2 | 613,781 | 0.76 | % | ||||||||
U.S. bond February 2021 - March 2021, $168.00 - $173.00 Put | 3 | 4,750,609 | 5.92 | % | ||||||||
U.S. index futures | 156,243 | 0.19 | % | |||||||||
Total options | 30,937,811 | 38.53 | % |
Description | Number of Contracts | Fair Value | Percentage of Members’ Capital | |||||||||
Graham Commodity Strategies LLC (continued) | ||||||||||||
Derivative financial instruments (continued) | ||||||||||||
Short contracts | ||||||||||||
Futures | ||||||||||||
Commodity | $ | (112,721 | ) | (0.14 | )% | |||||||
Foreign bond | (231,767 | ) | (0.29 | )% | ||||||||
Foreign index | (190,008 | ) | (0.24 | )% | ||||||||
Interest rate | (774,012 | ) | (0.96 | )% | ||||||||
U.S. bond | ||||||||||||
U.S. long bond (CBT) March 2021 | (359 | ) | (7,469 | ) | (0.01 | )% | ||||||
U.S. Ultra bond (CBT) March 2021 | (281 | ) | (413,531 | ) | (0.52 | )% | ||||||
Total futures | (1,729,508 | ) | (2.16 | )% | ||||||||
Forwards | ||||||||||||
Foreign currency | (4,255,973 | ) | (5.30 | )% | ||||||||
Total forwards | (4,255,973 | ) | (5.30 | )% | ||||||||
Options (proceeds $15,848,231) | ||||||||||||
Commodity futures | (1,158,990 | ) | (1.44 | )% | ||||||||
Currency futures | ||||||||||||
Euro dollar / U.S. dollar January 2021 - February 2021, $1.13 - $1.21 Put | (2 | ) | (424,428 | ) | (0.53 | )% | ||||||
Euro dollar / U.S. dollar January 2021 - February 2021, $1.23 - $1.27 Call | (9 | ) | (3,657,297 | ) | (4.55 | )% | ||||||
Other currency futures | (1,619,819 | ) | (2.02 | )% | ||||||||
Interest rate futures | 88,338 | 0.11 | % | |||||||||
U.S. bond futures | ||||||||||||
U.S. 10 yr. January 2021 - February 2021, $137.00 Put | (1 | ) | (81,844 | ) | (0.10 | )% | ||||||
U.S. bond February 2021 - March 2021, $168.00 - $173.00 Put | (2 | ) | (3,658,781 | ) | (4.56 | )% | ||||||
Total options | (10,512,821 | ) | (13.09 | )% | ||||||||
Total derivative financial instruments | $ | 19,688,505 | 24.52 | % |
Description | Principal Amount / Number of Contracts | Fair Value | Percentage of Net Assets | |||||||||
Graham K4D Trading Ltd. | ||||||||||||
Fixed income securities owned (cost $15,290,650) | ||||||||||||
Government bonds (cost $15,290,650) | ||||||||||||
United States (cost $15,290,650) | ||||||||||||
Treasury bills (cost $15,290,650) | ||||||||||||
U.S. Treasury bills 0.00% due 01/07/2021 | $ | 15,300,000 | $ | 15,299,973 | 31.81 | % | ||||||
Total Treasury Bills | 15,299,973 | 31.81 | % | |||||||||
Total fixed income securities owned | $ | 15,299,973 | 31.81 | % | ||||||||
Exchange memberships (cost $1,924,208) | ||||||||||||
United States (cost $1,924,208) | ||||||||||||
Financial services (cost $1,924,208) | $ | 1,376,513 | 2.86 | % | ||||||||
Total exchange memberships | $ | 1,376,513 | 2.86 | % | ||||||||
Derivative financial instruments | ||||||||||||
Long contracts | ||||||||||||
Futures | ||||||||||||
Commodity | ||||||||||||
Copper March 2021 | 2 | $ | (188 | ) | (0.00 | )% | ||||||
LME Copper March 2021 | 148 | 3,338,829 | 6.94 | % | ||||||||
Soybean March 2021 | 244 | 3,274,653 | 6.81 | % | ||||||||
Soybean Meal March 2021 | 128 | 486,331 | 1.01 | % | ||||||||
Soybean Oil March 2021 | 104 | 297,162 | 0.62 | % | ||||||||
Other commodity | 5,029,748 | 10.46 | % | |||||||||
Currency | 17,648 | 0.04 | % | |||||||||
Foreign bond | 712,283 | 1.48 | % | |||||||||
Foreign index | 3,707,132 | 7.71 | % | |||||||||
Interest rate | 218,418 | 0.45 | % | |||||||||
U.S. bond | (176,241 | ) | (0.37 | )% | ||||||||
U.S. index | 2,684,392 | 5.58 | % | |||||||||
Total futures | 19,590,167 | 40.73 | % | |||||||||
Forwards | ||||||||||||
Foreign currency | 1,990,729 | 4.14 | % | |||||||||
Total forwards | 1,990,729 | 4.14 | % |
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 | ||||||||||||
LME Copper March 2021 | (28 | ) | $ | (26,265 | ) | (0.05 | )% | |||||
Other commodity | (567,408 | ) | (1.18 | )% | ||||||||
Currency | 72,159 | 0.15 | % | |||||||||
Foreign bond | 236,444 | 0.49 | % | |||||||||
Foreign index | 180,289 | 0.37 | % | |||||||||
Interest rate | (44,120 | ) | (0.09 | )% | ||||||||
U.S. bond | (173,211 | ) | (0.36 | )% | ||||||||
Total futures | (322,112 | ) | (0.67 | )% | ||||||||
Forwards | ||||||||||||
Foreign currency | (2,892,217 | ) | (6.01 | )% | ||||||||
Total forwards | (2,892,217 | ) | (6.01 | )% | ||||||||
Total derivative financial instruments | $ | 18,366,567 | 38.19 | % |
Graham Commodity Strategies LLC | Graham K4D Trading Ltd. | |||||||
Assets | ||||||||
Level 1: | ||||||||
Commodity futures | $ | 4,747,408 | $ | 12,876,497 | ||||
Commodity futures options | 2,853,904 | – | ||||||
Currency futures | – | 98,453 | ||||||
Exchange memberships | 7,217,279 | 1,376,513 | ||||||
Foreign bond futures | – | 1,002,520 | ||||||
Foreign index futures | 784,870 | 4,009,649 | ||||||
Interest rate futures | – | 268,741 | ||||||
Interest rate futures options | 88,338 | – | ||||||
U.S. bond futures | – | 179,111 | ||||||
U.S. bond future options | 5,364,390 | – | ||||||
U.S. index futures | 1,654,860 | 2,684,392 | ||||||
U.S. index futures options | 156,243 | – | ||||||
Total Level 1 | 22,867,292 | 22,495,876 | ||||||
Level 2: | ||||||||
Foreign currency forwards | 16,048,079 | 2,161,662 | ||||||
Foreign currency options | 23,390,952 | – | ||||||
Government bonds* | – | 15,299,973 | ||||||
Total Level 2 | 39,439,031 | 17,461,635 | ||||||
Total investment related assets | $ | 62,306,323 | $ | 39,957,511 | ||||
Liabilities | ||||||||
Level 1: | ||||||||
Commodity futures | $ | (1,254,945 | ) | $ | (1,043,635 | ) | ||
Commodity futures options | (1,158,990 | ) | – | |||||
Currency futures | – | (8,646 | ) | |||||
Foreign bond futures | (231,767 | ) | (53,793 | ) | ||||
Foreign bond futures options | (474,329 | ) | – | |||||
Foreign index futures | (888,030 | ) | (122,228 | ) | ||||
Interest rate futures | (2,367,889 | ) | (94,443 | ) | ||||
Interest rate futures options | (353,350 | ) | – | |||||
U.S. bond futures | (421,000 | ) | (528,563 | ) | ||||
U.S. bond future options | (3,740,625 | ) | – | |||||
U.S. index futures | (709,590 | ) | – | |||||
Total Level 1 | (11,600,515 | ) | (1,851,308 | ) | ||||
Level 2: | ||||||||
Foreign currency forwards | (18,098,481 | ) | (3,063,150 | ) | ||||
Foreign currency options | (5,701,543 | ) | – | |||||
Total Level 2 | (23,800,024 | ) | (3,063,150 | ) | ||||
Total investment related liabilities | $ | (35,400,539 | ) | $ | (4,914,458 | ) |
Long exposure | Short exposure | |||||||||||||||||||||||
Notional amounts | Number of contracts | Notional amounts | Number of contracts | Derivative assets | Derivative liabilities | |||||||||||||||||||
Commodity price | ||||||||||||||||||||||||
Futures | $ | 291,947,987 | 3,666 | $ | (22,208,833 | ) | (848 | ) | $ | 4,747,408 | $ | (1,254,945 | ) | |||||||||||
Options (a) | 166,938,932 | 9,926 | (71,048,077 | ) | (9,418 | ) | 2,853,904 | (1,158,990 | ) | |||||||||||||||
458,886,919 | 13,592 | (93,256,910 | ) | (10,266 | ) | 7,601,312 | (2,413,935 | ) | ||||||||||||||||
Equity price | ||||||||||||||||||||||||
Futures | 228,334,088 | 2,646 | (183,175,537 | ) | (2,528 | ) | 2,439,730 | (1,597,620 | ) | |||||||||||||||
Options (a) | 56,160,681 | 4,956 | (41,895,632 | ) | (3,627 | ) | 156,243 | – | ||||||||||||||||
284,494,769 | 7,602 | (225,071,169 | ) | (6,155 | ) | 2,595,973 | (1,597,620 | ) | ||||||||||||||||
Foreign currency exchange rate | ||||||||||||||||||||||||
Forwards | 1,740,877,419 | N/A | (1,442,685,488 | ) | N/A | 16,048,079 | (18,098,481 | ) | ||||||||||||||||
Options (a) | 1,057,757,240 | 68 | (821,185,710 | ) | (55 | ) | 23,390,952 | (5,701,543 | ) | |||||||||||||||
2,798,634,659 | 68 | (2,263,871,198 | ) | (55 | ) | 39,439,031 | (23,800,024 | ) | ||||||||||||||||
Interest rate | ||||||||||||||||||||||||
Futures | 4,702,409,114 | 16,250 | (1,399,855,375 | ) | (5,972 | ) | – | (3,020,656 | ) | |||||||||||||||
Options (a) | 1,626,301,542 | 125,103 | (2,314,949,508 | ) | (28,892 | ) | 5,452,728 | (4,568,304 | ) | |||||||||||||||
6,328,710,656 | 141,353 | (3,714,804,883 | ) | (34,864 | ) | 5,452,728 | (7,588,960 | ) | ||||||||||||||||
Total | $ | 9,870,727,003 | 162,615 | $ | (6,297,004,160 | ) | (51,340 | ) | $ | 55,089,044 | $ | (35,400,539 | ) |
Long exposure | Short exposure | |||||||||||||||||||||||
Notional amounts | Number of contracts | Notional amounts | Number of contracts | Derivative assets | Derivative liabilities | |||||||||||||||||||
Commodity price | ||||||||||||||||||||||||
Futures | $ | 82,444,396 | 1,103 | $ | (63,476,837 | ) | (1,616 | ) | $ | 12,876,497 | $ | (1,043,635 | ) | |||||||||||
82,444,396 | 1,103 | (63,476,837 | ) | (1,616 | ) | 12,876,497 | (1,043,635 | ) | ||||||||||||||||
Equity price | ||||||||||||||||||||||||
Futures | 153,648,082 | 1,257 | (17,798,393 | ) | (212 | ) | 6,694,041 | (122,228 | ) | |||||||||||||||
153,648,082 | 1,257 | (17,798,393 | ) | (212 | ) | 6,694,041 | (122,228 | ) | ||||||||||||||||
Foreign currency exchange rate | ||||||||||||||||||||||||
Forwards | 227,502,442 | N/A | (185,401,425 | ) | N/A | 2,161,662 | (3,063,150 | ) | ||||||||||||||||
Futures | 2,482,513 | 25 | (4,648,985 | ) | (52 | ) | 98,453 | (8,646 | ) | |||||||||||||||
229,984,955 | 25 | (190,050,410 | ) | (52 | ) | 2,260,115 | (3,071,796 | ) | ||||||||||||||||
Interest rate | ||||||||||||||||||||||||
Futures | 975,188,403 | 5,167 | (169,048,132 | ) | (830 | ) | 1,450,372 | (676,799 | ) | |||||||||||||||
975,188,403 | 5,167 | (169,048,132 | ) | (830 | ) | 1,450,372 | (676,799 | ) | ||||||||||||||||
Total | $ | 1,441,265,836 | 7,552 | $ | (440,373,772 | ) | (2,710 | ) | $ | 23,281,025 | $ | (4,914,458 | ) |
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 | $ | 55,089,044 | $ | (35,400,539 | ) | $ | 19,688,505 | $ | – | $ | 19,688,505 | |||||||||
Derivative liabilities | $ | (35,400,539 | ) | $ | 35,400,539 | $ | – | $ | – | $ | – | |||||||||
Graham K4D Trading Ltd.2 | ||||||||||||||||||||
Derivative assets | $ | 23,281,025 | $ | (4,013,426 | ) | $ | 19,267,599 | $ | – | $ | 19,267,599 | |||||||||
Derivative liabilities | $ | (4,914,458 | ) | $ | 4,013,426 | $ | (901,032 | ) | $ | 901,032 | $ | – |
Graham Commodity Strategies LLC | Graham K4D Trading Ltd. | |||||||
Net investment income | $ | 409,657 | $ | 297,431 | ||||
Net realized gain (loss) on investments | 390,354,013 | (24,542,463 | ) | |||||
Net increase in unrealized appreciation on investments | 10,676,784 | 23,594,100 | ||||||
Brokerage commissions and fees | (8,628,900 | ) | (244,922 | ) | ||||
Net gain (loss) on investments | 392,401,897 | (1,193,285 | ) | |||||
Net income (loss) | $ | 392,811,554 | $ | (895,854 | ) |
Graham Commodity Strategies LLC | Graham K4D Trading Ltd. | |||||||||||||||
Net realized gain on investments | Net decrease in unrealized appreciation on investments | Net realized gain on investments | Net decrease in unrealized appreciation on investments | |||||||||||||
Commodity price | ||||||||||||||||
Futures | $ | 100,271,570 | $ | (4,401,972 | ) | $ | (4,596,061 | ) | $ | 11,793,257 | ||||||
Options | 1,145,452 | (4,873,042 | ) | – | – | |||||||||||
101,417,022 | (9,275,014 | ) | (4,596,061 | ) | 11,793,257 | |||||||||||
Equity price | ||||||||||||||||
Futures | 119,015,811 | 242,081 | (38,171,035 | ) | 6,211,831 | |||||||||||
Options | (18,667,775 | ) | (3,000,908 | ) | – | – | ||||||||||
100,348,036 | (2,758,827 | ) | (38,171,035 | ) | 6,211,831 | |||||||||||
Foreign currency exchange rate | ||||||||||||||||
Forwards | 119,595,110 | 11,030,427 | (13,035,847 | ) | 1,558,513 | |||||||||||
Futures | (2,697 | ) | (11,107 | ) | (251,266 | ) | 105,429 | |||||||||
Options | (12,378,567 | ) | 7,550,128 | – | – | |||||||||||
107,213,846 | 18,569,448 | (13,287,113 | ) | 1,663,942 | ||||||||||||
Interest rate | ||||||||||||||||
Futures | 83,733,070 | (4,997,162 | ) | 31,074,883 | 4,269,922 | |||||||||||
Options | 6,790,366 | 743,321 | – | – | ||||||||||||
Swaps | (257,037 | ) | – | – | – | |||||||||||
90,266,399 | (4,253,841 | ) | 31,074,883 | 4,269,922 | ||||||||||||
Total | $ | 399,245,303 | $ | 2,281,766 | $ | (24,979,326 | ) | $ | 23,938,952 |
December 31, 2021 | December 31, 2020 | December 31, 2022 | December 31, 2021 | |||||||||||||
Assets: | ||||||||||||||||
Cash and cash equivalents | $ | 782,211,779 | $ | 597,659,902 | $ | 634,147,957 | $ | 782,211,779 | ||||||||
Investments in fixed income securities (amortized cost $5,216,759,460 and $4,972,093,470, respectively) | 5,216,759,460 | 4,972,093,470 | ||||||||||||||
Investments in fixed income securities (amortized cost $5,669,408,769 and $5,216,759,460, respectively) | 5,669,408,769 | 5,216,759,460 | ||||||||||||||
Interest receivable | 14,020,531 | 14,546,327 | 5,501,621 | 14,020,531 | ||||||||||||
Total assets | 6,012,991,770 | 5,584,299,699 | 6,309,058,347 | 6,012,991,770 | ||||||||||||
Liabilities: | ||||||||||||||||
Accrued bank fee expense | 13,258 | - | ||||||||||||||
Due to broker | 7,815 | 13,258 | ||||||||||||||
Total liabilities | 13,258 | - | 7,815 | 13,258 | ||||||||||||
Members’ capital | $ | 6,012,978,512 | $ | 5,584,299,699 | $ | 6,309,050,532 | $ | 6,012,978,512 |
2021 | 2020 | |||||||
Realized gain on investments | ||||||||
Net realized gain on investments | $ | - | $ | 2,283,203 | ||||
Net gain on investments | - | 2,283,203 | ||||||
Investment income | ||||||||
Interest income | 6,209,754 | 59,981,929 | ||||||
Total investment income | 6,209,754 | 59,981,929 | ||||||
Expenses: | ||||||||
Bank fee expense | 234,395 | 218,174 | ||||||
Total expenses | 234,395 | 218,174 | ||||||
Net investment income | 5,975,359 | 59,763,755 | ||||||
Net income | $ | 5,975,359 | $ | 62,046,958 |
2022 | 2021 | |||||||
Investment income | ||||||||
Interest income | $ | 60,074,914 | $ | 6,209,754 | ||||
Total investment income | 60,074,914 | 6,209,754 | ||||||
Expenses: | ||||||||
Bank fee expense | 318,543 | 234,395 | ||||||
Total expenses | 318,543 | 234,395 | ||||||
Net investment income | 59,756,371 | 5,975,359 | ||||||
Net income | $ | 59,756,371 | $ | 5,975,359 |
Description | Principal Amount | Fair Value | Percentage of Members’ Capital | Principal Amount | Fair Value | Percentage of Members’ Capital | |||||||||||||||||||
Investments in Fixed Income Securities (amortized cost $5,216,759,460) | |||||||||||||||||||||||||
Investments in Fixed Income Securities (amortized cost $5,669,408,769) | |||||||||||||||||||||||||
United States | |||||||||||||||||||||||||
Government Bonds (amortized cost $4,816,763,885) | |||||||||||||||||||||||||
U.S. Treasury bonds 0.13% – 2.50% due 01/15/2022 – 05/31/2023 | $ | 4,800,000,000 | $ | 4,816,763,885 | 80.11 | % | |||||||||||||||||||
Government Bonds (amortized cost $5,470,052,935) | |||||||||||||||||||||||||
U.S. Treasury bond 0.13% due 01/31/2023 | $ | 350,000,000 | $ | 349,565,886 | 5.54 | % | |||||||||||||||||||
U.S. Treasury bond 0.25% due 09/30/2023 | 350,000,000 | 340,378,862 | 5.40 | % | |||||||||||||||||||||
U.S. Treasury bonds 0.13% – 1.50% due 01/15/2023 – 01/31/2024 | 4,850,000,000 | 4,780,108,187 | 75.76 | % | |||||||||||||||||||||
Total Government Bonds | 4,816,763,885 | 80.11 | % | 5,470,052,935 | 86.70 | % | |||||||||||||||||||
Treasury Bills (amortized cost $399,995,575) | |||||||||||||||||||||||||
U.S Treasury bills 0.00% due 01/20/2022 – 02/03/2022 | 400,000,000 | 399,995,575 | 6.65 | % | |||||||||||||||||||||
Treasury Bills (amortized cost $199,355,834) | |||||||||||||||||||||||||
U.S Treasury bills 0.00% due 01/10/2023 – 02/21/2023 | 200,000,000 | 199,355,834 | 3.16 | % | |||||||||||||||||||||
Total Treasury Bills | 399,995,575 | 6.65 | % | 199,355,834 | 3.16 | % | |||||||||||||||||||
Total United States | 5,216,759,460 | 86.76 | % | 5,669,408,769 | 89.86 | % | |||||||||||||||||||
Total Investments in Fixed Income Securities | $ | 5,216,759,460 | 86.76 | % | $ | 5,669,408,769 | 89.86 | % |
Description | Principal Amount | Fair Value | Percentage of Members’ Capital | |||||||||
Investments in Fixed Income Securities (amortized cost $4,972,093,470) | ||||||||||||
United States | ||||||||||||
Government Bonds (amortized cost $3,372,351,436) | ||||||||||||
U.S. Treasury bonds 1.38% due 5/31/2021 | $ | 300,000,000 | $ | 301,566,528 | 5.40 | % | ||||||
U.S. Treasury bonds 1.63% due 6/30/2021 | 300,000,000 | 302,271,599 | 5.41 | % | ||||||||
U.S. Treasury bonds 2.63% due 5/15/2021 | 300,000,000 | 302,807,030 | 5.42 | % | ||||||||
U.S. Treasury bonds 2.63% due 6/15/2021 | 300,000,000 | 303,467,081 | 5.43 | % | ||||||||
U.S. Treasury bonds 1.13% – 2.63% due 01/15/2021 – 10/31/2021 | 2,150,000,000 | 2,162,239,198 | 38.73 | % | ||||||||
Total Government Bonds | 3,372,351,436 | 60.39 | % | |||||||||
Treasury Bills (amortized cost $1,599,742,034) | ||||||||||||
U.S Treasury bills 0.00% due 01/07/2021 – 04/22/2021 | 1,600,000,000 | 1,599,742,034 | 28.65 | % | ||||||||
Total Treasury Bills | 1,599,742,034 | 28.65 | % | |||||||||
Total United States | 4,972,093,470 | 89.04 | % | |||||||||
Total Investments in Fixed Income Securities | $ | 4,972,093,470 | 89.04 | % |
Description | Principal Amount | Fair Value | Percentage of Members’ Capital | ||||||||||
Investments in Fixed Income Securities (amortized cost $5,216,759,460) | |||||||||||||
United States | |||||||||||||
Government Bonds (amortized cost $4,816,763,885) | |||||||||||||
U.S. Treasury bonds 0.13% – 2.50% due 01/15/2022 – 05/31/2023 | $ | 4,800,000,000 | $ | 4,816,763,885 | 80.11 | % | |||||||
Total Government Bonds | 4,816,763,885 | 80.11 | % | ||||||||||
Treasury Bills (amortized cost $399,995,575) | |||||||||||||
U.S Treasury bills 0.00% due 01/20/2022 – 02/03/2022 | 400,000,000 | 399,995,575 | 6.65 | % | |||||||||
Total Treasury Bills | 399,995,575 | 6.65 | % | ||||||||||
Total United States | 5,216,759,460 | 86.76 | % | ||||||||||
Total Investments in Fixed Income Securities | $ | 5,216,759,460 | 86.76 | % |
2021 | 2020 | 2022 | 2021 | |||||||||||||
Assets | ||||||||||||||||
Level 2: | ||||||||||||||||
Fixed income securities | ||||||||||||||||
Government bonds | $ | 4,816,763,885 | $ | 3,372,351,436 | $ | 5,470,052,935 | $ | 4,816,763,885 | ||||||||
Treasury bills | 399,995,575 | 1,599,742,034 | 199,355,834 | 399,995,575 | ||||||||||||
Total fixed income securities | 5,216,759,460 | 4,972,093,470 | 5,669,408,769 | 5,216,759,460 | ||||||||||||
Total Level 2 | 5,216,759,460 | 4,972,093,470 | 5,669,408,769 | 5,216,759,460 | ||||||||||||
Total assets | $ | 5,216,759,460 | $ | 4,972,093,470 | $ | 5,669,408,769 | $ | 5,216,759,460 |
Class 0 | Class 2 |
0.50% | 1.25% |
Class 0 | Class 2 | Class 0 | Class 2 | |||||||||||||
Per unit operating performance | ||||||||||||||||
Net asset value per Unit, December 31, 2019 | $ | 152.04 | $ | 108.35 | ||||||||||||
Net income: | ||||||||||||||||
Net investment loss | (6.71 | ) | (3.92 | ) | ||||||||||||
Net gain on investments | 27.73 | 19.80 | ||||||||||||||
Net income | 21.02 | 15.88 | ||||||||||||||
Net asset value per Unit, December 31, 2020 | 173.06 | 124.23 | $ | 173.06 | $ | 124.23 | ||||||||||
Net income: | ||||||||||||||||
Net investment loss | (7.45 | ) | (6.27 | ) | (7.45 | ) | (6.27 | ) | ||||||||
Net gain on investments | 10.66 | 7.72 | 10.66 | 7.72 | ||||||||||||
Net income | 3.21 | 1.45 | 3.21 | 1.45 | ||||||||||||
Net asset value per Unit, December 31, 2021 | $ | 176.27 | $ | 125.68 | $ | 176.27 | $ | 125.68 | ||||||||
Net income: | ||||||||||||||||
Net investment loss | (16.01 | ) | (12.07 | ) | ||||||||||||
Net gain on investments | 64.33 | 45.61 | ||||||||||||||
Net income | 48.32 | 33.54 | ||||||||||||||
Net asset value per Unit, December 31, 2022 | $ | 224.59 | $ | 159.22 |
Class 0 | Class 2 | Class 0 | Class 2 | ||||||||||||||||||||||||||||||
2021 | 2020 | 2021 | 2020 | 2022 | 2021 | 2022 | 2021 | ||||||||||||||||||||||||||
Total return before Incentive Allocation | 3.50 | % | 16.34 | % | 2.75 | % | 15.65 | % | 34.73 | % | 3.50 | % | 33.47 | % | 2.75 | % | |||||||||||||||||
Incentive Allocation | (1.65 | ) | (2.52 | ) | (1.58 | ) | (1.00 | ) | (7.32 | ) | (1.65 | ) | (6.78 | ) | (1.58 | ) | |||||||||||||||||
Total return after Incentive Allocation | 1.85 | % | 13.82 | % | 1.17 | % | 14.65 | % | 27.41 | % | 1.85 | % | 26.69 | % | 1.17 | % | |||||||||||||||||
Net investment loss before Incentive Allocation | (2.67 | )% | (1.62 | )% | (3.42 | )% | (2.37 | )% | (1.91 | )% | (2.67 | )% | (2.65 | )% | (3.42 | )% | |||||||||||||||||
Incentive Allocation | (1.50 | ) | (2.52 | ) | (1.48 | ) | (1.00 | ) | (5.72 | ) | (1.50 | ) | (5.41 | ) | (1.48 | ) | |||||||||||||||||
Net investment loss after Incentive Allocation | (4.17 | )% | (4.14 | )% | (4.90 | )% | (3.37 | )% | (7.63 | )% | (4.17 | )% | (8.06 | )% | (4.90 | )% | |||||||||||||||||
Total expenses before Incentive Allocation | 2.75 | % | 2.65 | % | 3.50 | % | 3.40 | % | 2.85 | % | 2.75 | % | 3.62 | % | 3.50 | % | |||||||||||||||||
Incentive Allocation | 1.50 | 2.52 | 1.48 | 1.00 | 5.72 | 1.50 | 5.41 | 1.48 | |||||||||||||||||||||||||
Total expenses after Incentive Allocation | 4.25 | % | 5.17 | % | 4.98 | % | 4.40 | % | 8.57 | % | 4.25 | % | 9.03 | % | 4.98 | % |
Item 9: | CHANGES IN AND DISAGREEMENTS WITH ACCOUNTANTS ON ACCOUNTING AND FINANCIAL DISCLOSURE |
Item 9A: | CONTROLS AND PROCEDURES |
Item 9B: | OTHER INFORMATION |
Item 9C: | DISCLOSURE REGARDING FOREIGN JURISDICTIONS THAT PREVENT INSPECTIONS |
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 | 2021 | 2020 | 2022 | 2021 | ||||||||||||
Audit Fees | $ | 56,562 | * | $ | 54,177 | $ | 75,774 | * | $ | 56,562 | ||||||
Audit-Related Fees | – | – | – | – | ||||||||||||
Tax Fees | 32,900 | * | 32,800 | 38,900 | * | 32,900 | ||||||||||
All Other Fees | – | – | – | – | ||||||||||||
TOTAL FEES | $ | 89,462 | * | $ | 86,977 | $ | 114,674 | * | $ | 89,462 |
* | Amount expected to be billed for 2022 services. |
(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 | Description |
Certificate of Formation of Graham Alternative Investment Fund I LLC | |
Amended and Restated Limited Liability Company Agreement of Graham Alternative Investment Fund I LLC | |
Amended and Restated Limited Liability Company Agreement of Graham Alternative Investment Fund I LLC dated May 2, 2022 | |
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)/ | |
Rule 13a-14(a)/ | |
Section 1350 Certification (Certification of Principal Executive Officer and Principal Financial Officer) | |
INS Inline XBRL Instance Document (the instance document does not appear in the Interactive Data File because its XBRL tags are embedded within the Inline XBRL document) | |
† 101.SCH | Inline XBRL Taxonomy Extension Schema Document |
Inline XBRL Taxonomy Extension Calculation Linkbase Document | |
Inline XBRL Taxonomy Extension Definition Linkbase Document | |
Inline XBRL Taxonomy Extension Label Linkbase Document | |
XBRL Taxonomy Extension Presentation Linkbase Document | |
Cover Page Interactive Data File (formatted as inline XBRL and contained in Exhibit 101) |
Item 16: | FORM 10-K SUMMARY |
Dated: March 30, | GRAHAM ALTERNATIVE INVESTMENT FUND I LLC | ||
By: | GRAHAM CAPITAL MANAGEMENT, L.P. | ||
its Manager | |||
By: | /s/ Brian Douglas | ||
Brian Douglas, Principal Executive Officer | |||
By: | |||
George Schrade, Principal Financial Officer |