Delaware | 20-4897069 | |
(State or other jurisdiction of incorporation or organization) | (I.R.S. Employer Identification No.) |
Large accelerated filer o | Accelerated filer o | Non-accelerated filer o | Smaller reporting company x |
Page | |||||
Number | |||||
PART I - Financial Information: | |||||
Item 1. | Financial Statements: | ||||
Graham Alternative Investment Fund I LLC | |||||
1 | |||||
2 | |||||
3 | |||||
5 | |||||
6 | |||||
Graham Alternative Investment Trading LLC | |||||
14 | |||||
15 | |||||
16 | |||||
Graham Alternative Investment Trading II LLC | |||||
Item 2. | |||||
Item 3. | |||||
Item 4. | |||||
Item 1. | 102 | ||||
Item 1A. | 102 | ||||
Item 2. | 102 | ||||
Item 3. | 102 | ||||
Item 4. | 102 | ||||
Item 5. | 102 | ||||
Item 6. | 103 |
March 31, 2011 | December 31, 2010 | |||||||||||||||
September 30, 2010 (Unaudited) | December 31, 2009 (Audited) | (Unaudited) | (Audited) | |||||||||||||
Assets | ||||||||||||||||
Investment in Graham Alternative Investment Trading LLC, at fair value | $ | 254,099,398 | $ | 187,750,594 | $ | 326,024,192 | $ | 290,023,320 | ||||||||
Investment in Graham Alternative Investment Trading II LLC, at fair value | 42,597,030 | 29,953,727 | 56,235,758 | 48,442,149 | ||||||||||||
Redemption receivable from Graham Alternative Investment Trading LLC | 947,199 | 392,777 | 2,351,929 | 1,296,065 | ||||||||||||
Redemption receivable from Graham Alternative Investment Trading II LLC | 320,519 | - | 574,316 | 125,284 | ||||||||||||
Total assets | $ | 297,964,146 | $ | 218,097,098 | $ | 385,186,195 | $ | 339,886,818 | ||||||||
Liabilities and members’ capital | ||||||||||||||||
Liabilities: | ||||||||||||||||
Accrued redemptions | $ | 1,267,718 | $ | 392,777 | $ | 2,926,245 | $ | 1,421,349 | ||||||||
Total liabilities | 1,267,718 | 392,777 | 2,926,245 | 1,421,349 | ||||||||||||
Members’ capital: | ||||||||||||||||
Blended Strategies Portfolio: | ||||||||||||||||
Class 0 Units (1,553,143.510 and 1,134,943.426 units issued and outstanding at $137.19 and $135.56, respectively) | 213,083,503 | 153,850,323 | ||||||||||||||
Class 2 Units (363,937.044 and 300,723.739 units issued and outstanding at $112.70 and $112.73, respectively) | 41,015,895 | 33,900,271 | ||||||||||||||
Class 0 Units (2,030,986.163 and 1,752,436.237 units issued and outstanding at $137.45 and $138.96, respectively) | 279,163,401 | 243,511,752 | ||||||||||||||
Class 2 Units (418,725.533 and 409,129.824 units issued and outstanding at $111.91 and $113.68, respectively) | 46,860,791 | 46,511,568 | ||||||||||||||
Total Blended Strategies Portfolio | 254,099,398 | 187,750,594 | 326,024,192 | 290,023,320 | ||||||||||||
Systematic Strategies Portfolio: | ||||||||||||||||
Class 0 Units (253,641.699 and 180,564.957 units issued and outstanding at $98.26 and $100.59, respectively) | 24,922,700 | 18,162,877 | ||||||||||||||
Class 2 Units (185,430.488 and 119,035.753 units issued and outstanding at $95.32 and $99.05, respectively) | 17,674,330 | 11,790,850 | ||||||||||||||
Class 0 Units (338,461.004 and 274,960.438 units issued and outstanding at $100.08 and $102.92, respectively) | 33,872,160 | 28,297,652 | ||||||||||||||
Class 2 Units (231,790.265 and 202,003.861 units issued and outstanding at $96.48 and $99.72, respectively) | 22,363,598 | 20,144,497 | ||||||||||||||
Total Systematic Strategies Portfolio | 42,597,030 | 29,953,727 | 56,235,758 | 48,442,149 | ||||||||||||
Total members’ capital | 296,696,428 | 217,704,321 | 382,259,950 | 338,465,469 | ||||||||||||
Total liabilities and members’ capital | $ | 297,964,146 | $ | 218,097,098 | $ | 385,186,195 | $ | 339,886,818 |
Three Months Ended September 30, | Nine Months Ended September 30, | Three Months Ended March 31, | ||||||||||||||||||||||
2010 (Unaudited) | 2009 (Unaudited) | 2010 (Unaudited) | 2009 (Unaudited) | 2011 (Unaudited) | 2010 (Unaudited) | |||||||||||||||||||
Net gain allocated from investments in other funds: | ||||||||||||||||||||||||
Net realized (loss) gain on investments | $ | (2,209,180 | ) | $ | 4,778,993 | $ | 674,394 | $ | 9,817,565 | |||||||||||||||
Net increase in unrealized appreciation on investments | 11,411,613 | 4,943,151 | 10,819,412 | 1,106,175 | ||||||||||||||||||||
Net gain allocated from investments in other funds | 9,202,433 | 9,722,144 | 11,493,806 | 10,923,740 | ||||||||||||||||||||
Net loss allocated from investments in other funds: | ||||||||||||||||||||||||
Net realized gain (loss) on investments | $ | 1,048,228 | $ | (5,388,177 | ) | |||||||||||||||||||
Net (decrease) increase in unrealized appreciation on investments | (2,252,677 | ) | 5,122,006 | |||||||||||||||||||||
Net loss allocated from investments in other funds | (1,204,449 | ) | (266,171 | ) | ||||||||||||||||||||
Net investment loss allocated from investment in other funds: | ||||||||||||||||||||||||
Investment income: | ||||||||||||||||||||||||
Interest income | 735,716 | 363,926 | 2,032,862 | 880,460 | 388,729 | 616,480 | ||||||||||||||||||
Expenses: | ||||||||||||||||||||||||
Brokerage fees | 1,737,922 | 1,138,361 | 4,650,241 | 3,019,272 | 2,224,876 | 1,109,619 | ||||||||||||||||||
Advisory fees | 1,446,548 | 950,985 | 3,852,692 | 2,581,604 | 1,873,379 | 1,344,479 | ||||||||||||||||||
Sponsor fees | 723,275 | 475,493 | 1,926,346 | 1,290,803 | 936,689 | 554,810 | ||||||||||||||||||
Incentive allocation | 762,334 | 997,991 | 761,792 | 1,012,726 | 10,820 | - | ||||||||||||||||||
Interest and other | 15,016 | 1,827 | 50,481 | 3,199 | 8,810 | - | ||||||||||||||||||
Total expenses | 4,685,095 | 3,564,657 | 11,241,552 | 7,907,604 | 5,054,574 | 3,008,908 | ||||||||||||||||||
Net investment loss allocated from investments in other funds | (3,949,379 | ) | (3,200,731 | ) | (9,208,690 | ) | (7,027,144 | ) | (4,665,845 | ) | (2,392,428 | ) | ||||||||||||
Net income | $ | 5,253,054 | $ | 6,521,413 | $ | 2,285,116 | $ | 3,896,596 | ||||||||||||||||
Net loss | $ | (5,870,294 | ) | $ | (2,658,599 | ) |
Blended Strategies Portfolio | ||||||||||||||||||||||||||||||||||||||||
Class 0 Units | Class 2 Units | Total | ||||||||||||||||||||||||||||||||||||||
Units | Capital | Units | Capital | Blended Strategies Portfolio | ||||||||||||||||||||||||||||||||||||
Members’ capital, December 31, 2008 | 1,003,242.664 | $ | 132,546,601 | 173,269.774 | $ | 19,361,456 | $ | 151,908,057 | ||||||||||||||||||||||||||||||||
Subscriptions | 240,680.629 | 31,758,000 | 144,724.293 | 16,004,843 | 47,762,843 | |||||||||||||||||||||||||||||||||||
Redemptions | (124,901.201 | ) | (16,450,573 | ) | (38,849.282 | ) | (4,315,738 | ) | (20,766,311 | ) | ||||||||||||||||||||||||||||||
Net income | – | 2,960,833 | – | 363,678 | 3,324,511 | |||||||||||||||||||||||||||||||||||
Members’ capital, September 30, 2009 | 1,119,022.092 | $ | 150,814,861 | 279,144.785 | $ | 31,414,239 | $ | 182,229,100 | ||||||||||||||||||||||||||||||||
Blended Strategies Portfolio | Blended Strategies Portfolio | |||||||||||||||||||||||||||||||||||||||
Class 0 Units | Class 2 Units | Total | Class 0 Units | Class 2 Units | Total | |||||||||||||||||||||||||||||||||||
Units | Capital | Units | Capital | Blended Strategies Portfolio | Units | Capital | Units | Capital | Blended Strategies Portfolio | |||||||||||||||||||||||||||||||
Members’ capital, December 31, 2009 | 1,134,943.426 | $ | 153,850,323 | 300,723.739 | $ | 33,900,271 | $ | 187,750,594 | 1,134,943.426 | $ | 153,850,323 | 300,723.739 | $ | 33,900,271 | $ | 187,750,594 | ||||||||||||||||||||||||
Subscriptions | 518,631.500 | 69,924,258 | 103,536.819 | 11,490,457 | 81,414,715 | 99,991.726 | 13,249,791 | 39,174.910 | 4,328,559 | 17,578,350 | ||||||||||||||||||||||||||||||
Redemptions | (100,431.416 | ) | (13,534,505 | ) | (40,323.514 | ) | (4,469,018 | ) | (18,003,523 | ) | (15,238.212 | ) | (1,995,955 | ) | (9,891.505 | ) | (1,074,667 | ) | (3,070,622 | ) | ||||||||||||||||||||
Net income | – | 2,843,427 | – | 94,185 | 2,937,612 | |||||||||||||||||||||||||||||||||||
Members’ capital, September 30, 2010 | 1,553,143.510 | $ | 213,083,503 | 363,937.044 | $ | 41,015,895 | $ | 254,099,398 | ||||||||||||||||||||||||||||||||
Net loss | – | (961,453 | ) | – | (404,626 | ) | (1,366,079 | ) | ||||||||||||||||||||||||||||||||
Members’ capital, March 31, 2010 | 1,219,696.940 | $ | 164,142,706 | 330,007.144 | $ | 36,749,537 | $ | 200,892,243 | ||||||||||||||||||||||||||||||||
Blended Strategies Portfolio | ||||||||||||||||||||||||||||||||||||||||
Class 0 Units | Class 2 Units | Total | ||||||||||||||||||||||||||||||||||||||
Units | Capital | Units | Capital | Blended Strategies Portfolio | ||||||||||||||||||||||||||||||||||||
Members’ capital, December 31, 2010 | 1,752,436.237 | $ | 243,511,752 | 409,129.824 | $ | 46,511,568 | $ | 290,023,320 | ||||||||||||||||||||||||||||||||
Subscriptions | 300,033.166 | 41,996,602 | 28,498.156 | 3,258,099 | 45,254,701 | |||||||||||||||||||||||||||||||||||
Redemptions | (21,483.240 | ) | (2,991,431 | ) | (18,902.447 | ) | (2,137,398 | ) | (5,128,829 | ) | ||||||||||||||||||||||||||||||
Net loss | – | (3,353,522 | ) | – | (771,478 | ) | (4,125,000 | ) | ||||||||||||||||||||||||||||||||
Members’ capital, March 31, 2011 | 2,030,986.163 | $ | 279,163,401 | 418,725.533 | $ | 46,860,791 | $ | 326,024,192 |
Systematic Strategies Portfolio | ||||||||||||||||||||||||
Class 0 Units | Class 2 Units | |||||||||||||||||||||||
Units | Capital | Units | Capital | Total Systematic Strategies Portfolio | Total Members’ Capital | |||||||||||||||||||
Members’ capital, December 31, 2008 | – | $ | – | – | $ | – | $ | – | $ | 151,908,057 | ||||||||||||||
Initial subscription, January 4, 2009 | 7,629.139 | 769,000 | 13,638.449 | 1,375,000 | 2,144,000 | 2,144,000 | ||||||||||||||||||
Subscriptions | 35,184.538 | 3,369,500 | 72,756.173 | 6,917,697 | 10,287,197 | 58,050,040 | ||||||||||||||||||
Redemptions | – | – | (500.000 | ) | (48,909 | ) | (48,909 | ) | (20,815,220 | ) | ||||||||||||||
Net income | – | 203,526 | – | 368,559 | 572,085 | 3,896,596 | ||||||||||||||||||
Members’ capital, September 30, 2009 | 42,813.677 | $ | 4,342,026 | 85,894.622 | $ | 8,612,347 | $ | 12,954,373 | $ | 195,183,473 |
Systematic Strategies Portfolio | ||||||||||||||||||||||||
Class 0 Units | Class 2 Units | |||||||||||||||||||||||
Units | Capital | Units | Capital | Total Systematic Strategies Portfolio | Total Members’ Capital | |||||||||||||||||||
Members’ capital, December 31, 2009 | 180,564.957 | $ | 18,162,877 | 119,035.753 | $ | 11,790,850 | $ | 29,953,727 | $ | 217,704,321 | ||||||||||||||
Subscriptions | 40,153.274 | 3,820,000 | 18,175.476 | 1,706,003 | 5,526,003 | 23,104,353 | ||||||||||||||||||
Redemptions | (1,000.363 | ) | (92,619 | ) | (2,736.955 | ) | (248,724 | ) | (341,343 | ) | (3,411,965 | ) | ||||||||||||
Net loss | – | (732,702 | ) | – | (559,818 | ) | (1,292,520 | ) | (2,658,599 | ) | ||||||||||||||
Members’ capital, March 31, 2010 | 219,717.868 | $ | 21,157,556 | 134,474.274 | $ | 12,688,311 | $ | 33,845,867 | $ | 234,738,110 |
Systematic Strategies Portfolio | ||||||||||||||||||||||||
Class 0 Units | Class 2 Units | |||||||||||||||||||||||
Units | Capital | Units | Capital | Total Systematic Strategies Portfolio | Total Members’ Capital | |||||||||||||||||||
Members’ capital, December 31, 2009 | 180,564.957 | $ | 18,162,877 | 119,035.753 | $ | 11,790,850 | $ | 29,953,727 | $ | 217,704,321 | ||||||||||||||
Subscriptions | 81,504.222 | 7,825,003 | 81,121.636 | 7,669,792 | 15,494,795 | 96,909,510 | ||||||||||||||||||
Redemptions | (8,427.480 | ) | (813,311 | ) | (14,726.901 | ) | (1,385,685 | ) | (2,198,996 | ) | (20,202,519 | ) | ||||||||||||
Net (loss) income | – | (251,869 | ) | – | (400,627 | ) | (652,496 | ) | 2,285,116 | |||||||||||||||
Members’ capital, September 30, 2010 | 253,641.699 | $ | 24,922,700 | 185,430.488 | $ | 17,674,330 | $ | 42,597,030 | $ | 296,696,428 |
Systematic Strategies Portfolio | ||||||||||||||||||||||||
Class 0 Units | Class 2 Units | |||||||||||||||||||||||
Units | Capital | Units | Capital | Total Systematic Strategies Portfolio | Total Members’ Capital | |||||||||||||||||||
Members’ capital, December 31, 2010 | 274,960.438 | $ | 28,297,652 | 202,003.861 | $ | 20,144,497 | $ | 48,442,149 | $ | 338,465,469 | ||||||||||||||
Subscriptions | 72,055.126 | 7,425,002 | 35,664.159 | 3,561,663 | 10,986,665 | 56,241,366 | ||||||||||||||||||
Redemptions | (8,554.560 | ) | (873,244 | ) | (5,877.755 | ) | (574,518 | ) | (1,447,762 | ) | (6,576,591 | ) | ||||||||||||
Net loss | – | (977,250 | ) | – | (768,044 | ) | (1,745,294 | ) | (5,870,294 | ) | ||||||||||||||
Members’ capital, March 31, 2011 | 338,461.004 | $ | 33,872,160 | 231,790.265 | $ | 22,363,598 | $ | 56,235,758 | $ | 382,259,950 |
Nine Months Ended September 30, | Three Months Ended March 31, | |||||||||||||||
2010 (Unaudited) | 2009 (Unaudited) | 2011 (Unaudited) | 2010 (Unaudited) | |||||||||||||
Cash flows used in operating activities | ||||||||||||||||
Net income | $ | 2,285,116 | $ | 3,896,596 | ||||||||||||
Adjustments to reconcile net income to net cash used in operating activities: | ||||||||||||||||
Net income allocated from investment in Graham Alternative Investment Trading LLC | (2,937,612 | ) | (3,324,511 | ) | ||||||||||||
Net loss (income) allocated from investment in Graham Alternative Investment Trading II LLC | 652,496 | (572,085 | ) | |||||||||||||
Net loss | $ | (5,870,294 | ) | $ | (2,658,599 | ) | ||||||||||
Adjustments to reconcile net loss to net cash used in operating activities: | ||||||||||||||||
Net loss allocated from investment in Graham Alternative Investment Trading LLC | 4,125,000 | 1,366,079 | ||||||||||||||
Net loss allocated from investment in Graham Alternative Investment Trading II LLC | 1,745,294 | 1,292,520 | ||||||||||||||
Proceeds from sale of investments in Graham Alternative Investment Trading LLC | 18,003,523 | 20,766,311 | 5,128,829 | 3,070,622 | ||||||||||||
Proceeds from sale of investments in Graham Alternative Investment Trading II LLC | 2,198,996 | 48,909 | 1,447,762 | 341,343 | ||||||||||||
Investments in Graham Alternative Investment Trading LLC | (81,414,715 | ) | (47,762,843 | ) | (46,310,565 | ) | (17,185,573 | ) | ||||||||
Investments in Graham Alternative Investment Trading II LLC | (15,494,795 | ) | (12,431,197 | ) | (11,435,697 | ) | (5,526,003 | ) | ||||||||
Changes in assets and liabilities: | ||||||||||||||||
Redemption receivable from Graham Alternative Investment Trading LLC | (554,422 | ) | 4,271,703 | |||||||||||||
Redemption receivable from Graham Alternative Investment Trading II LLC | (320,519 | ) | – | |||||||||||||
Net cash used in operating activities | (77,581,932 | ) | (35,107,117 | ) | (51,169,671 | ) | (19,299,611 | ) | ||||||||
Cash flows provided by financing activities | ||||||||||||||||
Subscriptions | 96,909,510 | 60,194,040 | 56,241,366 | 23,104,353 | ||||||||||||
Redemptions | (19,327,578 | ) | (25,086,923 | ) | (5,071,695 | ) | (3,804,742 | ) | ||||||||
Net cash provided by financing activities | 77,581,932 | 35,107,117 | 51,169,671 | 19,299,611 | ||||||||||||
Net change in cash and cash equivalents | – | – | – | – | ||||||||||||
Cash and cash equivalents, beginning of period | – | – | – | – | ||||||||||||
Cash and cash equivalents, end of period | $ | – | $ | – | $ | – | $ | – |
· | Level 1 inputs are unadjusted closing or |
· | Level 2 inputs include quoted prices for similar assets and liabilities obtained from independent brokers and/or market makers in each security. With respect to the Fund’s investments in the GAIT Funds, Level 2 inputs include the net asset value of the underlying fund in which it holds an investment. |
· | Level 3 inputs are those which are considered unobservable and are significant in arriving at fair value. |
Class | Annual Rate |
Class 0 | 2% |
Class 2 | 4% |
Blended Strategies Portfolio | Systematic Strategies Portfolio | |||||||||||||||
Class 0 | Class 2 | Class 0 | Class 2 | |||||||||||||
Per share operating performance | ||||||||||||||||
Net asset value per unit, December 31, 2009 | $ | 135.56 | $ | 112.73 | $ | 100.59 | $ | 99.05 | ||||||||
Net loss: | ||||||||||||||||
Net investment loss | (1.54 | ) | (1.75 | ) | (1.11 | ) | (1.48 | ) | ||||||||
Net gain (loss) on investments | 0.56 | 0.38 | (3.19 | ) | (3.22 | ) | ||||||||||
Net loss | (0.98 | ) | (1.37 | ) | (4.30 | ) | (4.70 | ) | ||||||||
Net asset value per unit, March 31, 2010 | $ | 134.58 | $ | 111.36 | $ | 96.29 | $ | 94.35 | ||||||||
Net asset value per unit, December 31, 2010 | $ | 138.96 | $ | 113.68 | $ | 102.92 | $ | 99.72 | ||||||||
Net loss: | ||||||||||||||||
Net investment loss | (1.27 | ) | (1.57 | ) | (1.05 | ) | (1.50 | ) | ||||||||
Net loss on investments | (0.24 | ) | (0.20 | ) | (1.79 | ) | (1.74 | ) | ||||||||
Net loss | (1.51 | ) | (1.77 | ) | (2.84 | ) | (3.24 | ) | ||||||||
Net asset value per unit, March 31, 2011 | $ | 137.45 | $ | 111.91 | $ | 100.08 | $ | 96.48 |
Blended Strategies Portfolio | Systematic Strategies Portfolio | |||||||||||||||
Class 0 | Class 2 | Class 0 | Class 2 | |||||||||||||
Per share operating performance | ||||||||||||||||
Net asset value per unit, June 30, 2009 | $ | 130.41 | $ | 109.20 | $ | 93.58 | $ | 92.63 | ||||||||
Net income: | ||||||||||||||||
Net investment loss | (1.70 | ) | (2.04 | ) | (1.30 | ) | (1.80 | ) | ||||||||
Net gain on investments | 6.06 | 5.38 | 9.14 | 9.44 | ||||||||||||
Net income | 4.36 | 3.34 | 7.84 | 7.64 | ||||||||||||
Net asset value per unit, September 30, 2009 | $ | 134.77 | $ | 112.54 | $ | 101.42 | $ | 100.27 | ||||||||
Net asset value per unit, June 30, 2010 | $ | 134.80 | $ | 111.00 | $ | 95.72 | $ | 93.33 | ||||||||
Net income: | ||||||||||||||||
Net investment loss | (1.33 | ) | (1.98 | ) | (1.24 | ) | (1.71 | ) | ||||||||
Net gain on investments | 3.72 | 3.68 | 3.78 | 3.70 | ||||||||||||
Net income | 2.39 | 1.70 | 2.54 | 1.99 | ||||||||||||
Net asset value per unit, September 30, 2010 | $ | 137.19 | $ | 112.70 | $ | 98.26 | $ | 95.32 |
Blended Strategies Portfolio | ||||||||||||||||
Class 0 | Class 2 | |||||||||||||||
2011 | 2010 | 2011 | 2010 | |||||||||||||
Total return before Incentive Allocation | (1.08 | )% | (0.72 | )% | (1.55 | )% | (1.22 | )% | ||||||||
Incentive Allocation | (0.01 | ) | 0.00 | (0.01 | ) | 0.00 | ||||||||||
Total return after Incentive Allocation | (1.09 | )% | (0.72 | )% | (1.56 | )% | (1.22 | )% | ||||||||
Net investment loss before Incentive Allocation | (0.90 | )% | (0.97 | )% | (1.38 | )% | (1.49 | )% | ||||||||
Incentive Allocation | (0.01 | ) | 0.00 | (0.01 | ) | 0.00 | ||||||||||
Net investment loss after Incentive Allocation | (0.91 | )% | (0.97 | )% | (1.39 | )% | (1.49 | )% | ||||||||
Total expenses before Incentive Allocation | 1.00 | % | 1.25 | % | 1.51 | % | 1.77 | % | ||||||||
Incentive Allocation | 0.01 | 0.00 | 0.01 | 0.00 | ||||||||||||
Total expenses after Incentive Allocation | 1.01 | % | 1.25 | % | 1.52 | % | 1.77 | % |
Blended Strategies Portfolio | ||||||||||||||||
Class 0 | Class 2 | |||||||||||||||
2010 | 2009 | 2010 | 2009 | |||||||||||||
Total return before Incentive Allocation | 2.17 | % | 3.84 | % | 1.59 | % | 3.35 | % | ||||||||
Incentive Allocation | (0.41 | ) | (0.54 | ) | (0.09 | ) | (0.36 | ) | ||||||||
Total return after Incentive Allocation | 1.76 | % | 3.30 | % | 1.50 | % | 2.99 | % | ||||||||
Net investment loss before Incentive Allocation | (1.04 | )% | (1.09 | )% | (1.55 | )% | (1.64 | )% | ||||||||
Incentive Allocation | (0.41 | ) | (0.54 | ) | (0.09 | ) | (0.36 | ) | ||||||||
Net investment loss after Incentive Allocation | (1.45 | )% | (1.63 | )% | (1.64 | )% | (2.00 | )% | ||||||||
Total expenses before Incentive Allocation | 1.30 | % | 1.30 | % | 1.80 | % | 1.86 | % | ||||||||
Incentive Allocation | 0.41 | 0.54 | 0.09 | 0.36 | ||||||||||||
Total expenses after Incentive Allocation | 1.71 | % | 1.84 | % | 1.89 | % | 2.22 | % |
Systematic Strategies Portfolio | ||||||||||||||||
Class 0 | Class 2 | |||||||||||||||
2010 | 2009 | 2010 | 2009 | |||||||||||||
Total return before Incentive Allocation | 2.52 | % | 10.93 | % | 2.01 | % | 10.29 | % | ||||||||
Incentive Allocation | 0.00 | (3.09 | ) | 0.00 | (2.65 | ) | ||||||||||
Total return after Incentive Allocation | 2.52 | % | 7.84 | % | 2.01 | % | 7.64 | % | ||||||||
Net investment loss before Incentive Allocation | (1.03 | )% | (1.06 | )% | (1.56 | )% | (1.56 | )% | ||||||||
Incentive Allocation | 0.00 | (3.09 | ) | 0.00 | (2.65 | ) | ||||||||||
Net investment loss after Incentive Allocation | (1.03 | )% | (4.15 | )% | (1.56 | )% | (4.21 | )% | ||||||||
Total expenses before Incentive Allocation | 1.28 | % | 1.29 | % | 1.82 | % | 1.79 | % | ||||||||
Incentive Allocation | 0.00 | 3.09 | 0.00 | 2.65 | ||||||||||||
Total expenses after Incentive Allocation | 1.28 | % | 4.38 | % | 1.82 | % | 4.44 | % |
Systematic Strategies Portfolio | ||||||||||||||||
Class 0 | Class 2 | |||||||||||||||
2011 | 2010 | 2011 | 2010 | |||||||||||||
Total return before Incentive Allocation | (2.75 | )% | (4.32 | )% | (3.24 | )% | (4.75 | )% | ||||||||
Incentive Allocation | (0.01 | ) | 0.00 | (0.01 | ) | 0.00 | ||||||||||
Total return after Incentive Allocation | (2.76 | )% | (4.32 | )% | (3.25 | )% | (4.75 | )% | ||||||||
Net investment loss before Incentive Allocation | (1.03 | )% | (0.99 | )% | (1.52 | )% | (1.48 | )% | ||||||||
Incentive Allocation | (0.01 | ) | 0.00 | (0.01 | ) | 0.00 | ||||||||||
Net investment loss after Incentive Allocation | (1.04 | )% | (0.99 | )% | (1.53 | )% | (1.48 | )% | ||||||||
Total expenses before Incentive Allocation | 1.12 | % | 1.26 | % | 1.64 | % | 1.75 | % | ||||||||
Incentive Allocation | 0.01 | 0.00 | 0.01 | 0.00 | ||||||||||||
Total expenses after Incentive Allocation | 1.13 | % | 1.26 | % | 1.65 | % | 1.75 | % |
Blended Strategies Portfolio | Systematic Strategies Portfolio | |||||||||||||||
Class 0 | Class 2 | Class 0 | Class 2 | |||||||||||||
Per share operating performance | ||||||||||||||||
Net asset value per unit, December 31, 2008 | $ | 132.12 | $ | 111.74 | $ | - | $ | - | ||||||||
Initial net asset value, January 1, 2009 | - | - | 100.00 | 100.00 | ||||||||||||
Net income: | ||||||||||||||||
Net investment loss | (4.99 | ) | (6.00 | ) | (3.71 | ) | (5.16 | ) | ||||||||
Net gain on investments | 7.64 | 6.80 | 5.13 | 5.43 | ||||||||||||
Net income | 2.65 | 0.80 | 1.42 | 0.27 | ||||||||||||
Net asset value per unit, September 30, 2009 | $ | 134.77 | $ | 112.54 | $ | 101.42 | $ | 100.27 | ||||||||
Net asset value per unit, December 31, 2009 | $ | 135.56 | $ | 112.73 | $ | 100.59 | $ | 99.05 | ||||||||
Net income (loss): | ||||||||||||||||
Net investment loss | (2.86 | ) | (6.60 | ) | (3.68 | ) | (5.07 | ) | ||||||||
Net gain on investments | 4.49 | 6.57 | 1.35 | 1.34 | ||||||||||||
Net income (loss) | 1.63 | (0.03 | ) | (2.33 | ) | (3.73 | ) | |||||||||
Net asset value per unit, September 30, 2010 | $ | 137.19 | $ | 112.70 | $ | 98.26 | $ | 95.32 |
Blended Strategies Portfolio | ||||||||||||||||
Class 0 | Class 2 | |||||||||||||||
2010 | 2009 | 2010 | 2009 | |||||||||||||
Total return before Incentive Allocation | 1.61 | % | 2.56 | % | 0.06 | % | 1.09 | % | ||||||||
Incentive Allocation | (0.41 | ) | (0.55 | ) | (0.09 | ) | (0.37 | ) | ||||||||
Total return after Incentive Allocation | 1.20 | % | 2.01 | % | (0.03 | )% | 0.72 | % | ||||||||
Net investment loss before Incentive Allocation | (3.05 | )% | (3.26 | )% | (4.60 | )% | (4.92 | )% | ||||||||
Incentive Allocation | (0.41 | ) | (0.55 | ) | (0.09 | ) | (0.37 | ) | ||||||||
Net investment loss after Incentive Allocation | (3.46 | )% | (3.81 | )% | (4.69 | )% | (5.29 | )% | ||||||||
Total expenses before Incentive Allocation | 3.85 | % | 3.83 | % | 5.39 | % | 5.50 | % | ||||||||
Incentive Allocation | 0.41 | 0.55 | 0.09 | 0.37 | ||||||||||||
Total expenses after Incentive Allocation | 4.26 | % | 4.38 | % | 5.48 | % | 5.87 | % |
Systematic Strategies Portfolio | ||||||||||||||||
Class 0 | Class 2 | |||||||||||||||
2010 | 2009 | 2010 | 2009 | |||||||||||||
Total return before Incentive Allocation | (2.32 | )% | 4.51 | % | (3.77 | )% | 2.93 | % | ||||||||
Incentive Allocation | 0.00 | (3.09 | ) | 0.00 | (2.66 | ) | ||||||||||
Total return after Incentive Allocation | (2.32 | )% | 1.42 | % | (3.77 | )% | 0.27 | % | ||||||||
Net investment loss before Incentive Allocation | (3.05 | )% | (3.34 | )% | (4.64 | )% | (4.86 | )% | ||||||||
Incentive Allocation | 0.00 | (3.09 | ) | 0.00 | (2.66 | ) | ||||||||||
Net investment loss after Incentive Allocation | (3.05 | )% | (6.43 | )% | (4.64 | )% | (7.52 | )% | ||||||||
Total expenses before Incentive Allocation | 3.83 | % | 3.79 | % | 5.43 | % | 5.32 | % | ||||||||
Incentive Allocation | 0.00 | 3.09 | 0.00 | 2.66 | ||||||||||||
Total expenses after Incentive Allocation | 3.83 | % | 6.88 | % | 5.43 | % | 7.98 | % |
March 31, 2011 (Unaudited) | December 31, 2010 (Audited) | |||||||
Assets | ||||||||
Investments in Master Funds, at fair value | $ | 80,018,732 | $ | 43,910,786 | ||||
Investment in Graham Cash Assets LLC, at fair value | 422,134,782 | 409,389,656 | ||||||
Commission reimbursements receivable | 501,077 | 278,469 | ||||||
Total assets | $ | 502,654,591 | $ | 453,578,911 | ||||
Liabilities and members’ capital | ||||||||
Liabilities: | ||||||||
Accrued redemptions | $ | 2,858,194 | $ | 4,817,403 | ||||
Accrued brokerage fees | 983,124 | 894,187 | ||||||
Accrued advisory fees | 852,305 | 768,947 | ||||||
Accrued sponsor fees | 426,153 | 384,474 | ||||||
Payable to Master Funds | 551 | 61 | ||||||
Total liabilities | 5,120,327 | 6,865,072 | ||||||
Members’ capital: | ||||||||
Class 0 Units (3,065,466.192 and 2,685,172.128 units issued and outstanding at $137.45 and $138.96 per unit, respectively) | 421,354,913 | 373,121,130 | ||||||
Class 2 Units (672,805.309 and 639,582.657 units issued and outstanding at $111.91 and $113.68 per unit, respectively) | 75,295,604 | 72,710,381 | ||||||
Class M Units (4,671.470 and 4,671.470 units issued and outstanding at $189.18 and $188.88 per unit, respectively) | 883,747 | 882,328 | ||||||
Total members’ capital | 497,534,264 | 446,713,839 | ||||||
Total liabilities and members’ capital | $ | 502,654,591 | $ | 453,578,911 |
March 31, 2011 (Unaudited) | December 31, 2010 (Audited) | |||||||||||||||
Description | Fair Value | Percentage of Members’ Capital | Fair Value | Percentage of Members’ Capital | ||||||||||||
Investments in Master Funds, at fair value | ||||||||||||||||
Graham Commodity Strategies LLC | $ | 12,093,121 | 2.43 | % | $ | 7,603,525 | 1.70 | % | ||||||||
Graham Discretionary Energy Trading III LLC | 3,980,505 | 0.80 | % | 1,690,592 | 0.38 | % | ||||||||||
Graham Energy Focus LLC | 6,257,534 | 1.26 | % | - | 0.00 | % | ||||||||||
Graham Fed Policy Ltd. | 7,832,977 | 1.57 | % | 6,709,637 | 1.50 | % | ||||||||||
Graham Global Monetary Policy LLC | 4,369,033 | 0.88 | % | 3,566,013 | 0.80 | % | ||||||||||
Graham K4D Trading Ltd. | 44,364,556 | 8.92 | % | 24,030,670 | 5.38 | % | ||||||||||
Graham Macro Directional LLC | 1,121,006 | 0.22 | % | 268,357 | 0.06 | % | ||||||||||
Graham Short Term Global Macro LLC | - | 0.00 | % | 41,992 | 0.01 | % | ||||||||||
Total investments in Master Funds | $ | 80,018,732 | 16.08 | % | $ | 43,910,786 | 9.83 | % |
September 30, 2010 (Unaudited) | December 31, 2009 (Audited) | |||||||
Assets | ||||||||
Cash and cash equivalents | $ | - | $ | 49 | ||||
Investments in Master Funds, at fair value | 47,722,574 | 16,210,863 | ||||||
Investment in Graham Cash Assets LLC, at fair value | 352,499,552 | 289,831,323 | ||||||
Accrued commission reimbursements | 272,183 | 137,079 | ||||||
Receivable from Master Funds | 9 | 2,825 | ||||||
Total assets | $ | 400,494,318 | $ | 306,182,139 | ||||
Liabilities and members’ capital | ||||||||
Liabilities: | ||||||||
Accrued redemptions | $ | 1,562,060 | $ | 572,512 | ||||
Accrued brokerage fees | 758,657 | 608,084 | ||||||
Accrued advisory fees | 656,921 | 518,693 | ||||||
Accrued sponsor fees | 328,460 | 259,346 | ||||||
Accrued incentive allocation | 1,189,086 | 341,592 | ||||||
Payable to Master Funds | 8,263 | - | ||||||
Total liabilities | 4,503,447 | 2,300,227 | ||||||
Members’ capital: | ||||||||
Class 0 Units (2,432,830.504 and 1,851,259.271 units issued and outstanding at $137.19 and $135.56 per unit, respectively) | 333,772,162 | 250,952,480 | ||||||
Class 2 Units (544,462.259 and 462,314.824 units issued and outstanding at $112.70 and $112.73 per unit, respectively) | 61,361,176 | 52,116,241 | ||||||
Class M Units (4,671.470 and 4,671.470 units issued and outstanding at $183.57 and $174.08 per unit, respectively) | 857,533 | 813,191 | ||||||
Total members’ capital | 395,990,871 | 303,881,912 | ||||||
Total liabilities and members’ capital | $ | 400,494,318 | $ | 306,182,139 |
Three Months Ended March 31, | ||||||||
2011 (Unaudited) | 2010 (Unaudited) | |||||||
Net (loss) gain allocated from investments in Master Funds: | ||||||||
Net realized gain (loss) on investments | $ | 3,418,594 | $ | (5,419,425 | ) | |||
Net (decrease) increase in unrealized appreciation on investments | (3,764,589 | ) | 6,838,336 | |||||
Brokerage commissions and fees | (1,250,077 | ) | (496,264 | ) | ||||
Net (loss) gain allocated from investments in Master Funds | (1,596,072 | ) | 922,647 | |||||
Net investment loss allocated from investments in Master Funds | (17,371 | ) | (11,175 | ) | ||||
Investment income: | ||||||||
Interest income | 515,146 | 415,495 | ||||||
Expenses: | ||||||||
Brokerage fees | 2,801,106 | 1,786,293 | ||||||
Advisory fees | 2,420,953 | 1,521,144 | ||||||
Sponsor fees | 1,210,476 | 760,572 | ||||||
Interest and other | 4,557 | 4,747 | ||||||
Commission reimbursements | (1,250,077 | ) | (496,264 | ) | ||||
Total expenses | 5,187,015 | 3,576,492 | ||||||
Net investment loss of the Fund | (4,671,869 | ) | (3,160,997 | ) | ||||
Net loss | (6,285,312 | ) | (2,249,525 | ) | ||||
Incentive allocation | (10,086 | ) | - | |||||
Net loss available for pro-rata allocation to all members | $ | (6,295,398 | ) | $ | (2,249,525 | ) |
Description | Fair Value | Percentage of Members’ Capital | ||||||
Investments in Master Funds, at fair value | ||||||||
Graham Commodity Strategies LLC | $ | 6,161,754 | 1.56 | % | ||||
Graham Discretionary Energy Trading III LLC | 2,801,778 | 0.71 | % | |||||
Graham Fed Policy Ltd. | 5,721,915 | 1.44 | % | |||||
Graham Global Monetary Policy LLC | 1,848,673 | 0.47 | % | |||||
Graham GMP Securities LLC | 106,920 | 0.03 | % | |||||
Graham K4D Trading Ltd. | 26,750,233 | 6.75 | % | |||||
Graham Macro Directional LLC | 4,229,855 | 1.07 | % | |||||
Graham Short Term Global Macro LLC | 101,446 | 0.02 | % | |||||
Total investments in Master Funds | $ | 47,722,574 | 12.05 | % |
Class 0 | Class 2 | Class M | Total | |||||||||||||||||||||||||
Units | Capital | Units | Capital | Units | Capital | Capital | ||||||||||||||||||||||
Members’ capital, December 31, 2009 | 1,851,259.271 | $ | 250,952,480 | 462,314.824 | $ | 52,116,241 | 4,671.470 | $ | 813,191 | $ | 303,881,912 | |||||||||||||||||
Subscriptions | 151,028.659 | 20,005,694 | 45,915.276 | 5,069,594 | – | – | 25,075,288 | |||||||||||||||||||||
Redemptions | (36,152.265 | ) | (4,733,057 | ) | (12,948.251 | ) | (1,406,910 | ) | – | – | (6,139,967 | ) | ||||||||||||||||
Incentive allocation | – | – | – | – | – | – | – | |||||||||||||||||||||
Net (loss) income | – | (1,629,259 | ) | – | (624,416 | ) | – | 4,150 | (2,249,525 | ) | ||||||||||||||||||
Members’ capital, March 31, 2010 | 1,966,135.665 | $ | 264,595,858 | 495,281.849 | $ | 55,154,509 | 4,671.470 | $ | 817,341 | $ | 320,567,708 | |||||||||||||||||
Class 0 | Class 2 | Class M | Total | |||||||||||||||||||||||||
Units | Capital | Units | Capital | Units | Capital | Capital | ||||||||||||||||||||||
Members’ capital, December 31, 2010 | 2,685,172.128 | $ | 373,121,130 | 639,582.657 | $ | 72,710,381 | 4,671.470 | $ | 882,328 | $ | 446,713,839 | |||||||||||||||||
Subscriptions | 408,198.569 | 57,181,643 | 56,759.804 | 6,490,664 | – | – | 63,672,307 | |||||||||||||||||||||
Redemptions | (27,904.505 | ) | (3,886,994 | ) | (23,537.152 | ) | (2,669,490 | ) | – | (10,086 | ) | (6,566,570 | ) | |||||||||||||||
Incentive allocation | – | (6,683 | ) | – | (3,403 | ) | – | 10,086 | – | |||||||||||||||||||
Net (loss) income | – | (5,054,183 | ) | – | (1,232,548 | ) | – | 1,419 | (6,285,312 | ) | ||||||||||||||||||
Members’ capital, March 31, 2011 | 3,065,466.192 | $ | 421,354,913 | 672,805.309 | $ | 75,295,604 | 4,671.470 | $ | 883,747 | $ | 497,534,264 |
Description | Number of Contracts | Fair Value | Percentage of Members' Capital | |||||||||
Graham Commodity Strategies LLC | ||||||||||||
Long contracts | ||||||||||||
Futures | ||||||||||||
Brent Crude Oil November 2010 | 2,860 | $ | 9,915,240 | 23.21 | % | |||||||
Brent Crude Oil December 2010 | 947 | 4,038,950 | 9.45 | % | ||||||||
Brent Crude Penultimate Financial December 2011 | 1,095 | 5,380,900 | 12.59 | % | ||||||||
Copper March 2011 | 2,293 | 21,718,625 | 50.83 | % | ||||||||
Cotton March 2011 | 1,476 | 14,615,780 | 34.21 | % | ||||||||
Gas Oil October 2010 | 1,314 | 3,898,800 | 9.13 | % | ||||||||
Gasoline RBOB November 2010 | 1,198 | 3,429,884 | 8.03 | % | ||||||||
Heating Oil December 2010 | 583 | 2,649,688 | 6.20 | % | ||||||||
Natural Gas March 2011 | 598 | (7,342,030 | ) | (17.18 | )% | |||||||
Soybean November 2011 | 980 | 2,269,325 | 5.31 | % | ||||||||
LME Aluminum December 2010 | 1,386 | 5,686,388 | 13.31 | % | ||||||||
Wheat December 2010 | 2,072 | 5,778,138 | 13.52 | % | ||||||||
WTI Crude December 2012 | 2,364 | 7,869,570 | 18.42 | % | ||||||||
Other commodity | 8,121,270 | 19.01 | % | |||||||||
Total futures | 88,030,528 | 206.04 | % | |||||||||
Swaps | ||||||||||||
Commodity | 1,046,250 | 2.45 | % | |||||||||
Total swaps | 1,046,250 | 2.45 | % |
Three Months Ended March 31, | ||||||||
2011 (Unaudited) | 2010 (Unaudited) | |||||||
Cash flows used in operating activities | ||||||||
Net loss | $ | (6,285,312 | ) | $ | (2,249,525 | ) | ||
Adjustments to reconcile net loss to net cash used in operating activities: | ||||||||
Net loss (income) allocated from investment in Master Funds | 1,613,443 | (911,472 | ) | |||||
Net income allocated from investment in Graham Cash Assets LLC | (515,146 | ) | (415,495 | ) | ||||
Proceeds from sale of investments in Master Funds | 191,380,309 | 63,389,546 | ||||||
Proceeds from sale of investments in Graham Cash Assets LLC | 169,852,202 | 62,539,001 | ||||||
Investments in Master Funds | (229,101,208 | ) | (81,902,881 | ) | ||||
Investments in Graham Cash Assets LLC | (182,082,182 | ) | (58,473,000 | ) | ||||
Changes in assets and liabilities: | ||||||||
Commission reimbursements receivable | (222,608 | ) | (68,668 | ) | ||||
Accrued brokerage fees | 88,937 | 31,778 | ||||||
Accrued advisory fees | 83,358 | 26,922 | ||||||
Accrued sponsor fees | 41,679 | 13,461 | ||||||
Net cash used in operating activities | (55,146,528 | ) | (18,020,333 | ) | ||||
Cash flows provided by financing activities | ||||||||
Subscriptions | 63,672,307 | 25,075,288 | ||||||
Redemptions | (8,525,779 | ) | (7,054,071 | ) | ||||
Net cash provided by financing activities | 55,146,528 | 18,021,217 | ||||||
Net increase in cash and cash equivalents | - | 884 | ||||||
Cash and cash equivalents, beginning of period | - | 49 | ||||||
Cash and cash equivalents, end of period | $ | - | $ | 933 |
Description | Number of Contracts | Fair Value | Percentage of Members' Capital | |||||||||
Graham Commodity Strategies LLC (continued) | ||||||||||||
Short contracts | ||||||||||||
Futures | ||||||||||||
Brent Crude Oil December 2010 | (2,150 | ) | $ | (6,725,170 | ) | (15.74 | )% | |||||
Brent Crude Oil December 2012 | (958 | ) | (2,638,670 | ) | (6.18 | )% | ||||||
Brent Crude Penultimate Financial December 2010 | (647 | ) | (3,146,830 | ) | (7.37 | )% | ||||||
Brent Crude Penultimate Financial December 2012 | (1,295 | ) | (5,704,250 | ) | (13.35 | )% | ||||||
Copper December 2010 | (2,293 | ) | (17,288,513 | ) | (40.46 | )% | ||||||
Cotton December 2010 | (1,476 | ) | (13,388,050 | ) | (31.34 | )% | ||||||
Gas Oil November 2010 | (1,074 | ) | (3,248,850 | ) | (7.60 | )% | ||||||
LME Aluminum December 2010 | (1,157 | ) | (4,872,231 | ) | (11.40 | )% | ||||||
Natural Gas November 2010 | (1,144 | ) | 3,860,000 | 9.03 | % | |||||||
Wheat December 2010 | (1,957 | ) | 4,233,763 | 9.91 | % | |||||||
WTI Crude November 2010 | (2,951 | ) | (2,482,380 | ) | (5.81 | )% | ||||||
Other commodity | (11,381,527 | ) | (26.64 | )% | ||||||||
Total futures | (62,782,708 | ) | (146.95 | )% | ||||||||
Swaps | ||||||||||||
Commodity | (2,774,830 | ) | (6.49 | )% | ||||||||
Total swaps | (2,774,830 | ) | (6.49 | )% | ||||||||
Total | $ | 23,519,240 | 55.05 | % |
Description | Number of Contracts | Fair Value | Percentage of Members' Capital | |||||||||
Graham Discretionary Energy Trading III LLC | ||||||||||||
Long contracts | ||||||||||||
Futures | ||||||||||||
Gasoline RBOB November 2010 | 1,000 | $ | 4,561,200 | 22.97 | % | |||||||
Globex Crude Oil December 2011 | 500 | 2,361,500 | 11.89 | % | ||||||||
Heating Oil March 2011 | 291 | 2,498,177 | 12.58 | % | ||||||||
Heating Oil May 2011 | 291 | 2,331,958 | 11.74 | % | ||||||||
Heating Oil December 2011 | 1,513 | 6,321,378 | 31.83 | % | ||||||||
Natural Gas November 2010 | 750 | (1,311,470 | ) | (6.60 | )% | |||||||
WIT Crude November 2010 | 1,300 | 3,290,500 | 16.57 | % | ||||||||
WIT Crude December 2010 | 2,593 | 9,118,030 | 45.92 | % | ||||||||
WIT Crude December 2011 | 1,300 | 3,468,250 | 17.47 | % | ||||||||
Other commodity | (694,513 | ) | (3.50 | )% | ||||||||
Total futures | 31,945,010 | 160.87 | % | |||||||||
Options | ||||||||||||
Crude Oil future December 2010, 74.00 Call | 1,000 | 8,050,000 | 40.54 | % | ||||||||
Other options | 3,432,000 | 17.28 | % | |||||||||
Total options | 11,482,000 | 57.82 | % | |||||||||
Swaps | ||||||||||||
Natural Gas Swap January 2011 | 3,400 | (3,181,000 | ) | (16.02 | )% | |||||||
Natural Gas ICE Swap January 2011 | 5,176 | (3,125,140 | ) | (15.74 | )% | |||||||
Other swaps | (355,300 | ) | (1.79 | )% | ||||||||
Total swaps | (6,661,440 | ) | (33.55 | )% |
Description | Number of Contracts | Fair Value | Percentage of Members' Capital | |||||||||
Graham Discretionary Energy Trading III LLC (continued) | ||||||||||||
Short contracts | ||||||||||||
Futures | ||||||||||||
Gasoline RBOB January 2011 | (1,000 | ) | $ | (4,508,700 | ) | (22.70 | )% | |||||
Globex Crude Oil December 2010 | (500 | ) | (1,610,000 | ) | (8.11 | )% | ||||||
Heating Oil December 2010 | (1,000 | ) | (4,549,461 | ) | (22.91 | )% | ||||||
Heating Oil April 2011 | (582 | ) | (4,783,691 | ) | (24.09 | )% | ||||||
Heating Oil June 2011 | (513 | ) | (2,129,669 | ) | (10.72 | )% | ||||||
Natural Gas January 2010 | (2,144 | ) | 11,878,540 | 59.82 | % | |||||||
WTI Crude November 2010 | (1,275 | ) | (5,846,640 | ) | (29.44 | )% | ||||||
WTI Crude December 2010 | (2,725 | ) | (7,219,300 | ) | (36.36 | )% | ||||||
WTI Crude January 2011 | (1,300 | ) | (4,344,260 | ) | (21.88 | )% | ||||||
WTI Crude December 2011 | (500 | ) | (1,565,730 | ) | (7.88 | )% | ||||||
Other commodity | 433,445 | 2.18 | % | |||||||||
Total futures | (24,245,466 | ) | (122.09 | )% | ||||||||
Swaps | ||||||||||||
Natural Gas Swap November 2010 | (3,000 | ) | 1,710,000 | 8.61 | % | |||||||
Other swaps | 1,958,800 | 9.87 | % | |||||||||
Total swaps | 3,668,800 | 18.48 | % | |||||||||
Total | $ | 16,188,904 | 81.53 | % |
Description | Number of Contracts | Fair Value | Percentage of Net Assets | |||||||||
Graham Fed Policy Ltd. | ||||||||||||
Long contracts | ||||||||||||
Futures | ||||||||||||
30 Day Fed Fund January 2011 | 9,766 | $ | 5,692,038 | 13.80 | % | |||||||
30 Day Fed Fund February 2011 | 4,831 | 2,847,540 | 6.91 | % | ||||||||
30 Day Fed Fund March 2011 | 7,230 | 2,856,666 | 6.93 | % | ||||||||
Other interest rate | 8,677,735 | 21.05 | % | |||||||||
Total futures | 20,073,979 | 48.69 | % | |||||||||
Options | ||||||||||||
Fed Fund futures November 2010, $99.75 Call | 28,543 | 8,028,361 | 19.47 | % | ||||||||
Fed Fund futures December 2010, $99.75 Call | 20,104 | 6,492,436 | 15.75 | % | ||||||||
Fed Fund futures January 2011, $99.75 Call | 7,626 | 2,780,535 | 6.74 | % | ||||||||
Fed Fund futures February 2011, $99.75 Call | 11,350 | 4,138,351 | 10.04 | % | ||||||||
Other interest rate futures | 7,803,793 | 18.93 | % | |||||||||
Total options | 29,243,476 | 70.93 | % | |||||||||
Short contracts | ||||||||||||
Futures | ||||||||||||
Interest rate | 105,925 | 0.26 | % | |||||||||
Total futures | 105,925 | 0.26 | % | |||||||||
Options | ||||||||||||
Fed Fund futures January 2011, $99.18 Call | (16,126 | ) | (2,183,904 | ) | (5.30 | )% | ||||||
Fed Fund futures February 2011, $99.18 Call | (21,586 | ) | (3,148,210 | ) | (7.64 | )% | ||||||
Other interest rate futures | (6,038,242 | ) | (14.64 | )% | ||||||||
Total options | (11,370,356 | ) | (27.58 | )% | ||||||||
Total | $ | 38,053,024 | 92.30 | % |
Description | Number of Contracts / Principal Amount | Fair Value | Percentage of Members' Capital | |||||||||
Graham Global Monetary Policy LLC | ||||||||||||
Long contracts | ||||||||||||
Futures | ||||||||||||
U.S. 10 Year Note December 2010 | 584 | $ | 1,479,625 | 6.55 | % | |||||||
Natural Gas March 2011 | 150 | (1,315,560 | ) | (5.82 | )% | |||||||
Foreign bond | (614,299 | ) | (2.72 | )% | ||||||||
Foreign index | (185,173 | ) | (0.82 | )% | ||||||||
U.S. index | (68,750 | ) | (0.30 | )% | ||||||||
Other U.S. bond | 142,578 | 0.63 | % | |||||||||
Other commodity | 1,713,426 | 7.58 | % | |||||||||
Total futures | 1,151,847 | 5.10 | % | |||||||||
Options | ||||||||||||
Bond future | 672,965 | 2.98 | % | |||||||||
Currency | 225,466 | 0.99 | % | |||||||||
Total options | 898,431 | 3.97 | % | |||||||||
Forwards | ||||||||||||
Chinese Yuan / U.S. Dollar 06/17/11 | CNY 338,000,000 | 1,417,342 | 6.27 | % | ||||||||
Indian Rupee / U.S. Dollar 10/13/10 | IDR 1,404,600,000 | 1,419,760 | 6.29 | % | ||||||||
Other foreign currency | 2,854,393 | 12.63 | % | |||||||||
Total forwards | 5,691,495 | 25.19 | % | |||||||||
Short contracts | ||||||||||||
Futures | ||||||||||||
Euroswiss December 2010 | (7,848 | ) | (1,131,048 | ) | (5.01 | )% | ||||||
U.S. bond | (59,813 | ) | (0.26 | )% | ||||||||
U.S. index | (135,450 | ) | (0.60 | )% | ||||||||
Commodity | 457,290 | 2.03 | % | |||||||||
Other interest rate | (476,164 | ) | (2.11 | )% | ||||||||
Total futures | (1,345,185 | ) | (5.95 | )% | ||||||||
Forwards | ||||||||||||
Korean Won / U.S. Dollar 10/04/10 | KRW (29,962,500,000) | (1,282,993 | ) | (5.68 | )% | |||||||
Other foreign currency | (630,888 | ) | (2.79 | )% | ||||||||
Total forwards | (1,913,881 | ) | (8.47 | )% | ||||||||
Total | $ | 4,482,707 | 19.84 | % |
Description | Principal Amount | Fair Value | Percentage of Members' Capital | |||||||
Graham GMP Securities LLC | ||||||||||
Short contracts | ||||||||||
Interest Rate Swaps | ||||||||||
Pay 0.69%, receive floating, quarterly expiring 09/13/12 | CHF (253,400,000) | $ | (255,841 | ) | (18.60 | )% | ||||
Pay 0.70%, receive floating, quarterly expiring 09/13/12 | CHF (250,000,000) | (277,668 | ) | (20.19 | )% | |||||
Total futures | (533,509 | ) | (38.79 | )% | ||||||
Total | $ | (533,509 | ) | (38.79 | )% |
Description | Principal Amount | Fair Value | Percentage of Net Assets | |||||||
Graham K4D Trading Ltd. | ||||||||||
Long contracts | ||||||||||
Futures | ||||||||||
U.S. bond | $ | 5,765,314 | 2.70 | % | ||||||
Foreign bond | 3,171,287 | 1.49 | % | |||||||
U.S. index | 11,745,619 | 5.50 | % | |||||||
Foreign index | (9,271,591 | ) | (4.34 | )% | ||||||
Commodity | 59,192,780 | 27.72 | % | |||||||
Interest rate | 9,544,082 | 4.47 | % | |||||||
Currency | 5,293,828 | 2.48 | % | |||||||
Total futures | 85,441,319 | 40.02 | % | |||||||
Forwards | ||||||||||
Australian Dollar / U.S. Dollar 10/20/10 | AUD 469,629,938 | 14,762,320 | 6.91 | % | ||||||
British Pound / U.S. Dollar 10/20/10 | GBP 817,343,862 | 12,518,080 | 5.86 | % | ||||||
Canadian Dollar / Euro 10/20/10 | CAD 550,370,598 | (18,245,657 | ) | (8.54 | )% | |||||
Euro / Japanese Yen 10/20/10 | EUR 573,094,973 | 19,051,960 | 8.92 | % | ||||||
Euro / U.S. Dollar 10/20/10 | EUR 1,470,469,134 | 90,970,449 | 42.61 | % | ||||||
Japanese Yen / U.S. Dollar 10/20/10 | JPY 134,747,743,600 | 16,232,195 | 7.60 | % | ||||||
Swiss Franc / U.S. Dollar 10/20/10 | CHF 1,382,475,498 | 28,825,136 | 13.50 | % | ||||||
Other foreign currency | 23,655,845 | 11.08 | % | |||||||
Total forwards | 187,770,328 | 87.94 | % |
Description | Principal Amount | Fair Value | Percentage of Net Assets | |||||||
Graham K4D Trading Ltd. (continued) | ||||||||||
Short contracts | ||||||||||
Futures | ||||||||||
U.S. bond | $ | (741,000 | ) | (0.35 | )% | |||||
Foreign bond | (665,490 | ) | (0.31 | )% | ||||||
U.S. index | (5,955,442 | ) | (2.79 | )% | ||||||
Foreign index | 1,782,400 | 0.83 | % | |||||||
Commodity | (31,523,672 | ) | (14.76 | )% | ||||||
Interest rate | (1,203,356 | ) | (0.56 | )% | ||||||
Currency | 836,397 | 0.39 | % | |||||||
Total futures | (37,470,163 | ) | (17.55 | )% | ||||||
Forwards | ||||||||||
British Pound / U.S. Dollar 10/20/10 | GBP (809,242,721) | (11,041,291 | ) | (5.17 | )% | |||||
Canadian Dollar / Euro 10/20/10 | CAD (576,867,819) | 17,827,452 | 8.35 | % | ||||||
Euro / Japanese Yen 10/20/10 | EUR (606,318,356) | (24,556,109 | ) | (11.51 | )% | |||||
Euro / U.S. Dollar 10/20/10 | EUR (1,352,629,280) | (86,500,240 | ) | (40.51 | )% | |||||
Japanese Yen / U.S. Dollar 10/20/10 | JPY (111,949,188,000) | (15,169,475 | ) | (7.10 | )% | |||||
Swiss Franc / U.S. Dollar 10/20/10 | CHF (1,171,821,167) | (21,598,191 | ) | (10.12 | )% | |||||
Other foreign currency | (20,693,304 | ) | (9.69 | )% | ||||||
Total forwards | (161,731,158 | ) | (75.75 | )% | ||||||
Total | $ | 74,010,326 | 34.66 | % |
Description | Number of Contracts | Fair Value | Percentage of Members' Capital | |||||||
Graham Macro Directional LLC | ||||||||||
Long contracts | ||||||||||
Futures | ||||||||||
U.S. bond | $ | (129,511 | ) | (0.53 | )% | |||||
Commodity | 382,600 | 1.55 | % | |||||||
Total futures | 253,089 | 1.02 | % | |||||||
Forwards | ||||||||||
Foreign currency | (257,568 | ) | (1.04 | )% | ||||||
Total forwards | (257,568 | ) | (1.04 | )% | ||||||
Short Contracts | ||||||||||
Forwards | ||||||||||
Foreign currency | (45,356 | ) | (0.18 | )% | ||||||
Total forwards | (45,356 | ) | (0.18 | )% | ||||||
Total | $ | (49,835 | ) | (0.20 | )% |
Description | Principal Amount | Fair Value | Percentage of Members' Capital | |||||||||
Graham Short Term Global Macro LLC | ||||||||||||
Long contracts | ||||||||||||
Options | ||||||||||||
U.S. Dollar Call / Canadian Dollar 10/01/10, $1.038 Put | $ | 100,000,000 | $ | 19,879 | 5.43 | % | ||||||
Other currency | 11,370 | 3.10 | % | |||||||||
Total options | 31,249 | 8.53 | % | |||||||||
Forwards | ||||||||||||
Australian Dollar / U.S. Dollar 10/05/10 | AUD 343,000,000 | (530,977 | ) | (144.98 | )% | |||||||
Brazilian Real / U.S. Dollar 10/04/10 | BRL 208,394,000 | 1,962,626 | 535.88 | % | ||||||||
Chinese Yuan / U.S. Dollar 08/19/11 | CNY 334,143,000 | 933,966 | 255.01 | % | ||||||||
New Zealand Dollar / U.S. Dollar 10/01/10 | NZD 24,000,000 | (101,850 | ) | (27.81 | )% | |||||||
New Zealand Dollar / U.S. Dollar 10/04/10 | NZD 28,000,000 | (56,190 | ) | (15.34 | )% | |||||||
Other foreign currency | (17,590 | ) | (4.80 | )% | ||||||||
Total forwards | 2,189,985 | 597.96 | % | |||||||||
Short Contracts | ||||||||||||
Futures | ||||||||||||
Commodity | (1,990 | ) | (0.54 | )% | ||||||||
Total futures | (1,990 | ) | (0.54 | )% | ||||||||
Forwards | ||||||||||||
Australian Dollar / U.S. Dollar 10/05/10 | AUD (393,000,000) | 209,799 | 57.28 | % | ||||||||
Brazilian Real / U.S. Dollar 10/04/10 | BRL (208,436,000) | (1,921,484 | ) | (524.65 | )% | |||||||
Chinese Yuan / U.S. Dollar 08/19/11 | CNY (334,143,000) | (1,007,680 | ) | (275.14 | )% | |||||||
New Zealand Dollar / U.S. Dollar 10/01/10 | NZD (12,000,000) | 47,654 | 13.01 | % | ||||||||
Other foreign currency | (1,519 | ) | (0.41 | )% | ||||||||
Total forwards | (2,673,230 | ) | (729.91 | )% | ||||||||
Total | $ | (453,986 | ) | (123.96 | )% |
Description | Principal Amount | Fair Value | Percentage of Members’ Capital | |||||||||
Graham Cash Assets LLC | ||||||||||||
Investments in Fixed Income Securities (cost $1,686,686,798) | ||||||||||||
United States | ||||||||||||
FDIC Guaranteed Bonds (cost $985,173,744) | ||||||||||||
Citibank 1.25% - 1.63% due 03/30/11 – 11/15/11 | $ | 200,000,000 | $ | 200,777,418 | 7.93 | % | ||||||
Citigroup 1.25% - 1.38% due 05/05/11 – 09/22/11 | 150,000,000 | 150,526,681 | 5.95 | % | ||||||||
Other FDIC Guaranteed Bonds | 633,869,645 | 25.05 | % | |||||||||
Total FDIC Guaranteed Bonds | 985,173,744 | 38.93 | % | |||||||||
Government Bonds (cost $701,513,054) | ||||||||||||
U.S. Treasury 0.88% - 1.50% due 10/31/10 – 09/30/11 | 700,000,000 | 701,513,054 | 27.72 | % | ||||||||
Total Government Bonds | 701,513,054 | 27.72 | % | |||||||||
Total Investments in Fixed Income Securities | $ | 1,686,686,798 | 66.65 | % |
Description | Fair Value | Percentage of Members’ Capital | ||||||
Investments in Master Funds, at fair value | ||||||||
Graham Commodity Strategies LLC | $ | 763,431 | 0.25 | % | ||||
Graham Fed Policy Ltd. | 2,649,859 | 0.87 | % | |||||
Graham Global Monetary Policy LLC | 864,633 | 0.28 | % | |||||
Graham K4D Trading Ltd. | 11,724,671 | 3.86 | % | |||||
Graham Macro Directional LLC | 208,269 | 0.07 | % | |||||
Total investments in Master Funds | $ | 16,210,863 | 5.33 | % |
Description | Number of Contracts | Fair Value | Percentage of Members' Capital | |||||||||
Graham Commodity Strategies LLC | ||||||||||||
Long contracts | ||||||||||||
Futures | ||||||||||||
Copper May 2010 | 678 | $ | 4,041,813 | 41.13 | % | |||||||
Copper July 2010 | 630 | 4,188,413 | 42.63 | % | ||||||||
Cotton # 2 May 2010 | 1,162 | 2,942,250 | 29.94 | % | ||||||||
Globex Crude Oil June 2010 | 300 | 1,768,950 | 18.00 | % | ||||||||
Natural Gas March 2010 | 1,000 | 505,000 | 5.14 | % | ||||||||
Natural Gas September 2010 | 250 | (537,500 | ) | (5.47 | )% | |||||||
Sugar #11 May 2010 | 1,505 | 4,489,755 | 45.69 | % | ||||||||
Wheat July 2010 | 1,092 | (716,838 | ) | (7.29 | )% | |||||||
Other commodity | (1,041,637 | ) | (10.60 | )% | ||||||||
Total futures | 15,640,206 | 159.17 | % | |||||||||
Short contracts | ||||||||||||
Futures | ||||||||||||
Copper March 2010 | (1,308 | ) | (7,146,138 | ) | (72.72 | )% | ||||||
Cotton # 2 March 2010 | (1,162 | ) | (1,987,760 | ) | (20.23 | )% | ||||||
Globex Crude Oil December 2010 | (300 | ) | (1,957,100 | ) | (19.92 | )% | ||||||
Natural Gas March 2010 | (980 | ) | (1,292,520 | ) | (13.15 | )% | ||||||
Natural Gas April 2010 | (250 | ) | 612,500 | 6.23 | % | |||||||
Sugar #11 March 2010 | (1,305 | ) | (4,665,416 | ) | (47.48 | )% | ||||||
WTI Crude March 2010 | (3,172 | ) | 840,170 | 8.55 | % | |||||||
Other commodity | 443,395 | 4.51 | % | |||||||||
Total futures | (15,152,869 | ) | (154.21 | )% | ||||||||
Total | $ | 487,337 | 4.96 | % |
Description | Number of Contracts | Fair Value | Percentage of Net Assets | |||||||||
Graham Fed Policy Ltd. | ||||||||||||
Long contracts | ||||||||||||
Futures | ||||||||||||
30 Day Fed Fund February 2010 | 5,483 | $ | 2,388,691 | 10.48 | % | |||||||
Other interest rate | 473,340 | 2.08 | % | |||||||||
Total futures | 2,862,031 | 12.56 | % | |||||||||
Options | ||||||||||||
Fed Fund futures February 2010, $99.75 Call | 8,715 | 3,631,540 | 15.94 | % | ||||||||
Fed Fund futures May 2010, $99.75 Call | 23,150 | 4,823,303 | 21.17 | % | ||||||||
Eurodollar futures March 2010, $99.63 Call | 10,100 | 1,893,750 | 8.31 | % | ||||||||
Other interest rate futures | 3,404,283 | 14.94 | % | |||||||||
Total options | 13,752,876 | 60.36 | % | |||||||||
Short contracts | ||||||||||||
Options | ||||||||||||
Fed Fund futures February 2010, $99.81 Call | (13,080 | ) | (2,452,696 | ) | (10.76 | )% | ||||||
Fed Fund futures May 2010, $99.81 Call | (19,850 | ) | (1,654,299 | ) | (7.26 | )% | ||||||
Eurodollar futures March 2011, $99.63 Call | (42,350 | ) | (1,323,438 | ) | (5.81 | )% | ||||||
Other interest rate futures | (3,797,911 | ) | (16.67 | )% | ||||||||
Total options | (9,228,344 | ) | (40.50 | )% | ||||||||
Total | $ | 7,386,563 | 32.42 | % |
Description | Number of Contracts / Principal Amount | Fair Value | Percentage of Members' Capital | ||||||||
Graham Global Monetary Policy LLC | |||||||||||
Long contracts | |||||||||||
Futures | |||||||||||
Commodity | $ | 29,025 | 0.33 | % | |||||||
Total futures | 29,025 | 0.33 | % | ||||||||
Options | |||||||||||
Euro / Swiss Franc 03/04/10, $1.50 Put | 100,000,000 | 2,245,923 | 25.89 | % | |||||||
Euro / Swiss Franc 03/11/10, $1.50 Put | 100,000,000 | 2,304,314 | 26.56 | % | |||||||
U.S. index | 12,500 | 0.14 | % | ||||||||
Total options | 4,562,737 | 52.59 | % | ||||||||
Forwards | |||||||||||
Australian Dollar / Japanese Yen 01/04/10 | AUD 60,000,000 | 919,592 | 10.60 | % | |||||||
Australian Dollar / U.S. Dollar 01/04/10 | AUD 80,000,000 | 495,440 | 5.71 | % | |||||||
Japanese Yen / U.S. Dollar 01/04/10 | JPY 11,025,114,000 | (1,513,453 | ) | (17.44 | )% | ||||||
Other foreign currency | 554,290 | 6.38 | % | ||||||||
Total forwards | 455,869 | 5.25 | % | ||||||||
Short contracts | |||||||||||
Futures | |||||||||||
Foreign bond | 373,824 | 4.31 | % | ||||||||
Interest rate | (253,871 | ) | (2.93 | )% | |||||||
Total futures | 119,953 | 1.38 | % | ||||||||
Options | |||||||||||
Euro / Swiss Franc 03/04/10, $1.46 Put | (100,000,000 | ) | (651,902 | ) | (7.51 | )% | |||||
Euro / Swiss Franc 03/11/10, $1.47 Put | (100,000,000 | ) | (916,709 | ) | (10.57 | )% | |||||
Total options | (1,568,611 | ) | (18.08 | )% | |||||||
Forwards | |||||||||||
Japanese Yen / U.S. Dollar 01/04/10 | JPY (11,047,096,000) | 1,582,181 | 18.24 | % | |||||||
Euro / Japanese Yen 01/04/10 | EUR (40,000,000) | (434,683 | ) | (5.01 | )% | ||||||
Australian Dollar / Japanese Yen 01/04/10 | AUD (60,000,000) | (930,489 | ) | (10.72 | )% | ||||||
Other foreign currency | 499,007 | 5.75 | % | ||||||||
Total forwards | 716,016 | 8.26 | % | ||||||||
Total | $ | 4,314,989 | 49.73 | % |
Description | Number of Contracts/Principal Amount | Fair Value | Percentage of Net Assets | ||||||||
Graham K4D Trading Ltd. | |||||||||||
Long contracts | |||||||||||
Futures | |||||||||||
LME Aluminum January 2010 | 1,302 | $ | 6,972,938 | 5.92 | % | ||||||
LME Copper January 2010 | 366 | 6,743,091 | 5.72 | % | |||||||
Other commodity | 21,454,287 | 18.21 | % | ||||||||
U.S. bond | (4,526,734 | ) | (3.84 | )% | |||||||
Foreign bond | (6,607,015 | ) | (5.61 | )% | |||||||
U.S. index | 5,331,432 | 4.53 | % | ||||||||
Foreign index | 8,908,434 | 7.56 | % | ||||||||
Interest rate | (8,722,161 | ) | (7.40 | )% | |||||||
Currency | 355,993 | 0.30 | % | ||||||||
Total futures | 29,910,265 | 25.39 | % | ||||||||
Forwards | |||||||||||
British Pound / Japanese Yen 01/20/10 | GBP 224,750,683 | 11,529,834 | 9.79 | % | |||||||
Euro / U.S. Dollar 01/20/10 | EUR 593,968,247 | (12,238,099 | ) | (10.39 | )% | ||||||
Japanese Yen / U.S. Dollar 01/20/10 | JPY 51,561,122,880 | (17,479,840 | ) | (14.84 | )% | ||||||
Other foreign currency | 9,230,717 | 7.84 | % | ||||||||
Total forwards | (8,957,388 | ) | (7.60 | )% |
Description | Number of Contracts/Principal Amount | Fair Value | Percentage of Net Assets | |||||||
Graham K4D Trading Ltd. (continued) | ||||||||||
Short contracts | ||||||||||
Futures | ||||||||||
U.S. bond | $ | 1,217,531 | 1.03 | % | ||||||
Foreign bond | 2,267,786 | 1.93 | % | |||||||
U.S. index | (2,810,098 | ) | (2.39 | )% | ||||||
Foreign index | (3,726,222 | ) | (3.16 | )% | ||||||
Commodity | (14,721,246 | ) | (12.50 | )% | ||||||
Interest rate | 2,493,009 | 2.12 | % | |||||||
Currency | (32,595 | ) | (0.03 | )% | ||||||
Total futures | (15,311,835 | ) | (13.00 | )% | ||||||
Forwards | ||||||||||
Japanese Yen / U.S. Dollar 01/20/10 | JPY(52,960,960,701) | 18,321,239 | 15.55 | % | ||||||
Euro / U.S. Dollar 01/20/10 | EUR (604,603,018) | 12,851,322 | 10.91 | % | ||||||
British Pound / Japanese Yen 01/20/10 | GBP (207,438,849) | (11,260,219 | ) | (9.56 | )% | |||||
Other foreign currency | (7,624,210 | ) | (6.47 | )% | ||||||
Total forwards | 12,288,132 | 10.43 | % | |||||||
Total | $ | 17,929,174 | 15.22 | % |
Description | Principal Amount | Fair Value | Percentage of Members' Capital | |||||||
Graham Macro Directional LLC | ||||||||||
Long contracts | ||||||||||
Forwards | ||||||||||
New Zealand Dollar / U.S. Dollar 01/05/10 | NZD 25,000,000 | $ | 168,512 | 10.40 | % | |||||
Japanese Yen / U.S. Dollar 01/05/10 | JPY 2,773,860,000 | (189,105 | ) | (11.67 | )% | |||||
Japanese Yen / U.S. Dollar 01/04/10 | JPY 2,300,065,000 | (285,387 | ) | (17.62 | )% | |||||
Total forwards | (305,980 | ) | (18.89 | )% | ||||||
Short Contracts | ||||||||||
Forwards | ||||||||||
Japanese Yen / U.S. Dollar 01/05/10 | JPY (4,620,210,000) | 346,235 | 21.37 | % | ||||||
Japanese Yen / U.S. Dollar 01/04/10 | JPY (2,300,065,000) | 281,275 | 17.36 | % | ||||||
New Zealand Dollar / U.S. Dollar 01/05/10 | NZD (25,000,000) | (206,512 | ) | (12.74 | )% | |||||
Total forwards | 420,998 | 25.99 | % | |||||||
Total | $ | 115,018 | 7.10 | % |
Description | Principal Amount | Fair Value | Percentage of Members’ Capital | |||||||||
Graham Cash Assets LLC | ||||||||||||
Investments in Fixed Income Securities (cost $1,421,913,802) | ||||||||||||
United States | ||||||||||||
FDIC Guaranteed Bonds (cost $667,900,290) | ||||||||||||
Bank of America 0.28% Floating Rate Note due 09/13/10 | $ | 100,000,000 | $ | 100,177,559 | 5.24 | % | ||||||
Other Bank of America 0.63% - 1.70% Floating Rate Notes due 12/23/10 - 06/22/12 | 75,000,000 | 75,931,110 | 3.97 | % | ||||||||
Citibank 1.25% - 1.63% due 03/30/11 - 11/15/11 | 125,000,000 | 125,481,266 | 6.56 | % | ||||||||
JPMorgan Chase 1.65% - 2.63% due 12/01/10 - 02/23/11 | 125,000,000 | 126,280,415 | 6.60 | % | ||||||||
Other FDIC guaranteed bonds | 240,029,940 | 12.55 | % | |||||||||
Total FDIC Guaranteed Bonds | 667,900,290 | 34.92 | % | |||||||||
Government Bonds (cost $754,013,512) | ||||||||||||
U.S. Treasury 0.00% - 2.75% due 01/31/10 - 06/30/11 | 750,000,000 | 754,013,512 | 39.42 | % | ||||||||
Total Government Bonds | 754,013,512 | 39.42 | % | |||||||||
Total Investments in Fixed Income Securities | $ | 1,421,913,802 | 74.34 | % |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2010 (Unaudited) | 2009 (Unaudited) | 2010 (Unaudited) | 2009 (Unaudited) | |||||||||||||
Net gain allocated from investments in Master Funds: | ||||||||||||||||
Net realized (loss) gain on investments | $ | (2,574,496 | ) | $ | 6,230,384 | $ | 2,867,722 | $ | 14,282,768 | |||||||
Net increase in unrealized appreciation on investments | 15,073,125 | 7,113,599 | 15,373,790 | 1,242,416 | ||||||||||||
Brokerage commissions and fees | (683,647 | ) | (407,829 | ) | (1,739,141 | ) | (1,009,350 | ) | ||||||||
Net gain allocated from investments in Master Funds | 11,814,982 | 12,936,154 | 16,502,371 | 14,515,834 | ||||||||||||
Net investment loss allocated from investments in Master Funds | (26,684 | ) | (13,700 | ) | (56,160 | ) | (25,990 | ) | ||||||||
Investment income: | ||||||||||||||||
Interest income | 502,343 | 353,267 | 1,384,191 | 1,149,986 | ||||||||||||
Other income | 683,647 | 408,535 | 1,739,141 | 1,010,056 | ||||||||||||
Total investment income | 1,185,990 | 761,802 | 3,123,332 | 2,160,042 | ||||||||||||
Expenses: | ||||||||||||||||
Brokerage fees | 2,227,084 | 1,598,256 | 6,030,707 | 4,456,543 | ||||||||||||
Advisory fees | 1,922,144 | 1,371,660 | 5,172,169 | 3,873,365 | ||||||||||||
Sponsor fees | 961,072 | 685,830 | 2,586,085 | 1,936,682 | ||||||||||||
Interest and other | 11,550 | 4,988 | 37,822 | 14,021 | ||||||||||||
Total expenses | 5,121,850 | 3,660,734 | 13,826,783 | 10,280,611 | ||||||||||||
Net investment loss of the Fund | (3,935,860 | ) | (2,898,932 | ) | (10,703,451 | ) | (8,120,569 | ) | ||||||||
Net income | 7,852,438 | 10,023,522 | 5,742,760 | 6,369,275 | ||||||||||||
Incentive allocation | (1,189,086 | ) | (1,289,920 | ) | (1,194,778 | ) | (1,315,601 | ) | ||||||||
Net income available for pro-rata allocation to all members | $ | 6,663,352 | $ | 8,733,602 | $ | 4,547,982 | $ | 5,053,674 |
Class 0 | Class 2 | Class M | Total | |||||||||||||||||||||||||
Units | Capital | Units | Capital | Units | Capital | Capital | ||||||||||||||||||||||
Members’ capital, December 31, 2008 | 1,585,426.608 | $ | 209,463,943 | 276,829.231 | $ | 30,933,785 | 4,671.470 | $ | 748,868 | $ | 241,146,596 | |||||||||||||||||
Subscriptions | 393,501.474 | 51,952,001 | 198,354.098 | 21,957,268 | – | – | 73,909,269 | |||||||||||||||||||||
Redemptions | (256,441.514 | ) | (33,785,402 | ) | (59,319.349 | ) | (6,580,690 | ) | – | (1,315,601 | ) | (41,681,693 | ) | |||||||||||||||
Incentive allocation | – | – | – | – | – | 1,315,601 | 1,315,601 | |||||||||||||||||||||
Net income available for pro-rata allocation | – | 4,515,449 | – | 489,887 | – | 48,338 | 5,053,674 | |||||||||||||||||||||
Members’ capital, September 30, 2009 | 1,722,486.568 | $ | 232,145,991 | 415,863.980 | $ | 46,800,250 | 4,671.470 | $ | 797,206 | $ | 279,743,447 | |||||||||||||||||
Class 0 | Class 2 | Class M | Total | |||||||||||||||||||||||||
Units | Capital | Units | Capital | Units | Capital | Capital | ||||||||||||||||||||||
Members’ capital, December 31, 2009 | 1,851,259.271 | $ | 250,952,480 | 462,314.824 | $ | 52,116,241 | 4,671.470 | $ | 813,191 | $ | 303,881,912 | |||||||||||||||||
Subscriptions | 727,135.959 | 97,996,571 | 127,071.006 | 14,095,881 | – | – | 112,092,452 | |||||||||||||||||||||
Redemptions | (145,564.726 | ) | (19,555,651 | ) | (44,923.571 | ) | (4,975,824 | ) | – | (1,194,778 | ) | (25,726,253 | ) | |||||||||||||||
Incentive allocation | – | – | – | – | – | 1,194,778 | 1,194,778 | |||||||||||||||||||||
Net income available for pro-rata allocation | – | 4,378,762 | – | 124,878 | – | 44,342 | 4,547,982 | |||||||||||||||||||||
Members’ capital, September 30, 2010 | 2,432,830.504 | $ | 333,772,162 | 544,462.259 | $ | 61,361,176 | 4,671.470 | $ | 857,533 | $ | 395,990,871 |
Nine Months Ended September 30, | ||||||||
2010 (Unaudited) | 2009 (Unaudited) | |||||||
Cash flows used in operating activities | ||||||||
Net income | $ | 5,742,760 | $ | 6,369,275 | ||||
Adjustments to reconcile net income to net cash used in operating activities: | ||||||||
Net income allocated from investment in Master Funds | (16,446,211 | ) | (14,489,844 | ) | ||||
Net income allocated from investment in Graham Cash Assets LLC | (1,384,191 | ) | (580,963 | ) | ||||
Net income allocated from investment in Graham Cash Assets II LLC | - | (569,023 | ) | |||||
Proceeds from sale of investments in Master Funds | 237,721,282 | 160,049,081 | ||||||
Proceeds from sale of investments in Graham Cash Assets LLC | 187,141,787 | 227,786,474 | ||||||
Proceeds from sale of investments in Graham Cash Assets II LLC | - | 359,882,599 | ||||||
Investments in Master Funds | (252,775,703 | ) | (164,789,765 | ) | ||||
Investments in Graham Cash Assets LLC | (248,425,825 | ) | (482,253,100 | ) | ||||
Investments in Graham Cash Assets II LLC | - | (112,508,973 | ) | |||||
Changes in assets and liabilities: | ||||||||
Accrued commission reimbursements | (135,104 | ) | (35,817 | ) | ||||
Accrued brokerage fees | 150,573 | 53,857 | ||||||
Accrued advisory fees | 138,228 | 31,277 | ||||||
Accrued sponsor fees | 69,114 | (5,206,063 | ) | |||||
Accrued incentive allocation | 847,494 | 15,638 | ||||||
Net cash used in operating activities | (87,355,796 | ) | (26,245,347 | ) | ||||
Cash flows provided by financing activities | ||||||||
Subscriptions | 112,092,452 | 73,909,269 | ||||||
Redemptions | (24,736,705 | ) | (47,663,458 | ) | ||||
Net cash provided by financing activities | 87,355,747 | 26,245,811 | ||||||
Net (decrease) increase in cash and cash equivalents | (49 | ) | 464 | |||||
Cash and cash equivalents, beginning of period | 49 | 195 | ||||||
Cash and cash equivalents, end of period | $ | - | $ | 659 |
· | Level 1 inputs are unadjusted closing or |
· | Level 2 inputs include quoted prices for similar assets and liabilities obtained from independent brokers and/or market makers in each security. With respect to GAIT’s investments in the other funds managed by the Manager, Level 2 inputs include the net asset value of the underlying fund in which it holds an investment. |
· | Level 3 inputs are those which are considered unobservable and are significant in arriving at fair value. |
September 30, 2010 | ||||||||||||||||||||||||||||
March 31, 2011 | March 31, 2011 | |||||||||||||||||||||||||||
Investment – Objective | Percent of Members’ Capital | Fair Value | Net Income (three months then ended) | Net Income (nine months then ended) | Percent of Members’ Capital | Fair Value | Net Income (three months then ended) | |||||||||||||||||||||
Graham K4D Trading Ltd. – (a) | 6.75 | % | $ | 26,750,233 | $ | 6,996,103 | $ | 2,886,254 | 8.92 | % | $ | 44,364,556 | $ | (6,490,761 | ) | |||||||||||||
Other Master Funds (7) – (b) (c) (d) (e) | 5.30 | % | 20,972,341 | 4,792,195 | 13,559,957 | 7.16 | % | 35,654,176 | 4,877,318 | |||||||||||||||||||
12.05 | % | $ | 47,722,574 | $ | 11,788,298 | $ | 16,446,211 | 16.08 | % | $ | 80,018,732 | $ | (1,613,443 | ) |
December 31, 2009 | ||||||||||||
Investment – Objective | Percent of Members’ Capital | Fair Value | Net Income (twelve months then ended) | |||||||||
Master Funds (6) – (a) (b) (c) (d) (e) | 5.33 | % | $ | 16,210,863 | $ | 19,395,922 | ||||||
5.33 | % | $ | 16,210,863 | $ | 19,395,922 |
December 31, 2010 | ||||||||||||
Investment – Objective | Percent of Members’ Capital | Fair Value | Net Income (three months ended March 31, 2010) | |||||||||
Graham K4D Trading Ltd. – (a) | 5.38 | % | $ | 24,030,670 | $ | (4,673,263 | ) | |||||
Other Master Funds (7) – (b) (c) (d) (e) | 4.45 | % | 19,880,116 | 5,584,735 | ||||||||
9.83 | % | $ | 43,910,786 | $ | 911,472 |
(a) – Systematic Macro (b) – Fixed Income (c) – Global Macro (d) – Energy Related (e) – Commodities |
Graham Commodity Strategies LLC (Delaware) | Graham Discretionary Energy Trading III LLC (Delaware) | Graham Fed Policy Ltd. (BVI) | Graham Global Monetary Policy LLC (Delaware) | Graham GMP Securities LLC (Delaware) | Graham K4D Trading Ltd. (BVI) | Graham Macro Directional LLC (Delaware) | Graham Short Term Global Macro LLC (Delaware) | Graham Commodity Strategies LLC (Delaware) | Graham Discretionary Energy Trading III LLC (Delaware) | Graham Energy Focus LLC (Delaware) | Graham Fed Policy Ltd. (BVI) | Graham Global Monetary Policy LLC (Delaware) | Graham K4D Trading Ltd. (BVI) | Graham Macro Directional LLC (Delaware) | ||||||||||||||||||||||||||||||||||||||||||||||
Assets: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Cash and cash equivalents | $ | 1 | $ | - | $ | - | $ | - | $ | 6 | $ | - | $ | - | $ | - | ||||||||||||||||||||||||||||||||||||||||||||
Due from brokers | 19,204,912 | 3,668,548 | 3,174,872 | 19,489,417 | 1,908,865 | 140,608,437 | 26,199,281 | 1,183,365 | $ | 71,788,618 | $ | - | $ | 17,984,242 | $ | 25,147,965 | $ | 32,252,617 | $ | 288,833,860 | $ | 4,762,663 | ||||||||||||||||||||||||||||||||||||||
Options, at fair value | - | 11,482,000 | 29,243,476 | 898,431 | - | - | - | 31,249 | - | 11,794,000 | 15,045,300 | 46,076,251 | 427,005 | - | - | |||||||||||||||||||||||||||||||||||||||||||||
Derivative financial instruments, at fair value | 23,519,240 | 4,706,904 | 20,179,904 | 3,584,276 | - | 74,010,326 | 253,089 | - | 11,551,256 | 25,885,509 | - | 10,117,976 | 3,767,638 | 52,072,797 | 255,550 | |||||||||||||||||||||||||||||||||||||||||||||
Subscriptions receivable | - | - | 12 | 130 | 156 | - | - | 38,268 | - | - | 7 | - | 239 | 405 | - | |||||||||||||||||||||||||||||||||||||||||||||
Interest receivable | - | - | - | 533 | 1 | 11,929 | 172 | - | - | - | - | - | 3,341 | 20,997 | 109 | |||||||||||||||||||||||||||||||||||||||||||||
Total assets | 42,724,153 | 19,857,452 | 52,598,264 | 23,972,787 | 1,909,028 | 214,630,692 | 26,452,542 | 1,252,882 | 83,339,874 | 37,679,509 | 33,029,549 | 81,342,192 | 36,450,840 | 340,928,059 | 5,018,322 | |||||||||||||||||||||||||||||||||||||||||||||
Liabilities: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Options, at fair value | - | - | 11,370,356 | - | - | - | - | - | - | 100,000 | 5,998,200 | 36,226,853 | 50,000 | - | - | |||||||||||||||||||||||||||||||||||||||||||||
Derivative financial instruments, at fair value | - | - | - | - | 533,509 | - | 302,924 | 485,235 | - | - | 3,679,198 | - | - | 1,544,291 | - | |||||||||||||||||||||||||||||||||||||||||||||
Due to brokers | - | - | - | 1,379,506 | - | 1,113,899 | 1,463,918 | 363,135 | - | 13,764,783 | - | - | 409,325 | - | - | |||||||||||||||||||||||||||||||||||||||||||||
Redemptions payable | - | - | 154 | 10 | 156 | - | - | 38,268 | - | - | 7 | 142 | 120 | 405 | - | |||||||||||||||||||||||||||||||||||||||||||||
Total liabilities | - | - | 11,370,510 | 1,379,516 | 533,665 | 1,113,899 | 1,766,842 | 886,638 | - | 13,864,783 | 9,677,405 | 36,226,995 | 459,445 | 1,544,696 | - | |||||||||||||||||||||||||||||||||||||||||||||
Net assets | $ | 42,724,153 | $ | 19,857,452 | $ | 41,227,754 | $ | 22,593,271 | $ | 1,375,363 | $ | 213,516,793 | $ | 24,685,700 | $ | 366,244 | $ | 83,339,874 | $ | 23,814,726 | $ | 23,352,144 | $ | 45,115,197 | $ | 35,991,395 | $ | 339,383,363 | $ | 5,018,322 | ||||||||||||||||||||||||||||||
Percentage of Master Fund held by the Fund | 14.42 | % | 14.11 | % | 13.88 | % | 8.18 | % | 7.77 | % | 12.53 | % | 17.13 | % | 27.70 | % | 14.51 | % | 16.71 | % | 26.80 | % | 17.36 | % | 12.14 | % | 13.07 | % | 22.34 | % |
Description | Number of Contracts | Fair Value | Percentage of Net Assets of Master Fund | |||||||||
Graham Commodity Strategies LLC | ||||||||||||
Long contracts | ||||||||||||
Futures | ||||||||||||
Brent Crude Penultimate Financial December 2011 | 897 | $ | 14,556,190 | 17.47 | % | |||||||
Brent Crude Penultimate Financial June 2012 | 200 | 5,788,000 | 6.95 | % | ||||||||
Brent Crude June 2012 | 850 | 5,968,500 | 7.16 | % | ||||||||
Other Brent Crude May 2011 - December 2011 | 1,676 | 2,629,740 | 3.16 | % | ||||||||
Heating Oil November 2011 | 1,000 | 9,021,600 | 10.82 | % | ||||||||
Heating Oil January 2012 | 1,000 | 8,748,600 | 10.50 | % | ||||||||
LME Aluminum May 2011 | 40 | 135,000 | 0.16 | % | ||||||||
LME Aluminum June 2011 | 6,920 | 11,234,456 | 13.48 | % | ||||||||
Wheat July 2011 | 914 | 6,952,850 | 8.34 | % | ||||||||
Other Wheat May 2011 - December 2011 | 2,517 | 3,200,275 | 3.84 | % | ||||||||
WTI Crude June 2011 | 2,757 | 7,153,420 | 8.58 | % | ||||||||
WTI Crude July 2011 | 951 | 4,741,680 | 5.69 | % | ||||||||
WTI Crude December 2012 | 2,225 | 7,651,870 | 9.18 | % | ||||||||
WTI Crude December 2013 | 300 | 400,250 | 0.48 | % | ||||||||
Other commodity | 15,148,941 | 18.18 | % | |||||||||
Total futures | 103,331,372 | 123.99 | % | |||||||||
Swaps | ||||||||||||
Gasoline December 2011 | 27 | 7,917,750 | 9.50 | % | ||||||||
Total swaps | 7,917,750 | 9.50 | % |
Graham Commodity Strategies LLC (Delaware) | Graham Discretionary Energy Trading III LLC (Delaware) | Graham Fed Policy Ltd. (BVI) | Graham Global Monetary Policy LLC (Delaware) | Graham GMP Securities LLC (Delaware) | Graham K4D Trading Ltd. (BVI) | Graham Macro Directional LLC (Delaware) | Graham Short Term Global Macro LLC (Delaware) | |||||||||||||||||||||||||
Three Months Ended September 30, 2010 | ||||||||||||||||||||||||||||||||
Net investment income (loss) | $ | (1,462 | ) | $ | (63,926 | ) | $ | (3,721 | ) | $ | (28,436 | ) | $ | 486 | $ | (25,302 | ) | $ | 62,423 | $ | 723 | |||||||||||
Net realized gain (loss) on investments | (30,632,779 | ) | (8,157,907 | ) | 20,771,895 | 2,888,717 | (716,813 | ) | (9,520,923 | ) | 2,616,752 | 1,479,222 | ||||||||||||||||||||
Net increase (decrease) in appreciation on investments | 31,565,216 | 13,651,897 | 3,687,486 | 2,868,043 | (529,824 | ) | 68,863,324 | (2,464,404 | ) | 15,070 | ||||||||||||||||||||||
Brokerage commissions and fees | (1,347,849 | ) | (551,867 | ) | (544,081 | ) | (462,964 | ) | (538 | ) | (1,766,962 | ) | (361,528 | ) | (153,017 | ) | ||||||||||||||||
Net gain (loss) on investments | (415,412 | ) | 4,942,123 | 23,915,300 | 5,293,796 | (1,247,175 | ) | 57,575,439 | (209,180 | ) | 1,341,275 | |||||||||||||||||||||
Net income (loss) | $ | (416,874 | ) | $ | 4,878,197 | $ | 23,911,579 | $ | 5,265,360 | $ | (1,246,689 | ) | $ | 57,550,137 | $ | (146,757 | ) | $ | 1,341,998 |
Nine Months Ended September 30, 2010 | ||||||||||||||||||||||||||||||||
Net investment income (loss) | $ | (9,606 | ) | $ | (95,164 | ) | $ | (6,706 | ) | $ | (47,142 | ) | $ | (25,215 | ) | $ | (127,018 | ) | $ | (36,686 | ) | $ | 912 | |||||||||
Net realized gain (loss) on investments | (27,201,108 | ) | 618,331 | 12,832,214 | 95,303,646 | (4,743,412 | ) | (31,318,993 | ) | 17,533,873 | (3,686,155 | ) | ||||||||||||||||||||
Net increase (decrease) in appreciation on investments | 23,031,904 | 9,373,559 | 26,296,377 | 5,543,806 | 1,324,681 | 54,268,614 | (1,589,754 | ) | 1,941,696 | |||||||||||||||||||||||
Brokerage commissions and fees | (3,540,939 | ) | (1,066,971 | ) | (2,885,788 | ) | (1,618,332 | ) | (1,695 | ) | (4,773,158 | ) | (665,723 | ) | (285,325 | ) | ||||||||||||||||
Net gain (loss) on investments | (7,710,143 | ) | 8,924,919 | 36,242,803 | 99,229,120 | (3,420,426 | ) | 18,176,463 | 15,278,396 | (2,029,784 | ) | |||||||||||||||||||||
Net income (loss) | $ | (7,719,749 | ) | $ | 8,829,755 | $ | 36,236,097 | $ | 99,181,978 | $ | (3,445,641 | ) | $ | 18,049,445 | $ | 15,241,710 | $ | (2,028,872 | ) |
Description | Number of Contracts | Fair Value | Percentage of Net Assets of Master Fund | |||||||||
Graham Commodity Strategies LLC (continued) | ||||||||||||
Short contracts | ||||||||||||
Futures | ||||||||||||
Brent Crude Penultimate Financial December 2012 | (1,097 | ) | $ | (16,933,990 | ) | (20.32 | )% | |||||
Brent Crude Penultimate Financial June 2011 | (3 | ) | (115,320 | ) | (0.14 | )% | ||||||
Brent Crude Oil June 2011 | (847 | ) | (6,031,620 | ) | (7.24 | )% | ||||||
Other Brent Crude Oil December 2012 - December 2013 | (1,413 | ) | (1,964,360 | ) | (2.36 | )% | ||||||
Gas Oil June 2012 | (1,140 | ) | (7,275,650 | ) | (8.73 | )% | ||||||
Gas Oil December 2011 | (220 | ) | (267,850 | ) | (0.32 | )% | ||||||
Heating Oil December 2011 | (2,000 | ) | (17,728,200 | ) | (21.28 | )% | ||||||
Other Heating Oil May 2011 - June 2011 | (553 | ) | (89,002 | ) | (0.11 | )% | ||||||
LME Aluminum May 2011 | (40 | ) | (133,000 | ) | (0.16 | )% | ||||||
LME Aluminum June 2011 | (6,884 | ) | (13,336,656 | ) | (16.00 | )% | ||||||
WTI Crude May 2011 | (3,449 | ) | (8,891,490 | ) | (10.67 | )% | ||||||
WTI Crude December 2011 | (1,955 | ) | (6,916,940 | ) | (8.30 | )% | ||||||
Other commodity | (12,892,538 | ) | (15.46 | )% | ||||||||
Total futures | (92,576,616 | ) | (111.09 | )% | ||||||||
Swaps | ||||||||||||
Gasoline June 2012 | (27 | ) | (7,121,250 | ) | (8.54 | )% | ||||||
Total swaps | (7,121,250 | ) | (8.54 | )% | ||||||||
Total | $ | 11,551,256 | 13.86 | % |
Graham Commodity Strategies LLC (Delaware) | Graham Fed Policy Ltd. (BVI) | Graham Global Monetary Policy LLC (Delaware) | Graham K4D Trading Ltd. (BVI) | Graham Macro Directional LLC (Delaware) | ||||||||||||||||
Assets: | ||||||||||||||||||||
Cash and cash equivalents | $ | 1,000 | $ | 218 | $ | 661 | $ | 425 | $ | 644 | ||||||||||
Due from brokers | 9,338,086 | 15,446,856 | 4,369,612 | 99,865,289 | 1,504,495 | |||||||||||||||
Options, at fair value | - | 13,752,876 | 4,562,737 | - | - | |||||||||||||||
Derivative financial instruments, at fair value | 487,337 | 2,862,031 | 1,507,026 | 17,929,174 | 115,018 | |||||||||||||||
Subscriptions receivable | 1,288 | 9,630 | 4,169 | 4,331 | 2,017 | |||||||||||||||
Interest receivable | - | - | 105 | 293 | - | |||||||||||||||
Total assets | 9,827,711 | 32,071,611 | 10,444,310 | 117,799,512 | 1,622,174 | |||||||||||||||
Liabilities: | ||||||||||||||||||||
Options, at fair value | - | 9,228,344 | 1,568,611 | - | - | |||||||||||||||
Derivative financial instruments, at fair value | - | - | 186,163 | - | - | |||||||||||||||
Due to brokers | - | 48,333 | - | - | - | |||||||||||||||
Redemptions payable | 1,288 | 9,772 | 13,305 | 4,331 | 2,017 | |||||||||||||||
Total liabilities | 1,288 | 9,286,449 | 1,768,079 | 4,331 | 2,017 | |||||||||||||||
Net assets | $ | 9,826,423 | $ | 22,785,162 | $ | 8,676,231 | $ | 117,795,181 | $ | 1,620,157 | ||||||||||
Percentage of Master Fund held by the Fund | 7.77 | % | 11.63 | % | 9.97 | % | 9.95 | % | 12.85 | % |
Description | Number of Contracts | Fair Value | Percentage of Net Assets of Master Fund | |||||||||
Graham Discretionary Energy Trading III LLC | ||||||||||||
Long contracts | ||||||||||||
Futures | ||||||||||||
Brent Crude May 2011 - June 2012 | 2,453 | $ | 2,973,070 | 12.48 | % | |||||||
Globex Crude Oil June 2011 | 75 | 1,743,000 | 7.32 | % | ||||||||
Globex Crude Oil December 2011 | 500 | 11,505,000 | 48.31 | % | ||||||||
Globex RBOB Gasoline June 2011 | 675 | 12,729,150 | 53.46 | % | ||||||||
Heating Oil May 2011 | 600 | 5,061,706 | 21.25 | % | ||||||||
Heating Oil July 2011 | 500 | 7,610,459 | 31.96 | % | ||||||||
Heating Oil December 2012 | 801 | 1,665,917 | 7.00 | % | ||||||||
Heating Oil June 2011 | 504 | 586,496 | 2.46 | % | ||||||||
WTI Crude July 2011 | 500 | 3,960,000 | 16.63 | % | ||||||||
WTI Crude December 2011 | 250 | 1,737,100 | 7.29 | % | ||||||||
WTI Crude June 2011 | 1,202 | 3,692,180 | 15.51 | % | ||||||||
Other commodity | (298,939 | ) | (1.26 | )% | ||||||||
Total futures | 52,965,139 | 222.41 | % | |||||||||
Options | ||||||||||||
Crude Oil Future May 2011, $106.50 Put | 500 | 1,245,000 | 5.23 | % | ||||||||
Crude Oil Future May 2011, $95.00 Put | 1,800 | 270,000 | 1.13 | % | ||||||||
Crude Oil Future May 2011, $110.00 Call | 500 | 690,000 | 2.90 | % | ||||||||
Crude Oil Future Calendar Spread, July 2011 – December 2011, $0.10 - $1.00 Put | 24,000 | 6,350,000 | 26.66 | % | ||||||||
Natural Gas October 2011, $4.50 Call | 500 | 2,641,000 | 11.09 | % | ||||||||
Natural Gas May 2011, $4.50 Call | 500 | 598,000 | 2.51 | % | ||||||||
Total options | 11,794,000 | 49.52 | % | |||||||||
Swaps | ||||||||||||
Natural Gas April 2012 | 8,800 | 1,700,000 | 7.14 | % | ||||||||
Other Natural Gas November 2011 – January 2012 | 2,572 | �� | 398,430 | 1.67 | % | |||||||
Total swaps | 2,098,430 | 8.81 | % |
Graham Commodity Strategies LLC (Delaware) | Graham Fed Policy Ltd. (BVI) | Graham Global Macro Focus LLC * (Delaware) | Graham Global Monetary Policy LLC (Delaware) | Graham K4D Trading Ltd. (BVI) | Graham Macro Directional LLC (Delaware) | |||||||||||||||||||
Three Months Ended September 30, 2009 | ||||||||||||||||||||||||
Net investment income | $ | (5,961 | ) | $ | (1,528 | ) | $ | - | $ | (16,897 | ) | $ | (87,844 | ) | $ | (825 | ) | |||||||
Net realized gain (loss) on investments | (2,453,546 | ) | 3,332,452 | - | (10,548,829 | ) | 71,311,018 | (2,034,940 | ) | |||||||||||||||
Net increase (decrease) in appreciation on investments | (408,035 | ) | 14,092,262 | - | (6,155,522 | ) | 62,612,060 | 1,140,287 | ||||||||||||||||
Brokerage commissions and fees | (1,079,848 | ) | (312,748 | ) | - | (264,215 | ) | (2,462,705 | ) | (167,696 | ) | |||||||||||||
Net gain (loss) on investments | (3,941,429 | ) | 17,111,966 | - | (16,968,566 | ) | 131,460,373 | (1,062,349 | ) | |||||||||||||||
Net income (loss) | $ | (3,947,390 | ) | $ | 17,110,438 | $ | - | $ | (16,985,463 | ) | $ | 131,372,529 | $ | (1,063,174 | ) |
Nine Months Ended September 30, 2009 | ||||||||||||||||||||||||
Net investment income (loss) | $ | (7,355 | ) | $ | (7,197 | ) | $ | 33 | $ | (32,278 | ) | $ | (169,463 | ) | $ | (1,643 | ) | |||||||
Net realized gain (loss) on investments | (7,326,588 | ) | 90,236,041 | (299,050 | ) | 20,884,233 | (120,649 | ) | 4,112,183 | |||||||||||||||
Net increase (decrease) in appreciation on investments | 13,192,385 | (57,836,596 | ) | 299,050 | (6,246,402 | ) | 38,270,144 | 1,470,892 | ||||||||||||||||
Brokerage commissions and fees | (2,416,865 | ) | (1,027,152 | ) | - | (655,942 | ) | (5,377,799 | ) | (392,311 | ) | |||||||||||||
Net gain on investments | 3,448,932 | 31,372,293 | - | 13,981,889 | 32,771,696 | 5,190,764 | ||||||||||||||||||
Net income | $ | 3,441,577 | $ | 31,365,096 | $ | 33 | $ | 13,949,611 | $ | 32,602,233 | $ | 5,189,121 |
Description | Number of Contracts | Fair Value | Percentage of Net Assets of Master Fund | |||||||||
Graham Discretionary Energy Trading III LLC (continued) | ||||||||||||
Short contracts | ||||||||||||
Futures | ||||||||||||
Brent Crude September 2011 | (1,000 | ) | $ | (2,187,980 | ) | (9.19 | )% | |||||
Brent Crude December 2011 | (1,277 | ) | (3,481,320 | ) | (14.62 | )% | ||||||
Globex Heating Oil June 2011 | (750 | ) | (12,058,200 | ) | (50.63 | )% | ||||||
Heating Oil June 2012 | (801 | ) | (1,663,733 | ) | (6.99 | )% | ||||||
Other Heating Oil November 2011 - January 2012 | (800 | ) | (2,264,220 | ) | (9.51 | )% | ||||||
WTI Crude ICE December 2011 | (250 | ) | (2,037,500 | ) | (8.55 | )% | ||||||
WTI Crude ICE May 2011 – December 2012 | (731 | ) | (1,542,200 | ) | (6.48 | )% | ||||||
Other commodity | (353,677 | ) | (1.48 | )% | ||||||||
Total futures | (25,588,830 | ) | (107.45 | )% | ||||||||
Options | ||||||||||||
Commodity | (100,000 | ) | (0.42 | )% | ||||||||
Total options | (100,000 | ) | (0.42 | )% | ||||||||
Swaps | ||||||||||||
Natural Gas October 2011 | (11,048 | ) | (3,589,230 | ) | (15.07 | )% | ||||||
Total swaps | (3,589,230 | ) | (15.07 | )% | ||||||||
Total | $ | 37,579,509 | 157.80 | % |
Description | Number of Contracts | Fair Value | Percentage of Net Assets of Master Fund | |||||||||
Graham Energy Focus LLC | ||||||||||||
Long contracts | ||||||||||||
Futures | ||||||||||||
Natural Gas October 2011 - April 2013 | 1,861 | $ | 1,520,340 | 6.51 | % | |||||||
WTI Crude ICE May 2011 - December 2012 | 272 | 2,285,020 | 9.79 | % | ||||||||
Other commodity | 750,202 | 3.21 | % | |||||||||
Total futures | 4,555,562 | 19.51 | % | |||||||||
Options | ||||||||||||
Natural Gas October 2011, $4.50 Call | 400 | 2,112,800 | 9.05 | % | ||||||||
Natural Gas May 2011 - March 2012, $3.95 - $4.80 Call | 1,400 | 6,822,100 | 29.21 | % | ||||||||
Natural May 2011 - October 2012, $3.50 - $4.80 Put | 2,650 | 6,110,400 | 26.17 | % | ||||||||
Total options | 15,045,300 | 64.43 | % | |||||||||
Swaps | ||||||||||||
Natural Gas October 2011 | 3,445 | 1,237,600 | 5.30 | % | ||||||||
Natural Gas January 2012 | 7,454 | 1,636,500 | 7.01 | % | ||||||||
Natural Gas February 2012 | 1,740 | 1,199,585 | 5.14 | % | ||||||||
Other Natural Gas May 2011 - December 2013 | 8,791 | 3,350,173 | 14.34 | % | ||||||||
Total swaps | 7,423,858 | 31.79 | % | |||||||||
Short contracts | ||||||||||||
Futures | ||||||||||||
Natural Gas July 2011 | (1,868 | ) | (2,175,170 | ) | (9.31 | )% | ||||||
Natural Gas January 2012 | (2,629 | ) | (6,252,790 | ) | (26.78 | )% | ||||||
Other Natural Gas May 2011 - December 2012 | (932 | ) | (2,678,220 | ) | (11.46 | )% | ||||||
Other commodity | (1,792,483 | ) | (7.68 | )% | ||||||||
Total futures | (12,898,663 | ) | (55.23 | )% | ||||||||
Options | ||||||||||||
Natural Gas May 2011 - October 2011, $4.15 - $5.50 Call | (3,500 | ) | (4,287,050 | ) | (18.36 | )% | ||||||
Natural Gas May 2011 - March 2012, $4.00 - $4.25 Call | (1,350 | ) | (1,681,150 | ) | (7.20 | )% | ||||||
Other commodity | (30,000 | ) | (0.13 | )% | ||||||||
Total options | (5,998,200 | ) | (25.69 | )% | ||||||||
Swaps | ||||||||||||
Natural Gas November 2011 | (2,030 | ) | (1,968,250 | ) | (8.43 | )% | ||||||
Other Natural Gas May 2011 – December 2013 | (7,308 | ) | (791,705 | ) | (3.39 | )% | ||||||
Total swaps | (2,759,955 | ) | (11.82 | )% | ||||||||
Total | $ | 5,367,902 | 22.99 | % |
Description | Number of Contracts | Fair Value | Percentage of Net Assets of Master Fund | |||||||||
Graham Fed Policy Ltd. | ||||||||||||
Long contracts | ||||||||||||
Futures | ||||||||||||
30 Day Fed Fund August 2011 | 7,848 | $ | 2,528,619 | 5.61 | % | |||||||
Other 30 Day Fed Fund April 2011 - June 2012 | 26,317 | 7,071,462 | 15.67 | % | ||||||||
Total futures | 9,600,081 | 21.28 | % | |||||||||
Options | ||||||||||||
Eurodollar futures March 2012, $98.63 Put | 20,000 | 6,875,000 | 15.24 | % | ||||||||
Eurodollar futures March 2012, $99.38 Put | 20,000 | 18,625,000 | 41.29 | % | ||||||||
30 Day Fed Fund futures June 2011, $99.81 Call | 9,188 | 2,297,182 | 5.09 | % | ||||||||
30 Day Fed Fund futures April 2011 - December 2011, $99.75 - $99.81 Call | 57,419 | 11,396,904 | 25.26 | % | ||||||||
30 Day Fed Fund futures September 2011, $99.88 Put | 12,100 | 3,781,552 | 8.38 | % | ||||||||
30 Day Fed Fund futures April 2011 - October 2011, $99.75 - $99.88 Put | 26,335 | 3,100,613 | 6.87 | % | ||||||||
Total options | 46,076,251 | 102.13 | % | |||||||||
Short contracts | ||||||||||||
Futures | ||||||||||||
Interest rate | 517,895 | 1.15 | % | |||||||||
Total futures | 517,895 | 1.15 | % | |||||||||
Options | ||||||||||||
Eurodollar futures March 2012, $98.75 Put | (20,000 | ) | (8,125,000 | ) | (18.01 | )% | ||||||
Eurodollar futures March 2012, $99.25 Put | (20,000 | ) | (15,875,000 | ) | (35.19 | )% | ||||||
30 Day Fed Fund futures September 2011, $99.81 Put | (24,200 | ) | (4,033,655 | ) | (8.94 | )% | ||||||
30 Day Fed Fund futures April 2011 - December 2011, $99.88 - $99.94 Call | (139,812 | ) | (4,831,992 | ) | (10.71 | )% | ||||||
30 Day Fed Fund futures July 2011 - December 2011, $99.75 - $99.81 Put | (27,650 | ) | (3,361,206 | ) | (7.45 | )% | ||||||
Total options | (36,226,853 | ) | (80.30 | )% | ||||||||
Total | $ | 19,967,374 | 44.26 | % |
Description | Principal Amount | Fair Value | Percentage of Net Assets of Master Fund | ||||||
Graham Global Monetary Policy LLC | |||||||||
Long contracts | |||||||||
Futures | |||||||||
Commodity | $ | 1,613,130 | 4.48 | % | |||||
Interest rate | 1,172,679 | 3.26 | % | ||||||
Total futures | 2,785,809 | 7.74 | % | ||||||
Options | |||||||||
Commodity | 345,000 | 0.96 | % | ||||||
Foreign currency | 82,005 | 0.23 | % | ||||||
Total options | 427,005 | 1.19 | % | ||||||
Forwards | |||||||||
Chinese Yuan / U.S. Dollar 06/17/2011 | CNY 338,000,000 | 1,870,722 | 5.20 | % | |||||
Korean Won / U.S. Dollar 04/18/2011 | KRW 85,155,500,000 | 2,164,219 | 6.01 | % | |||||
Other foreign currency | 1,641,681 | 4.56 | % | ||||||
Total forwards | 5,676,622 | 15.77 | % | ||||||
Short contracts | |||||||||
Futures | |||||||||
U.S. bond | (323,187 | ) | (0.90 | )% | |||||
Foreign bond | 128,741 | 0.36 | % | ||||||
Commodity | (551,860 | ) | (1.53 | )% | |||||
Interest rate | (7,374 | ) | (0.02 | )% | |||||
Total futures | (753,680 | ) | (2.09 | )% | |||||
Options | |||||||||
Commodity | (50,000 | ) | (0.14 | )% | |||||
Total options | (50,000 | ) | (0.14 | )% | |||||
Forwards | |||||||||
Foreign currency | (3,941,113 | ) | (10.95 | )% | |||||
Total forwards | (3,941,113 | ) | (10.95 | )% | |||||
Total | $ | 4,144,643 | 11.52 | % |
Description | Principal Amount | Fair Value | Percentage of Net Assets of Master Fund | ||||||
Graham K4D Trading Ltd. | |||||||||
Long contracts | |||||||||
Futures | |||||||||
U.S. bond | $ | (1,693,870 | ) | (0.50 | )% | ||||
Foreign bond | 1,076,899 | 0.32 | % | ||||||
U.S. index | 8,356,229 | 2.46 | % | ||||||
Foreign index | 6,955,415 | 2.05 | % | ||||||
Commodity | 25,056,183 | 7.38 | % | ||||||
Interest rate | (958,759 | ) | (0.28 | )% | |||||
Currency | 4,703,445 | 1.39 | % | ||||||
Total futures | 43,495,452 | 12.82 | % | ||||||
Forwards | |||||||||
Australian Dollar / U.S. Dollar 04/20/11 | AUD 2,270,409,210 | 69,879,791 | 20.59 | % | |||||
Canadian Dollar / U.S. Dollar 04/20/11 | CAD 2,993,928,486 | 26,032,783 | 7.67 | % | |||||
Euro / Japanese Yen 04/20/11 | EUR 722,878,081 | 31,067,277 | 9.15 | % | |||||
Euro / U.S. Dollar 04/20/11 | EUR 2,425,359,120 | 44,098,568 | 12.99 | % | |||||
Japanese Yen / U.S. Dollar 04/20/11 | JPY 265,224,580,054 | (56,456,018 | ) | (16.63 | )% | ||||
New Zealand Dollar / U.S. Dollar 04/20/11 | NZD 848,309,198 | 21,101,112 | 6.22 | % | |||||
Other foreign currency | 82,745,920 | 24.38 | % | ||||||
Total forwards | 218,469,433 | 64.37 | % |
Description | Principal Amount | Fair Value | Percentage of Net Assets of Master Fund | ||||||
Graham K4D Trading Ltd. (continued) | |||||||||
Short contracts | |||||||||
Futures | |||||||||
U.S. bond | $ | 393,672 | 0.12 | % | |||||
Foreign bond | 12,829,370 | 3.77 | % | ||||||
Foreign index | (6,392,370 | ) | (1.88 | )% | |||||
Commodity | (4,114,279 | ) | (1.21 | )% | |||||
Interest rate | 5,053,667 | 1.49 | % | ||||||
Currency | 807,195 | 0.24 | % | ||||||
Total futures | 8,577,255 | 2.53 | % | ||||||
Forwards | |||||||||
Australian Dollar / U.S. Dollar 04/20/11 | AUD (1,943,684,931) | (62,352,863 | ) | (18.37 | )% | ||||
Canadian Dollar / U.S. Dollar 04/20/11 | CAD (2,566,882,066) | (33,800,932 | ) | (9.96 | )% | ||||
Euro / Japanese Yen 04/20/11 | EUR (644,173,895) | (29,021,433 | ) | (8.55 | )% | ||||
Euro / U.S. Dollar 04/20/11 | EUR (2,227,734,366) | (44,146,754 | ) | (13.01 | )% | ||||
Japanese Yen / U.S. Dollar 04/20/11 | JPY (255,219,960,505) | 54,118,737 | 15.95 | % | |||||
New Zealand Dollar / U.S. Dollar 04/20/11 | NZD (896,997,648) | (24,523,202 | ) | (7.23 | )% | ||||
Other foreign currency | (80,287,277 | ) | (23.66 | )% | |||||
Total forwards | (220,013,724 | ) | (64.83 | )% | |||||
Total | $ | 50,528,506 | 14.89 | % |
Description | Number of Contracts | Fair Value | Percentage of Net Assets of Master Fund | |||||||||
Graham Macro Directional LLC | ||||||||||||
Long contracts | ||||||||||||
Futures | ||||||||||||
Gold June 2011 | 150 | $ | 293,050 | 5.84 | % | |||||||
U.S. index | (37,500 | ) | (0.75 | )% | ||||||||
Total futures | 255,550 | 5.09 | % | |||||||||
Total | $ | 255,550 | 5.09 | % |
Graham Commodity Strategies LLC | Graham Discretionary Energy Trading III LLC | Graham Energy Focus LLC | Graham Fed Policy Ltd. | Graham Global Monetary Policy LLC | Graham K4D Trading Ltd. | Graham Macro Directional LLC | ||||||||||||||||||||||
Long Contracts | ||||||||||||||||||||||||||||
Level 1: | ||||||||||||||||||||||||||||
U.S. bond futures | $ | - | $ | - | $ | - | $ | - | $ | - | $ | (1,693,870 | ) | $ | - | |||||||||||||
Foreign bond futures | - | - | - | - | - | 1,076,899 | - | |||||||||||||||||||||
U.S. index futures | - | - | - | - | - | 8,356,229 | (37,500 | ) | ||||||||||||||||||||
Foreign index futures | - | - | - | - | - | 6,955,415 | - | |||||||||||||||||||||
Commodity futures | 103,331,372 | 52,965,139 | 4,555,562 | - | 1,613,130 | 25,056,183 | 293,050 | |||||||||||||||||||||
Commodity futures options | - | 11,794,000 | 15,045,300 | - | 345,000 | - | - | |||||||||||||||||||||
Commodity swaps | 7,917,750 | 2,098,430 | 7,423,858 | - | - | - | - | |||||||||||||||||||||
Interest rate futures | - | - | - | 9,600,081 | 1,172,679 | (958,759 | ) | - | ||||||||||||||||||||
Interest rate futures options | - | - | - | 46,076,251 | - | - | - | |||||||||||||||||||||
Currency futures | - | - | - | - | - | 4,703,445 | - | |||||||||||||||||||||
Total Level 1 | 111,249,122 | 66,857,569 | 27,024,720 | 55,676,332 | 3,130,809 | 43,495,542 | 255,550 | |||||||||||||||||||||
Level 2: | ||||||||||||||||||||||||||||
Foreign currency forwards | - | - | - | - | 5,676,622 | 218,469,433 | - | |||||||||||||||||||||
Foreign currency forwards options | - | - | - | - | 82,005 | - | - | |||||||||||||||||||||
Total Level 2 | - | - | - | - | 5,758,627 | 218,469,433 | - | |||||||||||||||||||||
Total long contracts | $ | 111,249,122 | $ | 66,857,569 | $ | 27,024,720 | $ | 55,676,332 | $ | 8,889,436 | $ | 261,964,975 | $ | 255,550 | ||||||||||||||
Short Contracts | �� | |||||||||||||||||||||||||||
Level 1: | ||||||||||||||||||||||||||||
U.S. bond futures | $ | - | $ | - | $ | - | $ | - | $ | (323,187 | ) | $ | 393,672 | $ | - | |||||||||||||
Foreign bond futures | - | - | - | - | 128,741 | 12,829,370 | - | |||||||||||||||||||||
Foreign index futures | - | - | - | - | - | (6,392,370 | ) | - | ||||||||||||||||||||
Commodity futures | (92,576,616 | ) | (25,588,830 | ) | (12,898,663 | ) | - | (551,860 | ) | (4,114,279 | ) | - | ||||||||||||||||
Commodity futures options | - | (100,000 | ) | (5,998,200 | ) | - | (50,000 | ) | - | - | ||||||||||||||||||
Commodity swaps | (7,121,250 | ) | (3,589,230 | ) | (2,759,955 | ) | - | - | - | - | ||||||||||||||||||
Interest rate futures | - | - | - | 517,895 | (7,374 | ) | 5,053,667 | - | ||||||||||||||||||||
Interest rate futures options | - | - | - | (36,226,853 | ) | - | - | - | ||||||||||||||||||||
Currency futures | - | - | - | - | - | 807,195 | - | |||||||||||||||||||||
Total Level 1 | (99,697,866 | ) | (29,278,060 | ) | (21,656,818 | ) | (35,708,958 | ) | (803,680 | ) | 8,577,255 | - | ||||||||||||||||
Level 2: | ||||||||||||||||||||||||||||
Foreign currency forwards | - | - | - | - | (3,941,113 | ) | (220,013,724 | ) | - | |||||||||||||||||||
Total Level 2 | - | - | - | - | (3,941,113 | ) | (220,013,724 | ) | - | |||||||||||||||||||
Total short contracts | $ | (99,697,866 | ) | $ | (29,278,060 | ) | $ | (21,656,818 | ) | $ | (35,708,958 | ) | $ | (4,744,793 | ) | $ | (211,436,469 | ) | $ | - |
Graham Commodity Strategies LLC | Graham Discretionary Energy Trading III LLC | Graham Fed Policy Ltd. | Graham Global Monetary Policy LLC | Graham GMP Securities LLC | Graham K4D Trading Ltd. | Graham Macro Directional LLC | Graham Short Term Global Macro LLC | |||||||||||||||||||||||||
Long Contracts | ||||||||||||||||||||||||||||||||
Level 1: | ||||||||||||||||||||||||||||||||
Commodity futures | $ | 88,030,528 | $ | 31,945,010 | $ | - | $ | 397,866 | $ | - | $ | 59,192,780 | $ | 382,600 | $ | - | ||||||||||||||||
Commodity futures options | - | 11,482,000 | - | - | - | - | - | - | ||||||||||||||||||||||||
Commodity swaps | 1,046,250 | (6,661,440 | ) | - | - | - | - | - | - | |||||||||||||||||||||||
Currency futures | - | - | - | - | - | 5,293,828 | - | - | ||||||||||||||||||||||||
Foreign bond futures | - | - | - | (614,299 | ) | - | 3,171,287 | - | - | |||||||||||||||||||||||
Foreign index futures | - | - | �� | - | (185,173 | ) | - | (9,271,591 | ) | - | - | |||||||||||||||||||||
Interest rate futures | - | - | 20,073,979 | - | - | 9,544,082 | - | - | ||||||||||||||||||||||||
Interest rate futures options | - | - | 29,243,476 | - | - | - | - | - | ||||||||||||||||||||||||
U.S. bond futures | - | - | - | 1,622,203 | - | 5,765,314 | (129,511 | ) | - | |||||||||||||||||||||||
U.S. bond futures options | - | - | - | 672,965 | - | - | - | - | ||||||||||||||||||||||||
U.S. index futures | - | - | - | (68,750 | ) | - | 11,745,619 | - | - | |||||||||||||||||||||||
Total Level 1 | 89,076,778 | 36,765,570 | 49,317,455 | 1,824,812 | - | 85,441,319 | 253,089 | - | ||||||||||||||||||||||||
Level 2: | ||||||||||||||||||||||||||||||||
Foreign currency forwards | - | - | - | 5,691,495 | - | 187,770,328 | (257,568 | ) | 2,189,985 | |||||||||||||||||||||||
Foreign currency forwards options | - | - | - | 225,466 | - | - | - | 31,249 | ||||||||||||||||||||||||
Total Level 2 | - | - | - | 5,916,961 | - | 187,770,328 | (257,568 | ) | 2,221,234 | |||||||||||||||||||||||
Total long contracts | $ | 89,076,778 | $ | 36,765,570 | $ | 49,317,455 | $ | 7,741,773 | $ | - | $ | 273,211,647 | $ | (4,479 | ) | $ | 2,221,234 | |||||||||||||||
Short Contracts | ||||||||||||||||||||||||||||||||
Level 1: | ||||||||||||||||||||||||||||||||
Commodity futures | $ | (62,782,708 | ) | $ | (24,245,466 | ) | $ | - | $ | 457,290 | $ | - | $ | (31,523,672 | ) | $ | - | $ | (1,990 | ) | ||||||||||||
Commodity swaps | (2,774,830 | ) | 3,668,800 | - | - | - | - | - | - | |||||||||||||||||||||||
Currency futures | - | - | - | - | - | 836,397 | - | - | ||||||||||||||||||||||||
Foreign bond futures | - | - | - | - | - | (665,490 | ) | - | - | |||||||||||||||||||||||
Foreign index futures | - | - | - | - | - | 1,782,400 | - | - | ||||||||||||||||||||||||
Interest rate futures | - | - | 105,925 | (1,607,212 | ) | - | (1,203,356 | ) | - | - | ||||||||||||||||||||||
Interest rate futures options | - | - | (11,370,356 | ) | - | - | - | - | - | |||||||||||||||||||||||
U.S. bond futures | - | - | - | (59,813 | ) | - | (741,000 | ) | - | - | ||||||||||||||||||||||
U.S. index futures | - | - | - | (135,450 | ) | - | (5,955,442 | ) | - | - | ||||||||||||||||||||||
Total Level 1 | (65,557,538 | ) | (20,576,666 | ) | (11,264,431 | ) | (1,345,185 | ) | - | (37,470,163 | ) | - | (1,990 | ) | ||||||||||||||||||
Level 2: | ||||||||||||||||||||||||||||||||
Foreign currency forwards | - | - | - | (1,913,881 | ) | - | (161,731,158 | ) | (45,356 | ) | (2,673,230 | ) | ||||||||||||||||||||
Interest rate swaps | - | - | - | - | (533,509 | ) | - | - | - | |||||||||||||||||||||||
Total Level 2 | - | - | - | (1,913,881 | ) | (533,509 | ) | (161,731,158 | ) | (45,356 | ) | (2,673,230 | ) | |||||||||||||||||||
Total short contracts | $ | (65,557,538 | ) | $ | (20,576,666 | ) | $ | (11,264,431 | ) | $ | (3,259,066 | ) | $ | (533,509 | ) | $ | (199,201,321 | ) | $ | (45,356 | ) | $ | (2,675,220 | ) |
Graham Commodity Strategies LLC | Graham Discretionary Energy Trading III LLC | |||||||||||||||||||||||||||||||||||||||||||||||
Long exposure | Short exposure | Long exposure | Short exposure | |||||||||||||||||||||||||||||||||||||||||||||
Notional amounts | Number of contracts | Notional amounts | Number of contracts | Derivative Assets | Derivative Liabilities | Notional amounts | Number of contracts | Notional amounts | Number of contracts | Derivative Assets | Derivative Liabilities | |||||||||||||||||||||||||||||||||||||
Commodity price | ||||||||||||||||||||||||||||||||||||||||||||||||
Futures | $ | 3,125,470,679 | 39,677 | $ | (2,776,326,546 | ) | (37,009 | ) | $ | 112,336,594 | $ | (101,581,838 | ) | $ | 1,095,037,792 | 37,955 | $ | (931,009,729 | ) | (9,460 | ) | $ | 56,270,758 | $ | (28,894,449 | ) | ||||||||||||||||||||||
Swaps | 26,777,250 | 27 | (26,514,000 | ) | (27 | ) | 7,917,750 | (7,121,250 | ) | 138,594,740 | 11,372 | (127,521,540 | ) | (11,048 | ) | 2,300,000 | (3,790,800 | ) | ||||||||||||||||||||||||||||||
3,152,247,929 | 39,704 | (2,802,840,546 | ) | (37,036 | ) | 120,254,344 | (108,703,088 | ) | 1,233,632,532 | 49,327 | (1,058,531,269 | ) | (20,508 | ) | 58,570,758 | (32,685,249 | ) | |||||||||||||||||||||||||||||||
Equity price | ||||||||||||||||||||||||||||||||||||||||||||||||
Futures | - | - | - | - | - | - | - | - | - | - | - | - | ||||||||||||||||||||||||||||||||||||
- | - | - | - | - | - | - | - | - | - | - | - | |||||||||||||||||||||||||||||||||||||
Foreign currency exchange rate | ||||||||||||||||||||||||||||||||||||||||||||||||
Futures | - | - | - | - | - | - | - | - | - | - | - | - | ||||||||||||||||||||||||||||||||||||
Forwards | - | - | - | - | - | - | - | - | - | - | - | - | ||||||||||||||||||||||||||||||||||||
- | - | - | - | - | - | - | - | - | - | - | - | |||||||||||||||||||||||||||||||||||||
Interest rate | ||||||||||||||||||||||||||||||||||||||||||||||||
Futures | - | - | - | - | - | - | - | - | - | - | - | - | ||||||||||||||||||||||||||||||||||||
- | - | - | - | - | - | - | - | - | - | - | - | |||||||||||||||||||||||||||||||||||||
Total | $ | 3,152,247,929 | 39,704 | $ | (2,802,840,546 | ) | (37,036 | ) | $ | 120,254,344 | $ | (108,703,088 | ) | $ | 1,233,632,532 | 49,327 | $ | (1,058,531,269 | ) | (20,508 | ) | $ | 58,570,758 | $ | (32,685,249 | ) | ||||||||||||||||||||||
Collateral balances supporting all derivative positions | $ | 71,788,618 | $ | (13,764,783 | ) |
Graham Energy Focus LLC | Graham Fed Policy Ltd. | |||||||||||||||||||||||||||||||||||||||||||||||
Long exposure | Short exposure | Long exposure | Short exposure | |||||||||||||||||||||||||||||||||||||||||||||
Notional amounts | Number of contracts | Notional amounts | Number of contracts | Derivative Assets | Derivative Liabilities | Notional amounts | Number of contracts | Notional amounts | Number of contracts | �� | Derivative Assets | Derivative Liabilities | ||||||||||||||||||||||||||||||||||||
Commodity price | ||||||||||||||||||||||||||||||||||||||||||||||||
Futures | $ | 186,982,608 | 10,116 | $ | (333,793,798 | ) | (11,913 | ) | $ | 4,893,505 | $ | (13,236,606 | ) | $ | - | - | $ | - | - | $ | - | $ | - | |||||||||||||||||||||||||
Swaps | 263,191,915 | 21,430 | (114,490,450 | ) | (9,338 | ) | 7,936,763 | (3,272,860 | ) | - | - | - | - | - | - | |||||||||||||||||||||||||||||||||
450,174,523 | 31,546 | (448,284,248 | ) | (21,251 | ) | 12,830,268 | (16,509,466 | ) | - | - | - | - | - | - | ||||||||||||||||||||||||||||||||||
Equity price | ||||||||||||||||||||||||||||||||||||||||||||||||
Futures | - | - | - | - | - | - | - | - | - | - | - | - | ||||||||||||||||||||||||||||||||||||
- | - | - | - | - | - | - | - | - | - | - | - | |||||||||||||||||||||||||||||||||||||
Foreign currency exchange rate | ||||||||||||||||||||||||||||||||||||||||||||||||
Futures | - | - | - | - | - | - | - | - | - | - | - | - | ||||||||||||||||||||||||||||||||||||
Forwards | - | - | - | - | - | - | - | - | - | - | - | - | ||||||||||||||||||||||||||||||||||||
- | - | - | - | - | - | - | - | - | - | - | - | |||||||||||||||||||||||||||||||||||||
Interest rate | ||||||||||||||||||||||||||||||||||||||||||||||||
Futures | - | - | - | - | - | - | 14,213,286,597 | 34,165 | (713,690,966 | ) | (1,722 | ) | 10,466,254 | (348,278 | ) | |||||||||||||||||||||||||||||||||
- | - | - | - | - | - | 14,213,286,597 | 34,165 | (713,690,966 | ) | (1,722 | ) | 10,466,254 | (348,278 | ) | ||||||||||||||||||||||||||||||||||
Total | $ | 450,174,523 | 31,546 | $ | (448,284,248 | ) | (21,251 | ) | $ | 12,830,268 | $ | (16,509,466 | ) | $ | 14,213,286,597 | 34,165 | $ | (713,690,966 | ) | (1,722 | ) | $ | 10,466,254 | $ | (348,278 | ) | ||||||||||||||||||||||
Collateral balances supporting all derivative positions | $ | 17,984,242 | $ | 25,147,965 |
Graham Global Monetary Policy LLC | Graham K4D Trading Ltd. | |||||||||||||||||||||||||||||||||||||||||||||||
Long exposure | Short exposure | Long exposure | Short exposure | |||||||||||||||||||||||||||||||||||||||||||||
Notional amounts | Number of contracts | Notional amounts | Number of contracts | Derivative Assets | Derivative Liabilities | Notional amounts | Number of contracts | Notional amounts | Number of contracts | Derivative Assets | Derivative Liabilities | |||||||||||||||||||||||||||||||||||||
Commodity price | ||||||||||||||||||||||||||||||||||||||||||||||||
Futures | $ | 103,187,500 | 1,700 | $ | (54,108,000 | ) | (1,450 | ) | $ | 1,761,270 | $ | (700,000 | ) | $ | 1,216,608,649 | 14,239 | $ | (237,850,835 | ) | (3,751 | ) | $ | 33,002,810 | $ | (12,060,906 | ) | ||||||||||||||||||||||
103,187,500 | 1,700 | (54,108,000 | ) | (1,450 | ) | 1,761,270 | (700,000 | ) | 1,216,608,649 | 14,239 | (237,850,835 | ) | (3,751 | ) | 33,002,810 | (12,060,906 | ) | |||||||||||||||||||||||||||||||
Equity price | �� | |||||||||||||||||||||||||||||||||||||||||||||||
Futures | - | - | - | - | - | - | 780,831,862 | 11,792 | (174,585,658 | ) | (1,691 | ) | 17,713,871 | (8,794,597 | ) | |||||||||||||||||||||||||||||||||
- | - | - | - | - | - | 780,831,862 | 11,792 | (174,585,658 | ) | (1,691 | ) | 17,713,871 | (8,794,597 | ) | ||||||||||||||||||||||||||||||||||
Foreign currency exchange rate | ||||||||||||||||||||||||||||||||||||||||||||||||
Futures | - | - | - | - | - | - | 305,790,215 | 2,727 | (221,066,583 | ) | (2,632 | ) | 6,391,645 | (881,005 | ) | |||||||||||||||||||||||||||||||||
Forwards | 1,931,095 | - | (1,679,020 | ) | - | 2,199,243 | (463,734 | ) | 64,401,562 | - | (62,576,740 | ) | - | 61,240,470 | (62,784,761 | ) | ||||||||||||||||||||||||||||||||
1,931,095 | - | (1,679,020 | ) | - | 2,199,243 | (463,734 | ) | 370,191,777 | 2,727 | (283,643,323 | ) | (2,632 | ) | 67,632,115 | (63,665,766 | ) | ||||||||||||||||||||||||||||||||
Interest rate | ||||||||||||||||||||||||||||||||||||||||||||||||
Futures | 1,246,474,710 | 3,000 | (2,054,868,630 | ) | (9,804 | ) | 1,692,294 | (721,435 | ) | 6,684,174,178 | 25,793 | (12,480,888,254 | ) | (48,233 | ) | 23,293,117 | (6,592,138 | ) | ||||||||||||||||||||||||||||||
1,246,474,710 | 3,000 | (2,054,868,630 | ) | (9,804 | ) | 1,692,294 | (721,435 | ) | 6,684,174,178 | 25,793 | (12,480,888,254 | ) | (48,233 | ) | 23,293,117 | (6,592,138 | ) | |||||||||||||||||||||||||||||||
Total | $ | 1,351,593,305 | 4,700 | $ | (2,110,655,650 | ) | (11,254 | ) | $ | 5,652,807 | $ | (1,885,169 | ) | $ | 9,051,806,466 | 54,551 | $ | (13,176,968,070 | ) | (56,307 | ) | $ | 141,641,913 | $ | (91,113,407 | ) | ||||||||||||||||||||||
Collateral balances supporting all derivative positions | $ | 31,843,292 | $ | 288,833,860 |
Graham Macro Directional LLC | ||||||||||||||||||||||||
Long exposure | Short exposure | |||||||||||||||||||||||
Notional amounts | Number of contracts | Notional amounts | Number of contracts | Derivative Assets | Derivative Liabilities | |||||||||||||||||||
Commodity price | ||||||||||||||||||||||||
Futures | $ | 21,598,500 | 150 | $ | - | - | $ | 293,050 | $ | - | ||||||||||||||
21,598,500 | 150 | - | - | 293,050 | - | |||||||||||||||||||
Equity price | ||||||||||||||||||||||||
Futures | 19,815,000 | 300 | - | - | - | (37,500 | ) | |||||||||||||||||
19,815,000 | 300 | - | - | - | (37,500 | ) | ||||||||||||||||||
Foreign currency exchange rate | ||||||||||||||||||||||||
Futures | - | - | - | - | - | - | ||||||||||||||||||
Forwards | - | - | - | - | - | - | ||||||||||||||||||
- | - | - | - | - | - | |||||||||||||||||||
Interest rate | ||||||||||||||||||||||||
Futures | - | - | - | - | - | - | ||||||||||||||||||
- | - | - | - | - | - | |||||||||||||||||||
Total | $ | 41,413,500 | 450 | $ | - | - | $ | 293,050 | $ | (37,500 | ) | |||||||||||||
Collateral balances supporting all derivative positions | $ | 4,762,663 |
Graham Commodity Strategies LLC (Delaware) | Graham Discretionary Energy Trading III LLC (Delaware) | Graham Energy Focus LLC (Delaware) | Graham Fed Policy Ltd. (BVI) | Graham Global Monetary Policy LLC (Delaware) | Graham K4D Trading Ltd. (BVI) | Graham Macro Directional LLC (Delaware) | Graham Short Term Global Macro LLC (Delaware) | |||||||||||||||||||||||||
Net investment income (loss) | $ | (4,480 | ) | $ | 968 | $ | (8,821 | ) | $ | (1,120 | ) | $ | (28,130 | ) | $ | (83,866 | ) | $ | (557 | ) | $ | 1,186 | ||||||||||
Net realized gain (loss) on investments | 70,342,613 | 561,787 | (3,932,204 | ) | 15,588,830 | 20,968,150 | (47,163,832 | ) | (21,781,890 | ) | 3,960,455 | |||||||||||||||||||||
Net increase (decrease) in appreciation on investments | (25,420,622 | ) | 3,834,874 | (2,102,378 | ) | (1,353,759 | ) | 3,743,874 | 5,253,462 | 279,691 | (1,898,136 | ) | ||||||||||||||||||||
Brokerage commissions and fees | (1,833,702 | ) | (850,714 | ) | (386,480 | ) | (584,561 | ) | (713,576 | ) | (3,291,928 | ) | (318,998 | ) | (548,562 | ) | ||||||||||||||||
Net gain (loss) on investments | 43,088,289 | 3,545,947 | (6,421,062 | ) | 13,650,510 | 23,998,448 | (45,202,298 | ) | (21,821,197 | ) | 1,513,757 | |||||||||||||||||||||
Net income (loss) | $ | 43,083,809 | $ | 3,546,915 | $ | (6,429,883 | ) | $ | 13,649,390 | $ | 23,970,318 | $ | (45,286,164 | ) | $ | (21,821,754 | ) | $ | 1,514,943 |
Graham Commodity Strategies LLC | Graham Discretionary Energy Trading III LLC | Graham Energy Focus LLC | Graham Fed Policy Ltd. | Graham Global Monetary Policy LLC | Graham K4D Trading Ltd. | Graham Macro Directional LLC | Graham Short Term Global Macro LLC | |||||||||||||||||||||||||
Commodity price | ||||||||||||||||||||||||||||||||
Futures | $ | 44,631,741 | $ | 7,266,514 | $ | (11,350,526 | ) | $ | 9,566,143 | $ | 5,797,601 | $ | 44,811,512 | $ | (634,480 | ) | $ | 3,852,769 | ||||||||||||||
Options | - | (3,803,688 | ) | 3,005,179 | - | 207,880 | - | - | (223,490 | ) | ||||||||||||||||||||||
Swaps | 290,250 | 933,835 | 2,310,765 | - | - | - | - | - | ||||||||||||||||||||||||
44,921,991 | 4,396,661 | (6,034,582 | ) | 9,566,143 | 6,005,481 | 44,811,512 | (634,480 | ) | 3,629,279 | |||||||||||||||||||||||
Equity price | ||||||||||||||||||||||||||||||||
Futures | - | - | - | - | (4,947,186 | ) | (40,301,211 | ) | (301,661 | ) | 1,134,945 | |||||||||||||||||||||
Options | - | - | - | - | - | - | - | (427,187 | ) | |||||||||||||||||||||||
- | - | - | - | (4,947,186 | ) | (40,301,211 | ) | (301,661 | ) | 707,758 | ||||||||||||||||||||||
Foreign currency exchange rate | ||||||||||||||||||||||||||||||||
Futures | - | - | - | - | - | (5,461,945 | ) | - | - | |||||||||||||||||||||||
Forwards | - | - | - | - | 41,508,124 | (24,055,983 | ) | (12,277,803 | ) | 5,706,028 | ||||||||||||||||||||||
Options | - | - | - | - | (12,578,583 | ) | - | - | (7,400,670 | ) | ||||||||||||||||||||||
- | - | - | - | 28,929,541 | (29,517,928 | ) | (12,277,803 | ) | (1,694,642 | ) | ||||||||||||||||||||||
Interest rate | ||||||||||||||||||||||||||||||||
Bonds | - | - | - | - | - | - | - | - | ||||||||||||||||||||||||
Futures | - | - | - | 7,646,707 | (4,830,499 | ) | (16,902,743 | ) | (8,288,255 | ) | (580,076 | ) | ||||||||||||||||||||
Options | - | - | - | (2,977,779 | ) | (445,313 | ) | - | - | - | ||||||||||||||||||||||
- | - | - | 4,668,928 | (5,275,812 | ) | (16,902,743 | ) | (8,288,255 | ) | (580,076 | ) | |||||||||||||||||||||
Total | $ | 44,921,991 | $ | 4,396,661 | $ | (6,034,582 | ) | $ | 14,235,071 | $ | 24,712,024 | $ | (41,910,370 | ) | $ | (21,502,199 | ) | $ | 2,062,319 |
Graham Commodity Strategies LLC (Delaware) | Graham Discretionary Energy Trading III LLC (Delaware) | Graham Fed Policy Ltd. (BVI) | Graham Global Monetary Policy LLC (Delaware) | Graham K4D Trading Ltd. (BVI) | Graham Macro Directional LLC (Delaware) | Graham Short Term Global Macro LLC (Delaware) | ||||||||||||||||||||||
Assets: | ||||||||||||||||||||||||||||
Due from brokers | $ | 14,527,187 | $ | - | $ | 23,563,039 | $ | 42,869,239 | $ | 135,887,098 | $ | 1,286,040 | $ | 246,023 | ||||||||||||||
Options, at fair value | - | 2,165,000 | 15,955,481 | 603,151 | - | - | 47,256 | |||||||||||||||||||||
Derivative financial instruments, at fair value | 36,971,878 | 16,379,776 | 11,613,647 | - | 45,743,328 | 173,923 | - | |||||||||||||||||||||
Subscriptions receivable | - | - | 1,739 | 340 | - | - | - | |||||||||||||||||||||
Interest receivable | - | - | - | 3,056 | 9,100 | 113 | - | |||||||||||||||||||||
Total assets | 51,499,065 | 18,544,776 | 51,133,906 | 43,475,786 | 181,639,526 | 1,460,076 | 293,279 | |||||||||||||||||||||
Liabilities: | ||||||||||||||||||||||||||||
Options, at fair value | - | 182,500 | 3,958,218 | - | - | - | - | |||||||||||||||||||||
Derivative financial instruments, at fair value | - | - | - | 3,185,389 | - | - | 105,751 | |||||||||||||||||||||
Due to brokers | - | 6,241,250 | - | 530,100 | - | - | 41,070 | |||||||||||||||||||||
Redemptions payable | - | - | - | 220 | - | - | - | |||||||||||||||||||||
Total liabilities | - | 6,423,750 | 3,958,218 | 3,715,709 | - | - | 146,821 | |||||||||||||||||||||
Net assets | $ | 51,499,065 | $ | 12,121,026 | $ | 47,175,688 | $ | 39,760,077 | $ | 181,639,526 | $ | 1,460,076 | $ | 146,458 | ||||||||||||||
Percentage of Master Fund held by the Fund | 14.76 | % | 13.95 | % | 14.22 | % | 8.97 | % | 13.23 | % | 18.38 | % | 28.67 | % |
Description | Number of Contracts | Fair Value | Percentage of Net Assets of Master Fund | |||||||||
Graham Commodity Strategies LLC | ||||||||||||
Long contracts | ||||||||||||
Futures | ||||||||||||
Brent Crude Penultimate Financial December 2011 | 1,095 | $ | 14,633,650 | 28.42 | % | |||||||
Brent Crude Penultimate Financial June 2012 | 200 | 2,036,000 | 3.95 | % | ||||||||
Other Brent Crude December 2011 - June 2011 | 1,277 | 3,601,460 | 6.99 | % | ||||||||
Coffee March 2011 | 396 | 4,360,950 | 8.47 | % | ||||||||
Corn July 2011 | 3,991 | 18,055,400 | 35.06 | % | ||||||||
Corn December 2011 | 48 | 153,788 | 0.30 | % | ||||||||
Heating Oil March 2011 | 527 | 5,647,421 | 10.97 | % | ||||||||
Other Heating Oil February 2011 - June 2011 | 397 | 264,810 | 0.51 | % | ||||||||
LME Aluminum March 2011 | 1,590 | 2,988,131 | 5.80 | % | ||||||||
LME Aluminum January 2011 | 723 | 2,143,550 | 4.16 | % | ||||||||
LME Copper January 2011 | 172 | 2,952,825 | 5.73 | % | ||||||||
LME Copper March 2011 | 359 | 2,598,425 | 5.05 | % | ||||||||
LME Lead January 2011 | 511 | 3,757,844 | 7.30 | % | ||||||||
LME Lead March 2011 | 315 | 641,800 | 1.25 | % | ||||||||
LME Zinc March 2011 | 1,566 | 4,704,131 | 9.13 | % | ||||||||
LME Zinc January 2011 | 633 | 2,228,906 | 4.33 | % | ||||||||
Soybean July 2011 | 613 | 4,537,487 | 8.81 | % | ||||||||
Soybean November 2011 | 102 | 280,350 | 0.54 | % | ||||||||
Wheat July 2011 | 1,414 | 7,393,413 | 14.36 | % | ||||||||
Wheat March 2011 | 1,044 | 5,075,512 | 9.86 | % | ||||||||
Other Wheat May 2011 - December 2011 | 1,676 | 4,151,525 | 8.06 | % | ||||||||
WTI Crude April 2011 | 2,180 | 4,866,480 | 9.45 | % | ||||||||
WTI Crude December 2012 | 2,529 | 18,709,570 | 36.33 | % | ||||||||
Other commodity | 10,047,962 | 19.51 | % | |||||||||
Total futures | 125,831,390 | 244.34 | % |
Description | Number of Contracts | Fair Value | Percentage of Net Assets of Master Fund | |||||||||
Graham Commodity Strategies LLC (continued) | ||||||||||||
Short contracts | ||||||||||||
Futures | ||||||||||||
Brent Crude Penultimate Financial December 2012 | (1,295 | ) | $ | (13,292,950 | ) | (25.81 | )% | |||||
Brent Crude Penultimate Financial June 2011 | (3 | ) | (49,020 | ) | (0.10 | )% | ||||||
Brent Crude December 2012 | (1,143 | ) | (5,592,330 | ) | (10.86 | )% | ||||||
Coffee May 2011 | (338 | ) | (4,695,019 | ) | (9.12 | )% | ||||||
Corn March 2011 | (3,625 | ) | (9,012,475 | ) | (17.50 | )% | ||||||
Gas Oil March 2011 | (646 | ) | (3,626,950 | ) | (7.04 | )% | ||||||
Gas Oil January 2011 - June 2012 | (53 | ) | (108,375 | ) | (0.22 | )% | ||||||
LME Aluminum January 2011 - March 2011 | (2,207 | ) | (3,806,831 | ) | (7.39 | )% | ||||||
LME Copper January 2011 | (173 | ) | (2,962,525 | ) | (5.75 | )% | ||||||
LME Copper March 2011 | (327 | ) | (2,328,450 | ) | (4.52 | )% | ||||||
LME Lead January 2011 - March 2011 | (826 | ) | (3,205,319 | ) | (6.22 | )% | ||||||
LME Zinc January 2011 | (634 | ) | (4,078,794 | ) | (7.92 | )% | ||||||
LME Zinc March 2011 | (1,494 | ) | (5,237,125 | ) | (10.17 | )% | ||||||
Wheat July 2011 | (2,459 | ) | (5,308,537 | ) | (10.31 | )% | ||||||
Wheat March 2011 | (688 | ) | (4,981,550 | ) | (9.67 | )% | ||||||
Wheat May 2011 | (795 | ) | (849,025 | ) | (1.65 | )% | ||||||
WTI Crude February 2011 | (2,758 | ) | (5,155,560 | ) | (10.01 | )% | ||||||
WTI Crude December 2011 | (1,829 | ) | (7,981,680 | ) | (15.50 | )% | ||||||
Other commodity | (6,586,997 | ) | (12.79 | )% | ||||||||
Total futures | (88,859,512 | ) | (172.55 | )% | ||||||||
Total | $ | 36,971,878 | 71.79 | % |
Description | Number of Contracts | Fair Value | Percentage of Net Assets of Master Fund | |||||||||
Graham Discretionary Energy Trading III LLC | ||||||||||||
Long contracts | ||||||||||||
Futures | ||||||||||||
Brent Crude February 2011 | 330 | $ | 977,500 | 8.07 | % | |||||||
Brent Crude April 2011 | 330 | 974,400 | 8.04 | % | ||||||||
Gasoline RBOB February 2011 – June 2011 | 1,025 | 7,896,193 | 65.14 | % | ||||||||
Globex RBOB Gasoline June 2011 | 475 | 2,643,060 | 21.81 | % | ||||||||
Globex Crude Oil June 2011 | 75 | 733,500 | 6.05 | % | ||||||||
Globex Crude Oil December 2011 | 500 | 4,600,000 | 37.95 | % | ||||||||
Heating Oil December 2011 | 1,650 | 14,407,478 | 118.86 | % | ||||||||
Heating Oil August 2011 | 500 | 412,012 | 3.40 | % | ||||||||
Natural Gas October 2011 | 721 | 1,138,980 | 9.40 | % | ||||||||
Other commodity | 594,381 | 4.90 | % | |||||||||
Total futures | 34,377,504 | 283.62 | % | |||||||||
Options | ||||||||||||
Crude Oil Future April 2011, $100.00 Call | 500 | 1,010,000 | 8.33 | % | ||||||||
Crude Oil Future, February 2011 - March 2011 $(0.50) - $85.00 Put | 3,450 | 1,155,000 | 9.53 | % | ||||||||
Total options | 2,165,000 | 17.86 | % | |||||||||
Swaps | ||||||||||||
Natural Gas Swap April 2011 | 4,540 | 1,872,750 | 15.45 | % | ||||||||
Natural Gas Swap October 2011 | 2,124 | 933,360 | 7.70 | % | ||||||||
Natural Gas Swap November 2011 | 2,000 | 950,000 | 7.84 | % | ||||||||
Total swaps | 3,756,110 | 30.99 | % |
Description | Number of Contracts | Fair Value | Percentage of Net Assets of Master Fund | |||||||||
Graham Discretionary Energy Trading III LLC (continued) | ||||||||||||
Short contracts | ||||||||||||
Futures | ||||||||||||
Brent Crude March 2011 | (660 | ) | $ | (1,900,100 | ) | (15.68 | )% | |||||
Globex Heat Oil June 2011 | (550 | ) | (2,936,850 | ) | (24.23 | )% | ||||||
Heating Oil June 2011 | (1,325 | ) | (5,756,297 | ) | (47.49 | )% | ||||||
Heating Oil July 2011 | (1,000 | ) | (836,611 | ) | (6.90 | )% | ||||||
Heating Oil June 2012 | (75 | ) | (239,350 | ) | (1.97 | )% | ||||||
Natural Gas April 2011 | (1,135 | ) | (1,872,750 | ) | (15.45 | )% | ||||||
Natural Gas November 2011 | (500 | ) | (840,220 | ) | (6.93 | )% | ||||||
Natural Gas January 2012 - April 2012 | (302 | ) | (314,660 | ) | (2.60 | )% | ||||||
WTI Crude June 2011 | (775 | ) | (4,299,500 | ) | (35.47 | )% | ||||||
WTI Crude December 2011 | (500 | ) | (976,750 | ) | (8.06 | )% | ||||||
WTI Crude April 2011 | (125 | ) | (363,750 | ) | (3.00 | )% | ||||||
Total futures | (20,336,838 | ) | (167.78 | )% | ||||||||
Options | ||||||||||||
Commodity | (182,500 | ) | (1.51 | )% | ||||||||
Total options | (182,500 | ) | (1.51 | )% | ||||||||
Swaps | ||||||||||||
Natural Gas Swap January 2012 | (1,800 | ) | (837,000 | ) | (6.91 | )% | ||||||
Natural Gas Swap April 2012 | (2,000 | ) | (580,000 | ) | (4.78 | )% | ||||||
Total swaps | (1,417,000 | ) | (11.69 | )% | ||||||||
Total | $ | 18,362,276 | 151.49 | % |
Description | Number of Contracts | Fair Value | Percentage of Net Assets of Master Fund | |||||||||
Graham Fed Policy Ltd. | ||||||||||||
Long contracts | ||||||||||||
Futures | ||||||||||||
30 Day Fed Fund February 2011 | 4,831 | $ | 2,646,031 | 5.61 | % | |||||||
Other 30 Day Fed Fund January 2011 - June 2012 | 50,026 | 8,927,649 | 18.92 | % | ||||||||
Total futures | 11,573,680 | 24.53 | % | |||||||||
Options | ||||||||||||
30 Day Fed Fund futures February 2011, $99.75 Call | 11,350 | 3,310,682 | 7.02 | % | ||||||||
Other 30 Day Fed Fund futures January 2011 - December 2011, $99.69 - $99.81 Call | 74,106 | 11,797,652 | 25.01 | % | ||||||||
30 Day Fed Fund futures January 2011 - February 2011, $99.63 - $99.75 Put | 30,823 | 409,647 | 0.87 | % | ||||||||
Other interest rate futures | 437,500 | 0.93 | % | |||||||||
Total options | 15,955,481 | 33.83 | % | |||||||||
Short contracts | ||||||||||||
Futures | ||||||||||||
30 Day Fed Fund December 2010 - July 2012 | (2,849 | ) | 39,967 | 0.08 | % | |||||||
Total futures | 39,967 | 0.08 | % | |||||||||
Options | ||||||||||||
30 Day Fed Fund futures January 2011 - December 2011, $99.81 - $99.94 Call | (178,751 | ) | (3,833,213 | ) | (8.13 | )% | ||||||
30 Day Fed Fund futures January 2011, $99.69 Put | (6,000 | ) | (62,505 | ) | (0.13 | )% | ||||||
Other interest rate futures | (62,500 | ) | (0.13 | )% | ||||||||
Total options | (3,958,218 | ) | (8.39 | )% | ||||||||
Total | $ | 23,610,910 | 50.05 | % |
Description | Number of Contracts / Principal Amount | Fair Value | Percentage of Net Assets of Master Fund | ||||||
Graham Global Monetary Policy LLC | |||||||||
Long contracts | |||||||||
Futures | |||||||||
Commodity | $ | 833,980 | 2.10 | % | |||||
Interest rate | 1,570,955 | 3.95 | % | ||||||
Total futures | 2,404,935 | 6.05 | % | ||||||
Options | |||||||||
Foreign currency | 603,151 | 1.52 | % | ||||||
Total options | 603,151 | 1.52 | % | ||||||
Forwards | |||||||||
Japanese Yen / U.S. Dollar 01/04/11 | JPY 35,703,594,900 | 2,677,452 | 6.73 | % | |||||
Japanese Yen / U.S. Dollar 01/05/11 | JPY 34,708,122,000 | 2,429,135 | 6.11 | % | |||||
Chinese Yuan / U.S. Dollar 06/17/11 - 06/27/11 | CNY 471,400,000 | 2,318,175 | 5.83 | % | |||||
Australian Dollar / U.S. Dollar 01/04/11 - 01/05/11 | AUD 550,000,000 | 3,850,775 | 9.68 | % | |||||
Other foreign currency | (474,653 | ) | (1.19 | )% | |||||
Total forwards | 10,800,884 | 27.16 | % | ||||||
Short contracts | |||||||||
Futures | |||||||||
Euroswiss March 2011 | (7,500) | (2,070,419 | ) | (5.21 | )% | ||||
Other interest rate | (1,009,594 | ) | (2.53 | )% | |||||
U.S. bond | (37,016 | ) | (0.09 | )% | |||||
Foreign bond | 641,195 | 1.61 | % | ||||||
Commodity | (770,200 | ) | (1.94 | )% | |||||
Total futures | (3,246,034 | ) | (8.16 | )% | |||||
Forwards | |||||||||
Australian Dollar / U.S. Dollar 01/04/11 | AUD (450,000,000) | (3,909,044 | ) | (9.83 | )% | ||||
Other Australian Dollar / U.S. Dollar 01/05/11 | AUD (115,000,000) | (192,228 | ) | (0.48 | )% | ||||
Japanese Yen / U.S. Dollar 01/04/11 | JPY (35,868,141,100) | (4,709,285 | ) | (11.84 | )% | ||||
Other Japanese Yen / U.S. Dollar 01/05/11 | JPY (40,735,192,000) | (1,652,261 | ) | (4.16 | )% | ||||
Other foreign currency | (2,682,356 | ) | (6.75 | )% | |||||
Total forwards | (13,145,174 | ) | (33.06 | )% | |||||
Total | $ | (2,582,238 | ) | (6.49 | )% |
Description | Principal Amount | Fair Value | Percentage of Net Assets of Master Fund | ||||||
Graham K4D Trading Ltd. | |||||||||
Long contracts | |||||||||
Futures | |||||||||
U.S. bond | $ | 237,741 | 0.13 | % | |||||
Foreign bond | 1,053,653 | 0.58 | % | ||||||
U.S. index | 3,010,100 | 1.66 | % | ||||||
Foreign index | (3,683,508 | ) | (2.03 | )% | |||||
Commodity | 31,911,445 | 17.57 | % | ||||||
Interest rate | 325,182 | 0.18 | % | ||||||
Currency | 4,536,916 | 2.50 | % | ||||||
Total futures | 37,391,529 | 20.59 | % | ||||||
Forwards | |||||||||
Japanese Yen / U.S. Dollar 01/19/11 | JPY 43,988,617,100 | 11,186,032 | 6.16 | % | |||||
Other Japanese Yen / U.S. Dollar 1/04/11 - 1/05/11 | JPY 14,270,122,339 | 796,715 | 0.44 | % | |||||
Swiss Franc / U.S. Dollar 01/19/11 | CHF 491,922,158 | 17,376,713 | 9.57 | % | |||||
Other foreign currency | 28,092,524 | 15.46 | % | ||||||
Total forwards | 57,451,984 | 31.63 | % |
Description | Principal Amount | Fair Value | Percentage of Net Assets of Master Fund | ||||||
Graham K4D Trading Ltd. (continued) | |||||||||
Short contracts | |||||||||
Futures | |||||||||
U.S. bond | $ | (1,546,794 | ) | (0.85 | )% | ||||
Foreign bond | (540,937 | ) | (0.30 | )% | |||||
Foreign index | (142,959 | ) | (0.08 | )% | |||||
Commodity | (4,754,965 | ) | (2.62 | )% | |||||
Interest rate | (3,790,967 | ) | (2.09 | )% | |||||
Currency | 739,824 | 0.41 | % | ||||||
Total futures | (10,036,798 | ) | (5.53 | )% | |||||
Forwards | |||||||||
Japanese Yen / U.S. Dollar 01/19/11 | JPY (36,043,608,800) | (12,993,436 | ) | (7.15 | )% | ||||
Other Japanese Yen / U.S. Dollar 1/04/11 - 1/05/11 | JPY (14,111,800,669) | (834,965 | ) | (0.46 | )% | ||||
Swiss Franc / U.S. Dollar 01/19/11 | CHF (431,464,200) | (17,247,454 | ) | (9.50 | )% | ||||
Other foreign currency | (7,987,532 | ) | (4.40 | )% | |||||
Total forwards | (39,063,387 | ) | (21.51 | )% | |||||
Total | $ | 45,743,328 | 25.18 | % |
Description | Principal Amount | Fair Value | Percentage of Net Assets of Master Fund | ||||||
Graham Macro Directional LLC | |||||||||
Long contracts | |||||||||
Futures | |||||||||
Commodity | $ | 66,430 | 4.55 | % | |||||
Total futures | 66,430 | 4.55 | % | ||||||
Forwards | |||||||||
Canadian Dollar / U.S. Dollar 01/04/11 | CAD 20,003,980 | 87,433 | 5.99 | % | |||||
Total forwards | 87,433 | 5.99 | % | ||||||
Short Contracts | |||||||||
Futures | |||||||||
Foreign bond | 20,060 | 1.37 | % | ||||||
Total futures | 20,060 | 1.37 | % | ||||||
Total | $ | 173,923 | 11.91 | % |
Description | Principal Amount / Number of Contracts | Fair Value | Percentage of Net Assets of Master Fund | ||||||
Graham Short Term Global Macro LLC | |||||||||
Long contracts | |||||||||
Futures | |||||||||
S&P 500 E-Mini March 2011 | 225 | $ | (16,875 | ) | (11.52 | )% | |||
Total futures | (16,875 | ) | (11.52 | )% | |||||
Options | |||||||||
British Pound Put / Swiss Franc Call, $1.47 | CHF 10,000,000 | 47,256 | 32.27 | % | |||||
Total options | 47,256 | 32.27 | % | ||||||
Forwards | |||||||||
Chinese Yuan / U.S. Dollar 08/19/11 | CNY 334,143,000 | 1,385,221 | 945.81 | % | |||||
Total forwards | 1,385,221 | 945.81 | % | ||||||
Short Contracts | |||||||||
Forwards | |||||||||
Swiss Franc / British Pound 01/05/11 | CHF (7,292,955) | (15,162 | ) | (10.35 | )% | ||||
Chinese Yuan / U.S. Dollar 08/19/11 | CNY (334,143,000) | (1,458,935 | ) | (996.15 | )% | ||||
Total forwards | (1,474,097 | ) | (1,006.50 | )% | |||||
Total | $ | (58,495 | ) | (39.94 | )% |
Graham Commodity Strategies LLC | Graham Fed Policy Ltd. | Graham Global Monetary Policy LLC | Graham K4D Trading Ltd. | Graham Macro Directional LLC | Graham Commodity Strategies LLC | Graham Discretionary Energy Trading III LLC | Graham Fed Policy Ltd. | Graham Global Monetary Policy LLC | Graham K4D Trading Ltd. | Graham Macro Directional LLC | Graham Short Term Global Macro LLC | |||||||||||||||||||||||||||||||||||||
Long Contracts | ||||||||||||||||||||||||||||||||||||||||||||||||
Level 1: | ||||||||||||||||||||||||||||||||||||||||||||||||
U.S. bond futures | $ | - | $ | - | $ | - | $ | - | $ | 237,741 | $ | - | $ | - | ||||||||||||||||||||||||||||||||||
Foreign bond futures | - | - | - | - | 1,053,653 | - | - | |||||||||||||||||||||||||||||||||||||||||
U.S. index futures | - | - | - | - | 3,010,100 | - | (16,875 | ) | ||||||||||||||||||||||||||||||||||||||||
Foreign index futures | - | - | - | - | (3,683,508 | ) | - | - | ||||||||||||||||||||||||||||||||||||||||
Commodity futures | $ | 15,640,206 | $ | - | $ | 29,025 | $ | 35,170,316 | $ | - | 125,831,390 | 34,377,504 | - | 833,980 | 31,911,445 | 66,430 | - | |||||||||||||||||||||||||||||||
Currency futures | - | - | - | 355,993 | - | |||||||||||||||||||||||||||||||||||||||||||
Foreign bond futures | - | - | - | (6,607,015 | ) | - | ||||||||||||||||||||||||||||||||||||||||||
Foreign index futures | - | - | - | 8,908,434 | - | |||||||||||||||||||||||||||||||||||||||||||
U.S. index futures options | - | - | 12,500 | - | - | |||||||||||||||||||||||||||||||||||||||||||
Commodity futures options | - | 2,165,000 | - | - | - | - | - | |||||||||||||||||||||||||||||||||||||||||
Commodity swaps | - | 3,756,110 | - | - | - | - | - | |||||||||||||||||||||||||||||||||||||||||
Interest rate futures | - | 2,862,031 | - | (8,722,161 | ) | - | - | - | 11,573,680 | 1,570,955 | 325,182 | - | - | |||||||||||||||||||||||||||||||||||
Interest rate futures options | - | 13,752,876 | - | - | - | - | - | 15,955,481 | - | - | - | - | ||||||||||||||||||||||||||||||||||||
U.S. bond futures | - | - | - | (4,526,734 | ) | - | ||||||||||||||||||||||||||||||||||||||||||
U.S. index futures | - | - | - | 5,331,432 | - | |||||||||||||||||||||||||||||||||||||||||||
Currency futures | - | - | - | - | 4,536,916 | - | - | |||||||||||||||||||||||||||||||||||||||||
Total Level 1 | 15,640,206 | 16,614,907 | 41,525 | 29,910,265 | - | 125,831,390 | 40,298,614 | 27,529,161 | 2,404,935 | 37,391,529 | 66,430 | (16,875 | ) | |||||||||||||||||||||||||||||||||||
Level 2: | ||||||||||||||||||||||||||||||||||||||||||||||||
Foreign currency forwards | - | - | 455,869 | (8,957,388 | ) | (305,980 | ) | - | - | - | 10,800,884 | 57,451,984 | 87,433 | 1,385,221 | ||||||||||||||||||||||||||||||||||
Foreign currency forwards options | - | - | 4,550,237 | - | - | - | - | - | 603,151 | - | - | 47,256 | ||||||||||||||||||||||||||||||||||||
Total Level 2 | - | - | 5,006,106 | (8,957,388 | ) | (305,980 | ) | - | - | - | 11,404,035 | 57,451,984 | 87,433 | 1,432,477 | ||||||||||||||||||||||||||||||||||
Total long contracts | $ | 15,640,206 | $ | 16,614,907 | $ | 5,047,631 | $ | 20,952,877 | $ | (305,980 | ) | $ | 125,831,390 | $ | 40,298,614 | $ | 27,529,161 | $ | 13,808,970 | $ | 94,843,513 | $ | 153,863 | $ | 1,415,602 | |||||||||||||||||||||||
Short Contracts | ||||||||||||||||||||||||||||||||||||||||||||||||
Level 1: | ||||||||||||||||||||||||||||||||||||||||||||||||
Commodity futures | $ | (15,152,869 | ) | $ | - | $ | - | $ | (14,721,246 | ) | $ | - | ||||||||||||||||||||||||||||||||||||
Currency futures | - | - | - | (32,595 | ) | - | ||||||||||||||||||||||||||||||||||||||||||
U.S. bond futures | - | - | - | (37,016 | ) | (1,546,794 | ) | - | - | |||||||||||||||||||||||||||||||||||||||
Foreign bond futures | - | - | 373,824 | 2,267,786 | - | - | - | - | 641,195 | (540,937 | ) | 20,060 | - | |||||||||||||||||||||||||||||||||||
Foreign index futures | - | - | - | (3,726,222 | ) | - | - | - | - | - | (142,959 | ) | - | - | ||||||||||||||||||||||||||||||||||
Commodity futures | (88,859,512 | ) | (20,336,838 | ) | - | (770,200 | ) | (4,754,965 | ) | - | - | |||||||||||||||||||||||||||||||||||||
Commodity futures options | - | (182,500 | ) | - | - | - | - | - | ||||||||||||||||||||||||||||||||||||||||
Commodity swaps | - | (1,417,000 | ) | - | - | - | - | - | ||||||||||||||||||||||||||||||||||||||||
Interest rate futures | - | - | (253,871 | ) | 2,493,009 | - | - | - | 39,967 | (3,080,013 | ) | (3,790,967 | ) | - | - | |||||||||||||||||||||||||||||||||
Interest rate futures options | - | (9,228,344 | ) | - | - | - | - | - | (3,958,218 | ) | - | - | - | - | ||||||||||||||||||||||||||||||||||
U.S. bond futures | - | - | - | 1,217,531 | - | |||||||||||||||||||||||||||||||||||||||||||
U.S. index futures | - | - | - | (2,810,098 | ) | - | ||||||||||||||||||||||||||||||||||||||||||
Currency futures | - | - | - | - | 739,824 | - | - | |||||||||||||||||||||||||||||||||||||||||
Total Level 1 | (15,152,869 | ) | (9,228,344 | ) | 119,953 | (15,311,835 | ) | - | (88,859,512 | ) | (21,936,338 | ) | (3,918,251 | ) | (3,246,034 | ) | (10,036,798 | ) | 20,060 | - | ||||||||||||||||||||||||||||
Level 2: | ||||||||||||||||||||||||||||||||||||||||||||||||
Foreign currency forwards | - | - | 716,016 | 12,288,132 | 420,998 | - | - | - | (13,145,174 | ) | (39,063,387 | ) | - | (1,474,097 | ) | |||||||||||||||||||||||||||||||||
Foreign currency forwards options | - | - | (1,568,611 | ) | - | - | ||||||||||||||||||||||||||||||||||||||||||
Total Level 2 | - | - | (852,595 | ) | 12,288,132 | 420,998 | - | - | - | (13,145,174 | ) | (39,063,387 | ) | - | (1,474,097 | ) | ||||||||||||||||||||||||||||||||
Total short contracts | $ | (15,152,869 | ) | $ | (9,228,344 | ) | $ | (732,642 | ) | $ | (3,023,703 | ) | $ | 420,998 | $ | (88,859,512 | ) | $ | (21,936,338 | ) | $ | (3,918,251 | ) | $ | (16,391,208 | ) | $ | (49,100,185 | ) | $ | 20,060 | $ | (1,474,097 | ) |
Graham Commodity Strategies LLC | Graham Discretionary Energy Trading III LLC | Graham Commodity Strategies LLC | Graham Discretionary Energy Trading III LLC | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Long exposure | Short exposure | Long exposure | Short exposure | Long exposure | Short exposure | Long exposure | Short exposure | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Notional amounts | Number of contracts | Notional amounts | Number of contracts | Derivative Assets | Derivative Liabilities | Notional amounts | Number of contracts | Notional amounts | Number of contracts | Derivative Assets | Derivative Liabilities | Notional amounts | Number of contracts | Notional amounts | Number of contracts | Derivative Assets | Derivative Liabilities | Notional amounts | Number of contracts | Notional amounts | Number of contracts | Derivative Assets | Derivative Liabilities | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Commodity price | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Futures | $ | 2,363,889,660 | 3,217 | $ | (162,940,388 | ) | (32,565 | ) | $ | 116,391,502 | $ | (91,143,682 | ) | $ | 946,777,990 | 20,615 | $ | (982,295,785 | ) | (17,506 | ) | $ | 50,371,230 | $ | (45,664,326 | ) | $ | 2,051,527,235 | 30,976 | $ | (1,894,621,560 | ) | (29,206 | ) | $ | 126,128,889 | $ | (89,157,011 | ) | $ | 670,612,370 | 6,981 | $ | (598,798,245 | ) | (6,947 | ) | $ | 34,377,504 | $ | (20,336,838 | ) | ||||||||||||||||||||||||||||||||||||||||||||
Commodity swaps | 19,905,750 | 27 | (46,998,000 | ) | (65 | ) | 1,046,250 | (2,774,830 | ) | - | - | - | - | - | - | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Swaps | - | - | - | - | - | - | 98,880,020 | 8,664 | (48,003,000 | ) | (3,800 | ) | 3,756,110 | (1,417,000 | ) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2,383,795,410 | 3,244 | (209,938,388 | ) | (32,630 | ) | 117,437,752 | (93,918,512 | ) | 946,777,990 | 20,615 | (982,295,785 | ) | (17,506 | ) | 50,371,230 | (45,664,326 | ) | 2,051,527,235 | 30,976 | (1,894,621,560 | ) | (29,206 | ) | 126,128,889 | (89,157,011 | ) | 769,492,390 | 15,645 | (646,801,245 | ) | (10,747 | ) | 38,133,614 | (21,753,838 | ) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Equity price | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Futures | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
- | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Foreign currency exchange rate | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Futures | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Forwards | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
- | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Interest rate | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Futures | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Interest rate swaps | - | - | - | - | - | - | - | - | - | - | - | - | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
- | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total | $ | 2,383,795,410 | 3,244 | $ | (209,938,388 | ) | (32,630 | ) | $ | 117,437,752 | $ | (93,918,512 | ) | $ | 946,777,990 | 20,615 | $ | (982,295,785 | ) | (17,506 | ) | $ | 50,371,230 | $ | (45,664,326 | ) | $ | 2,051,527,235 | 30,976 | $ | (1,894,621,560 | ) | (29,206 | ) | $ | 126,128,889 | $ | (89,157,011 | ) | $ | 769,492,390 | 15,645 | $ | (646,801,245 | ) | (10,747 | ) | $ | 38,133,614 | $ | (21,753,838 | ) | ||||||||||||||||||||||||||||||||||||||||||||
Collateral balances supporting all derivative positions | Collateral balances supporting all derivative positions | $ | 19,204,912 | $ | 3,668,548 | Collateral balances supporting all derivative positions | $ | 14,527,187 | $ | (6,241,250 | ) |
Graham Fed Policy Ltd. | Graham Global Monetary Policy LLC | Graham Fed Policy Ltd. | Graham Global Monetary Policy LLC | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Long exposure | Short exposure | Long exposure | Short exposure | Long exposure | Short exposure | Long exposure | Short exposure | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Notional amounts | Number of contracts | Notional amounts | Number of contracts | Derivative Assets | Derivative Liabilities | Notional amounts | Number of contracts | Notional amounts | Number of contracts | Derivative Assets | Derivative Liabilities | Notional amounts | Number of contracts | Notional amounts | Number of contracts | Derivative Assets | Derivative Liabilities | Notional amounts | Number of contracts | Notional amounts | Number of contracts | Derivative Assets | Derivative Liabilities | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Commodity price | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Futures | $ | - | - | $ | - | - | $ | - | $ | - | $ | 80,259,510 | 900 | $ | (20,317,500 | ) | (500 | ) | $ | 2,384,736 | $ | (1,529,580 | ) | $ | - | - | $ | - | - | $ | - | $ | - | $ | 38,619,000 | 600 | $ | (24,200,000 | ) | (500 | ) | $ | 833,980 | $ | (770,200 | ) | ||||||||||||||||||||||||||||||||||||||||||||||||||
- | - | - | - | - | - | 80,259,510 | 900 | (20,317,500 | ) | (500 | ) | 2,384,736 | (1,529,580 | ) | - | - | - | - | - | - | 38,619,000 | 600 | (24,200,000 | ) | (500 | ) | 833,980 | (770,200 | ) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Equity price | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Futures | - | - | - | - | - | - | 967,418,750 | 700 | (7,332,038 | ) | (129 | ) | - | (389,373 | ) | - | - | - | - | - | - | - | - | - | - | - | - | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
- | - | - | - | - | - | 967,418,750 | 700 | (7,332,038 | ) | (129 | ) | - | (389,373 | ) | - | - | - | - | - | - | - | - | - | - | - | - | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Foreign currency exchange rate | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Futures | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Forwards | - | - | - | - | - | - | 5,307,582,723 | - | (4,019,505,977 | ) | - | 4,937,482 | (1,159,868 | ) | - | - | - | - | - | - | 56,025,637,522 | - | (46,698,002,524 | ) | - | 15,230,468 | (17,574,758 | ) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
- | - | - | - | - | - | 5,307,582,723 | - | (4,019,505,977 | ) | - | 4,937,482 | (1,159,868 | ) | - | - | - | - | - | - | 56,025,637,522 | - | (46,698,002,524 | ) | - | 15,230,468 | (17,574,758 | ) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Interest rate | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Futures | 23,424,520,541 | 56,323 | (6,750,998,724 | ) | (16,231 | ) | 20,302,497 | (122,593 | ) | 828,796,566 | 4,725 | (2,448,622,863 | ) | (10,162 | ) | 1,693,217 | (2,352,338 | ) | 22,811,918,666 | 54,857 | (1,184,445,024 | ) | (2,849 | ) | 12,217,514 | (603,867 | ) | 1,740,487,175 | 5,000 | (2,788,603,000 | ) | (14,950 | ) | 2,212,150 | (3,117,029 | ) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Interest rate swaps | - | - | - | - | - | - | - | - | - | - | - | - | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
23,424,520,541 | 56,323 | (6,750,998,724 | ) | (16,231 | ) | 20,302,497 | (122,593 | ) | 828,796,566 | 4,725 | (2,448,622,863 | ) | (10,162 | ) | 1,693,217 | (2,352,338 | ) | 22,811,918,666 | 54,857 | (1,184,445,024 | ) | (2,849 | ) | 12,217,514 | (603,867 | ) | 1,740,487,175 | 5,000 | (2,788,603,000 | ) | (14,950 | ) | 2,212,150 | (3,117,029 | ) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total | $ | 23,424,520,541 | 56,323 | $ | (6,750,998,724 | ) | (16,231 | ) | $ | 20,302,497 | $ | (122,593 | ) | $ | 7,184,057,549 | 6,325 | $ | (6,495,778,378 | ) | (10,791 | ) | $ | 9,015,435 | $ | (5,431,159 | ) | $ | 22,811,918,666 | 54,857 | $ | (1,184,445,024 | ) | (2,849 | ) | $ | 12,217,514 | $ | (603,867 | ) | $ | 57,804,743,697 | 5,600 | $ | (49,510,805,524 | ) | (15,450 | ) | $ | 18,276,598 | $ | (21,461,987 | ) | ||||||||||||||||||||||||||||||||||||||||||||
Collateral balances supporting all derivative positions | Collateral balances supporting all derivative positions | $ | 3,174,872 | $ | 18,109,911 | Collateral balances supporting all derivative positions | $ | 23,563,039 | $ | 42,339,139 |
Graham GMP Securities LLC | Graham K4D Trading Ltd. | Graham K4D Trading Ltd. | Graham Macro Directional LLC | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Long exposure | Short exposure | Long exposure | Short exposure | Long exposure | Short exposure | Long exposure | Short exposure | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Notional amounts | Number of contracts | Notional amounts | Number of contracts | Derivative Assets | Derivative Liabilities | Notional amounts | Number of contracts | Notional amounts | Number of contracts | Derivative Assets | Derivative Liabilities | Notional amounts | Number of contracts | Notional amounts | Number of contracts | Derivative Assets | Derivative Liabilities | Notional amounts | Number of contracts | Notional amounts | Number of contracts | Derivative Assets | Derivative Liabilities | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Commodity price | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Futures | $ | - | - | $ | - | - | $ | - | $ | - | $ | 1,345,520,996 | 19,414 | $ | (895,262,752 | ) | (12,218 | ) | $ | 68,402,092 | $ | (40,732,984 | ) | $ | 810,106,878 | 10,782 | $ | (53,034,444 | ) | (926 | ) | $ | 32,742,543 | $ | (5,586,063 | ) | $ | 10,660,500 | 75 | $ | - | - | $ | 66,430 | $ | - | ||||||||||||||||||||||||||||||||||||||||||||||||||
- | - | - | - | - | - | 1,345,520,996 | 19,414 | (895,262,752 | ) | (12,218 | ) | 68,402,092 | (40,732,984 | ) | 810,106,878 | 10,782 | (53,034,444 | ) | (926 | ) | 32,742,543 | (5,586,063 | ) | 10,660,500 | 75 | - | - | 66,430 | - | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Equity price | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Futures | - | - | - | - | - | - | 5,039,857,338 | 28,532 | (4,564,577,226 | ) | (7,718 | ) | 15,550,380 | (17,249,394 | ) | 16,008,395,340 | 15,303 | (968,631,180 | ) | (671 | ) | 4,935,403 | (5,751,770 | ) | - | - | - | - | - | - | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
- | - | - | - | - | - | 5,039,857,338 | 28,532 | (4,564,577,226 | ) | (7,718 | ) | 15,550,380 | (17,249,394 | ) | 16,008,395,340 | 15,303 | (968,631,180 | ) | (671 | ) | 4,935,403 | (5,751,770 | ) | - | - | - | - | - | - | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
�� | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Foreign currency exchange rate | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Futures | - | - | - | - | - | - | 345,036,482 | 2,896 | (261,914,652 | ) | (2,753 | ) | 10,074,934 | (3,944,709 | ) | 340,454,690 | 2,852 | (86,152,236 | ) | (957 | ) | 5,633,114 | (356,374 | ) | - | - | - | - | - | - | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Forwards | - | - | - | - | - | - | 121,082,211,007 | - | (18,849,043,891 | ) | - | 63,198,490 | (37,159,320 | ) | 90,870,643,000 | - | (87,109,470,216 | ) | - | 78,339,927 | (59,951,330 | ) | 19,920,873 | - | - | - | 87,433 | - | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
- | - | - | - | - | - | 121,427,247,489 | 2,896 | (19,110,958,543 | ) | (2,753 | ) | 73,273,424 | (41,104,029 | ) | 91,211,097,690 | 2,852 | (87,195,622,452 | ) | (957 | ) | 83,973,041 | (60,307,704 | ) | 19,920,873 | - | - | - | 87,433 | - | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Interest rate | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Futures | - | - | - | - | - | - | 44,152,023,654 | 45,196 | (21,502,689,049 | ) | (22,885 | ) | 25,373,716 | (9,502,879 | ) | 2,044,200,093 | 8,454 | (63,261,455,459 | ) | (23,095 | ) | 2,729,784 | (6,991,906 | ) | - | - | (12,531,000 | ) | (100 | ) | 20,060 | - | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Interest rate swaps | - | - | (52,374,540 | ) | - | - | (533,509 | ) | - | - | - | - | - | - | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
- | - | (52,374,540 | ) | - | - | (533,509 | ) | 44,152,023,654 | 45,196 | (21,502,689,049 | ) | (22,885 | ) | 25,373,716 | (9,502,879 | ) | 2,044,200,093 | 8,454 | (63,261,455,459 | ) | (23,095 | ) | 2,729,784 | (6,991,906 | ) | - | - | (12,531,000 | ) | (100 | ) | 20,060 | - | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total | $ | - | - | $ | (52,374,540 | ) | - | $ | - | $ | (533,509 | ) | $ | 171,964,649,477 | 96,038 | $ | (46,073,487,570 | ) | (45,574 | ) | $ | 182,599,612 | $ | (108,589,286 | ) | $ | 110,073,800,001 | 37,391 | $ | (151,478,743,535 | ) | (25,649 | ) | $ | 124,380,771 | $ | (78,637,443 | ) | $ | 30,581,373 | 75 | $ | (12,531,000 | ) | (100 | ) | $ | 173,923 | $ | - | ||||||||||||||||||||||||||||||||||||||||||||||
Collateral balances supporting all derivative positions | Collateral balances supporting all derivative positions | $ | 1,908,865 | $ | 139,494,538 | Collateral balances supporting all derivative positions | $ | 135,887,098 | $ | 1,286,040 |
Graham Macro Directional LLC | Graham Short Term Global Macro LLC | |||||||||||||||||||||||||||||||||||||||||||||||
Long exposure | Short exposure | Long exposure | Short exposure | |||||||||||||||||||||||||||||||||||||||||||||
Notional amounts | Number of contracts | Notional amounts | Number of contracts | Derivative Assets | Derivative Liabilities | Notional amounts | Number of contracts | Notional amounts | Number of contracts | Derivative Assets | Derivative Liabilities | |||||||||||||||||||||||||||||||||||||
Commodity price | ||||||||||||||||||||||||||||||||||||||||||||||||
Futures | $ | 19,644,000 | 150 | $ | - | - | $ | 382,600 | $ | - | $ | - | - | $ | (130,960 | ) | (1 | ) | $ | - | $ | (1,990 | ) | |||||||||||||||||||||||||
19,644,000 | 150 | - | - | 382,600 | - | - | - | (130,960 | ) | (1 | ) | - | (1,990 | ) | ||||||||||||||||||||||||||||||||||
Equity price | ||||||||||||||||||||||||||||||||||||||||||||||||
Futures | - | - | - | - | - | - | - | - | - | - | - | - | ||||||||||||||||||||||||||||||||||||
- | - | - | - | - | - | - | - | - | - | - | - | |||||||||||||||||||||||||||||||||||||
Foreign currency exchange rate | ||||||||||||||||||||||||||||||||||||||||||||||||
Futures | - | - | - | - | - | - | - | - | - | - | - | - | ||||||||||||||||||||||||||||||||||||
Forwards | 1,041,250 | - | (5,000 | ) | - | - | (302,924 | ) | 10,555,413 | - | (2,143,598 | ) | - | 66,377 | (549,622 | ) | ||||||||||||||||||||||||||||||||
1,041,250 | - | (5,000 | ) | - | - | (302,924 | ) | 10,555,413 | - | (2,143,598 | ) | - | 66,377 | (549,622 | ) | |||||||||||||||||||||||||||||||||
Interest rate | ||||||||||||||||||||||||||||||||||||||||||||||||
Futures | 79,233,906 | 700 | - | - | - | (129,511 | ) | - | - | - | - | - | - | |||||||||||||||||||||||||||||||||||
Interest rate swaps | - | - | - | - | - | - | - | - | - | - | - | - | ||||||||||||||||||||||||||||||||||||
79,233,906 | 700 | - | - | - | (129,511 | ) | - | - | - | - | - | - | ||||||||||||||||||||||||||||||||||||
Total | $ | 99,919,156 | 850 | $ | (5,000 | ) | - | $ | 382,600 | $ | (432,435 | ) | $ | 10,555,413 | - | $ | (2,274,558 | ) | (1 | ) | $ | 66,377 | $ | (551,612 | ) | |||||||||||||||||||||||
Collateral balances supporting all derivative positions | $ | 24,735,363 | $ | 820,230 |
Graham Commodity Strategies LLC | Graham Fed Policy Ltd. | |||||||||||||||||||||||||||||||||||||||||||||||
Long exposure | Short exposure | Long exposure | Short exposure | |||||||||||||||||||||||||||||||||||||||||||||
Notional amounts | Number of contracts | Derivative Assets | Notional amounts | Number of contracts | Derivative Liabilities | Notional amounts | Number of contracts | Derivative Assets | Notional amounts | Number of contracts | Derivative Liabilities | |||||||||||||||||||||||||||||||||||||
Commodity price | ||||||||||||||||||||||||||||||||||||||||||||||||
Futures | $ | 883,506,418 | 15,628 | $ | 20,799,665 | $ | (880,556,002 | ) | (14,732 | ) | $ | (20,312,328 | ) | $ | - | - | $ | - | $ | - | - | $ | - | |||||||||||||||||||||||||
883,506,418 | 15,628 | 20,799,665 | (880,556,002 | ) | (14,732 | ) | (20,312,328 | ) | - | - | - | - | - | - | ||||||||||||||||||||||||||||||||||
Equity price | ||||||||||||||||||||||||||||||||||||||||||||||||
Futures | - | - | - | - | - | - | - | - | - | - | - | - | ||||||||||||||||||||||||||||||||||||
- | - | - | - | - | - | - | - | - | - | - | - | |||||||||||||||||||||||||||||||||||||
Foreign currency exchange rate | ||||||||||||||||||||||||||||||||||||||||||||||||
Futures | - | - | - | - | - | - | - | - | - | - | - | - | ||||||||||||||||||||||||||||||||||||
Forwards | - | - | - | - | - | - | - | - | - | - | - | - | ||||||||||||||||||||||||||||||||||||
- | - | - | - | - | - | - | - | - | - | - | - | |||||||||||||||||||||||||||||||||||||
Interest rate | ||||||||||||||||||||||||||||||||||||||||||||||||
Futures | - | - | - | - | - | - | 8,430,422,879 | 20,666 | 3,336,902 | - | - | (474,871 | ) | |||||||||||||||||||||||||||||||||||
Interest rate swaps | - | - | - | - | - | - | - | - | - | - | - | - | ||||||||||||||||||||||||||||||||||||
- | - | - | - | - | - | 8,430,422,879 | 20,666 | 3,336,902 | - | - | (474,871 | ) | ||||||||||||||||||||||||||||||||||||
Total | $ | 883,506,418 | 15,628 | $ | 20,799,665 | $ | (880,556,002 | ) | (14,732 | ) | $ | (20,312,328 | ) | $ | 8,430,422,879 | 20,666 | $ | 3,336,902 | $ | - | - | $ | (474,871 | ) | ||||||||||||||||||||||||
Collateral balances supporting all derivative positions | $ | 9,338,086 | $ | 15,446,856 |
Graham Global Monetary Policy LLC | Graham K4D Trading Ltd. | Graham Short Term Global Macro LLC | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Long exposure | Short exposure | Long exposure | Short exposure | Long exposure | Short exposure | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Notional amounts | Number of contracts | Derivative Assets | Notional amounts | Number of contracts | Derivative Liabilities | Notional amounts | Number of contracts | Derivative Assets | Notional amounts | Number of contracts | Derivative Liabilities | Notional amounts | Number of contracts | Notional amounts | Number of contracts | Derivative Assets | Derivative Liabilities | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Commodity price | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Futures | $ | 2,072,500 | 100 | $ | 29,025 | $ | - | - | $ | - | $ | 1,281,924,053 | 21,625 | $ | 42,918,544 | $ | (699,668,279 | ) | (11,135 | ) | $ | (22,469,474 | ) | $ | - | - | $ | - | - | $ | - | $ | - | |||||||||||||||||||||||||||||||||||||||
2,072,500 | 100 | 29,025 | - | - | - | 1,281,924,053 | 21,625 | 42,918,544 | (699,668,279 | ) | (11,135 | ) | (22,469,474 | ) | - | - | - | - | - | - | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Equity price | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Futures | - | - | - | - | - | - | 6,321,952,643 | 16,319 | 14,812,534 | (3,918,741,020 | ) | (5,980 | ) | (7,108,988 | ) | 14,096,250 | 225 | - | - | - | (16,875 | ) | ||||||||||||||||||||||||||||||||||||||||||||||||||
- | - | - | - | - | - | 6,321,952,643 | 16,319 | 14,812,534 | (3,918,741,020 | ) | (5,980 | ) | (7,108,988 | ) | 14,096,250 | 225 | - | - | - | (16,875 | ) | |||||||||||||||||||||||||||||||||||||||||||||||||||
Foreign currency exchange rate | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Futures | - | - | - | - | - | - | 30,156,168 | 359 | 757,620 | (108,869,583 | ) | (1,006 | ) | (434,222 | ) | - | - | - | - | - | - | |||||||||||||||||||||||||||||||||||||||||||||||||||
Forwards | 478,798,928 | - | 4,643,816 | (575,969,539 | ) | - | (3,471,931 | ) | 6,096,436,526 | - | 78,435,771 | (5,707,147,861 | ) | - | (75,105,027 | ) | 51,458,935 | - | (56,468,659 | ) | - | 1,385,221 | (1,474,097 | ) | ||||||||||||||||||||||||||||||||||||||||||||||||
478,798,928 | - | 4,643,816 | (575,969,539 | ) | - | (3,471,931 | ) | 6,126,592,694 | 359 | 79,193,391 | (5,816,017,444 | ) | (1,006 | ) | (75,539,249 | ) | 51,458,935 | - | (56,468,659 | ) | - | 1,385,221 | (1,474,097 | ) | ||||||||||||||||||||||||||||||||||||||||||||||||
Interest rate | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Futures | - | - | 489,449 | (8,760,546,779 | ) | (4,450 | ) | (369,496 | ) | 66,489,448,610 | 25,046 | 7,611,075 | (83,222,672,828 | ) | (13,820 | ) | (21,488,659 | ) | - | - | - | - | - | - | ||||||||||||||||||||||||||||||||||||||||||||||||
- | - | 489,449 | (8,760,546,779 | ) | (4,450 | ) | (369,496 | ) | 66,489,448,610 | 25,046 | 7,611,075 | (83,222,672,828 | ) | (13,820 | ) | (21,488,659 | ) | - | - | - | - | - | - | |||||||||||||||||||||||||||||||||||||||||||||||||
Total | $ | 480,871,428 | 100 | $ | 5,162,290 | $ | (9,336,516,318 | ) | (4,450 | ) | $ | (3,841,427 | ) | $ | 80,219,918,000 | 63,349 | $ | 144,535,544 | $ | (93,657,099,571 | ) | (31,941 | ) | $ | (126,606,370 | ) | $ | 65,555,185 | 225 | $ | (56,468,659 | ) | - | $ | 1,385,221 | $ | (1,490,972 | ) | ||||||||||||||||||||||||||||||||||
Collateral balances supporting all derivative positions | Collateral balances supporting all derivative positions | $ | 4,257,152 | $ | 99,865,289 | Collateral balances supporting all derivative positions | $ | 204,953 |
Graham Macro Directional LLC | ||||||||||||||||||||||||
Long exposure | Short exposure | |||||||||||||||||||||||
Notional amounts | Number of contracts | Derivative Assets | Notional amounts | Number of contracts | Derivative Liabilities | |||||||||||||||||||
Foreign currency exchange rate | ||||||||||||||||||||||||
Forwards | $ | 72,680,881 | - | $ | 796,022 | $ | (92,523,752 | ) | - | $ | (681,004 | ) | ||||||||||||
Total | $ | 72,680,881 | - | $ | 796,022 | $ | (92,523,752 | ) | - | $ | (681,004 | ) | ||||||||||||
Collateral balances supporting all derivative positions | $ | 1,504,495 |
Graham Commodity Strategies LLC (Delaware) | Graham Discretionary Energy Trading III LLC (Delaware) | Graham Fed Policy Ltd. (BVI) | Graham Global Monetary Policy LLC (Delaware) | Graham K4D Trading Ltd. (BVI) | Graham Macro Directional LLC (Delaware) | Graham Short Term Global Macro LLC (Delaware) | ||||||||||||||||||||||
Net investment income (loss) | $ | (3,636 | ) | $ | (5,702 | ) | $ | (1,232 | ) | $ | (6,153 | ) | $ | (68,408 | ) | $ | (11,143 | ) | $ | 171 | ||||||||
Net realized gain (loss) on investments | 1,059,499 | (1,108,471 | ) | 5,663,643 | 37,085,598 | (77,892,271 | ) | 7,549,544 | (3,124,378 | ) | ||||||||||||||||||
Net increase (decrease) in appreciation on investments | 7,026,115 | 8,918,128 | 3,402,087 | 427,683 | 34,667,568 | (108,934 | ) | 1,095,590 | ||||||||||||||||||||
Brokerage commissions and fees | (1,002,423 | ) | (276,911 | ) | (1,134,151 | ) | (597,494 | ) | (1,480,295 | ) | (146,619 | ) | (38,204 | ) | ||||||||||||||
Net gain (loss) on investments | 7,083,191 | 7,532,746 | 7,931,579 | 36,915,787 | (44,704,998 | ) | 7,293,991 | (2,066,992 | ) | |||||||||||||||||||
Net income (loss) | $ | 7,079,555 | $ | 7,527,044 | $ | 7,930,347 | $ | 36,909,634 | $ | (44,773,406 | ) | $ | 7,282,848 | $ | (2,066,821 | ) |
Graham Commodity Strategies LLC | Graham Discretionary Energy Trading III LLC | Graham Fed Policy Ltd. | Graham Global Monetary Policy LLC | Graham GMP Securities LLC | Graham K4D Trading Ltd. | Graham Macro Directional LLC | Graham Short Term Global Macro LLC | Graham Commodity Strategies LLC | Graham Discretionary Energy Trading III LLC | Graham Fed Policy Ltd. | Graham Global Monetary Policy LLC | Graham K4D Trading Ltd. | Graham Macro Directional LLC | Graham Short Term Global Macro LLC | ||||||||||||||||||||||||||||||||||||||||||||||
Commodity price | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Futures | $ | 932,437 | $ | (2,918,560 | ) | $ | (3,979,882 | ) | $ | 3,669,261 | $ | - | $ | 23,090,803 | $ | 664,110 | $ | (316,538 | ) | $ | 8,085,614 | $ | 8,524,507 | $ | - | $ | 2,178,297 | $ | (23,768,545 | ) | $ | (758,020 | ) | $ | (792,850 | ) | ||||||||||||||||||||||||
Options | - | 8,412,550 | - | - | - | - | - | - | - | (714,850 | ) | - | - | - | - | - | ||||||||||||||||||||||||||||||||||||||||||||
932,437 | 5,493,990 | (3,979,882 | ) | 3,669,261 | - | 23,090,803 | 664,110 | (316,538 | ) | 8,085,614 | 7,809,657 | - | 2,178,297 | (23,768,545 | ) | (758,020 | ) | (792,850 | ) | |||||||||||||||||||||||||||||||||||||||||
Equity price | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Futures | - | - | - | (2,451,692 | ) | - | (31,259,994 | ) | (1,845,278 | ) | (62,758 | ) | - | - | - | 1,126,108 | (32,614,364 | ) | (211,949 | ) | (175,975 | ) | ||||||||||||||||||||||||||||||||||||||
- | - | - | (2,451,692 | ) | - | (31,259,994 | ) | (1,845,278 | ) | (62,758 | ) | - | - | - | 1,126,108 | (32,614,364 | ) | (211,949 | ) | (175,975 | ) | |||||||||||||||||||||||||||||||||||||||
Foreign currency exchange rate | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Futures | - | - | - | - | - | 979,360 | - | - | - | - | 3,056,080 | - | 712,311 | - | - | |||||||||||||||||||||||||||||||||||||||||||||
Forwards | - | - | - | (575,427 | ) | 5,011 | 22,931,616 | (625,639 | ) | 9,008,929 | - | - | - | 37,702,416 | (80,875 | ) | 9,180,238 | 1,552,433 | ||||||||||||||||||||||||||||||||||||||||||
Options | - | - | - | 3,317,727 | - | - | - | (7,025,943 | ) | - | - | 6,009,650 | (3,520,011 | ) | - | - | (2,525,849 | ) | ||||||||||||||||||||||||||||||||||||||||||
- | - | - | 2,742,300 | 5,011 | 23,910,976 | (625,639 | ) | 1,982,986 | - | - | 9,065,730 | 34,182,405 | 631,436 | 9,180,238 | (973,416 | ) | ||||||||||||||||||||||||||||||||||||||||||||
Interest rate | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Bonds | - | - | - | - | - | - | - | - | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Futures | - | - | 61,850,906 | 3,256,027 | - | 43,600,616 | 1,959,155 | (109,398 | ) | - | - | - | 441,971 | 12,526,770 | (769,659 | ) | (86,547 | ) | ||||||||||||||||||||||||||||||||||||||||||
Interest rate swaps | - | - | - | - | (1,251,648 | ) | - | - | - | - | - | - | (403,000 | ) | - | - | - | |||||||||||||||||||||||||||||||||||||||||||
Options | - | - | (33,411,643 | ) | (1,459,136 | ) | - | - | - | - | - | - | - | (12,500 | ) | - | - | - | ||||||||||||||||||||||||||||||||||||||||||
- | - | 28,439,263 | 1,796,891 | (1,251,648 | ) | 43,600,616 | 1,959,155 | (109,398 | ) | - | - | - | 26,471 | 12,526,770 | (769,659 | ) | (86,547 | ) | ||||||||||||||||||||||||||||||||||||||||||
Total | $ | 932,437 | $ | 5,493,990 | $ | 24,459,381 | $ | 5,756,760 | $ | (1,246,637 | ) | $ | 59,342,401 | $ | 152,348 | $ | 1,494,292 | $ | 8,085,614 | $ | 7,809,657 | $ | 9,065,730 | $ | 37,513,281 | $ | (43,224,703 | ) | $ | 7,440,610 | $ | (2,028,788 | ) |
Graham Commodity Strategies LLC | Graham Discretionary Energy Trading III LLC | Graham Fed Policy Ltd. | Graham Global Monetary Policy LLC | Graham GMP Securities LLC | Graham K4D Trading Ltd. | Graham Macro Directional LLC | Graham Short Term Global Macro LLC | |||||||||||||||||||||||||
Commodity price | ||||||||||||||||||||||||||||||||
Futures | $ | (4,169,204 | ) | $ | 422,100 | $ | - | $ | 8,710,031 | $ | - | $ | (50,844,752 | ) | $ | (697,600 | ) | $ | (1,330,724 | ) | ||||||||||||
Options | - | 9,569,790 | - | - | - | - | - | - | ||||||||||||||||||||||||
(4,169,204 | ) | 9,991,890 | - | 8,710,031 | - | (50,844,752 | ) | (697,600 | ) | (1,330,724 | ) | |||||||||||||||||||||
Equity price | ||||||||||||||||||||||||||||||||
Futures | - | - | - | 886,918 | - | (92,929,632 | ) | 426,912 | 95,380 | |||||||||||||||||||||||
- | - | - | 886,918 | - | (92,929,632 | ) | 426,912 | 95,380 | ||||||||||||||||||||||||
Foreign currency exchange rate | ||||||||||||||||||||||||||||||||
Futures | - | - | - | - | - | 4,090,176 | - | - | ||||||||||||||||||||||||
Forwards | - | - | - | 83,614,961 | 25,702 | 13,713,340 | 13,064,342 | 10,956,826 | ||||||||||||||||||||||||
Options | - | - | - | - | - | - | - | (12,231,023 | ) | |||||||||||||||||||||||
- | - | - | 83,614,961 | 25,702 | 17,803,516 | 13,064,342 | (1,274,197 | ) | ||||||||||||||||||||||||
Interest rate | ||||||||||||||||||||||||||||||||
Bonds | - | - | - | - | (45,362 | ) | - | - | - | |||||||||||||||||||||||
Futures | - | - | 62,709,382 | 9,510,178 | - | 148,920,489 | 3,150,465 | 765,082 | ||||||||||||||||||||||||
Interest rate swaps | - | - | - | (403,000 | ) | (3,399,071 | ) | - | - | - | ||||||||||||||||||||||
Options | - | - | (23,580,791 | ) | (1,471,636 | ) | - | - | - | - | ||||||||||||||||||||||
- | - | 39,128,591 | 7,635,542 | (3,444,433 | ) | 148,920,489 | 3,150,465 | 765,082 | ||||||||||||||||||||||||
Total | $ | (4,169,204 | ) | $ | 9,991,890 | $ | 39,128,591 | $ | 100,847,452 | $ | (3,418,731 | ) | $ | 22,949,621 | $ | 15,944,119 | $ | (1,744,459 | ) |
Graham Commodity Strategies LLC | Graham Fed Policy Ltd. | Graham Global Monetary Policy LLC | Graham K4D Trading Ltd. | Graham Macro Directional LLC | ||||||||||||||||
Commodity price | ||||||||||||||||||||
Futures | $ | (2,861,581 | ) | $ | - | $ | 850,240 | $ | 24,463,206 | $ | 384,960 | |||||||||
(2,861,581 | ) | - | 850,240 | 24,463,206 | 384,960 | |||||||||||||||
Equity price | ||||||||||||||||||||
Futures | - | - | (1,189,962 | ) | 112,121,801 | (323,373 | ) | |||||||||||||
Options | - | - | - | - | - | |||||||||||||||
- | - | (1,189,962 | ) | 112,121,801 | (323,373 | ) | ||||||||||||||
Foreign currency exchange rate | ||||||||||||||||||||
Futures | - | - | - | 223,969 | - | |||||||||||||||
Forwards | - | - | (12,298,201 | ) | 20,247,415 | (2,293,887 | ) | |||||||||||||
Options | - | - | (1,573,148 | ) | - | - | ||||||||||||||
- | - | (13,871,349 | ) | 20,471,384 | (2,293,887 | ) | ||||||||||||||
Interest rate | ||||||||||||||||||||
Futures | - | 13,532,331 | (2,493,280 | ) | (23,133,313 | ) | 1,337,647 | |||||||||||||
Options | - | 3,892,383 | - | - | - | |||||||||||||||
- | 17,424,714 | (2,493,280 | ) | (23,133,313 | ) | 1,337,647 | ||||||||||||||
Total | $ | (2,861,581 | ) | $ | 17,424,714 | $ | (16,704,351 | ) | $ | 133,923,078 | $ | (894,653 | ) |
Graham Commodity Strategies LLC | Graham Fed Policy Ltd. | Graham Global Monetary Policy LLC | Graham K4D Trading Ltd. | Graham Macro Directional LLC | ||||||||||||||||
Commodity price | ||||||||||||||||||||
Futures | $ | 5,865,797 | $ | - | $ | 3,815,835 | $ | (10,723,803 | ) | $ | 1,328,938 | |||||||||
5,865,797 | - | 3,815,835 | (10,723,803 | ) | 1,328,938 | |||||||||||||||
Equity price | ||||||||||||||||||||
Futures | - | - | (2,043,743 | ) | 59,945,342 | (137,453 | ) | |||||||||||||
Options | - | - | (135,476 | ) | - | - | ||||||||||||||
- | - | (2,179,219 | ) | 59,945,342 | (137,453 | ) | ||||||||||||||
Foreign currency exchange rate | ||||||||||||||||||||
Futures | - | - | 425,330 | (2,362,228 | ) | - | ||||||||||||||
Forwards | - | - | 11,916,251 | 25,212,981 | 6,729,458 | |||||||||||||||
Options | - | - | (2,424,248 | ) | - | (275,879 | ) | |||||||||||||
- | - | 9,917,333 | 22,850,753 | 6,453,579 | ||||||||||||||||
Interest rate | ||||||||||||||||||||
Futures | - | 14,045,168 | 3,083,882 | (33,922,797 | ) | (2,061,989 | ) | |||||||||||||
Options | - | 18,354,277 | - | - | - | |||||||||||||||
- | 32,399,445 | 3,083,882 | (33,922,797 | ) | (2,061,989 | ) | ||||||||||||||
Total | $ | 5,865,797 | $ | 32,399,445 | $ | 14,637,831 | $ | 38,149,495 | $ | 5,583,075 |
September 30, 2010 | December 31, 2009 | March 31, 2011 | December 31, 2010 | |||||||||||||
Assets: | ||||||||||||||||
Cash and cash equivalents | $ | 837,774,778 | $ | 485,846,462 | $ | 657,076,450 | $ | 750,098,151 | ||||||||
Investments in fixed income securities | 1,686,686,798 | 1,421,913,802 | ||||||||||||||
Redemptions receivable | - | - | ||||||||||||||
Investments in fixed income securities (cost $2,367,048,721 and $2,215,622,512, respectively) | 2,367,048,721 | 2,215,622,512 | ||||||||||||||
Accrued interest income | 6,204,285 | 4,848,122 | 8,384,794 | 6,547,074 | ||||||||||||
Total assets | 2,530,665,861 | 1,912,608,386 | 3,032,509,965 | 2,972,267,737 | ||||||||||||
Liabilities: | ||||||||||||||||
Other payables | 20,000 | - | ||||||||||||||
Other liabilities | 20,000 | 20,000 | ||||||||||||||
Total liabilities | 20,000 | - | 20,000 | 20,000 | ||||||||||||
Members’ capital | $ | 2,530,645,861 | $ | 1,912,608,386 | ||||||||||||
Net assets | $ | 3,032,489,965 | $ | 2,972,247,737 |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||||||||||
2010 | 2009 | 2010 | 2009 | 2011 | 2010 | |||||||||||||||||||
Investment income | ||||||||||||||||||||||||
Interest income | $ | 3,507,896 | $ | 2,302,499 | $ | 9,167,607 | $ | 4,231,267 | $ | 3,860,502 | $ | 2,623,273 | ||||||||||||
Total investment income | 3,860,502 | 2,623,273 | ||||||||||||||||||||||
Expenses: | ||||||||||||||||||||||||
Bank fee expense | 133,584 | - | ||||||||||||||||||||||
Total expenses | 133,584 | - | ||||||||||||||||||||||
Net investment income | 3,507,896 | 2,302,499 | 9,167,607 | 4,231,267 | 3,726,918 | 2,623,273 | ||||||||||||||||||
Net income | $ | 3,507,896 | $ | 2,302,499 | $ | 9,167,607 | $ | 4,231,267 | $ | 3,726,918 | $ | 2,623,273 |
Description | Principal Amount | Fair Value | Percentage of Members’ Capital | |||||||||
Graham Cash Assets LLC | ||||||||||||
Investments in Fixed Income Securities (cost $2,367,048,721) | ||||||||||||
United States | ||||||||||||
FDIC Guaranteed Bonds (cost $1,179,021,270) | ||||||||||||
Citibank 1.25% - 1.88% due 07/12/11 – 12/28/12 | $ | 375,000,000 | $ | 377,224,782 | 12.44 | % | ||||||
Citigroup Funding Inc. 1.38% - 1.88% due 05/05/11 – 11/15/12 | 175,000,000 | 176,506,228 | 5.82 | % | ||||||||
Other FDIC guaranteed bonds | 625,290,260 | 20.62 | % | |||||||||
Total FDIC Guaranteed Bonds | 1,179,021,270 | 38.88 | % | |||||||||
Government Bonds (cost $1,188,027,451) | ||||||||||||
U.S. Treasury 0.38% - 1.13% due 04/30/11 – 11/30/12 | 1,185,000,000 | 1,188,027,451 | 39.18 | % | ||||||||
Total Government Bonds | 1,188,027,451 | 39.18 | % | |||||||||
Total Investments in Fixed Income Securities | $ | 2,367,048,721 | 78.06 | % |
Description | Principal Amount | Fair Value | Percentage of Members’ Capital | |||||||||
Graham Cash Assets LLC | ||||||||||||
Investments in Fixed Income Securities (cost $2,215,622,512) | ||||||||||||
United States | ||||||||||||
FDIC Guaranteed Bonds (cost $1,101,463,404) | ||||||||||||
Citibank 1.25% – 1.88% due 03/30/11 – 05/07/12 | $ | 350,000,000 | $ | 351,915,163 | 11.84 | % | ||||||
Other FDIC guaranteed bonds | 749,548,241 | 25.22 | % | |||||||||
Total FDIC Guaranteed Bonds | 1,101,463,404 | 37.06 | % | |||||||||
Government Bonds (cost $1,114,159,108) | ||||||||||||
U.S. Treasury 0.88% due 04/30/11 | 150,000,000 | 150,213,724 | 5.05 | % | ||||||||
Other U.S. Treasury 0.75% – 1.13% due 01/31/11 – 04/30/12 | 963,945,384 | 32.43 | % | |||||||||
Total Government Bonds | 1,114,159,108 | 37.48 | % | |||||||||
Total Investments in Fixed Income Securities | $ | 2,215,622,512 | 74.54 | % |
September 30, 2010 | December 31, 2009 | March 31, 2011 | December 31, 2010 | |||||||||||||
Long positions | ||||||||||||||||
Level 2: | ||||||||||||||||
Fixed income securities | ||||||||||||||||
FDIC Guaranteed Bonds | $ | 985,173,744 | $ | 667,900,290 | $ | 1,179,021,270 | $ | 1,101,463,404 | ||||||||
Government Bonds | 701,513,054 | 754,013,512 | 1,188,027,451 | 1,114,159,108 | ||||||||||||
Fixed income securities | 1,686,686,798 | 1,421,913,802 | ||||||||||||||
Total fixed income securities | 2,367,048,721 | 2,215,622,512 | ||||||||||||||
Total Level 2 | 1,686,686,798 | 1,421,913,802 | 2,367,048,721 | 2,215,622,512 | ||||||||||||
Total long positions | $ | 1,686,686,798 | $ | 1,421,913,802 | $ | 2,367,048,721 | $ | 2,215,622,512 |
Class | Annual Rate |
Class 0 | 2% |
Class 2 | 4% |
Class 0 | Class 2 | |||||||
Per unit operating performance: | ||||||||
Net asset value per unit, June 30, 2009 | $ | 130.41 | $ | 109.20 | ||||
Net income: | ||||||||
Net investment loss | (1.70 | ) | (2.04 | ) | ||||
Net gain on investments | 6.06 | 5.38 | ||||||
Net income | 4.36 | 3.34 | ||||||
Net asset value per unit, September 30, 2009 | $ | 134.77 | $ | 112.54 | ||||
Net asset value per unit, June 30, 2010 | $ | 134.80 | $ | 111.00 | ||||
Net income: | ||||||||
Net investment loss | (0.02 | ) | (1.25 | ) | ||||
Net gain on investments | 2.41 | 2.95 | ||||||
Net income | 2.39 | 1.70 | ||||||
Net asset value per unit, September 30, 2010 | $ | 137.19 | $ | 112.70 |
Class 0 | Class 2 | |||||||
Per unit operating performance: | ||||||||
Net asset value per unit, December 31, 2009 | $ | 135.56 | $ | 112.73 | ||||
Net loss: | ||||||||
Net investment loss | (1.94 | ) | (2.08 | ) | ||||
Net gain on investments | 0.96 | 0.71 | ||||||
Net loss | (0.98 | ) | (1.37 | ) | ||||
Net asset value per unit, March 31, 2010 | $ | 134.58 | $ | 111.36 | ||||
Net asset value per unit, December 31, 2010 | $ | 138.96 | $ | 113.68 | ||||
Net loss: | ||||||||
Net investment loss | (1.27 | ) | (1.57 | ) | ||||
Net loss on investments | (0.24 | ) | (0.20 | ) | ||||
Net loss | (1.51 | ) | (1.77 | ) | ||||
Net asset value per unit, March 31, 2011 | $ | 137.45 | $ | 111.91 |
Class 0 | Class 2 | |||||||||||||||
2010 | 2009 | 2010 | 2009 | |||||||||||||
Total return before Incentive Allocation | 2.17 | % | 3.78 | % | 1.59 | % | 3.30 | % | ||||||||
Incentive Allocation | (0.41 | ) | (0.49 | ) | (0.09 | ) | (0.31 | ) | ||||||||
Total return after Incentive Allocation | 1.76 | % | 3.29 | % | 1.50 | % | 2.99 | % | ||||||||
Net investment loss before Incentive Allocation | (0.82 | )% | (1.14 | )% | (2.25 | )% | (1.54 | )% | ||||||||
Incentive Allocation | (0.41 | ) | (0.49 | ) | (0.09 | ) | (0.31 | ) | ||||||||
Net investment loss after Incentive Allocation | (1.23 | )% | (1.63 | )% | (2.34 | )% | (1.85 | )% | ||||||||
Total expenses before Incentive Allocation | 1.29 | % | 0.57 | % | 1.80 | % | 0.95 | % | ||||||||
Incentive Allocation | 0.41 | 0.49 | 0.09 | 0.31 | ||||||||||||
Total expenses after Incentive Allocation | 1.70 | % | 1.06 | % | 1.89 | % | 1.26 | % |
Class 0 | Class 2 | |||||||
Per unit operating performance: | ||||||||
Net asset value per unit, December 31, 2008 | $ | 132.12 | $ | 111.74 | ||||
Net income: | ||||||||
Net investment loss | (4.99 | ) | (5.98 | ) | ||||
Net gain on investments | 7.64 | 6.78 | ||||||
Net income | 2.65 | 0.80 | ||||||
Net asset value per unit, September 30, 2009 | $ | 134.77 | $ | 112.54 | ||||
Net asset value per unit, December 31, 2009 | $ | 135.56 | $ | 112.73 | ||||
Net income (loss): | ||||||||
Net investment loss | (3.80 | ) | (5.35 | ) | ||||
Net gain on investments | 5.43 | 5.32 | ||||||
Net income (loss) | 1.63 | (0.03 | ) | |||||
Net asset value per unit, September 30, 2010 | $ | 137.19 | $ | 112.70 |
Class 0 | Class 2 | Class 0 | Class 2 | |||||||||||||||||||||||||||||
2010 | 2009 | 2010 | 2009 | 2011 | 2010 | 2011 | 2010 | |||||||||||||||||||||||||
Total return before Incentive Allocation | 1.61 | % | 2.50 | % | 0.06 | % | 1.04 | % | (1.08 | )% | (0.72 | )% | (1.55 | )% | (1.22 | )% | ||||||||||||||||
Incentive Allocation | (0.41 | ) | (0.50 | ) | (0.09 | ) | (0.32 | ) | (0.01 | ) | 0.00 | (0.01 | ) | 0.00 | ||||||||||||||||||
Total return after Incentive Allocation | 1.20 | % | 2.00 | % | (0.03 | )% | 0.72 | % | (1.09 | )% | (0.72 | )% | (1.56 | )% | (1.22 | )% | ||||||||||||||||
Net investment loss before Incentive Allocation | (2.84 | )% | (3.46 | )% | (4.87 | )% | (4.93 | )% | (0.90 | )% | (0.81 | )% | (1.38 | )% | (1.38 | )% | ||||||||||||||||
Incentive Allocation | (0.41 | ) | (0.50 | ) | (0.09 | ) | (0.32 | ) | (0.01 | ) | 0.00 | (0.01 | ) | 0.00 | ||||||||||||||||||
Net investment loss after Incentive Allocation | (3.25 | )% | (3.96 | )% | (4.96 | )% | (5.25 | )% | (0.91 | )% | (0.81 | )% | (1.39 | )% | (1.38 | )% | ||||||||||||||||
Total expenses before Incentive Allocation | 3.84 | % | 3.11 | % | 5.37 | % | 4.57 | % | 1.00 | % | 1.25 | % | 1.51 | % | 1.76 | % | ||||||||||||||||
Incentive Allocation | 0.41 | 0.50 | 0.09 | 0.32 | 0.01 | 0.00 | 0.01 | 0.00 | ||||||||||||||||||||||||
Total expenses after Incentive Allocation | 4.25 | % | 3.61 | % | 5.46 | % | 4.89 | % | 1.01 | % | 1.25 | % | 1.52 | % | 1.76 | % |
Assets | September 30, 2010 (Unaudited) | December 31, 2009 (Audited) | ||||||
Cash and cash equivalents | $ | - | $ | 770 | ||||
Investment in Graham K4D Trading Ltd., at fair value | 8,269,549 | 3,256,884 | ||||||
Investment in Graham Cash Assets LLC, at fair value | 53,439,124 | 34,112,305 | ||||||
Accrued commission reimbursements | 27,128 | 15,286 | ||||||
Receivable from Graham K4D Trading Ltd. | 2 | - | ||||||
Total assets | $ | 61,735,803 | $ | 37,385,245 | ||||
Liabilities and members’ capital | ||||||||
Liabilities: | ||||||||
Accrued redemptions | $ | 320,519 | $ | - | ||||
Accrued brokerage fees | 141,742 | 88,838 | ||||||
Accrued advisory fees | 101,399 | 63,502 | ||||||
Accrued sponsor fees | 50,700 | 31,751 | ||||||
Accrued incentive allocation | - | 479 | ||||||
Payable to Graham K4D Trading Ltd. | - | 343 | ||||||
Total liabilities | 614,360 | 184,913 | ||||||
Members’ capital: | ||||||||
Class 0 Units (374,714.036 and 222,427.212 units issued and outstanding at $98.26 and $100.59 per unit, respectively) | 36,819,202 | 22,373,766 | ||||||
Class 2 Units (254,430.549 and 149,683.130 units issued and outstanding at $95.32 and $99.05 per unit, respectively) | 24,251,074 | 14,826,566 | ||||||
Class M Units (500.000 and 0.000 units issued and outstanding at $102.33 and $0.00 per unit, respectively) | 51,167 | - | ||||||
Total members’ capital | 61,121,443 | 37,200,332 | ||||||
Total liabilities and members’ capital | $ | 61,735,803 | $ | 37,385,245 |
Description | Principal Amount | Fair Value | Percentage of Net Assets | ||||||
Graham K4D Trading Ltd. | |||||||||
Long contracts | |||||||||
Futures | |||||||||
U.S. bond | $ | 5,765,314 | 2.70 | % | |||||
Foreign bond | 3,171,287 | 1.49 | % | ||||||
U.S. index | 11,745,619 | 5.50 | % | ||||||
Foreign index | (9,271,591 | ) | (4.34 | )% | |||||
Commodity | 59,192,780 | 27.72 | % | ||||||
Interest rate | 9,544,082 | 4.47 | % | ||||||
Currency | 5,293,828 | 2.48 | % | ||||||
Total futures | 85,441,319 | 40.02 | % | ||||||
Forwards | |||||||||
Australian Dollar / U.S. Dollar 10/20/10 | AUD 469,629,938 | 14,762,320 | 6.91 | % | |||||
British Pound / U.S. Dollar 10/20/10 | GBP 817,343,862 | 12,518,080 | 5.86 | % | |||||
Canadian Dollar / Euro 10/20/10 | CAD 550,370,598 | (18,245,657 | ) | (8.54 | )% | ||||
Euro / Japanese Yen 10/20/10 | EUR 573,094,973 | 19,051,960 | 8.92 | % | |||||
Euro / U.S. Dollar 10/20/10 | EUR 1,470,469,134 | 90,970,449 | 42.61 | % | |||||
Japanese Yen / U.S. Dollar 10/20/10 | JPY 134,747,743,600 | 16,232,195 | 7.60 | % | |||||
Swiss Franc / U.S. Dollar 10/20/10 | CHF 1,382,475,498 | 28,825,136 | 13.50 | % | |||||
Other foreign currency | 23,655,845 | 11.08 | % | ||||||
Total forwards | 187,770,328 | 87.94 | % |
Assets | March 31, 2011 (Unaudited) | December 31, 2010 (Audited) | ||||||
Investment in Graham K4D Trading Ltd., at fair value | $ | 12,743,402 | $ | 7,411,468 | ||||
Investment in Graham Cash Assets LLC, at fair value | 70,456,667 | 64,089,936 | ||||||
Commission reimbursements receivable | 52,836 | 28,795 | ||||||
Total assets | $ | 83,252,905 | $ | 71,530,199 | ||||
Liabilities and members’ capital | ||||||||
Liabilities: | ||||||||
Accrued redemptions | $ | 628,193 | $ | 1,393,281 | ||||
Accrued brokerage fees | 201,023 | 170,942 | ||||||
Accrued advisory fees | 141,321 | 121,404 | ||||||
Accrued sponsor fees | 70,660 | 60,702 | ||||||
Payable to Graham K4D Trading Ltd. | 15 | - | ||||||
Total liabilities | 1,041,212 | 1,746,329 | ||||||
Members’ capital: | ||||||||
Class 0 Units (475,482.461 and 397,859.944 units issued and outstanding at $100.08 and $102.92 per unit, respectively) | 47,584,852 | 40,945,899 | ||||||
Class 2 Units (358,335.198 and 288,630.496 units issued and outstanding at $96.48 and $99.72 per unit, respectively) | 34,572,911 | 28,783,191 | ||||||
Class M Units (500.000 and 500.000 units issued and outstanding at $107.86 and $109.56 per unit, respectively) | 53,930 | 54,780 | ||||||
Total members’ capital | 82,211,693 | 69,783,870 | ||||||
Total liabilities and members’ capital | $ | 83,252,905 | $ | 71,530,199 |
Description | Principal Amount | Fair Value | Percentage of Net Assets | ||||||
Graham K4D Trading Ltd. (continued) | |||||||||
Short contracts | |||||||||
Futures | |||||||||
U.S. bond | $ | (741,000 | ) | (0.35 | )% | ||||
Foreign bond | (665,490 | ) | (0.31 | )% | |||||
U.S. index | (5,955,442 | ) | (2.79 | )% | |||||
Foreign index | 1,782,400 | 0.83 | % | ||||||
Commodity | (31,523,672 | ) | (14.76 | )% | |||||
Interest rate | (1,203,356 | ) | (0.56 | )% | |||||
Currency | 836,397 | 0.39 | % | ||||||
Total futures | (37,470,163 | ) | (17.55 | )% | |||||
Forwards | |||||||||
British Pound / U.S. Dollar 10/20/10 | GBP (809,242,721) | (11,041,291 | ) | (5.17 | )% | ||||
Canadian Dollar / Euro 10/20/10 | CAD (576,867,819) | 17,827,452 | 8.35 | % | |||||
Euro / Japanese Yen 10/20/10 | EUR (606,318,356) | (24,556,109 | ) | (11.51 | )% | ||||
Euro / U.S. Dollar 10/20/10 | EUR (1,352,629,280) | (86,500,240 | ) | (40.51 | )% | ||||
Japanese Yen / U.S. Dollar 10/20/10 | JPY (111,949,188,000) | (15,169,475 | ) | (7.10 | )% | ||||
Swiss Franc / U.S. Dollar 10/20/10 | CHF (1,171,821,167) | (21,598,191 | ) | (10.12 | )% | ||||
Other foreign currency | (20,693,304 | ) | (9.69 | )% | |||||
Total forwards | (161,731,158 | ) | (75.75 | )% | |||||
Total | $ | 74,010,326 | 34.66 | % |
Three Months Ended March 31, | ||||||||
2011 (Unaudited) | 2010 (Unaudited) | |||||||
Net loss allocated from investment in Graham K4D Trading Ltd.: | ||||||||
Net realized loss on investments | $ | (1,756,078 | ) | $ | (2,120,237 | ) | ||
Net increase in unrealized appreciation on investments | 302,089 | 1,209,716 | ||||||
Brokerage commissions and fees | (130,856 | ) | (45,962 | ) | ||||
Net loss allocated from investment in Graham K4D Trading Ltd. | (1,584,845 | ) | (956,483 | ) | ||||
Net investment loss allocated from investment in Graham K4D Trading Ltd. | (3,257 | ) | (2,058 | ) | ||||
Investment income: | ||||||||
Interest income | 84,828 | 53,593 | ||||||
Expenses: | ||||||||
Brokerage fees | 570,302 | 275,547 | ||||||
Advisory fees | 403,643 | 200,402 | ||||||
Sponsor fees | 201,821 | 100,201 | ||||||
Interest and other | 1,319 | 1,196 | ||||||
Commission reimbursements | (130,856 | ) | (45,962 | ) | ||||
Total expenses | 1,046,229 | 531,384 | ||||||
Net investment loss of the Fund | (961,401 | ) | (477,791 | ) | ||||
Net loss | (2,549,503 | ) | (1,436,332 | ) | ||||
Incentive allocation | (2,187 | ) | - | |||||
Net loss available for pro-rata allocation to all members | $ | (2,551,690 | ) | $ | (1,436,332 | ) |
Description | Principal Amount | Fair Value | Percentage of Members’ Capital | |||||||||
Graham Cash Assets LLC | ||||||||||||
Investments in Fixed Income Securities (cost $1,686,686,798) | ||||||||||||
United States | ||||||||||||
FDIC Guaranteed Bonds (cost $985,173,744) | ||||||||||||
Citibank 1.25% - 1.63% due 03/30/11 – 11/15/11 | $ | 200,000,000 | $ | 200,777,418 | 7.93 | % | ||||||
Citigroup 1.25% - 1.38% due 05/05/11 – 09/22/11 | 150,000,000 | 150,526,681 | 5.95 | % | ||||||||
Other FDIC Guaranteed Bonds | 633,869,645 | 25.05 | % | |||||||||
Total FDIC Guaranteed Bonds | 985,173,744 | 38.93 | % | |||||||||
Government Bonds (cost $701,513,054) | ||||||||||||
U.S. Treasury 0.88% - 1.50% due 10/31/10 – 09/30/11 | 700,000,000 | 701,513,054 | 27.72 | % | ||||||||
Total Government Bonds | 701,513,054 | 27.72 | % | |||||||||
Total Investments in Fixed Income Securities | $ | 1,686,686,798 | 66.65 | % |
Class 0 | Class 2 | Class M | Total | |||||||||||||||||||||||||
Units | Capital | Units | Capital | Units | Capital | Capital | ||||||||||||||||||||||
Members’ capital, December 31, 2009 | 222,427.212 | $ | 22,373,766 | 149,683.130 | $ | 14,826,566 | – | $ | – | $ | 37,200,332 | |||||||||||||||||
Subscriptions | 94,438.818 | 8,858,000 | 22,555.298 | 2,128,500 | – | – | 10,986,500 | |||||||||||||||||||||
Redemptions | (1,000.365 | ) | (92,619 | ) | (2,790.935 | ) | (253,629 | ) | – | – | (346,248 | ) | ||||||||||||||||
Incentive allocation | – | – | – | – | – | – | – | |||||||||||||||||||||
Net loss | – | (723,100 | ) | – | (713,232 | ) | – | – | (1,436,332 | ) | ||||||||||||||||||
Members’ capital, March 31, 2010 | 315,865.665 | $ | 30,416,047 | 169,447.493 | $ | 15,988,205 | – | $ | – | $ | 46,404,252 |
Class 0 | Class 2 | Class M | Total | |||||||||||||||||||||||||
Units | Capital | Units | Capital | Units | Capital | Capital | ||||||||||||||||||||||
Members’ capital, December 31, 2010 | 397,859.944 | $ | 40,945,899 | 288,630.496 | $ | 28,783,191 | 500.000 | $ | 54,780 | $ | 69,783,870 | |||||||||||||||||
Subscriptions | 88,740.714 | 9,146,533 | 78,173.657 | 7,805,177 | – | – | 16,951,710 | |||||||||||||||||||||
Redemptions | (11,118.197 | ) | (1,139,685 | ) | (8,468.955 | ) | (832,512 | ) | – | (2,187 | ) | (1,974,384 | ) | |||||||||||||||
Incentive allocation | – | (1,538 | ) | – | (649 | ) | – | 2,187 | – | |||||||||||||||||||
Net loss | – | (1,366,357 | ) | – | (1,182,296 | ) | – | (850 | ) | (2,549,503 | ) | |||||||||||||||||
Members’ capital, March 31, 2011 | 475,482.461 | $ | 47,584,852 | 358,335.198 | $ | 34,572,911 | 500.000 | $ | 53,930 | $ | 82,211,693 |
Description | Number of Contracts/Principal Amount | Fair Value | Percentage of Net Assets | |||||||||
Graham K4D Trading Ltd. | ||||||||||||
Long contracts | ||||||||||||
Futures | ||||||||||||
LME Aluminum January 2010 | 1,302 | $ | 6,972,938 | 5.92 | % | |||||||
LME Copper January 2010 | 366 | 6,743,091 | 5.72 | % | ||||||||
Other commodity | 21,454,287 | 18.21 | % | |||||||||
U.S. bond | (4,526,734 | ) | (3.84 | )% | ||||||||
Foreign bond | (6,607,015 | ) | (5.61 | )% | ||||||||
U.S. index | 5,331,432 | 4.53 | % | |||||||||
Foreign index | 8,908,434 | 7.56 | % | |||||||||
Interest rate | (8,722,161 | ) | (7.40 | )% | ||||||||
Currency | 355,993 | 0.30 | % | |||||||||
Total futures | 29,910,265 | 25.39 | % | |||||||||
Forwards | ||||||||||||
British Pound / Japanese Yen 01/20/10 | GBP 224,750,683 | 11,529,834 | 9.79 | % | ||||||||
Euro / U.S. Dollar 01/20/10 | EUR 593,968,247 | (12,238,099 | ) | (10.39 | )% | |||||||
Japanese Yen / U.S. Dollar 01/20/10 | JPY 51,561,122,880 | (17,479,840 | ) | (14.84 | )% | |||||||
Other foreign currency | 9,230,717 | 7.84 | % | |||||||||
Total forwards | (8,957,388 | ) | (7.60 | )% |
Three Months Ended March 31, | ||||||||
2011 (Unaudited) | 2010 (Unaudited) | |||||||
Cash flows used in operating activities | ||||||||
Net loss | $ | (2,549,503 | ) | $ | (1,436,332 | ) | ||
Adjustments to reconcile net loss to net cash used in operating activities: | ||||||||
Net loss allocated from investment in Graham K4D Trading Ltd. | 1,588,102 | 958,541 | ||||||
Net income allocated from investment in Graham Cash Assets LLC | (84,828 | ) | (53,593 | ) | ||||
Proceeds from sale of investments in Graham K4D Trading Ltd. | 24,007,476 | 6,806,772 | ||||||
Proceeds from sale of investments in Graham Cash Assets LLC | 34,237,936 | 12,046,000 | ||||||
Investments in Graham K4D Trading Ltd. | (30,927,497 | ) | (11,466,911 | ) | ||||
Investments in Graham Cash Assets LLC | (40,519,839 | ) | (17,531,000 | ) | ||||
Changes in assets and liabilities: | ||||||||
Commission reimbursements receivable | (24,041 | ) | (5,179 | ) | ||||
Accrued brokerage fees | 30,081 | 17,689 | ||||||
Accrued advisory fees | 19,917 | 15,704 | ||||||
Accrued sponsor fees | 9,958 | 7,852 | ||||||
Net cash used in operating activities | (14,212,238 | ) | (10,640,457 | ) | ||||
Cash flows provided by financing activities | ||||||||
Subscriptions | 16,951,710 | 10,986,500 | ||||||
Redemptions | (2,739,472 | ) | (346,727 | ) | ||||
Net cash provided by financing activities | 14,212,238 | 10,639,773 | ||||||
Net decrease in cash and cash equivalents | - | (684 | ) | |||||
Cash and cash equivalents, beginning of period | - | 770 | ||||||
Cash and cash equivalents, end of period | $ | - | $ | 86 |
Description | Number of Contracts/Principal Amount | Fair Value | Percentage of Net Assets | ||||||
Graham K4D Trading Ltd. (continued) | |||||||||
Short contracts | |||||||||
Futures | |||||||||
U.S. bond | $ | 1,217,531 | 1.03 | % | |||||
Foreign bond | 2,267,786 | 1.93 | % | ||||||
U.S. index | (2,810,098 | ) | (2.39 | )% | |||||
Foreign index | (3,726,222 | ) | (3.16 | )% | |||||
Commodity | (14,721,246 | ) | (12.50 | )% | |||||
Interest rate | 2,493,009 | 2.12 | % | ||||||
Currency | (32,595 | ) | (0.03 | )% | |||||
Total futures | (15,311,835 | ) | (13.00 | )% | |||||
Forwards | |||||||||
Japanese Yen / U.S. Dollar 01/20/10 | JPY(52,960,960,701) | 18,321,239 | 15.55 | % | |||||
Euro / U.S. Dollar 01/20/10 | EUR (604,603,018) | 12,851,322 | 10.91 | % | |||||
British Pound / Japanese Yen 01/20/10 | GBP (207,438,849) | (11,260,219 | ) | (9.56 | )% | ||||
Other foreign currency | (7,624,210 | ) | (6.47 | )% | |||||
Total forwards | 12,288,132 | 10.43 | % | ||||||
Total | $ | 17,929,174 | 15.22 | % |
Description | Principal Amount | Fair Value | Percentage of Members’ Capital | |||||||||
Graham Cash Assets LLC | ||||||||||||
Investments in Fixed Income Securities (cost $1,421,913,802) | ||||||||||||
United States | ||||||||||||
FDIC Guaranteed Bonds (cost $667,900,290) | ||||||||||||
Bank of America 0.28% Floating Rate Note due 09/13/10 | $ | 100,000,000 | $ | 100,177,559 | 5.24 | % | ||||||
Other Bank of America 0.63% - 1.70% Floating Rate Notes due 12/23/10 - 06/22/12 | 75,000,000 | 75,931,110 | 3.97 | % | ||||||||
Citibank 1.25% - 1.63% due 03/30/11 - 11/15/11 | 125,000,000 | 125,481,266 | 6.56 | % | ||||||||
JPMorgan Chase 1.65% - 2.63% due 12/01/10 - 02/23/11 | 125,000,000 | 126,280,415 | 6.60 | % | ||||||||
Other FDIC guaranteed bonds | 240,029,940 | 12.55 | % | |||||||||
Total FDIC Guaranteed Bonds | 667,900,290 | 34.92 | % | |||||||||
Government Bonds (cost $754,013,512) | ||||||||||||
U.S. Treasury 0.00% - 2.75% due 01/31/10 - 06/30/11 | 750,000,000 | 754,013,512 | 39.42 | % | ||||||||
Total Government Bonds | 754,013,512 | 39.42 | % | |||||||||
Total Investments in Fixed Income Securities | $ | 1,421,913,802 | 74.34 | % |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2010 (Unaudited) | 2009 (Unaudited) | 2010 (Unaudited) | 2009 (Unaudited) | |||||||||||||
Net gain allocated from investment in Graham K4D Trading Ltd.: | ||||||||||||||||
Net realized (loss) gain on investments | $ | (323,278 | ) | $ | 1,044,993 | $ | (461,871 | ) | $ | 962,227 | ||||||
Net increase in unrealized appreciation on investments | 2,521,920 | 512,892 | 1,960,470 | 401,748 | ||||||||||||
Brokerage commissions and fees | (66,281 | ) | (27,654 | ) | (166,821 | ) | (37,734 | ) | ||||||||
Net gain allocated from investment in Graham K4D Trading Ltd. | 2,132,361 | 1,530,231 | 1,331,778 | 1,326,241 | ||||||||||||
Net investment loss allocated from investment in Graham K4D Trading Ltd. | (952 | ) | (1,000 | ) | (4,212 | ) | (1,326 | ) | ||||||||
Investment income: | ||||||||||||||||
Interest income | 74,832 | 17,719 | 195,949 | 25,370 | ||||||||||||
Other income | 66,281 | 27,689 | 166,821 | 37,769 | ||||||||||||
Total investment income | 141,113 | 45,408 | 362,770 | 63,139 | ||||||||||||
Expenses: | ||||||||||||||||
Brokerage fees | 404,584 | 113,215 | 1,033,726 | 163,181 | ||||||||||||
Advisory fees | 290,137 | 72,520 | 747,087 | 103,261 | ||||||||||||
Sponsor fees | 145,069 | 36,261 | 373,544 | 51,632 | ||||||||||||
Interest and other | 2,321 | 1,025 | 7,231 | 2,766 | ||||||||||||
Total expenses | 842,111 | 223,021 | 2,161,588 | 320,840 | ||||||||||||
Net investment loss of the Fund | (700,998 | ) | (177,613 | ) | (1,798,818 | ) | (257,701 | ) | ||||||||
Net income (loss) | 1,430,411 | 1,351,618 | (471,252 | ) | 1,067,214 | |||||||||||
Incentive allocation | - | (213,390 | ) | - | (213,432 | ) | ||||||||||
Net income (loss) available for pro-rata allocation to all members | $ | 1,430,411 | $ | 1,138,228 | $ | (471,252 | ) | $ | 853,782 |
Class 0 | Class 2 | Class M | Total | |||||||||||||||||||||||||
Units | Capital | Units | Capital | Units | Capital | Capital | ||||||||||||||||||||||
Members’ capital, January 4, 2009 | – | $ | – | – | $ | – | – | $ | – | $ | – | |||||||||||||||||
Initial subscriptions | 2,240.000 | 224,000 | 5,750.000 | 575,000 | – | – | 799,000 | |||||||||||||||||||||
Subscriptions | 69,888.379 | 6,676,000 | 92,754.061 | 8,861,697 | – | – | 15,537,697 | |||||||||||||||||||||
Redemptions | – | (103,755 | ) | (500.000 | ) | (158,586 | ) | – | – | (262,341 | ) | |||||||||||||||||
Incentive allocation | – | 103,755 | – | 109,677 | – | – | 213,432 | |||||||||||||||||||||
Net income available for pro-rata allocation | – | 415,019 | – | 438,763 | – | – | 853,782 | |||||||||||||||||||||
Members’ capital, September 30, 2009 | 72,128.379 | $ | 7,315,019 | 98,004.061 | $ | 9,826,551 | – | $ | – | $ | 17,141,570 |
Class 0 | Class 2 | Class M | Total | |||||||||||||||||||||||||
Units | Capital | Units | Capital | Units | Capital | Capital | ||||||||||||||||||||||
Members’ capital, December 31, 2009 | 222,427.212 | $ | 22,373,766 | 149,683.130 | $ | 14,826,566 | – | $ | – | $ | 37,200,332 | |||||||||||||||||
Subscriptions | 162,400.604 | 15,431,662 | 116,148.901 | 10,952,416 | 500.000 | 50,000 | 26,434,078 | |||||||||||||||||||||
Redemptions | (10,113.780 | ) | (976,087 | ) | (11,401.482 | ) | (1,065,628 | ) | – | – | (2,041,715 | ) | ||||||||||||||||
Net (loss) income available for pro-rata allocation | – | (10,139 | ) | – | (462,280 | ) | – | 1,167 | (471,252 | ) | ||||||||||||||||||
Members’ capital, September 30, 2010 | 374,714.036 | $ | 36,819,202 | 254,430.549 | $ | 24,251,074 | 500.000 | $ | 51,167 | $ | 61,121,443 |
Nine Months Ended September 30, | ||||||||
2010 (Unaudited) | 2009 (Unaudited) | |||||||
Cash flows used in operating activities | ||||||||
Net (loss) income | $ | (471,252 | ) | $ | 1,067,214 | |||
Adjustments to reconcile net (loss) income to net cash used in operating activities: | ||||||||
Net income allocated from investment in Graham K4D Trading Ltd. | (1,327,566 | ) | (1,324,915 | ) | ||||
Net income allocated from investment in Graham Cash Assets LLC | (195,949 | ) | (21,887 | ) | ||||
Net income allocated from investment in Graham Cash Assets II LLC | - | (3,483 | ) | |||||
Proceeds from sale of investments in Graham K4D Trading Ltd. | 30,922,054 | 5,971,532 | ||||||
Proceeds from sale of investments in Graham Cash Assets LLC | 39,547,824 | 8,453,431 | ||||||
Proceeds from sale of investments in Graham Cash Assets II LLC | - | 4,786,414 | ||||||
Investments in Graham K4D Trading Ltd. | (34,607,498 | ) | (7,464,189 | ) | ||||
Investments in Graham Cash Assets LLC | (58,678,694 | ) | (23,045,914 | ) | ||||
Investments in Graham Cash Assets II LLC | - | (4,782,931 | ) | |||||
Changes in assets and liabilities: | ||||||||
Accrued commission reimbursements | (11,842 | ) | (10,385 | ) | ||||
Accrued brokerage fees | 52,904 | 45,102 | ||||||
Accrued advisory fees | 37,897 | 28,674 | ||||||
Accrued sponsor fees | 18,949 | 14,337 | ||||||
Accrued incentive allocation | (479 | ) | 213,390 | |||||
Net cash used in operating activities | (24,713,652 | ) | (16,073,610 | ) | ||||
Cash flows provided by financing activities | ||||||||
Subscriptions | 26,434,078 | 16,336,697 | ||||||
Redemptions | (1,721,196 | ) | (262,341 | ) | ||||
Net cash provided by financing activities | 24,712,882 | 16,074,356 | ||||||
Net (decrease) increase in cash and cash equivalents | (770 | ) | 746 | |||||
Cash and cash equivalents, beginning of period | 770 | – | ||||||
Cash and cash equivalents, end of period | $ | - | $ | 746 |
· | Level 1 inputs are unadjusted closing or |
· | Level 2 inputs include quoted prices for similar assets and liabilities obtained from independent brokers and/or market makers in each security. With respect to GAIT II’s investments in other funds managed by the Manager, Level 2 inputs include the net asset value of the underlying fund in which it holds an investment. |
· | Level 3 inputs are those which are considered unobservable and are significant in arriving at fair value. |
September 30, 2010 | ||||||||||||||||||||||||||||
March 31, 2011 | March 31, 2011 | |||||||||||||||||||||||||||
Investment – Objective | Percent of Members’ Capital | Fair Value | Net Income (three months then ended) | Net Income (nine months then ended) | Percent of Members’ Capital | Fair Value | Net Income (three months then ended) | |||||||||||||||||||||
Graham K4D Trading Ltd. (a) | 13.53 | % | $ | 8,269,549 | $ | 2,131,409 | $ | 1,327,566 | 15.50 | % | $ | 12,743,402 | $ | (1,588,102 | ) | |||||||||||||
13.53 | % | $ | 8,269,549 | $ | 2,131,409 | $ | 1,327,566 | 15.50 | % | $ | 12,743,402 | $ | (1,588,102 | ) |
December 31, 2010 | ||||||||||||
Investment – Objective | Percent of Members’ Capital | Fair Value | Net Income (three months ended March 31, 2010) | |||||||||
Graham K4D Trading Ltd. (a) | 10.62 | % | $ | 7,411,468 | $ | (958,541 | ) | |||||
10.62 | % | $ | 7,411,468 | $ | (958,541 | ) |
December 31, 2009 | ||||||||||||
Investment – Objective | Percent of Members’ Capital | Fair Value | Net Income (twelve months then ended) | |||||||||
Graham K4D Trading Ltd. (a) | 8.75 | % | $ | 3,256,884 | $ | 1,203,633 | ||||||
8.75 | % | $ | 3,256,884 | $ | 1,203,633 |
Assets: | ||||
Due from brokers | $ | 288,833,860 | ||
Derivative financial instruments, at fair value | 52,072,797 | |||
Subscriptions receivable | 405 | |||
Interest receivable | 20,997 | |||
Total assets | 340,928,059 | |||
Liabilities: | ||||
Derivative financial instruments, at fair value | 1,544,291 | |||
Redemptions payable | 405 | |||
Total liabilities | 1,544,696 | |||
Net assets | $ | 339,383,363 | ||
Percentage of Master Fund held by the Fund | 3.75 | % |
September 30, 2010 | December 31, 2009 | |||||||
Assets: | ||||||||
Cash and cash equivalents | $ | - | $ | 425 | ||||
Due from brokers | 140,608,437 | 99,865,289 | ||||||
Derivative financial instruments, at fair value | 74,010,326 | 17,929,174 | ||||||
Subscriptions receivable | - | 4,331 | ||||||
Interest receivable | 11,929 | 293 | ||||||
Total assets | 214,630,692 | 117,799,512 | ||||||
Liabilities: | ||||||||
Due to brokers | 1,113,899 | - | ||||||
Redemptions payable | - | 4,331 | ||||||
Total liabilities | 1,113,899 | 4,331 | ||||||
Net assets | $ | 213,516,793 | $ | 117,795,181 | ||||
Percentage of Master Fund held by the Fund | 3.87 | % | 2.76 | % |
Description | Principal Amount | Fair Value | Percentage of Net Assets of K4D Trading | ||||||
Long contracts | |||||||||
Futures | |||||||||
U.S. bond | $ | (1,693,870 | ) | (0.50 | )% | ||||
Foreign bond | 1,076,899 | 0.32 | % | ||||||
U.S. index | 8,356,229 | 2.46 | % | ||||||
Foreign index | 6,955,415 | 2.05 | % | ||||||
Commodity | 25,056,183 | 7.38 | % | ||||||
Interest rate | (958,759 | ) | (0.28 | )% | |||||
Currency | 4,703,445 | 1.39 | % | ||||||
Total futures | 43,495,542 | 12.82 | % | ||||||
Forwards | |||||||||
Australian Dollar / U.S. Dollar 04/20/11 | AUD 2,270,409,210 | 69,879,791 | 20.59 | % | |||||
Canadian Dollar / U.S. Dollar 04/20/11 | CAD 2,993,928,486 | 26,032,783 | 7.67 | % | |||||
Euro / Japanese Yen 04/20/11 | EUR 722,878,081 | 31,067,277 | 9.15 | % | |||||
Euro / U.S. Dollar 04/20/11 | EUR 2,425,359,120 | 44,098,568 | 12.99 | % | |||||
Japanese Yen / U.S. Dollar 04/20/11 | JPY 265,224,580,054 | (56,456,018 | ) | (16.63 | )% | ||||
New Zealand Dollar / U.S. Dollar 04/20/11 | NZD 848,309,198 | 21,101,112 | 6.22 | % | |||||
Other foreign currency | 82,745,920 | 24.38 | % | ||||||
Total forwards | 218,469,433 | 64.37 | % |
Description | Principal Amount | Fair Value | Percentage of Net Assets of K4D Trading | ||||||
Short contracts | |||||||||
Futures | |||||||||
U.S. bond | $ | 393,672 | 0.12 | % | |||||
Foreign bond | 12,829,370 | 3.77 | % | ||||||
Foreign index | (6,392,370 | ) | (1.88 | )% | |||||
Commodity | (4,114,279 | ) | (1.21 | )% | |||||
Interest rate | 5,053,667 | 1.49 | % | ||||||
Currency | 807,195 | 0.24 | % | ||||||
Total futures | 8,577,255 | 2.53 | % | ||||||
Forwards | |||||||||
Australian Dollar / U.S. Dollar 04/20/11 | AUD (1,943,684,931) | (62,352,863 | ) | (18.37 | )% | ||||
Canadian Dollar / U.S. Dollar 04/20/11 | CAD (2,566,882,066) | (33,800,932 | ) | (9.96 | )% | ||||
Euro / Japanese Yen 04/20/11 | EUR (644,173,895) | (29,021,433 | ) | (8.55 | )% | ||||
Euro / U.S. Dollar 04/20/11 | EUR (2,227,734,366) | (44,146,754 | ) | (13.01 | )% | ||||
Japanese Yen / U.S. Dollar 04/20/11 | JPY (255,219,960,505) | 54,118,737 | 15.95 | % | |||||
New Zealand Dollar / U.S. Dollar 04/20/11 | NZD (896,997,648) | (24,523,202 | ) | (7.23 | )% | ||||
Other foreign currency | (80,287,277 | ) | (23.66 | )% | |||||
Total forwards | (220,013,724 | ) | (64.83 | )% | |||||
Total | $ | 50,528,506 | 14.89 | % |
Long Contracts | ||||
Level 1: | ||||
U.S. bond futures | $ | (1,693,870 | ) | |
Foreign bond futures | 1,076,899 | |||
U.S. index futures | 8,356,229 | |||
Foreign index futures | 6,955,415 | |||
Commodity futures | 25,056,183 | |||
Interest rate futures | (958,759 | ) | ||
Currency futures | 4,703,445 | |||
Total Level 1 | 43,495,542 | |||
Level 2: | ||||
Foreign currency forwards | 218,469,433 | |||
Total Level 2 | 218,469,433 | |||
Total long contracts | $ | 261,964,975 | ||
Short Contracts | ||||
Level 1: | ||||
U.S. bond futures | $ | 393,672 | ||
Foreign bond futures | 12,829,370 | |||
Foreign index futures | (6,392,370 | ) | ||
Commodity futures | (4,114,279 | ) | ||
Interest rate futures | 5,053,667 | |||
Currency futures | 807,195 | |||
Total Level 1 | 8,577,255 | |||
Level 2: | ||||
Foreign currency forwards | (220,013,724 | ) | ||
Total Level 2 | (220,013,724 | ) | ||
Total short contracts | $ | (211,436,469 | ) |
Graham K4D Trading Ltd. | ||||||||||||||||||||||||
Long exposure | Short exposure | |||||||||||||||||||||||
Notional amounts | Number of contracts | Notional amounts | Number of contracts | Derivative Assets | Derivative Liabilities | |||||||||||||||||||
Commodity price | ||||||||||||||||||||||||
Futures | $ | 1,216,608,649 | 14,239 | $ | (237,850,835 | ) | (3,751 | ) | $ | 33,002,810 | $ | (12,060,906 | ) | |||||||||||
1,216,608,649 | 14,239 | (237,850,835 | ) | (3,751 | ) | 33,002,810 | (12,060,906 | ) | ||||||||||||||||
Equity price | ||||||||||||||||||||||||
Futures | 780,831,862 | 11,792 | (174,585,658 | ) | (1,691 | ) | 17,713,871 | (8,794,597 | ) | |||||||||||||||
780,831,862 | 11,792 | (174,585,658 | ) | (1,691 | ) | 17,713,871 | (8,794,597 | ) | ||||||||||||||||
Foreign currency exchange rate | ||||||||||||||||||||||||
Futures | 305,790,215 | 2,727 | (221,066,583 | ) | (2,632 | ) | 6,391,645 | (881,005 | ) | |||||||||||||||
Forwards | 64,401,562 | - | (62,576,740 | ) | - | 61,240,470 | (62,784,761 | ) | ||||||||||||||||
370,191,777 | 2,727 | (283,643,323 | ) | (2,632 | ) | 67,632,115 | (63,665,766 | ) | ||||||||||||||||
Interest rate | ||||||||||||||||||||||||
Futures | 6,684,174,178 | 25,793 | (12,480,888,254 | ) | (48,233 | ) | 23,293,117 | (6,592,138 | ) | |||||||||||||||
6,684,174,178 | 25,793 | (12,480,888,254 | ) | (48,233 | ) | 23,293,117 | (6,592,138 | ) | ||||||||||||||||
Total | $ | 9,051,806,466 | 54,551 | $ | (13,176,968,070 | ) | (56,307 | ) | $ | 141,641,913 | $ | (91,113,407 | ) | |||||||||||
Collateral balances supporting all derivative positions | $ | 288,833,860 |
Net investment loss | $ | (83,866 | ) | |
Net realized loss on investments | (47,163,832 | ) | ||
Net increase in appreciation on investments | 5,253,462 | |||
Brokerage commissions and fees | (3,291,928 | ) | ||
Net loss on investments | (45,202,298 | ) | ||
Net loss | $ | (45,286,164 | ) |
Three Months Ended September 30, | Nine Months Ended September 30, | ||||||||||||||||
2010 | 2009 | 2010 | 2009 | ||||||||||||||
Net investment loss | $ | (25,302 | ) | $ | (87,844 | ) | $ | (127,018 | ) | $ | (169,463 | ) | |||||
Net realized (loss) gain on investments | (9,520,923 | ) | 71,311,018 | (31,318,993 | ) | (120,649 | ) | ||||||||||
Net increase in appreciation on investments | 68,863,324 | 62,612,060 | 54,268,614 | 38,270,144 | |||||||||||||
Brokerage commissions and fees | (1,766,962 | ) | (2,462,705 | ) | (4,773,158 | ) | (5,377,799 | ) | |||||||||
Net gain on investments | 57,575,439 | 131,460,373 | 18,176,463 | 32,771,696 | |||||||||||||
Net income | $ | 57,550,137 | $ | 131,372,529 | $ | 18,049,445 | $ | 32,602,233 |
Commodity price | ||||
Futures | $ | 44,811,512 | ||
44,811,512 | ||||
Equity price | ||||
Futures | (40,301,211 | ) | ||
(40,301,211 | ) | |||
Foreign currency exchange rate | ||||
Futures | (5,461,945 | ) | ||
Forwards | (24,055,983 | ) | ||
(29,517,928 | ) | |||
Interest rate | ||||
Futures | (16,902,743 | ) | ||
(16,902,743 | ) | |||
Total | $ | (41,910,370 | ) |
Assets: | ||||
Due from brokers | $ | 135,887,098 | ||
Derivative financial instruments, at fair value | 45,743,328 | |||
Subscriptions receivable | - | |||
Interest receivable | 9,100 | |||
Total assets | 181,639,526 | |||
Liabilities: | ||||
Derivative financial instruments, at fair value | - | |||
Redemptions payable | - | |||
Total liabilities | - | |||
Net assets | $ | 181,639,526 | ||
Percentage of Master Fund held by the Fund | 4.08 | % |
Description | Principal Amount | Fair Value | Percentage of Net Assets of K4D Trading | ||||||
Long contracts | |||||||||
Futures | |||||||||
U.S. bond | $ | 237,741 | 0.13 | % | |||||
Foreign bond | 1,053,653 | 0.58 | % | ||||||
U.S. index | 3,010,100 | 1.66 | % | ||||||
Foreign index | (3,683,508 | ) | (2.03 | )% | |||||
Commodity | 31,911,445 | 17.57 | % | ||||||
Interest rate | 325,182 | 0.18 | % | ||||||
Currency | 4,536,916 | 2.50 | % | ||||||
Total futures | 37,391,529 | 20.59 | % | ||||||
Forwards | |||||||||
Japanese Yen / U.S. Dollar 01/19/11 | JPY 43,988,617,100 | 11,186,032 | 6.16 | % | |||||
Other Japanese Yen / U.S. Dollar 1/04/11 - 1/05/11 | JPY 14,270,122,339 | 796,715 | 0.44 | % | |||||
Swiss Franc / U.S. Dollar 01/19/11 | CHF 491,922,158 | 17,376,713 | 9.57 | % | |||||
Other foreign currency | 28,092,524 | 15.46 | % | ||||||
Total forwards | 57,451,984 | 31.63 | % |
Description | Principal Amount | Fair Value | Percentage of Net Assets of K4D Trading | ||||||
Short contracts | |||||||||
Futures | |||||||||
U.S. bond | $ | (1,546,794 | ) | (0.85 | )% | ||||
Foreign bond | (540,937 | ) | (0.30 | )% | |||||
Foreign index | (142,959 | ) | (0.08 | )% | |||||
Commodity | (4,754,965 | ) | (2.62 | )% | |||||
Interest rate | (3,790,967 | ) | (2.09 | )% | |||||
Currency | 739,824 | 0.41 | % | ||||||
Total futures | (10,036,798 | ) | (5.53 | )% | |||||
Forwards | |||||||||
Japanese Yen / U.S. Dollar 01/19/11 | JPY (36,043,608,800) | (12,993,436 | ) | (7.15 | )% | ||||
Other Japanese Yen / U.S. Dollar 1/04/11 - 1/05/11 | JPY (14,111,800,669) | (834,965 | ) | (0.46 | )% | ||||
Swiss Franc / U.S. Dollar 01/19/11 | CHF (431,464,200) | (17,247,454 | ) | (9.50 | )% | ||||
Other foreign currency | (7,987,532 | ) | (4.40 | )% | |||||
Total forwards | (39,063,387 | ) | (21.51 | )% | |||||
Total | $ | 45,743,328 | 25.18 | % |
September 30, 2010 | December 31, 2009 | |||||||||||
Long Contracts | ||||||||||||
Level 1: | ||||||||||||
U.S. bond futures | $ | 5,765,314 | $ | (4,526,734 | ) | $ | 237,741 | |||||
Foreign bond futures | 3,171,287 | (6,607,015 | ) | 1,053,653 | ||||||||
U.S. index futures | 11,745,619 | 5,331,432 | 3,010,100 | |||||||||
Foreign index futures | (9,271,591 | ) | 8,908,434 | 3,683,508 | ||||||||
Commodity futures | 59,192,780 | 35,170,316 | 31,911,445 | |||||||||
Interest rate futures | 9,544,082 | (8,722,161 | ) | 325,182 | ||||||||
Currency futures | 5,293,828 | 355,993 | 4,536,916 | |||||||||
Total Level 1 | 85,441,319 | 29,910,265 | 37,391,529 | |||||||||
Level 2: | ||||||||||||
Foreign currency forwards | 187,770,328 | (8,957,388 | ) | 57,451,984 | ||||||||
Total Level 2 | 187,770,328 | (8,957,388 | ) | 57,451,984 | ||||||||
Total long contracts | $ | 273,211,647 | $ | 20,952,877 | $ | 94,843,513 | ||||||
Short Contracts | ||||||||||||
Level 1: | ||||||||||||
U.S. bond futures | $ | (741,000 | ) | $ | 1,217,531 | $ | (1,546,794 | ) | ||||
Foreign bond futures | (665,490 | ) | 2,267,786 | (540,937 | ) | |||||||
U.S. index futures | (5,955,442 | ) | (2,810,098 | ) | ||||||||
Foreign index futures | 1,782,400 | (3,726,222 | ) | (142,959 | ) | |||||||
Commodity futures | (31,523,672 | ) | (14,721,246 | ) | (4,754,965 | ) | ||||||
Interest rate futures | (1,203,356 | ) | 2,493,009 | (3,790,967 | ) | |||||||
Currency futures | 836,397 | (32,595 | ) | 739,824 | ||||||||
Total Level 1 | (37,470,163 | ) | (15,311,835 | ) | (10,036,798 | ) | ||||||
Level 2: | ||||||||||||
Foreign currency forwards | (161,731,158 | ) | 12,288,132 | (39,063,387 | ) | |||||||
Total Level 2 | (161,731,158 | ) | 12,288,132 | (39,063,387 | ) | |||||||
Total short contracts | $ | (199,201,321 | ) | $ | (3,023,703 | ) | $ | (49,100,185 | ) |
Graham K4D Trading Ltd. | Graham K4D Trading Ltd. | |||||||||||||||||||||||||||||||||||||||||||||||
Long exposure | Short exposure | Long exposure | Short exposure | |||||||||||||||||||||||||||||||||||||||||||||
Notional amounts | Number of contracts | Notional amounts | Number of contracts | Derivative Assets | Derivative Liabilities | Notional amounts | Number of contracts | Notional amounts | Number of contracts | Derivative Assets | Derivative Liabilities | |||||||||||||||||||||||||||||||||||||
Commodity price | ||||||||||||||||||||||||||||||||||||||||||||||||
Futures | $ | 1,345,520,996 | 19,414 | $ | (895,262,752 | ) | (12,218 | ) | $ | 68,402,092 | $ | (40,732,984 | ) | $ | 810,106,878 | 10,782 | $ | (53,034,444 | ) | (926 | ) | $ | 32,742,543 | $ | (5,586,063 | ) | ||||||||||||||||||||||
1,345,520,996 | 19,414 | (895,262,752 | ) | (12,218 | ) | 68,402,092 | (40,732,984 | ) | 810,106,878 | 10,782 | (53,034,444 | ) | (926 | ) | 32,742,543 | (5,586,063 | ) | |||||||||||||||||||||||||||||||
Equity price | ||||||||||||||||||||||||||||||||||||||||||||||||
Futures | 5,039,857,338 | 28,532 | (4,564,577,226 | ) | (7,718 | ) | 15,550,380 | (17,249,394 | ) | 16,008,395,340 | 15,303 | (968,631,180 | ) | (671 | ) | 4,935,403 | (5,751,770 | ) | ||||||||||||||||||||||||||||||
5,039,857,338 | 28,532 | (4,564,577,226 | ) | (7,718 | ) | 15,550,380 | (17,249,394 | ) | 16,008,395,340 | 15,303 | (968,631,180 | ) | (671 | ) | 4,935,403 | (5,751,770 | ) | |||||||||||||||||||||||||||||||
Foreign currency exchange rate | ||||||||||||||||||||||||||||||||||||||||||||||||
Futures | 345,036,482 | 2,896 | (261,914,652 | ) | (2,753 | ) | 10,074,934 | (3,944,709 | ) | 340,454,690 | 2,852 | (86,152,236 | ) | (957 | ) | 5,633,114 | (356,374 | ) | ||||||||||||||||||||||||||||||
Forwards | 121,082,211,007 | - | (18,849,043,891 | ) | - | 63,198,490 | (37,159,320 | ) | 90,870,643,000 | - | (87,109,470,216 | ) | - | 78,339,927 | (59,951,330 | ) | ||||||||||||||||||||||||||||||||
121,427,247,489 | 2,896 | (19,110,958,543 | ) | (2,753 | ) | 73,273,424 | (41,104,029 | ) | 91,211,097,690 | 2,852 | (87,195,622,452 | ) | (957 | ) | 83,973,041 | (60,307,704 | ) | |||||||||||||||||||||||||||||||
Interest rate | ||||||||||||||||||||||||||||||||||||||||||||||||
Futures | 44,152,023,654 | 45,196 | (21,502,689,049 | ) | (22,885 | ) | 25,373,716 | (9,502,879 | ) | 2,044,200,093 | 8,454 | (63,261,455,459 | ) | (23,095 | ) | 2,729,784 | (6,991,906 | ) | ||||||||||||||||||||||||||||||
44,152,023,654 | 45,196 | (21,502,689,049 | ) | (22,885 | ) | 25,373,716 | (9,502,879 | ) | 2,044,200,093 | 8,454 | (63,261,455,459 | ) | (23,095 | ) | 2,729,784 | (6,991,906 | ) | |||||||||||||||||||||||||||||||
Total | $ | 171,964,649,477 | 96,038 | $ | (46,073,487,570 | ) | (45,574 | ) | $ | 182,599,612 | $ | (108,589,286 | ) | $ | 110,073,800,001 | 37,391 | $ | (151,478,743,535 | ) | (25,649 | ) | $ | 124,380,771 | $ | (78,637,443 | ) | ||||||||||||||||||||||
Collateral balances supporting all derivative positions | Collateral balances supporting all derivative positions | $ | 139,494,538 | Collateral balances supporting all derivative positions | $ | 135,887,098 |
Net investment loss | $ | (68,408 | ) | |
Net realized loss on investments | (77,892,271 | ) | ||
Net increase in appreciation on investments | 34,667,568 | |||
Brokerage commissions and fees | (1,480,295 | ) | ||
Net loss on investments | (44,704,998 | ) | ||
Net loss | $ | (44,773,406 | ) |
Graham K4D Trading Ltd. | ||||||||||||||||||||||||
Long exposure | Short exposure | |||||||||||||||||||||||
Notional amounts | Number of contracts | Notional amounts | Number of contracts | Derivative Assets | Derivative Liabilities | |||||||||||||||||||
Commodity price | ||||||||||||||||||||||||
Futures | $ | 1,281,924,053 | 21,625 | $ | (699,668,279 | ) | (11,135 | ) | $ | 42,918,544 | $ | (22,469,474 | ) | |||||||||||
1,281,924,053 | 21,625 | (699,668,279 | ) | (11,135 | ) | 42,918,544 | (22,469,474 | ) | ||||||||||||||||
Equity price | ||||||||||||||||||||||||
Futures | 6,321,952,643 | 16,319 | (3,918,741,020 | ) | (5,980 | ) | 14,812,534 | (7,108,988 | ) | |||||||||||||||
6,321,952,643 | 16,319 | (3,918,741,020 | ) | (5,980 | ) | 14,812,534 | (7,108,988 | ) | ||||||||||||||||
Foreign currency exchange rate | ||||||||||||||||||||||||
Futures | 30,156,168 | 359 | (108,869,583 | ) | (1,006 | ) | 757,620 | (434,222 | ) | |||||||||||||||
Forwards | 6,096,436,526 | - | (5,707,147,861 | ) | - | 78,435,771 | (75,105,027 | ) | ||||||||||||||||
6,126,592,694 | 359 | (5,816,017,444 | ) | (1,006 | ) | 79,193,391 | (75,539,249 | ) | ||||||||||||||||
Interest rate | ||||||||||||||||||||||||
Futures | 66,489,448,610 | 25,046 | (83,222,672,828 | ) | (13,820 | ) | 7,611,075 | (21,488,659 | ) | |||||||||||||||
66,489,448,610 | 25,046 | (83,222,672,828 | ) | (13,820 | ) | 7,611,075 | (21,488,659 | ) | ||||||||||||||||
Total | $ | 80,219,918,000 | 63,349 | $ | (93,657,099,571 | ) | (31,941 | ) | $ | 144,535,544 | $ | (126,606,370 | ) | |||||||||||
Collateral balances supporting all derivative positions | $ | 99,865,289 |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||||||
2010 | 2009 | 2010 | 2009 | |||||||||||||||||
Commodity price | ||||||||||||||||||||
Futures | $ | 23,090,803 | $ | 24,463,206 | $ | (50,844,752 | ) | $ | (10,723,803 | ) | $ | (23,768,545 | ) | |||||||
23,090,803 | 24,463,206 | (50,844,752 | ) | (10,723,803 | ) | (23,768,545 | ) | |||||||||||||
Equity price | ||||||||||||||||||||
Futures | (31,259,994 | ) | 112,121,801 | (92,929,632 | ) | 59,945,342 | (32,614,364 | ) | ||||||||||||
(31,259,994 | ) | 112,121,801 | (92,929,632 | ) | 59,945,342 | (32,614,364 | ) | |||||||||||||
Foreign currency exchange rate | ||||||||||||||||||||
Futures | 979,360 | 223,969 | 4,090,176 | (2,362,228 | ) | 712,311 | ||||||||||||||
Forwards | 22,931,616 | 20,247,415 | 13,713,340 | 25,212,981 | (80,875 | ) | ||||||||||||||
23,910,976 | 20,471,384 | 17,803,516 | 22,850,753 | 631,436 | ||||||||||||||||
Interest rate | ||||||||||||||||||||
Futures | 43,600,616 | (23,133,313 | ) | 148,920,489 | (33,922,797 | ) | 12,526,770 | |||||||||||||
43,600,616 | (23,133,313 | ) | 148,920,489 | (33,922,797 | ) | 12,526,770 | ||||||||||||||
Total | $ | 59,342,401 | $ | 133,923,078 | $ | 22,949,621 | $ | 38,149,495 | $ | (43,224,703 | ) |
September 30, 2010 | December 31, 2009 | March 31, 2011 | December 31, 2010 | |||||||||||||
Assets: | ||||||||||||||||
Cash and cash equivalents | $ | 837,774,778 | $ | 485,846,462 | $ | 657,076,450 | $ | 750,098,151 | ||||||||
Investments in fixed income securities | 1,686,686,798 | 1,421,913,802 | ||||||||||||||
Redemptions receivable | - | - | ||||||||||||||
Investments in fixed income securities (cost $2,367,048,721 and $2,215,622,512, respectively) | 2,367,048,721 | 2,215,622,512 | ||||||||||||||
Accrued interest income | 6,204,285 | 4,848,122 | 8,384,794 | 6,547,074 | ||||||||||||
Total assets | 2,530,665,861 | 1,912,608,386 | 3,032,509,965 | 2,972,267,737 | ||||||||||||
Liabilities: | ||||||||||||||||
Other payables | 20,000 | - | ||||||||||||||
Other liabilities | 20,000 | 20,000 | ||||||||||||||
Total liabilities | 20,000 | - | 20,000 | 20,000 | ||||||||||||
Members’ capital | $ | 2,530,645,861 | $ | 1,912,608,386 | ||||||||||||
Net assets | $ | 3,032,489,965 | $ | 2,972,247,737 |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||||||||||
2010 | 2009 | 2010 | 2009 | 2011 | 2010 | |||||||||||||||||||
Investment income | ||||||||||||||||||||||||
Interest income | $ | 3,507,896 | $ | 2,302,499 | $ | 9,167,607 | $ | 4,231,267 | $ | 3,860,502 | $ | 2,623,273 | ||||||||||||
Total investment income | 3,860,502 | 2,623,273 | ||||||||||||||||||||||
Expenses: | ||||||||||||||||||||||||
Bank fee expense | 133,584 | - | ||||||||||||||||||||||
Total expenses | 133,584 | - | ||||||||||||||||||||||
Net investment income | 3,507,896 | 2,302,499 | 9,167,607 | 4,231,267 | 3,726,918 | 2,623,273 | ||||||||||||||||||
Net income | $ | 3,507,896 | $ | 2,302,499 | $ | 9,167,607 | $ | 4,231,267 | $ | 3,726,918 | $ | 2,623,273 |
Description | Principal Amount | Fair Value | Percentage of Members’ Capital | |||||||||
Graham Cash Assets LLC | ||||||||||||
Investments in Fixed Income Securities (cost $2,367,048,721) | ||||||||||||
United States | ||||||||||||
FDIC Guaranteed Bonds (cost $1,179,021,270) | ||||||||||||
Citibank 1.25% - 1.88% due 07/12/11 – 12/28/12 | $ | 375,000,000 | $ | 377,224,782 | 12.44 | % | ||||||
Citigroup Funding Inc. 1.38% - 1.88% due 05/05/11 – 11/15/12 | 175,000,000 | 176,506,228 | 5.82 | % | ||||||||
Other FDIC guaranteed bonds | 625,290,260 | 20.62 | % | |||||||||
Total FDIC Guaranteed Bonds | 1,179,021,270 | 38.88 | % | |||||||||
Government Bonds (cost $1,188,027,451) | ||||||||||||
U.S. Treasury 0.38% - 1.13% due 04/30/11 – 11/30/12 | 1,185,000,000 | 1,188,027,451 | 39.18 | % | ||||||||
Total Government Bonds | 1,188,027,451 | 39.18 | % | |||||||||
Total Investments in Fixed Income Securities | $ | 2,367,048,721 | 78.06 | % |
Description | Principal Amount | Fair Value | Percentage of Members’ Capital | |||||||||
Graham Cash Assets LLC | ||||||||||||
Investments in Fixed Income Securities (cost $2,215,622,512) | ||||||||||||
United States | ||||||||||||
FDIC Guaranteed Bonds (cost $1,101,463,404) | ||||||||||||
Citibank 1.25% – 1.88% due 03/30/11 – 05/07/12 | $ | 350,000,000 | $ | 351,915,163 | 11.84 | % | ||||||
Other FDIC guaranteed bonds | 749,548,241 | 25.22 | % | |||||||||
Total FDIC Guaranteed Bonds | 1,101,463,404 | 37.06 | % | |||||||||
Government Bonds (cost $1,114,159,108) | ||||||||||||
U.S. Treasury 0.88% due 04/30/11 | 150,000,000 | 150,213,724 | 5.05 | % | ||||||||
Other U.S. Treasury 0.75% – 1.13% due 01/31/11 – 04/30/12 | 963,945,384 | 32.43 | % | |||||||||
Total Government Bonds | 1,114,159,108 | 37.48 | % | |||||||||
Total Investments in Fixed Income Securities | $ | 2,215,622,512 | 74.54 | % |
September 30, 2010 | December 31, 2009 | March 31, 2011 | December 31, 2010 | |||||||||||||
Long positions | ||||||||||||||||
Level 2: | ||||||||||||||||
Fixed income securities | ||||||||||||||||
FDIC Guaranteed Bonds | $ | 985,173,744 | $ | 667,900,290 | $ | 1,179,021,270 | $ | 1,101,463,404 | ||||||||
Government Bonds | 701,513,054 | 754,013,512 | 1,188,027,451 | 1,114,159,108 | ||||||||||||
Fixed income securities | 1,686,686,798 | 1,421,913,802 | 2,367,048,721 | 2,215,622,512 | ||||||||||||
Total Level 2 | 1,686,686,798 | 1,421,913,802 | 2,367,048,721 | 2,215,622,512 | ||||||||||||
Total long positions | $ | 1,686,686,798 | $ | 1,421,913,802 | $ | 2,367,048,721 | $ | 2,215,622,512 |
Class | Annual Rate |
Class 0 | 2% |
Class 2 | 4% |
Class 0 | Class 2 | |||||||
Per unit operating performance: | ||||||||
Initial net asset value per unit, June 30, 2009 | $ | 93.58 | $ | 92.63 | ||||
Net income: | ||||||||
Net investment loss | (1.32 | ) | (1.80 | ) | ||||
Net gain on investments | 9.16 | 9.44 | ||||||
Net income | 7.84 | 7.64 | ||||||
Net asset value per unit, September 30, 2009 | $ | 101.42 | $ | 100.27 | ||||
Net asset value per unit, June 30, 2010 | $ | 95.72 | $ | 93.33 | ||||
Net income: | ||||||||
Net investment loss | (1.14 | ) | (0.25 | ) | ||||
Net gain on investments | 3.68 | 2.24 | ||||||
Net income | 2.54 | 1.99 | ||||||
Net asset value per unit, September 30, 2010 | $ | 98.26 | $ | 95.32 |
Class 0 | Class 2 | |||||||||||||||
2010 | 2009 | 2010 | 2009 | |||||||||||||
Total return before Incentive Allocation | 2.52 | % | 11.48 | % | 2.00 | % | 10.42 | % | ||||||||
Incentive Allocation | 0.00 | (3.64 | ) | 0.00 | (2.78 | ) | ||||||||||
Total return after Incentive Allocation | 2.52 | % | 7.84 | % | 2.00 | % | 7.64 | % | ||||||||
Net investment loss before Incentive Allocation | (1.18 | )% | (1.63 | )% | (1.72 | )% | (2.13 | )% | ||||||||
Incentive Allocation | 0.00 | (3.64 | ) | 0.00 | (2.78 | ) | ||||||||||
Net investment loss after Incentive Allocation | (1.18 | )% | (5.27 | )% | (1.72 | )% | (4.91 | )% | ||||||||
Total expenses before Incentive Allocation | 1.30 | % | 0.76 | % | 1.82 | % | 1.26 | % | ||||||||
Incentive Allocation | 0.00 | 3.64 | 0.00 | 2.78 | ||||||||||||
Total expenses after Incentive Allocation | 1.30 | % | 4.40 | % | 1.82 | % | 4.04 | % |
Class 0 | Class 2 | |||||||
Per unit operating performance: | ||||||||
Initial net asset value per unit, January 4, 2009 | $ | 100.00 | $ | 100.00 | ||||
Net income: | ||||||||
Net investment loss | (3.73 | ) | (5.16 | ) | ||||
Net gain on investments | 5.15 | 5.43 | ||||||
Net income | 1.42 | 0.27 | ||||||
Net asset value per unit, September 30, 2009 | $ | 101.42 | $ | 100.27 | ||||
Net asset value per unit, December 31, 2009 | $ | 100.59 | $ | 99.05 | ||||
Net loss: | ||||||||
Net investment loss | (3.41 | ) | (4.77 | ) | ||||
Net gain on investments | 1.08 | 1.04 | ||||||
Net loss | (2.33 | ) | (3.73 | ) | ||||
Net asset value per unit, September 30, 2010 | $ | 98.26 | $ | 95.32 |
Class 0 | Class 2 | |||||||
Per unit operating performance: | ||||||||
Net asset value per unit, December 31, 2009 | $ | 100.59 | $ | 99.05 | ||||
Net loss: | ||||||||
Net investment loss | (1.84 | ) | (1.73 | ) | ||||
Net loss on investments | (2.46 | ) | (2.97 | ) | ||||
Net loss | (4.30 | ) | (4.70 | ) | ||||
Net asset value per unit, March 31, 2010 | $ | 96.29 | $ | 94.35 | ||||
Net asset value per unit, December 31, 2010 | $ | 102.92 | $ | 99.72 | ||||
Net loss: | ||||||||
Net investment loss | (1.05 | ) | (1.50 | ) | ||||
Net loss on investments | (1.79 | ) | (1.74 | ) | ||||
Net loss | (2.84 | ) | (3.24 | ) | ||||
Net asset value per unit, March 31, 2011 | $ | 100.08 | $ | 96.48 |
Class 0 | Class 2 | Class 0 | Class 2 | |||||||||||||||||||||||||||||
2010 | 2009 | 2010 | 2009 | 2011 | 2010 | 2011 | 2010 | |||||||||||||||||||||||||
Total return before Incentive Allocation | (2.32 | )% | 5.06 | % | (3.77 | )% | 3.05 | % | (2.75 | )% | (4.27 | )% | (3.24 | )% | (4.75 | )% | ||||||||||||||||
Incentive Allocation | 0.00 | (3.64 | ) | 0.00 | (2.78 | ) | (0.01 | ) | 0.00 | (0.01 | ) | 0.00 | ||||||||||||||||||||
Total return after Incentive Allocation | (2.32 | )% | 1.42 | % | (3.77 | )% | 0.27 | % | (2.76 | )% | (4.27 | )% | (3.25 | )% | (4.75 | )% | ||||||||||||||||
Net investment loss before Incentive Allocation | (3.55 | )% | (3.80 | )% | (5.11 | )% | (5.32 | )% | (1.03 | )% | (1.21 | )% | (1.52 | )% | (1.69 | )% | ||||||||||||||||
Incentive Allocation | 0.00 | (3.64 | ) | 0.00 | (2.78 | ) | (0.01 | ) | 0.00 | (0.01 | ) | 0.00 | ||||||||||||||||||||
Net investment loss after Incentive Allocation | (3.55 | )% | (7.44 | )% | (5.11 | )% | (8.10 | )% | (1.04 | )% | (1.21 | )% | (1.53 | )% | (1.69 | )% | ||||||||||||||||
Total expenses before Incentive Allocation | 3.88 | % | 3.26 | % | 5.43 | % | 4.79 | % | 1.12 | % | 1.28 | % | 1.64 | % | 7.11 | % | ||||||||||||||||
Incentive Allocation | 0.00 | 3.64 | 0.00 | 2.78 | 0.01 | 0.00 | 0.01 | 0.00 | ||||||||||||||||||||||||
Total expenses after Incentive Allocation | 3.88 | % | 6.90 | % | 5.43 | % | 7.57 | % | 1.13 | % | 1.28 | % | 1.65 | % | 7.11 | % |
(a) | Management’s Discussion and Analysis of Financial Condition and Results of Operations |
(i) | Results of Operations |
Agriculture | $ | (551,207 | ) | $ | 236,882 | |||
Energy | (197,988 | ) | 783,331 | |||||
Foreign exchange | 2,701,778 | (501,870 | ) | |||||
Interest rates | 5,452,796 | (335,514 | ) | |||||
Metals | 2,618,043 | 214,411 | ||||||
Softs | 616,722 | 250,962 | ||||||
Stock index | (2,924,305 | ) | (866,257 | ) | ||||
$ | 7,715,839 | $ | (218,055 | ) |
Agriculture | 23.4 | % | ||
Energy | 35.2 | % | ||
Foreign exchange | 6.1 | % | ||
Interest rates | 29.8 | % | ||
Metals | 0.3 | % | ||
Softs | (4.1 | %) | ||
Stock index | 9.3 | % | ||
100.0 | % |
Agriculture | $ | (700,485 | ) | $ | 368,180 | |||
Energy | (2,979,619 | ) | 524,280 | |||||
Foreign exchange | 6,611,730 | 2,577,495 | ||||||
Interest rates | 14,895,930 | 1,469,154 | ||||||
Metals | 997,110 | (566,789 | ) | |||||
Softs | (757,694 | ) | (1,154,853 | ) | ||||
Stock index | (7,237,173 | ) | (2,555,622 | ) | ||||
$ | 10,829,799 | $ | 661,845 |
Agriculture | % | |||
Energy | % | |||
Foreign exchange | % | |||
Interest rates | % | |||
Metals | % | |||
Softs | % | |||
Stock index | %) | |||
% |
Agriculture | $ | 430,585 | ||
Energy | (1,329,002 | ) | ||
Foreign exchange | 431,050 | |||
Interest rates | (570,787 | ) | ||
Metals | 1,120,749 | |||
Softs | 1,190,469 | |||
Stock index | 7,289,994 | |||
$ | 8,563,058 |
Agriculture | $ | (33,812 | ) | |
Energy | (1,163,889 | ) | ||
Foreign exchange | 3,345,955 | |||
Interest rates | (432,871 | ) | ||
Metals | 511,276 | |||
Softs | 834,627 | |||
Stock index | 6,892,702 | |||
$ | 9,953,988 |
Agriculture | $ | (44,736 | ) | $ | 1,626 | |||
Energy | (164,282 | ) | 416,891 | |||||
Foreign exchange | 704,551 | (762,592 | ) | |||||
Interest rates | 1,001,399 | (468,594 | ) | |||||
Metals | 605,029 | 332,942 | ||||||
Softs | 186,340 | 329,739 | ||||||
Stock index | (801,707 | ) | (836,406 | ) | ||||
$ | 1,486,594 | $ | (986,394 | ) |
Agriculture | $ | (89,841 | ) | |
Energy | (647,672 | ) | ||
Foreign exchange | 421,668 | |||
Interest rates | 2,476,875 | |||
Metals | 181,743 | |||
Softs | (192,407 | ) | ||
Stock index | (1,486,359 | ) | ||
$ | 664,007 |
Agriculture | 5.8 | % | ||
Energy | 22.1 | % | ||
Foreign exchange | 10.6 | % | ||
Interest rates | 32.1 | % | ||
Metals | 17.0 | % | ||
Softs | (4.7 | %) | ||
Stock index | 17.1 | % | ||
100.0 | % |
Agriculture | $ | 192,135 | ||
Energy | 55,186 | |||
Foreign exchange | 108,305 | |||
Interest rates | 299,889 | |||
Metals | (232,240 | ) | ||
Softs | (571,725 | ) | ||
Stock index | (779,566 | ) | ||
$ | (928,016 | ) |
Agriculture | % | |||
Energy | % | |||
Foreign exchange | % | |||
Interest rates | %) | |||
Metals | % | |||
Softs | % | |||
Stock index | %) | |||
% |
Agriculture | $ | 64,085 | ||
Energy | (160,058 | ) | ||
Foreign exchange | 194,236 | |||
Interest rates | (194,673 | ) | ||
Metals | 139,985 | |||
Softs | 162,513 | |||
Stock index | 952,998 | |||
$ | 1,159,086 |
Agriculture | $ | 49,192 | ||
Energy | (196,542 | ) | ||
Foreign exchange | 213,557 | |||
Interest rates | (230,163 | ) | ||
Metals | 112,753 | |||
Softs | 133,342 | |||
Stock index | 887,613 | |||
$ | 969,752 |
(ii) | Liquidity |
Blended Strategies Portfolio | Systematic Strategies Portfolio | |||||||
September 30, 2010 | 11.53 | % | 13.70 | % | ||||
December 31, 2009 | 5.34 | % | 9.18 | % | ||||
September 30, 2009 | 10.37 | % | 17.55 | % |
Blended Strategies Portfolio | Systematic Strategies Portfolio | |||||||
March 31, 2011 | 11.74 | % | 14.45 | % | ||||
December 31, 2010 | 7.57 | % | 7.73 | % | ||||
March 31, 2010 | 12.42 | % | 17.40 | % |
(iii) | Capital Resources |
(iv) | Critical Accounting Policies |
(v) | Off-Balance Sheet Arrangements |
Blended Strategies Portfolio Total | Systematic Strategies Portfolio Total Number of | |||||||
Period (as of) | ||||||||
July 1, 2010 | 72,746 | 6,415 | ||||||
August 1, 2010 | 25,489 | 11,305 | ||||||
September 1, 2010 | 77,610 | 24,677 |
Blended Strategies Portfolio Total Number of | Systematic Strategies Portfolio Total Number of | |||||||
Period (as of) | ||||||||
January 1, 2011 | 142,576.705 | 71,893.007 | ||||||
February 1, 2011 | 78,277.646 | 15,159.142 | ||||||
March 1, 2011 | 107,676.971 | 20,667.136 |
* 3.1 | Certificate of Formation of Graham Alternative Investment Fund I LLC |
* 4.1 | Amended and Restated Limited Liability Company Agreement of Graham Alternative Investment Fund I LLC |
* 10.1 | Form of Subscription Agreement |
* 10.2 | Form of Placement Agreement |
Dated: | GRAHAM ALTERNATIVE INVESTMENT FUND I LLC | |||
By: | GRAHAM CAPITAL MANAGEMENT, L.P. | |||
its Manager | ||||
By: | /s/ Paul Sedlack | |||
Paul Sedlack, Chief Executive Officer | ||||
By: | /s/ Jeff Baisley | |||
Jeff Baisley, Chief Financial Officer |