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 | ||||||
Graham Alternative Investment Trading II LLC |
72 | |||||
Item 2. | |||||||
Item 3. | |||||||
Item 4. | |||||||
Exhibits | |||||||
EX-31.1 | Certification |
Certification |
EX- 32. 1 | Certification |
March 31, 2011 | December 31, 2010 | ||||||||||||||
(Unaudited) | (Audited) | June 30, 2011 (Unaudited) | December 31, 2010 (Audited) | ||||||||||||
Assets | |||||||||||||||
Investment in Graham Alternative Investment Trading LLC, at fair value | $ | 326,024,192 | $ | 290,023,320 | $ | 327,226,545 | $ | 290,023,320 | |||||||
Investment in Graham Alternative Investment Trading II LLC, at fair value | 56,235,758 | 48,442,149 | 58,563,212 | 48,442,149 | |||||||||||
Redemption receivable from Graham Alternative Investment Trading LLC | 2,351,929 | 1,296,065 | 637,636 | 1,296,065 | |||||||||||
Redemption receivable from Graham Alternative Investment Trading II LLC | 574,316 | 125,284 | 1,555,524 | 125,284 | |||||||||||
Total assets | $ | 385,186,195 | $ | 339,886,818 | $ | 387,982,917 | $ | 339,886,818 | |||||||
Liabilities and members’ capital | |||||||||||||||
Liabilities: | |||||||||||||||
Accrued redemptions | $ | 2,926,245 | $ | 1,421,349 | $ | 2,193,160 | $ | 1,421,349 | |||||||
Total liabilities | 2,926,245 | 1,421,349 | 2,193,160 | 1,421,349 | |||||||||||
Members’ capital: | |||||||||||||||
Blended Strategies Portfolio: | |||||||||||||||
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 | |||||||||||||
Class 0 Units (2,119,994.628 and 1,752,436.237 units issued and outstanding at $132.67 and $138.96, respectively) | 281,267,194 | 243,511,752 | |||||||||||||
Class 2 Units (427,605.316 and 409,129.824 units issued and outstanding at $107.48 and $113.68, respectively) | 45,959,351 | 46,511,568 | |||||||||||||
Total Blended Strategies Portfolio | 326,024,192 | 290,023,320 | 327,226,545 | 290,023,320 | |||||||||||
Systematic Strategies Portfolio: | |||||||||||||||
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 | |||||||||||||
Class 0 Units (371,493.921 and 274,960.438 units issued and outstanding at $95.59 and $102.92, respectively) | 35,512,953 | 28,297,652 | |||||||||||||
Class 2 Units (251,394.349 and 202,003.861 units issued and outstanding at $91.69 and $99.72, respectively) | 23,050,259 | 20,144,497 | |||||||||||||
Total Systematic Strategies Portfolio | 56,235,758 | 48,442,149 | 58,563,212 | 48,442,149 | |||||||||||
Total members’ capital | 382,259,950 | 338,465,469 | 385,789,757 | 338,465,469 | |||||||||||
Total liabilities and members’ capital | $ | 385,186,195 | $ | 339,886,818 | $ | 387,982,917 | $ | 339,886,818 |
Three Months Ended March 31, | Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||||||||
2011 (Unaudited) | 2010 (Unaudited) | 2011 (Unaudited) | 2010 (Unaudited) | 2011 (Unaudited) | 2010 (Unaudited) | ||||||||||||||||||
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 (loss) gain allocated from investments in other funds: | |||||||||||||||||||||||
Net realized (loss) gain on investments | $ | (3,486,735 | ) | $ | 8,271,751 | $ | (2,438,507 | ) | $ | 2,883,574 | |||||||||||||
Net decrease in unrealized appreciation on investments | (6,570,840 | ) | (5,714,207 | ) | (8,823,517 | ) | (592,201 | ) | |||||||||||||||
Net (loss) gain allocated from investments in other funds | (10,057,575 | ) | 2,557,544 | (11,262,024 | ) | 2,291,373 | |||||||||||||||||
Net investment loss allocated from investment in other funds: | |||||||||||||||||||||||
Investment income: | |||||||||||||||||||||||
Interest income | 388,729 | 616,480 | 395,604 | 670,037 | 784,333 | 1,297,146 | |||||||||||||||||
Expenses: | |||||||||||||||||||||||
Brokerage fees | 2,224,876 | 1,109,619 | 2,348,648 | 1,567,840 | 4,573,524 | 2,677,459 | |||||||||||||||||
Advisory fees | 1,873,379 | 1,344,479 | 1,988,117 | 1,296,525 | 3,861,496 | 2,641,004 | |||||||||||||||||
Sponsor fees | 936,689 | 554,810 | 994,059 | 648,261 | 1,930,748 | 1,203,071 | |||||||||||||||||
Incentive allocation | 10,820 | - | 32,173 | (542 | ) | 42,993 | (542 | ) | |||||||||||||||
Interest and other | 8,810 | - | 49,580 | 24,836 | 58,390 | 35,465 | |||||||||||||||||
Total expenses | 5,054,574 | 3,008,908 | 5,412,577 | 3,536,920 | 10,467,151 | 6,556,457 | |||||||||||||||||
Net investment loss allocated from investments in other funds | (4,665,845 | ) | (2,392,428 | ) | (5,016,973 | ) | (2,866,883 | ) | (9,682,818 | ) | (5,259,311 | ) | |||||||||||
Net loss | $ | (5,870,294 | ) | $ | (2,658,599 | ) | $ | (15,074,548 | ) | $ | (309,339 | ) | $ | (20,944,842 | ) | $ | (2,967,938 | ) |
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 | 99,991.726 | 13,249,791 | 39,174.910 | 4,328,559 | 17,578,350 | 368,844.744 | 49,644,739 | 77,478.752 | 8,602,840 | 58,247,579 | ||||||||||||||||||||||||||||||
Redemptions | (15,238.212 | ) | (1,995,955 | ) | (9,891.505 | ) | (1,074,667 | ) | (3,070,622 | ) | (86,730.660 | ) | (11,680,951 | ) | (33,428.352 | ) | (3,698,323 | ) | (15,379,274 | ) | ||||||||||||||||||||
Net loss | – | (961,453 | ) | – | (404,626 | ) | (1,366,079 | ) | – | (790,231 | ) | – | (535,086 | ) | (1,325,317 | ) | ||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||
Members’ capital, June 30, 2010 | 1,417,057.510 | $ | 191,023,880 | 344,774.139 | $ | 38,269,702 | $ | 229,293,582 |
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 | 440,148.711 | 61,465,602 | 61,045.543 | 6,893,865 | 68,359,467 | |||||||||||||||
Redemptions | (72,590.320 | ) | (10,130,845 | ) | (42,570.051 | ) | (4,761,164 | ) | (14,892,009 | ) | ||||||||||
Net loss | – | (13,579,315 | ) | – | (2,684,918 | ) | (16,264,233 | ) | ||||||||||||
Members’ capital, June 30, 2011 | 2,119,994.628 | $ | 281,267,194 | 427,605.316 | $ | 45,959,351 | $ | 327,226,545 |
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 | 56,189.672 | 5,378,002 | 64,039.248 | 6,069,792 | 11,447,794 | 69,695,373 | |||||||||||||||
Redemptions | (5,777.197 | ) | (555,110 | ) | (12,300.606 | ) | (1,155,528 | ) | (1,710,638 | ) | (17,089,912 | ) | |||||||||
Net loss | – | (875,530 | ) | – | (767,091 | ) | (1,642,621 | ) | (2,967,938 | ) | |||||||||||
Members’ capital, June 30, 2010 | 230,977.432 | $ | 22,110,239 | 170,774.395 | $ | 15,938,023 | $ | 38,048,262 | $ | 267,341,844 |
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 | 123,185.035 | 12,558,260 | 67,198.874 | 6,616,363 | 19,174,623 | 87,534,090 | |||||||||||||||
Redemptions | (26,651.552 | ) | (2,635,677 | ) | (17,808.386 | ) | (1,737,274 | ) | (4,372,951 | ) | (19,264,960 | ) | |||||||||
Net loss | – | (2,707,282 | ) | – | (1,973,327 | ) | (4,680,609 | ) | (20,944,842 | ) | |||||||||||
Members’ capital, June 30, 2011 | 371,493.921 | $ | 35,512,953 | 251,394.349 | $ | 23,050,259 | $ | 58,563,212 | $ | 385,789,757 |
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, 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 |
Three Months Ended March 31, | Six Months Ended June 30, | |||||||||||||||
2011 (Unaudited) | 2010 (Unaudited) | 2011 (Unaudited) | 2010 (Unaudited) | |||||||||||||
Cash flows used in operating activities | ||||||||||||||||
Net loss | $ | (5,870,294 | ) | $ | (2,658,599 | ) | $ | (20,944,842 | ) | $ | (2,967,938 | ) | ||||
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 | 16,264,233 | 1,325,317 | ||||||||||||
Net loss allocated from investment in Graham Alternative Investment Trading II LLC | 1,745,294 | 1,292,520 | 4,680,609 | 1,642,621 | ||||||||||||
Proceeds from sale of investments in Graham Alternative Investment Trading LLC | 5,128,829 | 3,070,622 | 15,550,438 | 15,106,144 | ||||||||||||
Proceeds from sale of investments in Graham Alternative Investment Trading II LLC | 1,447,762 | 341,343 | 2,942,711 | 1,710,638 | ||||||||||||
Investments in Graham Alternative Investment Trading LLC | (46,310,565 | ) | (17,185,573 | ) | (68,359,467 | ) | (58,247,579 | ) | ||||||||
Investments in Graham Alternative Investment Trading II LLC | (11,435,697 | ) | (5,526,003 | ) | (19,174,623 | ) | (11,447,794 | ) | ||||||||
Net cash used in operating activities | (51,169,671 | ) | (19,299,611 | ) | (69,040,941 | ) | (52,878,591 | ) | ||||||||
Cash flows provided by financing activities | ||||||||||||||||
Subscriptions | 56,241,366 | 23,104,353 | 87,534,090 | 69,695,373 | ||||||||||||
Redemptions | (5,071,695 | ) | (3,804,742 | ) | (18,493,149 | ) | (16,816,782 | ) | ||||||||
Net cash provided by financing activities | 51,169,671 | 19,299,611 | 69,040,941 | 52,878,591 | ||||||||||||
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, March 31, 2010 | $ | 134.58 | $ | 111.36 | $ | 96.29 | $ | 94.35 | |||||||
Net gain (loss): | |||||||||||||||
Net investment loss | (1.67 | ) | (1.80 | ) | (1.17 | ) | (1.58 | ) | |||||||
Net gain on investments | 1.89 | 1.44 | 0.60 | 0.56 | |||||||||||
Net gain (loss) | 0.22 | (0.36 | ) | (0.57 | ) | (1.02 | ) | ||||||||
Net asset value per unit, June 30, 2010 | $ | 134.80 | $ | 111.00 | $ | 95.72 | $ | 93.33 | |||||||
Net asset value per unit, March 31, 2011 | $ | 137.45 | $ | 111.91 | $ | 100.08 | $ | 96.48 | |||||||
Net loss: | |||||||||||||||
Net investment loss | (1.55 | ) | (1.87 | ) | (1.26 | ) | (1.74 | ) | |||||||
Net loss on investments | (3.23 | ) | (2.56 | ) | (3.23 | ) | (3.05 | ) | |||||||
Net loss | (4.78 | ) | (4.43 | ) | (4.49 | ) | (4.79 | ) | |||||||
Net asset value per unit, June 30, 2011 | $ | 132.67 | $ | 107.48 | $ | 95.59 | $ | 91.69 |
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 | |||||||||||||||
2011 | 2010 | 2011 | 2010 | |||||||||||||
Total return before Incentive Allocation | (3.48 | )% | 0.16 | % | (3.96 | )% | (0.31 | )% | ||||||||
Incentive Allocation | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||
Total return after Incentive Allocation | (3.48 | )% | 0.16 | % | (3.96 | )% | (0.31 | )% | ||||||||
Net investment loss before Incentive Allocation | (1.13 | )% | (1.04 | )% | (1.67 | )% | (1.55 | )% | ||||||||
Incentive Allocation | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||
Net investment loss after Incentive Allocation | (1.13 | )% | (1.04 | )% | (1.67 | )% | (1.55 | )% | ||||||||
Total expenses before Incentive Allocation | 1.55 | % | 1.30 | % | 2.06 | % | 1.81 | % | ||||||||
Incentive Allocation | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||
Total expenses after Incentive Allocation | 1.55 | % | 1.30 | % | 2.06 | % | 1.81 | % |
Systematic Strategies Portfolio | ||||||||||||||||
Class 0 | Class 2 | |||||||||||||||
2011 | 2010 | 2011 | 2010 | |||||||||||||
Total return before Incentive Allocation | (4.49 | )% | (0.52 | )% | (4.96 | )% | (1.03 | )% | ||||||||
Incentive Allocation | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||
Total return after Incentive Allocation | (4.49 | )% | (0.52 | )% | (4.96 | )% | (1.03 | )% | ||||||||
Net investment loss before Incentive Allocation | (1.26 | )% | (1.03 | )% | (1.80 | )% | (1.59 | )% | ||||||||
Incentive Allocation | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||
Net investment loss after Incentive Allocation | (1.26 | )% | (1.03 | )% | (1.80 | )% | (1.59 | )% | ||||||||
Total expenses before Incentive Allocation | 1.46 | % | 1.28 | % | 1.99 | % | 1.85 | % | ||||||||
Incentive Allocation | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||
Total expenses after Incentive Allocation | 1.46 | % | 1.28 | % | 1.99 | % | 1.85 | % |
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 | (3.21 | ) | (3.55 | ) | (2.28 | ) | (3.06 | ) | |||||||
Net gain (loss) on investments | 2.45 | 1.82 | (2.59 | ) | (2.66 | ) | |||||||||
Net loss | (0.76 | ) | (1.73 | ) | (4.87 | ) | (5.72 | ) | |||||||
Net asset value per unit, June 30, 2010 | $ | 134.80 | $ | 111.00 | $ | 95.72 | $ | 93.33 | |||||||
Net asset value per unit, December 31, 2010 | $ | 138.96 | $ | 113.68 | $ | 102.92 | $ | 99.72 | |||||||
Net loss: | |||||||||||||||
Net investment loss | (2.82 | ) | (3.44 | ) | (2.31 | ) | (3.24 | ) | |||||||
Net loss on investments | (3.47 | ) | (2.76 | ) | (5.02 | ) | (4.79 | ) | |||||||
Net loss | (6.29 | ) | (6.20 | ) | (7.33 | ) | (8.03 | ) | |||||||
Net asset value per unit, June 30, 2011 | $ | 132.67 | $ | 107.48 | $ | 95.59 | $ | 91.69 |
Blended Strategies Portfolio | ||||||||||||||||
Class 0 | Class 2 | |||||||||||||||
2011 | 2010 | 2011 | 2010 | |||||||||||||
Total return before Incentive Allocation | (4.52 | )% | (0.56 | )% | (5.44 | )% | (1.53 | )% | ||||||||
Incentive Allocation | (0.01 | ) | 0.00 | (0.01 | ) | 0.00 | ||||||||||
Total return after Incentive Allocation | (4.53 | )% | (0.56 | )% | (5.45 | )% | (1.53 | )% | ||||||||
Net investment loss before Incentive Allocation | (2.02 | )% | (2.01 | )% | (3.02 | )% | (3.05 | )% | ||||||||
Incentive Allocation | (0.01 | ) | 0.00 | (0.01 | ) | 0.00 | ||||||||||
Net investment loss after Incentive Allocation | (2.03 | )% | (2.01 | )% | (3.03 | )% | (3.05 | )% | ||||||||
Total expenses before Incentive Allocation | 2.55 | % | 2.55 | % | 3.57 | % | 3.59 | % | ||||||||
Incentive Allocation | 0.01 | 0.00 | 0.01 | 0.00 | ||||||||||||
Total expenses after Incentive Allocation | 2.56 | % | 2.55 | % | 3.58 | % | 3.59 | % |
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 | % |
Systematic Strategies Portfolio | ||||||||||||||||
Class 0 | Class 2 | |||||||||||||||
2011 | 2010 | 2011 | 2010 | |||||||||||||
Total return before Incentive Allocation | (7.11 | )% | (4.84 | )% | (8.04 | )% | (5.78 | )% | ||||||||
Incentive Allocation | (0.01 | ) | 0.00 | (0.01 | ) | 0.00 | ||||||||||
Total return after Incentive Allocation | (7.12 | )% | (4.84 | )% | (8.05 | )% | (5.78 | )% | ||||||||
Net investment loss before Incentive Allocation | (2.23 | )% | (2.02 | )% | (3.24 | )% | (3.08 | )% | ||||||||
Incentive Allocation | (0.01 | ) | 0.00 | (0.01 | ) | 0.00 | ||||||||||
Net investment loss after Incentive Allocation | (2.24 | )% | (2.02 | )% | (3.25 | )% | (3.08 | )% | ||||||||
Total expenses before Incentive Allocation | 2.58 | % | 2.55 | % | 3.63 | % | 3.61 | % | ||||||||
Incentive Allocation | 0.01 | 0.00 | 0.01 | 0.00 | ||||||||||||
Total expenses after Incentive Allocation | 2.59 | % | 2.55 | % | 3.64 | % | 3.61 | % |
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 | % |
Unaudited Financial Statements Graham Alternative Investment Trading LLC For the periods from January 1, 2011 to June 30, 2011 and January 1, 2010 to June 30, 2010 |
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 | ) |
June 30, 2011 (Unaudited) | December 31, 2010 (Audited) | ||||||
Assets | |||||||
Investments in Master Funds, at fair value | $ | 75,515,943 | $ | 43,910,786 | |||
Investment in Graham Cash Assets LLC, at fair value | 428,889,551 | 409,389,656 | |||||
Commission reimbursements receivable | 533,202 | 278,469 | |||||
Receivable from Master Funds | 63 | – | |||||
Total assets | $ | 504,938,759 | $ | 453,578,911 | |||
Liabilities and members’ capital | |||||||
Liabilities: | |||||||
Accrued redemptions | $ | 2,259,642 | $ | 4,817,403 | |||
Accrued brokerage fees | 955,186 | 894,187 | |||||
Accrued advisory fees | 828,548 | 768,947 | |||||
Accrued sponsor fees | 414,274 | 384,474 | |||||
Payable to Master Funds | – | 61 | |||||
Total liabilities | 4,457,650 | 6,865,072 | |||||
Members’ capital: | |||||||
Class 0 Units (3,190,733.255 and 2,685,172.128 units issued and outstanding at $132.67 and $138.96 per unit, respectively) | 423,325,876 | 373,121,130 | |||||
Class 2 Units (709,816.548 and 639,582.657 units issued and outstanding at $107.48 and $113.68 per unit, respectively) | 76,291,640 | 72,710,381 | |||||
Class M Units (4,671.470 and 4,671.470 units issued and outstanding at $184.86 and $188.88 per unit, respectively) | 863,593 | 882,328 | |||||
Total members’ capital | 500,481,109 | 446,713,839 | |||||
Total liabilities and members’ capital | $ | 504,938,759 | $ | 453,578,911 |
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 |
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 |
June 30, 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 | $ | 12,525,822 | 2.50 | % | $ | 7,603,525 | 1.70 | % | |||||||
Graham Discretionary Energy Trading III LLC | 3,878,740 | 0.78 | % | 1,690,592 | 0.38 | % | |||||||||
Graham Energy Focus LLC | 5,005,105 | 1.00 | % | - | 0.00 | % | |||||||||
Graham Fed Policy Ltd. | 7,848,747 | 1.57 | % | 6,709,637 | 1.50 | % | |||||||||
Graham Global Monetary Policy LLC | 12,535,173 | 2.50 | % | 3,566,013 | 0.80 | % | |||||||||
Graham K4D Trading Ltd. | 32,163,149 | 6.43 | % | 24,030,670 | 5.38 | % | |||||||||
Graham Macro Directional LLC | 1,559,207 | 0.31 | % | 268,357 | 0.06 | % | |||||||||
Graham Short Term Global Macro LLC | - | 0.00 | % | 41,992 | 0.01 | % | |||||||||
Total investments in Master Funds | $ | 75,515,943 | 15.09 | % | $ | 43,910,786 | 9.83 | % |
Three Months Ended June 30, | Six Months Ended June 30, | ||||||||||||||
2011 (Unaudited) | 2010 (Unaudited) | 2011 (Unaudited) | 2010 (Unaudited) | ||||||||||||
Net (loss) gain allocated from investments in Master Funds: | |||||||||||||||
Net realized (loss) gain on investments | $ | (4,583,377 | ) | $ | 10,861,643 | $ | (1,164,783 | ) | $ | 5,442,218 | |||||
Net (decrease) increase in unrealized appreciation on investments | (7,541,929 | ) | (6,537,671 | ) | (11,306,518 | ) | 300,665 | ||||||||
Brokerage commissions and fees | (1,296,235 | ) | (559,230 | ) | (2,546,312 | ) | (1,055,494 | ) | |||||||
Net (loss) gain allocated from investments in Master Funds | (13,421,541 | ) | 3,764,742 | (15,017,613 | ) | 4,687,389 | |||||||||
Net investment loss allocated from investments in Master Funds | (39,216 | ) | (18,301 | ) | (56,587 | ) | (29,476 | ) | |||||||
Investment income: | |||||||||||||||
Interest income | 498,565 | 466,353 | 1,013,711 | 881,848 | |||||||||||
Total investment income | 498,565 | 466,353 | 1,013,711 | 881,848 | |||||||||||
Expenses: | |||||||||||||||
Brokerage fees | 2,954,528 | 2,017,330 | 5,755,634 | 3,803,623 | |||||||||||
Advisory fees | 2,561,166 | 1,728,881 | 4,982,119 | 3,250,025 | |||||||||||
Sponsor fees | 1,280,583 | 864,441 | 2,491,059 | 1,625,013 | |||||||||||
Interest and other | 13,947 | 21,525 | 18,504 | 26,272 | |||||||||||
Commission reimbursements | (1,296,235 | ) | (559,230 | ) | (2,546,312 | ) | (1,055,494 | ) | |||||||
Total expenses | 5,513,989 | 4,072,947 | 10,701,004 | 7,649,439 | |||||||||||
Net investment loss of the Fund | (5,015,424 | ) | (3,606,594 | ) | (9,687,293 | ) | (6,767,591 | ) | |||||||
Net (loss) gain | (18,476,181 | ) | 139,847 | (24,761,493 | ) | (2,109,678 | ) | ||||||||
Incentive allocation | (41,791 | ) | (5,692 | ) | (51,877 | ) | (5,692 | ) | |||||||
Net (loss) gain available for pro-rata allocation to all members | $ | (18,517,972 | ) | $ | 134,155 | $ | (24,813,370 | ) | $ | (2,115,370 | ) |
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 | 471,832.723 | 63,434,694 | 85,370.021 | 9,475,064 | – | – | 72,909,758 | ||||||||||||||||||||
Redemptions | (120,387.526 | ) | (16,140,186 | ) | (34,035.318 | ) | (3,760,613 | ) | – | (5,692 | ) | (19,906,491 | ) | ||||||||||||||
Incentive allocation | – | – | – | – | – | 5,692 | 5,692 | ||||||||||||||||||||
Net income (loss) | – | (1,315,333 | ) | – | (815,934 | ) | – | 15,897 | (2,115,370 | ) | |||||||||||||||||
Members’ capital, June 30, 2010 | 2,202,704.468 | $ | 296,931,655 | 513,649.527 | $ | 57,014,758 | 4,671.470 | $ | 829,088 | $ | 354,775,501 |
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 | 615,242.795 | 85,834,953 | 128,144.215 | 14,467,508 | – | – | 100,302,461 | ||||||||||||||||||||
Redemptions | (109,681.668 | ) | (15,236,183 | ) | (57,910.324 | ) | (6,485,638 | ) | – | (51,877 | ) | (21,773,698 | ) | ||||||||||||||
Incentive allocation | – | (44,314 | ) | – | (7,563 | ) | – | 51,877 | – | ||||||||||||||||||
Net loss | – | (20,349,710 | ) | – | (4,393,048 | ) | – | (18,735 | ) | (24,761,493 | ) | ||||||||||||||||
Members’ capital, June 30, 2011 | 3,190,733.255 | $ | 423,325,876 | 709,816.548 | $ | 76,291,640 | 4,671.470 | $ | 863,593 | $ | 500,481,109 |
Six Months Ended June 30, | |||||||
2011 (Unaudited) | 2010 (Unaudited) | ||||||
Cash flows used in operating activities | |||||||
Net loss | $ | (24,761,493 | ) | $ | (2,109,678 | ) | |
Adjustments to reconcile net loss to net cash used in operating activities: | |||||||
Net loss (income) allocated from investment in Master Funds | 15,074,200 | (4,657,913 | ) | ||||
Net income allocated from investment in Graham Cash Assets LLC | (1,013,711 | ) | (881,848 | ) | |||
Proceeds from sale of investments in Master Funds | 408,360,589 | 158,020,631 | |||||
Proceeds from sale of investments in Graham Cash Assets LLC | 346,064,942 | 119,399,171 | |||||
Investments in Master Funds | (455,040,070 | ) | (155,786,795 | ) | |||
Investments in Graham Cash Assets LLC | (364,551,126 | ) | (167,298,780 | ) | |||
Changes in assets and liabilities: | |||||||
Commission reimbursements receivable | (254,733 | ) | (27,276 | ) | |||
Accrued brokerage fees | 60,999 | 73,092 | |||||
Accrued advisory fees | 59,601 | 67,466 | |||||
Accrued sponsor fees | 29,800 | 33,734 | |||||
Accrued incentive allocation | - | (335,900 | ) | ||||
Net cash used in operating activities | (75,971,002 | ) | (53,504,096 | ) | |||
Cash flows provided by financing activities | |||||||
Subscriptions | 100,302,461 | 72,909,758 | |||||
Redemptions | (24,331,459 | ) | (19,405,706 | ) | |||
Net cash provided by financing activities | 75,971,002 | 53,504,052 | |||||
Net decrease in cash and cash equivalents | - | (44 | ) | ||||
Cash and cash equivalents, beginning of period | - | 49 | |||||
Cash and cash equivalents, end of period | $ | - | $ | 5 |
· | Level 1 inputs are unadjusted closing or settlement prices for such assets or liabilities as published by the primary exchange upon which they are traded. |
· | 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. |
March 31, 2011 | |||||||||||||||||||||||||||
June 30, 2011 | June 30, 2011 | ||||||||||||||||||||||||||
Investment – Objective | Percent of Members’ Capital | Fair Value | Net Income (three months then ended) | Percent of Members’ Capital | Fair Value | Net Loss (three months then ended) | Net Loss (six months then ended) | ||||||||||||||||||||
Graham K4D Trading Ltd. – (a) | 8.92 | % | $ | 44,364,556 | $ | (6,490,761 | ) | 6.43% | $ | 32,163,149 | $ | (10,254,289 | ) | $ | (16,745,050 | ) | |||||||||||
Other Master Funds (7) – (b) (c) (d) (e) | 7.16 | % | 35,654,176 | 4,877,318 | |||||||||||||||||||||||
Other Master Funds (8) – (b) (c) (d) (e) | 8.66 | 43,352,794 | (3,206,468 | ) | 1,670,850 | ||||||||||||||||||||||
16.08 | % | $ | 80,018,732 | $ | (1,613,443 | ) | 15.09% | $ | 75,515,943 | $ | (13,460,757 | ) | $ | (15,074,200 | ) |
December 31, 2010 | December 31, 2010 | December 31, 2010 | ||||||||||||||||||||||||||
Investment – Objective | Percent of Members’ Capital | Fair Value | Net Income (three months ended March 31, 2010) | Percent of Members’ Capital | Fair Value | Net Income (three months ended June 30, 2010) | Net Income (six months ended June 30, 2010) | |||||||||||||||||||||
Graham K4D Trading Ltd. – (a) | 5.38 | % | $ | 24,030,670 | $ | (4,673,263 | ) | 5.38% | $ | 24,030,670 | $ | 563,414 | $ | (4,109,849 | ) | |||||||||||||
Other Master Funds (7) – (b) (c) (d) (e) | 4.45 | % | 19,880,116 | 5,584,735 | 4.45% | 19,880,116 | 3,183,027 | 8,767,762 | ||||||||||||||||||||
9.83 | % | $ | 43,910,786 | $ | 911,472 | 9.83% | $ | 43,910,786 | $ | 3,746,441 | $ | 4,657,913 |
(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 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: | |||||||||||||||||||||||||||
Due from brokers | $ | 59,101,338 | $ | 28,270 | $ | 11,094,654 | $ | 22,853,905 | $ | 99,178,969 | $ | 283,838,709 | $ | 8,188,677 | |||||||||||||
Options, at fair value | - | 15,666,450 | 9,247,750 | 20,589,479 | 51,109 | - | - | ||||||||||||||||||||
Derivative financial instruments, at fair value | 17,115,826 | 11,032,266 | 4,451,835 | 9,311,469 | 1,643,750 | 3,440,679 | - | ||||||||||||||||||||
Subscriptions receivable | - | - | - | 2 | 120 | 405 | - | ||||||||||||||||||||
Total assets | 76,217,164 | 26,726,986 | 24,794,239 | 52,754,855 | 100,873,948 | 287,279,793 | 8,188,677 | ||||||||||||||||||||
Liabilities: | |||||||||||||||||||||||||||
Options, at fair value | - | - | 4,954,950 | 8,214,512 | - | - | - | ||||||||||||||||||||
Derivative financial instruments, at fair value | - | - | - | - | 1,982,759 | 23,014,910 | 773,694 | ||||||||||||||||||||
Due to brokers | - | 5,011,839 | - | 27,540 | 609,562 | 546,447 | 294,519 | ||||||||||||||||||||
Redemptions payable | - | - | - | 145 | - | 405 | - | ||||||||||||||||||||
Total liabilities | - | 5,011,839 | 4,954,950 | 8,242,197 | 2,592,321 | 23,561,762 | 1,068,213 | ||||||||||||||||||||
Net assets | $ | 76,217,164 | $ | 21,715,147 | $ | 19,839,289 | $ | 44,512,658 | $ | 98,281,627 | $ | 263,718,031 | $ | 7,120,464 | |||||||||||||
Percentage of Master Fund held by the Fund | 16.43 | % | 17.86 | % | 25.23 | % | 17.63 | % | 12.75 | % | 12.20 | % | 21.90 | % |
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 | $ | 12,161,200 | 15.96 | % | |||||||
Brent Crude Penultimate Financial June 2012 | 200 | 5,596,000 | 7.34 | % | ||||||||
Gasoline RBOB August 2011 | 1,509 | 4,541,439 | 5.96 | % | ||||||||
Other Gasoline RBOB October 2011 – December 2012 | 625 | 446,985 | 0.59 | % | ||||||||
LME Aluminum September 2011 | 3,897 | (5,595,069 | ) | (7.34 | )% | |||||||
LME Copper September 2011 | 1,060 | 8,018,844 | 10.52 | % | ||||||||
LME Lead September 2011 | 2,012 | 5,562,176 | 7.30 | % | ||||||||
LME Nickel September 2011 | 920 | 5,053,380 | 6.63 | % | ||||||||
LME Zinc September 2011 | 3,816 | 9,549,780 | 12.53 | % | ||||||||
Natural Gas January 2012 | 2,560 | (5,067,610 | ) | (6.65 | )% | |||||||
Other Natural Gas January 2013 | 125 | (299,230 | ) | (0.39 | )% | |||||||
Wheat CBT December 2011 | 2,929 | (23,744,813 | ) | (31.15 | )% | |||||||
Wheat KCB December 2011 | 1,184 | (11,326,613 | ) | (14.86 | )% | |||||||
Other Wheat September 2011 – March 2012 | 589 | (5,394,950 | ) | (7.08 | )% | |||||||
WTI Crude October 2011 | 1,385 | 6,108,400 | 8.01 | % | ||||||||
WTI Crude December 2013 | 1,370 | 4,195,600 | 5.50 | % | ||||||||
Other WTI Crude September 2011 – January 2014 | 4,212 | 184,490 | 0.24 | % | ||||||||
Other commodity | (3,731,413 | ) | (4.90 | )% | ||||||||
Total futures | 6,258,596 | 8.21 | % | |||||||||
Swaps | ||||||||||||
Gasoline December 2011 | 27 | 6,500,250 | 8.53 | % | ||||||||
Total swaps | 6,500,250 | 8.53 | % |
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 | ) | $ | (17,745,770 | ) | (23.28 | )% | |||||
Heating Oil August 2011 – December 2011 | (3,093 | ) | (4,870,177 | ) | (6.39 | )% | ||||||
LME Aluminum September 2011 | (4,093 | ) | 6,352,797 | 8.34 | % | |||||||
LME Copper September 2011 | (983 | ) | (6,371,981 | ) | (8.36 | )% | ||||||
Other LME Lead September 2011 | (1,685 | ) | (3,608,573 | ) | (4.73 | )% | ||||||
LME Nickel September 2011 | (900 | ) | (4,755,864 | ) | (6.24 | )% | ||||||
LME Zinc September 2011 | (3,892 | ) | (9,297,231 | ) | (12.20 | )% | ||||||
Natural Gas August 2011 – October 2012 | (3,161 | ) | 4,149,650 | 5.44 | % | |||||||
Wheat September 2011 | (2,084 | ) | 24,297,875 | 31.88 | % | |||||||
Wheat July 2012 | (1,859 | ) | 17,815,313 | 23.37 | % | |||||||
Other Wheat March 2012 | (247 | ) | 2,489,625 | 3.27 | % | |||||||
WTI Crude August 2011 | (1,565 | ) | (6,124,220 | ) | (8.04 | )% | ||||||
WTI Crude December 2011 | (2,618 | ) | 5,586,040 | 7.33 | % | |||||||
WTI Crude December 2014 | (1,000 | ) | (4,210,000 | ) | (5.52 | )% | ||||||
Other WTI Crude March 2012 – June 2013 | (1,000 | ) | 300,000 | 0.39 | % | |||||||
Other commodity | 6,437,996 | 8.45 | % | |||||||||
Total futures | 10,445,480 | 13.71 | % | |||||||||
Swaps | ||||||||||||
Gasoline June 2012 | (27 | ) | (6,088,500 | ) | (7.99 | )% | ||||||
Total swaps | (6,088,500 | ) | (7.99 | )% | ||||||||
Total | $ | 17,115,826 | 22.46 | % |
Description | Number of Contracts | Fair Value | Percentage of Net Assets of Master Fund | ||||||||
Graham Discretionary Energy Trading III LLC | |||||||||||
Long contracts | |||||||||||
Futures | |||||||||||
Gas Oil December 2011 – December 2012 | 500 | $ | 1,418,750 | 6.53 | % | ||||||
Natural Gas November 2011 | 2,917 | (7,441,120 | ) | (34.27 | )% | ||||||
Natural Gas December 2011 | 3,417 | (8,565,570 | ) | (39.45 | )% | ||||||
Other Natural Gas August 2011 | 55 | 65,450 | 0.30 | % | |||||||
Globex Crude Oil December 2011 | 500 | 6,105,000 | 28.11 | % | |||||||
Other WTI Crude August 2011 – December 2011 | 1,128 | 1,429,640 | 6.59 | % | |||||||
Other commodity | 593,082 | 2.74 | % | ||||||||
Total futures | (6,394,768 | ) | (29.45 | )% | |||||||
Options | |||||||||||
Crude Oil Future August 2011, $100.00 Put | 800 | 4,128,000 | 19.01 | % | |||||||
Other Crude Oil Future August 2011 - September 2011, $100.00 - $115.00 Call | 1,350 | 272,000 | 1.25 | % | |||||||
Other Crude Oil Future August 2011, $85.00 - $90.00 Put | 675 | 258,000 | 1.19 | % | |||||||
Crude Oil Calendar Spread Option, August 2011 - March 2012 $(0.25) - $(1.00) Put | 20,000 | 5,820,000 | 26.80 | % | |||||||
Natural Gas October 2011, $4.50 Call | 1,000 | 2,785,000 | 12.83 | % | |||||||
Gasoline RBOB August 2011, $305.00 Call | 750 | 1,581,300 | 7.28 | % | |||||||
Other Gasoline RBOB August 2011, $280.00 Put | 750 | 822,150 | 3.79 | % | |||||||
Total options | 15,666,450 | 72.15 | % | ||||||||
Swaps | |||||||||||
Natural Gas April 2012 | 2,600 | (1,632,000 | ) | (7.52 | )% | ||||||
Other Natural Gas October 2011 - January 2012 | 3,600 | (1,168,950 | ) | (5.38 | )% | ||||||
Total swaps | (2,800,950 | ) | (12.90 | )% |
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: | ||||||||||||||||||||||||||||
Due from brokers | $ | 71,788,618 | $ | - | $ | 17,984,242 | $ | 25,147,965 | $ | 32,252,617 | $ | 288,833,860 | $ | 4,762,663 | ||||||||||||||
Options, at fair value | - | 11,794,000 | 15,045,300 | 46,076,251 | 427,005 | - | - | |||||||||||||||||||||
Derivative financial instruments, at fair value | 11,551,256 | 25,885,509 | - | 10,117,976 | 3,767,638 | 52,072,797 | 255,550 | |||||||||||||||||||||
Subscriptions receivable | - | - | 7 | - | 239 | 405 | - | |||||||||||||||||||||
Interest receivable | - | - | - | - | 3,341 | 20,997 | 109 | |||||||||||||||||||||
Total assets | 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 | - | 100,000 | 5,998,200 | 36,226,853 | 50,000 | - | - | |||||||||||||||||||||
Derivative financial instruments, at fair value | - | - | 3,679,198 | - | - | 1,544,291 | - | |||||||||||||||||||||
Due to brokers | - | 13,764,783 | - | - | 409,325 | - | - | |||||||||||||||||||||
Redemptions payable | - | - | 7 | 142 | 120 | 405 | - | |||||||||||||||||||||
Total liabilities | - | 13,864,783 | 9,677,405 | 36,226,995 | 459,445 | 1,544,696 | - | |||||||||||||||||||||
Net assets | $ | 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 | 14.51 | % | 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 Discretionary Energy Trading III LLC (continued) | |||||||||||
Short contracts | |||||||||||
Futures | |||||||||||
Gas Oil June 2011 | (500 | ) | $ | (1,437,500 | ) | (6.62 | )% | ||||
Natural Gas October 2011 | (2,655 | ) | 7,093,790 | 32.67 | % | ||||||
Natural Gas January 2012 | (3,560 | ) | 9,075,100 | 41.79 | % | ||||||
Other Natural Gas April 2012 | (300 | ) | 652,050 | 3.00 | % | ||||||
WTI Crude ICE December 2011 | (750 | ) | 4,948,560 | 22.79 | % | ||||||
Other WTI Crude ICE August 2011 – June 2012 | (100 | ) | (1,659,530 | ) | (7.64 | )% | |||||
Other commodity | (1,076,706 | ) | (4.96 | )% | |||||||
Total futures | 17,595,764 | 81.03 | % | ||||||||
Swaps | |||||||||||
Natural Gas October 2011 | (4,476 | ) | 2,632,220 | 11.11 | % | ||||||
Natural Gas April 2012 | (1,400 | ) | 220,000 | 1.01 | % | ||||||
Total swaps | 2,632,220 | 12.12 | % | ||||||||
Total | $ | 26,698,716 | 122.95 | % |
Description | Number of Contracts | Fair Value | Percentage of Net Assets of Master Fund | ||||||||
Graham Energy Focus LLC | |||||||||||
Long contracts | |||||||||||
Futures | |||||||||||
Natural Gas November 2011 | 260 | $ | (1,070,540 | ) | (5.40 | )% | |||||
Other Natural Gas April 2012 | 941 | (739,680 | ) | (3.73 | )% | ||||||
Other commodity | 804,922 | 4.06 | % | ||||||||
Total futures | (1,005,298 | ) | (5.07 | )% | |||||||
Options | |||||||||||
Natural Gas October 2011, $4.50 Call | 400 | 1,114,000 | 5.61 | % | |||||||
Natural Gas November 2011 - March 2012, $4.70 - $4.80 Call | 700 | 2,650,300 | 13.36 | % | |||||||
Natural Gas August 2011 - October 2012, $4.50 - $4.90 Put | 1,200 | 4,687,450 | 23.63 | % | |||||||
Other commodity | 796,000 | 4.01 | % | ||||||||
Total options | 9,247,750 | 46.61 | % | ||||||||
Swaps | |||||||||||
Natural Gas November 2011 | 1,860 | (1,223,250 | ) | (6.16 | )% | ||||||
Natural Gas January 2012 | 7,454 | (3,441,370 | ) | (17.35 | )% | ||||||
Other Natural Gas August 2011 – December 2013 | 12,647 | (939,850 | ) | (4.74 | )% | ||||||
Total swaps | (5,604,470 | ) | (28.25 | )% | |||||||
Short contracts | |||||||||||
Futures | |||||||||||
Natural Gas October 2011 | (1,055 | ) | 4,123,630 | 20.78 | % | ||||||
Natural Gas December 2011 | (2,240 | ) | 6,364,690 | 32.08 | % | ||||||
Other Natural Gas August 2011 – March 2012 | (1,204 | ) | 272,940 | 1.38 | % | ||||||
Other commodity | (1,045,965 | ) | (5.27 | )% | |||||||
Total futures | 9,715,295 | 48.97 | % | ||||||||
Options | |||||||||||
Natural Gas August 2011 - October 2012, $4.15 - $6.50 Call | (3,150 | ) | (2,379,550 | ) | (11.99 | )% | |||||
Natural Gas October 2011 - March 2012, $4.00 - $4.25 Call | (1,650 | ) | (2,100,800 | ) | (10.59 | )% | |||||
Other commodity | (474,600 | ) | (2.39 | )% | |||||||
Total options | (4,954,950 | ) | (24.97 | )% | |||||||
Swaps | |||||||||||
Natural Gas December 2011 | (2,431 | ) | 1,379,328 | 6.95 | % | ||||||
Other Natural Gas August 2011 – December 2012 | (6,637 | ) | (33,020 | ) | (0.16 | )% | |||||
Total swaps | 1,346,308 | 6.79 | % | ||||||||
Total | $ | 8,744,635 | 44.08 | % |
Description | Number of Contracts | Fair Value | Percentage of Net Assets of Master Fund | |||||||||
Graham Fed Policy Ltd. | ||||||||||||
Long contracts | ||||||||||||
Futures | ||||||||||||
30 Day Fed Fund July 2011 | 7,641 | $ | 3,162,024 | 7.10 | % | |||||||
30 Day Fed Fund August 2011 | 8,213 | 4,263,966 | 9.58 | % | ||||||||
Other 30 Day Fed Fund June 2011 – June 2012 | 11,118 | 1,915,002 | 4.30 | % | ||||||||
Total futures | 9,340,992 | 20.98 | % | |||||||||
Options | ||||||||||||
Eurodollar September 2011, $99.63 Call | 15,000 | 3,375,000 | 7.58 | % | ||||||||
Eurodollar March 2012, $99.63 Call | 17,250 | 3,018,750 | 6.78 | % | ||||||||
Fed Fund futures July 2011, $99.81 Call | 6,750 | 2,531,453 | 5.69 | % | ||||||||
Fed Fund futures August 2011, $99.81 Call | 8,967 | 2,615,584 | 5.88 | % | ||||||||
Fed Fund futures September 2011, $99.81 Call | 14,380 | 3,145,877 | 7.07 | % | ||||||||
Fed Fund futures July 2011 - December 2011, $99.75 - $99.88 Put | 41,800 | 3,725,558 | 8.37 | % | ||||||||
Other Fed Fund futures August 2011 – December 2011, $99.75 -$99.88 Call | 11,625 | 2,177,257 | 4.89 | % | ||||||||
Total options | 20,589,479 | 46.26 | % | |||||||||
Short contracts | ||||||||||||
Futures | ||||||||||||
Interest rate | (29,523 | ) | (0.07 | )% | ||||||||
Total futures | (29,523 | ) | (0.07 | )% | ||||||||
Options | ||||||||||||
Fed Fund futures July 2011 - December 2011, $99.88 Call | (76,616 | ) | (4,683,354 | ) | (10.52 | )% | ||||||
Fed Fund futures July 2011 - January 2012, $99.75 - $99.81 Put | (78,925 | ) | (2,106,158 | ) | (4.73 | )% | ||||||
Other interest rate futures | (1,425,000 | ) | (3.20 | )% | ||||||||
Total options | (8,214,512 | ) | (18.45 | )% | ||||||||
Total | $ | 21,686,436 | 48.72 | % |
Description | Fair Value | Percentage of Net Assets of Master Fund | ||||||
Graham Global Monetary Policy LLC | ||||||||
Long contracts | ||||||||
Futures | ||||||||
Commodity | $ | (1,798,730 | ) | (1.83 | )% | |||
Interest rate | 2,631,128 | 2.68 | % | |||||
U.S. bond | (374,234 | ) | (0.38 | )% | ||||
Total futures | 458,164 | 0.47 | % | |||||
Options | ||||||||
Foreign currency | 51,109 | 0.05 | % | |||||
Total options | 51,109 | 0.05 | % | |||||
Forwards | ||||||||
Foreign currency | 1,008,468 | 1.03 | % | |||||
Total forwards | 1,008,468 | 1.03 | % | |||||
Short contracts | ||||||||
Futures | ||||||||
Commodity | 1,715,360 | 1.74 | % | |||||
Foreign bond | 1,128,704 | 1.15 | % | |||||
Interest rate | (3,522,264 | ) | (3.58 | )% | ||||
Total futures | (678,200 | ) | (0.69 | )% | ||||
Forwards | ||||||||
Foreign currency | (1,127,441 | ) | (1.15 | )% | ||||
Total forwards | (1,127,441 | ) | (1.15 | )% | ||||
Total | $ | (287,900 | ) | (0.29 | )% |
Description | Principal Amount | Fair Value | Percentage of Net Assets of Master Fund | ||||||
Graham K4D Trading Ltd. | |||||||||
Long contracts | |||||||||
Futures | |||||||||
U.S. bond | $ | (11,253,047 | ) | (4.27 | )% | ||||
Foreign bond | (8,536,516 | ) | (3.24 | )% | |||||
U.S. index | 10,415,895 | 3.95 | % | ||||||
Foreign index | 5,025,773 | 1.91 | % | ||||||
Commodity | (1,129,857 | ) | (0.43 | )% | |||||
Interest rate | (1,020,274 | ) | (0.39 | )% | |||||
Currency | 1,073,226 | 0.41 | % | ||||||
Total futures | (5,424,800 | ) | (2.06 | )% | |||||
Forwards | |||||||||
Australian dollar / U.S. dollar 07/20/11 | AUD 1,432,785,322 | 22,045,147 | 8.36 | % | |||||
Canadian dollar / U.S. dollar 07/20/11 | CAD 2,209,264,516 | 36,133,104 | 13.70 | % | |||||
Euro / British Pound 07/20/11 | EUR 593,576,554 | 16,041,091 | 6.08 | % | |||||
Euro / U.S. dollar 07/20/11 | EUR 1,461,054,451 | 24,106,386 | 9.14 | % | |||||
British Pound / U.S. dollar 07/20/11 | GBP 1,359,056,576 | (17,816,018 | ) | (6.75 | )% | ||||
Other foreign currency | 37,053,409 | 14.05 | % | ||||||
Total forwards | 117,563,119 | 44.58 | % |
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 | % |
Description | Principal Amount | Fair Value | Percentage of Net Assets of Master Fund | ||||||
Graham K4D Trading Ltd. (continued) | |||||||||
Short contracts | |||||||||
Futures | |||||||||
Foreign bond | $ | (239,058 | ) | (0.09 | )% | ||||
Foreign index | (5,079,843 | ) | (1.93 | )% | |||||
Commodity | (7,688,784 | ) | (2.91 | )% | |||||
Interest rate | (3,830,906 | ) | (1.45 | )% | |||||
Currency | (742,175 | ) | (0.28 | )% | |||||
Total futures | (17,580,766 | ) | (6.66 | )% | |||||
Forwards | |||||||||
Australian dollar / U.S. dollar 07/20/11 | AUD (1,125,059,422) | (16,044,568 | ) | (6.08 | )% | ||||
Canadian dollar / U.S. dollar 07/20/11 | CAD (1,981,126,320) | (31,811,387 | ) | (12.06 | )% | ||||
Euro / British Pound 07/20/11 | EUR (558,464,789) | (14,336,007 | ) | (5.44 | )% | ||||
Euro / U.S. dollar 07/20/11 | EUR (1,431,692,261) | (23,528,161 | ) | (8.92 | )% | ||||
British Pound / U.S. dollar 07/20/11 | GBP (1,374,602,354) | 13,699,004 | 5.19 | % | |||||
Other foreign currency | (42,110,665 | ) | (15.97 | )% | |||||
Total forwards | (114,131,784 | ) | (43.28 | )% | |||||
Total | $ | (19,574,231 | ) | (7.42 | )% |
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 | % |
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 | % |
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 | Number of Contracts | Fair Value | Percentage of Net Assets of Master Fund | |||||||||
Graham Macro Directional LLC | ||||||||||||
Long contracts | ||||||||||||
Futures | ||||||||||||
Australian 3 Year Bond September 2011 | 4,950 | $ | 515,627 | 7.24 | % | |||||||
Euro Bund September 2011 | 750 | (1,245,133 | ) | (17.49 | )% | |||||||
Total futures | (729,506 | ) | (10.25 | )% | ||||||||
Forwards | ||||||||||||
Foreign currency | 29,294 | 0.41 | % | |||||||||
Total forwards | 29,294 | 0.41 | % | |||||||||
Short contracts | ||||||||||||
Forwards | ||||||||||||
Foreign currency | (73,482 | ) | (1.03 | )% | ||||||||
Total forwards | (73,482 | ) | (1.03 | )% | ||||||||
Total | $ | (773,694 | ) | (10.87 | )% |
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 | 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 | ) | $ | - | $ | - | $ | - | $ | - | $ | - | $ | (374,234 | ) | $ | (11,253,047 | ) | $ | - | |||||||||||||||||||||||||
Foreign bond futures | - | - | - | - | - | 1,076,899 | - | - | - | - | - | - | (8,536,516 | ) | (729,506 | ) | ||||||||||||||||||||||||||||||||||||||||
U.S. index futures | - | - | - | - | - | 8,356,229 | (37,500 | ) | - | - | - | - | - | 10,415,895 | - | |||||||||||||||||||||||||||||||||||||||||
Foreign index futures | - | - | - | - | - | 6,955,415 | - | - | - | - | - | - | 5,025,773 | - | ||||||||||||||||||||||||||||||||||||||||||
Commodity futures | 103,331,372 | 52,965,139 | 4,555,562 | - | 1,613,130 | 25,056,183 | 293,050 | 6,258,596 | (6,832,218 | ) | (1,005,298 | ) | - | (1,798,730 | ) | (1,129,857 | ) | - | ||||||||||||||||||||||||||||||||||||||
Commodity futures options | - | 11,794,000 | 15,045,300 | - | 345,000 | - | - | - | 15,666,450 | 9,247,750 | - | - | - | - | ||||||||||||||||||||||||||||||||||||||||||
Commodity swaps | 7,917,750 | 2,098,430 | 7,423,858 | - | - | - | - | 6,500,250 | (2,363,500 | ) | (5,604,470 | ) | - | - | - | - | ||||||||||||||||||||||||||||||||||||||||
Interest rate futures | - | - | - | 9,600,081 | 1,172,679 | (958,759 | ) | - | - | - | - | 9,340,992 | 2,631,128 | (1,020,274 | ) | - | ||||||||||||||||||||||||||||||||||||||||
Interest rate futures options | - | - | - | 46,076,251 | - | - | - | - | - | - | 20,589,479 | - | - | - | ||||||||||||||||||||||||||||||||||||||||||
Currency futures | - | - | - | - | - | 4,703,445 | - | - | - | - | - | - | 1,073,226 | - | ||||||||||||||||||||||||||||||||||||||||||
Total Level 1 | 111,249,122 | 66,857,569 | 27,024,720 | 55,676,332 | 3,130,809 | 43,495,542 | 255,550 | 12,758,846 | 6,470,732 | 2,637,982 | 29,930,471 | 458,164 | (5,424,800 | ) | (729,506 | ) | ||||||||||||||||||||||||||||||||||||||||
Level 2: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Foreign currency forwards | - | - | - | - | 5,676,622 | 218,469,433 | - | - | - | - | - | 1,008,468 | 117,563,119 | 29,294 | ||||||||||||||||||||||||||||||||||||||||||
Foreign currency forwards options | - | - | - | - | 82,005 | - | - | |||||||||||||||||||||||||||||||||||||||||||||||||
Foreign currency options | - | - | - | - | 51,109 | - | - | |||||||||||||||||||||||||||||||||||||||||||||||||
Total Level 2 | - | - | - | - | 5,758,627 | 218,469,433 | - | - | - | - | - | 1,059,577 | 117,563,119 | 29,294 | ||||||||||||||||||||||||||||||||||||||||||
Total long contracts | $ | 111,249,122 | $ | 66,857,569 | $ | 27,024,720 | $ | 55,676,332 | $ | 8,889,436 | $ | 261,964,975 | $ | 255,550 | $ | 12,758,846 | $ | 6,470,732 | $ | 2,637,982 | $ | 29,930,471 | $ | 1,517,741 | $ | 112,138,319 | $ | (700,212 | ) | |||||||||||||||||||||||||||
Short Contracts | �� | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Level 1: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
U.S. bond futures | $ | - | $ | - | $ | - | $ | - | $ | (323,187 | ) | $ | 393,672 | $ | - | |||||||||||||||||||||||||||||||||||||||||
Foreign bond futures | - | - | - | - | 128,741 | 12,829,370 | - | $ | - | $ | - | $ | - | $ | - | $ | 1,128,704 | $ | (239,058 | ) | $ | - | ||||||||||||||||||||||||||||||||||
Foreign index futures | - | - | - | - | - | (6,392,370 | ) | - | - | - | - | - | - | (5,079,843 | ) | - | ||||||||||||||||||||||||||||||||||||||||
Commodity futures | (92,576,616 | ) | (25,588,830 | ) | (12,898,663 | ) | - | (551,860 | ) | (4,114,279 | ) | - | 10,445,480 | 17,815,764 | 9,715,295 | - | 1,715,360 | (7,688,784 | ) | - | ||||||||||||||||||||||||||||||||||||
Commodity futures options | - | (100,000 | ) | (5,998,200 | ) | - | (50,000 | ) | - | - | - | - | (4,954,950 | ) | - | - | - | - | ||||||||||||||||||||||||||||||||||||||
Commodity swaps | (7,121,250 | ) | (3,589,230 | ) | (2,759,955 | ) | - | - | - | - | (6,088,500 | ) | 2,412,220 | 1,346,308 | - | - | - | - | ||||||||||||||||||||||||||||||||||||||
Interest rate futures | - | - | - | 517,895 | (7,374 | ) | 5,053,667 | - | - | - | - | (29,523 | ) | (3,522,264 | ) | (3,830,906 | ) | - | ||||||||||||||||||||||||||||||||||||||
Interest rate futures options | - | - | - | (36,226,853 | ) | - | - | - | - | - | - | (8,214,512 | ) | - | - | - | ||||||||||||||||||||||||||||||||||||||||
Currency futures | - | - | - | - | - | 807,195 | - | - | - | - | - | - | (742,175 | ) | - | |||||||||||||||||||||||||||||||||||||||||
Total Level 1 | (99,697,866 | ) | (29,278,060 | ) | (21,656,818 | ) | (35,708,958 | ) | (803,680 | ) | 8,577,255 | - | 4,356,980 | 20,227,984 | 6,106,653 | (8,244,035 | ) | (678,200 | ) | (17,580,766 | ) | - | ||||||||||||||||||||||||||||||||||
Level 2: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Foreign currency forwards | - | - | - | - | (3,941,113 | ) | (220,013,724 | ) | - | - | - | - | - | (1,127,441 | ) | (114,131,784 | ) | (73,482 | ) | |||||||||||||||||||||||||||||||||||||
Total Level 2 | - | - | - | - | (3,941,113 | ) | (220,013,724 | ) | - | - | - | - | - | (1,127,441 | ) | (114,131,784 | ) | (73,482 | ) | |||||||||||||||||||||||||||||||||||||
Total short contracts | $ | (99,697,866 | ) | $ | (29,278,060 | ) | $ | (21,656,818 | ) | $ | (35,708,958 | ) | $ | (4,744,793 | ) | $ | (211,436,469 | ) | $ | - | $ | 4,356,980 | $ | 20,227,984 | $ | 6,106,653 | $ | (8,244,035 | ) | $ | (1,805,641 | ) | $ | (131,712,550 | ) | $ | (73,482 | ) |
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 | $ | 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 | ) | $ | 3,129,999,827 | 38,933 | $ | (3,067,357,829 | ) | (40,036 | ) | $ | 140,494,929 | $ | (123,790,853 | ) | $ | 584,755,077 | 10,454 | $ | (533,743,744 | ) | (10,864 | ) | $ | 31,608,843 | $ | (20,625,297 | ) | ||||||||||||||||||||||||||||||||||||||||||||
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 | ) | 25,359,750 | 27 | (25,481,250 | ) | (27 | ) | 6,500,250 | (6,088,500 | ) | 55,587,500 | 4,800 | (49,594,080 | ) | (4,476 | ) | 2,412,220 | (2,363,500 | ) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | ) | 3,155,359,577 | 38,960 | (3,092,839,079 | ) | (40,063 | ) | 146,995,179 | (129,879,353 | ) | 640,342,577 | 15,254 | (583,337,824 | ) | (15,340 | ) | 34,021,063 | (22,988,797 | ) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | ) | $ | 3,155,359,577 | 38,960 | $ | (3,092,839,079 | ) | (40,063 | ) | $ | 146,995,179 | $ | (129,879,353 | ) | $ | 640,342,577 | 15,254 | $ | (583,337,824 | ) | (15,340 | ) | $ | 34,021,063 | $ | (22,988,797 | ) | ||||||||||||||||||||||||||||||||||||||||||||
Collateral balances supporting all derivative positions | Collateral balances supporting all derivative positions | $ | 71,788,618 | $ | (13,764,783 | ) | Collateral balances supporting all derivative positions | $ | 59,101,338 | $ | (4,983,569 | ) |
Graham Energy Focus LLC | Graham Fed Policy Ltd. | Graham Energy Focus LLC | Graham Fed Policy Ltd. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | $ | 186,982,608 | 10,116 | $ | (333,793,798 | ) | (11,913 | ) | $ | 4,893,505 | $ | (13,236,606 | ) | $ | - | - | $ | - | - | $ | - | $ | - | $ | 131,417,718 | 3,454 | $ | (267,852,450 | ) | (6,117 | ) | $ | 12,455,625 | $ | (3,745,628 | ) | $ | - | - | $ | - | - | $ | - | $ | - | ||||||||||||||||||||||||||||||||||||||||||||||||||
Swaps | 263,191,915 | 21,430 | (114,490,450 | ) | (9,338 | ) | 7,936,763 | (3,272,860 | ) | - | - | - | - | - | - | 260,296,748 | 21,961 | (106,125,213 | ) | (9,068 | ) | 3,084,846 | (7,343,008 | ) | - | - | - | - | - | - | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
450,174,523 | 31,546 | (448,284,248 | ) | (21,251 | ) | 12,830,268 | (16,509,466 | ) | - | - | - | - | - | - | 391,714,466 | 25,415 | (373,977,663 | ) | (15,185 | ) | 15,540,471 | (11,088,636 | ) | - | - | - | - | - | - | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | ) | - | - | - | - | - | - | 11,222,846,646 | 26,972 | (901,209,799 | ) | (2,170 | ) | 9,340,992 | (29,523 | ) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
- | - | - | - | - | - | 14,213,286,597 | 34,165 | (713,690,966 | ) | (1,722 | ) | 10,466,254 | (348,278 | ) | - | - | - | - | - | - | 11,222,846,646 | 26,972 | (901,209,799 | ) | (2,170 | ) | 9,340,992 | (29,523 | ) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | ) | $ | 391,714,466 | 25,415 | $ | (373,977,663 | ) | (15,185 | ) | $ | 15,540,471 | $ | (11,088,636 | ) | $ | 11,222,846,646 | 26,972 | $ | (901,209,799 | ) | (2,170 | ) | $ | 9,340,992 | $ | (29,523 | ) | ||||||||||||||||||||||||||||||||||||||||||||
Collateral balances supporting all derivative positions | Collateral balances supporting all derivative positions | $ | 17,984,242 | $ | 25,147,965 | Collateral balances supporting all derivative positions | $ | 11,094,654 | $ | 22,826,365 |
Graham Global Monetary Policy LLC | Graham K4D Trading Ltd. | Graham Global Monetary Policy LLC | Graham K4D Trading Ltd. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | $ | 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 | ) | $ | 46,492,000 | 650 | $ | (23,695,000 | ) | (500 | ) | $ | 1,715,360 | $ | (1,798,730 | ) | $ | 1,345,596,497 | 15,854 | $ | (758,255,780 | ) | (12,860 | ) | $ | 28,003,129 | $ | (36,821,770 | ) | ||||||||||||||||||||||||||||||||||||||||||||
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 | ) | 46,492,000 | 650 | (23,695,000 | ) | (500 | ) | 1,715,360 | (1,798,730 | ) | 1,345,596,497 | 15,854 | (758,255,780 | ) | (12,860 | ) | 28,003,129 | (36,821,770 | ) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Equity price | �� | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Futures | - | - | - | - | - | - | 780,831,862 | 11,792 | (174,585,658 | ) | (1,691 | ) | 17,713,871 | (8,794,597 | ) | - | - | - | - | - | - | 476,877,253 | 6,819 | (263,048,422 | ) | (4,747 | ) | 15,441,668 | (5,079,843 | ) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
- | - | - | - | - | - | 780,831,862 | 11,792 | (174,585,658 | ) | (1,691 | ) | 17,713,871 | (8,794,597 | ) | - | - | - | - | - | - | 476,877,253 | 6,819 | (263,048,422 | ) | (4,747 | ) | 15,441,668 | (5,079,843 | ) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Foreign currency exchange rate | �� | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Futures | - | - | - | - | - | - | 305,790,215 | 2,727 | (221,066,583 | ) | (2,632 | ) | 6,391,645 | (881,005 | ) | - | - | - | - | - | - | 445,249,816 | 2,709 | (275,073,860 | ) | (2,797 | ) | 1,326,426 | (995,375 | ) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Forwards | 1,931,095 | - | (1,679,020 | ) | - | 2,199,243 | (463,734 | ) | 64,401,562 | - | (62,576,740 | ) | - | 61,240,470 | (62,784,761 | ) | 2,684,470 | - | (3,371,806 | ) | - | 2,646,610 | (2,765,583 | ) | 31,171,994 | - | (18,184,872 | ) | - | 21,904,835 | (18,473,500 | ) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | ) | 2,684,470 | - | (3,371,806 | ) | - | 2,646,610 | (2,765,583 | ) | 476,421,810 | 2,709 | (293,258,732 | ) | (2,797 | ) | 23,231,261 | (19,468,875 | ) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | ) | 1,247,933,160 | 3,000 | (11,437,252,636 | ) | (34,190 | ) | 3,863,605 | (4,000,271 | ) | 11,774,187,855 | 45,104 | (2,692,780,158 | ) | (8,420 | ) | 3,205,822 | (28,085,623 | ) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | ) | 1,247,933,160 | 3,000 | (11,437,252,636 | ) | (34,190 | ) | 3,863,605 | (4,000,271 | ) | 11,774,187,855 | 45,104 | (2,692,780,158 | ) | (8,420 | ) | 3,205,822 | (28,085,623 | ) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | ) | $ | 1,297,109,630 | 3,650 | $ | (11,464,319,442 | ) | (34,690 | ) | $ | 8,225,575 | $ | (8,564,584 | ) | $ | 14,073,083,415 | 70,486 | $ | (4,007,343,092 | ) | (28,824 | ) | $ | 69,881,880 | $ | (89,456,111 | ) | ||||||||||||||||||||||||||||||||||||||||||||
Collateral balances supporting all derivative positions | Collateral balances supporting all derivative positions | $ | 31,843,292 | $ | 288,833,860 | Collateral balances supporting all derivative positions | $ | 98,569,407 | $ | 283,292,262 |
Graham Macro Directional LLC | Graham Macro Directional 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 | $ | 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 | - | - | - | - | - | - | - | - | (42,608 | ) | - | - | (44,188 | ) | ||||||||||||||||||||||||||||||||||
- | - | - | - | - | - | - | - | (42,608 | ) | - | - | (44,188 | ) | |||||||||||||||||||||||||||||||||||
Interest rate | ||||||||||||||||||||||||||||||||||||||||||||||||
Futures | - | - | - | - | - | - | 685,724,754 | 5,700 | - | - | 515,627 | (1,245,133 | ) | |||||||||||||||||||||||||||||||||||
- | - | - | - | - | - | 685,724,754 | 5,700 | - | - | 515,627 | (1,245,133 | ) | ||||||||||||||||||||||||||||||||||||
Total | $ | 41,413,500 | 450 | $ | - | - | $ | 293,050 | $ | (37,500 | ) | $ | 685,724,754 | 5,700 | $ | (42,608 | ) | - | $ | 515,627 | $ | (1,289,321 | ) | |||||||||||||||||||||||||
Collateral balances supporting all derivative positions | Collateral balances supporting all derivative positions | $ | 4,762,663 | Collateral balances supporting all derivative positions | $ | 7,894,158 |
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) | |||||||||||||||||||||||||
Three Months Ended June 30, 2011 | ||||||||||||||||||||||||||||||||
Net investment loss | $ | (4,386 | ) | $ | (21,842 | ) | $ | (6,663 | ) | $ | (2,910 | ) | $ | (38,503 | ) | $ | (206,478 | ) | $ | (7,866 | ) | $ | - | |||||||||
Net realized gain (loss) on investments | 6,750,578 | (16,112,867 | ) | (2,018,687 | ) | 6,717,130 | (9,593,084 | ) | (21,262,016 | ) | (1,633,982 | ) | - | |||||||||||||||||||
Net increase (decrease) in unrealized appreciation on investments | 5,564,570 | (12,797,859 | ) | 7,684,531 | 2,089,673 | (2,852,943 | ) | (70,349,041 | ) | (1,329,149 | ) | - | ||||||||||||||||||||
Brokerage commissions and fees | (1,639,470 | ) | (752,389 | ) | (255,097 | ) | (715,972 | ) | (660,192 | ) | (3,638,222 | ) | (701,773 | ) | - | |||||||||||||||||
Net gain (loss) on investments | 10,675,678 | (29,663,115 | ) | 5,410,747 | 8,090,831 | (13,106,219 | ) | (95,249,279 | ) | (3,664,904 | ) | - | ||||||||||||||||||||
Net income (loss) | $ | 10,671,292 | $ | (29,684,957 | ) | $ | 5,404,084 | $ | 8,087,921 | $ | (13,144,722 | ) | $ | (95,455,757 | ) | $ | (3,672,770 | ) | $ | - |
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 |
Six Months Ended June 30, 2011 | ||||||||||||||||||||||||||||||||
Net investment income (loss) | $ | (8,866 | ) | $ | (20,874 | ) | $ | (15,484 | ) | $ | (4,030 | ) | $ | (66,633 | ) | $ | (290,344 | ) | $ | (8,423 | ) | $ | 1,186 | |||||||||
Net realized gain (loss) on investments | 77,093,191 | (15,551,080 | ) | (5,950,891 | ) | 22,305,960 | 11,375,066 | (68,425,848 | ) | (23,415,872 | ) | 3,960,455 | ||||||||||||||||||||
Net increase (decrease) in unrealized appreciation on investments | (19,856,052 | ) | (8,962,985 | ) | 5,582,153 | 735,914 | 890,931 | (65,095,579 | ) | (1,049,458 | ) | (1,898,136 | ) | |||||||||||||||||||
Brokerage commissions and fees | (3,473,172 | ) | (1,603,103 | ) | (641,577 | ) | (1,300,533 | ) | (1,373,768 | ) | (6,930,150 | ) | (1,020,771 | ) | (548,562 | ) | ||||||||||||||||
Net gain (loss) on investments | 53,763,967 | (26,117,168 | ) | (1,010,315 | ) | 21,741,341 | 10,892,229 | (140,451,577 | ) | (25,486,101 | ) | 1,513,757 | ||||||||||||||||||||
Net income (loss) | $ | 53,755,101 | $ | (26,138,042 | ) | $ | (1,025,799 | ) | $ | 21,737,311 | $ | 10,825,596 | $ | (140,741,921 | ) | $ | (25,494,524 | ) | $ | 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 | $ | 12,699,898 | $ | (27,398,379 | ) | $ | 13,273,438 | $ | - | $ | 2,837,354 | $ | (87,798,352 | ) | $ | (96,992 | ) | $ | - | |||||||||||||
Options | - | (1,337,727 | ) | (303,114 | ) | - | (295,000 | ) | - | - | - | |||||||||||||||||||||
Swaps | (384,750 | ) | (174,620 | ) | (7,304,480 | ) | - | - | - | - | - | |||||||||||||||||||||
12,315,148 | (28,910,726 | ) | 5,665,844 | - | 2,542,354 | (87,798,352 | ) | (96,992 | ) | - | ||||||||||||||||||||||
Equity price | ||||||||||||||||||||||||||||||||
Futures | - | - | - | - | (538,540 | ) | (28,028,918 | ) | (4,385,320 | ) | - | |||||||||||||||||||||
Options | - | - | - | - | - | - | - | - | ||||||||||||||||||||||||
- | - | - | - | (538,540 | ) | (28,028,918 | ) | (4,385,320 | ) | - | ||||||||||||||||||||||
Foreign currency exchange rate | ||||||||||||||||||||||||||||||||
Futures | - | - | - | - | - | (4,534,058 | ) | - | - | |||||||||||||||||||||||
Forwards | - | - | - | - | 2,968,389 | 5,477,710 | (16,428,584 | ) | - | |||||||||||||||||||||||
Options | - | - | - | - | (8,260,446 | ) | - | - | - | |||||||||||||||||||||||
- | - | - | - | (5,292,057 | ) | 943,652 | (16,428,584 | ) | - | |||||||||||||||||||||||
Interest rate | ||||||||||||||||||||||||||||||||
Futures | - | - | - | 11,348,100 | (8,895,284 | ) | 23,272,561 | 17,947,765 | - | |||||||||||||||||||||||
Options | - | - | - | (2,541,297 | ) | (262,500 | ) | - | - | - | ||||||||||||||||||||||
- | - | - | 8,806,803 | (9,157,784 | ) | 23,272,561 | 17,947,765 | - | ||||||||||||||||||||||||
Total | $ | 12,315,148 | $ | (28,910,726 | ) | $ | 5,665,844 | $ | 8,806,803 | $ | (12,446,027 | ) | $ | (91,611,057 | ) | $ | (2,963,131 | ) | $ | - |
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 | 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 | $ | 57,331,639 | $ | (20,131,865 | ) | $ | 1,922,912 | $ | - | $ | 8,634,955 | $ | (42,986,840 | ) | $ | (731,472 | ) | $ | 3,852,769 | |||||||||||||||||||||||||||
Options | - | (3,803,688 | ) | 3,005,179 | - | 207,880 | - | - | (223,490 | ) | - | (5,141,415 | ) | 2,702,065 | - | (87,120 | ) | - | - | (223,490 | ) | |||||||||||||||||||||||||||||||||||||||||||
Swaps | 290,250 | 933,835 | 2,310,765 | - | - | - | - | - | (94,500 | ) | 759,215 | (4,993,715 | ) | - | - | - | - | - | ||||||||||||||||||||||||||||||||||||||||||||||
44,921,991 | 4,396,661 | (6,034,582 | ) | 9,566,143 | 6,005,481 | 44,811,512 | (634,480 | ) | 3,629,279 | 57,237,139 | (24,514,065 | ) | (368,738 | ) | - | 8,547,835 | (42,986,840 | ) | (731,472 | ) | 3,629,279 | |||||||||||||||||||||||||||||||||||||||||||
Equity price | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Futures | - | - | - | - | (4,947,186 | ) | (40,301,211 | ) | (301,661 | ) | 1,134,945 | - | - | - | - | (5,485,726 | ) | (68,330,129 | ) | (4,686,981 | ) | 1,134,945 | ||||||||||||||||||||||||||||||||||||||||||
Options | - | - | - | - | - | - | - | (427,187 | ) | - | - | - | - | - | - | - | (427,187 | ) | ||||||||||||||||||||||||||||||||||||||||||||||
- | - | - | - | (4,947,186 | ) | (40,301,211 | ) | (301,661 | ) | 707,758 | - | - | - | - | (5,485,726 | ) | (68,330,129 | ) | (4,686,981 | ) | 707,758 | |||||||||||||||||||||||||||||||||||||||||||
Foreign currency exchange rate | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Futures | - | - | - | - | - | (5,461,945 | ) | - | - | - | - | - | - | - | (9,996,003 | ) | - | - | ||||||||||||||||||||||||||||||||||||||||||||||
Forwards | - | - | - | - | 41,508,124 | (24,055,983 | ) | (12,277,803 | ) | 5,706,028 | - | - | - | - | 44,476,513 | (18,578,273 | ) | (28,706,387 | ) | 5,706,028 | ||||||||||||||||||||||||||||||||||||||||||||
Options | - | - | - | - | (12,578,583 | ) | - | - | (7,400,670 | ) | - | - | - | - | (20,839,029 | ) | - | - | (7,400,670 | ) | ||||||||||||||||||||||||||||||||||||||||||||
- | - | - | - | 28,929,541 | (29,517,928 | ) | (12,277,803 | ) | (1,694,642 | ) | - | - | - | - | 23,637,484 | (28,574,276 | ) | (28,706,387 | ) | (1,694,642 | ) | |||||||||||||||||||||||||||||||||||||||||||
Interest rate | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Bonds | - | - | - | - | - | - | - | - | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Futures | - | - | - | 7,646,707 | (4,830,499 | ) | (16,902,743 | ) | (8,288,255 | ) | (580,076 | ) | - | - | - | 28,560,950 | (13,725,783 | ) | 6,369,818 | 9,659,510 | (580,076 | ) | ||||||||||||||||||||||||||||||||||||||||||
Options | - | - | - | (2,977,779 | ) | (445,313 | ) | - | - | - | - | - | - | (5,519,076 | ) | (707,813 | ) | - | - | - | ||||||||||||||||||||||||||||||||||||||||||||
- | - | - | 4,668,928 | (5,275,812 | ) | (16,902,743 | ) | (8,288,255 | ) | (580,076 | ) | - | - | - | 23,041,874 | (14,433,596 | ) | 6,369,818 | 9,659,510 | (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 | $ | 57,237,139 | $ | (24,514,065 | ) | $ | (368,738 | ) | $ | 23,041,874 | $ | 12,265,997 | $ | (133,521,427 | ) | $ | (24,465,330 | ) | $ | 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 | % |
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 | 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 | % | 1,095 | $ | 14,633,650 | 28.42 | % | ||||||||||||||
Brent Crude Penultimate Financial June 2012 | 200 | 2,036,000 | 3.95 | % | 200 | 2,036,000 | 3.95 | % | ||||||||||||||||
Other Brent Crude December 2011 - June 2011 | 1,277 | 3,601,460 | 6.99 | % | 1,277 | 3,601,460 | 6.99 | % | ||||||||||||||||
Coffee March 2011 | 396 | 4,360,950 | 8.47 | % | 396 | 4,360,950 | 8.47 | % | ||||||||||||||||
Corn July 2011 | 3,991 | 18,055,400 | 35.06 | % | 3,991 | 18,055,400 | 35.06 | % | ||||||||||||||||
Corn December 2011 | 48 | 153,788 | 0.30 | % | 48 | 153,788 | 0.30 | % | ||||||||||||||||
Heating Oil March 2011 | 527 | 5,647,421 | 10.97 | % | 527 | 5,647,421 | 10.97 | % | ||||||||||||||||
Other Heating Oil February 2011 - June 2011 | 397 | 264,810 | 0.51 | % | 397 | 264,810 | 0.51 | % | ||||||||||||||||
LME Aluminum March 2011 | 1,590 | 2,988,131 | 5.80 | % | 1,590 | 2,988,131 | 5.80 | % | ||||||||||||||||
LME Aluminum January 2011 | 723 | 2,143,550 | 4.16 | % | 723 | 2,143,550 | 4.16 | % | ||||||||||||||||
LME Copper January 2011 | 172 | 2,952,825 | 5.73 | % | 172 | 2,952,825 | 5.73 | % | ||||||||||||||||
LME Copper March 2011 | 359 | 2,598,425 | 5.05 | % | 359 | 2,598,425 | 5.05 | % | ||||||||||||||||
LME Lead January 2011 | 511 | 3,757,844 | 7.30 | % | 511 | 3,757,844 | 7.30 | % | ||||||||||||||||
LME Lead March 2011 | 315 | 641,800 | 1.25 | % | 315 | 641,800 | 1.25 | % | ||||||||||||||||
LME Zinc March 2011 | 1,566 | 4,704,131 | 9.13 | % | 1,566 | 4,704,131 | 9.13 | % | ||||||||||||||||
LME Zinc January 2011 | 633 | 2,228,906 | 4.33 | % | 633 | 2,228,906 | 4.33 | % | ||||||||||||||||
Soybean July 2011 | 613 | 4,537,487 | 8.81 | % | 613 | 4,537,487 | 8.81 | % | ||||||||||||||||
Soybean November 2011 | 102 | 280,350 | 0.54 | % | 102 | 280,350 | 0.54 | % | ||||||||||||||||
Wheat July 2011 | 1,414 | 7,393,413 | 14.36 | % | 1,414 | 7,393,413 | 14.36 | % | ||||||||||||||||
Wheat March 2011 | 1,044 | 5,075,512 | 9.86 | % | 1,044 | 5,075,512 | 9.86 | % | ||||||||||||||||
Other Wheat May 2011 - December 2011 | 1,676 | 4,151,525 | 8.06 | % | 1,676 | 4,151,525 | 8.06 | % | ||||||||||||||||
WTI Crude April 2011 | 2,180 | 4,866,480 | 9.45 | % | 2,180 | 4,866,480 | 9.45 | % | ||||||||||||||||
WTI Crude December 2012 | 2,529 | 18,709,570 | 36.33 | % | 2,529 | 18,709,570 | 36.33 | % | ||||||||||||||||
Other commodity | 10,047,962 | 19.51 | % | 10,047,962 | 19.51 | % | ||||||||||||||||||
Total futures | 125,831,390 | 244.34 | % | 125,831,390 | 244.34 | % |
Description | Number of Contracts | Fair Value | Percentage of Net Assets of Master Fund | 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 | )% | (1,295 | ) | $ | (13,292,950 | ) | (25.81 | )% | ||||||||||
Brent Crude Penultimate Financial June 2011 | (3 | ) | (49,020 | ) | (0.10 | )% | (3 | ) | (49,020 | ) | (0.10 | )% | ||||||||||||
Brent Crude December 2012 | (1,143 | ) | (5,592,330 | ) | (10.86 | )% | (1,143 | ) | (5,592,330 | ) | (10.86 | )% | ||||||||||||
Coffee May 2011 | (338 | ) | (4,695,019 | ) | (9.12 | )% | (338 | ) | (4,695,019 | ) | (9.12 | )% | ||||||||||||
Corn March 2011 | (3,625 | ) | (9,012,475 | ) | (17.50 | )% | (3,625 | ) | (9,012,475 | ) | (17.50 | )% | ||||||||||||
Gas Oil March 2011 | (646 | ) | (3,626,950 | ) | (7.04 | )% | (646 | ) | (3,626,950 | ) | (7.04 | )% | ||||||||||||
Gas Oil January 2011 - June 2012 | (53 | ) | (108,375 | ) | (0.22 | )% | (53 | ) | (108,375 | ) | (0.22 | )% | ||||||||||||
LME Aluminum January 2011 - March 2011 | (2,207 | ) | (3,806,831 | ) | (7.39 | )% | (2,207 | ) | (3,806,831 | ) | (7.39 | )% | ||||||||||||
LME Copper January 2011 | (173 | ) | (2,962,525 | ) | (5.75 | )% | (173 | ) | (2,962,525 | ) | (5.75 | )% | ||||||||||||
LME Copper March 2011 | (327 | ) | (2,328,450 | ) | (4.52 | )% | (327 | ) | (2,328,450 | ) | (4.52 | )% | ||||||||||||
LME Lead January 2011 - March 2011 | (826 | ) | (3,205,319 | ) | (6.22 | )% | (826 | ) | (3,205,319 | ) | (6.22 | )% | ||||||||||||
LME Zinc January 2011 | (634 | ) | (4,078,794 | ) | (7.92 | )% | (634 | ) | (4,078,794 | ) | (7.92 | )% | ||||||||||||
LME Zinc March 2011 | (1,494 | ) | (5,237,125 | ) | (10.17 | )% | (1,494 | ) | (5,237,125 | ) | (10.17 | )% | ||||||||||||
Wheat July 2011 | (2,459 | ) | (5,308,537 | ) | (10.31 | )% | (2,459 | ) | (5,308,537 | ) | (10.31 | )% | ||||||||||||
Wheat March 2011 | (688 | ) | (4,981,550 | ) | (9.67 | )% | (688 | ) | (4,981,550 | ) | (9.67 | )% | ||||||||||||
Wheat May 2011 | (795 | ) | (849,025 | ) | (1.65 | )% | (795 | ) | (849,025 | ) | (1.65 | )% | ||||||||||||
WTI Crude February 2011 | (2,758 | ) | (5,155,560 | ) | (10.01 | )% | (2,758 | ) | (5,155,560 | ) | (10.01 | )% | ||||||||||||
WTI Crude December 2011 | (1,829 | ) | (7,981,680 | ) | (15.50 | )% | (1,829 | ) | (7,981,680 | ) | (15.50 | )% | ||||||||||||
Other commodity | (6,586,997 | ) | (12.79 | )% | (6,586,997 | ) | (12.79 | )% | ||||||||||||||||
Total futures | (88,859,512 | ) | (172.55 | )% | (88,859,512 | ) | (172.55 | )% | ||||||||||||||||
Total | $ | 36,971,878 | 71.79 | % | $ | 36,971,878 | 71.79 | % |
Description | Number of Contracts | Fair Value | Percentage of Net Assets of Master Fund | 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 | % | 330 | $ | 977,500 | 8.07 | % | ||||||||||||||
Brent Crude April 2011 | 330 | 974,400 | 8.04 | % | 330 | 974,400 | 8.04 | % | ||||||||||||||||
Gasoline RBOB February 2011 – June 2011 | 1,025 | 7,896,193 | 65.14 | % | 1,025 | 7,896,193 | 65.14 | % | ||||||||||||||||
Globex RBOB Gasoline June 2011 | 475 | 2,643,060 | 21.81 | % | 475 | 2,643,060 | 21.81 | % | ||||||||||||||||
Globex Crude Oil June 2011 | 75 | 733,500 | 6.05 | % | 75 | 733,500 | 6.05 | % | ||||||||||||||||
Globex Crude Oil December 2011 | 500 | 4,600,000 | 37.95 | % | 500 | 4,600,000 | 37.95 | % | ||||||||||||||||
Heating Oil December 2011 | 1,650 | 14,407,478 | 118.86 | % | 1,650 | 14,407,478 | 118.86 | % | ||||||||||||||||
Heating Oil August 2011 | 500 | 412,012 | 3.40 | % | 500 | 412,012 | 3.40 | % | ||||||||||||||||
Natural Gas October 2011 | 721 | 1,138,980 | 9.40 | % | 721 | 1,138,980 | 9.40 | % | ||||||||||||||||
Other commodity | 594,381 | 4.90 | % | 594,381 | 4.90 | % | ||||||||||||||||||
Total futures | 34,377,504 | 283.62 | % | 34,377,504 | 283.62 | % | ||||||||||||||||||
Options | ||||||||||||||||||||||||
Crude Oil Future April 2011, $100.00 Call | 500 | 1,010,000 | 8.33 | % | 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 | % | 3,450 | 1,155,000 | 9.53 | % | ||||||||||||||||
Total options | 2,165,000 | 17.86 | % | 2,165,000 | 17.86 | % | ||||||||||||||||||
Swaps | ||||||||||||||||||||||||
Natural Gas Swap April 2011 | 4,540 | 1,872,750 | 15.45 | % | 4,540 | 1,872,750 | 15.45 | % | ||||||||||||||||
Natural Gas Swap October 2011 | 2,124 | 933,360 | 7.70 | % | 2,124 | 933,360 | 7.70 | % | ||||||||||||||||
Natural Gas Swap November 2011 | 2,000 | 950,000 | 7.84 | % | 2,000 | 950,000 | 7.84 | % | ||||||||||||||||
Total swaps | 3,756,110 | 30.99 | % | 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 | 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 / 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 | 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 | 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 | % | $ | 237,741 | 0.13 | % | ||||||||||
Foreign bond | 1,053,653 | 0.58 | % | 1,053,653 | 0.58 | % | ||||||||||||
U.S. index | 3,010,100 | 1.66 | % | 3,010,100 | 1.66 | % | ||||||||||||
Foreign index | (3,683,508 | ) | (2.03 | )% | (3,683,508 | ) | (2.03 | )% | ||||||||||
Commodity | 31,911,445 | 17.57 | % | 31,911,445 | 17.57 | % | ||||||||||||
Interest rate | 325,182 | 0.18 | % | 325,182 | 0.18 | % | ||||||||||||
Currency | 4,536,916 | 2.50 | % | 4,536,916 | 2.50 | % | ||||||||||||
Total futures | 37,391,529 | 20.59 | % | 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 | % | ||||||||||||||
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 | % | 28,092,524 | 15.46 | % | ||||||||||||
Total forwards | 57,451,984 | 31.63 | % | 57,451,984 | 31.63 | % |
Description | Principal Amount | Fair Value | Percentage of Net Assets of Master Fund | 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 | )% | $ | (1,546,794 | ) | (0.85 | )% | ||||||||
Foreign bond | (540,937 | ) | (0.30 | )% | (540,937 | ) | (0.30 | )% | ||||||||||
Foreign index | (142,959 | ) | (0.08 | )% | (142,959 | ) | (0.08 | )% | ||||||||||
Commodity | (4,754,965 | ) | (2.62 | )% | (4,754,965 | ) | (2.62 | )% | ||||||||||
Interest rate | (3,790,967 | ) | (2.09 | )% | (3,790,967 | ) | (2.09 | )% | ||||||||||
Currency | 739,824 | 0.41 | % | 739,824 | 0.41 | % | ||||||||||||
Total futures | (10,036,798 | ) | (5.53 | )% | (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 | )% | |||||||||||||
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 | )% | (7,987,532 | ) | (4.40 | )% | ||||||||||
Total forwards | (39,063,387 | ) | (21.51 | )% | (39,063,387 | ) | (21.51 | )% | ||||||||||
Total | $ | 45,743,328 | 25.18 | % | $ | 45,743,328 | 25.18 | % |
Description | Principal Amount | Fair Value | Percentage of Net Assets of Master Fund | Principal Amount | Fair Value | Percentage of Net Assets of Master Fund | ||||||||||||
Graham Macro Directional LLC | ||||||||||||||||||
Long contracts | ||||||||||||||||||
Futures | ||||||||||||||||||
Commodity | $ | 66,430 | 4.55 | % | $ | 66,430 | 4.55 | % | ||||||||||
Total futures | 66,430 | 4.55 | % | 66,430 | 4.55 | % | ||||||||||||
Forwards | ||||||||||||||||||
Canadian Dollar / U.S. Dollar 01/04/11 | CAD 20,003,980 | 87,433 | 5.99 | % | ||||||||||||||
Canadian dollar / U.S. dollar 01/04/11 | CAD 20,003,980 | 87,433 | 5.99 | % | ||||||||||||||
Total forwards | 87,433 | 5.99 | % | 87,433 | 5.99 | % | ||||||||||||
Short Contracts | ||||||||||||||||||
Futures | ||||||||||||||||||
Foreign bond | 20,060 | 1.37 | % | 20,060 | 1.37 | % | ||||||||||||
Total futures | 20,060 | 1.37 | % | 20,060 | 1.37 | % | ||||||||||||
Total | $ | 173,923 | 11.91 | % | $ | 173,923 | 11.91 | % |
Description | Principal Amount / Number of Contracts | Fair Value | Percentage of Net Assets of Master Fund | 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 | )% | 225 | $ | (16,875 | ) | (11.52 | )% | ||||||||
Total futures | (16,875 | ) | (11.52 | )% | (16,875 | ) | (11.52 | )% | ||||||||||||
Options | ||||||||||||||||||||
British Pound Put / Swiss Franc Call, $1.47 | CHF 10,000,000 | 47,256 | 32.27 | % | CHF 10,000,000 | 47,256 | 32.27 | % | ||||||||||||
Total options | 47,256 | 32.27 | % | 47,256 | 32.27 | % | ||||||||||||||
Forwards | ||||||||||||||||||||
Chinese Yuan / U.S. Dollar 08/19/11 | CNY 334,143,000 | 1,385,221 | 945.81 | % | ||||||||||||||||
Chinese Yuan / U.S. dollar 08/19/11 | CNY 334,143,000 | 1,385,221 | 945.81 | % | ||||||||||||||||
Total forwards | 1,385,221 | 945.81 | % | 1,385,221 | 945.81 | % | ||||||||||||||
Short Contracts | ||||||||||||||||||||
Forwards | ||||||||||||||||||||
Swiss Franc / British Pound 01/05/11 | CHF (7,292,955) | (15,162 | ) | (10.35 | )% | 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 | )% | |||||||||||||||
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 | )% | (1,474,097 | ) | (1,006.50 | )% | ||||||||||||
Total | $ | (58,495 | ) | (39.94 | )% | $ | (58,495 | ) | (39.94 | )% |
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 | 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 | $ | - | $ | - | $ | - | $ | - | $ | - | $ | - | $ | 237,741 | $ | - | $ | - | ||||||||||||||||||||||||||||
Foreign bond futures | - | - | - | - | 1,053,653 | - | - | - | - | - | - | 1,053,653 | - | - | ||||||||||||||||||||||||||||||||||||||||||
U.S. index futures | - | - | - | - | 3,010,100 | - | (16,875 | ) | - | - | - | - | 3,010,100 | - | (16,875 | ) | ||||||||||||||||||||||||||||||||||||||||
Foreign index futures | - | - | - | - | (3,683,508 | ) | - | - | - | - | - | - | (3,683,508 | ) | - | - | ||||||||||||||||||||||||||||||||||||||||
Commodity futures | 125,831,390 | 34,377,504 | - | 833,980 | 31,911,445 | 66,430 | - | 125,831,390 | 34,377,504 | - | 833,980 | 31,911,445 | 66,430 | - | ||||||||||||||||||||||||||||||||||||||||||
Commodity futures options | - | 2,165,000 | - | - | - | - | - | - | 2,165,000 | - | - | - | - | - | ||||||||||||||||||||||||||||||||||||||||||
Commodity swaps | - | 3,756,110 | - | - | - | - | - | - | 3,756,110 | - | - | - | - | - | ||||||||||||||||||||||||||||||||||||||||||
Interest rate futures | - | - | 11,573,680 | 1,570,955 | 325,182 | - | - | - | - | 11,573,680 | 1,570,955 | 325,182 | - | - | ||||||||||||||||||||||||||||||||||||||||||
Interest rate futures options | - | - | 15,955,481 | - | - | - | - | - | - | 15,955,481 | - | - | - | - | ||||||||||||||||||||||||||||||||||||||||||
Currency futures | - | - | - | - | 4,536,916 | - | - | - | - | - | - | 4,536,916 | - | - | ||||||||||||||||||||||||||||||||||||||||||
Total Level 1 | 125,831,390 | 40,298,614 | 27,529,161 | 2,404,935 | 37,391,529 | 66,430 | (16,875 | ) | 125,831,390 | 40,298,614 | 27,529,161 | 2,404,935 | 37,391,529 | 66,430 | (16,875 | ) | ||||||||||||||||||||||||||||||||||||||||
Level 2: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Foreign currency forwards | - | - | - | 10,800,884 | 57,451,984 | 87,433 | 1,385,221 | - | - | - | 10,800,884 | 57,451,984 | 87,433 | 1,385,221 | ||||||||||||||||||||||||||||||||||||||||||
Foreign currency forwards options | - | - | - | 603,151 | - | - | 47,256 | - | - | - | 603,151 | - | - | 47,256 | ||||||||||||||||||||||||||||||||||||||||||
Total Level 2 | - | - | - | 11,404,035 | 57,451,984 | 87,433 | 1,432,477 | - | - | - | 11,404,035 | 57,451,984 | 87,433 | 1,432,477 | ||||||||||||||||||||||||||||||||||||||||||
Total long contracts | $ | 125,831,390 | $ | 40,298,614 | $ | 27,529,161 | $ | 13,808,970 | $ | 94,843,513 | $ | 153,863 | $ | 1,415,602 | $ | 125,831,390 | $ | 40,298,614 | $ | 27,529,161 | $ | 13,808,970 | $ | 94,843,513 | $ | 153,863 | $ | 1,415,602 | ||||||||||||||||||||||||||||
Short Contracts | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Level 1: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
U.S. bond futures | - | - | - | (37,016 | ) | (1,546,794 | ) | - | - | - | - | - | (37,016 | ) | (1,546,794 | ) | - | - | ||||||||||||||||||||||||||||||||||||||
Foreign bond futures | - | - | - | 641,195 | (540,937 | ) | 20,060 | - | - | - | - | 641,195 | (540,937 | ) | 20,060 | - | ||||||||||||||||||||||||||||||||||||||||
Foreign index futures | - | - | - | - | (142,959 | ) | - | - | - | - | - | - | (142,959 | ) | - | - | ||||||||||||||||||||||||||||||||||||||||
Commodity futures | (88,859,512 | ) | (20,336,838 | ) | - | (770,200 | ) | (4,754,965 | ) | - | - | (88,859,512 | ) | (20,336,838 | ) | - | (770,200 | ) | (4,754,965 | ) | - | - | ||||||||||||||||||||||||||||||||||
Commodity futures options | - | (182,500 | ) | - | - | - | - | - | - | (182,500 | ) | - | - | - | - | - | ||||||||||||||||||||||||||||||||||||||||
Commodity swaps | - | (1,417,000 | ) | - | - | - | - | - | - | (1,417,000 | ) | - | - | - | - | - | ||||||||||||||||||||||||||||||||||||||||
Interest rate futures | - | - | 39,967 | (3,080,013 | ) | (3,790,967 | ) | - | - | - | - | 39,967 | (3,080,013 | ) | (3,790,967 | ) | - | - | ||||||||||||||||||||||||||||||||||||||
Interest rate futures options | - | - | (3,958,218 | ) | - | - | - | - | - | - | (3,958,218 | ) | - | - | - | - | ||||||||||||||||||||||||||||||||||||||||
Currency futures | - | - | - | - | 739,824 | - | - | - | - | - | - | 739,824 | - | - | ||||||||||||||||||||||||||||||||||||||||||
Total Level 1 | (88,859,512 | ) | (21,936,338 | ) | (3,918,251 | ) | (3,246,034 | ) | (10,036,798 | ) | 20,060 | - | (88,859,512 | ) | (21,936,338 | ) | (3,918,251 | ) | (3,246,034 | ) | (10,036,798 | ) | 20,060 | - | ||||||||||||||||||||||||||||||||
Level 2: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Foreign currency forwards | - | - | - | (13,145,174 | ) | (39,063,387 | ) | - | (1,474,097 | ) | - | - | - | (13,145,174 | ) | (39,063,387 | ) | - | (1,474,097 | ) | ||||||||||||||||||||||||||||||||||||
Total Level 2 | - | - | - | (13,145,174 | ) | (39,063,387 | ) | - | (1,474,097 | ) | - | - | - | (13,145,174 | ) | (39,063,387 | ) | - | (1,474,097 | ) | ||||||||||||||||||||||||||||||||||||
Total short contracts | $ | (88,859,512 | ) | $ | (21,936,338 | ) | $ | (3,918,251 | ) | $ | (16,391,208 | ) | $ | (49,100,185 | ) | $ | 20,060 | $ | (1,474,097 | ) | $ | (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 | $ | 2,051,527,235 | 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 | ) | $ | 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 | ) | ||||||||||||||||||||||||||||||||||||||||||||
Swaps | - | - | - | - | - | - | 98,880,020 | 8,664 | (48,003,000 | ) | (3,800 | ) | 3,756,110 | (1,417,000 | ) | - | - | - | - | - | - | 98,880,020 | 8,664 | (48,003,000 | ) | (3,800 | ) | 3,756,110 | (1,417,000 | ) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | ) | 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 | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
- | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total | $ | 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 | ) | $ | 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 | $ | 14,527,187 | $ | (6,241,250 | ) | 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 | $ | - | - | $ | - | - | $ | - | $ | - | $ | 38,619,000 | 600 | $ | (24,200,000 | ) | (500 | ) | $ | 833,980 | $ | (770,200 | ) | $ | - | - | $ | - | - | $ | - | $ | - | $ | 38,619,000 | 600 | $ | (24,200,000 | ) | (500 | ) | $ | 833,980 | $ | (770,200 | ) | ||||||||||||||||||||||||||||||||||||||||||||||||||
- | - | - | - | - | - | 38,619,000 | 600 | (24,200,000 | ) | (500 | ) | 833,980 | (770,200 | ) | - | - | - | - | - | - | 38,619,000 | 600 | (24,200,000 | ) | (500 | ) | 833,980 | (770,200 | ) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Equity price | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Futures | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
- | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Foreign currency exchange rate | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Futures | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | - | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Forwards | - | - | - | - | - | - | 56,025,637,522 | - | (46,698,002,524 | ) | - | 15,230,468 | (17,574,758 | ) | - | - | - | - | - | - | 56,025,637,522 | - | (46,698,002,524 | ) | - | 15,230,468 | (17,574,758 | ) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
- | - | - | - | - | - | 56,025,637,522 | - | (46,698,002,524 | ) | - | 15,230,468 | (17,574,758 | ) | - | - | - | - | - | - | 56,025,637,522 | - | (46,698,002,524 | ) | - | 15,230,468 | (17,574,758 | ) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Interest rate | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Futures | 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 | ) | 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 | ) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | ) | 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 | $ | 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 | ) | $ | 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 | $ | 23,563,039 | $ | 42,339,139 | Collateral balances supporting all derivative positions | $ | 23,563,039 | $ | 42,339,139 |
Graham K4D Trading Ltd. | Graham Macro Directional LLC | 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 | $ | 810,106,878 | 10,782 | $ | (53,034,444 | ) | (926 | ) | $ | 32,742,543 | $ | (5,586,063 | ) | $ | 10,660,500 | 75 | $ | - | - | $ | 66,430 | $ | - | $ | 810,106,878 | 10,782 | $ | (53,034,444 | ) | (926 | ) | $ | 32,742,543 | $ | (5,586,063 | ) | $ | 10,660,500 | 75 | $ | - | - | $ | 66,430 | $ | - | ||||||||||||||||||||||||||||||||||||||||||||||||||
810,106,878 | 10,782 | (53,034,444 | ) | (926 | ) | 32,742,543 | (5,586,063 | ) | 10,660,500 | 75 | - | - | 66,430 | - | 810,106,878 | 10,782 | (53,034,444 | ) | (926 | ) | 32,742,543 | (5,586,063 | ) | 10,660,500 | 75 | - | - | 66,430 | - | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Equity price | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Futures | 16,008,395,340 | 15,303 | (968,631,180 | ) | (671 | ) | 4,935,403 | (5,751,770 | ) | - | - | - | - | - | - | 16,008,395,340 | 15,303 | (968,631,180 | ) | (671 | ) | 4,935,403 | (5,751,770 | ) | - | - | - | - | - | - | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
16,008,395,340 | 15,303 | (968,631,180 | ) | (671 | ) | 4,935,403 | (5,751,770 | ) | - | - | - | - | - | - | 16,008,395,340 | 15,303 | (968,631,180 | ) | (671 | ) | 4,935,403 | (5,751,770 | ) | - | - | - | - | - | - | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Foreign currency exchange rate | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Futures | 340,454,690 | 2,852 | (86,152,236 | ) | (957 | ) | 5,633,114 | (356,374 | ) | - | - | - | - | - | - | 340,454,690 | 2,852 | (86,152,236 | ) | (957 | ) | 5,633,114 | (356,374 | ) | - | - | - | - | - | - | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Forwards | 90,870,643,000 | - | (87,109,470,216 | ) | - | 78,339,927 | (59,951,330 | ) | 19,920,873 | - | - | - | 87,433 | - | 90,870,643,000 | - | (87,109,470,216 | ) | - | 78,339,927 | (59,951,330 | ) | 19,920,873 | - | - | - | 87,433 | - | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
91,211,097,690 | 2,852 | (87,195,622,452 | ) | (957 | ) | 83,973,041 | (60,307,704 | ) | 19,920,873 | - | - | - | 87,433 | - | 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 | 2,044,200,093 | 8,454 | (63,261,455,459 | ) | (23,095 | ) | 2,729,784 | (6,991,906 | ) | - | - | (12,531,000 | ) | (100 | ) | 20,060 | - | 2,044,200,093 | 8,454 | (63,261,455,459 | ) | (23,095 | ) | 2,729,784 | (6,991,906 | ) | - | - | (12,531,000 | ) | (100 | ) | 20,060 | - | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2,044,200,093 | 8,454 | (63,261,455,459 | ) | (23,095 | ) | 2,729,784 | (6,991,906 | ) | - | - | (12,531,000 | ) | (100 | ) | 20,060 | - | 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 | $ | 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 | $ | - | $ | 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 | $ | 135,887,098 | $ | 1,286,040 | Collateral balances supporting all derivative positions | $ | 135,887,098 | $ | 1,286,040 |
Graham Short Term Global Macro 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 | $ | - | - | $ | - | - | $ | - | $ | - | $ | - | - | $ | - | - | $ | - | $ | - | ||||||||||||||||||||||||||||
- | - | - | - | - | - | - | - | - | - | - | - | |||||||||||||||||||||||||||||||||||||
Equity price | ||||||||||||||||||||||||||||||||||||||||||||||||
Futures | 14,096,250 | 225 | - | - | - | (16,875 | ) | 14,096,250 | 225 | - | - | - | (16,875 | ) | ||||||||||||||||||||||||||||||||||
14,096,250 | 225 | - | - | - | (16,875 | ) | 14,096,250 | 225 | - | - | - | (16,875 | ) | |||||||||||||||||||||||||||||||||||
Foreign currency exchange rate | ||||||||||||||||||||||||||||||||||||||||||||||||
Futures | - | - | - | - | - | - | - | - | - | - | - | - | ||||||||||||||||||||||||||||||||||||
Forwards | 51,458,935 | - | (56,468,659 | ) | - | 1,385,221 | (1,474,097 | ) | 51,458,935 | - | (56,468,659 | ) | - | 1,385,221 | (1,474,097 | ) | ||||||||||||||||||||||||||||||||
51,458,935 | - | (56,468,659 | ) | - | 1,385,221 | (1,474,097 | ) | 51,458,935 | - | (56,468,659 | ) | - | 1,385,221 | (1,474,097 | ) | |||||||||||||||||||||||||||||||||
Interest rate | ||||||||||||||||||||||||||||||||||||||||||||||||
Futures | - | - | - | - | - | - | - | - | - | - | - | - | ||||||||||||||||||||||||||||||||||||
- | - | - | - | - | - | - | - | - | - | - | - | |||||||||||||||||||||||||||||||||||||
Total | $ | 65,555,185 | 225 | $ | (56,468,659 | ) | - | $ | 1,385,221 | $ | (1,490,972 | ) | $ | 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 | $ | 204,953 | Collateral balances supporting all derivative positions | $ | 204,953 |
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 June 30, 2010 | ||||||||||||||||||||||||||||||||
Net investment income (loss) | $ | (4,508 | ) | $ | (22,984 | ) | $ | (1,753 | ) | $ | (12,553 | ) | $ | (520 | ) | $ | (33,308 | ) | $ | (61,298 | ) | $ | 18 | |||||||||
Net realized gain (loss) on investments | 2,372,172 | 9,884,709 | (13,603,324 | ) | 55,329,331 | (2,138,488 | ) | 56,094,201 | 7,367,577 | (2,040,999 | ) | |||||||||||||||||||||
Net increase (decrease) in unrealized appreciation on investments | (15,559,427 | ) | (13,196,466 | ) | 19,206,804 | 2,248,080 | 11,757 | (49,262,278 | ) | 983,584 | 831,036 | |||||||||||||||||||||
Brokerage commissions and fees | (1,190,667 | ) | (240,745 | ) | (1,207,556 | ) | (557,874 | ) | - | (1,525,901 | ) | (184,244 | ) | (94,104 | ) | |||||||||||||||||
Net gain (loss) on investments | (14,377,922 | ) | (3,552,502 | ) | 4,395,924 | 57,019,537 | (2,126,731 | ) | 5,306,022 | 8,166,917 | (1,304,067 | ) | ||||||||||||||||||||
Net income (loss) | $ | (14,382,430 | ) | $ | (3,575,486 | ) | $ | 4,394,171 | $ | 57,006,984 | $ | (2,127,251 | ) | $ | 5,272,714 | $ | 8,105,619 | $ | (1,304,049 | ) |
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) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Six Months Ended June 30, 2010 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income (loss) | $ | (3,636 | ) | $ | (5,702 | ) | $ | (1,232 | ) | $ | (6,153 | ) | $ | (68,408 | ) | $ | (11,143 | ) | $ | 171 | $ | (8,144 | ) | $ | (31,238 | ) | $ | (2,985 | ) | $ | (18,706 | ) | $ | (25,701 | ) | $ | (101,716 | ) | $ | (99,109 | ) | $ | 189 | |||||||||||||||||
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 | ) | 3,431,671 | 8,776,238 | (7,939,681 | ) | 92,414,929 | (4,026,599 | ) | (21,798,070 | ) | 14,917,121 | (5,165,377 | ) | ||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Net increase (decrease) in unrealized appreciation on investments | (8,533,312 | ) | (4,278,338 | ) | 22,608,891 | 2,675,763 | 1,854,505 | (14,594,710 | ) | 874,650 | 1,926,626 | |||||||||||||||||||||||||||||||||||||||||||||||||
Brokerage commissions and fees | (1,002,423 | ) | (276,911 | ) | (1,134,151 | ) | (597,494 | ) | (1,480,295 | ) | (146,619 | ) | (38,204 | ) | (2,193,090 | ) | (515,104 | ) | (2,341,707 | ) | (1,155,368 | ) | (1,157 | ) | (3,006,196 | ) | (304,195 | ) | (132,308 | ) | ||||||||||||||||||||||||||||||
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 | ) | (7,294,731 | ) | 3,982,796 | 12,327,503 | 93,935,324 | (2,173,251 | ) | (39,398,976 | ) | 15,487,576 | (3,371,059 | ) | |||||||||||||||||||||||||||||||||||||||
Net income (loss) | $ | 7,079,555 | $ | 7,527,044 | $ | 7,930,347 | $ | 36,909,634 | $ | (44,773,406 | ) | $ | 7,282,848 | $ | (2,066,821 | ) | $ | (7,302,875 | ) | $ | 3,951,558 | $ | 12,324,518 | $ | 93,916,618 | $ | (2,198,952 | ) | $ | (39,500,692 | ) | $ | 15,388,467 | $ | (3,370,870 | ) |
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 | $ | 8,085,614 | $ | 8,524,507 | $ | - | $ | 2,178,297 | $ | (23,768,545 | ) | $ | (758,020 | ) | $ | (792,850 | ) | |||||||||||
Options | - | (714,850 | ) | - | - | - | - | - | ||||||||||||||||||||
8,085,614 | 7,809,657 | - | 2,178,297 | (23,768,545 | ) | (758,020 | ) | (792,850 | ) | |||||||||||||||||||
Equity price | ||||||||||||||||||||||||||||
Futures | - | - | - | 1,126,108 | (32,614,364 | ) | (211,949 | ) | (175,975 | ) | ||||||||||||||||||
- | - | - | 1,126,108 | (32,614,364 | ) | (211,949 | ) | (175,975 | ) | |||||||||||||||||||
Foreign currency exchange rate | ||||||||||||||||||||||||||||
Futures | - | - | 3,056,080 | - | 712,311 | - | - | |||||||||||||||||||||
Forwards | - | - | - | 37,702,416 | (80,875 | ) | 9,180,238 | 1,552,433 | ||||||||||||||||||||
Options | - | - | 6,009,650 | (3,520,011 | ) | - | - | (2,525,849 | ) | |||||||||||||||||||
- | - | 9,065,730 | 34,182,405 | 631,436 | 9,180,238 | (973,416 | ) | |||||||||||||||||||||
Interest rate | ||||||||||||||||||||||||||||
Futures | - | - | - | 441,971 | 12,526,770 | (769,659 | ) | (86,547 | ) | |||||||||||||||||||
Interest rate swaps | - | - | - | (403,000 | ) | - | - | - | ||||||||||||||||||||
Options | - | - | - | (12,500 | ) | - | - | - | ||||||||||||||||||||
- | - | - | 26,471 | 12,526,770 | (769,659 | ) | (86,547 | ) | ||||||||||||||||||||
Total | $ | 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 | $ | (13,187,255 | ) | $ | (5,186,347 | ) | $ | 3,979,881 | $ | 2,862,473 | $ | - | $ | (50,167,010 | ) | $ | (603,690 | ) | $ | (221,336 | ) | |||||||||||
Options | - | 1,874,590 | - | - | - | - | - | - | ||||||||||||||||||||||||
(13,187,255 | ) | (3,311,757 | ) | 3,979,881 | 2,862,473 | - | (50,167,010 | ) | (603,690 | ) | (221,336 | ) | ||||||||||||||||||||
Equity price | ||||||||||||||||||||||||||||||||
Futures | - | - | - | 2,212,502 | - | (29,055,274 | ) | 2,484,139 | 334,113 | |||||||||||||||||||||||
- | - | - | 2,212,502 | - | (29,055,274 | ) | 2,484,139 | 334,113 | ||||||||||||||||||||||||
Foreign currency exchange rate | ||||||||||||||||||||||||||||||||
Futures | - | - | - | - | - | 2,398,505 | - | - | ||||||||||||||||||||||||
Forwards | - | - | - | 46,487,972 | 20,691 | (9,137,401 | ) | 4,509,743 | 395,464 | |||||||||||||||||||||||
Options | - | - | - | 202,284 | - | - | - | (2,679,231 | ) | |||||||||||||||||||||||
- | - | - | 46,690,256 | 20,691 | (6,738,896 | ) | 4,509,743 | (2,283,767 | ) | |||||||||||||||||||||||
Interest rate | ||||||||||||||||||||||||||||||||
Bonds | - | - | - | - | - | - | 769,659 | 86,547 | ||||||||||||||||||||||||
Futures | - | - | (2,197,604 | ) | 5,812,180 | - | 92,793,103 | 1,191,310 | 874,480 | |||||||||||||||||||||||
Interest rate swaps | - | - | 3,821,203 | - | (2,147,422 | ) | - | - | - | |||||||||||||||||||||||
Options | - | - | - | - | - | - | - | - | ||||||||||||||||||||||||
- | - | 1,623,599 | 5,812,180 | (2,147,422 | ) | 92,793,103 | 1,960,969 | 961,027 | ||||||||||||||||||||||||
Total | $ | (13,187,255 | ) | $ | (3,311,757 | ) | $ | 5,603,480 | $ | 57,577,411 | $ | (2,126,731 | ) | $ | 6,831,923 | $ | 8,351,161 | $ | (1,209,963 | ) |
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 | $ | (5,101,641 | ) | $ | 3,340,660 | $ | 3,979,882 | $ | 5,040,770 | $ | - | $ | (73,935,555 | ) | $ | (1,361,710 | ) | $ | (1,014,186 | ) | ||||||||||||
Options | - | 1,157,240 | - | - | - | - | - | - | ||||||||||||||||||||||||
(5,101,641 | ) | 4,497,900 | 3,979,882 | 5,040,770 | - | (73,935,555 | ) | (1,361,710 | ) | (1,014,186 | ) | |||||||||||||||||||||
Equity price | ||||||||||||||||||||||||||||||||
Futures | - | - | - | 3,338,610 | - | (61,669,638 | ) | 2,272,190 | 158,138 | |||||||||||||||||||||||
- | - | - | 3,338,610 | - | (61,669,638 | ) | 2,272,190 | 158,138 | ||||||||||||||||||||||||
Foreign currency exchange rate | ||||||||||||||||||||||||||||||||
Futures | - | - | - | - | - | 3,110,816 | - | - | ||||||||||||||||||||||||
Forwards | - | - | - | 84,190,388 | 20,691 | (9,218,276 | ) | 13,689,981 | 1,947,897 | |||||||||||||||||||||||
Options | - | - | - | (3,317,727 | ) | - | - | - | (5,205,080 | ) | ||||||||||||||||||||||
- | - | - | 80,872,661 | 20,691 | (6,107,460 | ) | 13,689,981 | (3,257,183 | ) | |||||||||||||||||||||||
Interest rate | ||||||||||||||||||||||||||||||||
Bonds | - | - | - | - | (45,362 | ) | - | - | - | |||||||||||||||||||||||
Futures | - | - | 858,476 | 6,254,151 | - | 105,319,873 | 1,191,310 | 874,480 | ||||||||||||||||||||||||
Interest rate swaps | - | - | 9,830,852 | (403,000 | ) | (2,147,423 | ) | - | - | - | ||||||||||||||||||||||
Options | - | - | - | (12,500 | ) | - | - | - | - | |||||||||||||||||||||||
- | - | 10,689,328 | 5,838,651 | (2,192,785 | ) | 105,319,873 | 1,191,310 | 874,480 | ||||||||||||||||||||||||
Total | $ | (5,101,641 | ) | $ | 4,497,900 | $ | 14,669,210 | $ | 95,090,692 | $ | (2,172,094 | ) | $ | (36,392,780 | ) | $ | 15,791,771 | $ | (3,238,751 | ) |
March 31, 2011 | December 31, 2010 | June 30, 2011 | December 31, 2010 | |||||||||||||
Assets: | ||||||||||||||||
Cash and cash equivalents | $ | 657,076,450 | $ | 750,098,151 | $ | 799,619,853 | $ | 750,098,151 | ||||||||
Investments in fixed income securities (cost $2,367,048,721 and $2,215,622,512, respectively) | 2,367,048,721 | 2,215,622,512 | ||||||||||||||
Investments in fixed income securities (cost $2,523,700,111 and $2,215,622,512, respectively) | 2,523,700,111 | 2,215,622,512 | ||||||||||||||
Accrued interest income | 8,384,794 | 6,547,074 | 6,546,459 | 6,547,074 | ||||||||||||
Total assets | 3,032,509,965 | 2,972,267,737 | 3,329,866,423 | 2,972,267,737 | ||||||||||||
Liabilities: | ||||||||||||||||
Other liabilities | 20,000 | 20,000 | 20,000 | 20,000 | ||||||||||||
Total liabilities | 20,000 | 20,000 | 20,000 | 20,000 | ||||||||||||
Net assets | $ | 3,032,489,965 | $ | 2,972,247,737 | $ | 3,329,846,423 | $ | 2,972,247,737 | ||||||||
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||||||||||
2011 | 2010 | 2011 | 2010 | 2011 | 2010 | |||||||||||||||||||
Investment income | ||||||||||||||||||||||||
Interest income | $ | 3,860,502 | $ | 2,623,273 | $ | 3,850,625 | $ | 3,188,049 | $ | 7,711,127 | $ | 5,904,213 | ||||||||||||
Total investment income | 3,860,502 | 2,623,273 | 3,850,625 | 3,188,049 | 7,711,127 | 5,904,213 | ||||||||||||||||||
Expenses: | ||||||||||||||||||||||||
Bank fee expense | 133,584 | - | 126,225 | 151,611 | 259,809 | 244,502 | ||||||||||||||||||
Total expenses | 133,584 | - | 126,225 | 151,611 | 259,809 | 244,502 | ||||||||||||||||||
Net investment income | 3,726,918 | 2,623,273 | 3,724,400 | 3,036,438 | 7,451,318 | 5,659,711 | ||||||||||||||||||
Net income | $ | 3,726,918 | $ | 2,623,273 | $ | 3,724,400 | $ | 3,036,438 | $ | 7,451,318 | $ | 5,659,711 |
Description | Principal Amount | Fair Value | Percentage of Members’ Capital | Principal Amount | Fair Value | Percentage of Members’ Capital | ||||||||||||||||||
Graham Cash Assets LLC | ||||||||||||||||||||||||
Investments in Fixed Income Securities (cost $2,367,048,721) | ||||||||||||||||||||||||
Investments in Fixed Income Securities (cost $2,523,700,111) | ||||||||||||||||||||||||
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 | % | ||||||||||||||||||||
FDIC Guaranteed Bonds (cost $1,160,361,420) | ||||||||||||||||||||||||
Citibank 1.25% - 1.75% due 07/12/11 - 12/28/12 | $ | 275,000,000 | $ | 275,912,810 | 8.29 | % | ||||||||||||||||||
Other FDIC guaranteed bonds | 625,290,260 | 20.62 | % | 884,448,610 | 26.56 | % | ||||||||||||||||||
Total FDIC Guaranteed Bonds | 1,179,021,270 | 38.88 | % | 1,160,361,420 | 34.85 | % | ||||||||||||||||||
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 | % | ||||||||||||||||||||
Government Bonds (cost $1,363,338,691) | ||||||||||||||||||||||||
U.S. Treasury 0.38% - 1.38% due 08/31/11 - 03/31/12 | 1,360,000,000 | 1,363,338,691 | 40.94 | % | ||||||||||||||||||||
Total Government Bonds | 1,188,027,451 | 39.18 | % | 1,363,338,691 | 40.94 | % | ||||||||||||||||||
Total Investments in Fixed Income Securities | $ | 2,367,048,721 | 78.06 | % | $ | 2,523,700,111 | 75.79 | % |
Description | Principal Amount | Fair Value | Percentage of Members’ Capital | 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 | % | $ | 350,000,000 | $ | 351,915,163 | 11.84 | % | ||||||||||||
Other FDIC guaranteed bonds | 749,548,241 | 25.22 | % | 749,548,241 | 25.22 | % | ||||||||||||||||||
Total FDIC Guaranteed Bonds | 1,101,463,404 | 37.06 | % | 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 | % | 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 | % | 963,945,384 | 32.43 | % | ||||||||||||||||||
Total Government Bonds | 1,114,159,108 | 37.48 | % | 1,114,159,108 | 37.48 | % | ||||||||||||||||||
Total Investments in Fixed Income Securities | $ | 2,215,622,512 | 74.54 | % | $ | 2,215,622,512 | 74.54 | % |
March 31, 2011 | December 31, 2010 | June 30, 2011 | December 31, 2010 | |||||||||||||
Long positions | ||||||||||||||||
Level 2: | ||||||||||||||||
Fixed income securities | ||||||||||||||||
FDIC Guaranteed Bonds | $ | 1,179,021,270 | $ | 1,101,463,404 | $ | 1,160,361,420 | $ | 1,101,463,404 | ||||||||
Government Bonds | 1,188,027,451 | 1,114,159,108 | 1,363,338,691 | 1,114,159,108 | ||||||||||||
Total fixed income securities | 2,367,048,721 | 2,215,622,512 | 2,523,700,111 | 2,215,622,512 | ||||||||||||
Total Level 2 | 2,367,048,721 | 2,215,622,512 | 2,523,700,111 | 2,215,622,512 | ||||||||||||
Total long positions | $ | 2,367,048,721 | $ | 2,215,622,512 | $ | 2,523,700,111 | $ | 2,215,622,512 |
Class | Annual Rate |
Class 0 | 2% |
Class 2 | 4% |
Class 0 | Class 2 | Class 0 | Class 2 | |||||||||||||
Per unit operating performance: | ||||||||||||||||
Net asset value per unit, December 31, 2009 | $ | 135.56 | $ | 112.73 | ||||||||||||
Net loss: | ||||||||||||||||
Net asset value per unit, March 31, 2010 | $ | 134.58 | $ | 111.36 | ||||||||||||
Net gain (loss): | ||||||||||||||||
Net investment loss | (1.94 | ) | (2.08 | ) | (2.17 | ) | (1.81 | ) | ||||||||
Net gain on investments | 0.96 | 0.71 | 2.39 | 1.45 | ||||||||||||
Net loss | (0.98 | ) | (1.37 | ) | ||||||||||||
Net asset value per unit, March 31, 2010 | $ | 134.58 | $ | 111.36 | ||||||||||||
Net gain (loss) | 0.22 | (0.36 | ) | |||||||||||||
Net asset value per unit, June 30, 2010 | $ | 134.80 | $ | 111.00 | ||||||||||||
Net asset value per unit, December 31, 2010 | $ | 138.96 | $ | 113.68 | ||||||||||||
Net asset value per unit, March 31, 2011 | $ | 137.45 | $ | 111.91 | ||||||||||||
Net loss: | ||||||||||||||||
Net investment loss | (1.27 | ) | (1.57 | ) | (1.55 | ) | (1.87 | ) | ||||||||
Net loss on investments | (0.24 | ) | (0.20 | ) | (3.23 | ) | (2.56 | ) | ||||||||
Net loss | (1.51 | ) | (1.77 | ) | (4.78 | ) | (4.43 | ) | ||||||||
Net asset value per unit, March 31, 2011 | $ | 137.45 | $ | 111.91 | ||||||||||||
Net asset value per unit, June 30, 2011 | $ | 132.67 | $ | 107.48 |
Class 0 | Class 2 | |||||||||||||||
2011 | 2010 | 2011 | 2010 | |||||||||||||
Total return before Incentive Allocation | (3.48 | )% | 0.16 | % | (3.96 | )% | (0.31 | )% | ||||||||
Incentive Allocation | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||
Total return after Incentive Allocation | (3.48 | )% | 0.16 | % | (3.96 | )% | (0.31 | )% | ||||||||
Net investment loss before Incentive Allocation | (1.13 | )% | (1.20 | )% | (1.67 | )% | (1.24 | )% | ||||||||
Incentive Allocation | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||
Net investment loss after Incentive Allocation | (1.13 | )% | (1.20 | )% | (1.67 | )% | (1.24 | )% | ||||||||
Total expenses before Incentive Allocation | 1.55 | % | 1.29 | % | 2.06 | % | 1.81 | % | ||||||||
Incentive Allocation | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||
Total expenses after Incentive Allocation | 1.55 | % | 1.29 | % | 2.06 | % | 1.81 | % |
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 | (4.11 | ) | (3.89 | ) | ||||
Net gain on investments | 3.35 | 2.16 | ||||||
Net loss | (0.76 | ) | (1.73 | ) | ||||
Net asset value per unit, June 30, 2010 | $ | 134.80 | $ | 111.00 | ||||
Net asset value per unit, December 31, 2010 | $ | 138.96 | $ | 113.68 | ||||
Net loss: | ||||||||
Net investment loss | (2.82 | ) | (3.44 | ) | ||||
Net loss on investments | (3.47 | ) | (2.76 | ) | ||||
Net loss | (6.29 | ) | (6.20 | ) | ||||
Net asset value per unit, June 30, 2011 | $ | 132.67 | $ | 107.48 |
Class 0 | Class 2 | Class 0 | Class 2 | |||||||||||||||||||||||||||||
2011 | 2010 | 2011 | 2010 | 2011 | 2010 | 2011 | 2010 | |||||||||||||||||||||||||
Total return before Incentive Allocation | (1.08 | )% | (0.72 | )% | (1.55 | )% | (1.22 | )% | (4.52 | )% | (0.56 | )% | (5.44 | )% | (1.53 | )% | ||||||||||||||||
Incentive Allocation | (0.01 | ) | 0.00 | (0.01 | ) | 0.00 | (0.01 | ) | 0.00 | (0.01 | ) | 0.00 | ||||||||||||||||||||
Total return after Incentive Allocation | (1.09 | )% | (0.72 | )% | (1.56 | )% | (1.22 | )% | (4.53 | )% | (0.56 | )% | (5.45 | )% | (1.53 | )% | ||||||||||||||||
Net investment loss before Incentive Allocation | (0.90 | )% | (0.81 | )% | (1.38 | )% | (1.38 | )% | (2.02 | )% | (2.02 | )% | (3.02 | )% | (2.62 | )% | ||||||||||||||||
Incentive Allocation | (0.01 | ) | 0.00 | (0.01 | ) | 0.00 | (0.01 | ) | 0.00 | (0.01 | ) | 0.00 | ||||||||||||||||||||
Net investment loss after Incentive Allocation | (0.91 | )% | (0.81 | )% | (1.39 | )% | (1.38 | )% | (2.03 | )% | (2.02 | )% | (3.03 | )% | (2.62 | )% | ||||||||||||||||
Total expenses before Incentive Allocation | 1.00 | % | 1.25 | % | 1.51 | % | 1.76 | % | 2.55 | % | 2.55 | % | 3.57 | % | 3.57 | % | ||||||||||||||||
Incentive Allocation | 0.01 | 0.00 | 0.01 | 0.00 | 0.01 | 0.00 | 0.01 | 0.00 | ||||||||||||||||||||||||
Total expenses after Incentive Allocation | 1.01 | % | 1.25 | % | 1.52 | % | 1.76 | % | 2.56 | % | 2.55 | % | 3.58 | % | 3.57 | % |
Assets | June 30, 2011 (Unaudited) | December 31, 2010 (Audited) | ||||||
Investment in Graham K4D Trading Ltd., at fair value | $ | 9,772,362 | $ | 7,411,468 | ||||
Investment in Graham Cash Assets LLC, at fair value | 78,690,319 | 64,089,936 | ||||||
Commission reimbursements receivable | 49,922 | 28,795 | ||||||
Total assets | $ | 88,512,603 | $ | 71,530,199 | ||||
Liabilities and members’ capital | ||||||||
Liabilities: | ||||||||
Accrued redemptions | $ | 1,681,085 | $ | 1,393,281 | ||||
Accrued brokerage fees | 206,488 | 170,942 | ||||||
Accrued advisory fees | 145,404 | 121,404 | ||||||
Accrued sponsor fees | 72,702 | 60,702 | ||||||
Total liabilities | 2,105,679 | 1,746,329 | ||||||
Members’ capital: | ||||||||
Class 0 Units (519,470.239 and 397,859.944 units issued and outstanding at $95.59 and $102.92 per unit, respectively) | 49,658,741 | 40,945,899 | ||||||
Class 2 Units (400,220.039 and 288,630.496 units issued and outstanding at $91.69 and $99.72 per unit, respectively) | 36,696,031 | 28,783,191 | ||||||
Class M Units (500.000 and 500.000 units issued and outstanding at $104.30 and $109.56 per unit, respectively) | 52,152 | 54,780 | ||||||
Total members’ capital | 86,406,924 | 69,783,870 | ||||||
Total liabilities and members’ capital | $ | 88,512,603 | $ | 71,530,199 |
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 |
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
2011 (Unaudited) | 2010 (Unaudited) | 2011 (Unaudited) | 2010 (Unaudited) | |||||||||||||
Net (loss) gain allocated from investment in Graham K4D Trading Ltd.: | ||||||||||||||||
Net realized (loss) gain on investments | $ | (696,018 | ) | $ | 1,981,644 | $ | (2,452,096 | ) | $ | (138,593 | ) | |||||
Net decrease in unrealized appreciation on investments | (2,444,950 | ) | (1,771,166 | ) | (2,142,861 | ) | (561,450 | ) | ||||||||
Brokerage commissions and fees | (134,536 | ) | (54,578 | ) | (265,392 | ) | (100,540 | ) | ||||||||
Net (loss) gain allocated from investment in Graham K4D Trading Ltd. | (3,275,504 | ) | 155,900 | (4,860,349 | ) | (800,583 | ) | |||||||||
Net investment loss allocated from investment in Graham K4D Trading Ltd. | (7,641 | ) | (1,202 | ) | (10,898 | ) | (3,260 | ) | ||||||||
Investment income: | ||||||||||||||||
Interest income | 88,652 | 67,524 | 173,480 | 121,117 | ||||||||||||
Total investment income | 88,652 | 67,524 | 173,480 | 121,117 | ||||||||||||
Expenses: | ||||||||||||||||
Brokerage fees | 634,470 | 353,595 | 1,204,772 | 629,142 | ||||||||||||
Advisory fees | 446,361 | 256,548 | 850,004 | 456,950 | ||||||||||||
Sponsor fees | 223,180 | 128,274 | 425,001 | 228,475 | ||||||||||||
Interest and other | 10,526 | 3,714 | 11,845 | 4,910 | ||||||||||||
Commission reimbursements | (134,536 | ) | (54,578 | ) | (265,392 | ) | (100,540 | ) | ||||||||
Total expenses | 1,180,001 | 687,553 | 2,226,230 | 1,218,937 | ||||||||||||
Net investment loss of the Fund | (1,091,349 | ) | (620,029 | ) | (2,052,750 | ) | (1,097,820 | ) | ||||||||
Net loss | (4,374,494 | ) | (465,331 | ) | (6,923,997 | ) | (1,901,663 | ) | ||||||||
Incentive allocation | (6,623 | ) | - | (8,810 | ) | - | ||||||||||
Net loss available for pro-rata allocation to all members | $ | (4,381,117 | ) | $ | (465,331 | ) | $ | (6,932,807 | ) | $ | (1,901,663 | ) |
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 | 119,836.004 | 11,326,000 | 70,361.090 | 6,673,010 | 500.000 | 50,000 | 18,049,010 | ||||||||||||||||||||||
Redemptions | (5,927.342 | ) | (569,567 | ) | (8,435.463 | ) | (784,243 | ) | – | – | (1,353,810 | ) | |||||||||||||||||
Net loss | – | (934,561 | ) | – | (966,323 | ) | – | (779 | ) | (1,901,663 | ) | ||||||||||||||||||
Members’ capital, June 30, 2010 | 336,335.874 | $ | 32,195,638 | 211,608.757 | $ | 19,749,010 | 500.000 | $ | 49,221 | $ | 51,993,869 |
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 | 154,152.633 | 15,741,470 | 138,074.621 | 13,630,873 | – | – | 29,372,343 | ||||||||||||||||||||||
Redemptions | (32,542.338 | ) | (3,240,853 | ) | (26,485.078 | ) | (2,575,629 | ) | – | (8,810 | ) | (5,825,292 | ) | ||||||||||||||||
Incentive allocation | – | (4,821 | ) | – | (3,989 | ) | – | 8,810 | – | ||||||||||||||||||||
Net loss | – | (3,782,954 | ) | – | (3,138,415 | ) | – | (2,628 | ) | (6,923,997 | ) | ||||||||||||||||||
Members’ capital, June 30, 2011 | 519,470.239 | $ | 49,658,741 | 400,220.039 | $ | 36,696,031 | 500.000 | $ | 52,152 | $ | 86,406,924 |
Six Months Ended June 30, | ||||||||
2011 (Unaudited) | 2010 (Unaudited) | |||||||
Cash flows used in operating activities | ||||||||
Net loss | $ | (6,923,997 | ) | $ | (1,901,663 | ) | ||
Adjustments to reconcile net loss to net cash used in operating activities: | ||||||||
Net loss allocated from investment in Graham K4D Trading Ltd. | 4,871,247 | 803,843 | ||||||
Net income allocated from investment in Graham Cash Assets LLC | (173,480 | ) | (121,117 | ) | ||||
Proceeds from sale of investments in Graham K4D Trading Ltd. | 55,865,805 | 22,879,428 | ||||||
Proceeds from sale of investments in Graham Cash Assets LLC | 69,988,773 | 24,766,140 | ||||||
Investments in Graham K4D Trading Ltd. | (63,097,946 | ) | (23,076,345 | ) | ||||
Investments in Graham Cash Assets LLC | (84,415,676 | ) | (40,495,430 | ) | ||||
Changes in assets and liabilities: | ||||||||
Commission reimbursements receivable | (21,127 | ) | (1,591 | ) | ||||
Accrued brokerage fees | 35,546 | 30,778 | ||||||
Accrued advisory fees | 24,000 | 22,931 | ||||||
Accrued sponsor fees | 12,000 | 11,465 | ||||||
Accrued incentive allocation | - | (479 | ) | |||||
Net cash used in operating activities | (23,834,855 | ) | (17,082,040 | ) | ||||
Cash flows provided by financing activities | ||||||||
Subscriptions | 29,372,343 | 18,049,010 | ||||||
Redemptions | (5,537,488 | ) | (967,734 | ) | ||||
Net cash provided by financing activities | 23,834,855 | 17,081,276 | ||||||
Net decrease in cash and cash equivalents | - | (764 | ) | |||||
Cash and cash equivalents, beginning of period | - | 770 | ||||||
Cash and cash equivalents, end of period | $ | - | $ | 6 |
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 | ) |
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 |
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 |
· | 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. |
March 31, 2011 | ||||||||||||
Investment – Objective | Percent of Members’ Capital | Fair Value | Net Income (three months then ended) | |||||||||
Graham K4D Trading Ltd. (a) | 15.50 | % | $ | 12,743,402 | $ | (1,588,102 | ) | |||||
15.50 | % | $ | 12,743,402 | $ | (1,588,102 | ) |
June 30, 2011 | June 30, 2011 | |||||||||||||||||||||||||||
Investment – Objective | Percent of Members’ Capital | Fair Value | Net Loss (three months then ended) | Net Loss (six months then ended) | ||||||||||||||||||||||||
Graham K4D Trading Ltd. (a) | 11.31 | % | $ | 9,772,362 | $ | (3,283,145 | ) | $ | (4,871,247 | ) | ||||||||||||||||||
11.31 | % | $ | 9,772,362 | $ | (3,283,145 | ) | $ | (4,871,247 | ) | |||||||||||||||||||
December 31, 2010 | December 31, 2010 | December 31, 2010 | ||||||||||||||||||||||||||
Investment – Objective | Percent of Members’ Capital | Fair Value | Net Income (three months ended March 31, 2010) | Percent of Members’ Capital | Fair Value | Net Income (three months ended June 30, 2010) | Net Loss (six months ended June 30, 2010) | |||||||||||||||||||||
Graham K4D Trading Ltd. (a) | 10.62 | % | $ | 7,411,468 | $ | (958,541 | ) | 10.62 | % | $ | 7,411,468 | $ | 154,968 | $ | (803,843 | ) | ||||||||||||
10.62 | % | $ | 7,411,468 | $ | (958,541 | ) | 10.62 | % | $ | 7,411,468 | $ | 154,968 | $ | (803,843 | ) |
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 | % |
Assets: | ||||
Due from brokers | $ | 283,838,709 | ||
Derivative financial instruments, at fair value | 3,440,679 | |||
Subscriptions receivable | 405 | |||
Total assets | 287,279,793 | |||
Liabilities: | ||||
Derivative financial instruments, at fair value | 23,014,910 | |||
Due to brokers | 546,447 | |||
Redemptions payable | 405 | |||
Total liabilities | 23,561,762 | |||
Net assets | $ | 263,718,031 | ||
Percentage of Master Fund held by the Fund | 3.71 | % |
Description | Principal Amount | Fair Value | Percentage of Net Assets of K4D Trading | Principal Amount | Fair Value | Percentage of Net Assets of K4D Trading | ||||||||||||
Long contracts | ||||||||||||||||||
Futures | ||||||||||||||||||
U.S. bond | $ | (1,693,870 | ) | (0.50 | )% | $ | (11,253,047 | ) | (4.27 | )% | ||||||||
Foreign bond | 1,076,899 | 0.32 | % | (8,536,516 | ) | (3.24 | )% | |||||||||||
U.S. index | 8,356,229 | 2.46 | % | 10,415,895 | 3.95 | % | ||||||||||||
Foreign index | 6,955,415 | 2.05 | % | 5,025,773 | 1.91 | % | ||||||||||||
Commodity | 25,056,183 | 7.38 | % | (1,129,857 | ) | (0.43 | )% | |||||||||||
Interest rate | (958,759 | ) | (0.28 | )% | (1,020,274 | ) | (0.39 | )% | ||||||||||
Currency | 4,703,445 | 1.39 | % | 1,073,226 | 0.41 | % | ||||||||||||
Total futures | 43,495,542 | 12.82 | % | (5,424,800 | ) | (2.06 | )% | |||||||||||
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 | % | ||||||||||||||
Australian dollar / U.S. dollar 07/20/11 | AUD 1,432,785,322 | 22,045,147 | 8.36 | % | ||||||||||||||
Canadian dollar / U.S. dollar 07/20/11 | CAD 2,209,264,516 | 36,133,104 | 13.70 | % | ||||||||||||||
Euro / British Pound 07/20/11 | EUR 593,576,554 | 16,041,091 | 6.08 | % | ||||||||||||||
Euro / U.S. dollar 07/20/11 | EUR 1,461,054,451 | 24,106,386 | 9.14 | % | ||||||||||||||
British Pound / U.S. dollar 07/20/11 | GBP 1,359,056,576 | (17,816,018 | ) | (6.75 | )% | |||||||||||||
Other foreign currency | 82,745,920 | 24.38 | % | 37,053,409 | 14.05 | % | ||||||||||||
Total forwards | 218,469,433 | 64.37 | % | 117,563,119 | 44.58 | % |
Description | Principal Amount | Fair Value | Percentage of Net Assets of K4D Trading | ||||||
Short contracts | |||||||||
Futures | |||||||||
Foreign bond | $ | (239,058 | ) | (0.09 | )% | ||||
Foreign index | (5,079,843 | ) | (1.93 | )% | |||||
Commodity | (7,688,784 | ) | (2.91 | )% | |||||
Interest rate | (3,830,906 | ) | (1.45 | )% | |||||
Currency | (742,175 | ) | (0.28 | )% | |||||
Total futures | (17,580,766 | ) | (6.66 | )% | |||||
Forwards | |||||||||
Australian dollar / U.S. dollar 07/20/11 | AUD (1,125,059,422) | (16,044,568 | ) | (6.08 | )% | ||||
Canadian dollar / U.S. dollar 07/20/11 | CAD (1,981,126,320) | (31,811,387 | ) | (12.06 | )% | ||||
Euro / British Pound 07/20/11 | EUR (558,464,789) | (14,336,007 | ) | (5.44 | )% | ||||
Euro / U.S. dollar 07/20/11 | EUR (1,431,692,261) | (23,528,161 | ) | (8.92 | )% | ||||
British Pound / U.S. dollar 07/20/11 | GBP (1,374,602,354) | 13,699,004 | 5.19 | % | |||||
Other foreign currency | (42,110,665 | ) | (15.97 | )% | |||||
Total forwards | (114,131,784 | ) | (43.28 | )% | |||||
Total | $ | (19,574,231 | ) | (7.42 | )% |
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 | ) | $ | (11,253,047 | ) | ||
Foreign bond futures | 1,076,899 | (8,536,516 | ) | |||||
U.S. index futures | 8,356,229 | 10,415,895 | ||||||
Foreign index futures | 6,955,415 | 5,025,773 | ||||||
Commodity futures | 25,056,183 | (1,129,857 | ) | |||||
Interest rate futures | (958,759 | ) | (1,020,274 | ) | ||||
Currency futures | 4,703,445 | 1,073,226 | ||||||
Total Level 1 | 43,495,542 | (5,424,800 | ) | |||||
Level 2: | ||||||||
Foreign currency forwards | 218,469,433 | 117,563,119 | ||||||
Total Level 2 | 218,469,433 | 117,563,119 | ||||||
Total long contracts | $ | 261,964,975 | $ | 112,138,319 | ||||
Short Contracts | ||||||||
Level 1: | ||||||||
U.S. bond futures | $ | 393,672 | ||||||
Foreign bond futures | 12,829,370 | $ | (239,058 | ) | ||||
Foreign index futures | (6,392,370 | ) | (5,079,843 | ) | ||||
Commodity futures | (4,114,279 | ) | (7,688,784 | ) | ||||
Interest rate futures | 5,053,667 | (3,830,906 | ) | |||||
Currency futures | 807,195 | (742,175 | ) | |||||
Total Level 1 | 8,577,255 | (17,580,766 | ) | |||||
Level 2: | ||||||||
Foreign currency forwards | (220,013,724 | ) | (114,131,784 | ) | ||||
Total Level 2 | (220,013,724 | ) | (114,131,784 | ) | ||||
Total short contracts | $ | (211,436,469 | ) | $ | (131,712,550 | ) |
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 | $ | 1,216,608,649 | 14,239 | $ | (237,850,835 | ) | (3,751 | ) | $ | 33,002,810 | $ | (12,060,906 | ) | $ | 1,345,596,497 | 15,854 | $ | (758,255,780 | ) | (12,860 | ) | $ | 28,003,129 | $ | (36,821,770 | ) | ||||||||||||||||||||||
1,216,608,649 | 14,239 | (237,850,835 | ) | (3,751 | ) | 33,002,810 | (12,060,906 | ) | 1,345,596,497 | 15,854 | (758,255,780 | ) | (12,860 | ) | 28,003,129 | (36,821,770 | ) | |||||||||||||||||||||||||||||||
Equity price | ||||||||||||||||||||||||||||||||||||||||||||||||
Futures | 780,831,862 | 11,792 | (174,585,658 | ) | (1,691 | ) | 17,713,871 | (8,794,597 | ) | 476,877,253 | 6,819 | (263,048,422 | ) | (4,747 | ) | 15,441,668 | (5,079,843 | ) | ||||||||||||||||||||||||||||||
780,831,862 | 11,792 | (174,585,658 | ) | (1,691 | ) | 17,713,871 | (8,794,597 | ) | 476,877,253 | 6,819 | (263,048,422 | ) | (4,747 | ) | 15,441,668 | (5,079,843 | ) | |||||||||||||||||||||||||||||||
Foreign currency exchange rate | ||||||||||||||||||||||||||||||||||||||||||||||||
Futures | 305,790,215 | 2,727 | (221,066,583 | ) | (2,632 | ) | 6,391,645 | (881,005 | ) | 445,249,816 | 2,709 | (275,073,860 | ) | (2,797 | ) | 1,326,426 | (995,375 | ) | ||||||||||||||||||||||||||||||
Forwards | 64,401,562 | - | (62,576,740 | ) | - | 61,240,470 | (62,784,761 | ) | 31,171,994 | - | (18,184,872 | ) | - | 21,904,835 | (18,473,500 | ) | ||||||||||||||||||||||||||||||||
370,191,777 | 2,727 | (283,643,323 | ) | (2,632 | ) | 67,632,115 | (63,665,766 | ) | 476,421,810 | 2,709 | (293,258,732 | ) | (2,797 | ) | 23,231,261 | (19,468,875 | ) | |||||||||||||||||||||||||||||||
Interest rate | ||||||||||||||||||||||||||||||||||||||||||||||||
Futures | 6,684,174,178 | 25,793 | (12,480,888,254 | ) | (48,233 | ) | 23,293,117 | (6,592,138 | ) | 11,774,187,855 | 45,104 | (2,692,780,158 | ) | (8,420 | ) | 3,205,822 | (28,085,623 | ) | ||||||||||||||||||||||||||||||
6,684,174,178 | 25,793 | (12,480,888,254 | ) | (48,233 | ) | 23,293,117 | (6,592,138 | ) | 11,774,187,855 | 45,104 | (2,692,780,158 | ) | (8,420 | ) | 3,205,822 | (28,085,623 | ) | |||||||||||||||||||||||||||||||
Total | $ | 9,051,806,466 | 54,551 | $ | (13,176,968,070 | ) | (56,307 | ) | $ | 141,641,913 | $ | (91,113,407 | ) | $ | 14,073,083,415 | 70,486 | $ | (4,007,343,092 | ) | (28,824 | ) | $ | 69,881,880 | $ | (89,456,111 | ) | ||||||||||||||||||||||
Collateral balances supporting all derivative positions | Collateral balances supporting all derivative positions | $ | 288,833,860 | Collateral balances supporting all derivative positions | $ | 283,292,262 |
Three Months Ended June 30, 2011 | Six Months Ended June 30, 2011 | |||||||||||
Net investment loss | $ | (83,866 | ) | $ | (206,478 | ) | $ | (290,344 | ) | |||
Net realized loss on investments | (47,163,832 | ) | (21,262,016 | ) | (68,425,848 | ) | ||||||
Net increase in appreciation on investments | 5,253,462 | |||||||||||
Net decrease in unrealized appreciation on investments | (70,349,041 | ) | (65,095,579 | ) | ||||||||
Brokerage commissions and fees | (3,291,928 | ) | (3,638,222 | ) | (6,930,150 | ) | ||||||
Net loss on investments | (45,202,298 | ) | (95,249,279 | ) | (140,451,577 | ) | ||||||
Net loss | $ | (45,286,164 | ) | $ | (95,455,757 | ) | $ | (140,741,921 | ) |
Three Months Ended June 30, 2011 | Six Months Ended June 30, 2011 | |||||||||||
Commodity price | ||||||||||||
Futures | $ | 44,811,512 | $ | (87,798,352 | ) | $ | (42,986,840 | ) | ||||
44,811,512 | (87,798,352 | ) | (42,986,840 | ) | ||||||||
Equity price | ||||||||||||
Futures | (40,301,211 | ) | (28,028,918 | ) | (68,330,129 | ) | ||||||
(40,301,211 | ) | (28,028,918 | ) | (68,330,129 | ) | |||||||
Foreign currency exchange rate | ||||||||||||
Futures | (5,461,945 | ) | (4,534,058 | ) | (9,996,003 | ) | ||||||
Forwards | (24,055,983 | ) | 5,477,710 | (18,578,273 | ) | |||||||
(29,517,928 | ) | 943,652 | (28,574,276 | ) | ||||||||
Interest rate | ||||||||||||
Futures | (16,902,743 | ) | 23,272,561 | 6,369,818 | ||||||||
(16,902,743 | ) | 23,272,561 | 6,369,818 | |||||||||
Total | $ | (41,910,370 | ) | $ | (91,611,057 | ) | $ | (133,521,427 | ) |
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 | ||||||
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 | Principal Amount | Fair Value | Percentage of Net Assets of K4D Trading | ||||||||||||
Short contracts | ||||||||||||||||||
Futures | ||||||||||||||||||
U.S. bond | $ | (1,546,794 | ) | (0.85 | )% | $ | (1,546,794 | ) | (0.85 | )% | ||||||||
Foreign bond | (540,937 | ) | (0.30 | )% | (540,937 | ) | (0.30 | )% | ||||||||||
Foreign index | (142,959 | ) | (0.08 | )% | (142,959 | ) | (0.08 | )% | ||||||||||
Commodity | (4,754,965 | ) | (2.62 | )% | (4,754,965 | ) | (2.62 | )% | ||||||||||
Interest rate | (3,790,967 | ) | (2.09 | )% | (3,790,967 | ) | (2.09 | )% | ||||||||||
Currency | 739,824 | 0.41 | % | 739,824 | 0.41 | % | ||||||||||||
Total futures | (10,036,798 | ) | (5.53 | )% | (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 | )% | |||||||||||||
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 | )% | (7,987,532 | ) | (4.40 | )% | ||||||||||
Total forwards | (39,063,387 | ) | (21.51 | )% | (39,063,387 | ) | (21.51 | )% | ||||||||||
Total | $ | 45,743,328 | 25.18 | % | $ | 45,743,328 | 25.18 | % |
Long Contracts | ||||||||
Level 1: | ||||||||
U.S. bond futures | $ | 237,741 | $ | 237,741 | ||||
Foreign bond futures | 1,053,653 | 1,053,653 | ||||||
U.S. index futures | 3,010,100 | 3,010,100 | ||||||
Foreign index futures | 3,683,508 | (3,683,508 | ) | |||||
Commodity futures | 31,911,445 | 31,911,445 | ||||||
Interest rate futures | 325,182 | 325,182 | ||||||
Currency futures | 4,536,916 | 4,536,916 | ||||||
Total Level 1 | 37,391,529 | 37,391,529 | ||||||
Level 2: | ||||||||
Foreign currency forwards | 57,451,984 | 57,451,984 | ||||||
Total Level 2 | 57,451,984 | 57,451,984 | ||||||
Total long contracts | $ | 94,843,513 | $ | 94,843,513 | ||||
Short Contracts | ||||||||
Level 1: | ||||||||
U.S. bond futures | $ | (1,546,794 | ) | $ | (1,546,794 | ) | ||
Foreign bond futures | (540,937 | ) | (540,937 | ) | ||||
Foreign index futures | (142,959 | ) | (142,959 | ) | ||||
Commodity futures | (4,754,965 | ) | (4,754,965 | ) | ||||
Interest rate futures | (3,790,967 | ) | (3,790,967 | ) | ||||
Currency futures | 739,824 | 739,824 | ||||||
Total Level 1 | (10,036,798 | ) | (10,036,798 | ) | ||||
Level 2: | ||||||||
Foreign currency forwards | (39,063,387 | ) | (39,063,387 | ) | ||||
Total Level 2 | (39,063,387 | ) | (39,063,387 | ) | ||||
Total short contracts | $ | (49,100,185 | ) | $ | (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 | $ | 810,106,878 | 10,782 | $ | (53,034,444 | ) | (926 | ) | $ | 32,742,543 | $ | (5,586,063 | ) | $ | 810,106,878 | 10,782 | $ | (53,034,444 | ) | (926 | ) | $ | 32,742,543 | $ | (5,586,063 | ) | ||||||||||||||||||||||
810,106,878 | 10,782 | (53,034,444 | ) | (926 | ) | 32,742,543 | (5,586,063 | ) | 810,106,878 | 10,782 | (53,034,444 | ) | (926 | ) | 32,742,543 | (5,586,063 | ) | |||||||||||||||||||||||||||||||
Equity price | ||||||||||||||||||||||||||||||||||||||||||||||||
Futures | 16,008,395,340 | 15,303 | (968,631,180 | ) | (671 | ) | 4,935,403 | (5,751,770 | ) | 16,008,395,340 | 15,303 | (968,631,180 | ) | (671 | ) | 4,935,403 | (5,751,770 | ) | ||||||||||||||||||||||||||||||
16,008,395,340 | 15,303 | (968,631,180 | ) | (671 | ) | 4,935,403 | (5,751,770 | ) | 16,008,395,340 | 15,303 | (968,631,180 | ) | (671 | ) | 4,935,403 | (5,751,770 | ) | |||||||||||||||||||||||||||||||
Foreign currency exchange rate | ||||||||||||||||||||||||||||||||||||||||||||||||
Futures | 340,454,690 | 2,852 | (86,152,236 | ) | (957 | ) | 5,633,114 | (356,374 | ) | 340,454,690 | 2,852 | (86,152,236 | ) | (957 | ) | 5,633,114 | (356,374 | ) | ||||||||||||||||||||||||||||||
Forwards | 90,870,643,000 | - | (87,109,470,216 | ) | - | 78,339,927 | (59,951,330 | ) | 90,870,643,000 | - | (87,109,470,216 | ) | - | 78,339,927 | (59,951,330 | ) | ||||||||||||||||||||||||||||||||
91,211,097,690 | 2,852 | (87,195,622,452 | ) | (957 | ) | 83,973,041 | (60,307,704 | ) | 91,211,097,690 | 2,852 | (87,195,622,452 | ) | (957 | ) | 83,973,041 | (60,307,704 | ) | |||||||||||||||||||||||||||||||
Interest rate | ||||||||||||||||||||||||||||||||||||||||||||||||
Futures | 2,044,200,093 | 8,454 | (63,261,455,459 | ) | (23,095 | ) | 2,729,784 | (6,991,906 | ) | 2,044,200,093 | 8,454 | (63,261,455,459 | ) | (23,095 | ) | 2,729,784 | (6,991,906 | ) | ||||||||||||||||||||||||||||||
2,044,200,093 | 8,454 | (63,261,455,459 | ) | (23,095 | ) | 2,729,784 | (6,991,906 | ) | 2,044,200,093 | 8,454 | (63,261,455,459 | ) | (23,095 | ) | 2,729,784 | (6,991,906 | ) | |||||||||||||||||||||||||||||||
Total | $ | 110,073,800,001 | 37,391 | $ | (151,478,743,535 | ) | (25,649 | ) | $ | 124,380,771 | $ | (78,637,443 | ) | $ | 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 | $ | 135,887,098 | 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 | ) |
Three Months Ended June 30, 2010 | Six Months Ended June 30, 2010 | |||||||
Net investment loss | $ | (33,308 | ) | $ | (101,716 | ) | ||
Net realized gain (loss) on investments | 56,094,201 | (21,798,070 | ) | |||||
Net decrease in unrealized appreciation on investments | (49,262,278 | ) | (14,594,710 | ) | ||||
Brokerage commissions and fees | (1,525,901 | ) | (3,006,196 | ) | ||||
Net gain (loss) on investments | 5,306,022 | (39,398,976 | ) | |||||
Net gain (loss) | $ | 5,272,714 | $ | (39,500,692 | ) |
Commodity price | ||||
Futures | $ | (23,768,545 | ) | |
(23,768,545 | ) | |||
Equity price | ||||
Futures | (32,614,364 | ) | ||
(32,614,364 | ) | |||
Foreign currency exchange rate | ||||
Futures | 712,311 | |||
Forwards | (80,875 | ) | ||
631,436 | ||||
Interest rate | ||||
Futures | 12,526,770 | |||
12,526,770 | ||||
Total | $ | (43,224,703 | ) |
Three Months Ended June 30, 2010 | Six Months Ended June 30, 2010 | |||||||
Commodity price | ||||||||
Futures | $ | (50,167,010 | ) | $ | (73,935,555 | ) | ||
(50,167,010 | ) | (73,935,555 | ) | |||||
Equity price | ||||||||
Futures | (29,055,274 | ) | (61,669,638 | ) | ||||
(29,055,274 | ) | (61,669,638 | ) | |||||
Foreign currency exchange rate | ||||||||
Futures | 2,398,505 | 3,110,816 | ||||||
Forwards | (9,137,401 | ) | (9,218,276 | ) | ||||
(6,738,896 | ) | (6,107,460 | ) | |||||
Interest rate | ||||||||
Futures | 92,793,103 | 105,319,873 | ||||||
92,793,103 | 105,319,873 | |||||||
Total | $ | 6,831,923 | $ | (36,392,780 | ) |
March 31, 2011 | December 31, 2010 | June 30, 2011 | December 31, 2010 | |||||||||||||
Assets: | ||||||||||||||||
Cash and cash equivalents | $ | 657,076,450 | $ | 750,098,151 | $ | 799,619,853 | $ | 750,098,151 | ||||||||
Investments in fixed income securities (cost $2,367,048,721 and $2,215,622,512, respectively) | 2,367,048,721 | 2,215,622,512 | ||||||||||||||
Investments in fixed income securities (cost $2,523,700,111 and $2,215,622,512, respectively) | 2,523,700,111 | 2,215,622,512 | ||||||||||||||
Accrued interest income | 8,384,794 | 6,547,074 | 6,546,459 | 6,547,074 | ||||||||||||
Total assets | 3,032,509,965 | 2,972,267,737 | 3,329,866,423 | 2,972,267,737 | ||||||||||||
Liabilities: | ||||||||||||||||
Other liabilities | 20,000 | 20,000 | 20,000 | 20,000 | ||||||||||||
Total liabilities | 20,000 | 20,000 | 20,000 | 20,000 | ||||||||||||
Net assets | $ | 3,032,489,965 | $ | 2,972,247,737 | $ | 3,329,846,423 | $ | 2,972,247,737 |
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||||||||||
2011 | 2010 | 2011 | 2010 | 2011 | 2010 | |||||||||||||||||||
Investment income | ||||||||||||||||||||||||
Interest income | $ | 3,860,502 | $ | 2,623,273 | $ | 3,850,625 | $ | 3,188,049 | $ | 7,711,127 | $ | 5,904,213 | ||||||||||||
Total investment income | 3,860,502 | 2,623,273 | 3,850,625 | 3,188,049 | 7,711,127 | 5,904,213 | ||||||||||||||||||
Expenses: | ||||||||||||||||||||||||
Bank fee expense | 133,584 | - | 126,225 | 151,611 | 259,809 | 244,502 | ||||||||||||||||||
Total expenses | 133,584 | - | 126,225 | 151,611 | 259,809 | 244,502 | ||||||||||||||||||
Net investment income | 3,726,918 | 2,623,273 | 3,724,400 | 3,036,438 | 7,451,318 | 5,659,711 | ||||||||||||||||||
Net income | $ | 3,726,918 | $ | 2,623,273 | $ | 3,724,400 | $ | 3,036,438 | $ | 7,451,318 | $ | 5,659,711 |
Description | Principal Amount | Fair Value | Percentage of Members’ Capital | Principal Amount | Fair Value | Percentage of Members’ Capital | ||||||||||||||||||
Graham Cash Assets LLC | ||||||||||||||||||||||||
Investments in Fixed Income Securities (cost $2,367,048,721) | ||||||||||||||||||||||||
Investments in Fixed Income Securities (cost $2,523,700,111) | ||||||||||||||||||||||||
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 | % | ||||||||||||||||||||
FDIC Guaranteed Bonds (cost $1,160,361,420) | ||||||||||||||||||||||||
Citibank 1.25% - 1.75% due 07/12/11 - 12/28/12 | $ | 275,000,000 | $ | 275,912,810 | 8.29 | % | ||||||||||||||||||
Other FDIC guaranteed bonds | 625,290,260 | 20.62 | % | 884,448,610 | 26.56 | % | ||||||||||||||||||
Total FDIC Guaranteed Bonds | 1,179,021,270 | 38.88 | % | 1,160,361,420 | 34.85 | % | ||||||||||||||||||
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 | % | ||||||||||||||||||||
Government Bonds (cost $1,363,338,691) | ||||||||||||||||||||||||
U.S. Treasury 0.38% - 1.38% due 08/31/11 - 03/31/12 | 1,360,000,000 | 1,363,338,691 | 40.94 | % | ||||||||||||||||||||
Total Government Bonds | 1,188,027,451 | 39.18 | % | 1,363,338,691 | 40.94 | % | ||||||||||||||||||
Total Investments in Fixed Income Securities | $ | 2,367,048,721 | 78.06 | % | $ | 2,523,700,111 | 75.79 | % |
Description | Principal Amount | Fair Value | Percentage of Members’ Capital | 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 | % | $ | 350,000,000 | $ | 351,915,163 | 11.84 | % | ||||||||||||
Other FDIC guaranteed bonds | 749,548,241 | 25.22 | % | 749,548,241 | 25.22 | % | ||||||||||||||||||
Total FDIC Guaranteed Bonds | 1,101,463,404 | 37.06 | % | 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 | % | 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 | % | 963,945,384 | 32.43 | % | ||||||||||||||||||
Total Government Bonds | 1,114,159,108 | 37.48 | % | 1,114,159,108 | 37.48 | % | ||||||||||||||||||
Total Investments in Fixed Income Securities | $ | 2,215,622,512 | 74.54 | % | $ | 2,215,622,512 | 74.54 | % |
March 31, 2011 | December 31, 2010 | June 30, 2011 | December 31, 2010 | |||||||||||||
Long positions | ||||||||||||||||
Level 2: | ||||||||||||||||
Fixed income securities | ||||||||||||||||
FDIC Guaranteed Bonds | $ | 1,179,021,270 | $ | 1,101,463,404 | $ | 1,160,361,420 | $ | 1,101,463,404 | ||||||||
Government Bonds | 1,188,027,451 | 1,114,159,108 | 1,363,338,691 | 1,114,159,108 | ||||||||||||
Fixed income securities | 2,367,048,721 | 2,215,622,512 | ||||||||||||||
Total fixed income securities | 2,523,700,111 | 2,215,622,512 | ||||||||||||||
Total Level 2 | 2,367,048,721 | 2,215,622,512 | 2,523,700,111 | 2,215,622,512 | ||||||||||||
Total long positions | $ | 2,367,048,721 | $ | 2,215,622,512 | $ | 2,523,700,111 | $ | 2,215,622,512 |
Class | Annual Rate |
Class 0 | 2% |
Class 2 | 4% |
Class 0 | Class 2 | Class 0 | Class 2 | |||||||||||||
Per unit operating performance: | ||||||||||||||||
Net asset value per unit, December 31, 2009 | $ | 100.59 | $ | 99.05 | ||||||||||||
Net asset value per unit, March 31, 2010 | $ | 96.29 | $ | 94.35 | ||||||||||||
Net loss: | ||||||||||||||||
Net investment loss | (1.66 | ) | (1.77 | ) | ||||||||||||
Net gain on investments | 1.09 | 0.75 | ||||||||||||||
Net loss | (0.57 | ) | (1.02 | ) | ||||||||||||
Net asset value per unit, June 30, 2010 | $ | 95.72 | $ | 93.33 | ||||||||||||
Net asset value per unit, March 31, 2011 | $ | 100.08 | $ | 96.48 | ||||||||||||
Net loss: | ||||||||||||||||
Net investment loss | (1.84 | ) | (1.73 | ) | (1.26 | ) | (1.74 | ) | ||||||||
Net loss on investments | (2.46 | ) | (2.97 | ) | (3.23 | ) | (3.05 | ) | ||||||||
Net loss | (4.30 | ) | (4.70 | ) | (4.49 | ) | (4.79 | ) | ||||||||
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 | ||||||||||||
Net asset value per unit, June 30, 2011 | $ | 95.59 | $ | 91.69 |
Class 0 | Class 2 | Class 0 | Class 2 | |||||||||||||||||||||||||||||
2011 | 2010 | 2011 | 2010 | 2011 | 2010 | 2011 | 2010 | |||||||||||||||||||||||||
Total return before Incentive Allocation | (2.75 | )% | (4.27 | )% | (3.24 | )% | (4.75 | )% | (4.49 | )% | (0.57 | )% | (4.96 | )% | (1.03 | )% | ||||||||||||||||
Incentive Allocation | (0.01 | ) | 0.00 | (0.01 | ) | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||||||||||||
Total return after Incentive Allocation | (2.76 | )% | (4.27 | )% | (3.25 | )% | (4.75 | )% | (4.49 | )% | (0.57 | )% | (4.96 | )% | (1.03 | )% | ||||||||||||||||
Net investment loss before Incentive Allocation | (1.03 | )% | (1.21 | )% | (1.52 | )% | (1.69 | )% | (1.26 | )% | (1.61 | )% | (1.80 | )% | (1.70 | )% | ||||||||||||||||
Incentive Allocation | (0.01 | ) | 0.00 | (0.01 | ) | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||||||||||||
Net investment loss after Incentive Allocation | (1.04 | )% | (1.21 | )% | (1.53 | )% | (1.69 | )% | (1.26 | )% | (1.61 | )% | (1.80 | )% | (1.70 | )% | ||||||||||||||||
Total expenses before Incentive Allocation | 1.12 | % | 1.28 | % | 1.64 | % | 7.11 | % | 1.46 | % | 1.30 | % | 1.99 | % | (3.51 | )% | ||||||||||||||||
Incentive Allocation | 0.01 | 0.00 | 0.01 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||||||||||||||
Total expenses after Incentive Allocation | 1.13 | % | 1.28 | % | 1.65 | % | 7.11 | % | 1.46 | % | 1.30 | % | 1.99 | % | (3.51 | )% |
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 | (3.50 | ) | (3.50 | ) | ||||
Net loss on investments | (1.37 | ) | (2.22 | ) | ||||
Net loss | (4.87 | ) | (5.72 | ) | ||||
Net asset value per unit, June 30, 2010 | $ | 95.72 | $ | 93.33 | ||||
Net asset value per unit, December 31, 2010 | $ | 102.92 | $ | 99.72 | ||||
Net loss: | ||||||||
Net investment loss | (2.31 | ) | (3.24 | ) | ||||
Net loss on investments | (5.02 | ) | (4.79 | ) | ||||
Net loss | (7.33 | ) | (8.03 | ) | ||||
Net asset value per unit, June 30, 2011 | $ | 95.59 | $ | 91.69 |
Class 0 | Class 2 | |||||||||||||||
2011 | 2010 | 2011 | 2010 | |||||||||||||
Total return before Incentive Allocation | (7.11 | )% | (4.84 | )% | (8.04 | )% | (5.77 | )% | ||||||||
Incentive Allocation | (0.01 | ) | 0.00 | (0.01 | ) | 0.00 | ||||||||||
Total return after Incentive Allocation | (7.12 | )% | (4.84 | )% | (8.05 | )% | (5.77 | )% | ||||||||
Net investment loss before Incentive Allocation | (2.23 | )% | (2.37 | )% | (3.24 | )% | (3.39 | )% | ||||||||
Incentive Allocation | (0.01 | ) | 0.00 | (0.01 | ) | 0.00 | ||||||||||
Net investment loss after Incentive Allocation | (2.24 | )% | (2.37 | )% | (3.25 | )% | (3.39 | )% | ||||||||
Total expenses before Incentive Allocation | 2.58 | % | 2.58 | % | 3.63 | % | 3.61 | % | ||||||||
Incentive Allocation | 0.01 | 0.00 | 0.01 | 0.00 | ||||||||||||
Total expenses after Incentive Allocation | 2.59 | % | 2.58 | % | 3.64 | % | 3.61 | % |
(a) | Management’s Discussion and Analysis of Financial Condition and Results of Operations |
(i) Results of Operations |
Agriculture | $ | 236,882 | $ | (919,456 | ) | |||
Energy | 783,331 | (6,012,015 | ) | |||||
Foreign exchange | (501,870 | ) | (1,988,409 | ) | ||||
Interest rates | (335,514 | ) | 3,933,290 | |||||
Metals | 214,411 | 1,111,580 | ||||||
Softs | 250,962 | (1,449,973 | ) | |||||
Stock index | (866,257 | ) | (2,639,398 | ) | ||||
$ | (218,055 | ) | $ | (7,964,381 | ) |
Agriculture | $ | 112,080 | ||
Energy | (2,354,187 | ) | ||
Foreign exchange | (3,847,059 | ) | ||
Interest rates | 2,253,817 | |||
Metals | 1,883,879 | |||
Softs | (317,616 | ) | ||
Stock index | (5,913,350 | ) | ||
$ | (8,182,436 | ) |
Agriculture | % | |||
Energy | % | |||
Foreign exchange | %) | |||
Interest rates | % | |||
Metals | % | |||
Softs | ( | %) | ||
Stock index | ||||
Agriculture | $ | 368,180 | ||
Energy | 524,280 | |||
Foreign exchange | 2,577,495 | |||
Interest rates | 1,469,154 | |||
Metals | (566,789 | ) | ||
Softs | (1,154,853 | ) | ||
Stock index | (2,555,622 | ) | ||
$ | 661,845 |
( | %) | |||
100.0 | % |
Agriculture | $ | 1,626 | $ | (485,548 | ) | |||
Energy | 416,891 | (3,245,806 | ) | |||||
Foreign exchange | (762,592 | ) | 1,496,681 | |||||
Interest rates | (468,594 | ) | 8,004,083 | |||||
Metals | 332,942 | (1,098,109 | ) | |||||
Softs | 329,739 | (302,980 | ) | |||||
Stock index | (836,406 | ) | (1,916,206 | ) | ||||
$ | (986,394 | ) | $ | 2,452,115 |
Agriculture | $ | (148,538 | ) | |
Energy | (2,808,958 | ) | ||
Foreign exchange | 3,938,470 | |||
Interest rates | 9,516,391 | |||
Metals | (1,648,015 | ) | ||
Softs | (1,390,835 | ) | ||
Stock index | (4,344,555 | ) | ||
$ | 3,113,960 |
Agriculture | 20.7% |
Energy | 19.7% |
Foreign exchange | 4.4% |
Interest rates | 21.7% |
Metals | 30.7% |
Softs | 4.3% |
Stock index | (1.5%) |
100.0% |
Agriculture | $ | (334,742 | ) | |
Energy | (1,052,444 | ) | ||
Foreign exchange | 108,104 | |||
Interest rates | 504,536 | |||
Metals | (227,238 | ) | ||
Softs | (427,673 | ) | ||
Stock index | (663,737 | ) | ||
$ | (2,093,194 | ) |
Agriculture | $ | (330,397 | ) | |
Energy | (619,979 | ) | ||
Foreign exchange | (668,369 | ) | ||
Interest rates | 23,891 | |||
Metals | 113,211 | |||
Softs | (88,870 | ) | ||
Stock index | (1,509,075 | ) | ||
$ | (3,079,588 | ) |
Agriculture | ||||
Energy | ||||
Foreign exchange | ||||
Interest rates | ||||
Metals | ||||
Softs | ||||
Stock index | ||||
Agriculture | $ | (208,487 | ) | |
Energy | (753,146 | ) | ||
Foreign exchange | (177,170 | ) | ||
Interest rates | 2,178,397 | |||
Metals | (174,814 | ) | ||
Softs | (49,642 | ) | ||
Stock index | (709,709 | ) | ||
$ | 105,429 |
Agriculture | $ | 192,135 | $ | (123,226 | ) | |||
Energy | 55,186 | (1,125,595 | ) | |||||
Foreign exchange | 108,305 | (163,262 | ) | |||||
Interest rates | 299,889 | 3,745,063 | ||||||
Metals | (232,240 | ) | (522,253 | ) | ||||
Softs | (571,725 | ) | (686,979 | ) | ||||
Stock index | (779,566 | ) | (1,946,335 | ) | ||||
$ | (928,016 | ) | $ | (822,587 | ) |
Agriculture | ||||
Energy | ||||
Foreign exchange | ||||
Interest rates | ||||
Metals | ||||
Softs | ||||
Stock index | ||||
(ii) Liquidity |
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 | % |
Blended Strategies Portfolio | Systematic Strategies Portfolio | ||
June 30, 2011 | 16.04% | 11.18% | |
December 31, 2010 | 7.57% | 7.73% | |
June 30, 2010 | 5.37% | 5.50% |
(iii) Capital Resources |
110 (iv) Critical Accounting Policies |
(v) Off-Balance Sheet Arrangements |
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 |
Blended Strategies Portfolio | Systematic Strategies Portfolio | |
Total Number of Units Purchased | Total Number of Units Purchased | |
Period (as of) | ||
April 1, 2011 | 59,841.755 | 34,886.866 |
May 1, 2011 | 61,766.507 | 14,573.048 |
June 1, 2011 | 51,054.670 | 33,204.710 |
* 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 |
The exhibits required to be filed by Item 601 of regulation S-K are incorporated herein by reference | ||||
— | Rule 13a-14(a)/15d-14(a) Certification (Certification of Chief Executive Officer) | |||
— | Rule 13a-14(a)/15d-14(a) Certification (Certification of Chief Financial Officer) | |||
— | Section 1350 Certification (Certification of Chief Executive Officer and Chief Financial Officer) | |||
101.INS | — | XBRL Instance Document | ||
101.SCH | — | XBRL Schema Document | ||
101.CAL | — | XBRL Calculation Linkbase Document | ||
101.LAB | — | XBRL Label Linkbase Document | ||
101.PRE | — | XBRL Presentation Linkbase Document | ||
101.DEF | — | XBRL Definition Linkbase Document |
Dated: | GRAHAM ALTERNATIVE INVESTMENT FUND I LLC | |||
By: GRAHAM CAPITAL MANAGEMENT, L.P. its Manager | ||||
By: | ||||
Paul Sedlack, Chief Executive Officer | ||||
By: /s/ Jeff Baisley | ||||
Jeff Baisley, Chief Financial Officer |