Delaware | 20-4897069 | |
(State or other jurisdiction of incorporation or organization) | (I.R.S. Employer Identification No.) |
Large accelerated filero | Accelerated filero | Non-accelerated filer | Smaller reporting companyx |
Page | ||||||
Number | ||||||
PART I - Financial | ||||||
Item 1. | Financial Statements: | |||||
Graham Alternative Investment Fund I LLC Blended Strategies Portfolio | ||||||
1 | ||||||
2 | ||||||
3 | ||||||
4 | ||||||
5 | ||||||
Graham Alternative Investment Trading LLC | ||||||
13 | ||||||
15 | ||||||
16 | ||||||
17 | ||||||
18 | ||||||
Item 2. | 60 | |||||
Item 3. | 68 |
Item 4. | 69 | ||||
70 | |||||
EX - 31.1 | Certification | |
EX - 31.2 | Certification | |
EX - 32.1 | Certification |
March 31, 2014 (Unaudited) | December 31, 2013 (Audited) | June 30, 2014 (Unaudited) | December 31, 2013 (Audited) | |||||||||||||
Assets | ||||||||||||||||
Investment in Graham Alternative Investment Trading LLC, at fair value | $ | 86,457,420 | $ | 99,045,133 | $ | 84,066,441 | $ | 99,045,133 | ||||||||
Redemption receivable from Graham Alternative Investment Trading LLC | 3,244,838 | 3,619,464 | 3,305,924 | 3,619,464 | ||||||||||||
Total assets | $ | 89,702,258 | $ | 102,664,597 | $ | 87,372,365 | $ | 102,664,597 | ||||||||
Liabilities and members’ capital | ||||||||||||||||
Liabilities: | ||||||||||||||||
Accrued redemptions | $ | 3,244,838 | $ | 3,619,464 | $ | 3,305,924 | $ | 3,619,464 | ||||||||
Total liabilities | 3,244,838 | 3,619,464 | 3,305,924 | 3,619,464 | ||||||||||||
Members’ capital: | ||||||||||||||||
Class 0 Units (596,795.585 and 605,548.066 units issued and outstanding at $114.03 and $127.72, respectively) | 68,051,343 | 77,340,803 | ||||||||||||||
Class 2 Units (210,534.384 and 220,552.039 units issued and outstanding at $87.43 and $98.41, respectively) | 18,406,077 | 21,704,330 | ||||||||||||||
Class 0 Units (543,584.948 and 605,548.066 units issued and outstanding at $115.00 and $127.72, respectively) | 62,513,894 | 77,340,803 | ||||||||||||||
Class 2 Units (245,659.774 and 220,552.039 units issued and outstanding at $87.73 and $98.41, respectively) | 21,552,547 | 21,704,330 | ||||||||||||||
Total members’ capital | 86,457,420 | 99,045,133 | 84,066,441 | 99,045,133 | ||||||||||||
Total liabilities and members’ capital | $ | 89,702,258 | $ | 102,664,597 | $ | 87,372,365 | $ | 102,664,597 |
Three Months Ended March 31, | Three Months Ended June 30, | Six Months Ended June 30, | ||||||||||||||||||||||
2014 | 2013 | 2014 | 2013 | 2014 | 2013 | |||||||||||||||||||
Net (loss) gain allocated from investment in Graham Alternative Investment Trading LLC | ||||||||||||||||||||||||
Net realized (loss) gain on investments | $ | (6,032,210 | ) | $ | 12,734,795 | |||||||||||||||||||
Net decrease in unrealized appreciation on investments | (3,921,437 | ) | (500,487 | ) | ||||||||||||||||||||
Net gain (loss) allocated from investment in Graham Alternative Investment Trading LLC | ||||||||||||||||||||||||
Net realized gain (loss) on investments | $ | (16,440 | ) | $ | 4,173,329 | $ | (6,048,650 | ) | $ | 16,908,124 | ||||||||||||||
Net increase (decrease) in unrealized appreciation on investments | 1,470,361 | (3,254,288 | ) | (2,451,076 | ) | (3,754,775 | ) | |||||||||||||||||
Brokerage commissions and fees | (138,075 | ) | (300,291 | ) | (118,873 | ) | (209,923 | ) | (256,948 | ) | (510,214 | ) | ||||||||||||
Net (loss) gain allocated from investment in Graham Alternative Investment Trading LLC | (10,091,722 | ) | 11,934,017 | |||||||||||||||||||||
Net gain (loss) allocated from investment in Graham Alternative Investment Trading LLC | 1,335,048 | 709,118 | (8,756,674 | ) | 12,643,135 | |||||||||||||||||||
Net investment loss allocated from investment in Graham Alternative Investment Trading LLC | ||||||||||||||||||||||||
Investment income | ||||||||||||||||||||||||
Interest income | 48,823 | 78,073 | 48,352 | 64,672 | 97,175 | 142,745 | ||||||||||||||||||
Expenses | ||||||||||||||||||||||||
Advisory fees | 397,009 | 700,262 | 387,266 | 635,363 | 784,275 | 1,335,625 | ||||||||||||||||||
Sponsor fees | 268,714 | 423,657 | 273,458 | 400,724 | 542,172 | 824,381 | ||||||||||||||||||
Professional fees and other | 37,037 | 249,075 | 39,165 | 36,826 | 76,202 | 285,901 | ||||||||||||||||||
Administrator’s fees | 29,719 | 52,100 | 30,013 | 47,386 | 59,732 | 99,486 | ||||||||||||||||||
Total expenses | 732,479 | 1,425,094 | 729,902 | 1,120,299 | 1,462,381 | 2,545,393 | ||||||||||||||||||
Net investment loss allocated from investment in Graham Alternative Investment Trading LLC | (683,656 | ) | (1,347,021 | ) | (681,550 | ) | (1,055,627 | ) | (1,365,206 | ) | (2,402,648 | ) | ||||||||||||
Net (loss) income | $ | (10,775,378 | ) | $ | 10,586,996 | |||||||||||||||||||
Net income (loss) | $ | 653,498 | $ | (346,509 | ) | $ | (10,121,880 | ) | $ | 10,240,487 |
Class 0 Units | Class 2 Units | Class 0 Units | Class 2 Units | |||||||||||||||||||||||||||||||||||||
Units | Capital | Units | Capital | Total Members’ Capital | Units | Capital | Units | Capital | Total Members’ Capital | |||||||||||||||||||||||||||||||
Members’ capital, December 31, 2012 | 1,241,639.087 | $ | 142,637,622 | 279,471.807 | $ | 25,234,372 | $ | 167,871,994 | 1,241,639.087 | $ | 142,637,622 | 279,471.807 | $ | 25,234,372 | $ | 167,871,994 | ||||||||||||||||||||||||
Subscriptions | 16,433.844 | 1,945,000 | 3,741.593 | 351,886 | 2,296,886 | 40,089.080 | 4,890,000 | 3,741.593 | 351,886 | 5,241,886 | ||||||||||||||||||||||||||||||
Redemptions | (239,520.101 | ) | (28,917,423 | ) | (21,917.310 | ) | (2,069,889 | ) | (30,987,312 | ) | (541,309.472 | ) | (66,919,633 | ) | (39,689.875 | ) | (3,785,813 | ) | (70,705,446 | ) | ||||||||||||||||||||
Net income | – | 9,072,016 | – | 1,514,980 | 10,586,996 | – | 9,081,044 | – | 1,159,443 | 10,240,487 | ||||||||||||||||||||||||||||||
Members’ capital, March 31, 2013 | 1,018,552.830 | $ | 124,737,215 | 261,296.090 | $ | 25,031,349 | $ | 149,768,564 | ||||||||||||||||||||||||||||||||
Class 0 Units | Class 2 Units | |||||||||||||||||||||||||||||||||||||||
Units | Capital | Units | Capital | Total Members’ Capital | ||||||||||||||||||||||||||||||||||||
Members’ capital, December 31, 2013 | 605,548.066 | $ | 77,340,803 | 220,552.039 | $ | 21,704,330 | $ | 99,045,133 | ||||||||||||||||||||||||||||||||
Subscriptions | 17,796.744 | 2,110,079 | 6,279.334 | 581,210 | 2,691,289 | |||||||||||||||||||||||||||||||||||
Redemptions | (26,549.225 | ) | (3,047,394 | ) | (16,296.989 | ) | (1,456,230 | ) | (4,503,624 | ) | ||||||||||||||||||||||||||||||
Net loss | – | (8,352,145 | ) | – | (2,423,233 | ) | (10,775,378 | ) | ||||||||||||||||||||||||||||||||
Members’ capital, March 31, 2014 | 596,795.585 | $ | 68,051,343 | 210,534.384 | $ | 18,406,077 | $ | 86,457,420 | ||||||||||||||||||||||||||||||||
Members’ capital, June 30, 2013 | 740,418.695 | $ | 89,689,033 | 243,523.525 | $ | 22,959,888 | $ | 112,648,921 |
Class 0 Units | Class 2 Units | |||||||||||||||||||
Units | Capital | Units | Capital | Total Members’ Capital | ||||||||||||||||
Members’ capital, December 31, 2013 | 605,548.066 | $ | 77,340,803 | 220,552.039 | $ | 21,704,330 | $ | 99,045,133 | ||||||||||||
Subscriptions | 23,805.913 | 2,795,079 | 58,712.079 | 5,164,210 | 7,959,289 | |||||||||||||||
Redemptions | (85,769.031 | ) | (9,841,385 | ) | (33,604.344 | ) | (2,974,716 | ) | (12,816,101 | ) | ||||||||||
Net loss | – | (7,780,603 | ) | – | (2,341,277 | ) | (10,121,880 | ) | ||||||||||||
Members’ capital, June 30, 2014 | 543,584.948 | $ | 62,513,894 | 245,659.774 | $ | 21,552,547 | $ | 84,066,441 |
Three Months Ended March 31, | Six Months Ended June 30, | |||||||||||||||
2014 | 2013 | 2014 | 2013 | |||||||||||||
Cash flows provided by operating activities | ||||||||||||||||
Net (loss) income | $ | (10,775,378 | ) | $ | 10,586,996 | $ | (10,121,880 | ) | $ | 10,240,487 | ||||||
Adjustments to reconcile net (loss) income to net cash provided by operating activities: | ||||||||||||||||
Net loss (income) allocated from investment in Graham Alternative Investment Trading LLC | 10,775,378 | (10,586,996 | ) | 10,121,880 | (10,240,487 | ) | ||||||||||
Proceeds from sale of investments in Graham Alternative Investment Trading LLC | 4,878,250 | 35,278,225 | 13,129,641 | 84,023,696 | ||||||||||||
Investments in Graham Alternative Investment Trading LLC | (2,691,289 | ) | (2,296,886 | ) | (7,959,289 | ) | (5,241,886 | ) | ||||||||
Net cash provided by operating activities | 2,186,961 | 32,981,339 | 5,170,352 | 78,781,810 | ||||||||||||
Cash flows used in financing activities | ||||||||||||||||
Subscriptions | 2,691,289 | 2,296,886 | 7,959,289 | 5,241,886 | ||||||||||||
Redemptions | (4,878,250 | ) | (35,278,225 | ) | (13,129,641 | ) | (84,023,696 | ) | ||||||||
Net cash used in financing activities | (2,186,961 | ) | (32,981,339 | ) | (5,170,352 | ) | (78,781,810 | ) | ||||||||
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 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 the Fund’s investment in GAIT, 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 | 0.75% |
Class 2 | 2.75% |
Class 0 | Class 2 | Class 0 | Class 2 | |||||||||||||
Per unit operating performance | ||||||||||||||||
Net asset value per unit, December 31, 2012 | $ | 114.88 | $ | 90.29 | ||||||||||||
Net asset value per unit, March 31, 2013 | $ | 122.47 | $ | 95.80 | ||||||||||||
Net loss: | ||||||||||||||||
Net investment loss | (0.86 | ) | (1.13 | ) | ||||||||||||
Net loss on investments | (0.48 | ) | (0.39 | ) | ||||||||||||
Net loss | (1.34 | ) | (1.52 | ) | ||||||||||||
Net asset value per unit, June 30, 2013 | $ | 121.13 | $ | 94.28 | ||||||||||||
Net asset value per unit, March 31, 2014 | $ | 114.03 | $ | 87.43 | ||||||||||||
Net income: | ||||||||||||||||
Net investment loss | (0.88 | ) | (1.14 | ) | (0.76 | ) | (1.06 | ) | ||||||||
Net gain on investments | 8.47 | 6.65 | 1.73 | 1.36 | ||||||||||||
Net income | 7.59 | 5.51 | 0.97 | 0.30 | ||||||||||||
Net asset value per unit, March 31, 2013 | $ | 122.47 | $ | 95.80 | ||||||||||||
Net asset value per unit, December 31, 2013 | $ | 127.72 | $ | 98.41 | ||||||||||||
Net loss: | ||||||||||||||||
Net investment loss | (0.76 | ) | (1.05 | ) | ||||||||||||
Net loss on investments | (12.93 | ) | (9.93 | ) | ||||||||||||
Net loss | (13.69 | ) | (10.98 | ) | ||||||||||||
Net asset value per unit, March 31, 2014 | $ | 114.03 | $ | 87.43 | ||||||||||||
Net asset value per unit, June 30, 2014 | $ | 115.00 | $ | 87.73 |
Class 0 | Class 2 | Class 0 | Class 2 | |||||||||||||||||||||||||||||
2014 | 2013 | 2014 | 2013 | 2014 | 2013 | 2014 | 2013 | |||||||||||||||||||||||||
Total return before Incentive Allocation | (10.72 | )% | 6.61 | % | (11.16 | )% | 6.10 | % | 0.85 | % | (1.09 | )% | 0.35 | % | (1.59 | )% | ||||||||||||||||
Incentive Allocation | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||||||||||||||
Total return after Incentive Allocation | (10.72 | )% | 6.61 | % | (11.16 | )% | 6.10 | % | 0.85 | % | (1.09 | )% | 0.35 | % | (1.59 | )% | ||||||||||||||||
Net investment loss before Incentive Allocation | (0.63 | )% | (0.77 | )% | (1.13 | )% | (1.22 | )% | (0.66 | )% | (0.70 | )% | (1.21 | )% | (1.18 | )% | ||||||||||||||||
Incentive Allocation | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||||||||||||||
Net investment loss after Incentive Allocation | (0.63 | )% | (0.77 | )% | (1.13 | )% | (1.22 | )% | (0.66 | )% | (0.70 | )% | (1.21 | )% | (1.18 | )% | ||||||||||||||||
Total expenses before Incentive Allocation | 0.68 | % | 0.79 | % | 1.18 | % | 1.27 | % | 0.72 | % | 0.74 | % | 1.26 | % | 1.22 | % | ||||||||||||||||
Incentive Allocation | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||||||||||||||
Total expenses after Incentive Allocation | 0.68 | % | 0.79 | % | 1.18 | % | 1.27 | % | 0.72 | % | 0.74 | % | 1.26 | % | 1.22 | % |
Class 0 | Class 2 | |||||||
Per unit operating performance | ||||||||
Net asset value per unit, December 31, 2012 | $ | 114.88 | $ | 90.29 | ||||
Net income: | ||||||||
Net investment loss | (1.74 | ) | (2.28 | ) | ||||
Net gain on investments | 7.99 | 6.27 | ||||||
Net income | 6.25 | 3.99 | ||||||
Net asset value per unit, June 30, 2013 | $ | 121.13 | $ | 94.28 | ||||
Net asset value per unit, December 31, 2013 | $ | 127.72 | $ | 98.41 | ||||
Net loss: | ||||||||
Net investment loss | (1.52 | ) | (2.10 | ) | ||||
Net loss on investments | (11.20 | ) | (8.58 | ) | ||||
Net loss | (12.72 | ) | (10.68 | ) | ||||
Net asset value per unit, June 30, 2014 | $ | 115.00 | $ | 87.73 |
Class 0 | Class 2 | |||||||||||||||
2014 | 2013 | 2014 | 2013 | |||||||||||||
Total return before Incentive Allocation | (9.96 | )% | 5.44 | % | (10.85 | )% | 4.42 | % | ||||||||
Incentive Allocation | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||
Total return after Incentive Allocation | (9.96 | )% | 5.44 | % | (10.85 | )% | 4.42 | % | ||||||||
Net investment loss before Incentive Allocation | (1.29 | )% | (1.46 | )% | (2.31 | )% | (2.42 | )% | ||||||||
Incentive Allocation | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||
Net investment loss after Incentive Allocation | (1.29 | )% | (1.46 | )% | (2.31 | )% | (2.42 | )% | ||||||||
Total expenses before Incentive Allocation | 1.40 | % | 1.56 | % | 2.41 | % | 2.52 | % | ||||||||
Incentive Allocation | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||
Total expenses after Incentive Allocation | 1.40 | % | 1.56 | % | 2.41 | % | 2.52 | % |
March 31, 2014 (Unaudited) | December 31, 2013 (Audited) | June 30, 2014 (Unaudited) | December 31, 2013 (Audited) | |||||||||||||
Assets | ||||||||||||||||
Investments in Master Funds, at fair value | $ | 20,134,244 | $ | 33,759,212 | $ | 22,903,052 | $ | 33,759,212 | ||||||||
Investment in Graham Cash Assets LLC, at fair value | 143,057,646 | 153,099,740 | 132,364,459 | 153,099,740 | ||||||||||||
Receivable from Master Funds | 915 | 2,695 | 56 | 2,695 | ||||||||||||
Total assets | $ | 163,192,805 | $ | 186,861,647 | $ | 155,267,567 | $ | 186,861,647 | ||||||||
Liabilities and members’ capital | ||||||||||||||||
Liabilities: | ||||||||||||||||
Accrued redemptions | $ | 5,936,236 | $ | 5,589,666 | $ | 8,718,041 | $ | 5,589,666 | ||||||||
Accrued advisory fees | 241,021 | 276,022 | 221,952 | 276,022 | ||||||||||||
Accrued sponsor fees | 164,724 | 187,789 | 159,746 | 187,789 | ||||||||||||
Accrued professional fees | 186,191 | 203,102 | 99,457 | 203,102 | ||||||||||||
Accrued administrator’s fee | 18,182 | 20,714 | 17,636 | 20,714 | ||||||||||||
Payable to Master Funds | 378 | 7,249 | 2,310 | 7,249 | ||||||||||||
Total liabilities | 6,546,732 | 6,284,542 | 9,219,142 | 6,284,542 | ||||||||||||
Members’ capital: | ||||||||||||||||
Class 0 Units (1,059,632.510 and 1,093,036.786 units issued and outstanding at $114.03 and $127.72 per unit, respectively) | 120,827,668 | 139,603,019 | ||||||||||||||
Class 2 Units (400,246.139 and 407,013.551 units issued and outstanding at $87.43 and $98.41 per unit, respectively) | �� | 34,991,742 | 40,053,854 | |||||||||||||
Class M Units (4,671.470 and 4,671.470 units issued and outstanding at $176.96 and $196.99 per unit, respectively) | 826,663 | 920,232 | ||||||||||||||
Class 0 Units (928,893.895 and 1,093,036.786 units issued and outstanding at $115.00 and $127.72 per unit, respectively) | 106,825,568 | 139,603,019 | ||||||||||||||
Class 2 Units (437,506.448 and 407,013.551 units issued and outstanding at $87.73 and $98.41 per unit, respectively) | 38,383,907 | 40,053,854 | ||||||||||||||
Class M Units (4,671.470 and 4,671.470 units issued and outstanding at $179.59 and $196.99 per unit, respectively) | 838,950 | 920,232 | ||||||||||||||
Total members’ capital | 156,646,073 | 180,577,105 | 146,048,425 | 180,577,105 | ||||||||||||
Total liabilities and members’ capital | $ | 163,192,805 | $ | 186,861,647 | $ | 155,267,567 | $ | 186,861,647 |
March 31, 2014 (Unaudited) | December 31, 2013 (Audited) | June 30, 2014 (Unaudited) | December 31, 2013 (Audited) | |||||||||||||||||||||||||||||
Description | Fair Value | Percentage of Members’ Capital | Fair Value | Percentage of Members’ Capital | Fair Value | Percentage of Members’ Capital | Fair Value | Percentage of Members’ Capital | ||||||||||||||||||||||||
Investments in Master Funds, at fair value | ||||||||||||||||||||||||||||||||
Graham Commodity Strategies LLC | $ | 4,584,411 | 2.93 | % | $ | 11,687,704 | 6.47 | % | $ | 3,820,521 | 2.62% | $ | 11,687,704 | 6.47% | ||||||||||||||||||
Graham Macro Directional LLC | 1,163,642 | 0.74 | % | - | - | |||||||||||||||||||||||||||
Graham Global Monetary Policy LLC | 1,563,721 | 1.00 | % | 5,538,724 | 3.07 | % | 1,767,570 | 1.21% | 5,538,724 | 3.07% | ||||||||||||||||||||||
Graham K4D Trading Ltd. | 12,822,470 | 8.18 | % | 16,532,784 | 9.16 | % | 15,821,984 | 10.83% | 16,532,784 | 9.16% | ||||||||||||||||||||||
Graham Macro Directional LLC | 1,492,977 | 1.02% | – | – | ||||||||||||||||||||||||||||
Total investments in Master Funds | $ | 20,134,244 | 12.85 | % | $ | 33,759,212 | 18.70 | % | $ | 22,903,052 | 15.68% | $ | 33,759,212 | 18.70% |
Three Months Ended March 31, | Three Months Ended June 30, | Six Months Ended June 30, | ||||||||||||||||||||||
2014 | 2013 | 2014 | 2013 | 2014 | 2013 | |||||||||||||||||||
Net (loss) gain allocated from investments in Master Funds | ||||||||||||||||||||||||
Net realized (loss) gain on investments | $ | (10,979,432 | ) | $ | 20,273,648 | $ | (50,226 | ) | $ | 5,978,274 | $ | (11,029,658 | ) | $ | 26,251,922 | |||||||||
Net decrease in unrealized appreciation on investments | (7,197,449 | ) | (860,950 | ) | ||||||||||||||||||||
Net increase (decrease) in unrealized appreciation on investments | 2,646,562 | (5,250,626 | ) | (4,550,887 | ) | (6,111,576 | ) | |||||||||||||||||
Brokerage commissions and fees | (251,855 | ) | (477,561 | ) | (211,828 | ) | (354,064 | ) | (463,683 | ) | (831,625 | ) | ||||||||||||
Net (loss) gain allocated from investments in Master Funds | (18,428,736 | ) | 18,935,137 | 2,384,508 | 373,584 | (16,044,228 | ) | 19,308,721 | ||||||||||||||||
Net investment loss allocated from investments in Master Funds | (20,719 | ) | (5,957 | ) | (13,729 | ) | (10,544 | ) | (34,448 | ) | (16,501 | ) | ||||||||||||
Investment income | ||||||||||||||||||||||||
Interest income | 89,072 | 124,162 | 86,298 | 109,104 | 175,370 | 233,266 | ||||||||||||||||||
Total investment income | 86,298 | 109,104 | 175,370 | 233,266 | ||||||||||||||||||||
Expenses | ||||||||||||||||||||||||
Advisory fees | 720,773 | 1,109,892 | 687,422 | 1,065,854 | 1,408,195 | 2,175,746 | ||||||||||||||||||
Sponsor fees | 495,032 | 690,123 | 488,104 | 682,864 | 983,136 | 1,372,987 | ||||||||||||||||||
Administrator’s fee | 54,230 | 82,841 | ||||||||||||||||||||||
Administrator’s fees | 53,552 | 79,753 | 107,782 | 162,594 | ||||||||||||||||||||
Professional fees and other | 46,801 | 389,274 | 56,100 | 51,900 | 102,901 | 441,174 | ||||||||||||||||||
Total expenses | 1,316,836 | 2,272,130 | 1,285,178 | 1,880,371 | 2,602,014 | 4,152,501 | ||||||||||||||||||
Net investment loss of the Fund | (1,227,764 | ) | (2,147,968 | ) | (1,198,880 | ) | (1,771,267 | ) | (2,426,644 | ) | (3,919,235 | ) | ||||||||||||
Net (loss) income | (19,677,219 | ) | 16,781,212 | 1,171,899 | (1,408,227 | ) | (18,505,320 | ) | 15,372,985 | |||||||||||||||
Incentive allocation | – | – | – | – | – | – | ||||||||||||||||||
Net (loss) income available for pro-rata allocation to all members | $ | (19,677,219 | ) | $ | 16,781,212 | $ | 1,171,899 | $ | (1,408,227 | ) | $ | (18,505,320 | ) | $ | 15,372,985 |
Class 0 | Class 2 | Class M | Total | Class 0 | Class 2 | Class M | Total | |||||||||||||||||||||||||||||||||||||||||||||||||
Units | Capital | Units | Capital | Units | Capital | Capital | Units | Capital | Units | Capital | Units | Capital | Capital | |||||||||||||||||||||||||||||||||||||||||||
Members’ capital, December 31, 2012 | 1,922,696.211 | $ | 220,876,439 | 483,129.319 | $ | 43,623,249 | 4,671.470 | $ | 806,295 | $ | 265,305,983 | 1,922,696.211 | $ | 220,876,439 | 483,129.319 | $ | 43,623,249 | 4,671.470 | $ | 806,295 | $ | 265,305,983 | ||||||||||||||||||||||||||||||||||
Subscriptions | 24,271.848 | 2,870,000 | 9,833.882 | 926,793 | – | – | 3,796,793 | 53,655.992 | 6,520,000 | 11,414.547 | 1,082,435 | – | – | 7,602,435 | ||||||||||||||||||||||||||||||||||||||||||
Redemptions | (307,878.041 | ) | (37,111,245 | ) | (35,700.711 | ) | (3,371,297 | ) | – | – | (40,482,542 | ) | (654,544.800 | ) | (80,628,297 | ) | (55,643.476 | ) | (5,296,530 | ) | – | – | (85,924,827 | ) | ||||||||||||||||||||||||||||||||
Incentive allocation | – | – | – | – | – | – | – | – | – | – | – | – | – | – | ||||||||||||||||||||||||||||||||||||||||||
Net income | – | 14,096,207 | – | 2,625,582 | – | 59,423 | 16,781,212 | – | 13,346,186 | – | 1,971,267 | – | 55,532 | 15,372,985 | ||||||||||||||||||||||||||||||||||||||||||
Members’ capital, March 31, 2013 | 1,639,090.018 | $ | 200,731,401 | 457,262.490 | $ | 43,804,327 | 4,671.470 | $ | 865,718 | $ | 245,401,446 | |||||||||||||||||||||||||||||||||||||||||||||
Members’ capital, June 30, 2013 | 1,321,807.403 | $ | 160,114,328 | 438,900.390 | $ | 41,380,421 | 4,671.470 | $ | 861,827 | $ | 202,356,576 | |||||||||||||||||||||||||||||||||||||||||||||
Class 0 | Class 2 | Class M | Total | Class 0 | Class 2 | Class M | Total | |||||||||||||||||||||||||||||||||||||||||||||||||
Units | Capital | Units | Capital | Units | Capital | Capital | Units | Capital | Units | Capital | Units | Capital | Capital | |||||||||||||||||||||||||||||||||||||||||||
Members’ capital, December 31, 2013 | 1,093,036.786 | $ | 139,603,019 | 407,013.551 | $ | 40,053,854 | 4,671.470 | $ | 920,232 | $ | 180,577,105 | 1,093,036.786 | $ | 139,603,019 | 407,013.551 | $ | 40,053,854 | 4,671.470 | $ | 920,232 | $ | 180,577,105 | ||||||||||||||||||||||||||||||||||
Subscriptions | 19,116.971 | 2,270,079 | 19,683.797 | 1,884,010 | – | – | 4,154,089 | 27,567.625 | 3,233,079 | 82,701.099 | 7,392,005 | – | – | 10,625,084 | ||||||||||||||||||||||||||||||||||||||||||
Redemptions | (52,521.247 | ) | (6,038,497 | ) | (26,451.209 | ) | (2,369,405 | ) | – | – | (8,407,902 | ) | (191,710.516 | ) | (22,020,925 | ) | (52,208.202 | ) | (4,627,519 | ) | – | – | (26,648,444 | ) | ||||||||||||||||||||||||||||||||
Incentive allocation | – | – | – | – | – | – | – | – | – | – | – | – | – | – | ||||||||||||||||||||||||||||||||||||||||||
Net loss | – | (15,006,933 | ) | – | (4,576,717 | ) | – | (93,569 | ) | (19,677,219 | ) | – | (13,989,605 | ) | – | (4,434,433 | ) | – | (81,282 | ) | (18,505,320 | ) | ||||||||||||||||||||||||||||||||||
Members’ capital, March 31, 2014 | 1,059,632.510 | $ | 120,827,668 | 400,246.139 | $ | 34,991,742 | 4,671.470 | $ | 826,663 | $ | 156,646,073 | |||||||||||||||||||||||||||||||||||||||||||||
Members’ capital, June 30, 2014 | 928,893.895 | $ | 106,825,568 | 437,506.448 | $ | 38,383,907 | 4,671.470 | $ | 838,950 | $ | 146,048,425 |
Three Months Ended March 31, | Six Months Ended June 30, | |||||||||||||||
2014 | 2013 | 2014 | 2013 | |||||||||||||
Cash flows provided by operating activities | ||||||||||||||||
Net (loss) income | $ | (19,677,219 | ) | $ | 16,781,212 | $ | (18,505,320 | ) | $ | 15,372,985 | ||||||
Adjustments to reconcile net (loss) income to net cash provided by operating activities: | ||||||||||||||||
Net loss (income) allocated from investments in Master Funds | 18,449,455 | (18,929,180 | ) | 16,078,676 | (19,292,220 | ) | ||||||||||
Net income allocated from investment in Graham Cash Assets LLC | (89,072 | ) | (124,162 | ) | (175,370 | ) | (233,266 | ) | ||||||||
Proceeds from sale of investments in Master Funds | 73,261,609 | 81,395,633 | 119,195,545 | 180,787,067 | ||||||||||||
Proceeds from sale of investments in Graham Cash Assets LLC | 59,218,104 | 95,351,740 | 101,552,403 | 203,188,288 | ||||||||||||
Investments in Master Funds | (78,091,187 | ) | (64,256,906 | ) | (124,420,361 | ) | (142,317,540 | ) | ||||||||
Investments in Graham Cash Assets LLC | (49,086,938 | ) | (61,945,090 | ) | (80,641,752 | ) | (140,811,787 | ) | ||||||||
Changes in assets and liabilities: | ||||||||||||||||
Accrued commission reimbursements | – | 165,510 | – | 165,510 | ||||||||||||
Other receivable | – | (218,078 | ) | |||||||||||||
Accrued brokerage fees | – | (568,525 | ) | – | (568,525 | ) | ||||||||||
Accrued advisory fees | (35,001 | ) | (143,997 | ) | (54,070 | ) | (191,647 | ) | ||||||||
Accrued sponsor fees | (23,065 | ) | (28,123 | ) | (28,043 | ) | (47,447 | ) | ||||||||
Accrued professional fees | (16,911 | ) | 362,895 | (103,645 | ) | 302,676 | ||||||||||
Accrued administrator’s fee | (2,532 | ) | 25,799 | (3,078 | ) | 21,987 | ||||||||||
Net cash provided by operating activities | 3,907,243 | 47,868,728 | 12,894,985 | 96,376,081 | ||||||||||||
Cash flows used in financing activities | ||||||||||||||||
Subscriptions | 4,154,089 | 3,796,793 | 10,625,084 | 7,602,435 | ||||||||||||
Redemptions | (8,061,332 | ) | (51,665,521 | ) | (23,520,069 | ) | (103,978,516 | ) | ||||||||
Net cash used in financing activities | (3,907,243 | ) | (47,868,728 | ) | (12,894,985 | ) | (96,376,081 | ) | ||||||||
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 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, 2014 | ||||||||||||||||||||||||||||
June 30, 2014 | June 30, 2014 | |||||||||||||||||||||||||||
Investment – Objective | Percent of Members’ Capital | Fair Value | Net Loss (three months then ended) | Percent of Members’ Capital | Fair Value | Net Income (loss) (three months then ended) | Net Loss (six months then ended) | |||||||||||||||||||||
Systematic Macro Funds | ||||||||||||||||||||||||||||
Graham K4D Trading Ltd. | 8.18 | % | $ | 12,822,470 | $ | (9,156,537 | ) | 10.83 | % | $ | 15,821,984 | $ | 6,938,902 | $ | (2,217,635 | ) | ||||||||||||
Global Macro Funds | ||||||||||||||||||||||||||||
Other Global Macro Funds (3) | 4.67 | % | 7,311,774 | (9,292,918 | ) | 4.85 | % | 7,081,068 | (4,568,123 | ) | (13,861,041 | ) | ||||||||||||||||
12.85 | % | $ | 20,134,244 | $ | (18,449,455 | ) | 15.68 | % | $ | 22,903,052 | $ | 2,370,779 | $ | (16,078,676 | ) | |||||||||||||
December 31, 2013 | December 31, 2013 | December 31, 2013 | ||||||||||||||||||||||||||
Investment – Objective | Percent of Members’ Capital | Fair Value | Net Income (three months ended March 31, 2013) | Percent of Members’ Capital | Fair Value | Net Income (three months ended June 30, 2013) | Net Income (six months ended June 30, 2013) | |||||||||||||||||||||
Systematic Macro Funds | ||||||||||||||||||||||||||||
Graham K4D Trading Ltd. | 9.16 | % | $ | 16,532,784 | $ | 13,334,035 | 9.16 | % | $ | 16,532,784 | $ | (7,695,281 | ) | $ | 5,638,549 | |||||||||||||
Global Macro Funds | ||||||||||||||||||||||||||||
Graham Commodity Strategies LLC | 6.47 | % | 11,687,704 | 2,493,076 | 6.47 | % | 11,687,704 | 6,494,898 | 8,987,973 | |||||||||||||||||||
Other Global Macro Funds (1) | 3.07 | % | 5,538,724 | 3,102,069 | 3.07 | % | 5,538,724 | 1,563,423 | 4,665,698 | |||||||||||||||||||
18.70 | % | $ | 33,759,212 | $ | 18,929,180 | 18.70 | % | $ | 33,759,212 | $ | 363,040 | $ | 19,292,220 |
Graham Commodity Strategies LLC (Delaware) | Graham Macro Directional LLC (Delaware) | Graham Global Monetary Policy LLC (Delaware) | Graham K4D Trading Ltd. (BVI) | Graham Commodity Strategies LLC (Delaware) | Graham Global Monetary Policy LLC (Delaware) | Graham K4D Trading Ltd. (BVI) | Graham Macro Directional LLC (Delaware) | |||||||||||||||||||||||||
Assets: | ||||||||||||||||||||||||||||||||
Due from brokers | $ | 43,415,504 | $ | 33,565,185 | $ | 43,997,508 | $ | 117,739,839 | $ | 45,259,243 | $ | 64,019,828 | $ | 112,686,906 | $ | 32,809,211 | ||||||||||||||||
Derivative financial instruments, at fair value | 33,158,628 | - | 8,703,835 | 3,403,959 | 22,846,698 | 700,126 | 34,232,795 | 14,918,731 | ||||||||||||||||||||||||
Exchange membership, at fair value | 2,628,300 | - | - | 830,000 | 2,558,500 | - | 894,000 | - | ||||||||||||||||||||||||
Dividends receivable | 9,870 | - | - | - | 9,869 | - | - | - | ||||||||||||||||||||||||
Other assets | - | - | 118 | - | - | 119 | - | - | ||||||||||||||||||||||||
Total assets | 79,212,302 | 33,565,185 | 52,701,461 | 121,973,798 | 70,674,310 | 64,720,073 | 147,813,701 | 47,727,942 | ||||||||||||||||||||||||
Liabilities: | ||||||||||||||||||||||||||||||||
Derivative financial instruments, at fair value | - | 3,520,341 | 8,520,509 | 3,170,798 | 1,773,557 | 1,235,247 | - | 363,000 | ||||||||||||||||||||||||
Due to brokers | 403,349 | - | - | - | ||||||||||||||||||||||||||||
Total liabilities | - | 3,520,341 | 8,520,509 | 3,170,798 | 2,176,906 | 1,235,247 | - | 363,000 | ||||||||||||||||||||||||
Net assets | $ | 79,212,302 | $ | 30,044,844 | $ | 44,180,952 | $ | 118,803,000 | $ | 68,497,404 | $ | 63,484,826 | $ | 147,813,701 | $ | 47,364,942 | ||||||||||||||||
Percentage of Master Fund held by GAIT | 5.79 | % | 3.87 | % | 3.54 | % | 10.79 | % | 5.58 | % | 2.78 | % | 10.70 | % | 3.15 | % |
Description | Number of Contracts | Fair Value | Percentage of Members’ Capital of Master Fund | Number of Contracts | Fair Value | Percentage of Members’ Capital of Master Fund | ||||||||||||||||||
Graham Commodity Strategies LLC | ||||||||||||||||||||||||
Derivative financial instruments | ||||||||||||||||||||||||
Long contracts | ||||||||||||||||||||||||
Futures | ||||||||||||||||||||||||
Commodity | $ | 17,369 | 0.02 | % | $ | 1,202,902 | 1.76 | % | ||||||||||||||||
Currency | (92,701 | ) | (0.14 | )% | ||||||||||||||||||||
Foreign bond | 132,560 | 0.19 | % | |||||||||||||||||||||
Foreign index | 370,215 | 0.47 | % | (20,010 | ) | (0.03 | )% | |||||||||||||||||
Interest rate | 84,225 | 0.11 | % | 3,199,697 | 4.67 | % | ||||||||||||||||||
U.S. bond | (98,586 | ) | (0.14 | )% | ||||||||||||||||||||
U.S. index | (287,500 | ) | (0.42 | )% | ||||||||||||||||||||
Total futures | 471,809 | 0.60 | % | 4,036,362 | 5.89 | % | ||||||||||||||||||
Swaps | ||||||||||||||||||||||||
Commodity | 14,056 | 0.02 | % | (252,192 | ) | (0.37 | )% | |||||||||||||||||
Interest rate | 1,710,322 | 2.16 | % | 767,070 | 1.12 | % | ||||||||||||||||||
Total swaps | 1,724,378 | 2.18 | % | 514,878 | 0.75 | % | ||||||||||||||||||
Forwards | �� | |||||||||||||||||||||||
Foreign currency | 3,936,331 | 4.97 | % | (703,973 | ) | (1.03 | )% | |||||||||||||||||
Total forwards | 3,936,331 | 4.97 | % | (703,973 | ) | (1.03 | )% | |||||||||||||||||
Options (cost $79,741,153) | ||||||||||||||||||||||||
U.S. dollar / Japanese yen 04/08/14, $101.00 Call | 1 | 5,457,433 | 6.89 | % | ||||||||||||||||||||
U.S. dollar / Japanese yen 07/17/14, $106.00 Call | 5 | 6,117,114 | 7.72 | % | ||||||||||||||||||||
Other U.S. dollar / Japanese yen 04/03/14 - 11/10/14, $101.00 - $120.00 Call | 5,462,814 | 6.90 | % | |||||||||||||||||||||
Options (cost $66,397,275) | ||||||||||||||||||||||||
Commodity futures | 11,603,214 | 16.93 | % | |||||||||||||||||||||
Euro / British pound 07/02/14, $0.78 Call | 1 | 172,903 | 0.25 | % | ||||||||||||||||||||
Euro / British pound 07/31/14 - 09/11/14, $0.78 - $0.81 Put | 5 | 5,390,065 | 7.87 | % | ||||||||||||||||||||
U.S. dollar / Chinese yuan 12/02/14 - 04/15/15, $6.05 - $6.20 Put | 15 | 6,360,576 | 9.29 | % | ||||||||||||||||||||
Other currency | 15,735,233 | 19.87 | % | 9,157,428 | 13.37 | % | ||||||||||||||||||
Commodity futures | 1,763,115 | 2.23 | % | |||||||||||||||||||||
Foreign index futures | 1,966,949 | 2.48 | % | |||||||||||||||||||||
U.S. 10-Year Future June 2014, $123.50 Put | 10,000 | 9,062,500 | 11.44 | % | ||||||||||||||||||||
Other U.S. 10-Year Future May 2014, $117.75 - $123.50 Put | 4,859,375 | 6.13 | % | |||||||||||||||||||||
Euro Mid Curve 1-Year Future December 2014, $99.25 Call | 21,000 | 3,675,000 | 5.37 | % | ||||||||||||||||||||
Other Euro Mid Curve 1-Year Future December 2014, $99.63 Call | 21,000 | 131,250 | 0.19 | % | ||||||||||||||||||||
Other interest rate futures | 1,334,450 | 1.68 | % | 2,839,741 | 4.15 | % | ||||||||||||||||||
U.S. index futures | 3,300,000 | 4.17 | % | 313,750 | 0.46 | % | ||||||||||||||||||
Total options | 55,058,983 | 69.51 | % | 39,643,927 | 57.88 | % |
Description | Number of Contracts | Fair Value | Percentage of Members’ Capital of Master Fund | Fair Value | Percentage of Members’ Capital of Master Fund | |||||||||||||||
Graham Commodity Strategies LLC (continued) | ||||||||||||||||||||
Derivative financial instruments (continued) | ||||||||||||||||||||
Short contracts | ||||||||||||||||||||
Futures | ||||||||||||||||||||
Commodity | $ | 27,610 | 0.03 | % | $ | 217,705 | 0.32 | % | ||||||||||||
Foreign bond | 34,132 | 0.04 | % | (8,086 | ) | (0.01 | )% | |||||||||||||
Foreign index | (123 | ) | 0.00 | % | ||||||||||||||||
Interest rate | (105,625 | ) | (0.12 | )% | (1,165,670 | ) | (1.70 | )% | ||||||||||||
U.S. Index | (4,063 | ) | (0.01 | )% | ||||||||||||||||
U.S. bond | (1,249,273 | ) | (1.83 | )% | ||||||||||||||||
U.S. index | 22,325 | 0.03 | % | |||||||||||||||||
Total futures | (47,946 | ) | (0.06 | )% | (2,183,122 | ) | (3.19 | )% | ||||||||||||
Swaps | ||||||||||||||||||||
Commodity | 25,200 | 0.03 | % | 112,638 | 0.16 | % | ||||||||||||||
Interest rate | (3,625,416 | ) | (4.58 | )% | (2,847,093 | ) | (4.15 | )% | ||||||||||||
Total swaps | (3,600,216 | ) | (4.55 | )% | (2,734,455 | ) | (3.99 | )% | ||||||||||||
Forwards | ||||||||||||||||||||
Foreign currency | (1,052,572 | ) | (1.33 | )% | 2,646,191 | 3.86 | % | |||||||||||||
Total forwards | (1,052,572 | ) | (1.33 | )% | 2,646,191 | 3.86 | % | |||||||||||||
Options (proceeds $50,564,049) | ||||||||||||||||||||
Options (proceeds $29,006,891) | ||||||||||||||||||||
Commodity Futures | (1,032,938 | ) | (1.30 | )% | (10,402,298 | ) | (15.18 | )% | ||||||||||||
U.S. dollar / Japanese yen 04/08/14, $101.00 Call | 1 | (5,457,433 | ) | (6.89 | )% | |||||||||||||||
Other U.S. dollar / Japanese yen 04/03/14 - 07/17/14, $101.00 - $111.00 Call | (2,738,687 | ) | (3.46 | )% | ||||||||||||||||
Other currency | (4,218,698 | ) | (5.33 | )% | ||||||||||||||||
U.S. 10-Year future June 2014, $122.50 Put | (10,000 | ) | (5,312,500 | ) | (6.71 | )% | ||||||||||||||
Other U.S. 10-Year Future May 2014, $121.00 - $122.50 Put | (1,437,500 | ) | (1.81 | )% | ||||||||||||||||
Other interest rate futures | (1,184,383 | ) | (1.50 | )% | ||||||||||||||||
U.S. index futures | (1,950,000 | ) | (2.46 | )% | ||||||||||||||||
Currency | (7,677,095 | ) | (11.21 | )% | ||||||||||||||||
Interest rate futures | (2,067,274 | ) | (3.02 | )% | ||||||||||||||||
Total options | (23,332,139 | ) | (29.46 | )% | (20,146,667 | ) | (29.41 | )% | ||||||||||||
Total derivative financial instruments | $ | 33,158,628 | 41.86 | % | $ | 21,073,141 | 30.76 | % |
Description | Notional Amount | Fair Value | Percentage of Net Assets of Master Fund | Number of Contracts | Fair Value | Percentage of Members’ Capital of Master Fund | |||||||||||||||
Graham Macro Directional LLC | |||||||||||||||||||||
Graham Global Monetary Policy LLC | |||||||||||||||||||||
Derivative financial instruments | |||||||||||||||||||||
Long contracts | |||||||||||||||||||||
Futures | |||||||||||||||||||||
Commodity | $ | 62,500 | 0.21 | % | $ | 73,523 | 0.12 | % | |||||||||||||
Foreign bond | 890,312 | 1.40 | % | ||||||||||||||||||
Foreign index | (9,347 | ) | (0.01 | )% | |||||||||||||||||
90-day Eurodollar March 2015 - March 2018 | 12,000 | 4,816,575 | 7.58 | % | |||||||||||||||||
Other interest rate | 368,496 | 0.58 | % | ||||||||||||||||||
U.S. bond | 334,906 | 1.11 | % | 105,937 | 0.17 | % | |||||||||||||||
U.S. index | 136,165 | 0.21 | % | ||||||||||||||||||
Total futures | 397,406 | 1.32 | % | 6,381,661 | 10.05 | % | |||||||||||||||
Forwards | |||||||||||||||||||||
Foreign currency | 739,873 | 2.46 | % | 1,440,277 | 2.27 | % | |||||||||||||||
Total forwards | 739,873 | 2.46 | % | 1,440,277 | 2.27 | % | |||||||||||||||
Options | |||||||||||||||||||||
Commodity futures | 75,375 | 0.25 | % | ||||||||||||||||||
Options (cost $7,763,553) | |||||||||||||||||||||
Foreign currency | 1,279,939 | 2.02 | % | ||||||||||||||||||
Interest rate futures | 234,375 | 0.37 | % | ||||||||||||||||||
Total options | 75,375 | 0.25 | % | 1,514,314 | 2.39 | % | |||||||||||||||
Short contracts | |||||||||||||||||||||
Futures | |||||||||||||||||||||
Commodity | 433,863 | 0.68 | % | ||||||||||||||||||
Foreign bond | (108,026 | ) | (0.17 | )% | |||||||||||||||||
Foreign index | 451,551 | 0.71 | % | ||||||||||||||||||
90-day Eurodollar December 2015 | 16,500 | (3,738,625 | ) | (5.89 | )% | ||||||||||||||||
Other 90-day Eurodollar June 2015 - December 2016 | 18,000 | (2,772,050 | ) | (4.37 | )% | ||||||||||||||||
Other interest rate | 22,377 | 0.04 | % | ||||||||||||||||||
U.S. bond | (535,890 | ) | (1.78 | )% | (205,000 | ) | (0.32 | )% | |||||||||||||
Total futures | (535,890 | ) | (1.78 | )% | (5,915,910 | ) | (9.32 | )% | |||||||||||||
Forwards | |||||||||||||||||||||
U.S. dollar / South Korean won 04/21/14 | KRW (214,595,000,000) | (1,655,758 | ) | (5.51 | )% | ||||||||||||||||
Other U.S. dollar / South Korean won 04/07/14 - 04/24/14 | (2,541,347 | ) | (8.46 | )% | |||||||||||||||||
Total forwards | (4,197,105 | ) | (13.97 | )% | |||||||||||||||||
Total derivative financial instruments | $ | (3,520,341 | ) | (11.72 | )% |
Description | Number of Contracts / Notional Amount | Fair Value | Percentage of Members’ Capital of Master Fund | |||||||||
Graham Global Monetary Policy LLC | ||||||||||||
Derivative financial instruments | ||||||||||||
Long contracts | ||||||||||||
Futures | ||||||||||||
Commodity | $ | 484,603 | 1.09 | % | ||||||||
Foreign bond | 357,467 | 0.81 | % | |||||||||
Foreign index | (448,739 | ) | (1.02 | )% | ||||||||
90-day Eurodollar December 2015 | 27,000 | (3,079,138 | ) | (6.97 | )% | |||||||
90-day Eurodollar June 2015 - March 2016 | 710,525 | 1.61 | % | |||||||||
3-month Euro / Swiss franc December 2014 - March 2015 | 7,070 | 0.02 | % | |||||||||
U.S. bond | 525,045 | 1.19 | % | |||||||||
Total futures | (1,443,167 | ) | (3.27 | )% | ||||||||
Forwards | ||||||||||||
Chinese yuan / U.S. dollar 04/10/14 | CNY 943,950,000 | 2,405,647 | 5.44 | % | ||||||||
Chinese yuan / U.S. dollar 04/04/14 - 01/06/15 | (2,754,836 | ) | (6.23 | )% | ||||||||
Other foreign currency | 236,856 | 0.54 | % | |||||||||
Total forwards | (112,333 | ) | (0.25 | )% | ||||||||
Options (cost $6,242,152) | ||||||||||||
Euro / Swiss franc 04/11/14 - 07/08/14, $1.23-$1.25 Call | 1,343,185 | 3.04 | % | |||||||||
Euro / Swiss franc 04/02/14 - 06/16/14, $1.16 Put | 61,793 | 0.14 | % | |||||||||
Other foreign currency | 1,153,212 | 2.61 | % | |||||||||
Total options | 2,558,190 | 5.79 | % | |||||||||
Short contracts | ||||||||||||
Futures | ||||||||||||
Commodity | 622,650 | 1.41 | % | |||||||||
Foreign bond | 19,765 | 0.04 | % | |||||||||
Foreign index | (411,485 | ) | (0.93 | )% | ||||||||
90-day Eurodollar December 2016 | (13,000 | ) | 7,250,000 | 16.41 | % | |||||||
90-day Eurodollar March 2015 - March 2016 | (92,450 | ) | (0.21 | )% | ||||||||
Other interest rate | (125,010 | ) | (0.28 | )% | ||||||||
U.S. bond | 35,969 | 0.08 | % | |||||||||
U.S. index | 93,425 | 0.21 | % | |||||||||
Total futures | 7,392,864 | 16.73 | % |
Description | Fair Value | Percentage of Members’ Capital of Master Fund | ||||||
Graham Global Monetary Policy LLC | ||||||||
Derivative financial instruments | ||||||||
Short contracts | ||||||||
Forwards | ||||||||
Foreign currency | $ | (2,497,873 | ) | (3.93 | )% | |||
Total forwards | (2,497,873 | ) | (3.93 | )% | ||||
Options (proceeds $4,637,240) | ||||||||
Foreign currency | (1,457,590 | ) | (2.30 | )% | ||||
Total options | (1,457,590 | ) | (2.30 | )% | ||||
Total derivative financial instruments | $ | (535,121 | ) | (0.84 | )% |
Description | Notional Amount | Fair Value | Percentage of Members’ Capital of Master Fund | |||||||||
Graham Global Monetary Policy LLC | ||||||||||||
Derivative financial instruments | ||||||||||||
Short contracts | ||||||||||||
Forwards | ||||||||||||
U.S. dollar / Chinese yuan 04/10/14 | CNY (943,950,000 | ) | $ | (3,224,579 | ) | (7.31 | )% | |||||
Other U.S. dollar / Chinese yuan 04/04/14 - 01/06/15 | 1,616,151 | 3.66 | % | |||||||||
U.S. dollar / South Korean won 04/10/14 - 04/28/14 | (2,383,309 | ) | (5.39 | )% | ||||||||
Other foreign currency | 865,760 | 1.96 | % | |||||||||
Total forwards | (3,125,977 | ) | (7.08 | )% | ||||||||
Options (proceeds $21,920,475) | ||||||||||||
Euro / Swiss franc 04/07/14 - 07/08/14, $1.24 - $1.27 Call | (641,288 | ) | (1.45 | )% | ||||||||
Euro / Swiss franc 01/23/14 - 03/27/14, $1.23 - $1.24 Call | (4,444,963 | ) | (10.06 | )% | ||||||||
Total options | (5,086,251 | ) | (11.51 | )% | ||||||||
Total derivative financial instruments | $ | 183,326 | 0.41 | % |
Description | Fair Value | Percentage of Net Assets of Master Fund | ||||||
Graham K4D Trading Ltd. | ||||||||
Derivative financial instruments | ||||||||
Long contracts | ||||||||
Futures | ||||||||
Commodity | $ | 4,807,122 | 3.25 | % | ||||
Currency | 1,709,431 | 1.16 | % | |||||
Foreign bond | 12,371,095 | 8.37 | % | |||||
Foreign index | (672,040 | ) | (0.45 | )% | ||||
Interest rate | 756,005 | 0.51 | % | |||||
U.S. bond | 2,185,603 | 1.48 | % | |||||
U.S. index | 3,743,520 | 2.53 | % | |||||
Total futures | 24,900,736 | 16.85 | % | |||||
Forwards | ||||||||
Foreign currency | 12,464,596 | 8.43 | % | |||||
Total forwards | 12,464,596 | 8.43 | % | |||||
Short contracts | ||||||||
Futures | ||||||||
Commodity | (1,582,503 | ) | (1.07 | )% | ||||
Currency | 507,784 | 0.34 | % | |||||
Foreign bond | (399,833 | ) | (0.27 | )% | ||||
Foreign index | 67,759 | 0.05 | % | |||||
Interest rate | 981,635 | 0.66 | % | |||||
U.S. bond | (1,065,051 | ) | (0.72 | )% | ||||
U.S. index | (14,742 | ) | (0.01 | )% | ||||
Total futures | (1,504,951 | ) | (1.02 | )% | ||||
Forwards | ||||||||
Foreign currency | (1,627,586 | ) | (1.10 | )% | ||||
Total forwards | (1,627,586 | ) | (1.10 | )% | ||||
Total derivative financial instruments | $ | 34,232,795 | 23.16 | % |
Description | Fair Value | Percentage of Net Assets of Master Fund | Number of Contracts | Fair Value | Percentage of Members’ Capital of Master Fund | |||||||||||||||
Graham K4D Trading Ltd. | ||||||||||||||||||||
Graham Macro Directional LLC | ||||||||||||||||||||
Derivative financial instruments | ||||||||||||||||||||
Long contracts | ||||||||||||||||||||
Futures | ||||||||||||||||||||
Soybeans May 2014 | $ | 7,096,907 | 5.98 | % | ||||||||||||||||
Other commodity | (4,145,597 | ) | (3.49 | )% | ||||||||||||||||
Currency | 64,725 | 0.05 | % | |||||||||||||||||
Foreign bond | 1,155,999 | 0.97 | % | |||||||||||||||||
Foreign index | 3,292,724 | 2.77 | % | |||||||||||||||||
Interest rate | (1,245,890 | ) | (1.05 | )% | ||||||||||||||||
U.S. bond | 844,446 | 0.71 | % | |||||||||||||||||
U.S. index | (1,094,385 | ) | (0.92 | )% | ||||||||||||||||
Australian 3-Year Bond September 2014 | 10,000 | $ | 3,114,323 | 6.58 | % | |||||||||||||||
Other foreign bond | 260,193 | 0.55 | % | |||||||||||||||||
U.S. 10-Year Note September 2014 | 13,500 | 8,971,078 | 18.93 | % | ||||||||||||||||
U.S. Long Bond September 2014 | 2,500 | 2,830,125 | 5.98 | % | ||||||||||||||||
Total futures | 5,968,929 | 5.02 | % | 15,175,719 | 32.04 | % | ||||||||||||||
Forwards | ||||||||||||||||||||
Foreign currency | (3,799,911 | ) | (3.20 | )% | 426,928 | 0.90 | % | |||||||||||||
Total forwards | (3,799,911 | ) | (3.20 | )% | 426,928 | 0.90 | % | |||||||||||||
Options (cost $237,250) | ||||||||||||||||||||
Commodity futures | 4,875 | 0.01 | % | |||||||||||||||||
U.S. bond futures | 62,500 | 0.13 | % | |||||||||||||||||
Total options | 67,375 | 0.14 | % | |||||||||||||||||
Short contracts | ||||||||||||||||||||
Futures | ||||||||||||||||||||
Commodity | 303,695 | 0.26 | % | |||||||||||||||||
Currency | (573,859 | ) | (0.48 | )% | ||||||||||||||||
Interest rate | (275,000 | ) | (0.58 | )% | ||||||||||||||||
Foreign bond | (289,656 | ) | (0.24 | )% | (49,363 | ) | (0.10 | )% | ||||||||||||
Foreign index | (2,392,423 | ) | (2.02 | )% | ||||||||||||||||
Interest rate | 558,028 | 0.47 | % | |||||||||||||||||
U.S. bond | (170,755 | ) | (0.14 | )% | ||||||||||||||||
Total futures | (2,564,970 | ) | (2.15 | )% | (324,363 | ) | (0.68 | )% | ||||||||||||
Forwards | ||||||||||||||||||||
Foreign currency | 629,113 | 0.53 | % | (789,928 | ) | (1.67 | )% | |||||||||||||
Total forwards | 629,113 | 0.53 | % | (789,928 | ) | (1.67 | )% | |||||||||||||
Total derivative financial instruments | $ | 233,161 | 0.20 | % | $ | 14,555,731 | 30.73 | % |
Graham Commodity Strategies LLC | Graham Macro Directional LLC | Graham Global Monetary Policy LLC | Graham K4D Trading Ltd. | Graham Commodity Strategies LLC | Graham Global Monetary Policy LLC | Graham K4D Trading Ltd. | Graham Macro Directional LLC | |||||||||||||||||||||||||
Assets | ||||||||||||||||||||||||||||||||
Level 1: | ||||||||||||||||||||||||||||||||
U.S. bond futures | $ | - | $ | 334,906 | $ | 616,170 | $ | 1,869,645 | $ | 313 | $ | 105,937 | $ | 2,385,135 | $ | 11,801,203 | ||||||||||||||||
U.S. bond futures options | - | - | - | 62,500 | ||||||||||||||||||||||||||||
Foreign bond futures | 34,132 | - | 465,268 | 1,910,110 | 159,142 | 890,312 | 12,371,095 | 3,374,516 | ||||||||||||||||||||||||
Foreign index futures | 370,215 | - | 153,731 | 3,427,772 | 95,033 | 591,147 | 2,012,391 | - | ||||||||||||||||||||||||
Foreign index futures options | 1,966,949 | - | - | - | - | - | - | - | ||||||||||||||||||||||||
U.S. index futures | - | - | 93,425 | 1,633,230 | 22,325 | 136,165 | 4,303,092 | - | ||||||||||||||||||||||||
U.S. index futures options | 3,300,000 | - | - | - | 313,750 | - | - | - | ||||||||||||||||||||||||
Commodity futures | 470,047 | 62,500 | 1,202,388 | 17,457,983 | 6,112,217 | 623,546 | 16,484,143 | - | ||||||||||||||||||||||||
Commodity futures options | 1,763,115 | 75,375 | - | - | 11,988,213 | - | - | 4,875 | ||||||||||||||||||||||||
Commodity swaps | 119,654 | - | - | - | 337,330 | - | - | - | ||||||||||||||||||||||||
Interest rate futures | 84,225 | - | 8,062,752 | 578,785 | 3,279,199 | 5,538,969 | 1,767,816 | - | ||||||||||||||||||||||||
Interest rate futures options | 15,256,325 | - | - | - | 6,645,991 | 234,375 | - | - | ||||||||||||||||||||||||
Currency futures | - | - | - | 110,588 | - | - | 3,398,600 | - | ||||||||||||||||||||||||
Total Level 1 | 23,364,662 | 472,781 | 10,593,734 | 26,988,113 | 28,953,513 | 8,120,451 | 42,722,272 | 15,243,094 | ||||||||||||||||||||||||
Level 2: | ||||||||||||||||||||||||||||||||
Foreign currency forwards | 9,990,689 | 739,873 | 8,253,594 | 6,115,406 | 5,408,132 | 2,383,003 | 12,940,117 | 426,928 | ||||||||||||||||||||||||
Foreign currency options | 32,772,594 | - | 2,558,190 | - | 21,080,972 | 1,279,939 | - | - | ||||||||||||||||||||||||
Interest rate swaps | 1,710,322 | - | - | - | 767,070 | - | - | - | ||||||||||||||||||||||||
Total Level 2 | 44,473,605 | 739,873 | 10,811,784 | 6,115,406 | 27,256,174 | 3,662,942 | 12,940,117 | 426,928 | ||||||||||||||||||||||||
Total investment related assets | $ | 67,838,267 | $ | 1,212,654 | $ | 21,405,518 | $ | 33,103,519 | $ | 56,209,687 | $ | 11,783,393 | $ | 55,662,389 | $ | 15,670,022 | ||||||||||||||||
Liabilities | ||||||||||||||||||||||||||||||||
Level 1: | ||||||||||||||||||||||||||||||||
U.S. bond futures | $ | - | $ | (535,890 | ) | $ | (55,156 | ) | $ | (1,195,954 | ) | $ | (1,348,172 | ) | $ | (205,000 | ) | $ | (1,264,583 | ) | $ | - | ||||||||||
Foreign bond futures | - | - | (88,036 | ) | (1,043,767 | ) | (34,668 | ) | (108,026 | ) | (399,833 | ) | (49,363 | ) | ||||||||||||||||||
Foreign index futures | - | - | (1,013,955 | ) | (2,527,471 | ) | (115,166 | ) | (148,943 | ) | (2,616,672 | ) | - | |||||||||||||||||||
U.S. index futures | (4,063 | ) | - | - | (2,727,615 | ) | (287,500 | ) | - | (574,314 | ) | - | ||||||||||||||||||||
U.S. index futures options | (1,950,000 | ) | - | - | - | - | - | - | - | |||||||||||||||||||||||
Commodity futures | (425,068 | ) | - | (95,135 | ) | (14,202,978 | ) | (4,691,610 | ) | (116,160 | ) | (13,259,524 | ) | - | ||||||||||||||||||
Commodity futures options | (1,032,938 | ) | - | - | - | (10,787,297 | ) | - | - | - | ||||||||||||||||||||||
Commodity swaps | (80,398 | ) | - | - | - | (476,884 | ) | - | - | - | ||||||||||||||||||||||
Interest rate futures | (105,625 | ) | - | (3,391,755 | ) | (1,266,647 | ) | (1,245,172 | ) | (6,842,196 | ) | (30,176 | ) | (275,000 | ) | |||||||||||||||||
Interest rate futures options | (7,934,383 | ) | - | - | - | (2,067,274 | ) | - | - | - | ||||||||||||||||||||||
Currency futures | - | - | - | (619,722 | ) | (92,701 | ) | - | (1,181,385 | ) | - | |||||||||||||||||||||
Total Level 1 | (11,532,475 | ) | (535,890 | ) | (4,644,037 | ) | (23,584,154 | ) | (21,146,444 | ) | (7,420,325 | ) | (19,326,487 | ) | (324,363 | ) | ||||||||||||||||
Level 2: | ||||||||||||||||||||||||||||||||
Foreign currency forwards | (7,106,930 | ) | (4,197,105 | ) | (11,491,904 | ) | (9,286,204 | ) | (3,465,914 | ) | (3,440,599 | ) | (2,103,107 | ) | (789,928 | ) | ||||||||||||||||
Foreign currency options | (12,414,818 | ) | - | (5,086,251 | ) | - | (7,677,095 | ) | (1,457,590 | ) | - | - | ||||||||||||||||||||
Interest rate swaps | (3,625,416 | ) | - | - | - | (2,847,093 | ) | - | - | - | ||||||||||||||||||||||
Total Level 2 | (23,147,164 | ) | (4,197,105 | ) | (16,578,155 | ) | (9,286,204 | ) | (13,990,102 | ) | (4,898,189 | ) | (2,103,107 | ) | (789,928 | ) | ||||||||||||||||
Total investment related liabilities | $ | (34,679,639 | ) | $ | (4,732,995 | ) | $ | (21,222,192 | ) | $ | (32,870,358 | ) | $ | (35,136,546 | ) | $ | (12,318,514 | ) | $ | (21,429,594 | ) | $ | (1,114,291 | ) |
Graham Commodity Strategies LLC | ||||||||||||||||||||||||
Long exposure | Short exposure | |||||||||||||||||||||||
Notional amounts | Number of contracts | Notional amounts | Number of contracts | Derivative Assets | Derivative Liabilities | |||||||||||||||||||
Commodity price | ||||||||||||||||||||||||
Futures | $ | 197,598,985 | 3,011 | $ | (157,139,915 | ) | (2,423 | ) | $ | 6,112,217 | $ | (4,691,610 | ) | |||||||||||
Options(a) | 164,355,845 | 10,675 | (122,669,795 | ) | (8,760 | ) | 11,988,213 | (10,787,297 | ) | |||||||||||||||
Swaps | 22,995,568 | 2,144 | (12,014,443 | ) | (2,226 | ) | 337,330 | (476,884 | ) | |||||||||||||||
384,950,398 | 15,830 | (291,824,153 | ) | (13,409 | ) | 18,437,760 | (15,955,791 | ) | ||||||||||||||||
Equity price | ||||||||||||||||||||||||
Futures | 85,171,633 | 2,110 | (110,215,192 | ) | (1,126 | ) | 117,358 | (402,666 | ) | |||||||||||||||
Options(a) | - | - | (19,705,606 | ) | (3,000 | ) | 313,750 | - | ||||||||||||||||
85,171,633 | 2,110 | (129,920,798 | ) | (4,126 | ) | 431,108 | (402,666 | ) | ||||||||||||||||
Foreign currency exchange rate | ||||||||||||||||||||||||
Forwards | 435,801,390 | N/A | (353,488,361 | ) | N/A | 5,408,132 | (3,465,914 | ) | ||||||||||||||||
Futures | 9,497,509 | 119 | - | - | - | (92,701 | ) | |||||||||||||||||
Options(a) | 1,073,767,000 | 57 | (1,632,972,000 | ) | (54 | ) | 21,080,972 | (7,677,095 | ) | |||||||||||||||
1,519,065,899 | 176 | (1,986,460,361 | ) | (54 | ) | 26,489,104 | (11,235,710 | ) | ||||||||||||||||
Interest rate | ||||||||||||||||||||||||
Futures | 4,727,274,877 | 19,580 | (3,177,250,491 | ) | (14,588 | ) | 3,438,654 | (2,628,012 | ) | |||||||||||||||
Options(a) | 1,556,616,282 | 67,625 | (1,142,631,049 | ) | (73,000 | ) | 6,645,991 | (2,067,274 | ) | |||||||||||||||
Swaps | 478,698,158 | 2 | (449,316,307 | ) | (3 | ) | 767,070 | (2,847,093 | ) | |||||||||||||||
6,762,589,317 | 87,207 | (4,769,197,847 | ) | (87,591 | ) | 10,851,715 | (7,542,379 | ) | ||||||||||||||||
Total | $ | 8,751,777,247 | 105,323 | $ | (7,177,403,159 | ) | (105,180 | ) | $ | 56,209,687 | $ | (35,136,546 | ) | |||||||||||
Aggregate fair value of derivative instruments subject to credit-risk related contingent features (as described in Note 2). | $ | (2,080,023 | ) |
Graham Commodity Strategies LLC | ||||||||||||||||||||||||
Long exposure | Short exposure | |||||||||||||||||||||||
Notional amounts | Number of contracts | Notional amounts | Number of contracts | Derivative Assets | Derivative Liabilities | |||||||||||||||||||
Commodity price | ||||||||||||||||||||||||
Futures | $ | 50,727,651 | 850 | $ | (24,188,463 | ) | (320 | ) | $ | 470,047 | $ | (425,068 | ) | |||||||||||
Options | 28,496,158 | 4,131 | (20,766,904 | ) | (4,225 | ) | 1,763,115 | (1,032,938 | ) | |||||||||||||||
Swaps | 7,423,579 | 1,057 | (997,200 | ) | (21 | ) | 119,654 | (80,398 | ) | |||||||||||||||
86,647,388 | 6,038 | (45,952,567 | ) | (4,566 | ) | 2,352,816 | (1,538,404 | ) | ||||||||||||||||
Equity price | ||||||||||||||||||||||||
Futures | 85,407,790 | 2,000 | (2,330,625 | ) | (25 | ) | 370,215 | (4,063 | ) | |||||||||||||||
Options(a) | 70,241,832 | 10,000 | (73,498,590 | ) | (6,000 | ) | 5,266,949 | (1,950,000 | ) | |||||||||||||||
155,649,622 | 12,000 | (75,829,215 | ) | (6,025 | ) | 5,637,164 | (1,954,063 | ) | ||||||||||||||||
Foreign currency exchange rate | ||||||||||||||||||||||||
Forwards | 756,545,366 | N/A | (962,151,995 | ) | N/A | 9,990,689 | (7,106,930 | ) | ||||||||||||||||
Options(a) | 1,831,886,402 | 63 | (1,120,332,500 | ) | (55 | ) | 32,772,594 | (12,414,818 | ) | |||||||||||||||
2,588,431,768 | 63 | (2,082,484,495 | ) | (55 | ) | 42,763,283 | (19,521,748 | ) | ||||||||||||||||
Interest rate | ||||||||||||||||||||||||
Futures | 322,759,051 | 1,461 | (633,888,735 | ) | (2,781 | ) | 118,357 | (105,625 | ) | |||||||||||||||
Options(a) | 1,041,633,969 | 39,500 | (2,129,764,912 | ) | (43,000 | ) | 15,256,325 | (7,934,383 | ) | |||||||||||||||
Swaps | 467,116,581 | 2 | (438,445,591 | ) | (3 | ) | 1,710,322 | (3,625,416 | ) | |||||||||||||||
1,831,509,601 | 40,963 | (3,202,099,238 | ) | (45,784 | ) | 17,085,004 | (11,665,424 | ) | ||||||||||||||||
Total | $ | 4,662,238,379 | 59,064 | $ | (5,406,365,515 | ) | (56,430 | ) | $ | 67,838,267 | $ | (34,679,639 | ) | |||||||||||
Aggregate fair value of derivative instruments subject to credit-risk related contingent features (as described in Note 2). | $ | (1,915,094 | ) |
(a) | Notional amounts for options are based on the delta-adjusted positions. |
Graham Global Monetary Policy LLC | ||||||||||||||||||||||||
Long exposure | Short exposure | |||||||||||||||||||||||
Notional amounts | Number of contracts | Notional amounts | Number of contracts | Derivative Assets | Derivative Liabilities | |||||||||||||||||||
Commodity price | ||||||||||||||||||||||||
Futures | $ | 45,089,135 | 426 | $ | (7,522,125 | ) | (130 | ) | $ | 623,546 | $ | (116,160 | ) | |||||||||||
45,089,135 | 426 | (7,522,125 | ) | (130 | ) | 623,546 | (116,160 | ) | ||||||||||||||||
Equity price | ||||||||||||||||||||||||
Futures | 27,734,778 | 231 | (75,234,155 | ) | (1,005 | ) | 727,312 | (148,943 | ) | |||||||||||||||
27,734,778 | 231 | (75,234,155 | ) | (1,005 | ) | 727,312 | (148,943 | ) | ||||||||||||||||
Foreign currency exchange rate | ||||||||||||||||||||||||
Forwards | 446,619,900 | N/A | (173,841,319 | ) | N/A | 2,383,003 | (3,440,599 | ) | ||||||||||||||||
Options(a) | 289,673,150 | 21 | (87,908,900 | ) | (15 | ) | 1,279,939 | (1,457,590 | ) | |||||||||||||||
736,293,050 | 21 | (261,750,219 | ) | (15 | ) | 3,662,942 | (4,898,189 | ) | ||||||||||||||||
Interest rate | ||||||||||||||||||||||||
Futures | 5,386,662,834 | 23,160 | (12,219,862,509 | ) | (44,710 | ) | 6,535,218 | (7,155,222 | ) | |||||||||||||||
Options(a) | - | - | (258,433,874 | ) | (7,500 | ) | 234,375 | - | ||||||||||||||||
5,386,662,834 | 23,160 | (12,478,296,383 | ) | (52,210 | ) | 6,769,593 | (7,155,222 | ) | ||||||||||||||||
Total | $ | 6,195,779,797 | 23,838 | $ | (12,822,802,882 | ) | (53,360 | ) | $ | 11,783,393 | $ | (12,318,514 | ) |
Graham Macro Directional LLC | ||||||||||||||||||||||||
Long exposure | Short exposure | |||||||||||||||||||||||
Notional amounts | Number of contracts | Notional amounts | Number of contracts | Derivative Assets | Derivative Liabilities | |||||||||||||||||||
Commodity price | ||||||||||||||||||||||||
Futures | $ | 5,020,000 | 200 | $ | - | - | $ | 62,500 | $ | - | ||||||||||||||
Options | 654,609 | 80 | - | - | 75,375 | - | ||||||||||||||||||
5,674,609 | 280 | - | - | 137,875 | - | |||||||||||||||||||
Foreign currency exchange rate | ||||||||||||||||||||||||
Forwards | 170,739,872 | N/A | (444,197,105 | ) | N/A | 739,873 | (4,197,105 | ) | ||||||||||||||||
170,739,872 | N/A | (444,197,105 | ) | N/A | 739,873 | (4,197,105 | ) | |||||||||||||||||
Interest rate | ||||||||||||||||||||||||
Futures | 79,457,813 | 550 | (304,757,906 | ) | (2,562 | ) | 334,906 | (535,890 | ) | |||||||||||||||
79,457,813 | 550 | (304,757,906 | ) | (2,562 | ) | 334,906 | (535,890 | ) | ||||||||||||||||
Total | $ | 255,872,294 | 830 | $ | (748,955,011 | ) | (2,562 | ) | $ | 1,212,654 | $ | (4,732,995 | ) |
(a) | Notional amounts for options are based on the delta-adjusted positions. |
Graham Global Monetary Policy LLC | ||||||||||||||||||||||||
Long exposure | Short exposure | |||||||||||||||||||||||
Notional amounts | Number of contracts | Notional amounts | Number of contracts | Derivative Assets | Derivative Liabilities | |||||||||||||||||||
Commodity price | ||||||||||||||||||||||||
Futures | $ | 32,328,500 | 350 | $ | (16,777,425 | ) | (205 | ) | $ | 1,202,388 | $ | (95,135 | ) | |||||||||||
32,328,500 | 350 | (16,777,425 | ) | (205 | ) | 1,202,388 | (95,135 | ) | ||||||||||||||||
Equity price | ||||||||||||||||||||||||
Futures | 57,108,265 | 710 | (95,758,687 | ) | (900 | ) | 247,156 | (1,013,955 | ) | |||||||||||||||
57,108,265 | 710 | (95,758,687 | ) | (900 | ) | 247,156 | (1,013,955 | ) | ||||||||||||||||
Foreign currency exchange rate | ||||||||||||||||||||||||
Forwards | 908,104,736 | N/A | (943,694,798 | ) | N/A | 8,253,594 | (11,491,904 | ) | ||||||||||||||||
Options(a) | 517,225,100 | 33 | (62,878,900 | ) | (21 | ) | 2,558,190 | (5,086,251 | ) | |||||||||||||||
1,425,329,836 | 33 | (1,006,573,698 | ) | (21 | ) | 10,811,784 | (16,578,155 | ) | ||||||||||||||||
Interest rate | ||||||||||||||||||||||||
Futures | 11,254,167,684 | 47,385 | (6,121,572,968 | ) | (24,975 | ) | 9,144,190 | (3,534,947 | ) | |||||||||||||||
11,254,167,684 | 47,385 | (6,121,572,968 | ) | (24,975 | ) | 9,144,190 | (3,534,947 | ) | ||||||||||||||||
Total | $ | 12,768,934,285 | 48,478 | $ | (7,240,682,778 | ) | (26,101 | ) | $ | 21,405,518 | $ | (21,222,192 | ) |
Graham K4D Trading Ltd. | ||||||||||||||||||||||||
Long exposure | Short exposure | |||||||||||||||||||||||
Notional amounts | Number of contracts | Notional amounts | Number of contracts | Derivative Assets | Derivative Liabilities | |||||||||||||||||||
Commodity price | ||||||||||||||||||||||||
Futures | $ | 731,628,735 | 9,238 | $ | (337,811,479 | ) | (7,273 | ) | $ | 16,484,143 | $ | (13,259,524 | ) | |||||||||||
731,628,735 | 9,238 | (337,811,479 | ) | (7,273 | ) | 16,484,143 | (13,259,524 | ) | ||||||||||||||||
Equity price | ||||||||||||||||||||||||
Futures | 1,220,319,016 | 12,136 | (40,351,775 | ) | (534 | ) | 6,315,483 | (3,190,986 | ) | |||||||||||||||
1,220,319,016 | 12,136 | (40,351,775 | ) | (534 | ) | 6,315,483 | (3,190,986 | ) | ||||||||||||||||
Foreign currency exchange rate | ||||||||||||||||||||||||
Forwards | 1,307,237,498 | N/A | (277,478,007 | ) | N/A | 12,940,117 | (2,103,107 | ) | ||||||||||||||||
Futures | 122,517,933 | 1,104 | (211,242,434 | ) | (2,316 | ) | 3,398,600 | (1,181,385 | ) | |||||||||||||||
1,429,755,431 | 1,104 | (488,720,441 | ) | (2,316 | ) | 16,338,717 | (3,284,492 | ) | ||||||||||||||||
Interest rate | ||||||||||||||||||||||||
Futures | 6,138,643,264 | 29,439 | (1,479,072,400 | ) | (8,072 | ) | 16,524,046 | (1,694,592 | ) | |||||||||||||||
6,138,643,264 | 29,439 | (1,479,072,400 | ) | (8,072 | ) | 16,524,046 | (1,694,592 | ) | ||||||||||||||||
Total | $ | 9,520,346,446 | 51,917 | $ | (2,345,956,095 | ) | (18,195 | ) | $ | 55,662,389 | $ | (21,429,594 | ) |
Graham Macro Directional LLC | ||||||||||||||||||||||||
Long exposure | Short exposure | |||||||||||||||||||||||
Notional amounts | Number of contracts | Notional amounts | Number of contracts | Derivative Assets | Derivative Liabilities | |||||||||||||||||||
Commodity price | ||||||||||||||||||||||||
Options(a) | $ | 63,546 | 60 | $ | - | - | $ | 4,875 | $ | - | ||||||||||||||
63,546 | 60 | - | - | 4,875 | - | |||||||||||||||||||
Foreign currency exchange rate | ||||||||||||||||||||||||
Forwards | 26,241,928 | N/A | (26,241,928 | ) | N/A | 426,928 | (789,928 | ) | ||||||||||||||||
26,241,928 | N/A | (26,241,928 | ) | N/A | 426,928 | (789,928 | ) | |||||||||||||||||
Interest rate | ||||||||||||||||||||||||
Futures | 3,155,385,421 | 26,450 | (567,221,812 | ) | (2,050 | ) | 15,175,719 | (324,363 | ) | |||||||||||||||
Options(a) | - | - | (20,321,654 | ) | (2,000 | ) | 62,500 | - | ||||||||||||||||
3,155,385,421 | 26,450 | (587,543,466 | ) | (4,050 | ) | 15,238,219 | (324,363 | ) | ||||||||||||||||
Total | $ | 3,181,690,895 | 26,510 | $ | (613,785,394 | ) | (4,050 | ) | $ | 15,670,022 | $ | (1,114,291 | ) |
Graham K4D Trading Ltd. | ||||||||||||||||||||||||
Long exposure | Short exposure | |||||||||||||||||||||||
Notional amounts | Number of contracts | Notional amounts | Number of contracts | Derivative Assets | Derivative Liabilities | |||||||||||||||||||
Commodity price | ||||||||||||||||||||||||
Futures | $ | 397,800,532 | 5,742 | $ | (357,626,833 | ) | (5,685 | ) | $ | 17,457,983 | $ | (14,202,978 | ) | |||||||||||
397,800,532 | 5,742 | (357,626,833 | ) | (5,685 | ) | 17,457,983 | (14,202,978 | ) | ||||||||||||||||
Equity price | ||||||||||||||||||||||||
Futures | 580,690,508 | 6,031 | (120,395,760 | ) | (1,251 | ) | 5,061,002 | (5,255,086 | ) | |||||||||||||||
580,690,508 | 6,031 | (120,395,760 | ) | (1,251 | ) | 5,061,002 | (5,255,086 | ) | ||||||||||||||||
Foreign currency exchange rate | ||||||||||||||||||||||||
Forwards | 1,111,552,643 | N/A | (654,565,766 | ) | N/A | 6,115,406 | (9,286,204 | ) | ||||||||||||||||
Futures | 19,681,988 | 189 | (137,226,036 | ) | (1,633 | ) | 110,588 | (619,722 | ) | |||||||||||||||
1,131,234,631 | 189 | (791,791,802 | ) | (1,633 | ) | 6,225,994 | (9,905,926 | ) | ||||||||||||||||
Interest rate | ||||||||||||||||||||||||
Futures | 4,470,819,663 | 19,784 | (1,371,156,208 | ) | (7,876 | ) | 4,358,540 | (3,506,368 | ) | |||||||||||||||
4,470,819,663 | 19,784 | (1,371,156,208 | ) | (7,876 | ) | 4,358,540 | (3,506,368 | ) | ||||||||||||||||
Total | $ | 6,580,545,334 | 31,746 | $ | (2,640,970,603 | ) | (16,445 | ) | $ | 33,103,519 | $ | (32,870,358 | ) |
(a) | Notional amounts for options are based on the delta-adjusted positions. |
Description | Gross Amount | Gross Amount Offset in the Statements of Financial Condition | Net Amount Presented in the Statements of Financial Condition | Collateral (Received) / Pledged | Net Amount | Gross Amount | Gross Amount Offset in the Statements of Financial Condition | Net Amount Presented in the Statements of Financial Condition | Collateral (Received) / Pledged | Net Amount | ||||||||||||||||||||||||||||||
Graham Commodity Strategies LLC1 | ||||||||||||||||||||||||||||||||||||||||
Derivative assets | $ | 67,838,267 | $ | (34,679,639 | ) | $ | 33,158,628 | $ | - | $ | 33,158,628 | $ | 56,209,687 | $ | (33,362,989 | ) | $ | 22,846,698 | $ | - | $ | 22,846,698 | ||||||||||||||||||
Derivative liabilities | (34,679,639 | ) | 34,679,639 | - | - | - | (35,136,546 | ) | 33,362,989 | (1,773,557 | ) | 1,773,557 | - | |||||||||||||||||||||||||||
Graham Macro Directional LLC2 | ||||||||||||||||||||||||||||||||||||||||
Graham Global Monetary Policy LLC2 | ||||||||||||||||||||||||||||||||||||||||
Derivative assets | 1,212,654 | (1,212,654 | ) | - | - | - | 11,783,393 | (11,083,267 | ) | 700,126 | - | 700,126 | ||||||||||||||||||||||||||||
Derivative liabilities | (4,732,995 | ) | 1,212,654 | (3,520,341 | ) | 3,520,341 | - | (12,318,514 | ) | 11,083,267 | (1,235,247 | ) | 1,235,247 | - | ||||||||||||||||||||||||||
Graham Global Monetary Policy LLC3 | ||||||||||||||||||||||||||||||||||||||||
Graham K4D Trading Ltd.3 | ||||||||||||||||||||||||||||||||||||||||
Derivative assets | 21,405,518 | (12,701,683 | ) | 8,703,835 | - | 8,703,835 | 55,662,389 | (21,429,594 | ) | 34,232,795 | - | 34,232,795 | ||||||||||||||||||||||||||||
Derivative liabilities | (21,222,192 | ) | 12,701,683 | (8,520,509 | ) | 8,520,509 | - | (21,429,594 | ) | 21,429,594 | - | - | - | |||||||||||||||||||||||||||
Graham K4D Trading Ltd.4 | ||||||||||||||||||||||||||||||||||||||||
Graham Macro Directional LLC 4 | ||||||||||||||||||||||||||||||||||||||||
Derivative assets | 33,103,519 | (29,699,560 | ) | 3,403,959 | - | 3,403,959 | 15,670,022 | (751,291 | ) | 14,918,731 | - | 14,918,731 | ||||||||||||||||||||||||||||
Derivative liabilities | (32,870,358 | ) | 29,699,560 | (3,170,798 | ) | 3,170,798 | - | (1,114,291 | ) | 751,291 | (363,000 | ) | 363,000 | - |
Graham Commodity Strategies LLC | Graham Macro Directional LLC | Graham Global Monetary Policy LLC | Graham K4D Trading Ltd. | |||||||||||||
Net investment loss | $ | (16,904 | ) | $ | (2,706 | ) | $ | (15,351 | ) | $ | (29,712 | ) | ||||
Net realized loss on investments | (60,677,901 | ) | (33,954,795 | ) | (29,906,674 | ) | (49,207,734 | ) | ||||||||
Net decrease in unrealized appreciation on investments | (24,823,212 | ) | (23,189,213 | ) | (18,555,113 | ) | (41,552,938 | ) | ||||||||
Brokerage commissions and fees | (2,696,906 | ) | (302,725 | ) | (1,684,300 | ) | (336,253 | ) | ||||||||
Net loss on investments | (88,198,019 | ) | (57,446,733 | ) | (50,146,087 | ) | (91,096,925 | ) | ||||||||
Net loss | $ | (88,214,923 | ) | $ | (57,449,439 | ) | $ | (50,161,438 | ) | $ | (91,126,637 | ) |
Three Months Ended June 30, 2014 | ||||||||||||||||
Graham Commodity Strategies LLC | Graham Global Monetary Policy LLC | Graham K4D Trading Ltd. | Graham Macro Directional LLC | |||||||||||||
Net investment loss | $ | (8,263 | ) | $ | (4,838 | ) | $ | (9,122 | ) | $ | (6,594 | ) | ||||
Net realized gain (loss) on investments | (17,770,582 | ) | (24,442,350 | ) | 30,579,837 | (51,380,248 | ) | |||||||||
Net increase (decrease) in unrealized appreciation on investments | (21,318,667 | ) | (8,041,306 | ) | 33,961,241 | 13,556,276 | ||||||||||
Brokerage commissions and fees | (2,410,821 | ) | (1,348,581 | ) | (276,260 | ) | (575,164 | ) | ||||||||
Net gain (loss) on investments | (41,500,070 | ) | (33,832,237 | ) | 64,264,818 | (38,399,136 | ) | |||||||||
Net income (loss) | $ | (41,508,333 | ) | $ | (33,837,075 | ) | $ | 64,255,696 | $ | (38,405,730 | ) |
Six Months Ended June 30, 2014 | ||||||||||||||||
Graham Commodity Strategies LLC | Graham Global Monetary Policy LLC | Graham K4D Trading Ltd. | Graham Macro Directional LLC | |||||||||||||
Net investment loss | $ | (25,167 | ) | $ | (20,189 | ) | $ | (38,834 | ) | $ | (9,300 | ) | ||||
Net realized loss on investments | (78,448,483 | ) | (54,349,024 | ) | (18,627,897 | ) | (85,335,043 | ) | ||||||||
Net decrease in unrealized appreciation on investments | (46,141,879 | ) | (26,596,419 | ) | (7,591,697 | ) | (9,632,937 | ) | ||||||||
Brokerage commissions and fees | (5,107,727 | ) | (3,032,881 | ) | (612,513 | ) | (877,889 | ) | ||||||||
Net loss on investments | (129,698,089 | ) | (83,978,324 | ) | (26,832,107 | ) | (95,845,869 | ) | ||||||||
Net loss | $ | (129,723,256 | ) | $ | (83,998,513 | ) | $ | (26,870,941 | ) | $ | (95,855,169 | ) |
Graham Commodity Strategies LLC | Graham Global Monetary Policy LLC | Graham K4D Trading Ltd. | Graham Macro Directional LLC | |||||||||||||
Commodity price | ||||||||||||||||
Futures | $ | (669,971 | ) | $ | (2,077,230 | ) | $ | (12,054,748 | ) | $ | (748,235 | ) | ||||
Options | 6,784,110 | - | - | (70,500 | ) | |||||||||||
Swaps | 1,189,119 | - | - | - | ||||||||||||
7,303,258 | (2,077,230 | ) | (12,054,748 | ) | (818,735 | ) | ||||||||||
Equity price | ||||||||||||||||
Equities | (69,800 | ) | - | 64,000 | - | |||||||||||
Futures | (1,494,509 | ) | (9,539,809 | ) | 27,809,919 | (1,790,835 | ) | |||||||||
Options | (9,955,785 | ) | - | - | - | |||||||||||
(11,520,094 | ) | (9,539,809 | ) | 27,873,919 | (1,790,835 | ) | ||||||||||
Foreign currency exchange rate | ||||||||||||||||
Forwards | (8,864,052 | ) | 1,995,771 | 4,838,703 | (34,460,893 | ) | ||||||||||
Futures | 347,869 | - | 1,025,685 | - | ||||||||||||
Options | (24,970,474 | ) | (1,425,623 | ) | - | (977,482 | ) | |||||||||
(33,486,657 | ) | 570,148 | 5,864,388 | (35,438,375 | ) | |||||||||||
Interest rate | ||||||||||||||||
Futures | 6,235,283 | (18,698,482 | ) | 42,857,519 | (71,340 | ) | ||||||||||
Options | (8,923,023 | ) | (2,738,283 | ) | - | 295,313 | ||||||||||
Swaps | 1,301,984 | - | - | - | ||||||||||||
(1,385,756 | ) | (21,436,765 | ) | 42,857,519 | 223,973 | |||||||||||
Total | $ | (39,089,249 | ) | $ | (32,483,656 | ) | $ | 64,541,078 | $ | (37,823,972 | ) |
Graham Commodity Strategies LLC | Graham Macro Directional LLC | Graham Global Monetary Policy LLC | Graham K4D Trading Ltd. | Graham Commodity Strategies LLC | Graham Global Monetary Policy LLC | Graham K4D Trading Ltd. | Graham Macro Directional LLC | |||||||||||||||||||||||||
Commodity price | ||||||||||||||||||||||||||||||||
Futures | $ | (10,973,148 | ) | $ | 2,779,058 | $ | (870,593 | ) | $ | (60,129,414 | ) | $ | (11,643,119 | ) | $ | (2,947,823 | ) | $ | (72,184,162 | ) | $ | 2,030,823 | ||||||||||
Options | (1,226,372 | ) | 136,906 | - | - | 5,557,738 | - | - | 66,406 | |||||||||||||||||||||||
Swaps | (1,928,127 | ) | - | - | - | (739,008 | ) | - | - | - | ||||||||||||||||||||||
(14,127,647 | ) | 2,915,964 | (870,593 | ) | (60,129,414 | ) | (6,824,389 | ) | (2,947,823 | ) | (72,184,162 | ) | 2,097,229 | |||||||||||||||||||
Equity price | ||||||||||||||||||||||||||||||||
Equities | (166,000 | ) | - | - | (24,250 | ) | (235,800 | ) | - | 39,750 | - | |||||||||||||||||||||
Futures | 3,048,083 | (5,305,578 | ) | (15,944,671 | ) | (43,952,520 | ) | 1,553,574 | (25,484,480 | ) | (16,142,601 | ) | (7,096,413 | ) | ||||||||||||||||||
Options | (8,422,645 | ) | - | - | - | (18,378,430 | ) | - | - | - | ||||||||||||||||||||||
(5,540,562 | ) | (5,305,578 | ) | (15,944,671 | ) | (43,976,770 | ) | (17,060,656 | ) | (25,484,480 | ) | (16,102,851 | ) | (7,096,413 | ) | |||||||||||||||||
Foreign currency exchange rate | ||||||||||||||||||||||||||||||||
Forwards | 12,431,877 | (45,345,490 | ) | (38,464,833 | ) | 12,128,452 | 3,567,825 | (36,469,062 | ) | 16,967,155 | (79,806,383 | ) | ||||||||||||||||||||
Futures | - | - | - | (2,625,688 | ) | 347,869 | - | (1,600,003 | ) | - | ||||||||||||||||||||||
Options | (64,812,433 | ) | (911,824 | ) | 6,927,752 | - | (89,782,907 | ) | 5,502,129 | - | (1,889,306 | ) | ||||||||||||||||||||
(52,380,556 | ) | (46,257,314 | ) | (31,537,081 | ) | 9,502,764 | (85,867,213 | ) | (30,966,933 | ) | 15,367,152 | (81,695,689 | ) | |||||||||||||||||||
Interest rate | ||||||||||||||||||||||||||||||||
Futures | (10,030,331 | ) | (8,497,080 | ) | 522,417 | 3,842,748 | (3,795,048 | ) | (18,176,065 | ) | 46,700,267 | (8,568,420 | ) | |||||||||||||||||||
Options | 178,223 | - | (631,859 | ) | - | (8,744,800 | ) | (3,370,142 | ) | - | 295,313 | |||||||||||||||||||||
Swaps | (3,600,240 | ) | - | - | - | (2,298,256 | ) | - | - | - | ||||||||||||||||||||||
(13,452,348 | ) | (8,497,080 | ) | (109,442 | ) | 3,842,748 | (14,838,104 | ) | (21,546,207 | ) | 46,700,267 | (8,273,107 | ) | |||||||||||||||||||
Total | $ | (85,501,113 | ) | $ | (57,144,008 | ) | $ | (48,461,787 | ) | $ | (90,760,672 | ) | $ | (124,590,362 | ) | $ | (80,945,443 | ) | $ | (26,219,594 | ) | $ | (94,967,980 | ) |
Graham Commodity Strategies LLC (Delaware) | Graham Global Monetary Policy LLC (Delaware) | Graham K4D Trading Ltd. (BVI) | ||||||||||
Assets: | ||||||||||||
Due from brokers | $ | 129,230,754 | $ | 102,705,866 | $ | 127,824,315 | ||||||
Derivative financial instruments, at fair value | 80,129,304 | 13,304,071 | 41,566,974 | |||||||||
Exchange membership, at fair value | 2,794,300 | - | 854,250 | |||||||||
Dividends receivable | 64,050 | - | - | |||||||||
Other assets | - | 118 | - | |||||||||
Total assets | 212,218,408 | 116,010,055 | 170,245,539 | |||||||||
Liabilities: | ||||||||||||
Derivative financial instruments, at fair value | - | 9,593,764 | - | |||||||||
Total liabilities | - | 9,593,764 | - | |||||||||
Net assets | $ | 212,218,408 | $ | 106,416,291 | $ | 170,245,539 | ||||||
Percentage of Master Fund held by GAIT | 5.51 | % | 5.20 | % | 9.71 | % |
Graham Commodity Strategies LLC (Delaware) | Graham Global Monetary Policy LLC (Delaware) | Graham K4D Trading Ltd. (BVI) | ||||||||||
Assets: | ||||||||||||
Due from brokers | $ | 129,230,754 | $ | 102,705,866 | $ | 127,824,315 | ||||||
Derivative financial instruments, at fair value | 80,129,304 | 13,304,071 | 41,566,974 | |||||||||
Exchange membership, at fair value | 2,794,300 | - | 854,250 | |||||||||
Dividends receivable | 64,050 | - | - | |||||||||
Other assets | - | 118 | - | |||||||||
Total assets | 212,218,408 | 116,010,055 | 170,245,539 | |||||||||
Liabilities: | ||||||||||||
Derivative financial instruments, at fair value | - | 9,593,764 | - | |||||||||
Total liabilities | - | 9,593,764 | - | |||||||||
Net assets | $ | 212,218,408 | $ | 106,416,291 | $ | 170,245,539 | ||||||
Percentage of Master Fund held by GAIT | 5.51 | % | 5.20 | % | 9.71 | % |
Description | Notional Amount / Number of Contracts | Fair Value | Percentage of Members’ Capital of Master Fund | Notional Amount / Number of Contracts | Fair Value | Percentage of Members’ Capital of Master Fund | ||||||||||||||||||
Graham Commodity Strategies LLC | ||||||||||||||||||||||||
Derivative financial instruments | ||||||||||||||||||||||||
Long contracts | ||||||||||||||||||||||||
Futures | ||||||||||||||||||||||||
Commodity | $ | (53,020 | ) | (0.02 | )% | $ | (53,020 | ) | (0.02 | )% | ||||||||||||||
Foreign bond | (336,590 | ) | (0.16 | )% | (336,590 | ) | (0.16 | )% | ||||||||||||||||
Foreign index | 331,430 | 0.16 | % | 331,430 | 0.16 | % | ||||||||||||||||||
Interest rate | (223,204 | ) | (0.11 | )% | (223,204 | ) | (0.11 | )% | ||||||||||||||||
U.S. bond | (230,703 | ) | (0.11 | )% | (230,703 | ) | (0.11 | )% | ||||||||||||||||
Total futures | (512,087 | ) | (0.24 | )% | (512,087 | ) | (0.24 | )% | ||||||||||||||||
Swaps | ||||||||||||||||||||||||
Interest rate | (1,938,332 | ) | (0.91 | )% | (1,938,332 | ) | (0.91 | )% | ||||||||||||||||
Total swaps | (1,938,332 | ) | (0.91 | )% | (1,938,332 | ) | (0.91 | )% | ||||||||||||||||
Forwards | ||||||||||||||||||||||||
Japanese Yen / U.S. dollar 01/15/14 | JPY 285,467,229,820 | (14,084,520 | ) | (6.64 | )% | |||||||||||||||||||
Other Japanese Yen / U.S. dollar 01/06/14 – 01/07/14 | (4,784,084 | ) | (2.25 | )% | ||||||||||||||||||||
Japanese yen / U.S. dollar 01/15/14 | JPY 285,467,229,820 | (14,084,520 | ) | (6.64 | )% | |||||||||||||||||||
Other Japanese yen / U.S. dollar 01/06/14 – 01/07/14 | (4,784,084 | ) | (2.25 | )% | ||||||||||||||||||||
Other foreign currency | 12,395,703 | 5.84 | % | 12,395,703 | 5.84 | % | ||||||||||||||||||
Total forwards | (6,472,901 | ) | (3.05 | )% | (6,472,901 | ) | (3.05 | )% | ||||||||||||||||
Options (cost $79,741,153) | ||||||||||||||||||||||||
U.S. dollar / Chinese yuan 03/07/14, $6.23 Put | 4 | 11,882,525 | 5.60 | % | 4 | 11,882,525 | 5.60 | % | ||||||||||||||||
U.S. dollar / Chinese yuan 03/07/14, $6.30 Put | 3 | 12,413,547 | 5.85 | % | 3 | 12,413,547 | 5.85 | % | ||||||||||||||||
U.S. dollar / Chinese yuan 03/07/14 - 06/04/14, $6.10 - $6.18 Put | 6 | 10,914,033 | 5.14 | % | 6 | 10,914,033 | 5.14 | % | ||||||||||||||||
Other U.S. dollar / Chinese yuan 03/07/14 - 12/31/14, $6.10 - $6.17 Put | 9,123,219 | 4.30 | % | 9,123,219 | 4.30 | % | ||||||||||||||||||
U.S. dollar / Japanese yen 01/10/14, $101.00 Call | 2 | 12,299,882 | 5.80 | % | ||||||||||||||||||||
U.S. dollar / Japanese yen 04/08/14, $101.00 Call | 1 | 11,919,922 | 5.62 | % | ||||||||||||||||||||
U.S. dollar / Japanese yen 04/08/14, $104.00 Call | 1 | 13,654,530 | 6.43 | % | ||||||||||||||||||||
U.S. dollar / Japanese yen 01/10/14, $101 Call | 2 | 12,299,882 | 5.80 | % | ||||||||||||||||||||
U.S. dollar / Japanese yen 04/08/14, $101 Call | 1 | 11,919,922 | 5.62 | % | ||||||||||||||||||||
U.S. dollar / Japanese yen 04/08/14, $104 Call | 1 | 13,654,530 | 6.43 | % | ||||||||||||||||||||
Other U.S. dollar / Japanese yen 01/17/14 - 11/10/14, $102.50 - $123.00 Call | 22,120,836 | 10.42 | % | 22,120,836 | 10.42 | % | ||||||||||||||||||
Other U.S. dollar / Japanese yen 01/02/14 - 01/06/14, $103.00 Put | 29,469 | 0.01 | % | 29,469 | 0.01 | % | ||||||||||||||||||
Other currency | 12,463,768 | 5.87 | % | 12,463,768 | 5.87 | % | ||||||||||||||||||
Foreign bond futures | 206,193 | 0.10 | % | 206,193 | 0.10 | % | ||||||||||||||||||
Foreign index futures | 3,813,777 | 1.80 | % | 3,813,777 | 1.80 | % | ||||||||||||||||||
U.S. bond futures | 781,250 | 0.37 | % | 781,250 | 0.37 | % | ||||||||||||||||||
U.S. index futures | 3,250,000 | 1.53 | % | 3,250,000 | 1.53 | % | ||||||||||||||||||
Total options | 124,872,951 | 58.84 | % | 124,872,951 | 58.84 | % |
Description | Notional Amount / Number of Contracts | Fair Value | Percentage of Members’ Capital of Master Fund | Notional Amount / Number of Contracts | Fair Value | Percentage of Members’ Capital of Master Fund | ||||||||||||||||||
Graham Commodity Strategies LLC (continued) | ||||||||||||||||||||||||
Derivative financial instruments (continued) | ||||||||||||||||||||||||
Short contracts | ||||||||||||||||||||||||
Futures | ||||||||||||||||||||||||
Commodity | $ | 552,040 | 0.26 | % | $ | 552,040 | 0.26 | % | ||||||||||||||||
Foreign bond | 87,993 | 0.04 | % | 87,993 | 0.04 | % | ||||||||||||||||||
Interest rate | 6,976 | 0.00 | % | 6,976 | 0.00 | % | ||||||||||||||||||
U.S. bond | (171,875 | ) | (0.08 | )% | (171,875 | ) | (0.08 | )% | ||||||||||||||||
Total futures | 475,134 | 0.22 | % | 475,134 | 0.22 | % | ||||||||||||||||||
Swaps | ||||||||||||||||||||||||
Interest rate | 360,353 | 0.17 | % | 360,353 | 0.17 | % | ||||||||||||||||||
Total swaps | 360,353 | 0.17 | % | 360,353 | 0.17 | % | ||||||||||||||||||
Forwards | ||||||||||||||||||||||||
U.S. dollar / Japanese Yen 01/15/14 | JPY (499,475,915,640) | 33,411,262 | 15.74 | % | ||||||||||||||||||||
Other U.S. dollar / Japanese Yen 01/06/14 – 01/07/14 | 5,444,684 | 2.57 | % | |||||||||||||||||||||
U.S. dollar / Japanese yen 01/15/14 | JPY(499,475,915,640) | 33,411,262 | 15.74 | % | ||||||||||||||||||||
Other U.S. dollar / Japanese yen 01/06/14 – 01/07/14 | 5,444,684 | 2.57 | % | |||||||||||||||||||||
Other foreign currency | (5,523,223 | ) | (2.60 | )% | (5,523,223 | ) | (2.60 | )% | ||||||||||||||||
Total forwards | 33,332,723 | 15.71 | % | 33,332,723 | 15.71 | % | ||||||||||||||||||
Options (proceeds $50,564,049) | ||||||||||||||||||||||||
U.S. dollar / Chinese yuan 03/07/14, $6.23 Put | (4 | ) | (11,882,525 | ) | (5.60 | )% | (4) | (11,882,525 | ) | (5.60 | )% | |||||||||||||
U.S. dollar / Chinese yuan 03/07/14, $6.30 Put | (4 | ) | (12,413,547 | ) | (5.85 | )% | (4) | (12,413,547 | ) | (5.85 | )% | |||||||||||||
Other U.S. dollar / Chinese yuan 03/07/14 - 12/02/14, $5.98 - $6.17 Put | (3,500,628 | ) | (1.65 | )% | (3,500,628 | ) | (1.65 | )% | ||||||||||||||||
U.S. dollar / Japanese yen 04/08/14, $101.00 Call | (1 | ) | (11,919,922 | ) | (5.62 | )% | ||||||||||||||||||
U.S. dollar / Japanese yen 04/08/14, $101 Call | (1) | (11,919,922 | ) | (5.62 | )% | |||||||||||||||||||
Other U.S. dollar / Japanese yen 01/10/14 - 04/08/14, $102.50 - $114.00 Call | (20,135,817 | ) | (9.48 | )% | (20,135,817 | ) | (9.48 | )% | ||||||||||||||||
Other currency | (9,823,598 | ) | (4.63 | )% | (9,823,598 | ) | (4.63 | )% | ||||||||||||||||
U.S. bond | (312,500 | ) | (0.15 | )% | (312,500 | ) | (0.15 | )% | ||||||||||||||||
Total options | (69,988,537 | ) | (32.98 | )% | (69,988,537 | ) | (32.98 | )% | ||||||||||||||||
Total derivative financial instruments | $ | 80,129,304 | 37.76 | % | $ | 80,129,304 | 37.76 | % |
Description | Number of Contracts | Fair Value | Percentage of Members’ Capital of Master Fund | Number of Contracts | Fair Value | Percentage of Members’ Capital of Master Fund | ||||||||||||
Graham Global Monetary Policy LLC | ||||||||||||||||||
Derivative financial instruments | ||||||||||||||||||
Long contracts | ||||||||||||||||||
Futures | ||||||||||||||||||
Commodity | $ | 128,850 | 0.12 | % | $ | 128,850 | 0.12 | % | ||||||||||
Foreign bond | 802,342 | 0.75 | % | 802,342 | 0.75 | % | ||||||||||||
Foreign index | 2,765,027 | 2.60 | % | 2,765,027 | 2.60 | % | ||||||||||||
Interest rate | (3,880,963 | ) | (3.64 | )% | (3,880,963 | ) | (3.64 | )% | ||||||||||
U.S. index | 3,250,338 | 3.05 | % | 3,250,338 | 3.05 | % | ||||||||||||
Total futures | 3,065,594 | 2.88 | % | 3,065,594 | 2.88 | % | ||||||||||||
Forwards | ||||||||||||||||||
Foreign currency | 3,290,191 | 3.09 | % | 3,290,191 | 3.09 | % | ||||||||||||
Total forwards | 3,290,191 | 3.09 | % | 3,290,191 | 3.09 | % | ||||||||||||
Options (cost $6,242,152) | ||||||||||||||||||
Foreign currency | 2,049,584 | 1.93 | % | 2,049,584 | 1.93 | % | ||||||||||||
Total options | 2,049,584 | 1.93 | % | 2,049,584 | 1.93 | % | ||||||||||||
Short contracts | ||||||||||||||||||
Futures | ||||||||||||||||||
Commodity | 267,000 | 0.25 | % | 267,000 | 0.25 | % | ||||||||||||
Foreign bond | 1,047,621 | 0.98 | % | 1,047,621 | 0.98 | % | ||||||||||||
Foreign index | (1,017,217 | ) | (0.96 | )% | (1,017,217 | ) | (0.96 | )% | ||||||||||
Interest rate | 6,236,193 | 5.87 | % | 6,236,193 | 5.87 | % | ||||||||||||
U.S. bond | 3,700,384 | 3.48 | % | 3,700,384 | 3.48 | % | ||||||||||||
Total futures | 10,233,981 | 9.62 | % | 10,233,981 | 9.62 | % | ||||||||||||
Forwards | ||||||||||||||||||
Foreign currency | (1,978,963 | ) | (1.86 | )% | (1,978,963 | ) | (1.86 | )% | ||||||||||
Total forwards | (1,978,963 | ) | (1.86 | )% | (1,978,963 | ) | (1.86 | )% | ||||||||||
Options (proceeds $21,920,475) | ||||||||||||||||||
Euro / Swiss franc 01/15/14 - 06/16/14, $1.20 - $1.24 Put | 15 | (9,180,740 | ) | (8.63 | )% | |||||||||||||
Euro / Swiss franc 01/23/14 - 03/27/14, $1.23 - $1.24 Call | 9 | (3,769,340 | ) | (3.54 | )% | |||||||||||||
Euro / Swiss franc 01/15/14 - 06/16/14, 1.20 - 1.24 Put | 15 | (9,180,740 | ) | (8.63 | )% | |||||||||||||
Euro / Swiss franc 01/23/14 - 03/27/14, 1.23 - 1.24 Call | 9 | (3,769,340 | ) | (3.54 | )% | |||||||||||||
Total options | (12,950,080 | ) | (12.17 | )% | (12,950,080 | ) | (12.17 | )% | ||||||||||
Total derivative financial instruments | $ | 3,710,307 | 3.49 | % | $ | 3,710,307 | 3.49 | % |
Description | Fair Value | Percentage of Net Assets of Master Fund | ||||||
Graham K4D Trading Ltd. | ||||||||
Derivative financial instruments | ||||||||
Long contracts | ||||||||
Futures | ||||||||
Commodity | $ | 2,119,535 | 1.24 | % | ||||
Currency | 338,275 | 0.20 | % | |||||
Foreign bond | (3,988,711 | ) | (2.34 | )% | ||||
Foreign index | 17,706,322 | 10.40 | % | |||||
Interest rate | (4,219,151 | ) | (2.48 | )% | ||||
U.S. bond | (1,869,974 | ) | (1.10 | )% | ||||
U.S. index | 11,633,613 | 6.83 | % | |||||
Total futures | 21,719,909 | 12.75 | % | |||||
Forwards | ||||||||
Foreign currency | 3,567,368 | 2.10 | % | |||||
Total forwards | 3,567,368 | 2.10 | % | |||||
Short contracts | ||||||||
Futures | ||||||||
Commodity | 7,263,881 | 4.26 | % | |||||
Currency | 272,861 | 0.16 | % | |||||
Foreign bond | 1,615,436 | 0.95 | % | |||||
Foreign index | (2,864,926 | ) | (1.68 | )% | ||||
Interest rate | 316,308 | 0.19 | % | |||||
U.S. bond | 3,636,948 | 2.14 | % | |||||
U.S. index | (149,710 | ) | (0.09 | )% | ||||
Total futures | 10,090,798 | 5.93 | % | |||||
Forwards | ||||||||
Foreign currency | 6,188,899 | 3.64 | % | |||||
Total forwards | 6,188,899 | 3.64 | % | |||||
Total derivative financial instruments | $ | 41,566,974 | 24.42 | % |
Graham Commodity Strategies LLC | Graham Global Monetary Policy LLC | Graham K4D Trading Ltd. | ||||||||||
Assets | ||||||||||||
Level 1: | ||||||||||||
U.S. bond futures | $ | - | $ | 3,700,384 | $ | 3,636,948 | ||||||
U.S. bond futures options | 781,250 | - | - | |||||||||
Foreign bond futures | 87,993 | 1,849,963 | 3,780,754 | |||||||||
Foreign bond futures options | 206,193 | - | - | |||||||||
Foreign index futures | 331,430 | 2,765,027 | 17,711,747 | |||||||||
Foreign index futures options | 3,813,777 | - | - | |||||||||
U.S. index futures | - | 3,250,338 | 11,633,613 | |||||||||
U.S. index futures options | 3,250,000 | - | - | |||||||||
Commodity futures | 555,340 | 542,100 | 20,981,773 | |||||||||
Interest rate futures | 6,976 | 6,409,614 | 319,692 | |||||||||
Currency futures | - | - | 706,749 | |||||||||
Total Level 1 | 9,032,959 | 18,517,426 | 58,771,276 | |||||||||
Level 2: | ||||||||||||
Foreign currency forwards | 63,466,694 | 19,384,491 | 14,317,387 | |||||||||
Foreign currency options | 116,821,732 | 2,049,584 | - | |||||||||
Interest rate swaps | 654,860 | - | - | |||||||||
Total Level 2 | 180,943,286 | 21,434,075 | 14,317,387 | |||||||||
Total investment related assets | $ | 189,976,245 | $ | 39,951,501 | $ | 73,088,663 | ||||||
Liabilities | ||||||||||||
Level 1: | ||||||||||||
U.S. bond futures | $ | (402,578 | ) | $ | - | $ | (1,869,974 | ) | ||||
U.S. bond futures options | (312,500 | ) | - | - | ||||||||
Foreign bond futures | (336,590 | ) | - | (6,154,029 | ) | |||||||
Foreign index futures | - | (1,017,217 | ) | (2,870,351 | ) | |||||||
U.S. index futures | - | - | (149,710 | ) | ||||||||
Commodity futures | (56,320 | ) | (146,250 | ) | (11,598,357 | ) | ||||||
Interest rate futures | (223,204 | ) | (4,054,384 | ) | (4,222,535 | ) | ||||||
Currency futures | - | - | (95,613 | ) | ||||||||
Total Level 1 | (1,331,192 | ) | (5,217,851 | ) | (26,960,569 | ) | ||||||
Level 2: | ||||||||||||
Foreign currency forwards | (36,606,872 | ) | (18,073,263 | ) | (4,561,120 | ) | ||||||
Foreign currency options | (69,676,038 | ) | (12,950,080 | ) | - | |||||||
Interest rate swaps | (2,232,839 | ) | - | - | ||||||||
Total Level 2 | (108,515,749 | ) | (31,023,343 | ) | (4,561,120 | ) | ||||||
Total investment related liabilities | $ | (109,846,941 | ) | $ | (36,241,194 | ) | $ | (31,521,689 | ) |
Graham Commodity Strategies LLC | Graham Commodity Strategies 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 | $ | 1,023,155 | 27 | $ | (86,736,500 | ) | (875 | ) | $ | 555,340 | $ | (56,320 | ) | $ | 1,023,155 | 27 | $ | (86,736,500 | ) | (875 | ) | $ | 555,340 | $ | (56,320 | ) | ||||||||||||||||||||||
1,023,155 | 27 | (86,736,500 | ) | (875 | ) | 555,340 | (56,320 | ) | 1,023,155 | 27 | (86,736,500 | ) | (875 | ) | 555,340 | (56,320 | ) | |||||||||||||||||||||||||||||||
Equity price | ||||||||||||||||||||||||||||||||||||||||||||||||
Futures | 27,916,083 | 243 | - | - | 331,430 | - | 27,916,083 | 243 | - | - | 331,430 | - | ||||||||||||||||||||||||||||||||||||
Options(a) | 242,380,248 | 7,250 | - | - | 7,063,777 | - | 242,380,248 | 7,250 | - | - | 7,063,777 | - | ||||||||||||||||||||||||||||||||||||
270,296,331 | 7,493 | - | - | 7,395,207 | - | 270,296,331 | 7,493 | - | - | 7,395,207 | - | |||||||||||||||||||||||||||||||||||||
Foreign currency exchange rate | ||||||||||||||||||||||||||||||||||||||||||||||||
Forwards | 10,443,360,550 | N/A | (10,140,658,387 | ) | N/A | 63,466,694 | (36,606,872 | ) | 10,443,360,550 | N/A | (10,140,658,387 | ) | N/A | 63,466,694 | (36,606,872 | ) | ||||||||||||||||||||||||||||||||
Options(a) | 3,352,679,978 | 55 | (3,877,669,196 | ) | (60 | ) | 116,821,732 | (69,676,038 | ) | 3,352,679,978 | 55 | (3,877,669,196 | ) | (60 | ) | 116,821,732 | (69,676,038 | ) | ||||||||||||||||||||||||||||||
13,796,040,528 | 55 | (14,018,327,583 | ) | (60 | ) | 180,288,426 | (106,282,910 | ) | 13,796,040,528 | 55 | (14,018,327,583 | ) | (60 | ) | 180,288,426 | (106,282,910 | ) | |||||||||||||||||||||||||||||||
Interest rate | ||||||||||||||||||||||||||||||||||||||||||||||||
Futures | 4,218,339,506 | 8,393 | (417,593,882 | ) | (2,917 | ) | 94,969 | (962,372 | ) | 4,218,339,506 | 8,393 | (417,593,882 | ) | (2,917 | ) | 94,969 | (962,372 | ) | ||||||||||||||||||||||||||||||
Options(a) | 73,143,121 | 5,500 | (93,712,500 | ) | (4,000 | ) | 987,443 | (312,500 | ) | 73,143,121 | 5,500 | (93,712,500 | ) | (4,000 | ) | 987,443 | (312,500 | ) | ||||||||||||||||||||||||||||||
Swaps | 1,461,834,808 | 7 | (1,461,834,808 | ) | (7 | ) | 654,860 | (2,232,839 | ) | 1,461,834,808 | 7 | (1,461,834,808 | ) | (7 | ) | 654,860 | (2,232,839 | ) | ||||||||||||||||||||||||||||||
5,753,317,435 | 13,900 | (1,973,141,190 | ) | (6,924 | ) | 1,737,272 | (3,507,711 | ) | 5,753,317,435 | 13,900 | (1,973,141,190 | ) | (6,924 | ) | 1,737,272 | (3,507,711 | ) | |||||||||||||||||||||||||||||||
Total | $ | 19,820,677,449 | 21,475 | $ | (16,078,205,273 | ) | (7,859 | ) | $ | 189,976,245 | $ | (109,846,941 | ) | $ | 19,820,677,449 | 21,475 | $ | (16,078,205,273 | ) | (7,859 | ) | $ | 189,976,245 | $ | (109,846,941 | ) | ||||||||||||||||||||||
Aggregate fair value of derivative instruments subject to credit-risk related contingent features (as described in Note 2). | Aggregate fair value of derivative instruments subject to credit-risk related contingent features (as described in Note 2). | $ | (1,577,979 | ) | Aggregate fair value of derivative instruments subject to credit-risk related contingent features (as described in Note 2). | $ | (1,577,979 | ) |
(a) | Notional amounts for options are based on the delta-adjusted positions. |
Graham Global Monetary Policy LLC | Graham Global Monetary Policy 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 | $ | 23,376,150 | 300 | $ | (8,683,200 | ) | (80 | ) | $ | 542,100 | $ | (146,250 | ) | $ | 23,376,150 | 300 | $ | (8,683,200 | ) | (80 | ) | $ | 542,100 | $ | (146,250 | ) | ||||||||||||||||||||||
23,376,150 | 300 | (8,683,200 | ) | (80 | ) | 542,100 | (146,250 | ) | 23,376,150 | 300 | (8,683,200 | ) | (80 | ) | 542,100 | (146,250 | ) | |||||||||||||||||||||||||||||||
Equity price | ||||||||||||||||||||||||||||||||||||||||||||||||
Futures | 210,629,836 | 2,475 | (38,274,091 | ) | (2,210 | ) | 6,015,365 | (1,017,217 | ) | 210,629,836 | 2,475 | (38,274,091 | ) | (2,210 | ) | 6,015,365 | (1,017,217 | ) | ||||||||||||||||||||||||||||||
210,629,836 | 2,475 | (38,274,091 | ) | (2,210 | ) | 6,015,365 | (1,017,217 | ) | 210,629,836 | 2,475 | (38,274,091 | ) | (2,210 | ) | 6,015,365 | (1,017,217 | ) | |||||||||||||||||||||||||||||||
Foreign currency exchange rate | ||||||||||||||||||||||||||||||||||||||||||||||||
Forwards | 92,022,916,376 | N/A | (38,009,941,739 | ) | N/A | 19,384,491 | (18,073,263 | ) | 92,022,916,376 | N/A | (38,009,941,739 | ) | N/A | 19,384,491 | (18,073,263 | ) | ||||||||||||||||||||||||||||||||
Options(a) | 2,049,580 | 43 | (12,950,080 | ) | (43 | ) | 2,049,584 | (12,950,080 | ) | 2,049,580 | 43 | (12,950,080 | ) | (43 | ) | 2,049,584 | (12,950,080 | ) | ||||||||||||||||||||||||||||||
92,024,965,956 | 43 | (38,022,891,819 | ) | (43 | ) | 21,434,075 | (31,023,343 | ) | 92,024,965,956 | 43 | (38,022,891,819 | ) | (43 | ) | 21,434,075 | (31,023,343 | ) | |||||||||||||||||||||||||||||||
Interest rate | ||||||||||||||||||||||||||||||||||||||||||||||||
Futures | 3,982,239,026 | 14,619 | (3,336,191,401 | ) | (16,810 | ) | 11,959,961 | (4,054,384 | ) | 3,982,239,026 | 14,619 | (3,336,191,401 | ) | (16,810 | ) | 11,959,961 | (4,054,384 | ) | ||||||||||||||||||||||||||||||
3,982,239,026 | 14,619 | (3,336,191,401 | ) | (16,810 | ) | 11,959,961 | (4,054,384 | ) | 3,982,239,026 | 14,619 | (3,336,191,401 | ) | (16,810 | ) | 11,959,961 | (4,054,384 | ) | |||||||||||||||||||||||||||||||
Total | $ | 96,241,210,968 | 17,437 | $ | (41,406,040,511 | ) | (19,143 | ) | $ | 39,951,501 | $ | (36,241,194 | ) | $ | 96,241,210,968 | 17,437 | $ | (41,406,040,511 | ) | (19,143 | ) | $ | 39,951,501 | $ | (36,241,194 | ) |
(a) | Notional amounts for options are based on the delta-adjusted positions. |
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 | $ | 600,736,167 | 7,868 | $ | (818,149,290 | ) | (14,183 | ) | $ | 20,981,773 | $ | (11,598,357 | ) | $ | 600,736,167 | 7,868 | $ | (818,149,290 | ) | (14,183 | ) | $ | 20,981,773 | $ | (11,598,357 | ) | ||||||||||||||||||||||
600,736,167 | 7,868 | (818,149,290 | ) | (14,183 | ) | 20,981,773 | (11,598,357 | ) | 600,736,167 | 7,868 | (818,149,290 | ) | (14,183 | ) | 20,981,773 | (11,598,357 | ) | |||||||||||||||||||||||||||||||
Equity price | ||||||||||||||||||||||||||||||||||||||||||||||||
Futures | 1,084,321,015 | 10,363 | (72,186,031 | ) | (1,773 | ) | 29,345,360 | (3,020,061 | ) | 1,084,321,015 | 10,363 | (72,186,031 | ) | (1,773 | ) | 29,345,360 | (3,020,061 | ) | ||||||||||||||||||||||||||||||
1,084,321,015 | 10,363 | (72,186,031 | ) | (1,773 | ) | 29,345,360 | (3,020,061 | ) | 1,084,321,015 | 10,363 | (72,186,031 | ) | (1,773 | ) | 29,345,360 | (3,020,061 | ) | |||||||||||||||||||||||||||||||
Foreign currency exchange rate | ||||||||||||||||||||||||||||||||||||||||||||||||
Futures | 41,642,925 | 339 | (184,204,020 | ) | (2,217 | ) | 706,749 | (95,613 | ) | 41,642,925 | 339 | (184,204,020 | ) | (2,217 | ) | 706,749 | (95,613 | ) | ||||||||||||||||||||||||||||||
Forwards | 1,307,412,590 | N/A | (933,293,797 | ) | N/A | 14,317,387 | (4,561,120 | ) | 1,307,412,590 | N/A | (933,293,797 | ) | N/A | 14,317,387 | (4,561,120 | ) | ||||||||||||||||||||||||||||||||
1,349,055,515 | 339 | (1,117,497,817 | ) | (2,217 | ) | 15,024,136 | (4,656,733 | ) | 1,349,055,515 | 339 | (1,117,497,817 | ) | (2,217 | ) | 15,024,136 | (4,656,733 | ) | |||||||||||||||||||||||||||||||
Interest rate | ||||||||||||||||||||||||||||||||||||||||||||||||
Futures | 4,856,729,015 | 19,225 | (2,479,086,853 | ) | (16,180 | ) | 7,737,394 | (12,246,538 | ) | 4,856,729,015 | 19,225 | (2,479,086,853 | ) | (16,180 | ) | 7,737,394 | (12,246,538 | ) | ||||||||||||||||||||||||||||||
4,856,729,015 | 19,225 | (2,479,086,853 | ) | (16,180 | ) | 7,737,394 | (12,246,538 | ) | 4,856,729,015 | 19,225 | (2,479,086,853 | ) | (16,180 | ) | 7,737,394 | (12,246,538 | ) | |||||||||||||||||||||||||||||||
Total | $ | 7,890,841,712 | 37,795 | $ | (4,486,919,991 | ) | (34,353 | ) | $ | 73,088,663 | $ | (31,521,689 | ) | $ | 7,890,841,712 | 37,795 | $ | (4,486,919,991 | ) | (34,353 | ) | $ | 73,088,663 | $ | (31,521,689 | ) |
Description | Gross Amount | Gross Amount Offset in the Statements of Financial Condition | Net Amount Presented in the Statements of Financial Condition | Collateral (Received) / Pledged | Net Amount | Gross Amount | Gross Amount Offset in the Statements of Financial Condition | Net Amount Presented in the Statements of Financial Condition | Collateral (Received) / Pledged | Net Amount | ||||||||||||||||||||||||||||||
Graham Commodity Strategies LLC1 | ||||||||||||||||||||||||||||||||||||||||
Derivative assets | $ | 189,976,245 | $ | (109,846,941 | ) | $ | 80,129,304 | $ | - | $ | 80,129,304 | $ | 189,976,245 | $ | (109,846,941 | ) | $ | 80,129,304 | $ | - | $ | 80,129,304 | ||||||||||||||||||
Derivative liabilities | (109,846,941 | ) | 109,846,941 | - | - | - | (109,846,941 | ) | 109,846,941 | - | - | - | ||||||||||||||||||||||||||||
Graham Global Monetary Policy LLC2 | ||||||||||||||||||||||||||||||||||||||||
Derivative assets | 39,951,501 | (26,647,430 | ) | 13,304,071 | - | 13,304,071 | 39,951,501 | (26,647,430 | ) | 13,304,071 | - | 13,304,071 | ||||||||||||||||||||||||||||
Derivative liabilities | (36,241,194 | ) | 26,647,430 | (9,593,764 | ) | 9,593,764 | - | (36,241,194 | ) | 26,647,430 | (9,593,764 | ) | 9,593,764 | - | ||||||||||||||||||||||||||
Graham K4D Trading Ltd. 3 | ||||||||||||||||||||||||||||||||||||||||
Derivative assets | 73,088,663 | (31,521,689 | ) | 41,566,974 | - | 41,566,974 | 73,088,663 | (31,521,689 | ) | 41,566,974 | - | 41,566,974 | ||||||||||||||||||||||||||||
Derivative liabilities | (31,521,689 | ) | 31,521,689 | - | - | - | (31,521,689 | ) | 31,521,689 | - | - | - |
Graham Commodity Strategies LLC | Graham Global Monetary Policy LLC | Graham K4D Trading Ltd. | ||||||||||
Net investment income (loss) | $ | 99,431 | $ | (42,646 | ) | $ | (6,182 | ) | ||||
Net realized gain on investments | 79,075,377 | 51,595,494 | 140,524,370 | |||||||||
Net increase in unrealized appreciation on investments | 47,155,885 | 7,964,706 | 16,934,274 | |||||||||
Brokerage commissions and fees | (12,430,107 | ) | (4,413,185 | ) | (1,766,806 | ) | ||||||
Net gain on investments | 113,801,155 | 55,147,015 | 155,691,838 | |||||||||
Net income | $ | 113,900,586 | $ | 55,104,369 | $ | 155,685,656 |
Graham Commodity Strategies LLC | Graham Global Monetary Policy LLC | Graham K4D Trading Ltd. | Graham Commodity Strategies LLC | Graham Global Monetary Policy LLC | Graham K4D Trading Ltd. | |||||||||||||||||||
Commodity price | ||||||||||||||||||||||||
Futures | $ | (53,579,007 | ) | $ | (5,104,883 | ) | $ | 22,390,945 | $ | (53,579,007 | ) | $ | (5,104,883 | ) | $ | 22,390,945 | ||||||||
Options | (1,216,750 | ) | - | - | (1,216,750 | ) | - | - | ||||||||||||||||
Swaps | 2,633,906 | - | (577,404 | ) | 2,633,906 | - | (577,404 | ) | ||||||||||||||||
(52,161,851 | ) | (5,104,883 | ) | 21,813,541 | (52,161,851 | ) | (5,104,883 | ) | 21,813,541 | |||||||||||||||
Equity price | ||||||||||||||||||||||||
Futures | (6,426,914 | ) | 11,906,544 | 233,196,965 | (6,426,914 | ) | 11,906,544 | 233,196,965 | ||||||||||||||||
Equities | 794,000 | - | 60,994 | 794,000 | - | 60,994 | ||||||||||||||||||
Options | 5,308,495 | 89,030 | - | 5,308,495 | 89,030 | - | ||||||||||||||||||
(324,419 | ) | 11,995,574 | 233,257,959 | (324,419 | ) | 11,995,574 | 233,257,959 | |||||||||||||||||
Foreign currency exchange rate | ||||||||||||||||||||||||
Futures | (3,199,215 | ) | - | (3,993,100 | ) | (3,199,215 | ) | - | (3,993,100 | ) | ||||||||||||||
Forwards | 136,702,422 | 2,814,065 | (16,548,454 | ) | 136,702,422 | 2,814,065 | (16,548,454 | ) | ||||||||||||||||
Options | 32,993,122 | 12,861,563 | - | 32,993,122 | 12,861,563 | - | ||||||||||||||||||
166,496,329 | 15,675,628 | (20,541,554 | ) | 166,496,329 | 15,675,628 | (20,541,554 | ) | |||||||||||||||||
Interest rate | ||||||||||||||||||||||||
Bonds | 16,147 | - | 42,352 | 16,147 | - | 42,352 | ||||||||||||||||||
Futures | 15,085,869 | 39,523,590 | (77,113,654 | ) | 15,085,869 | 39,523,590 | (77,113,654 | ) | ||||||||||||||||
Options | 523,654 | (2,529,709 | ) | - | 523,654 | (2,529,709 | ) | - | ||||||||||||||||
Swaps | (3,404,467 | ) | - | - | (3,404,467 | ) | - | - | ||||||||||||||||
12,221,203 | 36,993,881 | (77,071,302 | ) | 12,221,203 | 36,993,881 | (77,071,302 | ) | |||||||||||||||||
Total | $ | 126,231,262 | $ | 59,560,200 | $ | 157,458,644 | $ | 126,231,262 | $ | 59,560,200 | $ | 157,458,644 |
March 31, 2014 | December 31, 2013 | June 30, 2014 | December 31, 2013 | |||||||||||||
Assets: | ||||||||||||||||
Cash and cash equivalents | $ | 649,437,197 | $ | 1,011,694,165 | $ | 736,529,942 | $ | 1,011,694,165 | ||||||||
Investments in fixed income securities (cost $2,317,291,029 and $2,493,161,454, respectively) | 2,317,291,029 | 2,493,161,454 | ||||||||||||||
Investments in fixed income securities (cost $1,937,085,549 and $2,493,161,454, respectively) | 1,937,085,549 | 2,493,161,454 | ||||||||||||||
Accrued interest receivable | 7,830,396 | 6,806,338 | 5,278,778 | 6,806,338 | ||||||||||||
Total assets | 2,974,558,622 | 3,511,661,957 | 2,678,894,269 | 3,511,661,957 | ||||||||||||
Liabilities: | ||||||||||||||||
Other liabilities | - | 15,004 | - | 15,004 | ||||||||||||
Total liabilities | - | 15,004 | - | 15,004 | ||||||||||||
Net assets | $ | 2,974,558,622 | $ | 3,511,646,953 | $ | 2,678,894,269 | $ | 3,511,646,953 |
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||||||||||
2014 | 2013 | 2014 | 2013 | 2014 | 2013 | |||||||||||||||||||
Investment income | ||||||||||||||||||||||||
Interest income | $ | 1,923,369 | $ | 2,127,133 | $ | 1,731,457 | $ | 2,113,258 | $ | 3,654,826 | $ | 4,240,391 | ||||||||||||
Total investment income | 1,923,369 | 2,127,133 | 1,731,457 | 2,113,258 | 3,654,826 | 4,240,391 | ||||||||||||||||||
Expenses: | ||||||||||||||||||||||||
Bank fee expense | 11,285 | 33,653 | 15,931 | 25,311 | 27,216 | 58,964 | ||||||||||||||||||
Total expenses | 11,285 | 33,653 | 15,931 | 25,311 | 27,216 | 58,964 | ||||||||||||||||||
Net investment income | 1,912,084 | 2,093,480 | 1,715,526 | 2,087,947 | 3,627,610 | 4,181,427 | ||||||||||||||||||
Net income | $ | 1,912,084 | $ | 2,093,480 | $ | 1,715,526 | $ | 2,087,947 | $ | 3,627,610 | $ | 4,181,427 |
Description | Principal Amount | Fair Value | Percentage of Members’ Capital | Principal Amount | Fair Value | Percentage of Members’ Capital | ||||||||||||||||||
Investments in Fixed Income Securities (cost $2,317,291,029) | ||||||||||||||||||||||||
Investments in Fixed Income Securities (cost $1,937,085,549) | ||||||||||||||||||||||||
United States | ||||||||||||||||||||||||
Government Bonds (cost $2,317,291,029) | ||||||||||||||||||||||||
Government Bonds (cost $1,937,085,549) | ||||||||||||||||||||||||
U.S. Treasury 2.38% due 10/31/14 | $ | 150,000,000 | $ | 152,006,301 | 5.11 | % | $ | 150,000,000 | $ | 151,250,551 | 5.65 | % | ||||||||||||
Other U.S. Treasury 0.25% – 4.00% due 04/15/14 – 01/31/16 | 2,165,284,728 | 72.79 | % | |||||||||||||||||||||
Other U.S. Treasury 0.25% – 4.00% due 07/31/14 – 01/31/16 | 1,785,834,998 | 66.66 | % | |||||||||||||||||||||
Total Government Bonds | 2,317,291,029 | 77.90 | % | 1,937,085,549 | 72.31 | % | ||||||||||||||||||
Total Investments in Fixed Income Securities | $ | 2,317,291,029 | 77.90 | % | $ | 1,937,085,549 | 72.31 | % |
Description | Principal Amount | Fair Value | Percentage of Members’ Capital | Principal Amount | Fair Value | Percentage of Members’ Capital | ||||||||||||||||||
Investments in Fixed Income Securities (cost $2,493,161,454) | ||||||||||||||||||||||||
United States | ||||||||||||||||||||||||
Government Bonds (cost $2,493,161,454) | ||||||||||||||||||||||||
U.S. Treasury 0.13% – 4.00% due 01/15/14 – 9/15/15 | $ | 2,475,000,000 | $ | 2,493,161,454 | 71.00 | % | $ | 2,475,000,000 | $ | 2,493,161,454 | 71.00 | % | ||||||||||||
Total Government Bonds | 2,493,161,454 | 71.00 | % | 2,493,161,454 | 71.00 | % | ||||||||||||||||||
Total Investments in Fixed Income Securities | $ | 2,493,161,454 | 71.00 | % | $ | 2,493,161,454 | 71.00 | % |
March 31, 2014 | December 31, 2013 | June 30, 2014 | December 31, 2013 | |||||||||||||
Assets | ||||||||||||||||
Level 2: | ||||||||||||||||
Fixed income securities | ||||||||||||||||
Government Bonds | $ | 2,317,291,029 | $ | 2,493,161,454 | $ | 1,937,085,549 | $ | 2,493,161,454 | ||||||||
Total fixed income securities | 2,317,291,029 | 2,493,161,454 | 1,937,085,549 | 2,493,161,454 | ||||||||||||
Total Level 2 | 2,317,291,029 | 2,493,161,454 | 1,937,085,549 | 2,493,161,454 | ||||||||||||
Total assets | $ | 2,317,291,029 | $ | 2,493,161,454 | $ | 1,937,085,549 | $ | 2,493,161,454 |
Class | Annual Rate |
Class 0 | 0.75% |
Class 2 | 2.75% |
Class 0 | Class 2 | Class 0 | Class 2 | |||||||||||||
Per unit operating performance | ||||||||||||||||
Net asset value per unit, December 31, 2012 | $ | 114.88 | $ | 90.29 | ||||||||||||
Net asset value per unit, March 31, 2013 | $ | 122.47 | $ | 95.80 | ||||||||||||
Net loss: | ||||||||||||||||
Net investment loss | (0.86 | ) | (1.13 | ) | ||||||||||||
Net loss on investments | (0.48 | ) | (0.39 | ) | ||||||||||||
Net loss | (1.34 | ) | (1.52 | ) | ||||||||||||
Net asset value per unit, June 30, 2013 | $ | 121.13 | $ | 94.28 | ||||||||||||
Net asset value per unit, March 31, 2014 | $ | 114.03 | $ | 87.43 | ||||||||||||
Net income: | ||||||||||||||||
Net investment loss | (0.88 | ) | (1.14 | ) | (0.76 | ) | (1.05 | ) | ||||||||
Net gain on investments | 8.47 | 6.65 | 1.73 | 1.35 | ||||||||||||
Net income | 7.59 | 5.51 | 0.97 | 0.30 | ||||||||||||
Net asset value per unit, March 31, 2013 | $ | 122.47 | $ | 95.80 | ||||||||||||
Net asset value per unit, December 31, 2013 | $ | 127.72 | $ | 98.41 | ||||||||||||
Net loss: | ||||||||||||||||
Net investment loss | (0.76 | ) | (1.05 | ) | ||||||||||||
Net loss on investments | (12.93 | ) | (9.93 | ) | ||||||||||||
Net loss | (13.69 | ) | (10.98 | ) | ||||||||||||
Net asset value per unit, March 31, 2014 | $ | 114.03 | $ | 87.43 | ||||||||||||
Net asset value per unit, June 30, 2014 | $ | 115.00 | $ | 87.73 |
Class 0 | Class 2 | |||||||||||||||
2014 | 2013 | 2014 | 2013 | |||||||||||||
Total return before Incentive Allocation | 0.85 | % | (1.09 | )% | 0.35 | % | (1.59 | )% | ||||||||
Incentive Allocation | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||
Total return after Incentive Allocation | 0.85 | % | (1.09 | )% | 0.35 | % | (1.59 | )% | ||||||||
Net investment loss before Incentive Allocation | (0.67 | )% | (0.70 | )% | (1.20 | )% | (1.18 | )% | ||||||||
Incentive Allocation | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||
Net investment loss after Incentive Allocation | (0.67 | )% | (0.70 | )% | (1.20 | )% | (1.18 | )% | ||||||||
Total expenses before Incentive Allocation | 0.72 | % | 0.74 | % | 1.25 | % | 1.22 | % | ||||||||
Incentive Allocation | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||
Total expenses after Incentive Allocation | 0.72 | % | 0.74 | % | 1.25 | % | 1.22 | % |
Class 0 | Class 2 | |||||||||||||||
2014 | 2013 | 2014 | 2013 | |||||||||||||
Total return before Incentive Allocation | (10.72 | )% | 6.61 | % | (11.16 | )% | 6.10 | % | ||||||||
Incentive Allocation | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||
Total return after Incentive Allocation | (10.72 | )% | 6.61 | % | (11.16 | )% | 6.10 | % | ||||||||
Net investment loss before Incentive Allocation | (0.63 | )% | (0.77 | )% | (1.13 | )% | (1.22 | )% | ||||||||
Incentive Allocation | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||
Net investment loss after Incentive Allocation | (0.63 | )% | (0.77 | )% | (1.13 | )% | (1.22 | )% | ||||||||
Total expenses before Incentive Allocation | 0.68 | % | 0.79 | % | 1.19 | % | 1.27 | % | ||||||||
Incentive Allocation | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||
Total expenses after Incentive Allocation | 0.68 | % | 0.79 | % | 1.19 | % | 1.27 | % |
Class 0 | Class 2 | |||||||
Per unit operating performance | ||||||||
Net asset value per unit, December 31, 2012 | $ | 114.88 | $ | 90.29 | ||||
Net income: | ||||||||
Net investment loss | (1.74 | ) | (2.28 | ) | ||||
Net gain on investments | 7.99 | 6.27 | ||||||
Net income | 6.25 | 3.99 | ||||||
Net asset value per unit, June 30, 2013 | $ | 121.13 | $ | 94.28 | ||||
Net asset value per unit, December 31, 2013 | $ | 127.72 | $ | 98.41 | ||||
Net loss: | ||||||||
Net investment loss | (1.53 | ) | (2.08 | ) | ||||
Net loss on investments | (11.19 | ) | (8.60 | ) | ||||
Net loss | (12.72 | ) | (10.68 | ) | ||||
Net asset value per unit, June 30, 2014 | $ | 115.00 | $ | 87.73 |
Class 0 | Class 2 | |||||||||||||||
2014 | 2013 | 2014 | 2013 | |||||||||||||
Total return before Incentive Allocation | (9.96 | )% | 5.44 | % | (10.85 | )% | 4.42 | % | ||||||||
Incentive Allocation | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||
Total return after Incentive Allocation | (9.96 | )% | 5.44 | % | (10.85 | )% | 4.42 | % | ||||||||
Net investment loss before Incentive Allocation | (1.29 | )% | (1.46 | )% | (2.31 | )% | (2.42 | )% | ||||||||
Incentive Allocation | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||
Net investment loss after Incentive Allocation | (1.29 | )% | (1.46 | )% | (2.31 | )% | (2.42 | )% | ||||||||
Total expenses before Incentive Allocation | 1.40 | % | 1.56 | % | 2.41 | % | 2.52 | % | ||||||||
Incentive Allocation | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||
Total expenses after Incentive Allocation | 1.40 | % | 1.56 | % | 2.41 | % | 2.52 | % |
(a) | Management’s Discussion and Analysis of Financial Condition and Results of Operations |
For the three months ended June 30, 2013 the Fund’s net asset value decreased by $37,119,643 or -24.8%. The net decrease in the Fund was attributable to total subscriptions of $2,945,000 or 2.0% offset by redemptions totaling $39,718,134 or -26.6% and a net loss of $346,509 or -0.2%, for the period. For the six months ended June 30, 2013 the Fund’s net asset value decreased $55,223,073 or -32.9%. The net decrease in the Fund was attributable to total subscriptions of $5,241,886 or 3.1% and net income of $10,240,487 or 6.1% offset by redemptions totaling $70,705,446 or –42.1%, for the period. (i) Results of Operations |
Agriculture / Softs | $ | (1,598,226 | ) | $ | (105,551 | ) | ||
Base metals | (101,263 | ) | (424,218 | ) | ||||
Energy | (1,345,672 | ) | 278,190 | |||||
Equities | (2,923,974 | ) | 1,217,786 | |||||
Foreign exchange | (2,631,146 | ) | (1,495,909 | ) | ||||
Long term / Intermediate rates | (313,593 | ) | 2,016,285 | |||||
Precious metals | (869,397 | ) | (345,118 | ) | ||||
Short term rates | (170,376 | ) | 312,456 | |||||
$ | (9,953,647 | ) | $ | 1,453,921 |
Agriculture / Softs | $ | (1,655,632 | ) | |
Base metals | (463,132 | ) | ||
Energy | (1,079,074 | ) | ||
Equities | (1,818,482 | ) | ||
Foreign exchange | (3,860,021 | ) | ||
Long term / Intermediate rates | 1,422,841 | |||
Precious metals | (1,147,465 | ) | ||
Short term rates | 101,239 | |||
$ | (8,499,726 | ) |
Agriculture / Softs | )% | |||
Base metals | )% | |||
Energy | ||||
Equities | ( | )% | ||
Foreign exchange | ||||
Long term / Intermediate rates | % | |||
Precious metals | ( | )% | ||
Short term rates | % | |||
100.0 | % |
Agriculture / Softs | $ | (800,458 | ) | $ | 7,491,984 | |||
Base metals | (334,208 | ) | 3,973,566 | |||||
Energy | (3,065,286 | ) | (8,965,303 | ) | ||||
Equities | 9,287,432 | 9,547,749 | ||||||
Foreign exchange | 6,239,752 | (9,348,416 | ) | |||||
Long term / intermediate rates | 121,003 | (22,654,953 | ) | |||||
Precious metals | 582,534 | 17,890,440 | ||||||
Short term rates | 203,539 | 2,983,974 | ||||||
$ | 12,234,308 | $ | 919,041 |
Agriculture / Softs | $ | 1,154,421 | ||
Base metals | 707,587 | |||
Energy | (5,626,179 | ) | ||
Equities | 12,346,427 | |||
Foreign exchange | 4,089,131 | |||
Long term / intermediate rates | (5,916,988 | ) | ||
Precious metals | 5,388,036 | |||
Short term rates | 1,010,914 | |||
$ | 13,153,349 |
Agriculture / Softs | % | |||
Base metals | ||||
Energy | ( | %) | ||
Equities | %) | |||
Foreign exchange | %) | |||
Long term / intermediate rates | % | |||
Precious metals | % | |||
Short term rates | ||||
100.0 | % |
(ii) Liquidity |
% | ||||
December 31, 2013 | % | |||
% |
(iii) Capital Resources |
(iv) Critical Accounting Policies |
(v) Off-Balance Sheet Arrangements |
Blended Strategies Portfolio | ||||
Total | ||||
Number of | ||||
Period (as of) | Units Issued | |||
28,008.826 | ||||
21,858.056 | ||||
8,575.032 |
** 3.1 | Certificate of Formation of Graham Alternative Investment Fund I LLC |
* 3.2 | Amendment to 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 |
*** 10.10 | Safekeeping Account Agreement between Graham Cash Assets LLC and Bank of America, N.A. |
Rule 13a-14(a)/15d-14(a) Certification (Certification of Chief Operating Officer) | |
Rule 13a-14(a)/15d-14(a) Certification (Certification of Chief Financial Officer) | |
Section 1350 Certification (Certification of Chief Operating Officer and Chief Financial Officer) |
* | Incorporated by reference to the Fund’s Form 8-K previously filed on April 11, 2013 |
** | Incorporated by reference to the Fund’s Form 10 previously filed on April 30, 2010 |
*** | Incorporated by reference to the Fund’s Form 10/A previously filed on September 3, 2010 |
**** | Filed herewith |
Dated: | GRAHAM ALTERNATIVE INVESTMENT FUND I LLC | ||
BLENDED STRATEGIES PORTFOLIO | |||
By: | GRAHAM CAPITAL MANAGEMENT, L.P. | ||
its Manager | |||
By: | /s/ Paul Sedlack | ||
Paul Sedlack, Chief Operating Officer | |||
By: | /s/ Brian Douglas | ||
Brian Douglas, Chief Financial Officer |