Delaware | 20-4897069 | |
(State or other jurisdiction of incorporation or organization) | (I.R.S. Employer Identification No.) |
Large accelerated filer o | Accelerated filer o | Non-accelerated filer o | Smaller reporting company x |
Page | ||
Number | ||
PART I - Financial Information: | ||
Item 1. | Financial Statements: | |
Graham Alternative Investment Fund I LLC Blended Strategies Portfolio | ||
1 | ||
2 | ||
3 | ||
4 | ||
5 | ||
Graham Alternative Investment Trading LLC | ||
13 | ||
14 | ||
15 | ||
16 | ||
17 | ||
18 | ||
Item 2. | ||
Item 3. |
Item 4. | ||
EX - 31.1 | Certification | |
EX - 31.2 | Certification | |
EX - 32.1 | Certification |
June 30, 2014 (Unaudited) | December 31, 2013 (Audited) | September 30, 2014 (Unaudited) | December 31, 2013 (Audited) | |||||||||||||
Assets | ||||||||||||||||
Investment in Graham Alternative Investment Trading LLC, at fair value | $ | 84,066,441 | $ | 99,045,133 | $ | 84,965,394 | $ | 99,045,133 | ||||||||
Redemption receivable from Graham Alternative Investment Trading LLC | 3,305,924 | 3,619,464 | 6,638,045 | 3,619,464 | ||||||||||||
Total assets | $ | 87,372,365 | $ | 102,664,597 | $ | 91,603,439 | $ | 102,664,597 | ||||||||
Liabilities and members’ capital | ||||||||||||||||
Liabilities: | ||||||||||||||||
Accrued redemptions | $ | 3,305,924 | $ | 3,619,464 | $ | 6,638,045 | $ | 3,619,464 | ||||||||
Total liabilities | 3,305,924 | 3,619,464 | 6,638,045 | 3,619,464 | ||||||||||||
Members’ capital: | ||||||||||||||||
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 | ||||||||||||||
Class 0 Units (465,282.761 and 605,548.066 units issued and outstanding at $131.61 and $127.72, respectively) | 61,234,992 | 77,340,803 | ||||||||||||||
Class 2 Units (237,554.201 and 220,552.039 units issued and outstanding at $99.89 and $98.41, respectively) | 23,730,402 | 21,704,330 | ||||||||||||||
Total members’ capital | 84,066,441 | 99,045,133 | 84,965,394 | 99,045,133 | ||||||||||||
Total liabilities and members’ capital | $ | 87,372,365 | $ | 102,664,597 | $ | 91,603,439 | $ | 102,664,597 |
Three Months Ended June 30, | Six Months Ended June 30, | Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||||||||||||||||
2014 | 2013 | 2014 | 2013 | 2014 | 2013 | 2014 | 2013 | |||||||||||||||||||||||||
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 | $ | 7,968,167 | $ | (5,919,049 | ) | $ | 1,919,517 | $ | 10,989,075 | |||||||||||||
Net increase (decrease) in unrealized appreciation on investments | 1,470,361 | (3,254,288 | ) | (2,451,076 | ) | (3,754,775 | ) | 4,288,027 | 2,590,408 | 1,836,951 | (1,164,367 | ) | ||||||||||||||||||||
Brokerage commissions and fees | (118,873 | ) | (209,923 | ) | (256,948 | ) | (510,214 | ) | (126,896 | ) | (111,470 | ) | (383,844 | ) | (621,684 | ) | ||||||||||||||||
Net gain (loss) allocated from investment in Graham Alternative Investment Trading LLC | 1,335,048 | 709,118 | (8,756,674 | ) | 12,643,135 | 12,129,298 | (3,440,111 | ) | 3,372,624 | 9,203,024 | ||||||||||||||||||||||
Net investment loss allocated from investment in Graham Alternative Investment Trading LLC | ||||||||||||||||||||||||||||||||
Investment income | ||||||||||||||||||||||||||||||||
Interest income | 48,352 | 64,672 | 97,175 | 142,745 | 44,077 | 56,893 | 141,252 | 199,638 | ||||||||||||||||||||||||
Expenses | ||||||||||||||||||||||||||||||||
Advisory fees | 387,266 | 635,363 | 784,275 | 1,335,625 | 380,169 | 475,643 | 1,164,444 | 1,811,268 | ||||||||||||||||||||||||
Sponsor fees | 273,458 | 400,724 | 542,172 | 824,381 | 275,934 | 315,823 | 818,106 | 1,140,204 | ||||||||||||||||||||||||
Professional fees and other | 39,165 | 36,826 | 76,202 | 285,901 | 33,780 | 25,603 | 109,982 | 311,504 | ||||||||||||||||||||||||
Administrator’s fees | 30,013 | 47,386 | 59,732 | 99,486 | 30,028 | 35,274 | 89,760 | 134,760 | ||||||||||||||||||||||||
Total expenses | 729,902 | 1,120,299 | 1,462,381 | 2,545,393 | 719,911 | 852,343 | 2,182,292 | 3,397,736 | ||||||||||||||||||||||||
Net investment loss allocated from investment in Graham Alternative Investment Trading LLC | (681,550 | ) | (1,055,627 | ) | (1,365,206 | ) | (2,402,648 | ) | (675,834 | ) | (795,450 | ) | (2,041,040 | ) | (3,198,098 | ) | ||||||||||||||||
Net income (loss) | $ | 653,498 | $ | (346,509 | ) | $ | (10,121,880 | ) | $ | 10,240,487 | $ | 11,453,464 | $ | (4,235,561 | ) | $ | 1,331,584 | $ | 6,004,926 |
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 | 40,089.080 | 4,890,000 | 3,741.593 | 351,886 | 5,241,886 | 40,708.235 | 4,965,000 | 6,942.297 | 651,886 | 5,616,886 | ||||||||||||||||||||||||||||||
Redemptions | (541,309.472 | ) | (66,919,633 | ) | (39,689.875 | ) | (3,785,813 | ) | (70,705,446 | ) | (605,373.540 | ) | (74,399,999 | ) | (53,822.202 | ) | (5,073,882 | ) | (79,473,881 | ) | ||||||||||||||||||||
Net income | – | 9,081,044 | – | 1,159,443 | 10,240,487 | – | 5,797,769 | – | 207,157 | 6,004,926 | ||||||||||||||||||||||||||||||
Members’ capital, June 30, 2013 | 740,418.695 | $ | 89,689,033 | 243,523.525 | $ | 22,959,888 | $ | 112,648,921 | ||||||||||||||||||||||||||||||||
Members’ capital, September 30, 2013 | 676,973.782 | $ | 79,000,392 | 232,591.902 | $ | 21,019,533 | $ | 100,019,925 | ||||||||||||||||||||||||||||||||
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 | 24,884.030 | 2,920,787 | 61,551.245 | 5,413,720 | 8,334,507 | |||||||||||||||||||||||||||||||||||
Redemptions | (165,149.335 | ) | (19,778,763 | ) | (44,549.083 | ) | (3,967,067 | ) | (23,745,830 | ) | ||||||||||||||||||||||||||||||
Net income | – | 752,165 | – | 579,419 | 1,331,584 | |||||||||||||||||||||||||||||||||||
Members’ capital, September 30, 2014 | 465,282.761 | $ | 61,234,992 | 237,554.201 | $ | 23,730,402 | $ | 84,965,394 |
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 |
Six Months Ended June 30, | Nine Months Ended September 30, | |||||||||||||||
2014 | 2013 | 2014 | 2013 | |||||||||||||
Cash flows provided by operating activities | ||||||||||||||||
Net (loss) income | $ | (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 | 10,121,880 | (10,240,487 | ) | |||||||||||||
Net income | $ | 1,331,584 | $ | 6,004,926 | ||||||||||||
Adjustments to reconcile net income to net cash provided by operating activities: | ||||||||||||||||
Net income allocated from investment in Graham Alternative Investment Trading LLC | (1,331,584 | ) | (6,004,926 | ) | ||||||||||||
Proceeds from sale of investments in Graham Alternative Investment Trading LLC | 13,129,641 | 84,023,696 | 20,727,249 | 90,594,683 | ||||||||||||
Investments in Graham Alternative Investment Trading LLC | (7,959,289 | ) | (5,241,886 | ) | (8,334,507 | ) | (5,616,886 | ) | ||||||||
Net cash provided by operating activities | 5,170,352 | 78,781,810 | 12,392,742 | 84,977,797 | ||||||||||||
Cash flows used in financing activities | ||||||||||||||||
Subscriptions | 7,959,289 | 5,241,886 | 8,334,507 | 5,616,886 | ||||||||||||
Redemptions | (13,129,641 | ) | (84,023,696 | ) | (20,727,249 | ) | (90,594,683 | ) | ||||||||
Net cash used in financing activities | (5,170,352 | ) | (78,781,810 | ) | (12,392,742 | ) | (84,977,797 | ) | ||||||||
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, March 31, 2013 | $ | 122.47 | $ | 95.80 | ||||||||||||
Net asset value per unit, June 30, 2013 | $ | 121.13 | $ | 94.28 | ||||||||||||
Net loss: | ||||||||||||||||
Net investment loss | (0.86 | ) | (1.13 | ) | (0.76 | ) | (1.06 | ) | ||||||||
Net loss on investments | (0.48 | ) | (0.39 | ) | (3.67 | ) | (2.85 | ) | ||||||||
Net loss | (1.34 | ) | (1.52 | ) | (4.43 | ) | (3.91 | ) | ||||||||
Net asset value per unit, June 30, 2013 | $ | 121.13 | $ | 94.28 | ||||||||||||
Net asset value per unit, September 30, 2013 | $ | 116.70 | $ | 90.37 | ||||||||||||
Net asset value per unit, March 31, 2014 | $ | 114.03 | $ | 87.43 | ||||||||||||
Net asset value per unit, June 30, 2014 | $ | 115.00 | $ | 87.73 | ||||||||||||
Net income: | ||||||||||||||||
Net investment loss | (0.76 | ) | (1.06 | ) | (0.81 | ) | (1.07 | ) | ||||||||
Net gain on investments | 1.73 | 1.36 | 17.42 | 13.23 | ||||||||||||
Net income | 0.97 | 0.30 | 16.61 | 12.16 | ||||||||||||
Net asset value per unit, June 30, 2014 | $ | 115.00 | $ | 87.73 | ||||||||||||
Net asset value per unit, September 30, 2014 | $ | 131.61 | $ | 99.89 |
Class 0 | Class 2 | Class 0 | Class 2 | |||||||||||||||||||||||||||||
2014 | 2013 | 2014 | 2013 | 2014 | 2013 | 2014 | 2013 | |||||||||||||||||||||||||
Total return before Incentive Allocation | 0.85 | % | (1.09 | )% | 0.35 | % | (1.59 | )% | 14.44 | % | (3.66 | )% | 13.86 | % | (4.15 | )% | ||||||||||||||||
Incentive Allocation | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||||||||||||||
Total return after Incentive Allocation | 0.85 | % | (1.09 | )% | 0.35 | % | (1.59 | )% | 14.44 | % | (3.66 | )% | 13.86 | % | (4.15 | )% | ||||||||||||||||
Net investment loss before Incentive Allocation | (0.66 | )% | (0.70 | )% | (1.21 | )% | (1.18 | )% | (0.68 | )% | (0.63 | )% | (1.18 | )% | (1.12 | )% | ||||||||||||||||
Incentive Allocation | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||||||||||||||
Net investment loss after Incentive Allocation | (0.66 | )% | (0.70 | )% | (1.21 | )% | (1.18 | )% | (0.68 | )% | (0.63 | )% | (1.18 | )% | (1.12 | )% | ||||||||||||||||
Total expenses before Incentive Allocation | 0.72 | % | 0.74 | % | 1.26 | % | 1.22 | % | 0.74 | % | 0.69 | % | 1.23 | % | 1.20 | % | ||||||||||||||||
Incentive Allocation | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||||||||||||||
Total expenses after Incentive Allocation | 0.72 | % | 0.74 | % | 1.26 | % | 1.22 | % | 0.74 | % | 0.69 | % | 1.23 | % | 1.20 | % |
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 | (2.50 | ) | (3.33 | ) | ||||
Net gain on investments | 4.32 | 3.41 | ||||||
Net income | 1.82 | 0.08 | ||||||
Net asset value per unit, September 30, 2013 | $ | 116.70 | $ | 90.37 | ||||
Net asset value per unit, December 31, 2013 | $ | 127.72 | $ | 98.41 | ||||
Net income: | ||||||||
Net investment loss | (2.33 | ) | (3.18 | ) | ||||
Net gain on investments | 6.22 | 4.66 | ||||||
Net income | 3.89 | 1.48 | ||||||
Net asset value per unit, September 30, 2014 | $ | 131.61 | $ | 99.89 |
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 | % |
Class 0 | Class 2 | |||||||||||||||
2014 | 2013 | 2014 | 2013 | |||||||||||||
Total return before Incentive Allocation | 3.04 | % | 1.58 | % | 1.51 | % | 0.09 | % | ||||||||
Incentive Allocation | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||
Total return after Incentive Allocation | 3.04 | % | 1.58 | % | 1.51 | % | 0.09 | % | ||||||||
Net investment loss before Incentive Allocation | (1.97 | )% | (2.11 | )% | (3.50 | )% | (3.57 | )% | ||||||||
Incentive Allocation | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||
Net investment loss after Incentive Allocation | (1.97 | )% | (2.11 | )% | (3.50 | )% | (3.57 | )% | ||||||||
Total expenses before Incentive Allocation | 2.13 | % | 2.27 | % | 3.67 | % | 3.73 | % | ||||||||
Incentive Allocation | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||
Total expenses after Incentive Allocation | 2.13 | % | 2.27 | % | 3.67 | % | 3.73 | % |
June 30, 2014 (Unaudited) | December 31, 2013 (Audited) | September 30, 2014 (Unaudited) | December 31, 2013 (Audited) | |||||||||||||
Investments in Master Funds, at fair value | $ | 22,903,052 | $ | 33,759,212 | $ | 29,321,869 | $ | 33,759,212 | ||||||||
Investment in Graham Cash Assets LLC, at fair value | 132,364,459 | 153,099,740 | 132,377,412 | 153,099,740 | ||||||||||||
Receivable from Master Funds | 56 | 2,695 | - | 2,695 | ||||||||||||
Total assets | $ | 155,267,567 | $ | 186,861,647 | $ | 161,699,281 | $ | 186,861,647 | ||||||||
Liabilities and members’ capital | ||||||||||||||||
Liabilities: | ||||||||||||||||
Accrued redemptions | $ | 8,718,041 | $ | 5,589,666 | $ | 8,169,800 | $ | 5,589,666 | ||||||||
Accrued advisory fees | 221,952 | 276,022 | 231,022 | 276,022 | ||||||||||||
Accrued sponsor fees | 159,746 | 187,789 | 170,112 | 187,789 | ||||||||||||
Accrued professional fees | 99,457 | 203,102 | 79,760 | 203,102 | ||||||||||||
Accrued administrator’s fee | 17,636 | 20,714 | 18,368 | 20,714 | ||||||||||||
Payable to Master Funds | 2,310 | 7,249 | 19,956 | 7,249 | ||||||||||||
Total liabilities | 9,219,142 | 6,284,542 | 8,689,018 | 6,284,542 | ||||||||||||
Members’ capital: | ||||||||||||||||
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 | ||||||||||||||
Class 0 Units (831,987.044 and 1,093,036.786 units issued and outstanding at $131.61 and $127.72 per unit, respectively) | 109,496,244 | 139,603,019 | ||||||||||||||
Class 2 Units (425,927.030 and 407,013.551 units issued and outstanding at $99.89 and $98.41 per unit, respectively) | 42,547,859 | 40,053,854 | ||||||||||||||
Class M Units (4,671.470 and 4,671.470 units issued and outstanding at $206.82 and $196.99 per unit, respectively) | 966,160 | 920,232 | ||||||||||||||
Total members’ capital | 146,048,425 | 180,577,105 | 153,010,263 | 180,577,105 | ||||||||||||
Total liabilities and members’ capital | $ | 155,267,567 | $ | 186,861,647 | $ | 161,699,281 | $ | 186,861,647 |
June 30, 2014 (Unaudited) | December 31, 2013 (Audited) | |||||||||||||||
Description | Fair Value | Percentage of Members’ Capital | Fair Value | Percentage of Members’ Capital | ||||||||||||
Investments in Master Funds, at fair value | ||||||||||||||||
Graham Commodity Strategies LLC | $ | 3,820,521 | 2.62% | $ | 11,687,704 | 6.47% | ||||||||||
Graham Global Monetary Policy LLC | 1,767,570 | 1.21% | 5,538,724 | 3.07% | ||||||||||||
Graham K4D Trading Ltd. | 15,821,984 | 10.83% | 16,532,784 | 9.16% | ||||||||||||
Graham Macro Directional LLC | 1,492,977 | 1.02% | – | – | ||||||||||||
Total investments in Master Funds | $ | 22,903,052 | 15.68% | $ | 33,759,212 | 18.70% |
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
2014 | 2013 | 2014 | 2013 | |||||||||||||
Net (loss) gain allocated from investments in Master Funds | ||||||||||||||||
Net realized (loss) gain on investments | $ | (50,226 | ) | $ | 5,978,274 | $ | (11,029,658 | ) | $ | 26,251,922 | ||||||
Net increase (decrease) in unrealized appreciation on investments | 2,646,562 | (5,250,626 | ) | (4,550,887 | ) | (6,111,576 | ) | |||||||||
Brokerage commissions and fees | (211,828 | ) | (354,064 | ) | (463,683 | ) | (831,625 | ) | ||||||||
Net (loss) gain allocated from investments in Master Funds | 2,384,508 | 373,584 | (16,044,228 | ) | 19,308,721 | |||||||||||
Net investment loss allocated from investments in Master Funds | (13,729 | ) | (10,544 | ) | (34,448 | ) | (16,501 | ) | ||||||||
Investment income | ||||||||||||||||
Interest income | 86,298 | 109,104 | 175,370 | 233,266 | ||||||||||||
Total investment income | 86,298 | 109,104 | 175,370 | 233,266 | ||||||||||||
Expenses | ||||||||||||||||
Advisory fees | 687,422 | 1,065,854 | 1,408,195 | 2,175,746 | ||||||||||||
Sponsor fees | 488,104 | 682,864 | 983,136 | 1,372,987 | ||||||||||||
Administrator’s fees | 53,552 | 79,753 | 107,782 | 162,594 | ||||||||||||
56,100 | 51,900 | 102,901 | 441,174 | |||||||||||||
Total expenses | 1,285,178 | 1,880,371 | 2,602,014 | 4,152,501 | ||||||||||||
Net investment loss of the Fund | (1,198,880 | ) | (1,771,267 | ) | (2,426,644 | ) | (3,919,235 | ) | ||||||||
Net (loss) income | 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 | $ | 1,171,899 | $ | (1,408,227 | ) | $ | (18,505,320 | ) | $ | 15,372,985 |
Class 0 | Class 2 | Class M | Total | |||||||||||||||||||||||||
Units | Capital | Units | Capital | Units | Capital | Capital | ||||||||||||||||||||||
1,922,696.211 | $ | 220,876,439 | 483,129.319 | $ | 43,623,249 | 4,671.470 | $ | 806,295 | $ | 265,305,983 | ||||||||||||||||||
Subscriptions | 53,655.992 | 6,520,000 | 11,414.547 | 1,082,435 | – | – | 7,602,435 | |||||||||||||||||||||
Redemptions | (654,544.800 | ) | (80,628,297 | ) | (55,643.476 | ) | (5,296,530 | ) | – | – | (85,924,827 | ) | ||||||||||||||||
Incentive allocation | – | – | – | – | – | – | – | |||||||||||||||||||||
Net income | – | 13,346,186 | – | 1,971,267 | – | 55,532 | 15,372,985 | |||||||||||||||||||||
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 | |||||||||||||||||||||||||
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 | |||||||||||||||||
Subscriptions | 27,567.625 | 3,233,079 | 82,701.099 | 7,392,005 | – | – | 10,625,084 | |||||||||||||||||||||
Redemptions | (191,710.516 | ) | (22,020,925 | ) | (52,208.202 | ) | (4,627,519 | ) | – | – | (26,648,444 | ) | ||||||||||||||||
Incentive allocation | – | – | – | – | – | – | – | |||||||||||||||||||||
Net loss | – | (13,989,605 | ) | – | (4,434,433 | ) | – | (81,282 | ) | (18,505,320 | ) | |||||||||||||||||
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 |
Six Months Ended June 30, | ||||||||
2014 | 2013 | |||||||
Cash flows provided by operating activities | ||||||||
Net (loss) income | $ | (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 | 16,078,676 | (19,292,220 | ) | |||||
Net income allocated from investment in Graham Cash Assets LLC | (175,370 | ) | (233,266 | ) | ||||
Proceeds from sale of investments in Master Funds | 119,195,545 | 180,787,067 | ||||||
Proceeds from sale of investments in Graham Cash Assets LLC | 101,552,403 | 203,188,288 | ||||||
(124,420,361 | ) | (142,317,540 | ) | |||||
Investments in Graham Cash Assets LLC | (80,641,752 | ) | (140,811,787 | ) | ||||
Changes in assets and liabilities: | ||||||||
Accrued commission reimbursements | – | 165,510 | ||||||
Accrued brokerage fees | – | (568,525 | ) | |||||
Accrued advisory fees | (54,070 | ) | (191,647 | ) | ||||
Accrued sponsor fees | (28,043 | ) | (47,447 | ) | ||||
Accrued professional fees | (103,645 | ) | 302,676 | |||||
Accrued administrator’s fee | (3,078 | ) | 21,987 | |||||
Net cash provided by operating activities | 12,894,985 | 96,376,081 | ||||||
Cash flows used in financing activities | ||||||||
Subscriptions | 10,625,084 | 7,602,435 | ||||||
Redemptions | (23,520,069 | ) | (103,978,516 | ) | ||||
Net cash used in financing activities | (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 | $ | – | $ | – |
September 30, 2014 (Unaudited) | December 31, 2013 (Audited) | |||||||||||||||
Description | Fair Value | Percentage of Members’ Capital | Fair Value | Percentage of Members’ Capital | ||||||||||||
Investments in Master Funds, at fair value | ||||||||||||||||
Graham Commodity Strategies LLC | $ | 14,487,048 | 9.47 | % | $ | 11,687,704 | 6.47 | % | ||||||||
Graham Global Monetary Policy LLC | – | – | 5,538,724 | 3.07 | % | |||||||||||
Graham K4D Trading Ltd. | 14,834,821 | 9.69 | % | 16,532,784 | 9.16 | % | ||||||||||
Total investments in Master Funds | $ | 29,321,869 | 19.16 | % | $ | 33,759,212 | 18.70 | % |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2014 | 2013 | 2014 | 2013 | |||||||||||||
Net gain (loss) allocated from investments in Master Funds | ||||||||||||||||
Net realized gain (loss) on investments | $ | 14,018,712 | $ | (10,653,483 | ) | $ | 2,989,054 | $ | 15,598,439 | |||||||
Net increase (decrease) in unrealized appreciation on investments | 7,541,370 | 4,654,629 | 2,990,483 | (1,456,947 | ) | |||||||||||
Brokerage commissions and fees | (223,075 | ) | (200,801 | ) | (686,758 | ) | (1,032,426 | ) | ||||||||
Net gain (loss) allocated from investments in Master Funds | 21,337,007 | (6,199,655 | ) | 5,292,779 | 13,109,066 | |||||||||||
Net investment loss allocated from investments in Master Funds | (14,194 | ) | (7,460 | ) | (48,642 | ) | (23,961 | ) | ||||||||
Investment income | ||||||||||||||||
Interest income | 77,478 | 102,458 | 252,848 | 335,724 | ||||||||||||
Total investment income | 77,478 | 102,458 | 252,848 | 335,724 | ||||||||||||
Expenses | ||||||||||||||||
Advisory fees | 664,387 | 852,870 | 2,072,582 | 3,028,616 | ||||||||||||
Sponsor fees | 486,701 | 568,766 | 1,469,837 | 1,941,753 | ||||||||||||
Administrator’s fees | 52,785 | 63,526 | 160,567 | 226,120 | ||||||||||||
Professional fees and other | 45,155 | 38,516 | 148,056 | 479,690 | ||||||||||||
Total expenses | 1,249,028 | 1,523,678 | 3,851,042 | 5,676,179 | ||||||||||||
Net investment loss of the Fund | (1,171,550 | ) | (1,421,220 | ) | (3,598,194 | ) | (5,340,455 | ) | ||||||||
Net income (loss) | 20,151,263 | (7,628,335 | ) | 1,645,943 | 7,744,650 | |||||||||||
Incentive allocation | – | – | – | – | ||||||||||||
Net income (loss) available for pro-rata allocation to all members | $ | 20,151,263 | $ | (7,628,335 | ) | $ | 1,645,943 | $ | 7,744,650 |
Class 0 | Class 2 | Class M | Total | |||||||||||||||||||||||||
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 | |||||||||||||||||
Subscriptions | 56,996.343 | 6,920,000 | 20,155.025 | 1,896,683 | – | – | 8,816,683 | |||||||||||||||||||||
Redemptions | (760,799.085 | ) | (93,032,569 | ) | (78,934.223 | ) | (7,409,843 | ) | – | – | (100,442,412 | ) | ||||||||||||||||
Incentive allocation | – | – | – | – | – | – | – | |||||||||||||||||||||
Net income | – | 7,476,614 | – | 238,814 | – | 29,222 | 7,744,650 | |||||||||||||||||||||
Members’ capital, September 30, 2013 | 1,218,893.469 | $ | 142,240,484 | 424,350.121 | $ | 38,348,903 | 4,671.470 | $ | 835,517 | $ | 181,424,904 | |||||||||||||||||
Class 0 | Class 2 | Class M | Total | |||||||||||||||||||||||||
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 | |||||||||||||||||
Subscriptions | 43,982.787 | 5,119,787 | 90,020.783 | 8,039,515 | – | – | 13,159,302 | |||||||||||||||||||||
Redemptions | (305,032.529 | ) | (36,018,540 | ) | (71,107.304 | ) | (6,353,547 | ) | – | – | (42,372,087 | ) | ||||||||||||||||
Incentive allocation | – | – | – | – | – | – | – | |||||||||||||||||||||
Net income | – | 791,978 | – | 808,037 | – | 45,928 | 1,645,943 | |||||||||||||||||||||
Members’ capital, September 30, 2014 | 831,987.044 | $ | 109,496,244 | 425,927.030 | $ | 42,547,859 | 4,671.470 | $ | 966,160 | $ | 153,010,263 |
Nine Months Ended September 30, | ||||||||
2014 | 2013 | |||||||
Cash flows provided by operating activities | ||||||||
Net income | $ | 1,645,943 | $ | 7,744,650 | ||||
Adjustments to reconcile net income to net cash provided by operating activities: | ||||||||
Net income allocated from investments in Master Funds | (5,244,137 | ) | (13,085,105 | ) | ||||
Net income allocated from investment in Graham Cash Assets LLC | (252,848 | ) | (335,724 | ) | ||||
Proceeds from sale of investments in Master Funds | 179,274,652 | 231,980,828 | ||||||
Proceeds from sale of investments in Graham Cash Assets LLC | 142,348,843 | 257,264,825 | ||||||
Investments in Master Funds | (169,577,770 | ) | (198,525,687 | ) | ||||
Investments in Graham Cash Assets LLC | (121,373,667 | ) | (175,262,636 | ) | ||||
Changes in assets and liabilities: | ||||||||
Accrued commission reimbursements | – | 165,510 | ||||||
Accrued brokerage fees | – | (568,525 | ) | |||||
Accrued advisory fees | (45,000 | ) | (221,300 | ) | ||||
Accrued sponsor fees | (17,677 | ) | (64,853 | ) | ||||
Accrued professional fees | (123,342 | ) | 230,964 | |||||
Accrued administrator’s fee | (2,346 | ) | 19,976 | |||||
Net cash provided by operating activities | 26,632,651 | 109,342,923 | ||||||
Cash flows used in financing activities | ||||||||
Subscriptions | 13,159,302 | 8,816,683 | ||||||
Redemptions | (39,791,953 | ) | (118,159,606 | ) | ||||
Net cash used in financing activities | (26,632,651 | ) | (109,342,923 | ) | ||||
Net change in cash and cash equivalents | – | – | ||||||
Cash and cash equivalents, beginning of period | – | – | ||||||
Cash and cash equivalents, end of period | $ | – | $ | – |
Master Fund | Consolidation Date |
Graham Macro Directional LLC | August 21, 2014 |
Graham Global Monetary Policy LLC | August 26, 2014 |
· | 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. |
June 30, 2014 | ||||||||||||||||||||||||||||||||
Investment – Objective | 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. | 10.83 | % | $ | 15,821,984 | $ | 6,938,902 | $ | (2,217,635 | ) | |||||||||||||||||||||||
Global Macro Funds | ||||||||||||||||||||||||||||||||
Other Global Macro Funds (3) | 4.85 | % | 7,081,068 | (4,568,123 | ) | (13,861,041 | ) | |||||||||||||||||||||||||
15.68 | % | $ | 22,903,052 | $ | 2,370,779 | $ | (16,078,676 | ) | ||||||||||||||||||||||||
December 31, 2013 | ||||||||||||||||||||||||||||||||
September 30, 2014 | September 30, 2014 | |||||||||||||||||||||||||||||||
Investment – Objective | Percent of Members’ Capital | Fair Value | Net Income (three months ended June 30, 2013) | Net Income (six months ended June 30, 2013) | Percent of Members’ Capital | Fair Value | Net Income (three months then ended) | Net Income (loss) (nine months then ended) | ||||||||||||||||||||||||
Systematic Macro Funds | ||||||||||||||||||||||||||||||||
Graham K4D Trading Ltd. | 9.16 | % | $ | 16,532,784 | $ | (7,695,281 | ) | $ | 5,638,549 | 9.69 | % | $ | 14,834,821 | $ | 5,752,759 | $ | 3,535,124 | |||||||||||||||
Global Macro Funds | ||||||||||||||||||||||||||||||||
Graham Commodity Strategies LLC | 6.47 | % | 11,687,704 | 6,494,898 | 8,987,973 | 9.47 | % | 14,487,048 | 14,332,744 | 6,598,154 | ||||||||||||||||||||||
Other Global Macro Funds (1) | 3.07 | % | 5,538,724 | 1,563,423 | 4,665,698 | |||||||||||||||||||||||||||
Other Global Macro Funds (2) | 0.00 | % | - | 1,237,310 | (4,889,141 | ) | ||||||||||||||||||||||||||
18.70 | % | $ | 33,759,212 | $ | 363,040 | $ | 19,292,220 | 19.16 | % | $ | 29,321,869 | $ | 21,322,813 | $ | 5,244,137 |
December 31, 2013 | ||||||||||||||||
Investment – Objective | Percent of Members’ Capital | Fair Value | Net Income (Loss) (three months ended September 30, 2013) | Net Income (nine months ended September 30, 2013) | ||||||||||||
Systematic Macro Funds | ||||||||||||||||
Graham K4D Trading Ltd. | 9.16 | % | $ | 16,532,784 | $ | 3,757,481 | $ | 9,396,030 | ||||||||
Global Macro Funds | ||||||||||||||||
Graham Commodity Strategies LLC | 6.47 | % | 11,687,704 | (6,877,034 | ) | 2,111,065 | ||||||||||
Other Global Macro Funds (1) | 3.07 | % | 5,538,724 | (3,087,562 | ) | 1,578,010 | ||||||||||
18.70 | % | $ | 33,759,212 | $ | (6,207,115 | ) | $ | 13,085,105 |
Graham Commodity Strategies LLC (Delaware) | Graham Global Monetary Policy LLC (Delaware) | Graham K4D Trading Ltd. (BVI) | Graham Macro Directional LLC (Delaware) | Graham Commodity Strategies LLC (Delaware) | Graham K4D Trading Ltd. (BVI) | |||||||||||||||||||
Assets: | ||||||||||||||||||||||||
Due from brokers | $ | 45,259,243 | $ | 64,019,828 | $ | 112,686,906 | $ | 32,809,211 | $ | 256,486,730 | $ | 69,231,893 | ||||||||||||
Derivative financial instruments, at fair value | 22,846,698 | 700,126 | 34,232,795 | 14,918,731 | 71,757,554 | 71,128,726 | ||||||||||||||||||
Exchange membership, at fair value | 2,558,500 | - | 894,000 | - | 2,905,650 | 936,250 | ||||||||||||||||||
Dividends receivable | 9,869 | - | - | - | 9,870 | - | ||||||||||||||||||
Other assets | - | 119 | - | - | ||||||||||||||||||||
Total assets | 70,674,310 | 64,720,073 | 147,813,701 | 47,727,942 | 331,159,804 | 141,296,869 | ||||||||||||||||||
Liabilities: | ||||||||||||||||||||||||
Derivative financial instruments, at fair value | 1,773,557 | 1,235,247 | - | 363,000 | 1,858,701 | - | ||||||||||||||||||
Due to brokers | 403,349 | - | - | - | - | - | ||||||||||||||||||
Total liabilities | 2,176,906 | 1,235,247 | - | 363,000 | 1,858,701 | - | ||||||||||||||||||
Net assets | $ | 68,497,404 | $ | 63,484,826 | $ | 147,813,701 | $ | 47,364,942 | $ | 329,301,103 | $ | 141,296,869 | ||||||||||||
Percentage of Master Fund held by GAIT | 5.58 | % | 2.78 | % | 10.70 | % | 3.15 | % | 4.40 | % | 10.50 | % |
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 | $ | 1,202,902 | 1.76 | % | $ | (16,567,082 | ) | (5.03 | )% | |||||||||||||||
Currency | (92,701 | ) | (0.14 | )% | ||||||||||||||||||||
Foreign bond | 132,560 | 0.19 | % | 193,739 | 0.06 | % | ||||||||||||||||||
Foreign index | (20,010 | ) | (0.03 | )% | 210,930 | 0.06 | % | |||||||||||||||||
Interest rate | 3,199,697 | 4.67 | % | 323,091 | 0.10 | % | ||||||||||||||||||
U.S. bond | (98,586 | ) | (0.14 | )% | (105,016 | ) | (0.03 | )% | ||||||||||||||||
U.S. index | (287,500 | ) | (0.42 | )% | (163,100 | ) | (0.05 | )% | ||||||||||||||||
Total futures | 4,036,362 | 5.89 | % | (16,107,438 | ) | (4.89 | )% | |||||||||||||||||
Swaps | ||||||||||||||||||||||||
Commodity | (252,192 | ) | (0.37 | )% | ||||||||||||||||||||
Interest rate | 767,070 | 1.12 | % | (6,001,762 | ) | (1.82 | )% | |||||||||||||||||
Total swaps | 514,878 | 0.75 | % | (6,001,762 | ) | (1.82 | )% | |||||||||||||||||
Forwards | ||||||||||||||||||||||||
Foreign currency | (703,973 | ) | (1.03 | )% | (28,535,348 | ) | (8.67 | )% | ||||||||||||||||
Total forwards | (703,973 | ) | (1.03 | )% | (28,535,348 | ) | (8.67 | )% | ||||||||||||||||
Options (cost $66,397,275) | ||||||||||||||||||||||||
Options (cost $123,492,849) | ||||||||||||||||||||||||
Commodity futures | 11,603,214 | 16.93 | % | 33,810,707 | 10.27 | % | ||||||||||||||||||
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 | % | ||||||||||||||||||||
Australian dollar / U.S. dollar 10/10/14 - 12/16/14, $0.87 - $0.90 Put | 9 | 19,871,981 | 6.04 | % | ||||||||||||||||||||
Euro / U.S. dollar 10/07/14 - 08/17/15, $1.20 - $1.33 Put | 29 | 99,764,071 | 30.30 | % | ||||||||||||||||||||
U.S. dollar / Swiss franc 11/07/14 - 12/19/14, $0.93 - $0.97 Call | 12 | 23,099,177 | 7.01 | % | ||||||||||||||||||||
U.S. dollar / Japanese yen 10/17/14 - 03/23/15, $105.50 - $112.85 Call | 23 | 61,318,868 | 18.62 | % | ||||||||||||||||||||
Other currency | 9,157,428 | 13.37 | % | 30,519,161 | 9.27 | % | ||||||||||||||||||
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 | 2,839,741 | 4.15 | % | |||||||||||||||||||||
Interest rate futures | 5,557,724 | 1.69 | % | |||||||||||||||||||||
U.S. index futures | 313,750 | 0.46 | % | 576,250 | 0.17 | % | ||||||||||||||||||
Total options | 39,643,927 | 57.88 | % | 274,517,939 | 83.37 | % |
Description | 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 | $ | 18,055,619 | 5.49 | % | ||||||||
Foreign bond | (971,503 | ) | (0.30 | )% | ||||||||
Foreign index | 243,846 | 0.07 | % | |||||||||
Interest rate | 204,259 | 0.06 | % | |||||||||
U.S. bond | 218,657 | 0.07 | % | |||||||||
U.S. index | 1,450,375 | 0.44 | % | |||||||||
Total futures | 19,201,253 | 5.83 | % | |||||||||
Swaps | ||||||||||||
Commodity | (286,500 | ) | (0.09 | )% | ||||||||
Interest rate | 912,620 | 0.28 | % | |||||||||
Total swaps | 626,120 | 0.19 | % | |||||||||
Forwards | ||||||||||||
Foreign currency | 30,334,130 | 9.21 | % | |||||||||
Total forwards | 30,334,130 | 9.21 | % | |||||||||
Options (proceeds $113,774,515) | ||||||||||||
Commodity futures | (39,652,842 | ) | (12.04 | )% | ||||||||
Euro / U.S. dollar 10/02/14 - 03/17/15, $1.23 - $1.32 Put | 32 | (63,196,851 | ) | (19.19 | )% | |||||||
U.S. dollar / Japanese yen 10/17/14 - 03/23/15, $105.00 - $114.50 Call | 22 | (43,992,640 | ) | (13.36 | )% | |||||||
Other currency | (54,854,732 | ) | (16.66 | )% | ||||||||
Interest rate futures | (2,377,726 | ) | (0.72 | )% | ||||||||
U.S. Index | (61,250 | ) | (0.02 | )% | ||||||||
Total options | (204,136,041 | (61.99 | )% | |||||||||
Total derivative financial instruments | $ | 69,898,853 | 21.23 | % |
Description | Fair Value | Percentage of Members’ Capital of Master Fund | ||||||
Graham Commodity Strategies LLC (continued) | ||||||||
Derivative financial instruments (continued) | ||||||||
Short contracts | ||||||||
Futures | ||||||||
Commodity | $ | 217,705 | 0.32 | % | ||||
Foreign bond | (8,086 | ) | (0.01 | )% | ||||
Foreign index | (123 | ) | 0.00 | % | ||||
Interest rate | (1,165,670 | ) | (1.70 | )% | ||||
U.S. bond | (1,249,273 | ) | (1.83 | )% | ||||
U.S. index | 22,325 | 0.03 | % | |||||
Total futures | (2,183,122 | ) | (3.19 | )% | ||||
Swaps | ||||||||
Commodity | 112,638 | 0.16 | % | |||||
Interest rate | (2,847,093 | ) | (4.15 | )% | ||||
Total swaps | (2,734,455 | ) | (3.99 | )% | ||||
Forwards | ||||||||
Foreign currency | 2,646,191 | 3.86 | % | |||||
Total forwards | 2,646,191 | 3.86 | % | |||||
Options (proceeds $29,006,891) | ||||||||
Commodity Futures | (10,402,298 | ) | (15.18 | )% | ||||
Currency | (7,677,095 | ) | (11.21 | )% | ||||
Interest rate futures | (2,067,274 | ) | (3.02 | )% | ||||
Total options | (20,146,667 | ) | (29.41 | )% | ||||
Total derivative financial instruments | $ | 21,073,141 | 30.76 | % |
Description | Number of Contracts | Fair Value | Percentage of Members’ Capital of Master Fund | Number of Contracts | Fair Value | Percentage of Net Assets of Master Fund | ||||||||||||||||||
Graham Global Monetary Policy LLC | ||||||||||||||||||||||||
Graham K4D Trading Ltd. | ||||||||||||||||||||||||
Derivative financial instruments | ||||||||||||||||||||||||
Long contracts | ||||||||||||||||||||||||
Futures | ||||||||||||||||||||||||
Commodity | $ | 73,523 | 0.12 | % | $ | (7,675,518 | ) | (5.43 | )% | |||||||||||||||
Currency | 1,909,080 | 1.35 | % | |||||||||||||||||||||
Foreign bond | 890,312 | 1.40 | % | 5,849,530 | 4.14 | % | ||||||||||||||||||
Foreign index | (9,347 | ) | (0.01 | )% | (43,036 | ) | (0.03 | )% | ||||||||||||||||
90-day Eurodollar March 2015 - March 2018 | 12,000 | 4,816,575 | 7.58 | % | ||||||||||||||||||||
Other interest rate | 368,496 | 0.58 | % | |||||||||||||||||||||
Interest rate | 342,402 | 0.24 | % | |||||||||||||||||||||
U.S. bond | 105,937 | 0.17 | % | (1,638,175 | ) | (1.16 | )% | |||||||||||||||||
U.S. index | 136,165 | 0.21 | % | (3,290,119 | ) | (2.33 | )% | |||||||||||||||||
Total futures | 6,381,661 | 10.05 | % | (4,545,836 | ) | (3.22 | )% | |||||||||||||||||
Forwards | ||||||||||||||||||||||||
Foreign currency | 1,440,277 | 2.27 | % | (13,536,351 | ) | (9.58 | )% | |||||||||||||||||
Total forwards | 1,440,277 | 2.27 | % | (13,536,351 | ) | (9.58 | )% | |||||||||||||||||
Options (cost $7,763,553) | ||||||||||||||||||||||||
Foreign currency | 1,279,939 | 2.02 | % | |||||||||||||||||||||
Interest rate futures | 234,375 | 0.37 | % | |||||||||||||||||||||
Total options | 1,514,314 | 2.39 | % | |||||||||||||||||||||
Short contracts | ||||||||||||||||||||||||
Futures | ||||||||||||||||||||||||
Corn December 2014 | (1,956 | ) | 8,848,222 | 6.26 | % | |||||||||||||||||||
Wheat December 2014 | (1,834 | ) | 10,180,435 | 7.21 | % | |||||||||||||||||||
Commodity | 433,863 | 0.68 | % | 29,562,645 | 20.92 | % | ||||||||||||||||||
Currency | 1,567,945 | 1.11 | % | |||||||||||||||||||||
Foreign bond | (108,026 | ) | (0.17 | )% | (378,401 | ) | (0.27 | )% | ||||||||||||||||
Foreign index | 451,551 | 0.71 | % | 365,144 | 0.26 | % | ||||||||||||||||||
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 | % | |||||||||||||||||||||
Interest rate | 665,227 | 0.47 | % | |||||||||||||||||||||
U.S. bond | (205,000 | ) | (0.32 | )% | 131,400 | 0.10 | % | |||||||||||||||||
U.S. index | 606,807 | 0.43 | % | |||||||||||||||||||||
Total futures | (5,915,910 | ) | (9.32 | )% | 51,549,424 | 36.49 | % | |||||||||||||||||
Forwards | ||||||||||||||||||||||||
Foreign currency | 37,661,489 | 26.65 | % | |||||||||||||||||||||
Total forwards | 37,661,489 | 26.65 | % | |||||||||||||||||||||
Total derivative financial instruments | $ | 71,128,726 | 50.34 | % |
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 | 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 | Number of Contracts | Fair Value | Percentage of Members’ Capital of Master Fund | |||||||||
Graham Macro Directional LLC | ||||||||||||
Derivative financial instruments | ||||||||||||
Long contracts | ||||||||||||
Futures | ||||||||||||
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 | 15,175,719 | 32.04 | % | |||||||||
Forwards | ||||||||||||
Foreign currency | 426,928 | 0.90 | % | |||||||||
Total forwards | 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 | ||||||||||||
Interest rate | (275,000 | ) | (0.58 | )% | ||||||||
Foreign bond | (49,363 | ) | (0.10 | )% | ||||||||
Total futures | (324,363 | ) | (0.68 | )% | ||||||||
Forwards | ||||||||||||
Foreign currency | (789,928 | ) | (1.67 | )% | ||||||||
Total forwards | (789,928 | ) | (1.67 | )% | ||||||||
Total derivative financial instruments | $ | 14,555,731 | 30.73 | % |
Graham Commodity Strategies LLC | Graham Global Monetary Policy LLC | Graham K4D Trading Ltd. | Graham Macro Directional LLC | Graham Commodity Strategies LLC | Graham K4D Trading Ltd. | |||||||||||||||||||
Assets | ||||||||||||||||||||||||
Level 1: | ||||||||||||||||||||||||
U.S. bond futures | $ | 313 | $ | 105,937 | $ | 2,385,135 | $ | 11,801,203 | ||||||||||||||||
U.S. bond futures options | - | - | - | 62,500 | ||||||||||||||||||||
Foreign bond futures | 159,142 | 890,312 | 12,371,095 | 3,374,516 | ||||||||||||||||||||
Foreign index futures | 95,033 | 591,147 | 2,012,391 | - | ||||||||||||||||||||
Foreign index futures options | - | - | - | - | ||||||||||||||||||||
U.S. index futures | 22,325 | 136,165 | 4,303,092 | - | ||||||||||||||||||||
U.S. index futures options | 313,750 | - | - | - | ||||||||||||||||||||
Commodity futures | 6,112,217 | 623,546 | 16,484,143 | - | $ | 21,919,942 | $ | 51,016,846 | ||||||||||||||||
Commodity futures options | 11,988,213 | - | - | 4,875 | 33,930,707 | - | ||||||||||||||||||
Commodity swaps | 337,330 | - | - | - | 524,875 | - | ||||||||||||||||||
Currency futures | - | 3,780,415 | ||||||||||||||||||||||
Foreign bond futures | 194,611 | 7,321,917 | ||||||||||||||||||||||
Foreign index futures | 1,219,678 | 4,579,983 | ||||||||||||||||||||||
Interest rate futures | 3,279,199 | 5,538,969 | 1,767,816 | - | 836,493 | 1,196,635 | ||||||||||||||||||
Interest rate futures options | 6,645,991 | 234,375 | - | - | 5,557,724 | - | ||||||||||||||||||
Currency futures | - | - | 3,398,600 | - | ||||||||||||||||||||
U.S. bond futures | 421,266 | 224,116 | ||||||||||||||||||||||
U.S. index futures | 1,453,500 | 609,569 | ||||||||||||||||||||||
U.S. index futures options | 576,250 | - | ||||||||||||||||||||||
Total Level 1 | 28,953,513 | 8,120,451 | 42,722,272 | 15,243,094 | 66,635,046 | 68,729,481 | ||||||||||||||||||
Level 2: | ||||||||||||||||||||||||
Foreign currency forwards | 5,408,132 | 2,383,003 | 12,940,117 | 426,928 | 35,579,571 | 37,805,112 | ||||||||||||||||||
Foreign currency options | 21,080,972 | 1,279,939 | - | - | 234,573,258 | - | ||||||||||||||||||
Interest rate swaps | 767,070 | - | - | - | 912,620 | - | ||||||||||||||||||
Total Level 2 | 27,256,174 | 3,662,942 | 12,940,117 | 426,928 | 271,065,449 | 37,805,112 | ||||||||||||||||||
Total investment related assets | $ | 56,209,687 | $ | 11,783,393 | $ | 55,662,389 | $ | 15,670,022 | $ | 337,700,495 | $ | 106,534,593 | ||||||||||||
Liabilities | ||||||||||||||||||||||||
Level 1: | ||||||||||||||||||||||||
U.S. bond futures | $ | (1,348,172 | ) | $ | (205,000 | ) | $ | (1,264,583 | ) | $ | - | |||||||||||||
Foreign bond futures | (34,668 | ) | (108,026 | ) | (399,833 | ) | (49,363 | ) | ||||||||||||||||
Foreign index futures | (115,166 | ) | (148,943 | ) | (2,616,672 | ) | - | |||||||||||||||||
U.S. index futures | (287,500 | ) | - | (574,314 | ) | - | ||||||||||||||||||
U.S. index futures options | - | - | - | - | ||||||||||||||||||||
Commodity futures | (4,691,610 | ) | (116,160 | ) | (13,259,524 | ) | - | $ | (20,431,405 | ) | $ | (10,101,062 | ) | |||||||||||
Commodity futures options | (10,787,297 | ) | - | - | - | (39,772,842 | ) | - | ||||||||||||||||
Commodity swaps | (476,884 | ) | - | - | - | (811,375 | ) | - | ||||||||||||||||
Currency futures | - | (303,390 | ) | |||||||||||||||||||||
Foreign bond futures | (972,375 | ) | (1,850,788 | ) | ||||||||||||||||||||
Foreign index futures | (764,902 | ) | (4,257,875 | ) | ||||||||||||||||||||
Interest rate futures | (1,245,172 | ) | (6,842,196 | ) | (30,176 | ) | (275,000 | ) | (309,143 | ) | (189,006 | ) | ||||||||||||
Interest rate futures options | (2,067,274 | ) | - | - | - | (2,377,726 | ) | - | ||||||||||||||||
Currency futures | (92,701 | ) | - | (1,181,385 | ) | - | ||||||||||||||||||
U.S. bond futures | (307,625 | ) | (1,730,891 | ) | ||||||||||||||||||||
U.S. index futures | (166,225 | ) | (3,292,881 | ) | ||||||||||||||||||||
U.S. index futures options | (61,250 | ) | - | |||||||||||||||||||||
Total Level 1 | (21,146,444 | ) | (7,420,325 | ) | (19,326,487 | ) | (324,363 | ) | (65,974,868 | ) | (21,725,893 | ) | ||||||||||||
Level 2: | ||||||||||||||||||||||||
Foreign currency forwards | (3,465,914 | ) | (3,440,599 | ) | (2,103,107 | ) | (789,928 | ) | (33,780,789 | ) | (13,679,974 | ) | ||||||||||||
Foreign currency options | (7,677,095 | ) | (1,457,590 | ) | - | - | (162,044,223 | ) | - | |||||||||||||||
Interest rate swaps | (2,847,093 | ) | - | - | - | (6,001,762 | ) | - | ||||||||||||||||
Total Level 2 | (13,990,102 | ) | (4,898,189 | ) | (2,103,107 | ) | (789,928 | ) | (201,826,774 | ) | (13,679,974 | ) | ||||||||||||
Total investment related liabilities | $ | (35,136,546 | ) | $ | (12,318,514 | ) | $ | (21,429,594 | ) | $ | (1,114,291 | ) | $ | (267,801,642 | ) | $ | (35,405,867 | ) |
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 | $ | 197,598,985 | 3,011 | $ | (157,139,915 | ) | (2,423 | ) | $ | 6,112,217 | $ | (4,691,610 | ) | $ | 268,630,568 | 3,230 | $ | (369,698,201 | ) | (5,660 | ) | $ | 21,919,942 | $ | (20,431,405 | ) | ||||||||||||||||||||||
Options(a) | 164,355,845 | 10,675 | (122,669,795 | ) | (8,760 | ) | 11,988,213 | (10,787,297 | ) | |||||||||||||||||||||||||||||||||||||||
Options(a) | 272,054,706 | 13,303 | (338,483,800 | ) | (17,275 | ) | 33,930,707 | (39,772,842 | ) | |||||||||||||||||||||||||||||||||||||||
Swaps | 22,995,568 | 2,144 | (12,014,443 | ) | (2,226 | ) | 337,330 | (476,884 | ) | - | - | (48,924,000 | ) | (4,800 | ) | 524,875 | (811,375 | ) | ||||||||||||||||||||||||||||||
384,950,398 | 15,830 | (291,824,153 | ) | (13,409 | ) | 18,437,760 | (15,955,791 | ) | 540,685,274 | 16,533 | (757,106,001 | ) | (27,735 | ) | 56,375,524 | (61,015,622 | ) | |||||||||||||||||||||||||||||||
Equity price | ||||||||||||||||||||||||||||||||||||||||||||||||
Futures | 85,171,633 | 2,110 | (110,215,192 | ) | (1,126 | ) | 117,358 | (402,666 | ) | 124,736,858 | 1,512 | (268,034,402 | ) | (2,887 | ) | 2,673,178 | (931,127 | ) | ||||||||||||||||||||||||||||||
Options(a) | - | - | (19,705,606 | ) | (3,000 | ) | 313,750 | - | ||||||||||||||||||||||||||||||||||||||||
Options(a) | 5,713,935 | 2 | (29,522,026 | ) | (3 | ) | 576,250 | (61,250 | ) | |||||||||||||||||||||||||||||||||||||||
85,171,633 | 2,110 | (129,920,798 | ) | (4,126 | ) | 431,108 | (402,666 | ) | 130,450,793 | 1,514 | (297,556,428 | ) | (2,890 | ) | 3,249,428 | (992,377 | ) | |||||||||||||||||||||||||||||||
Foreign currency exchange rate | ||||||||||||||||||||||||||||||||||||||||||||||||
Forwards | 435,801,390 | N/A | (353,488,361 | ) | N/A | 5,408,132 | (3,465,914 | ) | 1,525,083,131 | N/A | (1,807,138,092 | ) | N/A | 35,579,571 | (33,780,789 | ) | ||||||||||||||||||||||||||||||||
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 | ) | |||||||||||||||||||||||||||||||||||||||
Options(a) | 7,368,959,578 | 139 | (7,243,200,245 | ) | (146 | ) | 234,573,258 | (162,044,223 | ) | |||||||||||||||||||||||||||||||||||||||
1,519,065,899 | 176 | (1,986,460,361 | ) | (54 | ) | 26,489,104 | (11,235,710 | ) | 8,894,042,709 | 139 | (9,050,338,337 | ) | (146 | ) | 270,152,829 | (195,825,012 | ) | |||||||||||||||||||||||||||||||
Interest rate | ||||||||||||||||||||||||||||||||||||||||||||||||
Futures | 4,727,274,877 | 19,580 | (3,177,250,491 | ) | (14,588 | ) | 3,438,654 | (2,628,012 | ) | 4,811,073,812 | 18,258 | (2,510,105,204 | ) | (11,351 | ) | 1,452,370 | (1,589,143 | ) | ||||||||||||||||||||||||||||||
Options(a) | 1,556,616,282 | 67,625 | (1,142,631,049 | ) | (73,000 | ) | 6,645,991 | (2,067,274 | ) | |||||||||||||||||||||||||||||||||||||||
Options(a) | 1,483,144,663 | 18 | (2,473,157,345 | ) | (19 | ) | 5,557,724 | (2,377,726 | ) | |||||||||||||||||||||||||||||||||||||||
Swaps | 478,698,158 | 2 | (449,316,307 | ) | (3 | ) | 767,070 | (2,847,093 | ) | 1,258,329,586 | 7 | (1,258,329,586 | ) | (7 | ) | 912,620 | (6,001,762 | ) | ||||||||||||||||||||||||||||||
6,762,589,317 | 87,207 | (4,769,197,847 | ) | (87,591 | ) | 10,851,715 | (7,542,379 | ) | 7,552,548,061 | 18,283 | (6,241,592,135 | ) | (11,377 | ) | 7,922,714 | (9,968,631 | ) | |||||||||||||||||||||||||||||||
Total | $ | 8,751,777,247 | 105,323 | $ | (7,177,403,159 | ) | (105,180 | ) | $ | 56,209,687 | $ | (35,136,546 | ) | $ | 17,117,726,837 | 36,469 | $ | (16,346,592,901 | ) | (42,148 | ) | $ | 337,700,495 | $ | (267,801,642 | ) | ||||||||||||||||||||||
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). | $ | (2,080,023 | ) | Aggregate fair value of derivative instruments subject to credit-risk related contingent features (as described in Note 2). | $ | (5,375,642 | ) |
(a) | Notional amounts for options are based on the delta-adjusted positions. |
Graham Global Monetary Policy LLC | Graham K4D Trading Ltd. | |||||||||||||||||||||||||||||||||||||||||||||||
Long exposure | Short exposure | Long exposure | Short exposure | |||||||||||||||||||||||||||||||||||||||||||||
Notional amounts | Number of contracts | Notional amounts | Number of contracts | Derivative Assets | Derivative Liabilities | Notional amounts | Number of contracts | Notional amounts | Number of contracts | Derivative Assets | Derivative Liabilities | |||||||||||||||||||||||||||||||||||||
Commodity price | ||||||||||||||||||||||||||||||||||||||||||||||||
Futures | $ | 45,089,135 | 426 | $ | (7,522,125 | ) | (130 | ) | $ | 623,546 | $ | (116,160 | ) | $ | 262,927,295 | 4,069 | $ | (730,958,673 | ) | (12,246 | ) | $ | 51,016,846 | $ | (10,101,062 | ) | ||||||||||||||||||||||
45,089,135 | 426 | (7,522,125 | ) | (130 | ) | 623,546 | (116,160 | ) | 262,927,295 | 4,069 | (730,958,673 | ) | (12,246 | ) | 51,016,846 | (10,101,062 | ) | |||||||||||||||||||||||||||||||
Equity price | ||||||||||||||||||||||||||||||||||||||||||||||||
Futures | 27,734,778 | 231 | (75,234,155 | ) | (1,005 | ) | 727,312 | (148,943 | ) | 828,682,906 | 9,286 | (55,148,854 | ) | (586 | ) | 5,189,552 | (7,550,756 | ) | ||||||||||||||||||||||||||||||
27,734,778 | 231 | (75,234,155 | ) | (1,005 | ) | 727,312 | (148,943 | ) | 828,682,906 | 9,286 | (55,148,854 | ) | (586 | ) | 5,189,552 | (7,550,756 | ) | |||||||||||||||||||||||||||||||
Foreign currency exchange rate | ||||||||||||||||||||||||||||||||||||||||||||||||
Forwards | 446,619,900 | N/A | (173,841,319 | ) | N/A | 2,383,003 | (3,440,599 | ) | 754,252,020 | N/A | (1,583,354,524 | ) | N/A | 37,805,112 | (13,679,974 | ) | ||||||||||||||||||||||||||||||||
Options(a) | 289,673,150 | 21 | (87,908,900 | ) | (15 | ) | 1,279,939 | (1,457,590 | ) | |||||||||||||||||||||||||||||||||||||||
Futures | 174,679,359 | 1,944 | (83,017,560 | ) | (669 | ) | 3,780,415 | (303,390 | ) | |||||||||||||||||||||||||||||||||||||||
928,931,379 | 1,944 | (1,666,372,084 | ) | (669 | ) | 41,585,527 | (13,983,364 | ) | ||||||||||||||||||||||||||||||||||||||||
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 | ) | 5,764,106,720 | 30,432 | (1,657,675,266 | ) | (7,435 | ) | 8,742,668 | (3,770,685 | ) | ||||||||||||||||||||||||||||||
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 | ) | 5,764,106,720 | 30,432 | (1,657,675,266 | ) | (7,435 | ) | 8,742,668 | (3,770,685 | ) | |||||||||||||||||||||||||||||||
Total | $ | 6,195,779,797 | 23,838 | $ | (12,822,802,882 | ) | (53,360 | ) | $ | 11,783,393 | $ | (12,318,514 | ) | $ | 7,784,648,300 | 45,731 | $ | (4,110,154,877 | ) | (20,936 | ) | $ | 106,534,593 | $ | (35,405,867 | ) |
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 | ) |
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 | $ | 56,209,687 | $ | (33,362,989 | ) | $ | 22,846,698 | $ | - | $ | 22,846,698 | $ | 337,700,495 | $ | (265,942,941 | ) | $ | 71,757,554 | $ | - | $ | 71,757,554 | ||||||||||||||||||
Derivative liabilities | (35,136,546 | ) | 33,362,989 | (1,773,557 | ) | 1,773,557 | - | (267,801,642 | ) | 265,942,941 | (1,858,701 | ) | 1,858,701 | - | ||||||||||||||||||||||||||
Graham Global Monetary Policy LLC2 | ||||||||||||||||||||||||||||||||||||||||
Graham K4D Trading Ltd.2 | ||||||||||||||||||||||||||||||||||||||||
Derivative assets | 11,783,393 | (11,083,267 | ) | 700,126 | - | 700,126 | 106,534,593 | (35,405,867 | ) | 71,128,726 | - | 71,128,726 | ||||||||||||||||||||||||||||
Derivative liabilities | (12,318,514 | ) | 11,083,267 | (1,235,247 | ) | 1,235,247 | - | (35,405,867 | ) | 35,405,867 | - | - | - | |||||||||||||||||||||||||||
Graham K4D Trading Ltd.3 | ||||||||||||||||||||||||||||||||||||||||
Derivative assets | 55,662,389 | (21,429,594 | ) | 34,232,795 | - | 34,232,795 | ||||||||||||||||||||||||||||||||||
Derivative liabilities | (21,429,594 | ) | 21,429,594 | - | - | - | ||||||||||||||||||||||||||||||||||
Graham Macro Directional LLC 4 | ||||||||||||||||||||||||||||||||||||||||
Derivative assets | 15,670,022 | (751,291 | ) | 14,918,731 | - | 14,918,731 | ||||||||||||||||||||||||||||||||||
Derivative liabilities | (1,114,291 | ) | 751,291 | (363,000 | ) | 363,000 | - |
Three Months Ended June 30, 2014 | Three Months Ended September 30, 2014 | |||||||||||||||||||||||||||||||
Graham Commodity Strategies LLC | Graham Global Monetary Policy LLC | Graham K4D Trading Ltd. | Graham Macro Directional LLC | 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 | ) | $ | (8,345 | ) | $ | (1,984 | ) | $ | (24,555 | ) | $ | (19,401 | ) | ||||||||
Net realized gain (loss) on investments | (17,770,582 | ) | (24,442,350 | ) | 30,579,837 | (51,380,248 | ) | 242,727,655 | (2,745,543 | ) | 17,198,682 | 41,231,330 | ||||||||||||||||||||
Net increase (decrease) in unrealized appreciation on investments | (21,318,667 | ) | (8,041,306 | ) | 33,961,241 | 13,556,276 | 85,512,029 | 3,051,230 | 37,132,200 | (12,799,692 | ) | |||||||||||||||||||||
Brokerage commissions and fees | (2,410,821 | ) | (1,348,581 | ) | (276,260 | ) | (575,164 | ) | (3,452,347 | ) | (806,770 | ) | (294,946 | ) | (313,883 | ) | ||||||||||||||||
Net gain (loss) on investments | (41,500,070 | ) | (33,832,237 | ) | 64,264,818 | (38,399,136 | ) | 324,787,337 | (501,083 | ) | 54,035,936 | 28,117,755 | ||||||||||||||||||||
Net income (loss) | $ | (41,508,333 | ) | $ | (33,837,075 | ) | $ | 64,255,696 | $ | (38,405,730 | ) | $ | 324,778,992 | $ | (503,067 | ) | $ | 54,011,381 | $ | 28,098,354 |
Six Months Ended June 30, 2014 | Nine Months Ended September 30, 2014 | |||||||||||||||||||||||||||||||
Graham Commodity Strategies LLC | Graham Global Monetary Policy LLC | Graham K4D Trading Ltd. | Graham Macro Directional LLC | 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 | ) | $ | (33,512 | ) | $ | (22,173 | ) | $ | (63,389 | ) | $ | (28,701 | ) | ||||||||
Net realized loss on investments | (78,448,483 | ) | (54,349,024 | ) | (18,627,897 | ) | (85,335,043 | ) | 164,279,172 | (57,094,567 | ) | (1,429,215 | ) | (44,103,713 | ) | |||||||||||||||||
Net decrease in unrealized appreciation on investments | (46,141,879 | ) | (26,596,419 | ) | (7,591,697 | ) | (9,632,937 | ) | ||||||||||||||||||||||||
Net increase (decrease) in unrealized appreciation on investments | 39,370,150 | (23,545,189 | ) | 29,540,503 | (22,432,629 | ) | ||||||||||||||||||||||||||
Brokerage commissions and fees | (5,107,727 | ) | (3,032,881 | ) | (612,513 | ) | (877,889 | ) | (8,560,074 | ) | (3,839,651 | ) | (907,459 | ) | (1,191,772 | ) | ||||||||||||||||
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 | ) | ||||||||||||||||||||
Net gain (loss) on investments | 195,089,248 | (84,479,407 | ) | 27,203,829 | (67,728,114 | ) | ||||||||||||||||||||||||||
Net income (loss) | $ | 195,055,736 | $ | (84,501,580 | ) | $ | 27,140,440 | $ | (67,756,815 | ) |
Graham Commodity Strategies LLC | Graham Global Monetary Policy LLC | Graham K4D Trading Ltd. | Graham Macro Directional LLC | 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 | ) | $ | 503,663 | $ | (141,637 | ) | $ | 4,995,681 | $ | (716,138 | ) | ||||||||||
Options | 6,784,110 | - | - | (70,500 | ) | 891,208 | - | - | (4,500 | ) | ||||||||||||||||||||||
Swaps | 1,189,119 | - | - | - | (2,633,630 | ) | - | - | - | |||||||||||||||||||||||
7,303,258 | (2,077,230 | ) | (12,054,748 | ) | (818,735 | ) | (1,238,759 | ) | (141,637 | ) | 4,995,681 | (720,638 | ) | |||||||||||||||||||
Equity price | ||||||||||||||||||||||||||||||||
Equities | (69,800 | ) | - | 64,000 | - | 347,150 | - | 42,250 | - | |||||||||||||||||||||||
Futures | (1,494,509 | ) | (9,539,809 | ) | 27,809,919 | (1,790,835 | ) | 3,087,606 | (4,593,659 | ) | (8,674,499 | ) | (1,508,902 | ) | ||||||||||||||||||
Options | (9,955,785 | ) | - | - | - | (1,111,928 | ) | - | - | - | ||||||||||||||||||||||
(11,520,094 | ) | (9,539,809 | ) | 27,873,919 | (1,790,835 | ) | 2,322,828 | (4,593,659 | ) | (8,632,249 | ) | (1,508,902 | ) | |||||||||||||||||||
Foreign currency exchange rate | ||||||||||||||||||||||||||||||||
Forwards | (8,864,052 | ) | 1,995,771 | 4,838,703 | (34,460,893 | ) | 219,296,154 | (55,759 | ) | 31,526,278 | 24,434,098 | |||||||||||||||||||||
Futures | 347,869 | - | 1,025,685 | - | 561,561 | - | 5,178,328 | - | ||||||||||||||||||||||||
Options | (24,970,474 | ) | (1,425,623 | ) | - | (977,482 | ) | 116,221,458 | 577,467 | - | - | |||||||||||||||||||||
(33,486,657 | ) | 570,148 | 5,864,388 | (35,438,375 | ) | 336,079,173 | 521,708 | 36,704,606 | 24,434,098 | |||||||||||||||||||||||
Interest rate | ||||||||||||||||||||||||||||||||
Futures | 6,235,283 | (18,698,482 | ) | 42,857,519 | (71,340 | ) | 236,994 | 4,706,775 | 21,262,844 | 6,102,081 | ||||||||||||||||||||||
Options | (8,923,023 | ) | (2,738,283 | ) | - | 295,313 | (5,263,011 | ) | (187,500 | ) | - | 124,999 | ||||||||||||||||||||
Swaps | 1,301,984 | - | - | - | (3,897,541 | ) | - | - | - | |||||||||||||||||||||||
(1,385,756 | ) | (21,436,765 | ) | 42,857,519 | 223,973 | (8,923,558 | ) | 4,519,275 | 21,262,844 | 6,227,080 | ||||||||||||||||||||||
Total | $ | (39,089,249 | ) | $ | (32,483,656 | ) | $ | 64,541,078 | $ | (37,823,972 | ) | $ | 328,239,684 | $ | 305,687 | $ | 54,330,882 | $ | 28,431,638 |
Graham Commodity Strategies LLC | Graham Global Monetary Policy LLC | Graham K4D Trading Ltd. | Graham Macro Directional LLC | Graham Commodity Strategies LLC | Graham Global Monetary Policy LLC * | Graham K4D Trading Ltd. | Graham Macro Directional LLC ** | |||||||||||||||||||||||||
Commodity price | ||||||||||||||||||||||||||||||||
Futures | $ | (11,643,119 | ) | $ | (2,947,823 | ) | $ | (72,184,162 | ) | $ | 2,030,823 | $ | (11,139,456 | ) | $ | (3,089,460 | ) | $ | (67,188,481 | ) | $ | 1,314,685 | ||||||||||
Options | 5,557,738 | - | - | 66,406 | 6,448,946 | - | - | 61,906 | ||||||||||||||||||||||||
Swaps | (739,008 | ) | - | - | - | (3,372,638 | ) | - | - | - | ||||||||||||||||||||||
(6,824,389 | ) | (2,947,823 | ) | (72,184,162 | ) | 2,097,229 | (8,063,148 | ) | (3,089,460 | ) | (67,188,481 | ) | 1,376,591 | |||||||||||||||||||
Equity price | ||||||||||||||||||||||||||||||||
Equities | (235,800 | ) | - | 39,750 | - | 111,350 | - | 82,000 | - | |||||||||||||||||||||||
Futures | 1,553,574 | (25,484,480 | ) | (16,142,601 | ) | (7,096,413 | ) | 4,641,180 | (30,078,139 | ) | (24,817,100 | ) | (8,605,315 | ) | ||||||||||||||||||
Options | (18,378,430 | ) | - | - | - | (19,490,358 | ) | - | - | - | ||||||||||||||||||||||
(17,060,656 | ) | (25,484,480 | ) | (16,102,851 | ) | (7,096,413 | ) | (14,737,828 | ) | (30,078,139 | ) | (24,735,100 | ) | (8,605,315 | ) | |||||||||||||||||
Foreign currency exchange rate | ||||||||||||||||||||||||||||||||
Forwards | 3,567,825 | (36,469,062 | ) | 16,967,155 | (79,806,383 | ) | 222,863,979 | (36,524,821 | ) | 48,493,433 | (55,372,285 | ) | ||||||||||||||||||||
Futures | 347,869 | - | (1,600,003 | ) | - | 909,430 | - | 3,578,325 | - | |||||||||||||||||||||||
Options | (89,782,907 | ) | 5,502,129 | - | (1,889,306 | ) | 26,438,551 | 6,079,596 | - | (1,889,306 | ) | |||||||||||||||||||||
(85,867,213 | ) | (30,966,933 | ) | 15,367,152 | (81,695,689 | ) | 250,211,960 | (30,445,225 | ) | 52,071,758 | (57,261,591 | ) | ||||||||||||||||||||
Interest rate | ||||||||||||||||||||||||||||||||
Futures | (3,795,048 | ) | (18,176,065 | ) | 46,700,267 | (8,568,420 | ) | (3,558,054 | ) | (13,469,290 | ) | 67,963,111 | (2,466,339 | ) | ||||||||||||||||||
Options | (8,744,800 | ) | (3,370,142 | ) | - | 295,313 | (14,007,811 | ) | (3,557,642 | ) | - | 420,312 | ||||||||||||||||||||
Swaps | (2,298,256 | ) | - | - | - | (6,195,797 | ) | - | - | - | ||||||||||||||||||||||
(14,838,104 | ) | (21,546,207 | ) | 46,700,267 | (8,273,107 | ) | (23,761,662 | ) | (17,026,932 | ) | 67,963,111 | (2,046,027 | ) | |||||||||||||||||||
Total | $ | (124,590,362 | ) | $ | (80,945,443 | ) | $ | (26,219,594 | ) | $ | (94,967,980 | ) | $ | 203,649,322 | $ | (80,639,756 | ) | $ | 28,111,288 | $ | (66,536,342 | ) |
Graham Commodity Strategies 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) | |||||||||||||||||||
Assets: | ||||||||||||||||||||||||
Due from brokers | $ | 129,230,754 | $ | 102,705,866 | $ | 127,824,315 | $ | 129,230,754 | $ | 102,705,866 | $ | 127,824,315 | ||||||||||||
Derivative financial instruments, at fair value | 80,129,304 | 13,304,071 | 41,566,974 | 80,129,304 | 13,304,071 | 41,566,974 | ||||||||||||||||||
Exchange membership, at fair value | 2,794,300 | - | 854,250 | 2,794,300 | - | 854,250 | ||||||||||||||||||
Dividends receivable | 64,050 | - | - | 64,050 | - | - | ||||||||||||||||||
Other assets | - | 118 | - | - | 118 | - | ||||||||||||||||||
Total assets | 212,218,408 | 116,010,055 | 170,245,539 | 212,218,408 | 116,010,055 | 170,245,539 | ||||||||||||||||||
Liabilities: | ||||||||||||||||||||||||
Derivative financial instruments, at fair value | - | 9,593,764 | - | - | 9,593,764 | - | ||||||||||||||||||
Total liabilities | - | 9,593,764 | - | - | 9,593,764 | - | ||||||||||||||||||
Net assets | $ | 212,218,408 | $ | 106,416,291 | $ | 170,245,539 | $ | 212,218,408 | $ | 106,416,291 | $ | 170,245,539 | ||||||||||||
Percentage of Master Fund held by GAIT | 5.51 | % | 5.20 | % | 9.71 | % | 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 | )% | 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 | )% | (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 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 | % | ||||||||||||||||||||
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 | % | ||||||||||||||||||||
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 | |||||||||
Graham Commodity Strategies LLC (continued) | ||||||||||||
Derivative financial instruments (continued) | ||||||||||||
Short contracts | ||||||||||||
Futures | ||||||||||||
Commodity | $ | 552,040 | 0.26 | % | ||||||||
Foreign bond | 87,993 | 0.04 | % | |||||||||
Interest rate | 6,976 | 0.00 | % | |||||||||
U.S. bond | (171,875 | ) | (0.08 | )% | ||||||||
Total futures | 475,134 | 0.22 | % | |||||||||
Swaps | ||||||||||||
Interest rate | 360,353 | 0.17 | % | |||||||||
Total swaps | 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 | % | |||||||||
Other foreign currency | (5,523,223 | ) | (2.60 | )% | ||||||||
Total forwards | 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 | )% | ||||||
U.S. dollar / Chinese yuan 03/07/14, $6.30 Put | (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 | )% | ||||||||
U.S. dollar / Japanese yen 04/08/14, $101.00 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 | )% | ||||||||
Other currency | (9,823,598 | ) | (4.63 | )% | ||||||||
U.S. bond | (312,500 | ) | (0.15 | )% | ||||||||
Total options | (69,988,537 | ) | (32.98 | )% | ||||||||
Total derivative financial instruments | $ | 80,129,304 | 37.76 | % |
Description | Notional Amount / 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 (continued) | ||||||||||||||||||||||
Derivative financial instruments (continued) | ||||||||||||||||||||||
Graham Global Monetary Policy LLC | ||||||||||||||||||||||
Derivative financial instruments | ||||||||||||||||||||||
Long contracts | ||||||||||||||||||||||
Futures | ||||||||||||||||||||||
Commodity | $ | 128,850 | 0.12 | % | ||||||||||||||||||
Foreign bond | 802,342 | 0.75 | % | |||||||||||||||||||
Foreign index | 2,765,027 | 2.60 | % | |||||||||||||||||||
Interest rate | (3,880,963 | ) | (3.64 | )% | ||||||||||||||||||
U.S. index | 3,250,338 | 3.05 | % | |||||||||||||||||||
Total futures | 3,065,594 | 2.88 | % | |||||||||||||||||||
Forwards | ||||||||||||||||||||||
Foreign currency | 3,290,191 | 3.09 | % | |||||||||||||||||||
Total forwards | 3,290,191 | 3.09 | % | |||||||||||||||||||
Options (cost $6,242,152) | ||||||||||||||||||||||
Foreign currency | 2,049,584 | 1.93 | % | |||||||||||||||||||
Total options | 2,049,584 | 1.93 | % | |||||||||||||||||||
Short contracts | ||||||||||||||||||||||
Futures | ||||||||||||||||||||||
Commodity | $ | 552,040 | 0.26 | % | 267,000 | 0.25 | % | |||||||||||||||
Foreign bond | 87,993 | 0.04 | % | 1,047,621 | 0.98 | % | ||||||||||||||||
Foreign index | (1,017,217 | ) | (0.96 | )% | ||||||||||||||||||
Interest rate | 6,976 | 0.00 | % | 6,236,193 | 5.87 | % | ||||||||||||||||
U.S. bond | (171,875 | ) | (0.08 | )% | 3,700,384 | 3.48 | % | |||||||||||||||
Total futures | 475,134 | 0.22 | % | 10,233,981 | 9.62 | % | ||||||||||||||||
Swaps | ||||||||||||||||||||||
Interest rate | 360,353 | 0.17 | % | |||||||||||||||||||
Total swaps | 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 | % | |||||||||||||||||||
Other foreign currency | (5,523,223 | ) | (2.60 | )% | ||||||||||||||||||
Foreign currency | (1,978,963 | ) | (1.86 | )% | ||||||||||||||||||
Total forwards | 33,332,723 | 15.71 | % | (1,978,963 | ) | (1.86 | )% | |||||||||||||||
Options (proceeds $50,564,049) | ||||||||||||||||||||||
U.S. dollar / Chinese yuan 03/07/14, $6.23 Put | (4) | (11,882,525 | ) | (5.60 | )% | |||||||||||||||||
U.S. dollar / Chinese yuan 03/07/14, $6.30 Put | (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 | )% | ||||||||||||||||||
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 | )% | ||||||||||||||||||
Other currency | (9,823,598 | ) | (4.63 | )% | ||||||||||||||||||
U.S. bond | (312,500 | ) | (0.15 | )% | ||||||||||||||||||
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 | )% | |||||||||||||||||
Total options | (69,988,537 | ) | (32.98 | )% | (12,950,080 | ) | (12.17 | )% | ||||||||||||||
Total derivative financial instruments | $ | 80,129,304 | 37.76 | % | $ | 3,710,307 | 3.49 | % |
Description | Number of Contracts | Fair Value | Percentage of Members’ Capital of Master Fund | Fair Value | Percentage of Net Assets of Master Fund | ||||||||||||
Graham Global Monetary Policy LLC | |||||||||||||||||
Graham K4D Trading Ltd. | |||||||||||||||||
Derivative financial instruments | |||||||||||||||||
Long contracts | |||||||||||||||||
Futures | |||||||||||||||||
Commodity | $ | 128,850 | 0.12 | % | $ | 2,119,535 | 1.24 | % | |||||||||
Currency | 338,275 | 0.20 | % | ||||||||||||||
Foreign bond | 802,342 | 0.75 | % | (3,988,711 | ) | (2.34 | )% | ||||||||||
Foreign index | 2,765,027 | 2.60 | % | 17,706,322 | 10.40 | % | |||||||||||
Interest rate | (3,880,963 | ) | (3.64 | )% | (4,219,151 | ) | (2.48 | )% | |||||||||
U.S. bond | (1,869,974 | ) | (1.10 | )% | |||||||||||||
U.S. index | 3,250,338 | 3.05 | % | 11,633,613 | 6.83 | % | |||||||||||
Total futures | 3,065,594 | 2.88 | % | 21,719,909 | 12.75 | % | |||||||||||
Forwards | |||||||||||||||||
Foreign currency | 3,290,191 | 3.09 | % | 3,567,368 | 2.10 | % | |||||||||||
Total forwards | 3,290,191 | 3.09 | % | 3,567,368 | 2.10 | % | |||||||||||
Options (cost $6,242,152) | |||||||||||||||||
Foreign currency | 2,049,584 | 1.93 | % | ||||||||||||||
Total options | 2,049,584 | 1.93 | % | ||||||||||||||
Short contracts | |||||||||||||||||
Futures | |||||||||||||||||
Commodity | 267,000 | 0.25 | % | 7,263,881 | 4.26 | % | |||||||||||
Currency | 272,861 | 0.16 | % | ||||||||||||||
Foreign bond | 1,047,621 | 0.98 | % | 1,615,436 | 0.95 | % | |||||||||||
Foreign index | (1,017,217 | ) | (0.96 | )% | (2,864,926 | ) | (1.68 | )% | |||||||||
Interest rate | 6,236,193 | 5.87 | % | 316,308 | 0.19 | % | |||||||||||
U.S. bond | 3,700,384 | 3.48 | % | 3,636,948 | 2.14 | % | |||||||||||
U.S. index | (149,710 | ) | (0.09 | )% | |||||||||||||
Total futures | 10,233,981 | 9.62 | % | 10,090,798 | 5.93 | % | |||||||||||
Forwards | |||||||||||||||||
Foreign currency | (1,978,963 | ) | (1.86 | )% | 6,188,899 | 3.64 | % | ||||||||||
Total forwards | (1,978,963 | ) | (1.86 | )% | 6,188,899 | 3.64 | % | ||||||||||
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 | )% | ||||||||||||
Total options | (12,950,080 | ) | (12.17 | )% | |||||||||||||
Total derivative financial instruments | $ | 3,710,307 | 3.49 | % | $ | 41,566,974 | 24.42 | % |
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 | - | ||||||||||||||||||||||||||||||||||||||||||
Options(a) | 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 | ) | |||||||||||||||||||||||||||||||||||||||
Options(a) | 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 | ) | |||||||||||||||||||||||||||||||||||||||
Options(a) | 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 | ||||||||||||||||||||||||
Long exposure | Short exposure | |||||||||||||||||||||||
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 | ) | ||||||||||||||||
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 | ) | ||||||||||||||||
Foreign currency exchange rate | ||||||||||||||||||||||||
Forwards | 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 | ) | |||||||||||||||
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 | ) | ||||||||||||||||
Total | $ | 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. | ||||||||||||||||||||||||
Long exposure | Short exposure | |||||||||||||||||||||||
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 | ) | ||||||||||||||||
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 | ) | ||||||||||||||||
Foreign currency exchange rate | ||||||||||||||||||||||||
Futures | 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 | ) | ||||||||||||||||
1,349,055,515 | 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 | ) | ||||||||||||||||
Total | $ | 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 | |||||||||||||||
Graham Commodity Strategies LLC1 | ||||||||||||||||||||
Derivative assets | $ | 189,976,245 | $ | (109,846,941 | ) | $ | 80,129,304 | $ | - | $ | 80,129,304 | |||||||||
Derivative liabilities | (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 | ||||||||||||||
Derivative liabilities | (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 | ||||||||||||||
Derivative liabilities | (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. | ||||||||||
Commodity price | ||||||||||||
Futures | $ | (53,579,007 | ) | $ | (5,104,883 | ) | $ | 22,390,945 | ||||
Options | (1,216,750 | ) | - | - | ||||||||
Swaps | 2,633,906 | - | (577,404 | ) | ||||||||
(52,161,851 | ) | (5,104,883 | ) | 21,813,541 | ||||||||
Equity price | ||||||||||||
Futures | (6,426,914 | ) | 11,906,544 | 233,196,965 | ||||||||
Equities | 794,000 | - | 60,994 | |||||||||
Options | 5,308,495 | 89,030 | - | |||||||||
(324,419 | ) | 11,995,574 | 233,257,959 | |||||||||
Foreign currency exchange rate | ||||||||||||
Futures | (3,199,215 | ) | - | (3,993,100 | ) | |||||||
Forwards | 136,702,422 | 2,814,065 | (16,548,454 | ) | ||||||||
Options | 32,993,122 | 12,861,563 | - | |||||||||
166,496,329 | 15,675,628 | (20,541,554 | ) | |||||||||
Interest rate | ||||||||||||
Bonds | 16,147 | - | 42,352 | |||||||||
Futures | 15,085,869 | 39,523,590 | (77,113,654 | ) | ||||||||
Options | 523,654 | (2,529,709 | ) | - | ||||||||
Swaps | (3,404,467 | ) | - | - | ||||||||
12,221,203 | 36,993,881 | (77,071,302 | ) | |||||||||
Total | $ | 126,231,262 | $ | 59,560,200 | $ | 157,458,644 |
June 30, 2014 | December 31, 2013 | September 30, 2014 | December 31, 2013 | |||||||||||||
Assets: | ||||||||||||||||
Cash and cash equivalents | $ | 736,529,942 | $ | 1,011,694,165 | $ | 708,663,039 | $ | 1,011,694,165 | ||||||||
Investments in fixed income securities (cost $1,937,085,549 and $2,493,161,454, respectively) | 1,937,085,549 | 2,493,161,454 | ||||||||||||||
Investments in fixed income securities (cost $1,482,810,325 and $2,493,161,454, respectively) | 1,482,810,325 | 2,493,161,454 | ||||||||||||||
Accrued interest receivable | 5,278,778 | 6,806,338 | 5,623,469 | 6,806,338 | ||||||||||||
Total assets | 2,678,894,269 | 3,511,661,957 | 2,197,096,833 | 3,511,661,957 | ||||||||||||
Liabilities: | ||||||||||||||||
Other liabilities | - | 15,004 | - | 15,004 | ||||||||||||
Total liabilities | - | 15,004 | - | 15,004 | ||||||||||||
Net assets | $ | 2,678,894,269 | $ | 3,511,646,953 | $ | 2,197,096,833 | $ | 3,511,646,953 |
Three Months Ended June 30, | Six Months Ended June 30, | Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||||||||||||||||
2014 | 2013 | 2014 | 2013 | 2014 | 2013 | 2014 | 2013 | |||||||||||||||||||||||||
Investment income | ||||||||||||||||||||||||||||||||
Interest income | $ | 1,731,457 | $ | 2,113,258 | $ | 3,654,826 | $ | 4,240,391 | $ | 1,403,319 | $ | 2,331,345 | $ | 5,058,145 | $ | 6,571,736 | ||||||||||||||||
Total investment income | 1,731,457 | 2,113,258 | 3,654,826 | 4,240,391 | 1,403,319 | 2,331,345 | 5,058,145 | 6,571,736 | ||||||||||||||||||||||||
Expenses: | ||||||||||||||||||||||||||||||||
Bank fee expense | 15,931 | 25,311 | 27,216 | 58,964 | 5,866 | 7,210 | 33,082 | 66,174 | ||||||||||||||||||||||||
Total expenses | 15,931 | 25,311 | 27,216 | 58,964 | 5,866 | 7,210 | 33,082 | 66,174 | ||||||||||||||||||||||||
Net investment income | 1,715,526 | 2,087,947 | 3,627,610 | 4,181,427 | 1,397,453 | 2,324,135 | 5,025,063 | 6,505,562 | ||||||||||||||||||||||||
Net income | $ | 1,715,526 | $ | 2,087,947 | $ | 3,627,610 | $ | 4,181,427 | $ | 1,397,453 | $ | 2,324,135 | $ | 5,025,063 | $ | 6,505,562 |
Description | Principal Amount | Fair Value | Percentage of Members’ Capital | Principal Amount | Fair Value | Percentage of Members’ Capital | ||||||||||||||||||
Investments in Fixed Income Securities (cost $1,937,085,549) | ||||||||||||||||||||||||
Investments in Fixed Income Securities (cost $1,482,810,325) | ||||||||||||||||||||||||
United States | ||||||||||||||||||||||||
Government Bonds (cost $1,937,085,549) | ||||||||||||||||||||||||
Government Bonds (cost $1,482,810,325) | ||||||||||||||||||||||||
U.S. Treasury 2.38% due 10/31/14 | $ | 150,000,000 | $ | 151,250,551 | 5.65 | % | $ | 150,000,000 | $ | 150,486,496 | 6.85 | % | ||||||||||||
Other U.S. Treasury 0.25% – 4.00% due 07/31/14 – 01/31/16 | 1,785,834,998 | 66.66 | % | |||||||||||||||||||||
Other U.S. Treasury 0.25% – 4.00% due 10/31/14 – 01/31/16 | 1,332,323,829 | 60.64 | % | |||||||||||||||||||||
Total Government Bonds | 1,937,085,549 | 72.31 | % | 1,482,810,325 | 67.49 | % | ||||||||||||||||||
Total Investments in Fixed Income Securities | $ | 1,937,085,549 | 72.31 | % | $ | 1,482,810,325 | 67.49 | % |
Description | 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 | % | ||||||
Total Government Bonds | 2,493,161,454 | 71.00 | % | |||||||||
Total Investments in Fixed Income Securities | $ | 2,493,161,454 | 71.00 | % |
June 30, 2014 | December 31, 2013 | September 30, 2014 | December 31, 2013 | |||||||||||||
Assets | ||||||||||||||||
Level 2: | ||||||||||||||||
Fixed income securities | ||||||||||||||||
Government Bonds | $ | 1,937,085,549 | $ | 2,493,161,454 | $ | 1,482,810,325 | $ | 2,493,161,454 | ||||||||
Total fixed income securities | 1,937,085,549 | 2,493,161,454 | 1,482,810,325 | 2,493,161,454 | ||||||||||||
Total Level 2 | 1,937,085,549 | 2,493,161,454 | 1,482,810,325 | 2,493,161,454 | ||||||||||||
Total assets | $ | 1,937,085,549 | $ | 2,493,161,454 | $ | 1,482,810,325 | $ | 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, March 31, 2013 | $ | 122.47 | $ | 95.80 | ||||||||||||
Net asset value per unit, June 30, 2013 | $ | 121.13 | $ | 94.28 | ||||||||||||
Net loss: | ||||||||||||||||
Net investment loss | (0.86 | ) | (1.13 | ) | (0.76 | ) | (1.06 | ) | ||||||||
Net loss on investments | (0.48 | ) | (0.39 | ) | (3.67 | ) | (2.85 | ) | ||||||||
Net loss | (1.34 | ) | (1.52 | ) | (4.43 | ) | (3.91 | ) | ||||||||
Net asset value per unit, June 30, 2013 | $ | 121.13 | $ | 94.28 | ||||||||||||
Net asset value per unit, September 30, 2013 | $ | 116.70 | $ | 90.37 | ||||||||||||
Net asset value per unit, March 31, 2014 | $ | 114.03 | $ | 87.43 | ||||||||||||
Net asset value per unit, June 30, 2014 | $ | 115.00 | $ | 87.73 | ||||||||||||
Net income: | ||||||||||||||||
Net investment loss | (0.76 | ) | (1.05 | ) | (0.81 | ) | (1.07 | ) | ||||||||
Net gain on investments | 1.73 | 1.35 | 17.42 | 13.23 | ||||||||||||
Net income | 0.97 | 0.30 | 16.61 | 12.16 | ||||||||||||
Net asset value per unit, June 30, 2014 | $ | 115.00 | $ | 87.73 | ||||||||||||
Net asset value per unit, September 30, 2014 | $ | 131.61 | $ | 99.89 |
Class 0 | Class 2 | Class 0 | Class 2 | |||||||||||||||||||||||||||||
2014 | 2013 | 2014 | 2013 | 2014 | 2013 | 2014 | 2013 | |||||||||||||||||||||||||
Total return before Incentive Allocation | 0.85 | % | (1.09 | )% | 0.35 | % | (1.59 | )% | 14.44 | % | (3.66 | )% | 13.86 | % | (4.15 | )% | ||||||||||||||||
Incentive Allocation | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||||||||||||||
Total return after Incentive Allocation | 0.85 | % | (1.09 | )% | 0.35 | % | (1.59 | )% | 14.44 | % | (3.66 | )% | 13.86 | % | (4.15 | )% | ||||||||||||||||
Net investment loss before Incentive Allocation | (0.67 | )% | (0.70 | )% | (1.20 | )% | (1.18 | )% | (0.68 | )% | (0.63 | )% | (1.18 | )% | (1.12 | )% | ||||||||||||||||
Incentive Allocation | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||||||||||||||
Net investment loss after Incentive Allocation | (0.67 | )% | (0.70 | )% | (1.20 | )% | (1.18 | )% | (0.68 | )% | (0.63 | )% | (1.18 | )% | (1.12 | )% | ||||||||||||||||
Total expenses before Incentive Allocation | 0.72 | % | 0.74 | % | 1.25 | % | 1.22 | % | 0.73 | % | 0.69 | % | 1.24 | % | 1.20 | % | ||||||||||||||||
Incentive Allocation | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||||||||||||||
Total expenses after Incentive Allocation | 0.72 | % | 0.74 | % | 1.25 | % | 1.22 | % | 0.73 | % | 0.69 | % | 1.24 | % | 1.20 | % |
Class 0 | Class 2 | Class 0 | Class 2 | |||||||||||||
Per unit operating performance | ||||||||||||||||
Net asset value per unit, December 31, 2012 | $ | 114.88 | $ | 90.29 | $ | 114.88 | $ | 90.29 | ||||||||
Net income: | ||||||||||||||||
Net investment loss | (1.74 | ) | (2.28 | ) | (2.50 | ) | (3.33 | ) | ||||||||
Net gain on investments | 7.99 | 6.27 | 4.32 | 3.41 | ||||||||||||
Net income | 6.25 | 3.99 | 1.82 | 0.08 | ||||||||||||
Net asset value per unit, June 30, 2013 | $ | 121.13 | $ | 94.28 | ||||||||||||
Net asset value per unit, September 30, 2013 | $ | 116.70 | $ | 90.37 | ||||||||||||
Net asset value per unit, December 31, 2013 | $ | 127.72 | $ | 98.41 | $ | 127.72 | $ | 98.41 | ||||||||
Net loss: | ||||||||||||||||
Net investment loss | (1.53 | ) | (2.08 | ) | (2.33 | ) | (3.17 | ) | ||||||||
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 | ||||||||||||
Net gain on investments | 6.22 | 4.65 | ||||||||||||||
Net income | 3.89 | 1.48 | ||||||||||||||
Net asset value per unit, September 30, 2014 | $ | 131.61 | $ | 99.89 |
Class 0 | Class 2 | Class 0 | Class 2 | |||||||||||||||||||||||||||||
2014 | 2013 | 2014 | 2013 | 2014 | 2013 | 2014 | 2013 | |||||||||||||||||||||||||
Total return before Incentive Allocation | (9.96 | )% | 5.44 | % | (10.85 | )% | 4.42 | % | 3.05 | % | 1.58 | % | 1.50 | % | 0.09 | % | ||||||||||||||||
Incentive Allocation | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||||||||||||||
Total return after Incentive Allocation | (9.96 | )% | 5.44 | % | (10.85 | )% | 4.42 | % | 3.05 | % | 1.58 | % | 1.50 | % | 0.09 | % | ||||||||||||||||
Net investment loss before Incentive Allocation | (1.29 | )% | (1.46 | )% | (2.31 | )% | (2.42 | )% | (1.96 | )% | (2.11 | )% | (3.49 | )% | (3.57 | )% | ||||||||||||||||
Incentive Allocation | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||||||||||||||
Net investment loss after Incentive Allocation | (1.29 | )% | (1.46 | )% | (2.31 | )% | (2.42 | )% | (1.96 | )% | (2.11 | )% | (3.49 | )% | (3.57 | )% | ||||||||||||||||
Total expenses before Incentive Allocation | 1.40 | % | 1.56 | % | 2.41 | % | 2.52 | % | 2.13 | % | 2.27 | % | 3.65 | % | 3.73 | % | ||||||||||||||||
Incentive Allocation | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||||||||||||||
Total expenses after Incentive Allocation | 1.40 | % | 1.56 | % | 2.41 | % | 2.52 | % | 2.13 | % | 2.27 | % | 3.65 | % | 3.73 | % |
(a) | Management’s Discussion and Analysis of Financial Condition and Results of Operations |
Agriculture / Softs | $ | (105,551 | ) | $ | 1,202,565 | |||
Base metals | (424,218 | ) | (494,111 | ) | ||||
Energy | 278,190 | (835,153 | ) | |||||
Equities | 1,217,786 | (642,322 | ) | |||||
Foreign exchange | (1,495,909 | ) | 11,388,136 | |||||
Long term / Intermediate rates | 2,016,285 | 1,750,775 | ||||||
Precious metals | (345,118 | ) | 396,508 | |||||
Short term rates | 312,456 | (510,204 | ) | |||||
$ | 1,453,921 | $ | 12,256,194 |
Agriculture / Softs | $ | (1,655,632 | ) | $ | (753,170 | ) | ||
Base metals | (463,132 | ) | (1,251,560 | ) | ||||
Energy | (1,079,074 | ) | (2,519,902 | ) | ||||
Equities | (1,818,482 | ) | (3,287,701 | ) | ||||
Foreign exchange | (3,860,021 | ) | 9,002,877 | |||||
Long term / Intermediate rates | 1,422,841 | 4,136,776 | ||||||
Precious metals | (1,147,465 | ) | (1,069,630 | ) | ||||
Short term rates | 101,239 | (501,222 | ) | |||||
$ | (8,499,726 | ) | $ | 3,756,468 |
Agriculture / Softs | ||||
Base metals | ( | )% | ||
Energy | % | |||
Equities | ( | )% | ||
Foreign exchange | % | |||
Long term / Intermediate rates | % | |||
Precious metals | ||||
Short term rates | % | |||
100.0 | % |
Agriculture / Softs | $ | 7,491,984 | $ | 533,363 | ||||
Base metals | 3,973,566 | (509,333 | ) | |||||
Energy | (8,965,303 | ) | (1,605,694 | ) | ||||
Equities | 9,547,749 | 1,935,320 | ||||||
Foreign exchange | (9,348,416 | ) | (3,117,035 | ) | ||||
Long term / intermediate rates | (22,654,953 | ) | ||||||
Long term / Intermediate rates | 39,943 | |||||||
Precious metals | 17,890,440 | (1,201,726 | ) | |||||
Short term rates | 2,983,974 | 596,521 | ||||||
$ | 919,041 | $ | (3,328,641 | ) |
Agriculture / Softs | $ | 1,154,421 | $ | 2,023,624 | ||||
Base metals | 707,587 | 63,891 | ||||||
Energy | (5,626,179 | ) | (8,464,356 | ) | ||||
Equities | 12,346,427 | 16,340,207 | ||||||
Foreign exchange | 4,089,131 | 124,986 | ||||||
Long term / intermediate rates | (5,916,988 | ) | ||||||
Long term / Intermediate rates | (6,469,972 | ) | ||||||
Precious metals | 5,388,036 | 4,252,133 | ||||||
Short term rates | 1,010,914 | 1,954,195 | ||||||
$ | 13,153,349 | $ | 9,824,708 |
Agriculture / Softs | % | |||
Base metals | )% | |||
Energy | ( | )% | ||
Equities | % | |||
Foreign exchange | % | |||
Long term / | )% | |||
Precious metals | % | |||
Short term rates | % | |||
100.0 | % |
% | ||||
December 31, 2013 | 17.61 | % | ||
% |
Period (as of) | Blended Strategies Portfolio Total Number of Units Issued | |||
1,773.805 | ||||
605.614 | ||||
1,537.863 |
Date | (a) Total Number of Units Purchased1 | (b) Average Price Paid per Unit | (c) Total Number of Units Purchased as Part of Publicly Announced Plans or Programs | (d) Maximum Number of Approximate Dollar Value of Units that May Yet Be Purchased Under the Plans or Programs | ||||||||||||
July 31, 2014 | 19,692.938 | 99.30 | N/A | N/A | ||||||||||||
August 31, 2014 | 19,633.538 | 103.57 | N/A | N/A | ||||||||||||
September 30, 2014 | 50,998.567 | 115.75 | N/A | N/A | ||||||||||||
TOTAL | 90,325.043 | 106.21 | N/A | N/A |
1 | Represents number of Units redeemed by Members of the Fund in accordance with the LLC Agreement. |
** 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) | |
101.INS | XBRL Instance Document |
101.SCH | XBRL Taxonomy Extension Schema |
101.CAL | XBRL Taxonomy Extension Calculation Linkbase |
101.DEF | XBRL Taxonomy Extension Definition Linkbase |
101.LAB | XBRL Taxonomy Extension Label Linkbase |
101.PRE | XBRL Taxonomy Extension Presentation Linkbase |
* | 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 |