Delaware | 20-4897069 | |
(State or other jurisdiction of incorporation or organization) | (I.R.S. Employer Identification No.) |
Large accelerated filer ☐ | Accelerated filer ☐ | Non-accelerated filer ☐ | Smaller reporting company ☒ |
Page Number | |||
PART I - Financial Information: | |||
Item 1. | |||
Graham Alternative Investment Fund I LLC Blended Strategies Portfolio | |||
1 | |||
2 | |||
3 | |||
4 | |||
5 | |||
Graham Alternative Investment Trading LLC | |||
Item 2. | |||
Item 3. |
Item 4. | |||
PART II - Other Information |
Certification | ||
Certification | ||
Certification |
March 31, 2015 (Unaudited) | December 31, 2014 (Audited) | June 30, 2015 (Unaudited) | December 31, 2014 (Audited) | |||||||||||||
Assets | ||||||||||||||||
Investment in Graham Alternative Investment Trading LLC, at fair value | $ | 95,328,503 | $ | 89,185,934 | $ | 90,737,365 | $ | 89,185,934 | ||||||||
Redemption receivable from Graham Alternative Investment Trading LLC | 327,762 | 1,790,083 | 304,542 | 1,790,083 | ||||||||||||
Total assets | $ | 95,656,265 | $ | 90,976,017 | $ | 91,041,907 | $ | 90,976,017 | ||||||||
Liabilities and members’ capital | ||||||||||||||||
Liabilities: | ||||||||||||||||
Accrued redemptions | $ | 327,762 | $ | 1,790,083 | $ | 304,542 | $ | 1,790,083 | ||||||||
Total liabilities | 327,762 | 1,790,083 | 304,542 | 1,790,083 | ||||||||||||
Members’ capital: | ||||||||||||||||
Class 0 Units (420,285.501 and 422,282.349 units issued and outstanding at $159.93 and $149.37, respectively) | 67,216,003 | 63,076,949 | ||||||||||||||
Class 2 Units (232,098.628 and 229,870.220 units issued and outstanding at $121.12 and $113.58, respectively) | 28,112,500 | 26,108,985 | ||||||||||||||
Class 0 Units (430,080.848 and 422,282.349 units issued and outstanding at $149.49 and $149.37, respectively) | 64,294,718 | 63,076,949 | ||||||||||||||
Class 2 Units (234,721.571 and 229,870.220 units issued and outstanding at $112.66 and $113.58, respectively) | 26,442,647 | 26,108,985 | ||||||||||||||
Total members’ capital | 95,328,503 | 89,185,934 | 90,737,365 | 89,185,934 | ||||||||||||
Total liabilities and members’ capital | $ | 95,656,265 | $ | 90,976,017 | $ | 91,041,907 | $ | 90,976,017 |
Three Months Ended March 31, | Three Months Ended June 30, | Six Months Ended June 30, | ||||||||||||||||||||||
2015 | 2014 | 2015 | 2014 | 2015 | 2014 | |||||||||||||||||||
Net gain (loss) allocated from investment in Graham Alternative Investment Trading LLC: | ||||||||||||||||||||||||
Net gain (loss) allocated from investment in Graham Alternative Investment Trading LLC | ||||||||||||||||||||||||
Net realized gain (loss) on investments | $ | 10,880,008 | $ | (6,032,210 | ) | $ | (3,006,604 | ) | $ | (16,440 | ) | $ | 7,873,404 | $ | (6,048,650 | ) | ||||||||
Net decrease in unrealized appreciation on investments | (2,249,034 | ) | (3,921,437 | ) | ||||||||||||||||||||
Net increase (decrease) in unrealized appreciation on investments | (2,585,632 | ) | 1,470,361 | (4,834,666 | ) | (2,451,076 | ) | |||||||||||||||||
Brokerage commissions and fees | (116,794 | ) | (138,075 | ) | (145,457 | ) | (118,873 | ) | (262,251 | ) | (256,948 | ) | ||||||||||||
Net gain (loss) allocated from investment in Graham Alternative Investment Trading LLC | 8,514,180 | (10,091,722 | ) | (5,737,693 | ) | 1,335,048 | 2,776,487 | (8,756,674 | ) | |||||||||||||||
Net investment loss allocated from investment in Graham Alternative Investment Trading LLC: | ||||||||||||||||||||||||
Investment income: | ||||||||||||||||||||||||
Net investment loss allocated from investment in Graham Alternative Investment Trading LLC | ||||||||||||||||||||||||
Investment income | ||||||||||||||||||||||||
Interest income | 59,052 | 48,823 | 70,137 | 48,352 | 129,189 | 97,175 | ||||||||||||||||||
Expenses: | ||||||||||||||||||||||||
Expenses | ||||||||||||||||||||||||
Advisory fees | 415,325 | 397,009 | 407,321 | 387,266 | 822,646 | 784,275 | ||||||||||||||||||
Sponsor fees | 317,468 | 268,714 | 311,339 | 273,458 | 628,807 | 542,172 | ||||||||||||||||||
Professional fees and other | 53,271 | 37,037 | 63,319 | 39,165 | 116,590 | 76,202 | ||||||||||||||||||
Administrator’s fees | 32,828 | 29,719 | 32,338 | 30,013 | 65,166 | 59,732 | ||||||||||||||||||
Incentive allocation | 1,550,824 | - | - | - | 1,550,824 | - | ||||||||||||||||||
Total expenses | 2,369,716 | 732,479 | 814,317 | 729,902 | 3,184,033 | 1,462,381 | ||||||||||||||||||
Net investment loss allocated from investment in Graham Alternative Investment Trading LLC | (2,310,664 | ) | (683,656 | ) | (744,180 | ) | (681,550 | ) | (3,054,844 | ) | (1,365,206 | ) | ||||||||||||
Net income (loss) | $ | 6,203,516 | $ | (10,775,378 | ) | $ | (6,481,873 | ) | $ | 653,498 | $ | (278,357 | ) | $ | (10,121,880 | ) |
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, 2013 | 605,548.066 | $ | 77,340,803 | 220,552.039 | $ | 21,704,330 | $ | 99,045,133 | 605,548.066 | $ | 77,340,803 | 220,552.039 | $ | 21,704,330 | $ | 99,045,133 | ||||||||||||||||||||||||
Subscriptions | 17,796.744 | 2,110,079 | 6,279.334 | 581,210 | 2,691,289 | 23,805.913 | 2,795,079 | 58,712.079 | 5,164,210 | 7,959,289 | ||||||||||||||||||||||||||||||
Redemptions | (26,549.225 | ) | (3,047,394 | ) | (16,296.989 | ) | (1,456,230 | ) | (4,503,624 | ) | (85,769.031 | ) | (9,841,385 | ) | (33,604.344 | ) | (2,974,716 | ) | (12,816,101 | ) | ||||||||||||||||||||
Net loss | – | (8,352,145 | ) | – | (2,423,233 | ) | (10,775,378 | ) | – | (7,780,603 | ) | – | (2,341,277 | ) | (10,121,880 | ) | ||||||||||||||||||||||||
Members’ capital, March 31, 2014 | 596,795.585 | $ | 68,051,343 | 210,534.384 | $ | 18,406,077 | $ | 86,457,420 | ||||||||||||||||||||||||||||||||
Members’ capital, June 30, 2014 | 543,584.948 | $ | 62,513,894 | 245,659.774 | $ | 21,552,547 | $ | 84,066,441 | ||||||||||||||||||||||||||||||||
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, 2014 | 422,282.349 | $ | 63,076,949 | 229,870.220 | $ | 26,108,985 | $ | 89,185,934 | 422,282.349 | $ | 63,076,949 | 229,870.220 | $ | 26,108,985 | $ | 89,185,934 | ||||||||||||||||||||||||
Subscriptions | 3,353.140 | 522,000 | 6,170.016 | 735,000 | 1,257,000 | 15,027.939 | 2,372,000 | 11,496.267 | 1,370,000 | 3,742,000 | ||||||||||||||||||||||||||||||
Redemptions | (5,349.988 | ) | (843,167 | ) | (3,941.608 | ) | (474,780 | ) | (1,317,947 | ) | (7,229.440 | ) | (1,132,890 | ) | (6,644.916 | ) | (779,322 | ) | (1,912,212 | ) | ||||||||||||||||||||
Net income | – | 4,460,221 | – | 1,743,295 | 6,203,516 | |||||||||||||||||||||||||||||||||||
Members’ capital, March 31, 2015 | 420,285.501 | $ | 67,216,003 | 232,098.628 | $ | 28,112,500 | $ | 95,328,503 | ||||||||||||||||||||||||||||||||
Net loss | – | (21,341 | ) | – | (257,016 | ) | (278,357 | ) | ||||||||||||||||||||||||||||||||
Members’ capital, June 30, 2015 | 430,080.848 | $ | 64,294,718 | 234,721.571 | $ | 26,442,647 | $ | 90,737,365 |
Three Months Ended March 31, | Six Months Ended June 30, | |||||||||||||||
2015 | 2014 | 2015 | 2014 | |||||||||||||
Cash flows provided by operating activities | ||||||||||||||||
Net income (loss) | $ | 6,203,516 | $ | (10,775,378 | ) | |||||||||||
Adjustments to reconcile net income (loss) to net cash provided by operating activities: | ||||||||||||||||
Net income (loss) allocated from investment in Graham Alternative Investment Trading LLC | (6,203,516 | ) | 10,775,378 | |||||||||||||
Net loss | $ | (278,357 | ) | $ | (10,121,880 | ) | ||||||||||
Adjustments to reconcile net loss to net cash (used in) provided by operating activities: | ||||||||||||||||
Net loss allocated from investment in Graham Alternative Investment Trading LLC | 278,357 | 10,121,880 | ||||||||||||||
Proceeds from sale of investments in Graham Alternative Investment Trading LLC | 2,780,268 | 4,878,250 | 3,397,753 | 13,129,641 | ||||||||||||
Investments in Graham Alternative Investment Trading LLC | (1,257,000 | ) | (2,691,289 | ) | (3,742,000 | ) | (7,959,289 | ) | ||||||||
Net cash provided by operating activities | 1,523,268 | 2,186,961 | ||||||||||||||
Net cash (used in) provided by operating activities | (344,247 | ) | 5,170,352 | |||||||||||||
Cash flows used in financing activities | ||||||||||||||||
Cash flows provided by (used in) financing activities | ||||||||||||||||
Subscriptions | 1,257,000 | 2,691,289 | 3,742,000 | 7,959,289 | ||||||||||||
Redemptions | (2,780,268 | ) | (4,878,250 | ) | (3,397,753 | ) | (13,129,641 | ) | ||||||||
Net cash used in financing activities | (1,523,268 | ) | (2,186,961 | ) | ||||||||||||
Net cash provided by (used in) financing activities | 344,247 | (5,170,352 | ) | |||||||||||||
Net change in cash and cash equivalents | – | – | – | – | ||||||||||||
Cash and cash equivalents, beginning of period | – | – | – | – | ||||||||||||
Cash and cash equivalents, end of period | $ | – | $ | – | $ | – | $ | – |
· | Level 1 inputs are unadjusted closing or settlement prices for such assets or liabilities as published by the primary exchange upon which they are traded. |
· | Level 2 inputs include quoted prices for similar assets and liabilities obtained from independent brokers and/or market makers in each security. With respect to the Fund’s investment in GAIT, Level 2 inputs include the net asset value of the underlying fund in which it holds an investment. |
· | Level 3 inputs are those which are considered unobservable and are significant in arriving at fair value. |
Class | Annual Rate | ||
Class 0 | 0.75% | ||
Class 2 | 2.75% |
Class 0 | Class 2 | Class 0 | Class 2 | |||||||||||||
Per unit operating performance | ||||||||||||||||
Net asset value per unit, December 31, 2013 | $ | 127.72 | $ | 98.41 | ||||||||||||
Net asset value per unit, March 31, 2014 | $ | 114.03 | $ | 87.43 | ||||||||||||
Net income: | ||||||||||||||||
Net investment loss | (0.76 | ) | (1.06 | ) | ||||||||||||
Net gain on investments | 1.73 | 1.36 | ||||||||||||||
Net income | 0.97 | 0.30 | ||||||||||||||
Net asset value per unit, June 30, 2014 | $ | 115.00 | $ | 87.73 | ||||||||||||
Net asset value per unit, March 31, 2015 | $ | 159.93 | $ | 121.12 | ||||||||||||
Net loss: | ||||||||||||||||
Net investment loss | (0.76 | ) | (1.05 | ) | (1.01 | ) | (1.34 | ) | ||||||||
Net loss on investments | (12.93 | ) | (9.93 | ) | (9.43 | ) | (7.12 | ) | ||||||||
Net loss | (13.69 | ) | (10.98 | ) | (10.44 | ) | (8.46 | ) | ||||||||
Net asset value per unit, March 31, 2014 | $ | 114.03 | $ | 87.43 | ||||||||||||
Net asset value per unit, December 31, 2014 | $ | 149.37 | $ | 113.58 | ||||||||||||
Net income: | ||||||||||||||||
Net investment loss | (1.04 | ) | (1.40 | ) | ||||||||||||
Net gain on investments | 11.60 | 8.94 | ||||||||||||||
Net income | 10.56 | 7.54 | ||||||||||||||
Net asset value per unit, March 31, 2015 | $ | 159.93 | $ | 121.12 | ||||||||||||
Net asset value per unit, June 30, 2015 | $ | 149.49 | $ | 112.66 |
Class 0 | Class 2 | |||||||||||||||
2015 | 2014 | 2015 | 2014 | |||||||||||||
Total return before Incentive Allocation | (6.52 | )% | 0.85 | % | (6.99 | )% | 0.35 | % | ||||||||
Incentive Allocation | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||
Total return after Incentive Allocation | (6.52 | )% | 0.85 | % | (6.99 | )% | 0.35 | % | ||||||||
Net investment loss before Incentive Allocation | (0.65 | )% | (0.66 | )% | (1.15 | )% | (1.21 | )% | ||||||||
Incentive Allocation | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||
Net investment loss after Incentive Allocation | (0.65 | )% | (0.66 | )% | (1.15 | )% | (1.21 | )% | ||||||||
Total expenses before Incentive Allocation | 0.72 | % | 0.72 | % | 1.22 | % | 1.26 | % | ||||||||
Incentive Allocation | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||
Total expenses after Incentive Allocation | 0.72 | % | 0.72 | % | 1.22 | % | 1.26 | % |
Class 0 | Class 2 | |||||||||||||||
2015 | 2014 | 2015 | 2014 | |||||||||||||
Total return before Incentive Allocation | 8.85 | % | (10.72 | )% | 8.29 | % | (11.16 | )% | ||||||||
Incentive Allocation | (1.78 | ) | 0.00 | (1.65 | ) | 0.00 | ||||||||||
Total return after Incentive Allocation | 7.07 | % | (10.72 | )% | 6.64 | % | (11.16 | )% | ||||||||
Net investment loss before Incentive Allocation | (0.67 | )% | (0.63 | )% | (1.18 | )% | (1.13 | )% | ||||||||
Incentive Allocation | (1.70 | ) | 0.00 | (1.60 | ) | 0.00 | ||||||||||
Net investment loss after Incentive Allocation | (2.37 | )% | (0.63 | )% | (2.78 | )% | (1.13 | )% | ||||||||
Total expenses before Incentive Allocation | 0.73 | % | 0.68 | % | 1.24 | % | 1.18 | % | ||||||||
Incentive Allocation | 1.70 | 0.00 | 1.60 | 0.00 | ||||||||||||
Total expenses after Incentive Allocation | 2.43 | % | 0.68 | % | 2.84 | % | 1.18 | % |
Class 0 | Class 2 | |||||||
Per unit operating performance | ||||||||
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 | ||||
Net asset value per unit, December 31, 2014 | $ | 149.37 | $ | 113.58 | ||||
Net income (loss): | ||||||||
Net investment loss | (2.05 | ) | (2.74 | ) | ||||
Net gain on investments | 2.17 | 1.82 | ||||||
Net income (loss) | 0.12 | (0.92 | ) | |||||
Net asset value per unit, June 30, 2015 | $ | 149.49 | $ | 112.66 |
Class 0 | Class 2 | |||||||||||||||
2015 | 2014 | 2015 | 2014 | |||||||||||||
Total return before Incentive Allocation | 1.82 | % | (9.96 | )% | 0.82 | % | (10.85 | )% | ||||||||
Incentive Allocation | (1.74 | ) | 0.00 | (1.63 | ) | 0.00 | ||||||||||
Total return after Incentive Allocation | 0.08 | % | (9.96 | )% | (0.81 | )% | (10.85 | )% | ||||||||
Net investment loss before Incentive Allocation | (1.32 | )% | (1.29 | )% | (2.34 | )% | (2.31 | )% | ||||||||
Incentive Allocation | (1.70 | ) | 0.00 | (1.60 | ) | 0.00 | ||||||||||
Net investment loss after Incentive Allocation | (3.02 | )% | (1.29 | )% | (3.94 | )% | (2.31 | )% | ||||||||
Total expenses before Incentive Allocation | 1.46 | % | 1.40 | % | 2.48 | % | 2.41 | % | ||||||||
Incentive Allocation | 1.70 | 0.00 | 1.60 | 0.00 | ||||||||||||
Total expenses after Incentive Allocation | 3.16 | % | 1.40 | % | 4.08 | % | 2.41 | % |
March 31, 2015 (Unaudited) | December 31, 2014 (Audited) | June 30, 2015 (Unaudited) | December 31, 2014 (Audited) | |||||||||||||
Assets | ||||||||||||||||
Investments in Master Funds, at fair value | $ | 20,230,369 | $ | 21,968,796 | $ | 17,101,875 | $ | 21,968,796 | ||||||||
Investment in Graham Cash Assets LLC, at fair value | 164,748,614 | 155,687,417 | 154,323,613 | 155,687,417 | ||||||||||||
Receivable from Master Funds | - | 489 | 76 | 489 | ||||||||||||
Total assets | $ | 184,978,983 | $ | 177,656,702 | $ | 171,425,564 | $ | 177,656,702 | ||||||||
Liabilities and members’ capital | ||||||||||||||||
Liabilities: | ||||||||||||||||
Accrued redemptions | $ | 3,874,498 | $ | 8,174,470 | $ | 1,027,561 | $ | 8,174,470 | ||||||||
Accrued advisory fees | 272,870 | 262,055 | 244,699 | 262,055 | ||||||||||||
Accrued sponsor fees | 203,736 | 195,287 | 182,493 | 195,287 | ||||||||||||
Accrued professional fees | 114,792 | 141,939 | 118,063 | 141,939 | ||||||||||||
Accrued administrator’s fee | 21,701 | 20,879 | 19,618 | 20,879 | ||||||||||||
Payable to Master Funds | 362 | 410 | 4 | 410 | ||||||||||||
Total liabilities | 4,487,959 | 8,795,040 | 1,592,438 | 8,795,040 | ||||||||||||
Members’ capital: | ||||||||||||||||
Class 0 Units (812,335.587 and 812,590.118 units issued and outstanding at $159.93 and $149.37 per unit, respectively) | 129,916,327 | 121,377,790 | ||||||||||||||
Class 2 Units (407,335.097 and 408,116.011 units issued and outstanding at $121.12 and $113.58 per unit, respectively) | 49,337,675 | 46,354,391 | ||||||||||||||
Class M Units (4,671.470 units issued and outstanding at $264.80 and $241.78 per unit, respectively) | 1,237,022 | 1,129,481 | ||||||||||||||
Class 0 Units (815,608.523 and 812,590.118 units issued and outstanding at $149.49 and $149.37 per unit, respectively) | 121,928,978 | 121,377,790 | ||||||||||||||
Class 2 Units (414,898.972 and 408,116.011 units issued and outstanding at $112.66 and $113.58 per unit, respectively) | 46,740,601 | 46,354,391 | ||||||||||||||
Class M Units (4,671.470 units issued and outstanding at $249.08 and $241.78 per unit, respectively) | 1,163,547 | 1,129,481 | ||||||||||||||
Total members’ capital | 180,491,024 | 168,861,662 | 169,833,126 | 168,861,662 | ||||||||||||
Total liabilities and members’ capital | $ | 184,978,983 | $ | 177,656,702 | $ | 171,425,564 | $ | 177,656,702 |
March 31, 2015 (Unaudited) | December 31, 2014 (Audited) | June 30, 2015 (Unaudited) | December 31, 2014 (Audited) | |||||||||||||||||||||||||||||
Description | Fair Value | Percentage of Members’ Capital | Fair Value | Percentage of Members’ Capital | Fair Value | Percentage of Members’ Capital | Fair Value | Percentage of Members’ Capital | ||||||||||||||||||||||||
Investments in Master Funds, at fair value | ||||||||||||||||||||||||||||||||
Graham Commodity Strategies LLC | $ | 8,566,089 | 4.75 | % | $ | 12,775,274 | 7.57 | % | $ | 6,412,815 | 3.78 | % | $ | 9,193,522 | 5.44 | % | ||||||||||||||||
Graham K4D Trading Ltd. | 11,664,280 | 6.46 | % | 9,193,522 | 5.44 | % | 10,689,060 | 6.29 | % | 12,775,274 | 7.57 | % | ||||||||||||||||||||
Total investments in Master Funds | $ | 20,230,369 | 11.21 | % | $ | 21,968,796 | 13.01 | % | $ | 17,101,875 | 10.07 | % | $ | 21,968,796 | 13.01 | % |
Three Months Ended March 31, | Three Months Ended June 30, | Six Months Ended June 30, | ||||||||||||||||||||||
2015 | 2014 | 2015 | 2014 | 2015 | 2014 | |||||||||||||||||||
Net gain (loss) allocated from investments in Master Funds | ||||||||||||||||||||||||
Net realized gain (loss) on investments | $ | 20,622,967 | $ | (10,979,432 | ) | |||||||||||||||||||
Net decrease in unrealized appreciation on investments | (4,277,079 | ) | (7,197,449 | ) | ||||||||||||||||||||
Net (loss) gain allocated from investments in Master Funds | ||||||||||||||||||||||||
Net realized (loss) gain on investments | $ | (5,658,562 | ) | $ | (50,226 | ) | $ | 14,964,405 | $ | (11,029,658 | ) | |||||||||||||
Net increase (decrease) in unrealized appreciation on investments | (4,850,666 | ) | 2,646,562 | (9,127,745 | ) | (4,550,887 | ) | |||||||||||||||||
Brokerage commissions and fees | (221,481 | ) | (251,855 | ) | (273,826 | ) | (211,828 | ) | (495,307 | ) | (463,683 | ) | ||||||||||||
Net gain (loss) allocated from investments in Master Funds | 16,124,407 | (18,428,736 | ) | |||||||||||||||||||||
Net (loss) gain allocated from investments in Master��Funds | (10,783,054 | ) | 2,384,508 | 5,341,353 | (16,044,228 | ) | ||||||||||||||||||
Net investment loss allocated from investments in Master Funds | (24,291 | ) | (20,719 | ) | (19,495 | ) | (13,729 | ) | (43,786 | ) | (34,448 | ) | ||||||||||||
Investment income | ||||||||||||||||||||||||
Interest income | 111,995 | 89,072 | 132,112 | 86,298 | 244,107 | 175,370 | ||||||||||||||||||
Total investment income | 132,112 | 86,298 | 244,107 | 175,370 | ||||||||||||||||||||
Expenses | ||||||||||||||||||||||||
Advisory fees | 782,328 | 720,773 | 762,147 | 687,422 | 1,544,475 | 1,408,195 | ||||||||||||||||||
Sponsor fees | 582,709 | 495,032 | 566,509 | 488,104 | 1,149,218 | 983,136 | ||||||||||||||||||
Administrator’s fees | 62,256 | 54,230 | 60,919 | 53,552 | 123,175 | 107,782 | ||||||||||||||||||
Professional fees and other | 76,750 | 46,801 | 99,886 | 56,100 | 176,636 | 102,901 | ||||||||||||||||||
Total expenses | 1,504,043 | 1,316,836 | 1,489,461 | 1,285,178 | 2,993,504 | 2,602,014 | ||||||||||||||||||
Net investment loss of the Fund | (1,392,048 | ) | (1,227,764 | ) | (1,357,349 | ) | (1,198,880 | ) | (2,749,397 | ) | (2,426,644 | ) | ||||||||||||
Net income (loss) | 14,708,068 | (19,677,219 | ) | |||||||||||||||||||||
Net (loss) income | (12,159,898 | ) | 1,171,899 | 2,548,170 | (18,505,320 | ) | ||||||||||||||||||
Incentive allocation | 2,920,022 | – | – | – | 2,920,022 | – | ||||||||||||||||||
Net income available for pro-rata allocation to all members | $ | 11,788,046 | $ | (19,677,219 | ) | |||||||||||||||||||
Net (loss) income available for pro-rata allocation to all members | $ | (12,159,898 | ) | $ | 1,171,899 | $ | (371,852 | ) | $ | (18,505,320 | ) |
Class 0 | Class 2 | Class M | Total | Class 0 | Class 2 | Class M | Total | |||||||||||||||||||||||||||||||||||||||||||||||||
Units | Capital | Units | Capital | Units | Capital | Capital | Units | Capital | Units | Capital | Units | Capital | Capital | |||||||||||||||||||||||||||||||||||||||||||
Members’ capital, December 31, 2013 | 1,093,036.786 | $ | 139,603,019 | 407,013.551 | $ | 40,053,854 | 4,671.470 | $ | 920,232 | $ | 180,577,105 | 1,093,036.786 | $ | 139,603,019 | 407,013.551 | $ | 40,053,854 | 4,671.470 | $ | 920,232 | $ | 180,577,105 | ||||||||||||||||||||||||||||||||||
Subscriptions | 19,116.971 | 2,270,079 | 19,683.797 | 1,884,010 | – | – | 4,154,089 | 27,567.625 | 3,233,079 | 82,701.099 | 7,392,005 | – | – | 10,625,084 | ||||||||||||||||||||||||||||||||||||||||||
Redemptions | (52,521.247 | ) | (6,038,497 | ) | (26,451.209 | ) | (2,369,405 | ) | – | – | (8,407,902 | ) | (191,710.516 | ) | (22,020,925 | ) | (52,208.202 | ) | (4,627,519 | ) | – | – | (26,648,444 | ) | ||||||||||||||||||||||||||||||||
Incentive allocation | – | – | – | – | – | – | – | – | – | – | – | – | – | – | ||||||||||||||||||||||||||||||||||||||||||
Net loss | – | (15,006,933 | ) | – | (4,576,717 | ) | – | (93,569 | ) | (19,677,219 | ) | – | (13,989,605 | ) | – | (4,434,433 | ) | – | (81,282 | ) | (18,505,320 | ) | ||||||||||||||||||||||||||||||||||
Members’ capital, March 31, 2014 | 1,059,632.510 | $ | 120,827,668 | 400,246.139 | $ | 34,991,742 | 4,671.470 | $ | 826,663 | $ | 156,646,073 | |||||||||||||||||||||||||||||||||||||||||||||
Class 0 | Class 2 | Class M | Total | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Units | Capital | Units | Capital | Units | Capital | Capital | ||||||||||||||||||||||||||||||||||||||||||||||||||
Members’ capital, December 31, 2014 | 812,590.118 | $ | 121,377,790 | 408,116.011 | $ | 46,354,391 | 4,671.470 | $ | 1,129,481 | $ | 168,861,662 | |||||||||||||||||||||||||||||||||||||||||||||
Subscriptions | 5,771.777 | 899,644 | 9,160.212 | 1,091,900 | – | – | 1,991,544 | |||||||||||||||||||||||||||||||||||||||||||||||||
Redemptions | (6,026.308 | ) | (950,968 | ) | (9,941.126 | ) | (1,199,260 | ) | – | (2,920,022 | ) | (5,070,250 | ) | |||||||||||||||||||||||||||||||||||||||||||
Incentive allocation | – | (2,147,427 | ) | – | (772,595 | ) | – | 2,920,022 | – | |||||||||||||||||||||||||||||||||||||||||||||||
Net income | – | 10,737,288 | – | 3,863,239 | – | 107,541 | 14,708,068 | |||||||||||||||||||||||||||||||||||||||||||||||||
Members’ capital, March 31, 2015 | 812,335.587 | $ | 129,916,327 | 407,335.097 | $ | 49,337,675 | 4,671.470 | $ | 1,237,022 | $ | 180,491,024 | |||||||||||||||||||||||||||||||||||||||||||||
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 |
Class 0 | Class 2 | Class M | Total | |||||||||||||||||||||||||
Units | Capital | Units | Capital | Units | Capital | Capital | ||||||||||||||||||||||
Members’ capital, December 31, 2014 | 812,590.118 | $ | 121,377,790 | 408,116.011 | $ | 46,354,391 | 4,671.470 | $ | 1,129,481 | $ | 168,861,662 | |||||||||||||||||
Subscriptions | 25,361.574 | 3,999,644 | 20,350.418 | 2,416,950 | – | – | 6,416,594 | |||||||||||||||||||||
Redemptions | (22,343.169 | ) | (3,461,342 | ) | (13,567.457 | ) | (1,611,936 | ) | – | (2,920,022 | ) | (7,993,300 | ) | |||||||||||||||
Incentive allocation | – | (2,147,427 | ) | – | (772,595 | ) | – | 2,920,022 | – | |||||||||||||||||||
Net income | – | 2,160,313 | – | 353,791 | – | 34,066 | 2,548,170 | |||||||||||||||||||||
Members’ capital, June 30, 2015 | 815,608.523 | $ | 121,928,978 | 414,898.972 | $ | 46,740,601 | 4,671.470 | $ | 1,163,547 | $ | 169,833,126 |
Three Months Ended March 31, | Six Months Ended June 30, | |||||||||||||||
2015 | 2014 | 2015 | 2014 | |||||||||||||
Cash flows provided by operating activities | ||||||||||||||||
Net income (loss) | $ | 14,708,068 | $ | (19,677,219 | ) | |||||||||||
Adjustments to reconcile net income (loss) to net cash provided by operating activities: | ||||||||||||||||
Net income | $ | 2,548,170 | $ | (18,505,320 | ) | |||||||||||
Adjustments to reconcile net income to net cash provided by operating activities: | ||||||||||||||||
Net (income) loss allocated from investments in Master Funds | (16,100,116 | ) | 18,449,455 | (5,297,567 | ) | 16,078,676 | ||||||||||
Net income allocated from investment in Graham Cash Assets LLC | (111,995 | ) | (89,072 | ) | (244,107 | ) | (175,370 | ) | ||||||||
Proceeds from sale of investments in Master Funds | 61,383,114 | 73,261,609 | 92,868,066 | 119,195,545 | ||||||||||||
Proceeds from sale of investments in Graham Cash Assets LLC | 45,468,484 | 59,218,104 | 80,885,997 | 101,552,403 | ||||||||||||
Investments in Master Funds | (43,544,130 | ) | (78,091,187 | ) | (82,703,571 | ) | (124,420,361 | ) | ||||||||
Investments in Graham Cash Assets LLC | (54,417,686 | ) | (49,086,938 | ) | (79,278,086 | ) | (80,641,752 | ) | ||||||||
Changes in assets and liabilities: | ||||||||||||||||
Accrued advisory fees | 10,815 | (35,001 | ) | (17,356 | ) | (54,070 | ) | |||||||||
Accrued sponsor fees | 8,449 | (23,065 | ) | (12,794 | ) | (28,043 | ) | |||||||||
Accrued professional fees | (27,147 | ) | (16,911 | ) | (23,876 | ) | (103,645 | ) | ||||||||
Accrued administrator’s fee | 822 | (2,532 | ) | (1,261 | ) | (3,078 | ) | |||||||||
Net cash provided by operating activities | 7,378,678 | 3,907,243 | 8,723,615 | 12,894,985 | ||||||||||||
Cash flows used in financing activities | ||||||||||||||||
Subscriptions | 1,991,544 | 4,154,089 | 6,416,594 | 10,625,084 | ||||||||||||
Redemptions | (9,370,222 | ) | (8,061,332 | ) | (15,140,209 | ) | (23,520,069 | ) | ||||||||
Net cash used in financing activities | (7,378,678 | ) | (3,907,243 | ) | (8,723,615 | ) | (12,894,985 | ) | ||||||||
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 | Dissolution Date |
Graham Macro Directional LLC | August 21, 2014 | October 30, 2014 |
Graham Global Monetary Policy LLC | August 26, 2014 | October 30, 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. |
March 31, 2015 | ||||||||||||||||||||||||
June 30, 2015 | June 30, 2015 | |||||||||||||||||||||||
Investment – Objective | Percent of Members’ Capital | Fair Value | Net Income (three months ended) | Percent of Members’ Capital | Fair Value | Net Income | ||||||||||||||||||
Systematic Macro Funds | ||||||||||||||||||||||||
Graham K4D Trading Ltd. | 6.46 | % | $ | 11,664,280 | $ | 8,936,822 | 6.29 | % | $ | 10,689,060 | $ | 4,250,708 | ||||||||||||
Global Macro Funds | ||||||||||||||||||||||||
Graham Commodity Strategies LLC | 4.75 | % | 8,566,089 | 7,163,294 | 3.78 | % | 6,412,815 | 1,046,859 | ||||||||||||||||
11.21 | % | $ | 20,230,369 | $ | 16,100,116 | 10.07 | % | $ | 17,101,875 | $ | 5,297,567 |
December 31, 2014 | December 31, 2014 | December 31, 2014 | ||||||||||||||||||||||
Investment – Objective | Percent of Members’ Capital | Fair Value | Net Loss (three months ended March 31, 2014) | Percent of Members’ Capital | Fair Value | Net Loss (six months ended June 30, 2014) | ||||||||||||||||||
Systematic Macro Funds | ||||||||||||||||||||||||
Graham K4D Trading Ltd. | 5.44 | % | $ | 9,193,522 | $ | (9,156,537 | ) | 7.57 | % | $ | 12,775,274 | $ | (2,217,635 | ) | ||||||||||
Global Macro Funds | ||||||||||||||||||||||||
Graham Commodity Strategies LLC | 7.57 | % | 12,775,274 | (5,314,137 | ) | 5.44 | % | 9,193,522 | (7,734,590 | ) | ||||||||||||||
Other Global Macro Funds (2) | 0.00 | % | - | (3,978,781 | ) | 0.00 | % | - | (6,126,451 | ) | ||||||||||||||
13.01 | % | $ | 21,968,796 | $ | (18,449,455 | ) | 13.01 | % | $ | 21,968,796 | $ | (16,078,676 | ) |
Graham Commodity Strategies LLC (Delaware) | Graham K4D Trading Ltd. (BVI) | Graham Commodity Strategies LLC (Delaware) | Graham K4D Trading Ltd. (BVI) | |||||||||||||
Assets: | ||||||||||||||||
Due from brokers | $ | 53,406,984 | $ | 102,878,252 | $ | 61,503,155 | $ | 121,335,749 | ||||||||
Derivative financial instruments, at fair value | 88,340,658 | 21,623,975 | 46,787,653 | 3,605,484 | ||||||||||||
Exchange membership, at fair value | 3,197,300 | 890,000 | 3,176,800 | 849,250 | ||||||||||||
Total assets | 144,944,942 | 125,392,227 | 111,467,608 | 125,790,483 | ||||||||||||
Liabilities: | ||||||||||||||||
Derivative financial instruments, at fair value | - | 10,392,630 | 106,386 | 18,333,440 | ||||||||||||
Due to brokers | - | - | ||||||||||||||
Total liabilities | - | 10,392,630 | 106,386 | 18,333,440 | ||||||||||||
Net assets | $ | 144,944,942 | $ | 114,999,597 | $ | 111,361,222 | $ | 107,457,043 | ||||||||
Percentage of Master Fund held by GAIT | 5.91 | % | 10.14 | % | 5.76 | % | 9.95 | % |
Description | Number of Contracts / Notional Amounts | Fair Value | Percentage of Members’ Capital of Master Fund | |||||||||
Graham Commodity Strategies LLC | ||||||||||||
Derivative financial instruments | ||||||||||||
Long contracts | ||||||||||||
Futures | ||||||||||||
Commodity | $ | (8,604,370 | ) | (5.94 | )% | |||||||
Foreign bond | 165,879 | 0.11 | % | |||||||||
Foreign index | 2,446,956 | 1.69 | % | |||||||||
Interest rate | 4,963,058 | 3.42 | % | |||||||||
U.S. bond | 40,219 | 0.03 | % | |||||||||
U.S. index | 8,500 | 0.01 | % | |||||||||
Total futures | (979,758 | ) | (0.68 | )% | ||||||||
Swaps | ||||||||||||
Interest rate | (7,271,755 | ) | (5.02 | )% | ||||||||
Total swaps | (7,271,755 | ) | (5.02 | )% | ||||||||
Forwards | ||||||||||||
Euro / U.S. dollar 04/09/2015 | EUR | 100,000,000 | (28,684,872 | ) | (19.79 | )% | ||||||
Other foreign currency | (662,250 | ) | (0.46 | )% | ||||||||
Total forwards | (29,347,122 | ) | (20.25 | )% | ||||||||
Options (cost $169,509,852) | ||||||||||||
Crude oil futures 06/30/2015 - 12/31/2016, $65.00 - $105.00 Call | 3 | 390,000 | 0.27 | % | ||||||||
Crude oil futures 05/31/2015 - 06/30/2015, $42.50 - $50.00 Put | 6 | 11,201,000 | 7.73 | % | ||||||||
Other commodity futures | 20,428,636 | 14.09 | % | |||||||||
Euro / U.S. dollar 01/04/2016, $1.35 Call | 1 | 8,310 | 0.01 | % | ||||||||
Euro / U.S. dollar 05/15/2015, $1.04 Put | 3 | 7,456,400 | 5.14 | % | ||||||||
Euro / U.S. dollar 05/15/2015, $1.10 Put | 2 | 20,020,500 | 13.81 | % | ||||||||
Euro / U.S. dollar 05/15/2015, $1.33 Put | 1 | 7,608,462 | 5.25 | % | ||||||||
Euro / U.S. dollar 06/23/2015, $1.10 Put | 1 | 7,651,440 | 5.28 | % | ||||||||
Euro / U.S. dollar 04/01/2015 - 01/10/2017, $0.95 - $1.22 Put | 18 | 27,485,135 | 18.96 | % | ||||||||
U.S. dollar / Canadian dollar 04/10/2015, $1.22 Call | 1 | 7,291,620 | 5.03 | % | ||||||||
U.S. dollar / Canadian dollar 04/10/2015 - 01/06/2016, $1.24 - $1.31 Call | 13 | 15,459,778 | 10.67 | % | ||||||||
U.S. dollar / Japanese yen 04/07/2015 $119.00 Put | 1 | 246,320 | 0.17 | % | ||||||||
U.S. dollar / Japanese yen 04/13/2015 - 12/03/2015, $121.00 - $131.68 Call | 14 | 10,293,448 | 7.10 | % | ||||||||
Other currency | 28,528,012 | 19.68 | % | |||||||||
Foreign index | 1,300,699 | 0.90 | % | |||||||||
Eurodollar futures 06/30/2015 - 03/31/2016, $98.63 - $99.38 Put | 6 | 5,003,125 | 3.45 | % | ||||||||
Eurodollar futures 06/30/2015 - 12/31/2015, $99.00 - $99.75 Call | 5 | 8,840,625 | 6.10 | % | ||||||||
Other interest rate futures | 828,166 | 0.57 | % | |||||||||
Total options | 180,041,676 | 124.21 | % |
Description | Number of Contracts / Notional Amounts | Fair Value | Percentage of Members’ Capital of Master Fund | |||||||||
Graham Commodity Strategies LLC (continued) | ||||||||||||
Derivative financial instruments (continued) | ||||||||||||
Short contracts | ||||||||||||
Futures | ||||||||||||
Commodity | $ | 9,517,325 | 6.57 | % | ||||||||
Foreign index | 73,949 | 0.05 | % | |||||||||
Interest rate | (2,555,957 | ) | (1.76 | )% | ||||||||
U.S. bond | (405,875 | ) | (0.28 | )% | ||||||||
U.S. index | (63,375 | ) | (0.04 | )% | ||||||||
Total futures | 6,566,067 | 4.54 | % | |||||||||
Swaps | ||||||||||||
Natural gas futures 01/31/2016 – 12/31/2016 | 12 | 8,130,750 | 5.61 | % | ||||||||
Total swaps | 8,130,750 | 5.61 | % | |||||||||
Forwards | ||||||||||||
U.S. dollar / Euro 04/09/2015 | EUR | (100,000,000 | ) | 28,784,343 | 19.86 | % | ||||||
Other foreign currency | 287,877 | 0.20 | % | |||||||||
Total forwards | 29,072,220 | 20.06 | % | |||||||||
Options (proceeds $15,318,750) | ||||||||||||
Crude oil futures 05/31/2015 – 06/30/2015, $37.50 - $42.00 Put | 5 | (7,034,000 | ) | (4.85 | )% | |||||||
Crude oil futures 06/30/2015 – 12/31/2016, $80.00 - $120.00 Call | 2 | (395,000 | ) | (0.27 | )% | |||||||
Other commodity futures | (9,691,130 | ) | (6.69 | )% | ||||||||
Euro / U.S. dollar 05/15/2015, $1.04 Put | 2 | (7,456,400 | ) | (5.14 | )% | |||||||
Euro / U.S. dollar 05/15/2015, $1.10 Put | 3 | (20,020,500 | ) | (13.81 | )% | |||||||
Euro / U.S. dollar 04/01/2015 – 06/23/2015, $0.99 - $1.09 Put | 9 | (8,747,918 | ) | (6.04 | )% | |||||||
Euro / U.S. dollar 04/03/2015 – 01/04/2016, $1.09 - $1.10 Call | 3 | (1,970,022 | ) | (1.36 | )% | |||||||
U.S. dollar / Canadian dollar 04/10/2015, $1.22 Call | 1 | (7,291,620 | ) | (5.03 | )% | |||||||
U.S. dollar / Canadian dollar 04/10/2015 - 05/29/2015, $1.22 - $1.34 Call | 11 | (8,527,009 | ) | (5.88 | )% | |||||||
Other currency | (14,185,721 | ) | (9.79 | )% | ||||||||
Eurodollar futures 06/30/15 - 03/31/16, $98.88 - $99.00 Put | 4 | (4,000,000 | ) | (2.76 | )% | |||||||
Eurodollar futures 06/30/15 - 12/31/15, $99.13 - $99.75 Call | 4 | (8,093,750 | ) | (5.58 | )% | |||||||
Other interest rate futures | (458,350 | ) | (0.32 | )% | ||||||||
Total options | (97,871,420 | ) | (67.52 | )% | ||||||||
Total derivative financial instruments | $ | 88,340,658 | 60.95 | % |
Description | Fair Value | Percentage of Net Assets of Master Fund | Number of Contracts | Fair Value | Percentage of Members’ Capital of Master Fund | |||||||||||||||
Graham K4D Trading Ltd. | ||||||||||||||||||||
Graham Commodity Strategies LLC | ||||||||||||||||||||
Derivative financial instruments | ||||||||||||||||||||
Long contracts | ||||||||||||||||||||
Futures | ||||||||||||||||||||
Commodity | $ | (179,083 | ) | (0.16 | )% | |||||||||||||||
Currency | (431,201 | ) | (0.37 | )% | ||||||||||||||||
Soybean August 2015 | 3,405 | $ | 10,819,488 | 9.72 | % | |||||||||||||||
Soybean November 2015 | 70 | 215,263 | 0.19 | % | ||||||||||||||||
Wheat September 2015 | 6,100 | 14,990,988 | 13.46 | % | ||||||||||||||||
Other commodity | (3,063,805 | ) | (2.75 | )% | ||||||||||||||||
Foreign bond | 9,263,665 | 8.06 | % | 88,411 | 0.08 | % | ||||||||||||||
Foreign index | 4,870,850 | 4.24 | % | (468,400 | ) | (0.42 | )% | |||||||||||||
Interest rate | 1,414,631 | 1.23 | % | 5,777,987 | 5.19 | % | ||||||||||||||
U.S. bond | 2,340,158 | 2.03 | % | (63,211 | ) | (0.06 | )% | |||||||||||||
U.S. index | 1,166,253 | 1.01 | % | |||||||||||||||||
Total futures | 18,445,273 | 16.04 | % | 28,296,721 | 25.41 | % | ||||||||||||||
Forwards | ||||||||||||||||||||
Foreign currency | (3,083,892 | ) | (2.68 | )% | (1,416,204 | ) | (1.27 | )% | ||||||||||||
Total forwards | (3,083,892 | ) | (2.68 | )% | (1,416,204 | ) | (1.27 | )% | ||||||||||||
Short contracts | ||||||||||||||||||||
Futures | ||||||||||||||||||||
Commodity | 3,780,036 | 3.29 | % | |||||||||||||||||
Currency | (197,726 | ) | (0.17 | )% | ||||||||||||||||
Foreign bond | (248,430 | ) | (0.22 | )% | ||||||||||||||||
Foreign index | 95,620 | 0.08 | % | |||||||||||||||||
Interest rate | (82,984 | ) | (0.07 | )% | ||||||||||||||||
U.S. bond | (73,507 | ) | (0.06 | )% | ||||||||||||||||
Options (cost $155,803,343) | ||||||||||||||||||||
Natural gas European future 09/30/15 $3.10 Call | 1 | 1,389,000 | 1.25 | % | ||||||||||||||||
Natural gas European future 08/31/15 - 10/31/2015, $2.50 - $2.75 Put | 7 | 13,101,000 | 11.76 | % | ||||||||||||||||
Other commodity futures | 12,323,806 | 11.07 | % | |||||||||||||||||
Euro / British pound 08/10/15 - 11/11/15, $0.65 - $0.71 Put | 7 | 8,915,831 | 8.01 | % | ||||||||||||||||
Euro / U.S. dollar 07/03/15 - 01/04/16, $1.12 - $1.35 Call | 2 | 737,875 | 0.66 | % | ||||||||||||||||
Euro / U.S. dollar 07/03/15 - 01/10/17, $0.95 - $1.11 Put | 17 | 13,507,592 | 12.13 | % | ||||||||||||||||
U.S. dollar / Chinese yuan 10/09/15 - 05/03/16, $6.18 - $6.25 Put | 8 | 7,693,013 | 6.91 | % | ||||||||||||||||
U.S. dollar / Japanese yen 07/14/15 $120.40 Put | 1 | 376,965 | 0.34 | % | ||||||||||||||||
U.S. dollar / Japanese yen 07/07/15 – 11/25/15, $122.00 - $132.00 Call | 18 | 13,716,365 | 12.32 | % | ||||||||||||||||
Other currency | 17,585,910 | 15.78 | % | |||||||||||||||||
IMM Euro future 12/31/15, $99.00 - $99.63 Call | 4 | 24,143,750 | 21.68 | % | ||||||||||||||||
IMM Euro future 12/31/15 – 03/31/16, $98.63 - $99.13 Put | 4 | 778,125 | 0.70 | % | ||||||||||||||||
Other interest rate futures | 3,027,528 | 2.72 | % | |||||||||||||||||
U.S. index | (94,306 | ) | (0.08 | )% | 1,025,000 | 0.92 | % | |||||||||||||
Total futures | 3,178,703 | 2.77 | % | |||||||||||||||||
Forwards | ||||||||||||||||||||
Foreign currency | (7,308,739 | ) | (6.36 | )% | ||||||||||||||||
Total forwards | (7,308,739 | ) | (6.36 | )% | ||||||||||||||||
Total derivative financial instruments | $ | 11,231,345 | 9.77 | % | ||||||||||||||||
Total options | 118,321,760 | 106.25 | % |
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 | ||||||||||||
Soybean November 2015 | (3,005 | ) | $ | (12,534,213 | ) | (11.26 | )% | |||||
Wheat December 2015 | (4,000 | ) | (21,246,850 | ) | (19.08 | )% | ||||||
Wheat March 2016 | (2,000 | ) | (3,519,350 | ) | (3.16 | )% | ||||||
Other commodity | 5,176,988 | 4.65 | % | |||||||||
Foreign bond | (381 | ) | (0.00 | )% | ||||||||
Foreign index | 89,883 | 0.08 | % | |||||||||
Interest rate | (5,407,257 | ) | (4.86 | )% | ||||||||
U.S. bond | (123,875 | ) | (0.11 | )% | ||||||||
U.S. index | 1,242,113 | 1.12 | % | |||||||||
Total futures | (36,322,942 | ) | (32.62 | )% | ||||||||
Forwards | ||||||||||||
Foreign currency | 1,194,711 | 1.07 | % | |||||||||
Total forwards | 1,194,711 | 1.07 | % | |||||||||
Options (proceeds $101,985,125) | ||||||||||||
Natural gas European future 09/30/15 $3.00 Call | 1 | (1,860,000 | ) | (1.67 | )% | |||||||
Natural gas European future 08/31/15 - 01/31/2016, $1.75 - $2.50 Put | 8 | (5,274,500 | ) | (4.74 | )% | |||||||
Other commodity futures | (7,359,550 | ) | (6.61 | )% | ||||||||
Euro / British pound 08/10/15 - 11/11/15, $0.65 - $0.68 Put | 5 | (5,011,340 | ) | (4.50 | )% | |||||||
Euro / U.S. dollar 07/03/15 - 01/04/16, $1.12 - $1.25 Call | 7 | (1,838,775 | ) | (1.65 | )% | |||||||
Euro / U.S. dollar 07/03/15 - 12/17/17, $0.97 - $1.11 Put | 6 | (5,376,795 | ) | (4.83 | )% | |||||||
U.S. dollar / Chinese yuan 10/09/15 - 05/03/16, $6.11 - $6.12 Put | 2 | (334,760 | ) | (0.30 | )% | |||||||
U.S. dollar / Japanese yen 07/24/15 - 11/19/15, $122.50 - $130.00 Call | 11 | (6,683,788 | ) | (6.00 | )% | |||||||
U.S. dollar / Japanese yen 07/29/15 – 09/23/15, $111.96 - $116.05 Put | 2 | (304,765 | ) | (0.27 | )% | |||||||
Other currency | (5,517,251 | ) | (4.95 | )% | ||||||||
IMM Euro future 12/31/15, $99.13 Call | 1 | (13,125,000 | ) | (11.79 | )% | |||||||
IMM Euro future 12/31/15, $99.25 Call | 1 | (9,000,000 | ) | (8.08 | )% | |||||||
IMM Euro future 12/31/15, $99.75 Call | 1 | (31,250 | ) | (0.03 | )% | |||||||
IMM Euro future 12/31/15 - 03/31/16, $98.88 - $99.13 Put | 4 | (590,625 | ) | (0.53 | )% | |||||||
Other interest rate futures | (534,380 | ) | (0.48 | )% | ||||||||
U.S. index | (550,000 | ) | (0.49 | )% | ||||||||
Total options | (63,392,779 | ) | (56.92 | )% | ||||||||
Total derivative financial instruments | $ | 46,681,267 | 41.92 | % |
Description | Number of Contracts | Fair Value | Percentage of Net Assets of Master Fund | |||||||||
Graham K4D Trading Ltd. | ||||||||||||
Derivative financial instruments | ||||||||||||
Long contracts | ||||||||||||
Futures | ||||||||||||
Corn December 2015 | 47 | $ | 118,516 | 0.11 | % | |||||||
Soybean November 2015 | 2 | 5,187 | 0.00 | % | ||||||||
Other commodity | (6,146,541 | ) | (5.72 | )% | ||||||||
Currency | 259,297 | 0.24 | % | |||||||||
Foreign bond | 579,541 | 0.54 | % | |||||||||
Foreign index | (3,175,471 | ) | (2.96 | )% | ||||||||
Interest rate | 941,648 | 0.88 | % | |||||||||
U.S. bond | 1,673,340 | 1.56 | % | |||||||||
U.S. index | (4,265,129 | ) | (3.97 | )% | ||||||||
Total futures | (10,009,612 | ) | (9.32 | )% | ||||||||
Forwards | ||||||||||||
Foreign currency | (78,461 | ) | (0.07 | )% | ||||||||
Total forwards | (78,461 | ) | (0.07 | )% | ||||||||
Short contracts | ||||||||||||
Futures | ||||||||||||
Corn December 2015 | (2,038 | ) | (5,494,493 | ) | (5.12 | )% | ||||||
Soybean November 2015 | (1,005 | ) | (5,978,646 | ) | (5.56 | )% | ||||||
Other commodity | (547,394 | ) | (0.51 | )% | ||||||||
Currency | (163,224 | ) | (0.15 | )% | ||||||||
Foreign bond | 1,717,739 | 1.60 | % | |||||||||
Foreign index | 2,320,705 | 2.16 | % | |||||||||
Interest rate | (114,916 | ) | (0.11 | )% | ||||||||
U.S. bond | (249,112 | ) | (0.23 | )% | ||||||||
U.S. index | 185,375 | 0.17 | % | |||||||||
Total futures | (8,323,966 | ) | (7.75 | )% | ||||||||
Forwards | ||||||||||||
Foreign currency | 3,684,083 | 3.43 | % | |||||||||
Total forwards | 3,684,083 | 3.43 | % | |||||||||
Total derivative financial instruments | $ | (14,727,956 | ) | (13.71 | )% |
Graham Commodity Strategies LLC | Graham K4D Trading Ltd. | Graham Commodity Strategies LLC | Graham K4D Trading Ltd. | |||||||||||||
Assets | ||||||||||||||||
Level 1: | ||||||||||||||||
Commodity futures | $ | 11,386,105 | $ | 12,014,817 | $ | 36,575,047 | $ | 14,735,807 | ||||||||
Commodity futures options | 32,019,636 | - | 26,813,806 | - | ||||||||||||
Commodity swaps | 8,130,750 | - | ||||||||||||||
Currency futures | - | 21,934 | - | 436,853 | ||||||||||||
Foreign bond futures | 290,609 | 9,334,986 | 142,683 | 2,753,462 | ||||||||||||
Foreign index futures | 2,625,923 | 6,619,255 | 127,834 | 3,131,878 | ||||||||||||
Foreign index futures options | 1,300,699 | - | ||||||||||||||
Interest rate futures | 5,002,331 | 1,414,780 | 5,825,212 | 1,134,650 | ||||||||||||
Interest rate futures options | 14,671,916 | - | 27,949,403 | - | ||||||||||||
U.S. bond futures | 40,219 | 2,604,676 | 18,101 | 3,004,784 | ||||||||||||
U.S. index futures | 8,500 | 1,488,864 | 1,242,113 | 193,608 | ||||||||||||
U.S. index futures options | 1,025,000 | - | ||||||||||||||
Total Level 1 | 75,476,688 | 33,499,312 | 99,719,199 | 25,391,042 | ||||||||||||
Level 2: | ||||||||||||||||
Foreign currency forwards | 34,597,345 | 5,933,152 | 7,073,664 | 9,380,321 | ||||||||||||
Foreign currency options | 132,049,424 | - | 62,533,551 | - | ||||||||||||
Total Level 2 | 166,646,769 | 5,933,152 | 69,607,215 | 9,380,321 | ||||||||||||
Total investment related assets | $ | 242,123,457 | $ | 39,432,464 | $ | 169,326,414 | $ | 34,771,363 | ||||||||
Liabilities | ||||||||||||||||
Level 1: | ||||||||||||||||
Commodity futures | $ | (10,473,150 | ) | $ | (8,413,864 | ) | $ | (45,736,538 | ) | $ | (32,779,178 | ) | ||||
Commodity futures options | (17,120,130 | ) | - | (14,494,050 | ) | - | ||||||||||
Currency futures | - | (650,861 | ) | - | (340,780 | ) | ||||||||||
Foreign bond futures | (124,730 | ) | (319,751 | ) | (54,653 | ) | (456,182 | ) | ||||||||
Foreign index futures | (105,018 | ) | (1,652,785 | ) | (506,351 | ) | (3,986,644 | ) | ||||||||
Interest rate futures | (2,595,230 | ) | (83,133 | ) | (5,454,482 | ) | (307,918 | ) | ||||||||
Interest rate futures options | (12,552,100 | ) | - | (23,281,255 | ) | - | ||||||||||
U.S. bond futures | (405,875 | ) | (338,025 | ) | (205,187 | ) | (1,580,556 | ) | ||||||||
U.S. index futures | (63,375 | ) | (416,917 | ) | - | (4,273,362 | ) | |||||||||
U.S. index futures options | (550,000 | ) | - | |||||||||||||
Total Level 1 | (43,439,608 | ) | (11,875,336 | ) | (90,282,516 | ) | (43,724,620 | ) | ||||||||
Level 2: | ||||||||||||||||
Foreign currency forwards | (34,872,247 | ) | (16,325,783 | ) | (7,295,157 | ) | (5,774,699 | ) | ||||||||
Foreign currency options | (68,199,189 | ) | - | (25,067,474 | ) | - | ||||||||||
Interest rate swaps | (7,271,755 | ) | - | |||||||||||||
Total Level 2 | (110,343,191 | ) | (16,325,783 | ) | (32,362,631 | ) | (5,774,699 | ) | ||||||||
Total investment related liabilities | $ | (153,782,799 | ) | $ | (28,201,119 | ) | $ | (122,645,147 | ) | $ | (49,499,319 | ) |
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 | $ | 252,174,980 | 8,439 | $ | (338,118,500 | ) | (8,135 | ) | $ | 11,386,105 | $ | (10,473,150 | ) | $ | 428,223,315 | 13,275 | $ | (478,800,677 | ) | (13,711 | ) | $ | 36,575,047 | $ | (45,736,538 | ) | ||||||||||||||||||||||
Options(a) | 323,892,593 | 56,271 | (443,497,712 | ) | (34,090 | ) | 32,019,636 | (17,120,130 | ) | 308,272,791 | 75,514 | (399,118,240 | ) | (39,128 | ) | 26,813,806 | (14,494,050 | ) | ||||||||||||||||||||||||||||||
Swaps | - | - | (28,019,250 | ) | (3,600 | ) | 8,130,750 | - | - | - | (14,009,625 | ) | (1,800 | ) | - | - | ||||||||||||||||||||||||||||||||
576,067,573 | 64,710 | (809,635,462 | ) | (45,825 | ) | 51,536,491 | (27,593,280 | ) | 736,496,106 | 88,789 | (891,928,542 | ) | (54,639 | ) | 63,388,853 | (60,230,588 | ) | |||||||||||||||||||||||||||||||
Equity price | ||||||||||||||||||||||||||||||||||||||||||||||||
Futures | 111,585,284 | 1,533 | (85,349,045 | ) | (1,039 | ) | 2,634,423 | (168,393 | ) | 88,789,036 | 1,186 | (102,360,188 | ) | (1,126 | ) | 1,369,947 | (506,351 | ) | ||||||||||||||||||||||||||||||
Options(a) | 24,214,672 | 1,000 | - | - | 1,300,699 | - | 22,241,158 | 1,000 | (18,166,917 | ) | (500 | ) | 1,025,000 | (550,000 | ) | |||||||||||||||||||||||||||||||||
135,799,956 | 2,533 | (85,349,045 | ) | (1,039 | ) | 3,935,122 | (168,393 | ) | 111,030,194 | 2,186 | (120,527,105 | ) | (1,626 | ) | 2,394,947 | (1,056,351 | ) | |||||||||||||||||||||||||||||||
Foreign currency exchange rate | Foreign currency exchange rate | Foreign currency exchange rate | ||||||||||||||||||||||||||||||||||||||||||||||
Forwards | 975,183,901 | N/A | (1,973,755,018 | ) | N/A | 34,597,345 | (34,872,247 | ) | 988,365,693 | N/ | A | (2,023,363,045 | ) | N/ | A | 7,073,664 | (7,295,157 | ) | ||||||||||||||||||||||||||||||
Options(a) | 2,670,261,070 | 77 | (2,870,081,925 | ) | (88 | ) | 132,049,424 | (68,199,189 | ) | 2,093,434,207 | 69 | (2,508,381,302 | ) | (81 | ) | 62,533,551 | (25,067,474 | ) | ||||||||||||||||||||||||||||||
3,645,444,971 | 77 | (4,843,836,943 | ) | (88 | ) | 166,646,769 | (103,071,436 | ) | 3,081,799,900 | 69 | (4,531,744,347 | ) | (81 | ) | 69,607,215 | (32,362,631 | ) | |||||||||||||||||||||||||||||||
Interest rate | ||||||||||||||||||||||||||||||||||||||||||||||||
Futures | 10,980,426,942 | 38,159 | (6,057,778,557 | ) | (25,152 | ) | 5,333,159 | (3,125,835 | ) | 9,432,603,617 | 35,271 | (6,184,602,576 | ) | (25,766 | ) | 5,985,996 | (5,714,322 | ) | ||||||||||||||||||||||||||||||
Options(a) | 1,709,568,947 | 64,500 | (1,542,186,312 | ) | (62,000 | ) | 14,671,916 | (12,552,100 | ) | 4,681,901,309 | 69,900 | (4,521,444,134 | ) | (60,250 | ) | 27,949,403 | (23,281,255 | ) | ||||||||||||||||||||||||||||||
Swaps | 644,657,769 | 4 | (644,657,769 | ) | (4 | ) | - | (7,271,755 | ) | 322,328,885 | 2 | (322,328,885 | ) | (2 | ) | - | - | |||||||||||||||||||||||||||||||
13,334,653,658 | 102,663 | (8,244,622,638 | ) | (87,156 | ) | 20,005,075 | (22,949,690 | ) | 14,436,833,811 | 105,173 | (11,028,375,595 | ) | (86,018 | ) | 33,935,399 | (28,995,577 | ) | |||||||||||||||||||||||||||||||
Total | $ | 17,691,966,158 | 169,983 | $ | (13,983,444,088 | ) | (134,108 | ) | $ | 242,123,457 | $ | (153,782,799 | ) | $ | 18,366,160,011 | 196,217 | $ | (16,572,575,589 | ) | (142,364 | ) | $ | 169,326,414 | $ | (122,645,147 | ) |
Graham K4D Trading Ltd. | Graham K4D Trading Ltd. | |||||||||||||||||||||||||||||||||||||||||||||||
Long exposure | Short exposure | Long exposure | Short exposure | |||||||||||||||||||||||||||||||||||||||||||||
Notional amounts | Number of contracts | Notional amounts | Number of contracts | Derivative Assets | Derivative Liabilities | Notional amounts | Number of contracts | Notional amounts | Number of contracts | Derivative Assets | Derivative Liabilities | |||||||||||||||||||||||||||||||||||||
Commodity price | ||||||||||||||||||||||||||||||||||||||||||||||||
Futures | $ | 196,354,505 | 4,047 | $ | (608,965,109 | ) | (12,858 | ) | $ | 12,014,817 | $ | (8,413,864 | ) | $ | 269,007,298 | 4,876 | $ | (652,146,226 | ) | (13,528 | ) | $ | 14,735,807 | $ | (32,779,178 | ) | ||||||||||||||||||||||
196,354,505 | 4,047 | (608,965,109 | ) | (12,858 | ) | 12,014,817 | (8,413,864 | ) | 269,007,298 | 4,876 | (652,146,226 | ) | (13,528 | ) | 14,735,807 | (32,779,178 | ) | |||||||||||||||||||||||||||||||
Equity price | ||||||||||||||||||||||||||||||||||||||||||||||||
Futures | 930,261,165 | 9,465 | (52,785,847 | ) | (565 | ) | 8,108,119 | (2,069,702 | ) | 814,492,843 | 8,277 | (93,312,995 | ) | (1,053 | ) | 3,325,486 | (8,260,006 | ) | ||||||||||||||||||||||||||||||
930,261,165 | 9,465 | (52,785,847 | ) | (565 | ) | 8,108,119 | (2,069,702 | ) | 814,492,843 | 8,277 | (93,312,995 | ) | (1,053 | ) | 3,325,486 | (8,260,006 | ) | |||||||||||||||||||||||||||||||
Foreign currency exchange rate | Foreign currency exchange rate | Foreign currency exchange rate | ||||||||||||||||||||||||||||||||||||||||||||||
Forwards | 596,062,233 | N/A | (1,164,772,094 | ) | N/A | 5,933,152 | (16,325,783 | ) | 632,778,456 | N/A | (947,071,181 | ) | N/A | 9,380,321 | (5,774,699 | ) | ||||||||||||||||||||||||||||||||
Futures | 79,320,712 | 815 | (44,865,831 | ) | (484 | ) | 21,934 | (650,861 | ) | 49,668,255 | 509 | (52,974,582 | ) | (550 | ) | 436,853 | (340,780 | ) | ||||||||||||||||||||||||||||||
675,382,945 | 815 | (1,209,637,925 | ) | (484 | ) | 5,955,086 | (16,976,644 | ) | 682,446,711 | 509 | (1,000,045,763 | ) | (550 | ) | 9,817,174 | (6,115,479 | ) | |||||||||||||||||||||||||||||||
Interest rate | ||||||||||||||||||||||||||||||||||||||||||||||||
Futures | 5,726,745,650 | 32,057 | (164,812,829 | ) | (905 | ) | 13,354,442 | (740,909 | ) | 5,256,002,338 | 27,121 | (930,042,146 | ) | (5,689 | ) | 6,892,896 | (2,344,656 | ) | ||||||||||||||||||||||||||||||
5,726,745,650 | 32,057 | (164,812,829 | ) | (905 | ) | 13,354,442 | (740,909 | ) | 5,256,002,338 | 27,121 | (930,042,146 | ) | (5,689 | ) | 6,892,896 | (2,344,656 | ) | |||||||||||||||||||||||||||||||
Total | $ | 7,528,744,265 | 46,384 | $ | (2,036,201,710 | ) | (14,812 | ) | $ | 39,432,464 | $ | (28,201,119 | ) | $ | 7,021,949,190 | 40,783 | $ | (2,675,547,130 | ) | (20,820 | ) | $ | 34,771,363 | $ | (49,499,319 | ) |
Description | Gross Amount | Gross Amount Offset in the Statements of Financial Condition | Net Amount Presented in the Statements of Financial Condition | Collateral (Received) / Pledged | Net Amount | Gross Amount | Gross Amount Offset in the Statements of Financial Condition | Net Amount Presented in the Statements of Financial Condition | Collateral (Received) / Pledged | Net Amount | ||||||||||||||||||||||||||||||
Graham Commodity Strategies LLC1 | Graham Commodity Strategies LLC1 | |||||||||||||||||||||||||||||||||||||||
Derivative assets | $ | 242,123,457 | $ | (153,782,799 | ) | $ | 88,340,658 | $ | - | $ | 88,340,658 | $ | 169,326,414 | $ | (122,538,761 | ) | $ | 46,787,653 | $ | - | $ | 46,787,653 | ||||||||||||||||||
Derivative liabilities | (153,782,799 | ) | 153,782,799 | - | - | - | (122,645,147 | ) | 122,538,761 | (106,386 | ) | 106,386 | - | |||||||||||||||||||||||||||
Graham K4D Trading Ltd.2 | ||||||||||||||||||||||||||||||||||||||||
Derivative assets | 39,432,464 | (17,808,489 | ) | 21,623,975 | - | 21,623,975 | 34,771,363 | (31,165,879 | ) | 3,605,484 | - | 3,605,484 | ||||||||||||||||||||||||||||
Derivative liabilities | (28,201,119 | ) | 17,808,489 | (10,392,630 | ) | 10,392,630 | - | (49,499,319 | ) | 31,165,879 | (18,333,440 | ) | 18,333,440 | - | ||||||||||||||||||||||||||
Graham Commodity Strategies LLC | Graham K4D Trading Ltd. | |||||||
Net investment loss | $ | (18,350 | ) | $ | (11,029 | ) | ||
Net realized gain (loss) on investments | 124,394,094 | 130,023,341 | ||||||
Net increase (decrease) in unrealized appreciation on investments | 434,484 | (43,080,517 | ) | |||||
Brokerage commissions and fees | (3,603,352 | ) | (312,217 | ) | ||||
Net gain (loss) on investments | 121,225,226 | 86,630,607 | ||||||
Net income (loss) | $ | 121,206,876 | $ | 86,619,578 |
Graham Commodity Strategies LLC | Graham K4D Trading Ltd. | |||||||
Net investment income (loss) | $ | 9,754 | $ | (29,446 | ) | |||
Net realized loss on investments | (63,760,870 | ) | (20,365,467 | ) | ||||
Net decrease in unrealized appreciation on investments | (37,877,797 | ) | (26,213,545 | ) | ||||
Brokerage commissions and fees | (4,489,047 | ) | (326,095 | ) | ||||
Net loss on investments | (106,127,714 | ) | (46,905,107 | ) | ||||
Net loss | $ | (106,117,960 | ) | $ | (46,934,553 | ) |
Graham Commodity Strategies LLC | Graham K4D Trading Ltd. | |||||||
Net investment loss | $ | (8,596 | ) | $ | (40,475 | ) | ||
Net realized gain on investments | 60,633,224 | 109,657,874 | ||||||
Net decrease in unrealized appreciation on investments | (37,443,313 | ) | (69,294,062 | ) | ||||
Brokerage commissions and fees | (8,092,399 | ) | (638,312 | ) | ||||
Net gain on investments | 15,097,512 | 39,725,500 | ||||||
Net income | $ | 15,088,916 | $ | 39,685,025 |
Graham Commodity Strategies LLC | Graham K4D Trading Ltd. | Graham Commodity Strategies LLC | Graham K4D Trading Ltd. | |||||||||||||
Commodity price | ||||||||||||||||
Futures | $ | (11,448,048 | ) | $ | (7,796,168 | ) | $ | (3,401,907 | ) | $ | (33,112,235 | ) | ||||
Options | 3,171,997 | - | (16,637,951 | ) | - | |||||||||||
Swaps | 3,132,000 | - | 440,250 | - | ||||||||||||
(5,144,051 | ) | (7,796,168 | ) | (19,599,608 | ) | (33,112,235 | ) | |||||||||
Equity price | ||||||||||||||||
Equities | 57,800 | (167,500 | ) | (20,500 | ) | (40,750 | ) | |||||||||
Futures | 19,751,060 | 29,601,184 | (11,037,557 | ) | 23,542,168 | |||||||||||
Options | 2,399,491 | - | (1,074,298 | ) | - | |||||||||||
22,208,351 | 29,433,684 | (12,132,355 | ) | 23,501,418 | ||||||||||||
Foreign currency exchange rate | ||||||||||||||||
Forwards | 57,127,461 | 24,727,587 | (28,124,450 | ) | 1,087,301 | |||||||||||
Futures | - | 9,403,836 | - | (3,598,905 | ) | |||||||||||
Options | 47,313,942 | - | (36,571,526 | ) | - | |||||||||||
104,441,403 | 34,131,423 | (64,695,976 | ) | (2,511,604 | ) | |||||||||||
Interest rate | ||||||||||||||||
Futures | 4,643,447 | 31,173,885 | (6,213,402 | ) | (34,456,591 | ) | ||||||||||
Options | 689,668 | - | 666,871 | - | ||||||||||||
Swaps | (2,010,240 | ) | - | 335,803 | - | |||||||||||
3,322,875 | 31,173,885 | (5,210,728 | ) | (34,456,591 | ) | |||||||||||
Total | $ | 124,828,578 | $ | 86,942,824 | $ | (101,638,667 | ) | $ | (46,579,012 | ) |
Graham Commodity Strategies LLC | Graham K4D Trading Ltd. | |||||||
Commodity price | ||||||||
Futures | $ | (14,849,955 | ) | $ | (40,908,403 | ) | ||
Options | (13,465,954 | ) | - | |||||
Swaps | 3,572,250 | - | ||||||
(24,743,659 | ) | (40,908,403 | ) | |||||
Equity price | ||||||||
Equities | 37,300 | (208,250 | ) | |||||
Futures | 8,713,503 | 53,143,352 | ||||||
Options | 1,325,193 | - | ||||||
10,075,996 | 52,935,102 | |||||||
Foreign currency exchange rate | ||||||||
Forwards | 29,003,011 | 25,814,888 | ||||||
Futures | - | 5,804,931 | ||||||
Options | 10,742,416 | - | ||||||
39,745,427 | 31,619,819 | |||||||
Interest rate | ||||||||
Futures | (1,569,955 | ) | (3,282,706 | ) | ||||
Options | 1,356,539 | - | ||||||
Swaps | (1,674,437 | ) | - | |||||
(1,887,853 | ) | (3,282,706 | ) | |||||
Total | $ | 23,189,911 | $ | 40,363,812 |
Graham Commodity Strategies LLC (Delaware) | Graham K4D Trading Ltd. (BVI) | |||||||
Assets: | ||||||||
Due from brokers | $ | 83,528,234 | $ | 66,195,100 | ||||
Derivative financial instruments, at fair value | 68,381,520 | 54,146,429 | ||||||
Exchange membership, at fair value | 3,139,500 | 1,057,500 | ||||||
Dividends receivable | 51,870 | - | ||||||
Total assets | 155,101,124 | 121,399,029 | ||||||
Liabilities: | ||||||||
Derivative financial instruments, at fair value | - | - | ||||||
Due to brokers | - | - | ||||||
Total liabilities | - | - | ||||||
Net assets | $ | 155,101,124 | $ | 121,399,029 | ||||
Percentage of Master Fund held by GAIT | 5.93 | % | 10.52 | % |
Description | Number of Contracts / Notional Amounts | Fair Value | Percentage of Members' Capital of Master Fund | |||||||||
Graham Commodity Strategies LLC | ||||||||||||
Derivative financial instruments | ||||||||||||
Long contracts | ||||||||||||
Futures | ||||||||||||
Coffee March 2015 | 700 | $ | (8,553,900 | ) | (5.52 | )% | ||||||
Other commodity | (8,001,987 | ) | (5.16 | )% | ||||||||
Foreign bond | 2,283,244 | 1.47 | % | |||||||||
Foreign index | 179,085 | 0.12 | % | |||||||||
Interest rate | 31,106 | 0.02 | % | |||||||||
U.S. bond | 471,562 | 0.30 | % | |||||||||
U.S. index | 256,188 | 0.17 | % | |||||||||
Total futures | (13,334,702 | ) | (8.60 | )% | ||||||||
Swaps | ||||||||||||
Interest rate | (8,099,610 | ) | (5.22 | )% | ||||||||
Total swaps | (8,099,610 | ) | (5.22 | )% | ||||||||
Forwards | ||||||||||||
Swiss franc / U.S. dollar 03/02/15 | CHF | 182,595,000 | (16,076,171 | ) | (10.36 | )% | ||||||
Other Swiss franc / U.S. dollar 01/05/15 - 01/06/15 | CHF | 114,126,268 | (414,594 | ) | (0.27 | )% | ||||||
Euro / U.S. dollar 04/09/15 | EUR | 100,000,000 | (14,993,597 | ) | (9.67 | )% | ||||||
Other Euro / U.S. dollar 01/02/15 - 02/23/15 | EUR | 1,037,300,000 | (5,915,527 | ) | (3.81 | )% | ||||||
Mexican peso / U.S. dollar 01/02/15 | MXN | 6,999,980,000 | (25,268,297 | ) | (16.29 | )% | ||||||
Other foreign currency | (3,007,519 | ) | (1.94 | )% | ||||||||
Total forwards | (65,675,705 | ) | (42.34 | )% | ||||||||
Options (cost $34,120,840) | ||||||||||||
U.S. dollar / Japanese yen 01/23/15, $110.00 Call | 1 | 8,225,790 | 5.30 | % | ||||||||
U.S. dollar / Japanese yen 01/23/15, $109.00 Call | 1 | 13,585,305 | 8.76 | % | ||||||||
U.S. dollar / Japanese yen 01/23/15, $115.00 Call | 1 | 10,454,850 | 6.74 | % | ||||||||
Other U.S. dollar / Japanese yen 01/05/15 - 12/15/15, $110.50 - $150.00 Call | 13 | 29,792,846 | 19.21 | % | ||||||||
Euro / U.S. dollar 01/16/15, $1.24 Put | 2 | 13,814,595 | 8.91 | % | ||||||||
Other Euro / U.S. dollar 01/09/15 - 08/17/15, $1.15 - $1.33 Put | 17 | 38,010,122 | 24.50 | % | ||||||||
Australian dollar / U.S. dollar 02/05/15 - 05/27/15, $0.81 - $0.83 Put | 5 | 11,440,031 | 7.38 | % | ||||||||
Other currency | 15,269,762 | 9.85 | % | |||||||||
Eurodollar future December 2015, $98.75 - $99.25 Put | 2 | 10,187,500 | 6.57 | % | ||||||||
Eurodollar future June 2015, $99.38 - $99.75 Put | 2 | 350,000 | 0.23 | % | ||||||||
Other interest rate futures | 2,875,000 | 1.85 | % |
Graham Commodity Strategies LLC (Delaware) | Graham K4D Trading Ltd. (BVI) | |||||||
Assets: | ||||||||
Due from brokers | $ | 83,528,234 | $ | 66,195,100 | ||||
Derivative financial instruments, at fair value | 68,381,520 | 54,146,429 | ||||||
Exchange membership, at fair value | 3,139,500 | 1,057,500 | ||||||
Dividends receivable | 51,870 | - | ||||||
Total assets | 155,101,124 | 121,399,029 | ||||||
Liabilities: | ||||||||
Derivative financial instruments, at fair value | - | - | ||||||
Due to brokers | - | - | ||||||
Total liabilities | - | - | ||||||
Net assets | $ | 155,101,124 | $ | 121,399,029 | ||||
Percentage of Master Fund held by GAIT | 5.93 | % | 10.52 | % |
Description | Number of Contracts / Notional Amounts | Fair Value | Percentage of Members' Capital of Master Fund | |||||||||
Graham Commodity Strategies LLC (continued) | ||||||||||||
Derivative financial instruments (continued) | ||||||||||||
Long contracts (continued) | ||||||||||||
Options (continued) | ||||||||||||
Coffee future February 2015, $167.50 Put | 1 | $ | 23,344 | 0.02 | % | |||||||
Coffee future March 2015, $250.00 Call | 1 | 20,250 | 0.01 | % | ||||||||
Commodity futures | 11,346,439 | 7.31 | % | |||||||||
Total options | 165,395,834 | 106.64 | % | |||||||||
Short contracts | ||||||||||||
Futures | ||||||||||||
Coffee July 2015 | (965 | ) | 11,849,513 | 7.64 | % | |||||||
Other commodity | 14,805,620 | 9.54 | % | |||||||||
Foreign index | (639,795 | ) | (0.41 | )% | ||||||||
Interest rate | 709,760 | 0.46 | % | |||||||||
U.S. bond | (433,813 | ) | (0.28 | )% | ||||||||
U.S. index | (274,750 | ) | (0.18 | )% | ||||||||
Total futures | 26,016,535 | 16.77 | % | |||||||||
Swaps | ||||||||||||
Interest rate | 1,056,548 | 0.68 | % | |||||||||
Total swaps | 1,056,548 | 0.68 | % | |||||||||
Forwards | ||||||||||||
U.S. dollar / Swiss franc 03/02/15 | $ | (189,700,000 | ) | 8,919,465 | 5.75 | % | ||||||
Other U.S. dollar / Swiss franc 01/05/15 - 01/06/15 | (178,277,512 | ) | 711,835 | 0.46 | % | |||||||
U.S. dollar / Euro 04/09/15 | (100,000,000 | ) | 15,093,067 | 9.73 | % | |||||||
Other U.S. dollar / Euro 01/02/15 - 01/05/15 | (1,822,601,926 | ) | 9,029,043 | 5.82 | % | |||||||
Other foreign currency | 29,453,365 | 18.99 | % | |||||||||
Total forwards | 63,206,775 | 40.75 | % | |||||||||
Options (proceeds $15,318,750) | ||||||||||||
U.S. dollar / Japanese yen 01/23/15, $110.00 Call | (1 | ) | (8,225,790 | ) | (5.30 | )% | ||||||
U.S. dollar / Japanese yen 01/23/15, $109.00 Call | (1 | ) | (13,585,305 | ) | (8.76 | )% | ||||||
U.S. dollar / Japanese yen 01/23/15, $115.00 Call | (1 | ) | (10,454,850 | ) | (6.74 | )% | ||||||
Other U.S. dollar / Japanese yen 01/05/15 - 05/01/15, $110.50 - $130.00 Call | (8 | ) | (14,193,955 | ) | (9.15 | )% | ||||||
U.S. dollar / Japanese yen 03/23/15 - 05/12/15, $104.20 - $109.80 Put | (1 | ) | (54,928 | ) | (0.04 | )% | ||||||
Euro / U.S. dollar 01/09/15 - 05/01/15, $1.12 - $1.30 Put | (12 | ) | (19,853,521 | ) | (12.80 | )% |
Description | Number of Contracts | Fair Value | Percentage of Members' Capital of Master Fund | |||||||||
Graham Commodity Strategies LLC (continued) | ||||||||||||
Derivative financial instruments (continued) | ||||||||||||
Short contracts (continued) | ||||||||||||
Options (continued) | ||||||||||||
Other currency | $ | (14,091,653 | ) | (9.09 | )% | |||||||
Coffee futures February 2015, $162.50 Put | (1 | ) | (211,500 | ) | (0.14 | )% | ||||||
Coffee futures March 2015, $275.00 Call | (1 | ) | (4,594 | ) | (0.00 | )% | ||||||
Other commodity futures | (7,758,059 | ) | (5.00 | )% | ||||||||
Eurodollar future December 2015, $99.00 Put | (1 | ) | (9,000,000 | ) | (5.80 | )% | ||||||
Eurodollar future June 2015, $99.63 Call | (1 | ) | (500,000 | ) | (0.32 | )% | ||||||
Eurodollar future June 2015, $99.00 Put | (1 | ) | (50,000 | ) | (0.03 | )% | ||||||
Other interest rate futures | (2,200,000 | ) | (1.42 | )% | ||||||||
Total options | (100,184,155 | ) | (64.59 | )% | ||||||||
Total derivative financial instruments | $ | 68,381,520 | 44.09 | % |
Description | Number of Contracts | Fair Value | Percentage of Net Assets of Master Fund | Number of Contracts / Notional Amounts | Fair Value | Percentage of Members’ Capital of Master Fund | |||||||||||||||
Graham K4D Trading Ltd. | |||||||||||||||||||||
Graham Commodity Strategies LLC | |||||||||||||||||||||
Derivative financial instruments | |||||||||||||||||||||
Long contracts | |||||||||||||||||||||
Futures | |||||||||||||||||||||
Commodity | $ | (7,717,424 | ) | (6.36 | )% | ||||||||||||||||
Currency | 1,154,672 | 0.95 | % | ||||||||||||||||||
Coffee March 2015 | 700 | $ | (8,553,900 | ) | (5.52 | )% | |||||||||||||||
Other commodity | (8,001,987 | ) | (5.16 | )% | |||||||||||||||||
Foreign bond | 20,545,048 | 16.92 | % | 2,283,244 | 1.47 | % | |||||||||||||||
Foreign index | (1,731,587 | ) | (1.43 | )% | 179,085 | 0.12 | % | ||||||||||||||
Interest rate | 1,060,406 | 0.87 | % | 31,106 | 0.02 | % | |||||||||||||||
U.S. bond | 3,368,832 | 2.78 | % | 471,562 | 0.30 | % | |||||||||||||||
U.S. index | 5,498,375 | 4.53 | % | 256,188 | 0.17 | % | |||||||||||||||
Total futures | 22,178,322 | 18.26 | % | (13,334,702 | ) | (8.60 | )% | ||||||||||||||
Swaps | |||||||||||||||||||||
Interest rate | (8,099,610 | ) | (5.22 | )% | |||||||||||||||||
Total swaps | (8,099,610 | ) | (5.22 | )% | |||||||||||||||||
Forwards | |||||||||||||||||||||
Foreign currency | (573,341 | ) | (0.47 | )% | |||||||||||||||||
Swiss franc / U.S. dollar 03/02/15 | CHF | 182,595,000 | (16,076,171 | ) | (10.36 | )% | |||||||||||||||
Other Swiss franc / U.S. dollar 01/05/15 - 01/06/15 | CHF | 114,126,268 | (414,594 | ) | (0.27 | )% | |||||||||||||||
Euro / U.S. dollar 04/09/15 | EUR | 100,000,000 | (14,993,597 | ) | (9.67 | )% | |||||||||||||||
Other Euro / U.S. dollar 01/02/15 - 02/23/15 | EUR | 1,037,300,000 | (5,915,527 | ) | (3.81 | )% | |||||||||||||||
Mexican peso / U.S. dollar 01/02/15 | MXN | 6,999,980,000 | (25,268,297 | ) | (16.29 | )% | |||||||||||||||
Other foreign currency | (3,007,519 | ) | (1.94 | )% | |||||||||||||||||
Total forwards | (573,341 | ) | (0.47 | )% | (65,675,705 | ) | (42.34 | )% | |||||||||||||
Short contracts | |||||||||||||||||||||
Futures | |||||||||||||||||||||
Commodity | 26,804,210 | 22.08 | % | ||||||||||||||||||
Currency | 911,143 | 0.75 | % | ||||||||||||||||||
Foreign bond | (447,050 | ) | (0.37 | )% | |||||||||||||||||
Foreign index | (1,618,985 | ) | (1.33 | )% | |||||||||||||||||
Interest rate | 38,574 | 0.03 | % | ||||||||||||||||||
U.S. bond | (157,336 | ) | (0.13 | )% | |||||||||||||||||
U.S. index | (353,135 | ) | (0.29 | )% | |||||||||||||||||
Total futures | 25,177,421 | 20.74 | % | ||||||||||||||||||
Forwards | |||||||||||||||||||||
Foreign currency | 7,364,027 | 6.07 | % | ||||||||||||||||||
Total forwards | 7,364,027 | 6.07 | % | ||||||||||||||||||
Total derivative financial instruments | $ | 54,146,429 | 44.60 | % | |||||||||||||||||
Options (cost $34,120,840) | |||||||||||||||||||||
U.S. dollar / Japanese yen 01/23/15, $110.00 Call | 1 | 8,225,790 | 5.30 | % | |||||||||||||||||
U.S. dollar / Japanese yen 01/23/15, $109.00 Call | 1 | 13,585,305 | 8.76 | % | |||||||||||||||||
U.S. dollar / Japanese yen 01/23/15, $115.00 Call | 1 | 10,454,850 | 6.74 | % | |||||||||||||||||
Other U.S. dollar / Japanese yen 01/05/15 - 12/15/15, $110.50 - $150.00 Call | 13 | 29,792,846 | 19.21 | % | |||||||||||||||||
Euro / U.S. dollar 01/16/15, $1.24 Put | 2 | 13,814,595 | 8.91 | % | |||||||||||||||||
Other Euro / U.S. dollar 01/09/15 - 08/17/15, $1.15 - $1.33 Put | 17 | 38,010,122 | 24.50 | % | |||||||||||||||||
Australian dollar / U.S. dollar 02/05/15 - 05/27/15, $0.81 - $0.83 Put | 5 | 11,440,031 | 7.38 | % | |||||||||||||||||
Other currency | 15,269,762 | 9.85 | % | ||||||||||||||||||
Eurodollar future December 2015, $98.75 - $99.25 Put | 2 | 10,187,500 | 6.57 | % | |||||||||||||||||
Eurodollar future June 2015, $99.38 - $99.75 Put | 2 | 350,000 | 0.23 | % | |||||||||||||||||
Other interest rate futures | 2,875,000 | 1.85 | % |
Description | Number of Contracts / Notional Amounts | Fair Value | Percentage of Members’ Capital of Master Fund | |||||||||
Graham Commodity Strategies LLC (continued) | ||||||||||||
Derivative financial instruments (continued) | ||||||||||||
Long contracts (continued) | ||||||||||||
Options (continued) | ||||||||||||
Coffee future February 2015, $167.50 Put | 1 | $ | 23,344 | 0.02 | % | |||||||
Coffee future March 2015, $250.00 Call | 1 | 20,250 | 0.01 | % | ||||||||
Commodity futures | 11,346,439 | 7.31 | % | |||||||||
Total options | 165,395,834 | 106.64 | % | |||||||||
Short contracts | ||||||||||||
Futures | ||||||||||||
Coffee July 2015 | (965 | ) | 11,849,513 | 7.64 | % | |||||||
Other commodity | 14,805,620 | 9.54 | % | |||||||||
Foreign index | (639,795 | ) | (0.41 | )% | ||||||||
Interest rate | 709,760 | 0.46 | % | |||||||||
U.S. bond | (433,813 | ) | (0.28 | )% | ||||||||
U.S. index | (274,750 | ) | (0.18 | )% | ||||||||
Total futures | 26,016,535 | 16.77 | % | |||||||||
Swaps | ||||||||||||
Interest rate | 1,056,548 | 0.68 | % | |||||||||
Total swaps | 1,056,548 | 0.68 | % | |||||||||
Forwards | ||||||||||||
U.S. dollar / Swiss franc 03/02/15 | $ | (189,700,000 | ) | 8,919,465 | 5.75 | % | ||||||
Other U.S. dollar / Swiss franc 01/05/15 - 01/06/15 | (178,277,512 | ) | 711,835 | 0.46 | % | |||||||
U.S. dollar / Euro 04/09/15 | (100,000,000 | ) | 15,093,067 | 9.73 | % | |||||||
Other U.S. dollar / Euro 01/02/15 - 01/05/15 | (1,822,601,926 | ) | 9,029,043 | 5.82 | % | |||||||
Other foreign currency | 29,453,365 | 18.99 | % | |||||||||
Total forwards | 63,206,775 | 40.75 | % | |||||||||
Options (proceeds $15,318,750) | ||||||||||||
U.S. dollar / Japanese yen 01/23/15, $110.00 Call | (1 | ) | (8,225,790 | ) | (5.30 | )% | ||||||
U.S. dollar / Japanese yen 01/23/15, $109.00 Call | (1 | ) | (13,585,305 | ) | (8.76 | )% | ||||||
U.S. dollar / Japanese yen 01/23/15, $115.00 Call | (1 | ) | (10,454,850 | ) | (6.74 | )% | ||||||
Other U.S. dollar / Japanese yen 01/05/15 - 05/01/15, $110.50 - $130.00 Call | (8 | ) | (14,193,955 | ) | (9.15 | )% | ||||||
U.S. dollar / Japanese yen 03/23/15 - 05/12/15, $104.20 - $109.80 Put | (1 | ) | (54,928 | ) | (0.04 | )% | ||||||
Euro / U.S. dollar 01/09/15 - 05/01/15, $1.12 - $1.30 Put | (12 | ) | (19,853,521 | ) | (12.80 | )% |
Description | Number of Contracts | Fair Value | Percentage of Members’ Capital of Master Fund | |||||||||
Graham Commodity Strategies LLC (continued) | ||||||||||||
Derivative financial instruments (continued) | ||||||||||||
Short contracts (continued) | ||||||||||||
Options (continued) | ||||||||||||
Other currency | $ | (14,091,653 | ) | (9.09 | )% | |||||||
Coffee futures February 2015, $162.50 Put | (1 | ) | (211,500 | ) | (0.14 | )% | ||||||
Coffee futures March 2015, $275.00 Call | (1 | ) | (4,594 | ) | (0.00 | )% | ||||||
Other commodity futures | (7,758,059 | ) | (5.00 | )% | ||||||||
Eurodollar future December 2015, $99.00 Put | (1 | ) | (9,000,000 | ) | (5.80 | )% | ||||||
Eurodollar future June 2015, $99.63 Call | (1 | ) | (500,000 | ) | (0.32 | )% | ||||||
Eurodollar future June 2015, $99.00 Put | (1 | ) | (50,000 | ) | (0.03 | )% | ||||||
Other interest rate futures | (2,200,000 | ) | (1.42 | )% | ||||||||
Total options | (100,184,155 | ) | (64.59 | )% | ||||||||
Total derivative financial instruments | $ | 68,381,520 | 44.09 | % |
Description | Number of Contracts | Fair Value | Percentage of Net Assets of Master Fund | ||||||
Graham K4D Trading Ltd. | |||||||||
Derivative financial instruments | |||||||||
Long contracts | |||||||||
Futures | |||||||||
Commodity | $ | (7,717,424 | ) | (6.36 | )% | ||||
Currency | 1,154,672 | 0.95 | % | ||||||
Foreign bond | 20,545,048 | 16.92 | % | ||||||
Foreign index | (1,731,587 | ) | (1.43 | )% | |||||
Interest rate | 1,060,406 | 0.87 | % | ||||||
U.S. bond | 3,368,832 | 2.78 | % | ||||||
U.S. index | 5,498,375 | 4.53 | % | ||||||
Total futures | 22,178,322 | 18.26 | % | ||||||
Forwards | |||||||||
Foreign currency | (573,341 | ) | (0.47 | )% | |||||
Total forwards | (573,341 | ) | (0.47 | )% | |||||
Short contracts | |||||||||
Futures | |||||||||
Commodity | 26,804,210 | 22.08 | % | ||||||
Currency | 911,143 | 0.75 | % | ||||||
Foreign bond | (447,050 | ) | (0.37 | )% | |||||
Foreign index | (1,618,985 | ) | (1.33 | )% | |||||
Interest rate | 38,574 | 0.03 | % | ||||||
U.S. bond | (157,336 | ) | (0.13 | )% | |||||
U.S. index | (353,135 | ) | (0.29 | )% | |||||
Total futures | 25,177,421 | 20.74 | % | ||||||
Forwards | |||||||||
Foreign currency | 7,364,027 | 6.07 | % | ||||||
Total forwards | 7,364,027 | 6.07 | % | ||||||
Total derivative financial instruments | $ | 54,146,429 | 44.60 | % |
Graham Commodity Strategies LLC | Graham K4D Trading Ltd. | |||||||
Assets | ||||||||
Level 1: | ||||||||
Commodity futures | $ | 27,633,798 | $ | 29,282,344 | ||||
Commodity futures options | 11,390,033 | - | ||||||
Currency futures | - | 2,171,127 | ||||||
Foreign bond futures | 2,283,244 | 20,545,048 | ||||||
Foreign index futures | 645,049 | 1,864,196 | ||||||
Interest rate futures | 2,497,781 | 1,665,293 | ||||||
Interest rate futures options | 13,412,500 | - | ||||||
U.S. bond futures | 471,562 | 4,244,516 | ||||||
U.S. index futures | 261,001 | 5,559,393 | ||||||
Total Level 1 | 58,594,968 | 65,331,917 | ||||||
Level 2: | ||||||||
Foreign currency forwards | 76,278,028 | 8,077,680 | ||||||
Foreign currency options | 140,593,301 | - | ||||||
Interest rate swaps | 1,056,548 | - | ||||||
Total Level 2 | 217,927,877 | 8,077,680 | ||||||
Total investment related assets | $ | 276,522,845 | $ | 73,409,597 | ||||
Liabilities | ||||||||
Level 1: | ||||||||
Commodity futures | $ | (17,534,552 | ) | $ | (10,195,558 | ) | ||
Commodity futures options | (7,974,153 | ) | - | |||||
Currency futures | - | (105,312 | ) | |||||
Foreign bond futures | - | (447,050 | ) | |||||
Foreign index futures | (1,105,759 | ) | (5,214,768 | ) | ||||
Interest rate futures | (1,756,915 | ) | (566,313 | ) | ||||
Interest rate futures options | (11,750,000 | ) | - | |||||
U.S. bond futures | (433,813 | ) | (1,033,020 | ) | ||||
U.S. index futures | (279,563 | ) | (414,153 | ) | ||||
Total Level 1 | (40,834,755 | ) | (17,976,174 | ) | ||||
Level 2: | ||||||||
Foreign currency forwards | (78,746,958 | ) | (1,286,994 | ) | ||||
Foreign currency options | (80,460,002 | ) | - | |||||
Interest rate swaps | (8,099,610 | ) | - | |||||
Total Level 2 | (167,306,570 | ) | (1,286,994 | ) | ||||
Total investment related liabilities | $ | (208,141,325 | ) | $ | (19,263,168 | ) |
Graham Commodity Strategies LLC | Graham K4D Trading Ltd. | |||||||
Assets | ||||||||
Level 1: | ||||||||
Commodity futures | $ | 27,633,798 | $ | 29,282,344 | ||||
Commodity futures options | 11,390,033 | - | ||||||
Currency futures | - | 2,171,127 | ||||||
Foreign bond futures | 2,283,244 | 20,545,048 | ||||||
Foreign index futures | 645,049 | 1,864,196 | ||||||
Interest rate futures | 2,497,781 | 1,665,293 | ||||||
Interest rate futures options | 13,412,500 | - | ||||||
U.S. bond futures | 471,562 | 4,244,516 | ||||||
U.S. index futures | 261,001 | 5,559,393 | ||||||
Total Level 1 | 58,594,968 | 65,331,917 | ||||||
Level 2: | ||||||||
Foreign currency forwards | 76,278,028 | 8,077,680 | ||||||
Foreign currency options | 140,593,301 | - | ||||||
Interest rate swaps | 1,056,548 | - | ||||||
Total Level 2 | 217,927,877 | 8,077,680 | ||||||
Total investment related assets | $ | 276,522,845 | $ | 73,409,597 | ||||
Liabilities | ||||||||
Level 1: | ||||||||
Commodity futures | $ | (17,534,552 | ) | $ | (10,195,558 | ) | ||
Commodity futures options | (7,974,153 | ) | - | |||||
Currency futures | - | (105,312 | ) | |||||
Foreign bond futures | - | (447,050 | ) | |||||
Foreign index futures | (1,105,759 | ) | (5,214,768 | ) | ||||
Interest rate futures | (1,756,915 | ) | (566,313 | ) | ||||
Interest rate futures options | (11,750,000 | ) | - | |||||
U.S. bond futures | (433,813 | ) | (1,033,020 | ) | ||||
U.S. index futures | (279,563 | ) | (414,153 | ) | ||||
Total Level 1 | (40,834,755 | ) | (17,976,174 | ) | ||||
Level 2: | ||||||||
Foreign currency forwards | (78,746,958 | ) | (1,286,994 | ) | ||||
Foreign currency options | (80,460,002 | ) | - | |||||
Interest rate swaps | (8,099,610 | ) | - | |||||
Total Level 2 | (167,306,570 | ) | (1,286,994 | ) | ||||
Total investment related liabilities | $ | (208,141,325 | ) | $ | (19,263,168 | ) |
Graham Commodity Strategies LLC | ||||||||||||||||||||||||
Long exposure | Short exposure | |||||||||||||||||||||||
Notional amounts | Number of contracts | Notional amounts | Number of contracts | Derivative Assets | Derivative Liabilities | |||||||||||||||||||
Commodity price | ||||||||||||||||||||||||
Futures | $ | 183,681,221 | 3,188 | $ | (212,148,221 | ) | (4,366 | ) | $ | 27,633,798 | $ | (17,534,552 | ) | |||||||||||
Options(a) | 160,621,354 | 9,042 | (179,833,578 | ) | (9,615 | ) | 11,390,033 | (7,974,153 | ) | |||||||||||||||
Swaps | 7,604,787 | 800 | (15,483,911 | ) | (1,762 | ) | - | - | ||||||||||||||||
351,907,362 | 13,030 | (407,465,710 | ) | (15,743 | ) | 39,023,831 | (25,508,705 | ) | ||||||||||||||||
Equity price | ||||||||||||||||||||||||
Futures | 106,188,081 | 1,836 | (135,709,856 | ) | (1,482 | ) | 906,050 | (1,385,322 | ) | |||||||||||||||
Options(a) | 18,988,942 | 2,550 | (30,681,556 | ) | (2,550 | ) | - | - | ||||||||||||||||
125,177,023 | 4,386 | (166,391,412 | ) | (4,032 | ) | 906,050 | (1,385,322 | ) | ||||||||||||||||
Foreign currency exchange rate | ||||||||||||||||||||||||
Forwards | 2,537,892,170 | N/A | (3,436,406,268 | ) | N/A | 76,278,028 | (78,746,958 | ) | ||||||||||||||||
Futures | 2,374,377 | 30 | - | - | - | - | ||||||||||||||||||
Options(a) | 3,464,244,621 | 82 | (3,405,730,397 | ) | (54 | ) | 140,593,301 | (80,460,002 | ) | |||||||||||||||
6,004,511,168 | 112 | (6,842,136,665 | ) | (54 | ) | 216,871,329 | (159,206,960 | ) | ||||||||||||||||
Interest rate | ||||||||||||||||||||||||
Futures | 3,679,302,974 | 15,235 | (2,440,223,091 | ) | (10,578 | ) | 5,252,587 | (2,190,728 | ) | |||||||||||||||
Options(a) | 1,976,567,695 | 44,656 | (2,517,178,746 | ) | (47,875 | ) | 13,412,500 | (11,750,000 | ) | |||||||||||||||
Swaps | 840,593,936 | 5 | (826,080,726 | ) | (4 | ) | 1,056,548 | (8,099,610 | ) | |||||||||||||||
6,496,464,605 | 59,896 | (5,783,482,563 | ) | (58,457 | ) | 19,721,635 | (22,040,338 | ) | ||||||||||||||||
Total | $ | 12,978,060,158 | 77,424 | $ | (13,199,476,350 | ) | (78,286 | ) | $ | 276,522,845 | $ | (208,141,325 | ) |
Graham Commodity Strategies LLC | ||||||||||||||||||||||||
Long exposure | Short exposure | |||||||||||||||||||||||
Notional amounts | Number of contracts | Notional amounts | Number of contracts | Derivative Assets | Derivative Liabilities | |||||||||||||||||||
Commodity price | ||||||||||||||||||||||||
Futures | $ | 183,681,221 | 3,188 | $ | (212,148,221 | ) | (4,366 | ) | $ | 27,633,798 | $ | (17,534,552 | ) | |||||||||||
Options(a) | 160,621,354 | 9,042 | (179,833,578 | ) | (9,615 | ) | 11,390,033 | (7,974,153 | ) | |||||||||||||||
Swaps | 7,604,787 | 800 | (15,483,911 | ) | (1,762 | ) | - | - | ||||||||||||||||
351,907,362 | 13,030 | (407,465,710 | ) | (15,743 | ) | 39,023,831 | (25,508,705 | ) | ||||||||||||||||
Equity price | ||||||||||||||||||||||||
Futures | 106,188,081 | 1,836 | (135,709,856 | ) | (1,482 | ) | 906,050 | (1,385,322 | ) | |||||||||||||||
Options(a) | 18,988,942 | 2,550 | (30,681,556 | ) | (2,550 | ) | - | - | ||||||||||||||||
125,177,023 | 4,386 | (166,391,412 | ) | (4,032 | ) | 906,050 | (1,385,322 | ) | ||||||||||||||||
Foreign currency exchange rate | ||||||||||||||||||||||||
Forwards | 2,537,892,170 | N/A | (3,436,406,268 | ) | N/A | 76,278,028 | (78,746,958 | ) | ||||||||||||||||
Futures | 2,374,377 | 30 | - | - | - | - | ||||||||||||||||||
Options(a) | 3,464,244,621 | 82 | (3,405,730,397 | ) | (54 | ) | 140,593,301 | (80,460,002 | ) | |||||||||||||||
6,004,511,168 | 112 | (6,842,136,665 | ) | (54 | ) | 216,871,329 | (159,206,960 | ) | ||||||||||||||||
Interest rate | ||||||||||||||||||||||||
Futures | 3,679,302,974 | 15,235 | (2,440,223,091 | ) | (10,578 | ) | 5,252,587 | (2,190,728 | ) | |||||||||||||||
Options(a) | 1,976,567,695 | 44,656 | (2,517,178,746 | ) | (47,875 | ) | 13,412,500 | (11,750,000 | ) | |||||||||||||||
Swaps | 840,593,936 | 5 | (826,080,726 | ) | (4 | ) | 1,056,548 | (8,099,610 | ) | |||||||||||||||
6,496,464,605 | 59,896 | (5,783,482,563 | ) | (58,457 | ) | 19,721,635 | (22,040,338 | ) | ||||||||||||||||
Total | $ | 12,978,060,158 | 77,424 | $ | (13,199,476,350 | ) | (78,286 | ) | $ | 276,522,845 | $ | (208,141,325 | ) |
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 | $ | 398,132,519 | 5,751 | $ | (464,713,344 | ) | (8,537 | ) | $ | 29,282,344 | $ | (10,195,558 | ) | |||||||||||
398,132,519 | 5,751 | (464,713,344 | ) | (8,537 | ) | 29,282,344 | (10,195,558 | ) | ||||||||||||||||
Equity price | ||||||||||||||||||||||||
Futures | 848,537,897 | 8,854 | (74,316,710 | ) | (875 | ) | 7,423,589 | (5,628,921 | ) | |||||||||||||||
848,537,897 | 8,854 | (74,316,710 | ) | (875 | ) | 7,423,589 | (5,628,921 | ) | ||||||||||||||||
Foreign currency exchange rate | ||||||||||||||||||||||||
Forwards | 809,287,149 | N/A | (850,132,838 | ) | N/A | 8,077,680 | (1,286,994 | ) | ||||||||||||||||
Futures | 107,908,942 | 1,119 | (129,233,377 | ) | (1,352 | ) | 2,171,127 | (105,312 | ) | |||||||||||||||
917,196,091 | 1,119 | (979,366,215 | ) | (1,352 | ) | 10,248,807 | (1,392,306 | ) | ||||||||||||||||
Interest rate | ||||||||||||||||||||||||
Futures | 5,696,623,466 | 28,567 | (1,199,073,059 | ) | (6,297 | ) | 26,454,857 | (2,046,383 | ) | |||||||||||||||
5,696,623,466 | 28,567 | (1,199,073,059 | ) | (6,297 | ) | 26,454,857 | (2,046,383 | ) | ||||||||||||||||
Total | $ | 7,860,489,973 | 44,291 | $ | (2,717,469,328 | ) | (17,061 | ) | $ | 73,409,597 | $ | (19,263,168 | ) |
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 | $ | 398,132,519 | 5,751 | $ | (464,713,344 | ) | (8,537 | ) | $ | 29,282,344 | $ | (10,195,558 | ) | |||||||||||
398,132,519 | 5,751 | (464,713,344 | ) | (8,537 | ) | 29,282,344 | (10,195,558 | ) | ||||||||||||||||
Equity price | ||||||||||||||||||||||||
Futures | 848,537,897 | 8,854 | (74,316,710 | ) | (875 | ) | 7,423,589 | (5,628,921 | ) | |||||||||||||||
848,537,897 | 8,854 | (74,316,710 | ) | (875 | ) | 7,423,589 | (5,628,921 | ) | ||||||||||||||||
Foreign currency exchange rate | ||||||||||||||||||||||||
Forwards | 809,287,149 | N/A | (850,132,838 | ) | N/A | 8,077,680 | (1,286,994 | ) | ||||||||||||||||
Futures | 107,908,942 | 1,119 | (129,233,377 | ) | (1,352 | ) | 2,171,127 | (105,312 | ) | |||||||||||||||
917,196,091 | 1,119 | (979,366,215 | ) | (1,352 | ) | 10,248,807 | (1,392,306 | ) | ||||||||||||||||
Interest rate | ||||||||||||||||||||||||
Futures | 5,696,623,466 | 28,567 | (1,199,073,059 | ) | (6,297 | ) | 26,454,857 | (2,046,383 | ) | |||||||||||||||
5,696,623,466 | 28,567 | (1,199,073,059 | ) | (6,297 | ) | 26,454,857 | (2,046,383 | ) | ||||||||||||||||
Total | $ | 7,860,489,973 | 44,291 | $ | (2,717,469,328 | ) | (17,061 | ) | $ | 73,409,597 | $ | (19,263,168 | ) |
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 | $ | 276,522,845 | $ | (208,141,325 | ) | $ | 68,381,520 | $ | - | $ | 68,381,520 | |||||||||
Derivative liabilities | (208,141,325 | ) | 208,141,325 | - | - | - | ||||||||||||||
Graham K4D Trading Ltd.2 | ||||||||||||||||||||
Derivative assets | 73,409,597 | (19,263,168 | ) | 54,146,429 | - | 54,146,429 | ||||||||||||||
Derivative liabilities | (19,263,168 | ) | 19,263,168 | - | - | - |
Three Months Ended June 30, 2014 | ||||||||||||||||
Graham Commodity Strategies LLC | Graham Global Monetary Policy LLC | Graham K4D Trading Ltd. | Graham Macro Directional LLC | |||||||||||||
Net investment loss | $ | (8,263 | ) | $ | (4,838 | ) | $ | (9,122 | ) | $ | (6,594 | ) | ||||
Net realized gain (loss) on investments | (17,770,582 | ) | (24,442,350 | ) | 30,579,837 | (51,380,248 | ) | |||||||||
Net increase (decrease) in unrealized appreciation on investments | (21,318,667 | ) | (8,041,306 | ) | 33,961,241 | 13,556,276 | ||||||||||
Brokerage commissions and fees | (2,410,821 | ) | (1,348,581 | ) | (276,260 | ) | (575,164 | ) | ||||||||
Net gain (loss) on investments | (41,500,070 | ) | (33,832,237 | ) | 64,264,818 | (38,399,136 | ) | |||||||||
Net income (loss) | $ | (41,508,333 | ) | $ | (33,837,075 | ) | $ | 64,255,696 | $ | (38,405,730 | ) |
Six Months Ended June 30, 2014 | ||||||||||||||||
Graham Commodity Strategies LLC | Graham Global Monetary Policy LLC | Graham K4D Trading Ltd. | Graham Macro Directional LLC | |||||||||||||
Net investment loss | $ | (25,167 | ) | $ | (20,189 | ) | $ | (38,834 | ) | $ | (9,300 | ) | ||||
Net realized loss on investments | (78,448,483 | ) | (54,349,024 | ) | (18,627,897 | ) | (85,335,043 | ) | ||||||||
Net decrease in unrealized appreciation on investments | (46,141,879 | ) | (26,596,419 | ) | (7,591,697 | ) | (9,632,937 | ) | ||||||||
Brokerage commissions and fees | (5,107,727 | ) | (3,032,881 | ) | (612,513 | ) | (877,889 | ) | ||||||||
Net loss on investments | (129,698,089 | ) | (83,978,324 | ) | (26,832,107 | ) | (95,845,869 | ) | ||||||||
Net loss | $ | (129,723,256 | ) | $ | (83,998,513 | ) | $ | (26,870,941 | ) | $ | (95,855,169 | ) |
Graham Commodity Strategies LLC | Graham Global Monetary Policy LLC | Graham K4D Trading Ltd. | Graham Macro Directional LLC | |||||||||||||
Commodity price | ||||||||||||||||
Futures | $ | (669,971 | ) | $ | (2,077,230 | ) | $ | (12,054,748 | ) | $ | (748,235 | ) | ||||
Options | 6,784,110 | - | - | (70,500 | ) | |||||||||||
Swaps | 1,189,119 | - | - | - | ||||||||||||
7,303,258 | (2,077,230 | ) | (12,054,748 | ) | (818,735 | ) | ||||||||||
Equity price | ||||||||||||||||
Equities | (69,800 | ) | - | 64,000 | - | |||||||||||
Futures | (1,494,509 | ) | (9,539,809 | ) | 27,809,919 | (1,790,835 | ) | |||||||||
Options | (9,955,785 | ) | - | - | - | |||||||||||
(11,520,094 | ) | (9,539,809 | ) | 27,873,919 | (1,790,835 | ) | ||||||||||
Foreign currency exchange rate | ||||||||||||||||
Forwards | (8,864,052 | ) | 1,995,771 | 4,838,703 | (34,460,893 | ) | ||||||||||
Futures | 347,869 | - | 1,025,685 | - | ||||||||||||
Options | (24,970,474 | ) | (1,425,623 | ) | - | (977,482 | ) | |||||||||
(33,486,657 | ) | 570,148 | 5,864,388 | (35,438,375 | ) | |||||||||||
Interest rate | ||||||||||||||||
Futures | 6,235,283 | (18,698,482 | ) | 42,857,519 | (71,340 | ) | ||||||||||
Options | (8,923,023 | ) | (2,738,283 | ) | - | 295,313 | ||||||||||
Swaps | 1,301,984 | - | - | - | ||||||||||||
(1,385,756 | ) | (21,436,765 | ) | 42,857,519 | 223,973 | |||||||||||
Total | $ | (39,089,249 | ) | $ | (32,483,656 | ) | $ | 64,541,078 | $ | (37,823,972 | ) |
Graham Commodity Strategies LLC | Graham Macro Directional LLC | Graham Global Monetary Policy LLC | Graham K4D Trading Ltd. | |||||||||||||
Net investment loss | $ | (16,904 | ) | $ | (2,706 | ) | $ | (15,351 | ) | $ | (29,712 | ) | ||||
Net realized loss on investments | (60,677,901 | ) | (33,954,795 | ) | (29,906,674 | ) | (49,207,734 | ) | ||||||||
Net decrease in unrealized appreciation on investments | (24,823,212 | ) | (23,189,213 | ) | (18,555,113 | ) | (41,552,938 | ) | ||||||||
Brokerage commissions and fees | (2,696,906 | ) | (302,725 | ) | (1,684,300 | ) | (336,253 | ) | ||||||||
Net loss on investments | (88,198,019 | ) | (57,446,733 | ) | (50,146,087 | ) | (91,096,925 | ) | ||||||||
Net loss | $ | (88,214,923 | ) | $ | (57,449,439 | ) | $ | (50,161,438 | ) | $ | (91,126,637 | ) |
Graham Commodity Strategies LLC | Graham Macro Directional LLC | Graham Global Monetary Policy LLC | Graham K4D Trading Ltd. | Graham Commodity Strategies LLC | Graham Global Monetary Policy LLC | Graham K4D Trading Ltd. | Graham Macro Directional LLC | |||||||||||||||||||||||||
Commodity price | ||||||||||||||||||||||||||||||||
Futures | $ | (10,973,148 | ) | $ | 2,779,058 | $ | (870,593 | ) | $ | (60,129,414 | ) | $ | (11,643,119 | ) | $ | (2,947,823 | ) | $ | (72,184,162 | ) | $ | 2,030,823 | ||||||||||
Options | (1,226,372 | ) | 136,906 | - | - | 5,557,738 | - | - | 66,406 | |||||||||||||||||||||||
Swaps | (1,928,127 | ) | - | - | - | (739,008 | ) | - | - | - | ||||||||||||||||||||||
(14,127,647 | ) | 2,915,964 | (870,593 | ) | (60,129,414 | ) | (6,824,389 | ) | (2,947,823 | ) | (72,184,162 | ) | 2,097,229 | |||||||||||||||||||
Equity price | ||||||||||||||||||||||||||||||||
Equities | (166,000 | ) | - | - | (24,250 | ) | (235,800 | ) | - | 39,750 | - | |||||||||||||||||||||
Futures | 3,048,083 | (5,305,578 | ) | (15,944,671 | ) | (43,952,520 | ) | 1,553,574 | (25,484,480 | ) | (16,142,601 | ) | (7,096,413 | ) | ||||||||||||||||||
Options | (8,422,645 | ) | - | - | - | (18,378,430 | ) | - | - | - | ||||||||||||||||||||||
(5,540,562 | ) | (5,305,578 | ) | (15,944,671 | ) | (43,976,770 | ) | (17,060,656 | ) | (25,484,480 | ) | (16,102,851 | ) | (7,096,413 | ) | |||||||||||||||||
Foreign currency exchange rate | ||||||||||||||||||||||||||||||||
Forwards | 12,431,877 | (45,345,490 | ) | (38,464,833 | ) | 12,128,452 | 3,567,825 | (36,469,062 | ) | 16,967,155 | (79,806,383 | ) | ||||||||||||||||||||
Futures | - | - | - | (2,625,688 | ) | 347,869 | - | (1,600,003 | ) | - | ||||||||||||||||||||||
Options | (64,812,433 | ) | (911,824 | ) | 6,927,752 | - | (89,782,907 | ) | 5,502,129 | - | (1,889,306 | ) | ||||||||||||||||||||
(52,380,556 | ) | (46,257,314 | ) | (31,537,081 | ) | 9,502,764 | (85,867,213 | ) | (30,966,933 | ) | 15,367,152 | (81,695,689 | ) | |||||||||||||||||||
Interest rate | ||||||||||||||||||||||||||||||||
Futures | (10,030,331 | ) | (8,497,080 | ) | 522,417 | 3,842,748 | (3,795,048 | ) | (18,176,065 | ) | 46,700,267 | (8,568,420 | ) | |||||||||||||||||||
Options | 178,223 | - | (631,859 | ) | - | (8,744,800 | ) | (3,370,142 | ) | - | 295,313 | |||||||||||||||||||||
Swaps | (3,600,240 | ) | - | - | - | (2,298,256 | ) | - | - | - | ||||||||||||||||||||||
(13,452,348 | ) | (8,497,080 | ) | (109,442 | ) | 3,842,748 | (14,838,104 | ) | (21,546,207 | ) | 46,700,267 | (8,273,107 | ) | |||||||||||||||||||
Total | $ | (85,501,113 | ) | $ | (57,144,008 | ) | $ | (48,461,787 | ) | $ | (90,760,672 | ) | $ | (124,590,362 | ) | $ | (80,945,443 | ) | $ | (26,219,594 | ) | $ | (94,967,980 | ) |
March 31, 2015 | December 31, 2014 | June 30, 2015 | December 31, 2014 | |||||||||||||
Assets: | ||||||||||||||||
Cash and cash equivalents | $ | 1,158,818,615 | $ | 1,074,800,890 | $ | 868,271,260 | $ | 1,074,800,890 | ||||||||
Investments in fixed income securities (cost $2,249,243,577 and $2,173,381,831, respectively) | 2,249,243,577 | 2,173,381,831 | ||||||||||||||
Investments in fixed income securities (cost $1,856,251,163 and $2,173,381,831, respectively) | 1,856,251,163 | 2,173,381,831 | ||||||||||||||
Accrued interest receivable | 5,994,683 | 4,912,030 | 3,612,140 | 4,912,030 | ||||||||||||
Total assets | 3,414,056,875 | 3,253,094,751 | 2,728,134,563 | 3,253,094,751 | ||||||||||||
Liabilities: | ||||||||||||||||
Other liabilities | - | - | - | - | ||||||||||||
Total liabilities | - | - | - | - | ||||||||||||
Net assets | $ | 3,414,056,875 | $ | 3,253,094,751 | $ | 2,728,134,563 | $ | 3,253,094,751 |
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||||||||||
2015 | 2014 | 2015 | 2014 | 2015 | 2014 | |||||||||||||||||||
Investment income | ||||||||||||||||||||||||
Interest income | $ | 2,332,063 | $ | 1,923,369 | $ | 2,486,964 | $ | 1,731,457 | $ | 4,819,027 | $ | 3,654,826 | ||||||||||||
Total investment income | 2,332,063 | 1,923,369 | 2,486,964 | 1,731,457 | 4,819,027 | 3,654,826 | ||||||||||||||||||
Expenses: | ||||||||||||||||||||||||
Bank fee expense | 9,854 | 11,285 | 7,386 | 15,931 | 17,240 | 27,216 | ||||||||||||||||||
Total expenses | 9,854 | 11,285 | 7,386 | 15,931 | 17,240 | 27,216 | ||||||||||||||||||
Net investment income | 2,322,209 | 1,912,084 | 2,479,578 | 1,715,526 | 4,801,787 | 3,627,610 | ||||||||||||||||||
Net income | $ | 2,322,209 | $ | 1,912,084 | $ | 2,479,578 | $ | 1,715,526 | $ | 4,801,787 | $ | 3,627,610 |
Description | Principal Amount | Fair Value | Percentage of Members’ Capital | Principal Amount | Fair Value | Percentage of Members’ Capital | ||||||||||||||||||
Investments in Fixed Income Securities (cost $2,249,243,577) | ||||||||||||||||||||||||
Investments in Fixed Income Securities (cost $1,856,251,163) | ||||||||||||||||||||||||
United States | ||||||||||||||||||||||||
Government Bonds (cost $2,249,243,577) | ||||||||||||||||||||||||
U.S. Treasury 0.25% – 4.00% due 04/15/15 – 06/30/17 | $ | 2,240,000,000 | $ | 2,249,243,577 | 65.88 | % | ||||||||||||||||||
Government Bonds (cost $1,856,251,163) | ||||||||||||||||||||||||
U.S. Treasury 0.25% – 2.75% due 07/15/15 – 09/30/17 | $ | 1,850,000,000 | $ | 1,856,251,163 | 68.04 | % | ||||||||||||||||||
Total Government Bonds | 2,249,243,577 | 65.88 | % | 1,856,251,163 | 68.04 | % | ||||||||||||||||||
Total United States | 2,249,243,577 | 65.88 | % | 1,856,251,163 | 68.04 | % | ||||||||||||||||||
Total Investments in Fixed Income Securities | $ | 2,249,243,577 | 65.88 | % | $ | 1,856,251,163 | 68.04 | % |
Description | Principal Amount | Fair Value | Percentage of Members’ Capital | |||||||||
Investments in Fixed Income Securities (cost $2,173,381,831) | ||||||||||||
United States | ||||||||||||
Government Bonds (cost $2,173,381,831) | ||||||||||||
U.S. Treasury 0.25% – 4.00% due 01/15/15 – 1/31/17 | $ | 2,165,000,000 | $ | 2,173,381,831 | 66.81 | % | ||||||
Total Government Bonds | 2,173,381,831 | 66.81 | % | |||||||||
Total United States | 2,173,381,831 | 66.81 | % | |||||||||
Total Investments in Fixed Income Securities | $ | 2,173,381,831 | 66.81 | % |
Description | Principal Amount | Fair Value | Percentage of Members’ Capital | |||||||||
Investments in Fixed Income Securities (cost $2,173,381,831) | ||||||||||||
United States | ||||||||||||
Government Bonds (cost $2,173,381,831) | ||||||||||||
U.S. Treasury 0.25% – 4.00% due 01/15/15 – 1/31/17 | $ | 2,165,000,000 | $ | 2,173,381,831 | 66.81 | % | ||||||
Total Government Bonds | 2,173,381,831 | 66.81 | % | |||||||||
Total United States | 2,173,381,831 | 66.81 | % | |||||||||
Total Investments in Fixed Income Securities | $ | 2,173,381,831 | 66.81 | % |
June 30, 2015 | December 31, 2014 | |||||||
Assets | ||||||||
Level 2: | ||||||||
Fixed income securities | ||||||||
Government Bonds | $ | 1,856,251,163 | $ | 2,173,381,831 | ||||
Total fixed income securities | 1,856,251,163 | 2,173,381,831 | ||||||
Total Level 2 | 1,856,251,163 | 2,173,381,831 | ||||||
Total assets | $ | 1,856,251,163 | $ | 2,173,381,831 |
March 31, 2015 | December 31, 2014 | |||||||
Assets | ||||||||
Level 2: | ||||||||
Fixed income securities | ||||||||
Government Bonds | $ | 2,249,243,577 | $ | 2,173,381,831 | ||||
Total fixed income securities | 2,249,243,577 | 2,173,381,831 | ||||||
Total Level 2 | 2,249,243,577 | 2,173,381,831 | ||||||
Total assets | $ | 2,249,243,577 | $ | 2,173,381,831 |
Class | Annual Rate | |||
Class 0 | % | |||
Class 2 | % |
Class 0 | Class 2 | |||||||
Per unit operating performance | ||||||||
Net asset value per unit, March 31, 2014 | $ | 114.03 | $ | 87.43 | ||||
Net income: | ||||||||
Net investment loss | (0.76 | ) | (1.05 | ) | ||||
Net gain on investments | 1.73 | 1.35 | ||||||
Net income | 0.97 | 0.30 | ||||||
Net asset value per unit, June 30, 2014 | $ | 115.00 | $ | 87.73 | ||||
Net asset value per unit, March 31, 2015 | $ | 159.93 | $ | 121.12 | ||||
Net loss: | ||||||||
Net investment loss | (1.01 | ) | (1.34 | ) | ||||
Net loss on investments | (9.43 | ) | (7.12 | ) | ||||
Net loss | (10.44 | ) | (8.46 | ) | ||||
Net asset value per unit, June 30, 2015 | $ | 149.49 | $ | 112.66 |
Class 0 | Class 2 | |||||||
Per unit operating performance | ||||||||
Net asset value per unit, December 31, 2013 | $ | 127.72 | $ | 98.41 | ||||
Net loss: | ||||||||
Net investment loss | (0.76 | ) | (1.05 | ) | ||||
Net loss on investments | (12.93 | ) | (9.93 | ) | ||||
Net loss | (13.69 | ) | (10.98 | ) | ||||
Net asset value per unit, March 31, 2014 | $ | 114.03 | $ | 87.43 |
Net asset value per unit, December 31, 2014 | $ | 149.37 | $ | 113.58 | ||||
Net income: | ||||||||
Net investment loss | (1.04 | ) | (1.41 | ) | ||||
Net gain on investments | 11.60 | 8.95 | ||||||
Net income | 10.56 | 7.54 | ||||||
Net asset value per unit, March 31, 2015 | $ | 159.93 | $ | 121.12 |
Class 0 | Class 2 | |||||||||||||||
2015 | 2014 | 2015 | 2014 | |||||||||||||
Total return before Incentive Allocation | (6.52 | )% | 0.85 | % | (6.99 | )% | 0.35 | % | ||||||||
Incentive Allocation | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||
Total return after Incentive Allocation | (6.52 | )% | 0.85 | % | (6.99 | )% | 0.35 | % | ||||||||
Net investment loss before Incentive Allocation | (0.65 | )% | (0.67 | )% | (1.15 | )% | (1.20 | )% | ||||||||
Incentive Allocation | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||
Net investment loss after Incentive Allocation | (0.65 | )% | (0.67 | )% | (1.15 | )% | (1.20 | )% | ||||||||
Total expenses before Incentive Allocation | 0.73 | % | 0.72 | % | 1.22 | % | 1.25 | % | ||||||||
Incentive Allocation | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||
Total expenses after Incentive Allocation | 0.73 | % | 0.72 | % | 1.22 | % | 1.25 | % |
Class 0 | Class 2 | |||||||||||||||
2015 | 2014 | 2015 | 2014 | |||||||||||||
Total return before Incentive Allocation | 8.84 | % | (10.72 | )% | 8.31 | % | (11.16 | )% | ||||||||
Incentive Allocation | (1.77 | ) | 0.00 | (1.67 | ) | 0.00 | ||||||||||
Total return after Incentive Allocation | 7.07 | % | (10.72 | )% | 6.64 | % | (11.16 | )% | ||||||||
Net investment loss before Incentive Allocation | (0.67 | )% | (0.63 | )% | (1.18 | )% | (1.13 | )% | ||||||||
Incentive Allocation | (1.69 | ) | 0.00 | (1.60 | ) | 0.00 | ||||||||||
Net investment loss after Incentive Allocation | (2.36 | )% | (0.63 | )% | (2.78 | )% | (1.13 | )% | ||||||||
Total expenses before Incentive Allocation | 0.73 | % | 0.68 | % | 1.25 | % | 1.19 | % | ||||||||
Incentive Allocation | 1.69 | 0.00 | 1.60 | 0.00 | ||||||||||||
Total expenses after Incentive Allocation | 2.42 | % | 0.68 | % | 2.85 | % | 1.19 | % |
Class 0 | Class 2 | |||||||
Per unit operating performance | ||||||||
Net asset value per unit, December 31, 2013 | $ | 127.72 | $ | 98.41 | ||||
Net loss: | ||||||||
Net investment loss | (1.53 | ) | (2.08 | ) | ||||
Net loss on investments | (11.19 | ) | (8.60 | ) | ||||
Net loss | (12.72 | ) | (10.68 | ) | ||||
Net asset value per unit, June 30, 2014 | $ | 115.00 | $ | 87.73 | ||||
Net asset value per unit, December 31, 2014 | $ | 149.37 | $ | 113.58 | ||||
Net income (loss): | ||||||||
Net investment loss | (2.05 | ) | (2.74 | ) | ||||
Net gain on investments | 2.17 | 1.82 | ||||||
Net income (loss) | 0.12 | (0.92 | ) | |||||
Net asset value per unit, June 30, 2015 | $ | 149.49 | $ | 112.66 |
Class 0 | Class 2 | |||||||||||||||
2015 | 2014 | 2015 | 2014 | |||||||||||||
Total return before Incentive Allocation | 1.85 | % | (9.96 | )% | 0.83 | % | (10.85 | )% | ||||||||
Incentive Allocation | (1.77 | ) | 0.00 | (1.64 | ) | 0.00 | ||||||||||
Total return after Incentive Allocation | 0.08 | % | (9.96 | )% | (0.81 | )% | (10.85 | )% | ||||||||
Net investment loss before Incentive Allocation | (1.32 | )% | (1.29 | )% | (2.34 | )% | (2.31 | )% | ||||||||
Incentive Allocation | (1.70 | ) | 0.00 | (1.61 | ) | 0.00 | ||||||||||
Net investment loss after Incentive Allocation | (3.02 | )% | (1.29 | )% | (3.95 | )% | (2.31 | )% | ||||||||
Total expenses before Incentive Allocation | 1.46 | % | 1.40 | % | 2.48 | % | 2.41 | % | ||||||||
Incentive Allocation | 1.70 | 0.00 | 1.61 | 0.00 | ||||||||||||
Total expenses after Incentive Allocation | 3.16 | % | 1.40 | % | 4.09 | % | 2.41 | % |
(i) | Results of Operations |
Agriculture / Softs | $ | 231,006 | ||
Base metals | (37,105 | ) | ||
Energy | (310,849 | ) | ||
Equities | 2,285,896 | |||
Foreign exchange | 5,178,746 | |||
Long term / Intermediate rates | 1,190,454 | |||
Precious metals | (483,980 | ) | ||
Short term rates | 576,806 | |||
$ | 8,630,974 |
Agriculture / Softs | $ | (1,598,226 | ) | $ | (582,181 | ) | ||
Base metals | (101,263 | ) | (518,850 | ) | ||||
Energy | (1,345,672 | ) | (704,162 | ) | ||||
Equities | (2,923,974 | ) | 805,376 | |||||
Foreign exchange | (2,631,146 | ) | (2,084,147 | ) | ||||
Long term / Intermediate rates | (313,593 | ) | (1,577,542 | ) | ||||
Precious metals | (869,397 | ) | (466,286 | ) | ||||
Short term rates | (170,376 | ) | (464,444 | ) | ||||
$ | (9,953,647 | ) | $ | (5,592,236 | ) |
Agriculture / Softs | $ | (397,908 | ) | |
Base metals | (614,617 | ) | ||
Energy | (1,112,861 | ) | ||
Equities | 3,338,333 | |||
Foreign exchange | 3,231,969 | |||
Long term / Intermediate rates | (474,203 | ) | ||
Precious metals | (1,034,534 | ) | ||
Short term rates | 102,559 | |||
$ | 3,038,738 |
Agriculture / Softs | 69.1 | % | ||
Base metals | 14.8 | % | ||
Energy | 6.9 | % | ||
Equities | 22.0 | % | ||
Foreign exchange | 14.2 | % | ||
Long term / Intermediate rates | (12.1 | )% | ||
Precious metals | (11.7 | )% | ||
Short term rates | (3.2 | )% | ||
100.0 | % |
Agriculture / Softs | $ | (105,551 | ) | |
Base metals | (424,218 | ) | ||
Energy | 278,190 | |||
Equities | 1,217,786 | |||
Foreign exchange | (1,495,909 | ) | ||
Long term / Intermediate rates | 2,016,285 | |||
Precious metals | (345,118 | ) | ||
Short term rates | 312,456 | |||
$ | 1,453,921 |
Agriculture / Softs | $ | (1,655,632 | ) | |
Base metals | (463,132 | ) | ||
Energy | (1,079,074 | ) | ||
Equities | (1,818,482 | ) | ||
Foreign exchange | (3,860,021 | ) | ||
Long term / Intermediate rates | 1,422,841 | |||
Precious metals | (1,147,465 | ) | ||
Short term rates | 101,239 | |||
$ | (8,499,726 | ) |
Agriculture / Softs | )% | |||
Base metals | )% | |||
Energy | ||||
Equities | ( | )% | ||
Foreign exchange | ||||
Long term / Intermediate rates | % | |||
Precious metals | ( | )% | ||
Short term rates | % | |||
100.0 | % |
Blended Strategies Portfolio | ||||
% | ||||
December 31, 2014 | % | |||
% |
Item 1. | Legal Proceedings |
Item 1A. | Risk Factors |
Item 2. | Unregistered Sales of Equity Securities and Use of Proceeds |
Period (as of) | Blended Strategies Portfolio Total | |||
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 | ||||||||||||
January 31, 2015 | 2,422.673 | 139.63 | N/A | N/A | ||||||||||||
February 28, 2015 | 4,363.240 | 137.85 | N/A | N/A | ||||||||||||
March 31, 2015 | 2,505.683 | 140.53 | N/A | N/A | ||||||||||||
TOTAL | 9,291.596 | 139.34 | N/A | N/A |
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 | ||||||||||||
April 30, 2015 | 1,783.290 | 154.05 | N/ | A | N/ | A | ||||||||||
May 31, 2015 | 96.162 | 155.99 | N/ | A | N/ | A | ||||||||||
June 30, 2015 | 2,703.308 | 112.66 | N/ | A | N/ | A | ||||||||||
TOTAL | 4,582.760 | 129.68 | N/ | A | N/ | A |
Item 3. | Defaults Upon Senior Securities – None |
Item 4. | Mine Safety Disclosures – None |
Item 5. | Other Information – None |
** 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 Principal Executive Officer) | |
Rule 13a-14(a)/15d-14(a) Certification (Certification of Chief Financial Officer) | |
Section 1350 Certification (Certification of Principal Executive 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: | |||
Paul Sedlack, Principal Executive Officer | |||
By: | |||
Brian Douglas, Chief Financial Officer |