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As Of Filer Filing For·On·As Docs:Size Issuer Filing Agent 11/14/19 Graham Alternative Inv Fd II LLC 10-Q 9/30/19 35:3.8M Broadridge Fin’l So… Inc |
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Delaware
|
20-4897149
|
|
(State or other jurisdiction of incorporation or organization)
|
(I.R.S. Employer Identification No.)
|
Title of each class
|
Trading Symbol(s)
|
Name of each exchange on which
registered
|
|||
None
|
N/A
|
None
|
Large accelerated filer ☐
|
Accelerated filer ☐
|
Non-accelerated filer ☐
|
Smaller reporting company ☒
|
Emerging Growth company ☐
|
Page
Number
|
|||
PART I - Financial Information:
|
|||
Item 1.
|
Financial Statements:
|
||
Graham Alternative Investment Fund II LLC Blended Strategies Portfolio
|
|||
1
|
|||
2
|
|||
3
|
|||
5
|
|||
6
|
|||
Graham Alternative Investment Trading LLC
|
|||
14
|
|||
15
|
|||
16
|
|||
17
|
|||
19
|
|||
20
|
|||
Item 2.
|
60
|
||
Item 3.
|
68
|
||
Item 4.
|
69
|
||
70 | |||
72
|
Certification
|
||
Certification
|
||
Certification
|
(Unaudited)
|
(Audited)
|
|||||||
Assets
|
||||||||
Investment in Graham Alternative Investment Trading LLC, at fair value
|
$
|
28,037,912
|
$
|
27,978,759
|
||||
Redemptions receivable from Graham Alternative Investment Trading LLC
|
1,143,544
|
182,935
|
||||||
Total assets
|
$
|
29,181,456
|
$
|
28,161,694
|
||||
Liabilities and members’ capital
|
||||||||
Liabilities:
|
||||||||
Redemptions payable
|
$
|
1,143,544
|
$
|
182,935
|
||||
Total liabilities
|
1,143,544
|
182,935
|
||||||
Members’ capital:
|
||||||||
Class 0 Units (111,332.718 and 125,660.811 units issued and outstanding at $151.80 and $133.70, respectively)
|
16,900,484
|
16,801,362
|
||||||
Class 2 Units (102,760.337 and 116,424.562 units issued and outstanding at $108.38 and $96.01, respectively)
|
11,137,428
|
11,177,397
|
||||||
Total members’ capital
|
28,037,912
|
27,978,759
|
||||||
Total liabilities and members’ capital
|
$
|
29,181,456
|
$
|
28,161,694
|
Three Months Ended
September 30,
|
Nine Months Ended
|
|||||||||||||||
2018
|
2019
|
2018
|
||||||||||||||
Net gain allocated from investment in Graham Alternative Investment Trading LLC
|
||||||||||||||||
Net realized gain (loss) on investments
|
$
|
3,190,469
|
$
|
(1,221,701
|
)
|
$
|
4,386,141
|
$
|
376,832
|
|||||||
Net (decrease) increase in unrealized appreciation on investments
|
(1,191,257
|
)
|
1,616,010
|
(494,982
|
)
|
434,911
|
||||||||||
Brokerage commissions and fees
|
(55,563
|
)
|
(47,040
|
)
|
(166,525
|
)
|
(186,833
|
)
|
||||||||
Net gain allocated from investment in Graham Alternative Investment Trading LLC
|
1,943,649
|
347,269
|
3,724,634
|
624,910
|
||||||||||||
Net investment loss allocated from investment in Graham Alternative Investment Trading LLC
|
||||||||||||||||
Investment income
|
||||||||||||||||
Interest income
|
146,106
|
142,994
|
423,532
|
405,857
|
||||||||||||
Expenses
|
||||||||||||||||
Advisory fees
|
111,466
|
131,072
|
317,862
|
409,370
|
||||||||||||
Sponsor fees
|
58,599
|
67,645
|
167,668
|
212,548
|
||||||||||||
Professional fees and other
|
71,844
|
54,446
|
138,749
|
105,052
|
||||||||||||
Administrator’s fees
|
9,503
|
11,420
|
27,879
|
35,389
|
||||||||||||
Interest expense
|
1,530
|
–
|
4,530
|
–
|
||||||||||||
Total expenses
|
252,942
|
264,583
|
656,688
|
762,359
|
||||||||||||
Net investment loss allocated from investment in Graham Alternative Investment Trading LLC
|
(106,836
|
)
|
(121,589
|
)
|
(233,156
|
)
|
(356,502
|
)
|
||||||||
Net income
|
$
|
1,836,813
|
$
|
225,680
|
$
|
3,491,478
|
$
|
268,408
|
Class 0 Units
|
Class 2 Units
|
|||||||||||||||||||
Units
|
Capital
|
Units
|
Capital
|
Total Members’
Capital
|
||||||||||||||||
Members’ capital, December 31, 2018
|
125,660.811
|
$
|
16,801,362
|
116,424.562
|
$
|
11,177,397
|
$
|
27,978,759
|
||||||||||||
Subscriptions
|
1,882.369
|
250,000
|
775.525
|
73,500
|
323,500
|
|||||||||||||||
Redemptions
|
(4,231.016
|
)
|
(563,529
|
)
|
(7,277.581
|
)
|
(694,270
|
)
|
(1,257,799
|
)
|
||||||||||
Net loss
|
–
|
(1,083
|
)
|
–
|
(23,376
|
)
|
(24,459
|
)
|
||||||||||||
Members’ capital, March 31, 2019
|
123,312.164
|
16,486,750
|
109,922.506
|
10,533,251
|
27,020,001
|
|||||||||||||||
Subscriptions
|
373.974
|
50,000
|
–
|
–
|
50,000
|
|||||||||||||||
Redemptions
|
(4,089.933
|
)
|
(571,538
|
)
|
(5,274.413
|
)
|
(522,693
|
)
|
(1,094,231
|
)
|
||||||||||
Net income
|
–
|
1,043,131
|
–
|
635,993
|
1,679,124
|
|||||||||||||||
Members’ capital, June 30, 2019
|
119,596.205
|
|
17,008,343
|
104,648.093
|
|
10,646,551
|
|
27,654,894
|
||||||||||||
Subscriptions
|
–
|
–
|
–
|
–
|
–
|
|||||||||||||||
Redemptions
|
(8,263.487
|
)
|
(1,249,411
|
)
|
(1,887.756
|
)
|
(204,384
|
)
|
(1,453,795
|
)
|
||||||||||
Net income
|
–
|
1,141,552
|
–
|
695,261
|
1,836,813
|
|||||||||||||||
Members’ capital, September 30, 2019
|
111,332.718
|
$
|
16,900,484
|
102,760.337
|
$
|
11,137,428
|
$
|
28,037,912
|
Class 0 Units
|
Class 2 Units
|
|||||||||||||||||||
Units
|
Capital
|
Units
|
Capital
|
Total Members’
Capital
|
||||||||||||||||
Members’ capital, December 31, 2017
|
164,393.539
|
$
|
23,163,675
|
137,512.329
|
$
|
14,017,790
|
$
|
37,181,465
|
||||||||||||
Subscriptions
|
–
|
–
|
–
|
–
|
–
|
|||||||||||||||
Redemptions
|
(4,139.796
|
)
|
(603,688
|
)
|
(3,993.281
|
)
|
(424,688
|
)
|
(1,028,376
|
)
|
||||||||||
Net income
|
–
|
394,780
|
–
|
217,684
|
612,464
|
|||||||||||||||
Members’ capital, March 31, 2018
|
160,253.743
|
22,954,767
|
133,519.048
|
13,810,786
|
36,765,553
|
|||||||||||||||
Subscriptions
|
–
|
–
|
–
|
–
|
–
|
|||||||||||||||
Redemptions
|
(2,290.444
|
)
|
(326,509
|
)
|
(8,051.221
|
)
|
(824,546
|
)
|
(1,151,055
|
)
|
||||||||||
Net loss
|
–
|
(342,193
|
)
|
–
|
(227,543
|
)
|
(569,736
|
)
|
||||||||||||
Members’ capital, June 30, 2018
|
157,963.299
|
|
22,286,065
|
125,467.827
|
|
12,758,697
|
35,044,762
|
|||||||||||||
Subscriptions
|
–
|
–
|
–
|
–
|
–
|
|||||||||||||||
Redemptions
|
(5,214.164
|
)
|
(733,214
|
)
|
(1,871.485
|
)
|
(190,162
|
)
|
(923,376
|
)
|
||||||||||
Net income
|
–
|
156,882
|
–
|
68,798
|
225,680
|
|||||||||||||||
Members’ capital, September 30, 2018
|
152,749.135
|
$
|
21,709,733
|
123,596.342
|
$
|
12,637,333
|
$
|
34,347,066
|
Nine Months Ended
|
||||||||
2018
|
||||||||
Cash flows provided by operating activities
|
||||||||
Net income
|
$
|
3,491,478
|
$
|
268,408
|
||||
Adjustments to reconcile net income to net cash provided by operating activities:
|
||||||||
Net (income) allocated from investment in Graham Alternative Investment Trading LLC
|
(3,491,478
|
)
|
(268,408
|
)
|
||||
Proceeds from sale of investment in Graham Alternative Investment Trading LLC
|
2,845,216
|
2,749,654
|
||||||
Investment in Graham Alternative Investment Trading LLC
|
(373,500
|
)
|
–
|
|||||
Net cash provided by operating activities
|
2,471,716
|
2,749,654
|
||||||
Cash flows used in financing activities
|
||||||||
Subscriptions
|
373,500
|
–
|
||||||
Redemptions
|
(2,845,216
|
)
|
(2,749,654
|
)
|
||||
Net cash used in financing activities
|
(2,471,716
|
)
|
(2,749,654
|
)
|
||||
Net change in cash and cash equivalents
|
–
|
–
|
||||||
Cash and cash equivalents, beginning of period
|
–
|
–
|
||||||
Cash and cash equivalents, end of period
|
$
|
–
|
$
|
–
|
Class 0
|
Class 2
|
0.50%
|
1.25%
|
Class 0
|
Class 2
|
|||||||
Per unit operating performance
|
||||||||
Net asset value per unit, June 30, 2018
|
$
|
141.08
|
$
|
101.69
|
||||
Net income:
|
||||||||
Net investment loss
|
(0.40
|
)
|
(0.48
|
)
|
||||
Net gain on investments
|
1.45
|
1.04
|
||||||
Net income
|
1.05
|
0.56
|
||||||
Net asset value per unit, September 30, 2018
|
$
|
142.13
|
$
|
102.25
|
||||
Net asset value per unit, June 30, 2019
|
$
|
142.21
|
$
|
101.74
|
||||
Net income:
|
||||||||
Net investment loss
|
(0.45
|
)
|
(0.52
|
)
|
||||
Net gain on investments
|
10.04
|
7.16
|
||||||
Net income
|
9.59
|
6.64
|
||||||
Net asset value per unit, September 30, 2019
|
$
|
151.80
|
$
|
108.38
|
Class 0
|
Class 2
|
|||||||||||||||
2019
|
2018
|
2019
|
2018
|
|||||||||||||
Total return before Incentive Allocation
|
6.74
|
%
|
0.74
|
%
|
6.53
|
%
|
0.55
|
%
|
||||||||
Incentive Allocation
|
0.00
|
0.00
|
0.00
|
0.00
|
||||||||||||
Total return after Incentive Allocation
|
6.74
|
%
|
0.74
|
%
|
6.53
|
%
|
0.55
|
%
|
||||||||
Net investment loss before Incentive Allocation
|
(0.30
|
)%
|
(0.28
|
)%
|
(0.49
|
)%
|
(0.47
|
)%
|
||||||||
Incentive Allocation
|
0.00
|
0.00
|
0.00
|
0.00
|
||||||||||||
Net investment loss after Incentive Allocation
|
(0.30
|
)%
|
(0.28
|
)%
|
(0.49
|
)%
|
(0.47
|
)%
|
||||||||
Total expenses before Incentive Allocation
|
0.81
|
%
|
0.70
|
%
|
1.00
|
%
|
0.89
|
%
|
||||||||
Incentive Allocation
|
0.00
|
0.00
|
0.00
|
0.00
|
||||||||||||
Total expenses after Incentive Allocation
|
0.81
|
%
|
0.70
|
%
|
1.00
|
%
|
0.89
|
%
|
Class 0
|
Class 2
|
|||||||
Per unit operating performance
|
||||||||
Net asset value per unit, December 31, 2017
|
$
|
140.90
|
$
|
101.94
|
||||
Net income:
|
||||||||
Net investment loss
|
(1.11
|
)
|
(1.38
|
)
|
||||
Net gain on investments
|
2.34
|
1.69
|
||||||
Net income
|
1.23
|
0.31
|
||||||
Net asset value per unit, September 30, 2018
|
$
|
142.13
|
$
|
102.25
|
||||
Net asset value per unit, December 31, 2018
|
$
|
133.70
|
$
|
96.01
|
||||
Net income:
|
||||||||
Net investment loss
|
(0.87
|
)
|
(1.19
|
)
|
||||
Net gain on investments
|
18.97
|
13.56
|
||||||
Net income
|
18.10
|
12.37
|
||||||
Net asset value per unit, September 30, 2019
|
$
|
151.80
|
$
|
108.38
|
Class 0
|
Class 2
|
|||||||||||||||
2019
|
2018
|
2019
|
2018
|
|||||||||||||
Total return before Incentive Allocation
|
13.54
|
%
|
0.87
|
%
|
12.88
|
%
|
0.30
|
%
|
||||||||
Incentive Allocation
|
0.00
|
0.00
|
0.00
|
0.00
|
||||||||||||
Total return after Incentive Allocation
|
13.54
|
%
|
0.87
|
%
|
12.88
|
%
|
0.30
|
%
|
||||||||
Net investment loss before Incentive Allocation
|
(0.62
|
)%
|
(0.77
|
)%
|
(1.18
|
)%
|
(1.34
|
)%
|
||||||||
Incentive Allocation
|
0.00
|
0.00
|
0.00
|
0.00
|
||||||||||||
Net investment loss after Incentive Allocation
|
(0.62
|
)%
|
(0.77
|
)%
|
(1.18
|
)%
|
(1.34
|
)%
|
||||||||
Total expenses before Incentive Allocation
|
2.14
|
%
|
1.90
|
%
|
2.70
|
%
|
2.46
|
%
|
||||||||
Incentive Allocation
|
0.00
|
0.00
|
0.00
|
0.00
|
||||||||||||
Total expenses after Incentive Allocation
|
2.14
|
%
|
1.90
|
%
|
2.70
|
%
|
2.46
|
%
|
(Unaudited)
|
(Audited)
|
|||||||
Assets
|
||||||||
Investments in Master Funds, at fair value
|
$
|
8,386,240
|
$
|
5,730,163
|
||||
Investment in Graham Cash Assets LLC, at fair value
|
51,461,585
|
55,501,064
|
||||||
Receivable from Master Funds
|
357
|
43
|
||||||
Total assets
|
$
|
59,848,182
|
$
|
61,231,270
|
||||
Liabilities and members’ capital
|
||||||||
Liabilities:
|
||||||||
Redemptions payable
|
$
|
2,270,190
|
$
|
520,046
|
||||
Accrued professional fees
|
174,520
|
165,656
|
||||||
Accrued advisory fees
|
71,960
|
76,351
|
||||||
Accrued sponsor fees
|
38,505
|
41,055
|
||||||
Accrued administrator’s fee
|
6,195
|
6,870
|
||||||
Payable to Master Funds
|
-
|
68
|
||||||
Total liabilities
|
2,561,370
|
810,046
|
||||||
Members’ capital:
|
||||||||
Class 0 Units (221,516.099 and 263,114.613 units issued and outstanding at $151.80 and $133.70 per unit, respectively)
|
33,626,500
|
35,179,498
|
||||||
Class 2 Units (206,315.161 and 251,175.400 units issued and outstanding at $108.38 and $96.01 per unit, respectively)
|
22,360,973
|
24,114,225
|
||||||
Class M Units (4,671.470 units issued and outstanding at $278.14 and $241.36 per unit, respectively)
|
1,299,339
|
1,127,501
|
||||||
Total members’ capital
|
57,286,812
|
60,421,224
|
||||||
Total liabilities and members’ capital
|
$
|
59,848,182
|
$
|
61,231,270
|
(Unaudited)
|
(Audited)
|
|||||||||||||||
Description
|
Fair Value
|
Percentage of
Members’
Capital
|
Fair Value
|
Percentage of
Members’
Capital
|
||||||||||||
Investments in Master Funds, at fair value
|
||||||||||||||||
Graham Commodity Strategies LLC
|
$
|
3,639,141
|
6.35
|
%
|
$
|
2,439,800
|
4.03
|
%
|
||||||||
Graham K4D Trading Ltd.
|
4,747,099
|
8.29
|
%
|
3,290,363
|
5.45
|
%
|
||||||||||
Total investments in Master Funds
|
$
|
8,386,240
|
14.64
|
%
|
$
|
5,730,163
|
9.48
|
%
|
Three Months Ended
September 30,
|
Nine Months Ended
|
|||||||||||||||
2018
|
2019
|
2018
|
||||||||||||||
Net gain allocated from investments in Master Funds
|
||||||||||||||||
Net realized gain (loss) on investments
|
$
|
6,517,068
|
$
|
(2,576,142
|
)
|
$
|
8,963,569
|
$
|
859,188
|
|||||||
Net (decrease) increase in unrealized appreciation on investments
|
(2,430,205
|
)
|
3,408,339
|
(971,786
|
)
|
980,559
|
||||||||||
Brokerage commissions and fees
|
(113,446
|
)
|
(99,258
|
)
|
(346,336
|
)
|
(397,021
|
)
|
||||||||
Net gain allocated from investments in Master Funds
|
3,973,417
|
732,939
|
7,645,447
|
1,442,726
|
||||||||||||
Net investment income allocated from investments in Master Funds
|
23,953
|
32,606
|
73,162
|
80,973
|
||||||||||||
Investment income
|
||||||||||||||||
Interest income
|
274,254
|
269,246
|
808,632
|
780,945
|
||||||||||||
Expenses
|
||||||||||||||||
Advisory fees
|
222,678
|
272,245
|
648,406
|
856,646
|
||||||||||||
Sponsor fees
|
119,180
|
146,617
|
345,837
|
464,096
|
||||||||||||
Professional fees and other
|
146,642
|
115,177
|
287,167
|
222,826
|
||||||||||||
Administrator’s fees
|
19,405
|
24,106
|
58,085
|
75,214
|
||||||||||||
Interest expense
|
3,126
|
–
|
9,436
|
–
|
||||||||||||
Total expenses
|
511,031
|
558,145
|
1,348,931
|
1,618,782
|
||||||||||||
Net investment loss of the Fund
|
(236,777
|
)
|
(288,899
|
)
|
(540,299
|
)
|
(837,837
|
)
|
||||||||
Net income
|
3,760,593
|
476,646
|
7,178,310
|
685,862
|
||||||||||||
Incentive allocation
|
(187
|
)
|
–
|
(187
|
)
|
–
|
||||||||||
Net income available for pro-rata allocation to all members
|
$
|
3,760,406
|
$
|
476,646
|
$
|
7,178,123
|
$
|
685,862
|
Class 0
|
Class 2
|
Class M
|
Total
Capital
|
|||||||||||||||||||||||||
Units
|
Capital
|
Units
|
Capital
|
Units
|
Capital
|
|||||||||||||||||||||||
Members’ capital, December 31, 2018
|
263,114.613
|
$
|
35,179,498
|
251,175.400
|
$
|
24,114,225
|
4,671.470
|
$
|
1,127,501
|
$
|
60,421,224
|
|||||||||||||||||
Subscriptions
|
2,447.080
|
325,000
|
775.525
|
73,500
|
–
|
–
|
398,500
|
|||||||||||||||||||||
Redemptions
|
(15,238.411
|
)
|
(2,029,083
|
)
|
(23,162.529
|
)
|
(2,203,496
|
)
|
–
|
–
|
(4,232,579
|
)
|
||||||||||||||||
Net (loss) income
|
–
|
(7,364
|
)
|
–
|
(60,726
|
)
|
–
|
5,537
|
(62,553
|
)
|
||||||||||||||||||
Members’ capital, March 31, 2019
|
250,323.282
|
33,468,051
|
228,788.396
|
21,923,503
|
4,671.470
|
1,133,038
|
56,524,592
|
|||||||||||||||||||||
Subscriptions
|
1,308.908
|
175,000
|
–
|
–
|
–
|
–
|
175,000
|
|||||||||||||||||||||
Redemptions
|
(20,134.592
|
)
|
(2,789,632
|
)
|
(9,736.326
|
)
|
(970,981
|
)
|
–
|
–
|
(3,760,613
|
)
|
||||||||||||||||
Net income
|
–
|
2,068,954
|
–
|
1,333,122
|
–
|
78,194
|
3,480,270
|
|||||||||||||||||||||
Members’ capital, June 30, 2019
|
231,497.598
|
|
32,922,373
|
219,052.070
|
|
22,285,644
|
4,671.470
|
|
1,211,232
|
|
56,419,249
|
|||||||||||||||||
Subscriptions
|
–
|
–
|
–
|
–
|
–
|
–
|
–
|
|||||||||||||||||||||
Redemptions
|
(9,981.499
|
)
|
(1,511,641
|
)
|
(12,736.909
|
)
|
(1,381,202
|
)
|
–
|
(187
|
)
|
(2,893,030
|
)
|
|||||||||||||||
Incentive allocation
|
–
|
(187
|
)
|
–
|
–
|
–
|
187
|
–
|
||||||||||||||||||||
Net income
|
–
|
2,215,955
|
–
|
1,456,531
|
–
|
88,107
|
3,760,593
|
|||||||||||||||||||||
Members’ capital, September 30, 2019
|
221,516.099
|
$
|
33,626,500
|
206,315.161
|
$
|
22,360,973
|
4,671.470
|
$
|
1,299,339
|
$
|
57,286,812
|
Class 0
|
Class 2
|
Class M
|
Total
Capital
|
|||||||||||||||||||||||||
Units
|
Capital
|
Units
|
Capital
|
Units
|
Capital
|
|||||||||||||||||||||||
Members’ capital, December 31, 2017
|
331,577.130
|
$
|
46,720,480
|
320,722.151
|
$
|
32,693,924
|
4,671.470
|
$
|
1,164,668
|
$
|
80,579,072
|
|||||||||||||||||
Subscriptions
|
–
|
–
|
–
|
–
|
–
|
–
|
–
|
|||||||||||||||||||||
Redemptions
|
(21,577.372
|
)
|
(3,205,378
|
)
|
(6,473.455
|
)
|
(689,158
|
)
|
–
|
–
|
(3,894,536
|
)
|
||||||||||||||||
Net income
|
–
|
889,307
|
–
|
500,135
|
–
|
25,170
|
1,414,612
|
|||||||||||||||||||||
Members’ capital, March 31, 2018
|
309,999.758
|
44,404,409
|
314,248.696
|
32,504,901
|
4,671.470
|
1,189,838
|
78,099,148
|
|||||||||||||||||||||
Subscriptions
|
527.126
|
75,000
|
974.513
|
100,000
|
–
|
–
|
175,000
|
|||||||||||||||||||||
Redemptions
|
(6,062.765
|
)
|
(871,157
|
)
|
(21,114.780
|
)
|
(2,157,237
|
)
|
–
|
–
|
(3,028,394
|
)
|
||||||||||||||||
Net loss
|
–
|
(653,289
|
)
|
–
|
(540,059
|
)
|
–
|
(12,048
|
)
|
(1,205,396
|
)
|
|||||||||||||||||
Members’ capital, June 30, 2018
|
304,464.119
|
|
42,954,963
|
294,108.429
|
|
29,907,605
|
4,671.470
|
|
1,177,790
|
74,040,358
|
||||||||||||||||||
Subscriptions
|
–
|
–
|
–
|
–
|
–
|
–
|
–
|
|||||||||||||||||||||
Redemptions
|
(8,490.408
|
)
|
(1,194,264
|
)
|
(9,243.907
|
)
|
(937,961
|
)
|
–
|
–
|
(2,132,225
|
)
|
||||||||||||||||
Net income
|
–
|
305,077
|
–
|
156,862
|
–
|
14,707
|
476,646
|
|||||||||||||||||||||
Members’ capital, September 30, 2018
|
295,973.711
|
$
|
42,065,776
|
284,864.522
|
$
|
29,126,506
|
4,671.470
|
$
|
1,192,497
|
$
|
72,384,779
|
Nine Months Ended September 30,
|
||||||||
2018
|
||||||||
Cash flows provided by operating activities
|
||||||||
Net income
|
$
|
7,178,310
|
$
|
685,862
|
||||
Adjustments to reconcile net income to net cash provided by operating activities:
|
||||||||
Net (income) allocated from investments in Master Funds
|
(7,718,609
|
)
|
(1,523,699
|
)
|
||||
Net (income) allocated from investment in Graham Cash Assets LLC
|
(808,632
|
)
|
(780,945
|
)
|
||||
Proceeds from sale of investments in Master Funds
|
52,804,810
|
61,701,991
|
||||||
Proceeds from sale of investments in Graham Cash Assets LLC
|
45,575,107
|
55,957,053
|
||||||
Investments in Master Funds
|
(47,742,660
|
)
|
(62,971,850
|
)
|
||||
Investments in Graham Cash Assets LLC
|
(40,726,996
|
)
|
(44,507,342
|
)
|
||||
Changes in assets and liabilities:
|
||||||||
Increase (decrease) in accrued professional fees
|
8,864
|
(82,149
|
)
|
|||||
Decrease in accrued advisory fees
|
(4,391
|
)
|
(12,926
|
)
|
||||
Decrease in accrued sponsor fees
|
(2,550
|
)
|
(7,119
|
)
|
||||
Decrease in accrued administrator’s fee
|
(675
|
)
|
(1,138
|
)
|
||||
Net cash provided by operating activities
|
8,562,578
|
8,457,738
|
||||||
Cash flows used in financing activities
|
||||||||
Subscriptions
|
573,500
|
175,000
|
||||||
Redemptions
|
(9,136,078
|
)
|
(8,632,738
|
)
|
||||
Net cash used in financing activities
|
(8,562,578
|
)
|
(8,457,738
|
)
|
||||
Net change in cash and cash equivalents
|
–
|
–
|
||||||
Cash and cash equivalents, beginning of period
|
–
|
–
|
||||||
Cash and cash equivalents, end of period
|
$
|
–
|
$
|
–
|
||||
Supplemental cash flow information
|
||||||||
Interest paid
|
$
|
9,436
|
$
|
–
|
Graham K4D Trading Ltd., a Master Fund in which GAIT invests, is a member of the Chicago Board of Trade (“CBOT”) under Rule 106.S and owns two B-1/Full seats and one B‑2/Associate seat (“collectively, “CBOT memberships”). Graham K4D Trading Ltd.’s policy is to value the CBOT memberships at fair value. As of September 30, 2019 and December 31, 2018, the two B-1/Full seats were valued at a total of $479,000 and $560,000, respectively, and the B-2/Associate seat was valued at $39,500 and $51,000, respectively, all of which are included in Exchange Memberships on the statements of financial condition. Additionally, Graham K4D Trading Ltd. owns a Chicago Mercantile Exchange (“CME”) seat valued at $87,750 and $145,500 at September 30, 2019 and December 31, 2018, respectively, which is also included in Exchange Memberships on the statements of financial condition. The CBOT memberships and CME seat are considered Level 1 assets as described in the Fair Value section of Note 2.
Investment – Objective
|
Percent of
Members’
Capital
|
Fair Value
|
Net Income
(nine months ended
September 2019)
|
|||||||||
Global Macro Funds
|
||||||||||||
Graham Commodity Strategies LLC
|
6.35%
|
|
$
|
3,639,141
|
$
|
2,501,873
|
||||||
Systematic Macro Funds
|
||||||||||||
Graham K4D Trading Ltd.
|
8.29%
|
|
4,747,099
|
5,216,736
|
||||||||
14.64%
|
|
$
|
8,386,240
|
$
|
7,718,609
|
Investment – Objective
|
Percent of
Members’
Capital
|
Fair Value
|
Net Income (Loss)
(nine months ended
September 2018)
|
|||||||||
Global Macro Funds
|
||||||||||||
Graham Commodity Strategies LLC
|
4.03%
|
$
|
2,439,800
|
$
|
2,089,412
|
|||||||
Systematic Macro Funds
|
||||||||||||
Graham K4D Trading Ltd.
|
5.45%
|
3,290,363
|
(565,713
|
)
|
||||||||
9.48%
|
$
|
5,730,163
|
$
|
1,523,699
|
Graham
Commodity
Strategies LLC
(Delaware)
|
Graham K4D
Trading Ltd.
(BVI)
|
|||||||
Assets:
|
||||||||
Fixed income securities, at fair value (cost $31,087,793)
|
$
|
-
|
$
|
31,456,934
|
||||
Due from brokers
|
114,054,641
|
33,553,935
|
||||||
Derivative financial instruments, at fair value
|
23,560,207
|
3,402,101
|
||||||
Exchange memberships, at fair value
|
6,605,200
|
606,250
|
||||||
Accrued interest income
|
-
|
131,496
|
||||||
Total assets
|
144,220,048
|
69,150,716
|
||||||
Liabilities:
|
||||||||
Derivative financial instruments, at fair value
|
4,764,588
|
5,407,077
|
||||||
Due to brokers
|
-
|
-
|
||||||
Interest payable
|
-
|
3,500
|
||||||
Total liabilities
|
4,764,588
|
5,410,577
|
||||||
Members’ Capital / Net Assets
|
$
|
139,455,460
|
$
|
63,740,139
|
||||
Percentage of Master Fund held by GAIT
|
2.61
|
%
|
7.45
|
%
|
Description
|
Number of
Contracts / Notional
Amounts
|
Fair Value
|
Percentage
of Members’
Capital of
Master Fund
|
|||||||||
Graham Commodity Strategies LLC
|
||||||||||||
Exchange memberships (cost $2,146,960)
|
||||||||||||
United States (cost $2,146,960)
|
||||||||||||
Financial services (cost $2,146,960)
|
$
|
6,605,200
|
4.74
|
%
|
||||||||
Total exchange memberships
|
$
|
6,605,200
|
4.74
|
%
|
||||||||
Derivative financial instruments
|
||||||||||||
Long contracts
|
||||||||||||
Futures
|
||||||||||||
Commodity
|
(7,343,771
|
)
|
(5.27
|
)%
|
||||||||
Currency
|
(3,519
|
)
|
(0.00
|
)%
|
||||||||
Foreign bond
|
(540,624
|
)
|
(0.39
|
)%
|
||||||||
Foreign index
|
370,327
|
0.27
|
%
|
|||||||||
Interest rate
|
||||||||||||
Euro dollar 90 day December - June 2021
|
12,601
|
566,288
|
0.41
|
%
|
||||||||
Other interest rate
|
(8,247
|
)
|
(0.01
|
)%
|
||||||||
U.S. bond
|
(359,734
|
)
|
(0.26
|
)%
|
||||||||
U.S. index
|
(100,370
|
)
|
(0.07
|
)%
|
||||||||
Total futures
|
(7,419,650
|
)
|
(5.32
|
)%
|
||||||||
Forwards
|
||||||||||||
Foreign currency
|
1,998,596
|
1.43
|
%
|
|||||||||
Total forwards
|
1,998,596
|
1.43
|
%
|
|||||||||
Options (cost $99,261,570)
|
||||||||||||
Commodity futures
|
9,808,863
|
7.03
|
%
|
|||||||||
Currency futures
|
||||||||||||
Euro dollar / U.S. dollar October 2019 - November 2019, $1.11 - $1.21 Call
|
4
|
312,098
|
0.22
|
%
|
||||||||
Euro dollar / U.S. dollar November 2019 - February 2020, $1.04 - $1.08 Put
|
5
|
2,965,310
|
2.13
|
%
|
||||||||
Other currency futures
|
16,602,107
|
11.90
|
%
|
|||||||||
Interest rate futures
|
||||||||||||
Euro dollar 1yr midcurve December 2019 - March 2020, $98.88 - $99.38 Call
|
4
|
(197,613
|
)
|
(0.14
|
)%
|
|||||||
Euro dollar December 2019 - December 2020 $99.25 - $99.75 Call
|
6
|
3,832,775
|
2.75
|
%
|
||||||||
Euro dollar December 2019 - December 2020 $95.50 - $97.88 Put
|
7
|
1,631,788
|
1.17
|
%
|
||||||||
Euro dollar June 2020 $99.00 Call
|
1
|
10,356,938
|
7.43
|
%
|
||||||||
Other interest rate futures
|
2,535,085
|
1.82
|
%
|
|||||||||
U.S. index futures
|
644,420
|
0.46
|
%
|
|||||||||
Total options
|
48,491,771
|
34.77
|
%
|
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
|
$
|
1,142,910
|
0.82
|
%
|
||||||||
Currency
|
14,674
|
0.01
|
%
|
|||||||||
Foreign bond
|
(453,393
|
)
|
(0.33
|
)%
|
||||||||
Interest rate
|
||||||||||||
Euro dollar 90 day September 2021
|
(11,581
|
)
|
(1,794,063
|
)
|
(1.29
|
)%
|
||||||
U.S. bond
|
(89,938
|
)
|
(0.05
|
)%
|
||||||||
U.S. index
|
(24,408
|
)
|
(0.02
|
)%
|
||||||||
Total futures
|
(1,204,218
|
)
|
(0.86
|
)%
|
||||||||
Forwards
|
||||||||||||
Foreign currency
|
1,817,486
|
1.30
|
%
|
|||||||||
Total forwards
|
1,817,486
|
1.30
|
%
|
|||||||||
Options (proceeds $50,253,589)
|
||||||||||||
Commodity futures
|
$
|
(5,680,544
|
)
|
(4.07
|
)%
|
|||||||
Currency futures
|
||||||||||||
Euro dollar / U.S. dollar October 2019 - February 2020, $1.12 - $1.21 Call
|
(4
|
)
|
(478,475
|
)
|
(0.34
|
)%
|
||||||
Euro dollar / U.S. dollar November 2019 - December 2019, $1.04 - $1.08 Put
|
(4
|
)
|
(545,089
|
)
|
(0.39
|
)%
|
||||||
Other currency futures
|
(6,145,553
|
)
|
(4.40
|
)%
|
||||||||
Interest rate futures
|
||||||||||||
Euro dollar 1yr midcurve December 2019 - March 2020, $99.13 - $99.38 Call
|
(3
|
)
|
(456,038
|
)
|
(0.33
|
)%
|
||||||
Euro dollar December 2019 - December 2020 $98.38 - $99.50 Call
|
(6
|
)
|
(6,637,631
|
)
|
(4.76
|
)%
|
||||||
Euro dollar December 2019 - December 2020 $95.00 - $98.00 Put
|
(8
|
)
|
(959,950
|
)
|
(0.69
|
)%
|
||||||
Other interest rate futures
|
(2,708,736
|
)
|
(1.94
|
)%
|
||||||||
U.S. index futures
|
(1,276,350
|
)
|
(0.92
|
)%
|
||||||||
Total options
|
(24,888,366
|
)
|
(17.84
|
)%
|
||||||||
Total derivative financial instruments
|
$
|
18,795,619
|
13.48
|
%
|
Description
|
Principal / Number
of Contracts /
Notional Amounts
|
Fair Value
|
Percentage of
Net Assets of
Master Fund
|
|||||||||
Graham K4D Trading Ltd.
|
||||||||||||
Fixed income securities owned (cost $31,087,793)
|
||||||||||||
Bonds (cost $31,087,793)
|
||||||||||||
United States (cost $31,087,793)
|
||||||||||||
Government Bonds (cost $31,087,793)
|
||||||||||||
U.S. Treasury bond 1.38% due 01/15/2020
|
$
|
31,500,000
|
$
|
31,456,934
|
49.35
|
%
|
||||||
Total United States
|
31,456,934
|
49.35
|
%
|
|||||||||
Total bonds
|
31,456,934
|
49.35
|
%
|
|||||||||
Total fixed income securities owned
|
$
|
31,456,934
|
49.35
|
%
|
||||||||
Exchange memberships (cost $1,051,100)
|
||||||||||||
United States (cost $1,051,100)
|
||||||||||||
Financial services (cost $1,051,100)
|
$
|
606,250
|
0.95
|
%
|
||||||||
Total exchange memberships
|
$
|
606,250
|
0.95
|
%
|
||||||||
Derivative financial instruments
|
||||||||||||
Long contracts
|
||||||||||||
Futures
|
||||||||||||
Commodity
|
$
|
(2,702,140
|
)
|
(4.24
|
)%
|
|||||||
Currency
|
266,338
|
0.42
|
%
|
|||||||||
Foreign bond
|
(2,213,458
|
)
|
(3.48
|
)%
|
||||||||
Foreign index
|
3,361,135
|
5.27
|
%
|
|||||||||
Interest rate
|
434,100
|
0.68
|
%
|
|||||||||
U.S. bond
|
(3,040,164
|
)
|
(4.77
|
)%
|
||||||||
U.S. index
|
(3,468,292
|
)
|
(5.44
|
)%
|
||||||||
Total futures
|
(7,362,481
|
)
|
(11.56
|
)%
|
||||||||
Forwards
|
||||||||||||
Foreign currency
|
(2,109,625
|
)
|
(3.31
|
)%
|
||||||||
Total forwards
|
(2,109,625
|
)
|
(3.31
|
)%
|
Description
|
Number of
Contracts / Notional
Amounts
|
Fair Value
|
Percentage of
Net Assets of
Master Fund
|
||||||||
Graham K4D Trading Ltd. (continued)
|
|||||||||||
Derivative financial instruments (continued)
|
|||||||||||
Short contracts
|
|||||||||||
Futures
|
|||||||||||
Commodity
|
$
|
2,027,448
|
3.18
|
%
|
|||||||
Currency
|
105,636
|
0.17
|
%
|
||||||||
Foreign bond
|
11,682
|
0.02
|
%
|
||||||||
Foreign index
|
(5,711
|
)
|
(0.01
|
)%
|
|||||||
U.S. bond
|
(183,650
|
)
|
(0.29
|
)%
|
|||||||
Total futures
|
1,955,405
|
3.07
|
%
|
||||||||
Forwards
|
|||||||||||
Foreign currency
|
5,511,725
|
8.65
|
%
|
||||||||
Total forwards
|
5,511,725
|
8.65
|
%
|
||||||||
Total derivative financial instruments
|
$
|
(2,004,976
|
)
|
(3.15
|
)%
|
Graham
Commodity
Strategies LLC
|
Graham K4D
Trading Ltd.
|
|||||||
Assets
|
||||||||
Level 1:
|
||||||||
Commodity futures
|
$
|
2,788,495
|
$
|
5,568,327
|
||||
Commodity futures options
|
9,808,863
|
-
|
||||||
Currency futures
|
19,594
|
379,444
|
||||||
Exchange memberships
|
6,605,200
|
606,250
|
||||||
Foreign bond futures
|
139,496
|
1,051,906
|
||||||
Foreign index futures
|
370,327
|
3,763,343
|
||||||
Interest rate futures
|
1,390,257
|
434,657
|
||||||
Interest rate futures options
|
21,206,806
|
-
|
||||||
U.S. bond futures
|
407,141
|
-
|
||||||
U.S. index futures
|
5,337
|
-
|
||||||
U.S. index futures options
|
644,420
|
-
|
||||||
Total Level 1
|
43,385,936
|
11,803,927
|
||||||
Level 2:
|
||||||||
Foreign currency forwards
|
17,101,014
|
5,554,617
|
||||||
Foreign currency futures options
|
19,879,516
|
-
|
||||||
Government bonds*
|
-
|
31,456,934
|
||||||
Total Level 2
|
36,980,530
|
37,011,551
|
||||||
Total investment related assets
|
$
|
80,366,466
|
$
|
48,815,478
|
||||
Liabilities
|
||||||||
Level 1:
|
||||||||
Commodity futures
|
$
|
(8,989,356
|
)
|
$
|
(6,243,019
|
)
|
||
Commodity futures options
|
(5,680,544
|
)
|
-
|
|||||
Currency futures
|
(8,439
|
)
|
(7,470
|
)
|
||||
Foreign bond futures
|
(1,133,513
|
)
|
(3,253,682
|
)
|
||||
Foreign index futures
|
-
|
(407,919
|
)
|
|||||
Interest rate futures
|
(2,626,279
|
)
|
(557
|
)
|
||||
Interest rate futures options
|
(13,810,188
|
)
|
-
|
|||||
U.S. bond futures
|
(856,813
|
)
|
(3,223,814
|
)
|
||||
U.S. index futures
|
(130,115
|
)
|
(3,468,292
|
)
|
||||
U.S. index futures options
|
(1,276,350
|
)
|
-
|
|||||
Total Level 1
|
(34,511,597
|
)
|
(16,604,753
|
)
|
||||
Level 2:
|
||||||||
Foreign currency forwards
|
(13,284,932
|
)
|
(2,152,517
|
)
|
||||
Foreign currency futures options
|
(7,169,118
|
)
|
-
|
|||||
Total Level 2
|
(20,454,050
|
)
|
(2,152,517
|
)
|
||||
Total investment related liabilities
|
$
|
(54,965,647
|
)
|
$
|
(18,757,270
|
)
|
Long exposure
|
Short exposure
|
|||||||||||||||||||||||
Notional
amounts
|
Number
of
|
Notional
amounts
|
Number
of
|
Derivative
Assets
|
Derivative
Liabilities
|
|||||||||||||||||||
Commodity price
|
||||||||||||||||||||||||
Futures
|
$
|
307,988,851
|
3,410
|
$
|
(40,171,352
|
)
|
(731
|
)
|
$
|
2,788,495
|
$
|
(8,989,356
|
)
|
|||||||||||
Options(a)
|
187,769,805
|
5,902
|
(161,457,122
|
)
|
(6,345
|
)
|
9,808,863
|
(5,680,544
|
)
|
|||||||||||||||
495,758,656
|
9,312
|
(201,628,474
|
)
|
(7,076
|
)
|
12,597,358
|
(14,669,900
|
)
|
||||||||||||||||
Equity price
|
||||||||||||||||||||||||
Futures
|
160,081,019
|
1,799
|
(113,564,044
|
)
|
(1,179
|
)
|
375,664
|
(130,115
|
)
|
|||||||||||||||
Options(a)
|
86,658,348
|
2,785
|
(72,854,350
|
)
|
(5,161
|
)
|
644,420
|
(1,276,350
|
)
|
|||||||||||||||
246,739,367
|
4,584
|
(186,418,394
|
)
|
(6,340
|
)
|
1,020,084
|
(1,406,465
|
)
|
||||||||||||||||
Foreign currency exchange rate
|
||||||||||||||||||||||||
Forwards
|
4,783,682,446
|
N/A
|
(3,211,569,784
|
)
|
N/A
|
17,101,014
|
(13,284,932
|
)
|
||||||||||||||||
Futures
|
1,989,154
|
20
|
(1,446,053
|
)
|
(16
|
)
|
19,594
|
(8,439
|
)
|
|||||||||||||||
Options(a)
|
1,117,890,081
|
62
|
(1,388,008,481
|
)
|
(57
|
)
|
19,879,516
|
(7,169,118
|
)
|
|||||||||||||||
5,903,561,681
|
82
|
(4,601,024,318
|
)
|
(73
|
)
|
37,000,124
|
(20,462,489
|
)
|
||||||||||||||||
Interest rate
|
||||||||||||||||||||||||
Futures
|
16,534,964,749
|
60,904
|
(7,726,400,090
|
)
|
(33,613
|
)
|
1,936,894
|
(4,616,605
|
)
|
|||||||||||||||
Options(a)
|
7,793,935,349
|
330,023
|
(5,110,492,609
|
)
|
(236,886
|
)
|
21,206,806
|
(13,810,188
|
)
|
|||||||||||||||
24,328,900,098
|
390,927
|
(12,836,892,699
|
)
|
(270,499
|
)
|
23,143,700
|
(18,426,793
|
)
|
||||||||||||||||
Total
|
$
|
30,974,959,802
|
404,905
|
$
|
(17,825,963,885
|
)
|
(283,988
|
)
|
$
|
73,761,266
|
$
|
(54,965,647
|
)
|
Long exposure
|
Short exposure
|
|||||||||||||||||||||||
Notional
amounts
|
Number
of
|
Notional
amounts
|
Number
of
|
Derivative
Assets
|
Derivative
Liabilities
|
|||||||||||||||||||
Commodity price
|
||||||||||||||||||||||||
Futures
|
$
|
150,696,461
|
1,701
|
$
|
(215,180,787
|
)
|
(4,636
|
)
|
$
|
5,568,327
|
$
|
(6,243,019
|
)
|
|||||||||||
150,696,461
|
1,701
|
(215,180,787
|
)
|
(4,636
|
)
|
5,568,327
|
(6,243,019
|
)
|
||||||||||||||||
Equity price
|
||||||||||||||||||||||||
Futures
|
552,519,428
|
5,817
|
(10,718,809
|
)
|
(145
|
)
|
3,763,343
|
(3,876,211
|
)
|
|||||||||||||||
552,519,428
|
5,817
|
(10,718,809
|
)
|
(145
|
)
|
3,763,343
|
(3,876,211
|
)
|
||||||||||||||||
Foreign currency exchange rate
|
||||||||||||||||||||||||
Forwards
|
242,360,632
|
N/A
|
(717,174,061
|
)
|
N/A
|
5,554,617
|
(2,152,517
|
)
|
||||||||||||||||
Futures
|
21,421,204
|
225
|
(9,829,242
|
)
|
(99
|
)
|
379,444
|
(7,470
|
)
|
|||||||||||||||
263,781,836
|
225
|
(727,003,303
|
)
|
(99
|
)
|
5,934,061
|
(2,159,987
|
)
|
||||||||||||||||
Interest rate
|
||||||||||||||||||||||||
Futures
|
2,580,229,971
|
14,060
|
(172,952,505
|
)
|
(1,152
|
)
|
1,486,563
|
(6,478,053
|
)
|
|||||||||||||||
2,580,229,971
|
14,060
|
(172,952,505
|
)
|
(1,152
|
)
|
1,486,563
|
(6,478,053
|
)
|
||||||||||||||||
Total
|
$
|
3,547,227,696
|
21,803
|
$
|
(1,125,855,404
|
)
|
(6,032
|
)
|
$
|
16,752,294
|
$
|
(18,757,270
|
)
|
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
|
$
|
73,761,266
|
$
|
(50,201,059
|
)
|
$
|
23,560,207
|
$
|
-
|
$
|
23,560,207
|
|||||||||
Derivative liabilities
|
(54,965,647
|
)
|
50,201,059
|
(4,764,588
|
)
|
4,764,588
|
-
|
|||||||||||||
Graham K4D Trading Ltd.2
|
||||||||||||||||||||
Derivative assets
|
$
|
16,752,294
|
$
|
(13,350,193
|
)
|
$
|
3,402,101
|
-
|
$
|
3,402,101
|
||||||||||
Derivative liabilities
|
(18,757,270
|
)
|
13,350,193
|
(5,407,077
|
)
|
$
|
5,407,077
|
-
|
Graham
Commodity
Strategies LLC
|
Graham K4D
Trading Ltd.
|
|||||||
Net investment income
|
$
|
372,292
|
$
|
200,436
|
||||
Net realized gain on investments
|
91,288,839
|
57,612,556
|
||||||
Net decrease in unrealized appreciation on investments
|
(35,180,589
|
)
|
(19,316,972
|
)
|
||||
Brokerage commissions and fees
|
(4,210,945
|
)
|
(101,863
|
)
|
||||
Net gain on investments
|
51,897,305
|
38,193,721
|
||||||
Net income
|
$
|
52,269,597
|
$
|
38,394,157
|
Graham
Commodity
Strategies LLC
|
Graham K4D
Trading Ltd.
|
|||||||
Net investment income
|
$
|
1,281,301
|
$
|
659,930
|
||||
Net realized gain on investments
|
148,812,821
|
77,214,124
|
||||||
Net (decrease) increase in unrealized appreciation on investments
|
(36,393,948
|
)
|
5,561,738
|
|||||
Brokerage commissions and fees
|
(12,718,098
|
)
|
(346,364
|
)
|
||||
Net gain on investments
|
99,700,775
|
82,429,498
|
||||||
Net income
|
$
|
100,982,076
|
$
|
83,089,428
|
Graham
Commodity
Strategies LLC
|
Graham
K4D Trading
Ltd.
|
|||||||
Commodity price
|
||||||||
Futures
|
$
|
19,473,321
|
$
|
(5,318,152
|
)
|
|||
Options
|
4,420,347
|
-
|
||||||
23,893,668
|
(5,318,152
|
)
|
||||||
Equity price
|
||||||||
Equities
|
561,900
|
(65,750
|
)
|
|||||
Futures
|
17,324,869
|
12,840,006
|
||||||
Options
|
(1,344,915
|
)
|
-
|
|||||
16,541,854
|
12,774,256
|
|||||||
Foreign currency exchange rate
|
||||||||
Forwards
|
32,672,955
|
15,215,088
|
||||||
Futures
|
(52,501
|
)
|
946,691
|
|||||
Options
|
(22,151,472
|
)
|
-
|
|||||
10,468,982
|
16,161,779
|
|||||||
Interest rate
|
||||||||
Fixed income securities
|
-
|
71,982
|
||||||
Futures
|
21,266,142
|
14,605,719
|
||||||
Options
|
(16,062,396
|
)
|
-
|
|||||
5,203,746
|
14,677,701
|
|||||||
Total
|
$
|
56,108,250
|
$
|
38,295,584
|
|
Graham
Commodity
Strategies LLC
|
Graham
K4D Trading
Ltd.
|
||||||
Commodity price
|
||||||||
Futures
|
$
|
34,095,503
|
$
|
(34,710,115
|
)
|
|||
Options
|
5,106,892
|
-
|
||||||
|
39,202,395
|
(34,710,115
|
)
|
|||||
Equity price
|
||||||||
Equities
|
741,600
|
(150,250
|
)
|
|||||
Futures
|
26,252,521
|
37,721,909
|
||||||
Options
|
904,890
|
-
|
||||||
|
27,899,011
|
37,571,659
|
||||||
Foreign currency exchange rate
|
||||||||
Forwards
|
45,971,846
|
9,888,840
|
||||||
Futures
|
(148,941
|
)
|
1,128,368
|
|||||
Options
|
(43,138,591
|
)
|
-
|
|||||
|
2,684,314
|
11,017,208
|
||||||
Interest rate
|
||||||||
Fixed income securities
|
-
|
364,834
|
||||||
Futures
|
35,470,016
|
68,532,276
|
||||||
Options
|
7,163,137
|
-
|
||||||
|
42,633,153
|
68,897,110
|
||||||
Total
|
$
|
112,418,873
|
$
|
82,775,862
|
Graham
Commodity
Strategies LLC
(Delaware)
|
Graham K4D
Trading Ltd.
(BVI)
|
|||||||
Assets:
|
||||||||
Fixed income securities, at fair value (cost $62,362,617)
|
$
|
-
|
$
|
62,592,100
|
||||
Due from brokers
|
76,813,273
|
13,515,716
|
||||||
Derivative financial instruments, at fair value
|
20,399,655
|
-
|
||||||
Exchange memberships, at fair value
|
5,863,600
|
756,500
|
||||||
Accrued interest income
|
36,830
|
364,002
|
||||||
Dividends receivable
|
36,750
|
-
|
||||||
Total assets
|
103,150,108
|
77,228,318
|
||||||
Liabilities:
|
||||||||
Derivative financial instruments, at fair value
|
1,878,673
|
7,631,786
|
||||||
Interest payable
|
525
|
11,474
|
||||||
Total liabilities
|
1,879,198
|
7,643,260
|
||||||
Members’ Capital / Net Assets
|
$
|
101,270,910
|
$
|
69,585,058
|
||||
Percentage of Master Fund held by GAIT
|
2.41
|
%
|
4.73
|
%
|
Description
|
Number of
Contracts / Notional
Amounts
|
Fair Value
|
Percentage
of Members’
Capital of
Master Fund
|
|||||||||
Graham Commodity Strategies LLC
|
||||||||||||
Exchange memberships (cost $2,146,960)
|
||||||||||||
United States (cost $2,146,960)
|
||||||||||||
Financial services (cost $2,146,960)
|
$
|
5,863,600
|
5.79
|
%
|
||||||||
Total exchange memberships
|
$
|
5,863,600
|
5.79
|
%
|
||||||||
Derivative financial instruments
|
||||||||||||
Long contracts
|
||||||||||||
Futures
|
||||||||||||
Commodity
|
$
|
3,698,683
|
3.65
|
%
|
||||||||
Currency
|
(1,165
|
)
|
(0.00
|
)%
|
||||||||
Foreign index
|
(42,275
|
)
|
(0.04
|
)%
|
||||||||
Interest rate
|
||||||||||||
Fed Fund 30 day July 2019
|
13,491
|
14,851,438
|
14.67
|
%
|
||||||||
Fed Fund 30 day January 2019 - December 2019
|
15,909
|
4,051,887
|
4.00
|
%
|
||||||||
Other interest rate
|
719,375
|
0.71
|
%
|
|||||||||
U.S. bond
|
||||||||||||
U.S. 5yr note March 2019
|
15,538
|
15,861,867
|
15.66
|
%
|
||||||||
U.S. 2yr - 10yr note March 2019
|
5,294
|
2,530,094
|
2.50
|
%
|
||||||||
U.S. long bond March 2019
|
200
|
(119,188
|
)
|
(0.12
|
)%
|
|||||||
U.S. Ultra bond March 2019
|
411
|
947,844
|
0.94
|
%
|
||||||||
U.S. index
|
43,370
|
0.04
|
%
|
|||||||||
Total futures
|
42,541,930
|
42.01
|
%
|
|||||||||
Forwards
|
||||||||||||
Chinese yuan / U.S. dollar 02/01/2019 - 10/15/2019
|
CNH
|
2,289,561,625 |
3,331,384
|
3.29
|
%
|
|||||||
Japanese yen / U.S. dollar 01/04/2019 - 01/07/2019
|
JPY
|
84,717,596,509 |
6,780,540
|
6.70
|
%
|
|||||||
Taiwan dollar / U.S. dollar 01/03/2019 - 06/13/2019
|
TWD
|
48,008,984,652 |
3,144,452
|
3.10
|
%
|
|||||||
Other foreign currency
|
869,160
|
0.86
|
%
|
|||||||||
Total forwards
|
14,125,536
|
13.95
|
%
|
Description
|
Number of
Notional Amounts
|
Fair Value
|
Percentage
of Members’
Capital of
Master Fund
|
|||||||||
Graham Commodity Strategies LLC (continued)
|
||||||||||||
Derivative financial instruments (continued)
|
||||||||||||
Long contracts (continued)
|
||||||||||||
Options (cost $75,200,814)
|
||||||||||||
Commodity futures
|
$
|
2,337,480
|
2.31
|
%
|
||||||||
Currency
|
||||||||||||
Euro dollar / U.S. dollar January 2019 - May 2019, $1.15 - $1.34 Call
|
3
|
849,954
|
0.83
|
%
|
||||||||
Euro dollar / U.S. dollar January 2019 - June 2019, $1.05 - $1.12 Put
|
5
|
3,613,066
|
3.57
|
%
|
||||||||
U.S. dollar / Chinese yuan January 2019, $7.20 Call
|
1
|
20
|
0.00
|
%
|
||||||||
U.S. dollar / Chinese yuan April 2019 - December 2019, $6.60 - $6.92 Put
|
4
|
9,111,130
|
9.00
|
%
|
||||||||
U.S. dollar / Japanese yen February 2019, $110.60 Put
|
1
|
7,663,920
|
7.57
|
%
|
||||||||
U.S. dollar / Japanese yen April 2019, $111.20 Put
|
1
|
7,368,200
|
7.27
|
%
|
||||||||
U.S. dollar / Japanese yen January 2019 - May 2019, $109.75 - $111.60 Put
|
6
|
17,712,554
|
17.49
|
%
|
||||||||
U.S. dollar / Taiwan dollar January 2019 - June 2019, $31.30 - $31.70 Call
|
11
|
1,806,425
|
1.78
|
%
|
||||||||
Other currency
|
10,550,246
|
10.42
|
%
|
|||||||||
Interest rate
|
||||||||||||
Euro dollar 1yr midcurve June 2019 – September 2019, $96.50 Put
|
2
|
(5,421,875
|
)
|
(5.35
|
)%
|
|||||||
Euribor 2yr midcurve June 2019, $100.00 Call
|
1
|
4,171,579
|
4.12
|
%
|
||||||||
Other interest rate futures
|
7,249,033
|
7.16
|
%
|
|||||||||
U.S. index futures
|
1,256,250
|
1.24
|
%
|
|||||||||
Total options
|
68,267,982
|
67.41
|
%
|
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
|
$
|
225,676
|
0.22
|
%
|
||||||||
Foreign bond
|
(504,546
|
)
|
(0.50
|
)%
|
||||||||
Interest rate
|
||||||||||||
Fed Fund 30 day August 2019
|
(13,491
|
)
|
(16,380,602
|
)
|
(16.17
|
)%
|
||||||
Fed Fund 30 day May 2019 - November 2019
|
(6,167
|
)
|
(5,045,154
|
)
|
(4.98
|
)%
|
||||||
Other interest rate
|
(47,354
|
)
|
(0.05
|
)%
|
||||||||
U.S. Ultra bond March 2019
|
(2,837
|
)
|
(102,187
|
)
|
(0.10
|
)%
|
||||||
U.S. index
|
(242,000
|
)
|
(0.24
|
)%
|
||||||||
Total futures
|
(22,096,167
|
)
|
(21.82
|
)%
|
||||||||
Forwards
|
||||||||||||
U.S. dollar / Chinese yuan 02/01/2019 - 10/15/2019
|
CNH
|
(2,874,294,571) |
(3,464,643
|
)
|
(3.42
|
)%
|
||||||
U.S. dollar / Japanese yen 01/04/2019 - 01/07/2019
|
JPY
|
(51,210,507,355) |
(3,940,829
|
)
|
(3.89
|
)%
|
||||||
U.S. dollar / Taiwan dollar 01/03/2019 - 06/13/2019
|
TWD
|
(56,242,002,182) |
(8,214,043
|
)
|
(8.11
|
)%
|
||||||
Other foreign currency
|
3,420,784
|
3.37
|
%
|
|||||||||
Total forwards
|
(12,198,731
|
)
|
(12.05
|
)%
|
||||||||
Options (proceeds $66,816,605)
|
||||||||||||
Commodity futures
|
(1,000,339
|
)
|
(0.99
|
)%
|
||||||||
Currency
|
||||||||||||
Euro dollar / U.S. dollar January 2019 - December 2019, $1.15 - $1.34 Call
|
(6
|
)
|
(7,129,507
|
)
|
(7.04
|
)%
|
||||||
Euro dollar / U.S. dollar February 2019 - June 2019, $1.05 - $1.10 Put
|
(4
|
)
|
(3,590,823
|
)
|
(3.55
|
)%
|
||||||
U.S. dollar / Chinese yuan January 2019, $7.40 Call
|
(1
|
)
|
(20
|
)
|
(0.00
|
)%
|
||||||
U.S. dollar / Chinese yuan April 2019 - December 2019, $6.35 - $6.92 Put
|
(4
|
)
|
(7,737,030
|
)
|
(7.64
|
)%
|
||||||
U.S. dollar / Japanese yen February 2019, $110.60 Put
|
(1
|
)
|
(7,663,920
|
)
|
(7.57
|
)%
|
||||||
U.S. dollar / Japanese yen April 2019, $111.20 Put
|
(1
|
)
|
(7,368,200
|
)
|
(7.28
|
)%
|
||||||
U.S. dollar / Japanese yen January 2019 - May 2019, $110.00 - $111.60 Put
|
(4
|
)
|
(17,155,353
|
)
|
(16.94
|
)%
|
||||||
Taiwan dollar / U.S. dollar May 2019 - June 2019, $31.55 - $31.63 Call
|
(2
|
)
|
(608,610
|
)
|
(0.60
|
)%
|
||||||
Other currency
|
(8,372,745
|
)
|
(8.26
|
)%
|
||||||||
Interest rate
|
||||||||||||
Euro dollar 1yr midcurve June 2019 - September 2019, $96.00 - $96.25 Put
|
(2
|
)
|
1,921,875
|
1.90
|
%
|
|||||||
Euribor 2yr midcurve June 2019, $99.88 Call
|
(1
|
)
|
(9,137,745
|
)
|
(9.02
|
)%
|
||||||
Other interest rate futures
|
(1,468,651
|
)
|
(1.45
|
)%
|
||||||||
U.S. index futures
|
(2,808,500
|
)
|
(2.77
|
)%
|
||||||||
Total options
|
(72,119,568
|
)
|
(71.21
|
)%
|
||||||||
Total derivative financial instruments
|
$
|
18,520,982
|
18.29
|
%
|
Description
|
Principal / Number
of Contracts /
Notional Amounts
|
Fair Value
|
Percentage of
Net Assets of
Master Fund
|
|||||||||
Graham K4D Trading Ltd.
|
||||||||||||
Fixed income securities owned (cost $62,362,617)
|
||||||||||||
Bonds (cost $62,362,617)
|
||||||||||||
United States (cost $62,362,617)
|
||||||||||||
Government Bonds (cost $62,362,617)
|
||||||||||||
U.S. Treasury bond 1.13% due 01/15/2019
|
$
|
31,500,000
|
$
|
31,486,465
|
45.25
|
%
|
||||||
U.S. Treasury bond 1.38% due 01/15/2020
|
31,500,000
|
31,105,635
|
44.70
|
%
|
||||||||
Total United States
|
62,592,100
|
89.95
|
%
|
|||||||||
Total bonds
|
62,592,100
|
89.95
|
%
|
|||||||||
Total fixed income securities owned
|
$
|
62,592,100
|
89.95
|
%
|
||||||||
Exchange memberships (cost $1,051,100)
|
||||||||||||
United States (cost $1,051,100)
|
||||||||||||
Financial services (cost $1,051,100)
|
$
|
756,500
|
1.09
|
%
|
||||||||
Total exchange memberships
|
$
|
756,500
|
1.09
|
%
|
||||||||
Derivative financial instruments
|
||||||||||||
Long contracts
|
||||||||||||
Futures
|
||||||||||||
Commodity
|
||||||||||||
Natural gas February 2019
|
378
|
$
|
(5,558,587
|
)
|
(7.99
|
)%
|
||||||
Other commodity
|
(1,630,362
|
)
|
(2.35
|
)%
|
||||||||
Currency
|
||||||||||||
Japanese yen March 2019
|
4
|
11,862
|
0.02
|
%
|
||||||||
Other currency
|
(291,631
|
)
|
(0.42
|
)%
|
||||||||
Foreign bond
|
4,250,332
|
6.11
|
%
|
|||||||||
Foreign index
|
(1,951,495
|
)
|
(2.80
|
)%
|
||||||||
Interest rate
|
480,650
|
0.69
|
%
|
|||||||||
U.S. bond
|
||||||||||||
U.S. 10yr note March 2019
|
679
|
340,805
|
0.49
|
%
|
||||||||
U.S. long bond March 2019
|
886
|
1,496,445
|
2.15
|
%
|
||||||||
U.S. index
|
(3,303,916
|
)
|
(4.75
|
)%
|
||||||||
Total futures
|
(6,155,897
|
)
|
(8.85
|
)%
|
||||||||
Forwards
|
||||||||||||
Japanese yen / U.S. dollar 01/04/2019 – 03/20/2019
|
JPY |
7,409,817,000 |
518,746
|
0.75
|
%
|
|||||||
Other foreign currency
|
876,576
|
1.26
|
%
|
|||||||||
Total forwards
|
1,395,322
|
2.01
|
%
|
Description
|
Number of
Contracts / Notional
Amounts
|
Fair Value
|
Percentage of
Net Assets of
Master Fund
|
|||||||||
Graham K4D Trading Ltd. (continued)
|
||||||||||||
Derivative financial instruments (continued)
|
||||||||||||
Short contracts
|
||||||||||||
Futures
|
||||||||||||
Commodity
|
$
|
8,406,227
|
12.08
|
%
|
||||||||
Currency
|
27,885
|
0.04
|
%
|
|||||||||
Foreign index
|
2,446,585
|
3.52
|
%
|
|||||||||
Interest rate
|
||||||||||||
90 day Eurodollar June 2020
|
(3,081
|
)
|
(4,086,692
|
)
|
(5.87
|
)%
|
||||||
Other interest rate
|
(98,172
|
)
|
(0.14
|
)%
|
||||||||
U.S. bond
|
||||||||||||
U.S. 2 yr – 5 yr note March 2019
|
(2,956
|
)
|
(4,784,097
|
)
|
(6.88
|
)%
|
||||||
U.S. index
|
326,957
|
0.47
|
%
|
|||||||||
Total futures
|
2,238,693
|
3.22
|
%
|
|||||||||
Forwards
|
||||||||||||
U.S. dollar / Japanese yen 01/04/2019 – 01/07/2019
|
JPY
|
(2,633,486,422) |
(143,282
|
)
|
(0.21
|
)%
|
||||||
U.S. dollar / Japanese yen 03/20/2019
|
JPY
|
(22,697,264,000) |
(6,247,196
|
)
|
(8.98
|
)%
|
||||||
Other foreign currency
|
1,280,574
|
1.84
|
%
|
|||||||||
Total forwards
|
(5,109,904
|
)
|
(7.35
|
)%
|
||||||||
Total derivative financial instruments
|
$
|
(7,631,786
|
)
|
(10.97
|
)%
|
Graham
Commodity
Strategies LLC
|
Graham K4D
Trading Ltd.
|
|||||||
Assets
|
||||||||
Level 1:
|
||||||||
Commodity futures
|
$
|
4,486,309
|
$
|
10,924,441
|
||||
Commodity futures options
|
2,337,480
|
-
|
||||||
Currency futures
|
475
|
59,691
|
||||||
Exchange memberships
|
5,863,600
|
756,500
|
||||||
Foreign bond futures
|
138,198
|
4,250,332
|
||||||
Foreign index futures
|
-
|
2,603,289
|
||||||
Interest rate futures
|
20,013,528
|
480,650
|
||||||
Interest rate futures options
|
13,342,488
|
-
|
||||||
U.S. bond futures
|
19,339,805
|
1,837,250
|
||||||
U.S. index futures
|
43,370
|
326,957
|
||||||
U.S. index futures options
|
1,256,250
|
-
|
||||||
Total Level 1
|
66,821,503
|
21,239,110
|
||||||
Level 2:
|
||||||||
Foreign currency forwards
|
27,155,059
|
5,540,490
|
||||||
Foreign currency futures options
|
58,675,515
|
-
|
||||||
Government bonds*
|
-
|
62,592,100
|
||||||
Total Level 2
|
85,830,574
|
68,132,590
|
||||||
Total investment related assets
|
$
|
152,652,077
|
$
|
89,371,700
|
||||
Liabilities
|
||||||||
Level 1:
|
||||||||
Commodity futures
|
$
|
(561,950
|
)
|
$
|
(9,707,163
|
)
|
||
Commodity futures options
|
(1,000,339
|
)
|
-
|
|||||
Currency futures
|
(1,640
|
)
|
(311,575
|
)
|
||||
Foreign bond futures
|
(642,744
|
)
|
-
|
|||||
Foreign index futures
|
(42,275
|
)
|
(2,108,199
|
)
|
||||
Interest rate futures
|
(21,863,938
|
)
|
(4,184,864
|
)
|
||||
Interest rate futures options
|
(16,028,272
|
)
|
-
|
|||||
U.S. bond futures
|
(221,375
|
)
|
(4,784,097
|
)
|
||||
U.S. index futures
|
(242,000
|
)
|
(3,303,916
|
)
|
||||
U.S. index futures options
|
(2,808,500
|
)
|
-
|
|||||
Total Level 1
|
(43,413,033
|
)
|
(24,399,814
|
)
|
||||
Level 2:
|
||||||||
Foreign currency forwards
|
(25,228,254
|
)
|
(9,255,072
|
)
|
||||
Foreign currency futures options
|
(59,626,208
|
)
|
-
|
|||||
Total Level 2
|
(84,854,462
|
)
|
(9,255,072
|
)
|
||||
Total investment related liabilities
|
$
|
(128,267,495
|
)
|
$
|
(33,654,886
|
)
|
Long exposure
|
Short exposure
|
|||||||||||||||||||||||
Notional
amounts
|
Number
of
|
Notional
amounts
|
Number
of
|
Derivative
Assets
|
Derivative
Liabilities
|
|||||||||||||||||||
Commodity price
|
||||||||||||||||||||||||
Futures
|
$
|
272,541,861
|
5,754
|
$
|
(177,709,601
|
)
|
(3,732
|
)
|
$
|
4,486,309
|
$
|
(561,950
|
)
|
|||||||||||
Options (a)
|
1,298,537,787
|
18,027
|
(380,553,060
|
)
|
(19,678
|
)
|
2,337,480
|
(1,000,339
|
)
|
|||||||||||||||
1,571,079,648
|
23,781
|
(558,262,661
|
)
|
(23,410
|
)
|
6,823,789
|
(1,562,289
|
)
|
||||||||||||||||
Equity price
|
||||||||||||||||||||||||
Futures
|
319,487,143
|
5,171
|
(165,950,877
|
)
|
(1,336
|
)
|
43,370
|
(284,275
|
)
|
|||||||||||||||
Options (a)
|
254,692,833
|
16,240
|
(191,820,390
|
)
|
(23,034
|
)
|
1,256,250
|
(2,808,500
|
)
|
|||||||||||||||
574,179,976
|
21,411
|
(357,771,267
|
)
|
(24,370
|
)
|
1,299,620
|
(3,092,775
|
)
|
||||||||||||||||
Foreign currency exchange rate
|
||||||||||||||||||||||||
Forwards
|
16,918,431,703
|
N/A
|
(3,410,910,329
|
)
|
N/A
|
27,155,059
|
(25,228,254
|
)
|
||||||||||||||||
Futures
|
423,939
|
4
|
-
|
-
|
475
|
(1,640
|
)
|
|||||||||||||||||
Options (a)
|
2,197,339,066
|
51
|
(2,396,099,814
|
)
|
(41
|
)
|
58,675,515
|
(59,626,208
|
)
|
|||||||||||||||
19,116,194,708
|
55
|
(5,807,010,143
|
)
|
(41
|
)
|
85,831,049
|
(84,856,102
|
)
|
||||||||||||||||
Interest rate
|
||||||||||||||||||||||||
Futures
|
20,804,178,975
|
62,009
|
(25,465,899,339
|
)
|
(76,933
|
)
|
39,491,531
|
(22,728,057
|
)
|
|||||||||||||||
Options (a)
|
7,298,162,958
|
167,030
|
(8,522,843,364
|
)
|
(123,049
|
)
|
13,342,488
|
(16,028,272
|
)
|
|||||||||||||||
28,102,341,933
|
229,039
|
(33,988,742,703
|
)
|
(199,982
|
)
|
52,834,019
|
(38,756,329
|
)
|
||||||||||||||||
Total
|
$
|
49,363,796,265
|
274,286
|
$
|
(40,711,786,774
|
)
|
(247,803
|
)
|
$
|
146,788,477
|
$
|
(128,267,495
|
)
|
Long exposure
|
Short exposure
|
|||||||||||||||||||||||
Notional
amounts
|
Number
of
|
Notional
amounts
|
Number
of
|
Derivative
Assets
|
Derivative
Liabilities
|
|||||||||||||||||||
Commodity price
|
||||||||||||||||||||||||
Futures
|
$
|
352,534,389
|
4,767
|
$
|
(315,959,595
|
)
|
(5,520
|
)
|
$
|
10,924,441
|
$
|
(9,707,163
|
)
|
|||||||||||
352,534,389
|
4,767
|
(315,959,595
|
)
|
(5,520
|
)
|
10,924,441
|
(9,707,163
|
)
|
||||||||||||||||
Equity price
|
||||||||||||||||||||||||
Futures
|
417,348,057
|
3,525
|
(137,133,948
|
)
|
(1,719
|
)
|
2,930,246
|
(5,412,115
|
)
|
|||||||||||||||
417,348,057
|
3,525
|
(137,133,948
|
)
|
(1,719
|
)
|
2,930,246
|
(5,412,115
|
)
|
||||||||||||||||
Foreign currency exchange rate
|
||||||||||||||||||||||||
Forwards
|
309,204,100
|
N/A
|
(781,505,253
|
)
|
N/A
|
5,540,490
|
(9,255,072
|
)
|
||||||||||||||||
Futures
|
24,478,900
|
261
|
(16,744,023
|
)
|
(166
|
)
|
59,691
|
(311,575
|
)
|
|||||||||||||||
333,683,000
|
261
|
(798,249,276
|
)
|
(166
|
)
|
5,600,181
|
(9,566,647
|
)
|
||||||||||||||||
Interest rate
|
||||||||||||||||||||||||
Futures
|
1,794,077,328
|
9,368
|
(2,321,524,647
|
)
|
(13,412
|
)
|
6,568,232
|
(8,968,961
|
)
|
|||||||||||||||
1,794,077,328
|
9,368
|
(2,321,524,647
|
)
|
(13,412
|
)
|
6,568,232
|
(8,968,961
|
)
|
||||||||||||||||
Total
|
$
|
2,897,642,774
|
17,921
|
$
|
(3,572,867,466
|
)
|
(20,817
|
)
|
$
|
26,023,100
|
$
|
(33,654,886
|
)
|
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
|
$
|
146,788,477
|
$
|
(126,388,822
|
)
|
$
|
20,399,655
|
$
|
-
|
$
|
20,399,655
|
|||||||||
Derivative liabilities
|
(128,267,495
|
)
|
126,388,822
|
(1,878,673
|
)
|
1,878,673
|
-
|
|||||||||||||
Graham K4D Trading Ltd.2
|
||||||||||||||||||||
Derivative assets
|
$
|
26,023,100
|
$
|
(26,023,100
|
)
|
$
|
-
|
$
|
-
|
$
|
-
|
|||||||||
Derivative liabilities
|
(33,654,886
|
)
|
26,023,100
|
(7,631,786
|
)
|
5,875,703
|
(1,756,083
|
)
|
Graham
Commodity
Strategies LLC
|
Graham K4D
Trading Ltd.
|
|||||||
Net investment income
|
$
|
468,924
|
$
|
328,938
|
||||
Net realized (loss) gain on investments
|
(89,718,593
|
)
|
1,483,690
|
|||||
Net increase in unrealized appreciation on investments
|
48,923,860
|
32,187,872
|
||||||
Brokerage commissions and fees
|
(3,069,011
|
)
|
(159,451
|
)
|
||||
Net (loss) gain on investments
|
(43,863,744
|
)
|
33,512,111
|
|||||
Net (loss) income
|
$
|
(43,394,820
|
)
|
$
|
33,841,049
|
Graham
Commodity
Strategies LLC
|
Graham K4D
Trading Ltd.
|
|||||||
Net investment income
|
$
|
1,131,699
|
$
|
926,064
|
||||
Net realized gain (loss) on investments
|
83,978,196
|
(20,137,034
|
)
|
|||||
Net increase in unrealized appreciation on investments
|
9,136,728
|
1,746,179
|
||||||
Brokerage commissions and fees
|
(13,443,886
|
)
|
(580,001
|
)
|
||||
Net gain (loss) on investments
|
79,671,038
|
(18,970,856
|
)
|
|||||
Net income (loss)
|
$
|
80,802,737
|
$
|
(18,044,792
|
)
|
Graham
Commodity
Strategies LLC
|
Graham
K4D Trading
Ltd.
|
|||||||
Commodity price
|
||||||||
Futures
|
$
|
(3,582,536
|
)
|
$
|
11,252,154
|
|||
Options
|
1,315,280
|
-
|
||||||
(2,267,256
|
)
|
11,252,154
|
||||||
Equity price
|
||||||||
Equities
|
158,200
|
(125,750
|
)
|
|||||
Futures
|
(9,568,285
|
)
|
24,474,058
|
|||||
Options
|
(2,670,195
|
)
|
-
|
|||||
(12,080,280
|
)
|
24,348,308
|
||||||
Foreign currency exchange rate
|
||||||||
Forwards
|
9,456,422
|
191,409
|
||||||
Futures
|
291,130
|
564,103
|
||||||
Options
|
(35,758,784
|
)
|
-
|
|||||
(26,011,232
|
)
|
755,512
|
||||||
Interest rate
|
||||||||
Fixed income securities
|
-
|
67,676
|
||||||
Futures
|
3,023,255
|
(2,752,088
|
)
|
|||||
Options
|
(3,459,220
|
)
|
-
|
|||||
|
(435,965
|
)
|
(2,684,412
|
)
|
||||
Total
|
$
|
(40,794,733
|
)
|
$
|
33,671,562
|
Graham
Commodity
Strategies LLC
|
Graham
K4D Trading
Ltd.
|
|||||||
Commodity price
|
||||||||
Futures
|
$
|
(21,406,702
|
)
|
$
|
(6,303,208
|
)
|
||
Options
|
1,361,099
|
-
|
||||||
(20,045,603
|
)
|
(6,303,208
|
)
|
|||||
Equity price
|
||||||||
Equities
|
694,800
|
(212,750
|
)
|
|||||
Futures
|
14,320,509
|
11,360,616
|
||||||
Options
|
(6,200,320
|
)
|
-
|
|||||
8,814,989
|
11,147,866
|
|||||||
Foreign currency exchange rate
|
||||||||
Forwards
|
61,046,760
|
(26,279,314
|
)
|
|||||
Futures
|
228,205
|
(36,112
|
)
|
|||||
Options
|
(51,384,027
|
)
|
-
|
|||||
9,890,938
|
(26,315,426
|
)
|
||||||
Interest rate
|
||||||||
Fixed income securities
|
-
|
5,538
|
||||||
Futures
|
92,001,952
|
3,074,375
|
||||||
Options
|
2,452,648
|
-
|
||||||
94,454,600
|
3,079,913
|
|||||||
Total
|
$
|
93,114,924
|
$
|
(18,390,855
|
)
|
Assets:
|
||||||||
Cash and cash equivalents
|
$
|
507,255,033
|
$
|
727,311,005
|
||||
Investments in fixed income securities (amortized cost $4,912,180,627 and $3,678,136,029, respectively)
|
4,912,180,627
|
3,678,136,029
|
||||||
Interest receivable
|
16,456,548
|
12,116,133
|
||||||
Total assets
|
5,435,892,208
|
4,417,563,167
|
||||||
Liabilities:
|
||||||||
Accrued bank fee expense
|
17,000
|
-
|
||||||
Total liabilities
|
17,000
|
-
|
||||||
Members’ capital
|
$
|
5,435,875,208
|
$
|
4,417,563,167
|
Three Months Ended
September 30,
|
Nine Months Ended
|
|||||||||||||||
2018
|
2019
|
2018
|
||||||||||||||
Investment income
|
||||||||||||||||
Interest income
|
$
|
27,890,220
|
$
|
20,627,056
|
$
|
74,162,722
|
$
|
59,861,550
|
||||||||
Total investment income
|
27,890,220
|
20,627,056
|
74,162,722
|
59,861,550
|
||||||||||||
Expenses:
|
||||||||||||||||
Bank fee expense
|
11,503
|
40,668
|
57,410
|
85,829
|
||||||||||||
Total expenses
|
11,503
|
40,668
|
57,410
|
85,829
|
||||||||||||
Net investment income
|
27,878,717
|
20,586,388
|
74,105,312
|
59,775,721
|
||||||||||||
Net income
|
$
|
27,878,717
|
$
|
20,586,388
|
$
|
74,105,312
|
$
|
59,775,721
|
Description
|
Principal
Amount
|
Fair Value
|
Percentage of
Members’
Capital
|
|||||||||
Investments in Fixed Income Securities (amortized cost $4,912,180,627)
|
||||||||||||
United States
|
||||||||||||
Government Bonds (amortized cost $4,537,617,435)
|
||||||||||||
U.S. Treasury bonds 1.00% – 2.75% due 10/15/2019 – 2/28/2021
|
$
|
4,550,000,000
|
$
|
4,537,617,435
|
83.48
|
%
|
||||||
Total Government Bonds
|
4,537,617,435
|
83.48
|
%
|
|||||||||
Treasury Bills (amortized cost $374,563,192)
|
||||||||||||
U.S. Treasury bills 0.00% due 10/08/2019 – 11/21/2019
|
$
|
375,000,000
|
374,563,192
|
6.89
|
%
|
|||||||
Total Treasury Bills
|
374,563,192
|
6.89
|
%
|
|||||||||
Total United States
|
4,912,180,627
|
90.37
|
%
|
|||||||||
Total Investments in Fixed Income Securities
|
$
|
4,912,180,627
|
90.37
|
%
|
Description
|
Principal
Amount
|
Fair Value
|
Percentage of
Members’
Capital
|
|||||||||
Investments in Fixed Income Securities (amortized cost $3,678,136,029)
|
||||||||||||
United States
|
||||||||||||
Government Bonds (amortized cost $3,678,136,029)
|
||||||||||||
U.S. Treasury bonds 0.75% – 3.13% due 01/15/2019 – 10/31/2020
|
$
|
3,700,000,000
|
$
|
3,678,136,029
|
83.26
|
%
|
||||||
Total Government Bonds
|
3,678,136,029
|
83.26
|
%
|
|||||||||
Total United States
|
3,678,136,029
|
83.26
|
%
|
|||||||||
Total Investments in Fixed Income Securities
|
$
|
3,678,136,029
|
83.26
|
%
|
Assets
|
||||||||
Level 2:
|
||||||||
Fixed income securities
|
||||||||
Government bonds
|
$
|
4,537,617,435
|
$
|
3,678,136,029
|
||||
Treasury bills
|
374,563,192
|
-
|
||||||
Total fixed income securities
|
4,912,180,627
|
3,678,136,029
|
||||||
Total Level 2
|
4,912,180,627
|
3,678,136,029
|
||||||
Total assets
|
$
|
4,912,180,627
|
$
|
3,678,136,029
|
Class 0
|
Class 2
|
0.50%
|
1.25%
|
Class 0
|
Class 2
|
|||||||
Per unit operating performance
|
||||||||
Net asset value per unit, June 30, 2018
|
$
|
141.08
|
$
|
101.69
|
||||
Net income:
|
||||||||
Net investment loss
|
(0.40
|
)
|
(0.48
|
)
|
||||
Net gain on investments
|
1.45
|
1.04
|
||||||
Net income
|
1.05
|
0.56
|
||||||
Net asset value per unit, September 30, 2018
|
$
|
142.13
|
$
|
102.25
|
||||
Net asset value per unit, June 30, 2019
|
$
|
142.21
|
$
|
101.74
|
||||
Net income:
|
||||||||
Net investment loss
|
(0.45
|
)
|
(0.53
|
)
|
||||
Net gain on investments
|
10.04
|
7.17
|
||||||
Net income
|
9.59
|
6.64
|
||||||
Net asset value per unit, September 30, 2019
|
$
|
151.80
|
$
|
108.38
|
Class 0
|
Class 2
|
|||||||||||||||
2019
|
2018
|
2019
|
2018
|
|||||||||||||
Total return before Incentive Allocation
|
6.74
|
%
|
0.74
|
%
|
6.53
|
%
|
0.55
|
%
|
||||||||
Incentive Allocation
|
(0.00
|
)
|
0.00
|
0.00
|
0.00
|
|||||||||||
Total return after Incentive Allocation
|
6.74
|
%
|
0.74
|
%
|
6.53
|
%
|
0.55
|
%
|
||||||||
Net investment loss before Incentive Allocation
|
(0.30
|
)%
|
(0.28
|
)%
|
(0.49
|
)%
|
(0.47
|
)%
|
||||||||
Incentive Allocation
|
(0.00
|
)
|
0.00
|
0.00
|
0.00
|
|||||||||||
Net investment loss after Incentive Allocation
|
(0.30
|
)%
|
(0.28
|
)%
|
(0.49
|
)%
|
(0.47
|
)%
|
||||||||
Total expenses before Incentive Allocation
|
0.81
|
%
|
0.70
|
%
|
1.01
|
%
|
0.89
|
%
|
||||||||
Incentive Allocation
|
0.00
|
0.00
|
0.00
|
0.00
|
||||||||||||
Total expenses after Incentive Allocation
|
0.81
|
%
|
0.70
|
%
|
1.01
|
%
|
0.89
|
%
|
Class 0
|
Class 2
|
|||||||
Per unit operating performance
|
||||||||
Net asset value per unit, December 31, 2017
|
$
|
140.90
|
$
|
101.94
|
||||
Net income:
|
||||||||
Net investment loss
|
(1.11
|
)
|
(1.39
|
)
|
||||
Net gain on investments
|
2.34
|
1.70
|
||||||
Net income
|
1.23
|
0.31
|
||||||
Net asset value per unit, September 30, 2018
|
$
|
142.13
|
$
|
102.25
|
||||
Net asset value per unit, December 31, 2018
|
$
|
133.70
|
$
|
96.01
|
||||
Net income:
|
||||||||
Net investment loss
|
(0.86
|
)
|
(1.19
|
)
|
||||
Net gain on investments
|
18.96
|
13.56
|
||||||
Net income
|
18.10
|
12.37
|
||||||
Net asset value per unit, September 30, 2019
|
$
|
151.80
|
$
|
108.38
|
Class 0
|
Class 2
|
|||||||||||||||
2019
|
2018
|
2019
|
2018
|
|||||||||||||
Total return before Incentive Allocation
|
13.54
|
%
|
0.87
|
%
|
12.88
|
%
|
0.30
|
%
|
||||||||
Incentive Allocation
|
(0.00
|
)
|
0.00
|
0.00
|
0.00
|
|||||||||||
Total return after Incentive Allocation
|
13.54
|
%
|
0.87
|
%
|
12.88
|
%
|
0.30
|
%
|
||||||||
Net investment loss before Incentive Allocation
|
(0.61
|
)%
|
(0.78
|
)%
|
(1.18
|
)%
|
(1.34
|
)%
|
||||||||
Incentive Allocation
|
(0.00
|
)
|
0.00
|
0.00
|
0.00
|
|||||||||||
Net investment loss after Incentive Allocation
|
(0.61
|
)%
|
(0.78
|
)%
|
(1.18
|
)%
|
(1.34
|
)%
|
||||||||
Total expenses before Incentive Allocation
|
2.14
|
%
|
1.90
|
%
|
2.71
|
%
|
2.47
|
%
|
||||||||
Incentive Allocation
|
0.00
|
0.00
|
0.00
|
0.00
|
||||||||||||
Total expenses after Incentive Allocation
|
2.14
|
%
|
1.90
|
%
|
2.71
|
%
|
2.47
|
%
|
Agriculture / Softs
|
$
|
(14,777
|
)
|
|
Base Metals
|
38,697
|
|||
Energy
|
(234,772
|
)
|
||
Equities
|
672,551
|
|||
Foreign Exchange
|
702,963
|
|||
Long Term / Intermediate Rates
|
785,375
|
|||
Precious Metals
|
294,428
|
|||
Short Term Rates
|
(245,253
|
)
|
||
$
|
1,999,212
|
Agriculture / Softs
|
$
|
(101,718
|
)
|
|
Base Metals
|
(102,011
|
)
|
||
Energy
|
(823,022
|
)
|
||
Equities
|
1,531,260
|
|||
Foreign Exchange
|
486,469
|
|||
Long term / Intermediate Rates
|
1,964,386
|
|||
Precious Metals
|
450,819
|
|||
Short Term Rates
|
484,976
|
|||
$
|
3,891,159
|
Agriculture / Softs
|
(2.4
|
)%
|
||
Base Metals
|
3.4
|
%
|
||
Energy
|
2.3
|
%
|
||
Equities
|
(1.1
|
)%
|
||
Foreign Exchange
|
45.4
|
%
|
||
Long Term / Intermediate Rates
|
(7.2
|
)%
|
||
Precious Metals
|
(9.4
|
)%
|
||
Short Term Rates
|
69.0
|
%
|
||
100.0
|
%
|
Agriculture / Softs
|
$
|
(42,192
|
)
|
|
Base Metals
|
(86,104
|
)
|
||
Energy
|
194,399
|
|||
Equities
|
501,839
|
|||
Foreign Exchange
|
(348,692
|
)
|
||
Long Term / Intermediate Rates
|
(337,623
|
)
|
||
Precious Metals
|
273,989
|
|||
Short Term Rates
|
238,693
|
|||
$
|
394,309
|
Agriculture / Softs
|
$
|
(600,720
|
)
|
|
Base Metals
|
(793,552
|
)
|
||
Energy
|
1,048,432
|
|||
Equities
|
426,864
|
|||
Foreign Exchange
|
(580,038
|
)
|
||
Long Term / Intermediate Rates
|
(617,553
|
)
|
||
Precious Metals
|
(40,385
|
)
|
||
Short Term Rates
|
1,968,695
|
|||
$
|
811,743
|
Agriculture / Softs
|
2.2
|
%
|
||
Base Metals
|
(0.1
|
)%
|
||
Energy
|
9.6
|
%
|
||
Equities
|
14.8
|
%
|
||
Foreign Exchange
|
14.6
|
%
|
||
Long Term / Intermediate Rates
|
26.8
|
%
|
||
Precious Metals
|
2.0
|
%
|
||
Short Term Rates
|
30.1
|
%
|
||
100.0
|
%
|
Blended Strategies
Portfolio
|
||||
14.09%
|
||||
9.46%
|
||||
14.52%
|
Date
|
(a) Total
Number of
Units
Purchased1
|
(b) Average
Price Paid
per Unit
|
(c) Total Number of
Units Purchased
as Part of Publicly
Announced Plans
or Programs
|
(d) Maximum Number
of Approximate
Dollar Value of
Units that May Yet
Be Purchased
Under the Plans or
Programs
|
|||||||||||||
July 1 – July 31, 2019
|
1,956.383
|
$
|
129.93
|
N/A
|
N/A
|
||||||||||||
August 1 – August 31, 2019
|
496.761
|
$
|
112.85
|
N/A
|
N/A
|
||||||||||||
September 1 – September 30, 2019
|
7,698.099
|
$
|
148.55
|
N/A
|
N/A
|
||||||||||||
TOTAL
|
10,151.243
|
$
|
143.21
|
N/A
|
N/A
|
Certificate of Formation of Graham Alternative Investment Fund II LLC
|
|
Amendment to Certificate of Formation of Graham Alternative Investment Fund II LLC
|
|
Amended and Restated Limited Liability Company Agreement of Graham Alternative Investment Fund II LLC
|
|
Rule 13a-14(a)/15d-14(a) Certification (Certification of Principal Executive Officer)
|
|
Rule 13a-14(a)/15d-14(a) Certification (Certification of Principal Financial Officer)
|
|
Section 1350 Certification (Certification of Principal Executive Officer and Principal 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
|
Dated: November 14, 2019
|
GRAHAM ALTERNATIVE INVESTMENT FUND II LLC
|
|||
BLENDED STRATEGIES PORTFOLIO
|
||||
By:
|
GRAHAM CAPITAL MANAGEMENT, L.P.
|
|||
its Manager
|
||||
By:
|
/s/ Brian Douglas
|
|||
Brian Douglas, Principal Executive Officer
|
||||
By:
|
/s/ George Schrade
|
|||
George Schrade, Principal Financial Officer
|
This ‘10-Q’ Filing | Date | Other Filings | ||
---|---|---|---|---|
Filed on: | 11/14/19 | |||
11/1/19 | ||||
10/31/19 | ||||
10/1/19 | ||||
For Period end: | 9/30/19 | |||
8/31/19 | ||||
7/31/19 | ||||
6/30/19 | 10-Q | |||
3/31/19 | 10-Q | |||
3/29/19 | 10-K, D/A | |||
12/31/18 | 10-K | |||
9/30/18 | 10-Q | |||
6/30/18 | 10-Q | |||
3/31/18 | 10-Q | |||
12/31/17 | 10-K | |||
9/30/17 | 10-Q | |||
4/11/13 | 8-K | |||
3/28/13 | 10-K, 8-K | |||
4/30/10 | 10-12G | |||
8/1/06 | ||||
6/1/06 | ||||
5/18/06 | ||||
5/16/06 | ||||
6/22/05 | ||||
List all Filings |