SEC Info℠ | Home | Search | My Interests | Help | Sign In | Please Sign In | ||||||||||||||||||||
As Of Filer Filing For·On·As Docs:Size Issuer Filing Agent 11/14/19 Graham Alternative Inv Fund I LLC 10-Q 9/30/19 35:3.8M Broadridge Fin’l So… Inc |
Document/Exhibit Description Pages Size 1: 10-Q Quarterly Report HTML 996K 2: EX-31.1 Certification -- §302 - SOA'02 HTML 18K 3: EX-31.2 Certification -- §302 - SOA'02 HTML 18K 4: EX-32.1 Certification -- §906 - SOA'02 HTML 14K 17: R1 Document and Entity Information HTML 43K 34: R2 Statements of Financial Condition (Unaudited) HTML 40K 25: R3 Statements of Financial Condition (Unaudited) HTML 22K (Parenthetical) 14: R4 Statements of Operations (Unaudited) HTML 48K 18: R5 Statements of Changes in Members' Capital HTML 48K (Unaudited) 35: R6 Statements of Cash Flows (Unaudited) HTML 45K 26: R7 Organization and Business HTML 20K 13: R8 Summary of Significant Accounting Policies HTML 22K 20: R9 Capital Accounts HTML 17K 31: R10 Fees and Related Party Transactions HTML 19K 29: R11 Income Taxes HTML 16K 12: R12 Financial Highlights HTML 110K 23: R13 Subsequent Events HTML 15K 30: R14 Summary of Significant Accounting Policies HTML 34K (Policies) 28: R15 Fees and Related Party Transactions (Tables) HTML 15K 11: R16 Financial Highlights (Tables) HTML 110K 22: R17 Organization and Business (Details) HTML 14K 32: R18 Summary of Significant Accounting Policies HTML 16K (Details) 27: R19 Capital Accounts (Details) HTML 29K 15: R20 Fees and Related Party Transactions (Details) HTML 37K 21: R21 Financial Highlights (Details) HTML 58K 33: R22 Subsequent Events (Details) HTML 15K 16: XML IDEA XML File -- Filing Summary XML 54K 19: EXCEL IDEA Workbook of Financial Reports XLSX 30K 5: EX-101.INS XBRL Instance -- gaif-20190930 XML 611K 7: EX-101.CAL XBRL Calculations -- gaif-20190930_cal XML 62K 8: EX-101.DEF XBRL Definitions -- gaif-20190930_def XML 182K 9: EX-101.LAB XBRL Labels -- gaif-20190930_lab XML 497K 10: EX-101.PRE XBRL Presentations -- gaif-20190930_pre XML 282K 6: EX-101.SCH XBRL Schema -- gaif-20190930 XSD 73K 24: ZIP XBRL Zipped Folder -- 0001140361-19-020537-xbrl Zip 62K
Delaware
|
20-4897069
|
|
(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 I 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
|
|
71
|
Certification
|
||
Certification
|
||
Certification
|
(Unaudited)
|
(Audited)
|
|||||||
Assets
|
||||||||
Investment in Graham Alternative Investment Trading LLC, at fair value
|
$
|
27,949,561
|
$
|
31,314,964
|
||||
Redemptions receivable from Graham Alternative Investment Trading LLC
|
1,126,459
|
337,111
|
||||||
Total assets
|
$
|
29,076,020
|
$
|
31,652,075
|
||||
Liabilities and members’ capital
|
||||||||
Liabilities:
|
||||||||
Redemptions payable
|
$
|
1,126,459
|
$
|
337,111
|
||||
Total liabilities
|
1,126,459
|
337,111
|
||||||
Members’ capital:
|
||||||||
Class 0 Units (110,183.381 and 137,453.802 units issued and outstanding at $151.80 and $133.70, respectively)
|
16,726,016
|
18,378,136
|
||||||
Class 2 Units (103,554.824 and 134,750.838 units issued and outstanding at $108.38 and $96.01, respectively)
|
11,223,545
|
12,936,828
|
||||||
Total members’ capital
|
27,949,561
|
31,314,964
|
||||||
Total liabilities and members’ capital
|
$
|
29,076,020
|
$
|
31,652,075
|
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
|
$
|
3,185,384
|
$
|
(1,313,109
|
)
|
$
|
4,384,425
|
$
|
474,644
|
|||||||
Net (decrease) increase in unrealized appreciation on investments
|
(1,185,505
|
)
|
1,737,308
|
(452,067
|
)
|
528,124
|
||||||||||
Brokerage commissions and fees
|
(55,426
|
)
|
(50,622
|
)
|
(172,712
|
)
|
(204,103
|
)
|
||||||||
Net gain allocated from investment in Graham Alternative Investment Trading LLC
|
1,944,453
|
373,577
|
3,759,646
|
798,665
|
||||||||||||
Net investment loss allocated from investment in Graham Alternative Investment Trading LLC
|
||||||||||||||||
Investment income
|
||||||||||||||||
Interest income
|
145,770
|
154,012
|
440,380
|
442,762
|
||||||||||||
Expenses
|
||||||||||||||||
Advisory fees
|
111,212
|
141,173
|
330,544
|
447,276
|
||||||||||||
Sponsor fees
|
60,581
|
78,972
|
178,169
|
251,548
|
||||||||||||
Professional fees and other
|
71,747
|
58,885
|
142,585
|
114,311
|
||||||||||||
Administrator’s fees
|
9,482
|
12,300
|
29,021
|
38,667
|
||||||||||||
Interest expense
|
1,528
|
-
|
4,713
|
-
|
||||||||||||
Incentive allocation
|
187
|
-
|
187
|
-
|
||||||||||||
Total expenses
|
254,737
|
291,330
|
685,219
|
851,802
|
||||||||||||
Net investment loss allocated from investment in Graham Alternative Investment Trading LLC
|
(108,967
|
)
|
(137,318
|
)
|
(244,839
|
)
|
(409,040
|
)
|
||||||||
Net income
|
$
|
1,835,486
|
$
|
236,259
|
$
|
3,514,807
|
$
|
389,625
|
Class 0 Units
|
Class 2 Units
|
|||||||||||||||||||
Units
|
Capital
|
Units
|
Capital
|
Total Members’
Capital
|
||||||||||||||||
Members’ capital, December 31, 2018
|
137,453.802
|
$
|
18,378,136
|
134,750.838
|
$
|
12,936,828
|
$
|
31,314,964
|
||||||||||||
Subscriptions
|
564.711
|
75,000
|
–
|
–
|
75,000
|
|||||||||||||||
Redemptions
|
(11,007.395
|
)
|
(1,465,554
|
)
|
(15,884.948
|
)
|
(1,509,226
|
)
|
(2,974,780
|
)
|
||||||||||
Net loss
|
–
|
(6,281
|
)
|
–
|
(37,350
|
)
|
(43,631
|
)
|
||||||||||||
Members’ capital, March 31, 2019
|
127,011.118
|
16,981,301
|
118,865.890
|
11,390,252
|
28,371,553
|
|||||||||||||||
Subscriptions
|
934.934
|
125,000
|
–
|
–
|
125,000
|
|||||||||||||||
Redemptions
|
(16,044.659
|
)
|
(2,218,094
|
)
|
(4,461.913
|
)
|
(448,288
|
)
|
(2,666,382
|
)
|
||||||||||
Net income
|
–
|
1,025,823
|
–
|
697,129
|
1,722,952
|
|||||||||||||||
Members’ capital, June 30, 2019
|
111,901.393
|
|
15,914,030
|
114,403.977
|
|
11,639,093
|
|
27,553,123
|
||||||||||||
Subscriptions
|
–
|
–
|
–
|
–
|
–
|
|||||||||||||||
Redemptions
|
(1,718.012
|
)
|
(262,230
|
)
|
(10,849.153
|
)
|
(1,176,818
|
)
|
(1,439,048
|
)
|
||||||||||
Net income
|
–
|
1,074,216
|
–
|
761,270
|
1,835,486
|
|||||||||||||||
Members’ capital, September 30, 2019
|
110,183.381
|
$
|
16,726,016
|
103,554.824
|
$
|
11,223,545
|
$
|
27,949,561
|
Class 0 Units
|
Class 2 Units
|
|||||||||||||||||||
Units
|
Capital
|
Units
|
Capital
|
Total Members’
Capital
|
||||||||||||||||
Members’ capital, December 31, 2017
|
167,183.591
|
$
|
23,556,805
|
183,209.822
|
$
|
18,676,134
|
$
|
42,232,939
|
||||||||||||
Subscriptions
|
–
|
–
|
–
|
–
|
–
|
|||||||||||||||
Redemptions
|
(17,437.576
|
)
|
(2,601,690
|
)
|
(2,480.174
|
)
|
(264,470
|
)
|
(2,866,160
|
)
|
||||||||||
Net income
|
–
|
494,527
|
–
|
282,451
|
776,978
|
|||||||||||||||
Members’ capital, March 31, 2018
|
149,746.015
|
21,449,642
|
180,729.648
|
18,694,115
|
40,143,757
|
|||||||||||||||
Subscriptions
|
527.126
|
75,000
|
974.513
|
100,000
|
175,000
|
|||||||||||||||
Redemptions
|
(3,772.321
|
)
|
(544,648
|
)
|
(13,063.559
|
)
|
(1,332,691
|
)
|
(1,877,339
|
)
|
||||||||||
Net loss
|
–
|
(311,096
|
)
|
–
|
(312,516
|
)
|
(623,612
|
)
|
||||||||||||
Members’ capital, June 30, 2018
|
146,500.820
|
|
20,668,898
|
168,640.602
|
|
17,148,908
|
|
37,817,806
|
||||||||||||
Subscriptions
|
–
|
–
|
–
|
–
|
–
|
|||||||||||||||
Redemptions
|
(3,276.244
|
)
|
(461,050
|
)
|
(7,372.422
|
)
|
(747,799
|
)
|
(1,208,849
|
)
|
||||||||||
Net income
|
–
|
148,195
|
–
|
88,064
|
236,259
|
|||||||||||||||
Members’ capital, September 30, 2018
|
143,224.576
|
$
|
20,356,043
|
161,268.180
|
$
|
16,489,173
|
$
|
36,845,216
|
Nine Months Ended
|
||||||||
2018
|
||||||||
Cash flows provided by operating activities
|
||||||||
Net income
|
$
|
3,514,807
|
$
|
389,625
|
||||
Adjustments to reconcile net income to net cash provided by operating activities:
|
||||||||
Net (income) allocated from investment in Graham Alternative Investment Trading LLC
|
(3,514,807
|
)
|
(389,625
|
)
|
||||
Proceeds from sale of investment in Graham Alternative Investment Trading LLC
|
6,290,862
|
5,883,084
|
||||||
Investment in Graham Alternative Investment Trading LLC
|
(200,000
|
)
|
(175,000
|
)
|
||||
Net cash provided by operating activities
|
6,090,862
|
5,708,084
|
||||||
Cash flows used in financing activities
|
||||||||
Subscriptions
|
200,000
|
175,000
|
||||||
Redemptions
|
(6,290,862
|
)
|
(5,883,084
|
)
|
||||
Net cash used in financing activities
|
(6,090,862
|
)
|
(5,708,084
|
)
|
||||
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
|
(0.44
|
)
|
(0.53
|
)
|
||||
Net gain on investments
|
10.03
|
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
|
%
|
0.56
|
%
|
||||||||
Incentive Allocation
|
(0.00
|
)
|
0.00
|
0.00
|
0.00
|
|||||||||||
Total return after Incentive Allocation
|
6.74
|
%
|
0.74
|
%
|
6.53
|
%
|
0.56
|
%
|
||||||||
Net investment loss before Incentive Allocation
|
(0.30
|
)%
|
(0.28
|
)%
|
(0.50
|
)%
|
(0.48
|
)%
|
||||||||
Incentive Allocation
|
(0.00
|
)
|
0.00
|
0.00
|
0.00
|
|||||||||||
Net investment loss after Incentive Allocation
|
(0.30
|
)%
|
(0.28
|
)%
|
(0.50
|
)%
|
(0.48
|
)%
|
||||||||
Total expenses before Incentive Allocation
|
0.80
|
%
|
0.70
|
%
|
1.02
|
%
|
0.89
|
%
|
||||||||
Incentive Allocation
|
0.00
|
0.00
|
0.00
|
0.00
|
||||||||||||
Total expenses after Incentive Allocation
|
0.80
|
%
|
0.70
|
%
|
1.02
|
%
|
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
|
(0.85
|
)
|
(1.20
|
)
|
||||
Net gain on investments
|
18.95
|
13.57
|
||||||
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
|
)%
|
(1.19
|
)%
|
(1.35
|
)%
|
||||||||
Incentive Allocation
|
(0.00
|
)
|
0.00
|
0.00
|
0.00
|
|||||||||||
Net investment loss after Incentive Allocation
|
(0.61
|
)%
|
(0.78
|
)%
|
(1.19
|
)%
|
(1.35
|
)%
|
||||||||
Total expenses before Incentive Allocation
|
2.13
|
%
|
1.90
|
%
|
2.72
|
%
|
2.47
|
%
|
||||||||
Incentive Allocation
|
0.00
|
0.00
|
0.00
|
0.00
|
||||||||||||
Total expenses after Incentive Allocation
|
2.13
|
%
|
1.90
|
%
|
2.72
|
%
|
2.47
|
%
|
(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
|
|||||||||||||||||||||||||
Units
|
Capital
|
Units
|
Capital
|
Units
|
Capital
|
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
|
|||||||||||||||||||||||||
Units
|
Capital
|
Units
|
Capital
|
Units
|
Capital
|
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
|
$
|
–
|
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
|
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
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 (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 contracts
|
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
|
$
|
(14,782
|
)
|
|
Base Metals
|
38,710
|
|||
Energy
|
(234,850
|
)
|
||
Equities
|
672,775
|
|||
Foreign Exchange
|
703,198
|
|||
Long Term / Intermediate Rates
|
785,637
|
|||
Precious Metals
|
294,526
|
|||
Short Term Rates
|
(245,335
|
)
|
||
$
|
1,999,879
|
Agriculture / Softs
|
$
|
(102,795
|
)
|
|
Base Metals
|
(103,091
|
)
|
||
Energy
|
(831,736
|
)
|
||
Equities
|
1,547,472
|
|||
Foreign Exchange
|
491,620
|
|||
Long term / Intermediate Rates
|
1,985,185
|
|||
Precious Metals
|
455,592
|
|||
Short Term Rates
|
490,111
|
|||
$
|
3,932,358
|
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
|
$
|
(45,391
|
)
|
|
Base Metals
|
(92,631
|
)
|
||
Energy
|
209,135
|
|||
Equities
|
539,880
|
|||
Foreign Exchange
|
(375,123
|
)
|
||
Long Term / Intermediate Rates
|
(363,216
|
)
|
||
Precious Metals
|
294,758
|
|||
Short Term Rates
|
256,787
|
|||
$
|
424,199
|
Agriculture / Softs
|
$
|
(742,086
|
)
|
|
Base Metals
|
(980,296
|
)
|
||
Energy
|
1,295,156
|
|||
Equities
|
527,316
|
|||
Foreign Exchange
|
(716,536
|
)
|
||
Long Term / Intermediate Rates
|
(762,879
|
)
|
||
Precious Metals
|
(49,889
|
)
|
||
Short Term Rates
|
2,431,982
|
|||
$
|
1,002,768
|
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
|
1,079.034
|
$
|
130.85
|
N/A
|
N/A
|
|||||||||
August 1 – August 31, 2019
|
1,228.876
|
$
|
139.47
|
N/A
|
N/A
|
|||||||||
September 1 – September 30, 2019
|
10,259.255
|
$
|
109.80
|
N/A
|
N/A
|
|||||||||
TOTAL
|
12,567.165
|
$
|
114.51
|
N/A
|
N/A
|
Certificate of Formation of Graham Alternative Investment Fund I LLC
|
|
Amendment to Certificate of Formation of Graham Alternative Investment Fund I LLC
|
|
Amended and Restated Limited Liability Company Agreement of Graham Alternative Investment Fund I 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 I LLC
|
|
BLENDED STRATEGIES PORTFOLIO
|
||
By:
|
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, 15-12G, 8-K | |||
4/30/10 | 10-12G | |||
8/1/06 | ||||
5/18/06 | ||||
5/16/06 | ||||
6/22/05 | ||||
List all Filings |