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As Of Filer Filing For·On·As Docs:Size Issuer Filing Agent 8/14/19 Graham Alternative Inv Fund I LLC 10-Q 6/30/19 35:3.7M Broadridge Fin’l So… Inc |
Document/Exhibit Description Pages Size 1: 10-Q Quarterly Report HTML 980K 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 11: R1 Document and Entity Information HTML 43K 12: R2 Statements of Financial Condition (Unaudited) HTML 39K 13: R3 Statements of Financial Condition (Unaudited) HTML 22K (Parenthetical) 14: R4 Statements of Operations (Unaudited) HTML 46K 15: R5 Statements of Changes in Members' Capital HTML 45K (Unaudited) 16: R6 Statements of Cash Flows (Unaudited) HTML 45K 17: R7 Organization and Business HTML 20K 18: R8 Summary of Significant Accounting Policies HTML 22K 19: R9 Capital Accounts HTML 17K 20: R10 Fees and Related Party Transactions HTML 19K 21: R11 Income Taxes HTML 17K 22: R12 Financial Highlights HTML 106K 23: R13 Subsequent Events HTML 15K 24: R14 Summary of Significant Accounting Policies HTML 34K (Policies) 25: R15 Fees and Related Party Transactions (Tables) HTML 15K 26: R16 Financial Highlights (Tables) HTML 106K 27: R17 Organization and Business (Details) HTML 14K 28: R18 Summary of Significant Accounting Policies HTML 16K (Details) 29: R19 Capital Accounts (Details) HTML 29K 30: R20 Fees and Related Party Transactions (Details) HTML 37K 31: R21 Financial Highlights (Details) HTML 58K 32: R22 Subsequent Events (Details) HTML 15K 34: XML IDEA XML File -- Filing Summary XML 54K 33: EXCEL IDEA Workbook of Financial Reports XLSX 29K 5: EX-101.INS XBRL Instance -- gaif-20190630 XML 554K 7: EX-101.CAL XBRL Calculations -- gaif-20190630_cal XML 61K 8: EX-101.DEF XBRL Definitions -- gaif-20190630_def XML 183K 9: EX-101.LAB XBRL Labels -- gaif-20190630_lab XML 528K 10: EX-101.PRE XBRL Presentations -- gaif-20190630_pre XML 302K 6: EX-101.SCH XBRL Schema -- gaif-20190630 XSD 72K 35: ZIP XBRL Zipped Folder -- 0001140361-19-015011-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 | |
72 |
Certification
|
|
||
Certification
|
|
||
Certification |
|
(Unaudited)
|
(Audited)
|
|||||||
Assets
|
||||||||
Investment in Graham Alternative Investment Trading LLC, at fair value
|
$
|
27,553,123
|
$
|
31,314,964
|
||||
Redemptions receivable from Graham Alternative Investment Trading LLC
|
396,934
|
337,111
|
||||||
Total assets
|
$
|
27,950,057
|
$
|
31,652,075
|
||||
Liabilities and members’ capital
|
||||||||
Liabilities:
|
||||||||
Redemptions payable
|
$
|
396,934
|
$
|
337,111
|
||||
Total liabilities
|
396,934
|
337,111
|
||||||
Members’ capital:
|
||||||||
Class 0 Units (111,901.393 and 137,453.802 units issued and outstanding at $142.21 and $133.70, respectively)
|
15,914,030
|
18,378,136
|
||||||
Class 2 Units (114,403.977 and 134,750.838 units issued and outstanding at $101.74 and $96.01, respectively)
|
11,639,093
|
12,936,828
|
||||||
Total members’ capital
|
27,553,123
|
31,314,964
|
||||||
Total liabilities and members’ capital
|
$
|
27,950,057
|
$
|
31,652,075
|
Three Months Ended
June 30,
|
Six Months Ended
|
|||||||||||||||
2018
|
2019
|
2018
|
||||||||||||||
Net gain (loss) allocated from investment in Graham Alternative Investment Trading LLC
|
||||||||||||||||
Net realized gain (loss) on investments
|
$
|
1,460,154
|
$
|
(223,836
|
)
|
$
|
1,199,041
|
$
|
1,787,753
|
|||||||
Net increase (decrease) in unrealized appreciation on investments
|
394,933
|
(207,693
|
)
|
733,438
|
(1,209,184
|
)
|
||||||||||
Brokerage commissions and fees
|
(64,147
|
)
|
(67,252
|
)
|
(117,286
|
)
|
(153,481
|
)
|
||||||||
Net gain (loss) allocated from investment in Graham Alternative Investment Trading LLC
|
1,790,940
|
(498,781
|
)
|
1,815,193
|
425,088
|
|||||||||||
Net investment loss allocated from investment in Graham Alternative Investment Trading LLC
|
||||||||||||||||
Investment income
|
||||||||||||||||
Interest income
|
147,344
|
150,438
|
294,610
|
288,750
|
||||||||||||
Expenses
|
||||||||||||||||
Advisory fees
|
107,527
|
148,423
|
219,332
|
306,103
|
||||||||||||
Sponsor fees
|
57,731
|
84,197
|
117,588
|
172,576
|
||||||||||||
Professional fees and other
|
39,069
|
29,847
|
70,838
|
55,426
|
||||||||||||
Administrator’s fees
|
9,407
|
12,802
|
19,539
|
26,367
|
||||||||||||
Interest expense
|
1,598
|
-
|
3,185
|
-
|
||||||||||||
Total expenses
|
215,332
|
275,269
|
430,482
|
560,472
|
||||||||||||
Net investment loss allocated from investment in Graham Alternative Investment Trading LLC
|
(67,988
|
)
|
(124,831
|
)
|
(135,872
|
)
|
(271,722
|
)
|
||||||||
Net income (loss)
|
$
|
1,722,952
|
$
|
(623,612
|
)
|
$
|
1,679,321
|
$
|
153,366
|
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
|
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
|
Six Months Ended
|
||||||||
2018
|
||||||||
Cash flows provided by operating activities
|
||||||||
Net income
|
$
|
1,679,321
|
$
|
153,366
|
||||
Adjustments to reconcile net income to net cash provided by operating activities:
|
||||||||
Net (income) allocated from investments in Graham Alternative Investment Trading LLC
|
(1,679,321
|
)
|
(153,366
|
)
|
||||
Proceeds from sale of investments in Graham Alternative Investment Trading LLC
|
5,581,339
|
3,856,556
|
||||||
Investments in Graham Alternative Investment Trading LLC
|
(200,000
|
)
|
(175,000
|
)
|
||||
Net cash provided by operating activities
|
5,381,339
|
3,681,556
|
||||||
Cash flows used in financing activities
|
||||||||
Subscriptions
|
200,000
|
175,000
|
||||||
Redemptions
|
(5,581,339
|
)
|
(3,856,556
|
)
|
||||
Net cash used in financing activities
|
(5,381,339
|
)
|
(3,681,556
|
)
|
||||
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, March 31, 2018
|
$
|
143.24
|
$
|
103.44
|
||||
Net loss:
|
||||||||
Net investment loss
|
(0.33
|
)
|
(0.43
|
)
|
||||
Net loss on investments
|
(1.83
|
)
|
(1.32
|
)
|
||||
Net loss
|
(2.16
|
)
|
(1.75
|
)
|
||||
Net asset value per unit, June 30, 2018
|
$
|
141.08
|
$
|
101.69
|
||||
Net asset value per unit, March 31, 2019
|
$
|
133.70
|
$
|
95.82
|
||||
Net gain:
|
||||||||
Net investment loss
|
(0.23
|
)
|
(0.35
|
)
|
||||
Net gain on investments
|
8.74
|
6.27
|
||||||
Net gain
|
8.51
|
5.92
|
||||||
Net asset value per unit, June 30, 2019
|
$
|
142.21
|
$
|
101.74
|
Class 0
|
Class 2
|
|||||||||||||||
2019
|
2018
|
2019
|
2018
|
|||||||||||||
Total return before Incentive Allocation
|
6.36
|
%
|
(1.51
|
)%
|
6.18
|
%
|
(1.69
|
)%
|
||||||||
Incentive Allocation
|
0.00
|
0.00
|
0.00
|
0.00
|
||||||||||||
Total return after Incentive Allocation
|
6.36
|
%
|
(1.51
|
)%
|
6.18
|
%
|
(1.69
|
)%
|
||||||||
Net investment loss before Incentive Allocation
|
(0.17
|
)%
|
(0.23
|
)%
|
(0.35
|
)%
|
(0.42
|
)%
|
||||||||
Incentive Allocation
|
0.00
|
0.00
|
0.00
|
0.00
|
||||||||||||
Net investment loss after Incentive Allocation
|
(0.17
|
)%
|
(0.23
|
)%
|
(0.35
|
)%
|
(0.42
|
)%
|
||||||||
Total expenses before Incentive Allocation
|
0.70
|
%
|
0.61
|
%
|
0.87
|
%
|
0.81
|
%
|
||||||||
Incentive Allocation
|
0.00
|
0.00
|
0.00
|
0.00
|
||||||||||||
Total expenses after Incentive Allocation
|
0.70
|
%
|
0.61
|
%
|
0.87
|
%
|
0.81
|
%
|
Class 0
|
Class 2
|
|||||||
Per unit operating performance
|
||||||||
Net asset value per unit, December 31, 2017
|
$
|
140.90
|
$
|
101.94
|
||||
Net gain (loss):
|
||||||||
Net investment loss
|
(0.71
|
)
|
(0.91
|
)
|
||||
Net gain on investments
|
0.89
|
0.66
|
||||||
Net gain (loss)
|
0.18
|
(0.25
|
)
|
|||||
Net asset value per unit, June 30, 2018
|
$
|
141.08
|
$
|
101.69
|
||||
Net asset value per unit, December 31, 2018
|
$
|
133.70
|
$
|
96.01
|
||||
Net gain:
|
||||||||
Net investment loss
|
(0.43
|
)
|
(0.67
|
)
|
||||
Net gain on investments
|
8.94
|
6.40
|
||||||
Net gain
|
8.51
|
5.73
|
||||||
Net asset value per unit, June 30, 2019
|
$
|
142.21
|
$
|
101.74
|
Class 0
|
Class 2
|
|||||||||||||||
2019
|
2018
|
2019
|
2018
|
|||||||||||||
Total return before Incentive Allocation
|
6.36
|
%
|
0.13
|
%
|
5.97
|
%
|
(0.25
|
)%
|
||||||||
Incentive Allocation
|
0.00
|
0.00
|
0.00
|
0.00
|
||||||||||||
Total return after Incentive Allocation
|
6.36
|
%
|
0.13
|
%
|
5.97
|
%
|
(0.25
|
)%
|
||||||||
Net investment loss before Incentive Allocation
|
(0.32
|
)%
|
(0.50
|
)%
|
(0.69
|
)%
|
(0.87
|
)%
|
||||||||
Incentive Allocation
|
0.00
|
0.00
|
0.00
|
0.00
|
||||||||||||
Net investment loss after Incentive Allocation
|
(0.32
|
)%
|
(0.50
|
)%
|
(0.69
|
)%
|
(0.87
|
)%
|
||||||||
Total expenses before Incentive Allocation
|
1.34
|
%
|
1.21
|
%
|
1.70
|
%
|
1.59
|
%
|
||||||||
Incentive Allocation
|
0.00
|
0.00
|
0.00
|
0.00
|
||||||||||||
Total expenses after Incentive Allocation
|
1.34
|
%
|
1.21
|
%
|
1.70
|
%
|
1.59
|
%
|
(Unaudited)
|
(Audited)
|
|||||||
Assets
|
||||||||
Investments in Master Funds, at fair value
|
$
|
6,459,391
|
$
|
5,730,163
|
||||
Investment in Graham Cash Assets LLC, at fair value
|
50,834,927
|
55,501,064
|
||||||
Receivable from Master Funds
|
431
|
43
|
||||||
Total assets
|
$
|
57,294,749
|
$
|
61,231,270
|
||||
Liabilities and members’ capital
|
||||||||
Liabilities:
|
||||||||
Redemptions payable
|
$
|
643,487
|
$
|
520,046
|
||||
Accrued professional fees
|
119,618
|
165,656
|
||||||
Accrued advisory fees
|
68,989
|
76,351
|
||||||
Accrued sponsor fees
|
36,887
|
41,055
|
||||||
Accrued administrator’s fee
|
6,213
|
6,870
|
||||||
Payable to Master Funds
|
306
|
68
|
||||||
Total liabilities
|
875,500
|
810,046
|
||||||
Members’ capital:
|
||||||||
Class 0 Units (231,497.598 and 263,114.613 units issued and outstanding at $142.21 and $133.70 per unit, respectively)
|
32,922,373
|
35,179,498
|
||||||
Class 2 Units (219,052.070 and 251,175.400 units issued and outstanding at $101.74 and $96.01 per unit, respectively)
|
22,285,644
|
24,114,225
|
||||||
Class M Units (4,671.470 units issued and outstanding at $259.28 and $241.36 per unit, respectively)
|
1,211,232
|
1,127,501
|
||||||
Total members’ capital
|
56,419,249
|
60,421,224
|
||||||
Total liabilities and members’ capital
|
$
|
57,294,749
|
$
|
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
|
$
|
2,643,661
|
4.69
|
%
|
$
|
2,439,800
|
4.03
|
%
|
||||||||
Graham K4D Trading Ltd.
|
3,815,730
|
6.76
|
%
|
3,290,363
|
5.45
|
%
|
||||||||||
Total investments in Master Funds
|
$
|
6,459,391
|
11.45
|
%
|
$
|
5,730,163
|
9.48
|
%
|
Three Months Ended
June 30,
|
Six Months Ended
|
|||||||||||||||
2018
|
2019
|
2018
|
||||||||||||||
Net gain (loss) allocated from investments in Master Funds
|
||||||||||||||||
Net realized gain (loss) on investments
|
$
|
2,958,538
|
$
|
(422,206
|
)
|
$
|
2,446,501
|
$
|
3,435,330
|
|||||||
Net increase (decrease) in unrealized appreciation on investments
|
779,631
|
(422,482
|
)
|
1,458,419
|
(2,427,780
|
)
|
||||||||||
Brokerage commissions and fees
|
(129,129
|
)
|
(130,960
|
)
|
(232,890
|
)
|
(297,763
|
)
|
||||||||
Net gain (loss) allocated from investments in Master Funds
|
3,609,040
|
(975,648
|
)
|
3,672,030
|
709,787
|
|||||||||||
Net investment income allocated from investments in Master Funds
|
23,625
|
24,340
|
49,209
|
48,367
|
||||||||||||
Investment income
|
||||||||||||||||
Interest income
|
272,712
|
268,546
|
534,378
|
511,699
|
||||||||||||
Total investment income |
272,712 | 268,546 |
534,378
|
511,699
|
||||||||||||
Expenses
|
||||||||||||||||
Advisory fees
|
211,828
|
284,535
|
425,728
|
584,401
|
||||||||||||
Sponsor fees
|
112,687
|
154,986
|
226,657
|
317,479
|
||||||||||||
Professional fees and other
|
78,455
|
58,187
|
140,525
|
107,649
|
||||||||||||
Administrator’s fees
|
18,922
|
24,926
|
38,680
|
51,108
|
||||||||||||
Interest expense
|
3,215
|
-
|
6,310
|
-
|
||||||||||||
Total expenses
|
425,107
|
522,634
|
837,900
|
1,060,637
|
||||||||||||
Net investment loss of the Fund
|
(152,395
|
)
|
(254,088
|
)
|
(303,522
|
)
|
(548,938
|
)
|
||||||||
Net income (loss)
|
3,480,270
|
(1,205,396
|
)
|
3,417,717
|
209,216
|
|||||||||||
Incentive allocation
|
-
|
-
|
-
|
-
|
||||||||||||
Net income (loss) available for pro-rata allocation to all members
|
$
|
3,480,270
|
$
|
(1,205,396
|
)
|
$
|
3,417,717
|
$
|
209,216
|
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
|
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
|
Six Months Ended June 30,
|
||||||||
2018
|
||||||||
Cash flows provided by operating activities
|
||||||||
Net income
|
$
|
3,417,717
|
$
|
209,216
|
||||
Adjustments to reconcile net income to net cash provided by operating activities:
|
||||||||
Net (income) allocated from investments in Master Funds
|
(3,721,239
|
)
|
(758,154
|
)
|
||||
Net (income) allocated from investment in Graham Cash Assets LLC
|
(534,378
|
)
|
(511,699
|
)
|
||||
Proceeds from sale of investments in Master Funds
|
33,664,788
|
37,132,321
|
||||||
Proceeds from sale of investments in Graham Cash Assets LLC
|
31,779,972
|
33,702,467
|
||||||
Investments in Master Funds
|
(30,672,927
|
)
|
(36,640,768
|
)
|
||||
Investments in Graham Cash Assets LLC
|
(26,579,457
|
)
|
(27,442,898
|
)
|
||||
Changes in assets and liabilities:
|
||||||||
Decrease in accrued professional fees
|
(46,038
|
)
|
(97,012
|
)
|
||||
Decrease in accrued advisory fees
|
(7,362
|
)
|
(9,938
|
)
|
||||
Decrease in accrued sponsor fees
|
(4,168
|
)
|
(4,962
|
)
|
||||
Decrease in accrued administrator’s fee
|
(657
|
)
|
(994
|
)
|
||||
Net cash provided by operating activities
|
7,296,251
|
5,577,579
|
||||||
Cash flows used in financing activities
|
||||||||
Subscriptions
|
573,500
|
175,000
|
||||||
Redemptions
|
(7,869,751
|
)
|
(5,752,579
|
)
|
||||
Net cash used in financing activities
|
(7,296,251
|
)
|
(5,577,579
|
)
|
||||
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 | $ | 6,310 | $ | – |
Investment – Objective
|
Percent of
Members’
Capital
|
Fair Value
|
Net Income
(six months ended
June 2019)
|
|||||||||
Global Macro Funds
|
||||||||||||
Graham Commodity Strategies LLC
|
4.69
|
%
|
$
|
2,643,661
|
$
|
1,275,321
|
||||||
Systematic Macro Funds
|
||||||||||||
Graham K4D Trading Ltd.
|
6.76
|
%
|
3,815,730
|
2,445,918
|
||||||||
11.45
|
%
|
$
|
6,459,391
|
$
|
3,721,239
|
Investment – Objective
|
Percent of
Members’
Capital
|
Fair Value
|
Net Income (Loss)
(six months ended
June 2018)
|
|||||||||
Global Macro Funds
|
||||||||||||
Graham Commodity Strategies LLC
|
4.03
|
%
|
$
|
2,439,800
|
$
|
3,374,691
|
||||||
Systematic Macro Funds
|
||||||||||||
Graham K4D Trading Ltd.
|
5.45
|
%
|
3,290,363
|
(2,616,537
|
)
|
|||||||
9.48
|
%
|
$
|
5,730,163
|
$
|
758,154
|
Graham
Commodity
Strategies LLC
(Delaware)
|
Graham K4D
Trading Ltd.
(BVI)
|
|||||||
Assets:
|
||||||||
Fixed income securities, at fair value (cost $31,087,793)
|
$
|
-
|
$
|
31,384,951
|
||||
Due from brokers
|
65,566,197
|
17,956,267
|
||||||
Derivative financial instruments, at fair value
|
33,865,115
|
22,883,354
|
||||||
Exchange memberships, at fair value
|
6,043,300
|
672,000
|
||||||
Accrued interest income
|
- |
267,607
|
||||||
Total assets
|
105,474,612
|
73,164,179
|
||||||
Liabilities:
|
||||||||
Derivative financial instruments, at fair value
|
-
|
5,541,946
|
||||||
Due to brokers
|
-
|
-
|
||||||
Interest payable
|
-
|
8,907
|
||||||
Total liabilities
|
-
|
5,550,853
|
||||||
Members’ Capital / Net Assets
|
$
|
105,474,612
|
$
|
67,613,326
|
||||
Percentage of Master Fund held by GAIT
|
2.51
|
%
|
5.64
|
%
|
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)
|
$
|
6,043,300
|
5.73
|
%
|
||||||||
Total exchange memberships
|
$
|
6,043,300
|
5.73
|
%
|
||||||||
Derivative financial instruments
|
||||||||||||
Long contracts
|
||||||||||||
Futures
|
||||||||||||
Commodity
|
||||||||||||
Gold 100 August 2019
|
1,264
|
$
|
5,913,080
|
5.61
|
%
|
|||||||
Other commodity
|
1,298,903
|
1.23
|
%
|
|||||||||
Currency
|
4,825
|
0.00
|
%
|
|||||||||
Foreign bond
|
(411,830
|
)
|
(0.39
|
)%
|
||||||||
Foreign index
|
1,322
|
0.00
|
%
|
|||||||||
Interest rate
|
||||||||||||
Euro dollar 90 day June 2020
|
18,517
|
14,041,888
|
13.31
|
%
|
||||||||
Other interest rate
|
1,314,128
|
1.25
|
%
|
|||||||||
U.S. bond
|
744,289
|
0.71
|
%
|
|||||||||
U.S. index
|
224,093
|
0.21
|
%
|
|||||||||
Total futures
|
23,130,698
|
21.93
|
%
|
|||||||||
Forwards
|
||||||||||||
Taiwan dollar / U.S. dollar 07/02/2019 - 12/03/2019
|
TWD
|
22,347,630,200 |
4,745,185
|
4.50
|
%
|
|||||||
Korean won / U.S. dollar 07/03/2019 - 09/25/2019
|
KRW
|
677,807,272,000 |
7,911,682
|
7.50
|
%
|
|||||||
Swiss franc / Euro 09/09/2019
|
CHF
|
228,389,241 |
6,630,335
|
6.29
|
%
|
|||||||
Other foreign currency
|
14,479,978
|
13.72
|
%
|
|||||||||
Total forwards
|
33,767,180
|
32.01
|
%
|
|||||||||
Options (cost $25,619,858)
|
||||||||||||
Commodity
|
4,349,338
|
4.12
|
%
|
|||||||||
Currency futures
|
19,678,727
|
18.66
|
%
|
|||||||||
Interest rate futures
|
||||||||||||
Euro dollar December 2019 $97.88 Call
|
1
|
10,018,125
|
9.50
|
%
|
||||||||
Euro dollar March 2020 $98.38 Call
|
1
|
7,031,250
|
6.67
|
%
|
||||||||
Euro dollar June 2020 $98.38 Call
|
1
|
6,812,500
|
6.46
|
%
|
||||||||
Other interest rate futures
|
9,261,644
|
8.78
|
%
|
|||||||||
U.S. index futures
|
552,680
|
0.52
|
%
|
|||||||||
Total options
|
57,704,264
|
54.71
|
%
|
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 future
|
$
|
110,320
|
0.10
|
%
|
||||||||
Currency
|
190
|
0.00
|
%
|
|||||||||
Foreign bond
|
(488,614
|
)
|
(0.46
|
)%
|
||||||||
Foreign index
|
(553,336
|
)
|
(0.52
|
)%
|
||||||||
Interest rate
|
||||||||||||
Euro dollar 90 day December 2022
|
(15,390
|
)
|
(8,421,950
|
)
|
(7.98
|
)%
|
||||||
Euro dollar 90 day December 2021
|
(20,782
|
)
|
(13,499,975
|
)
|
(12.81
|
)%
|
||||||
Other interest rate
|
(3,921,925
|
)
|
(3.72
|
)%
|
||||||||
U.S. bond
|
(381,766
|
)
|
(0.36
|
)%
|
||||||||
U.S. index
|
(43,415
|
)
|
(0.04
|
)%
|
||||||||
Total futures
|
(27,200,471
|
)
|
(25.79
|
)%
|
||||||||
Forwards
|
||||||||||||
U.S. dollar / Taiwan dollar 07/02/2019 - 12/18/2019
|
USD |
(19,609,230,500
|
)
|
1,492,464
|
1.41
|
%
|
||||||
U.S. dollar / Singapore dollar 09/12/2019 - 09/24/2019
|
USD |
(1,771,889,468
|
)
|
(11,253,266
|
)
|
(10.67
|
)%
|
|||||
U.S. dollar / Korean won 07/03/2019 - 07/25/2019
|
USD |
(632,199,704,000
|
)
|
(7,832,895
|
)
|
(7.43
|
)%
|
|||||
Other foreign currency
|
(5,684,386
|
)
|
(5.38
|
)%
|
||||||||
Total forwards
|
(23,278,083
|
)
|
(22.07
|
)%
|
||||||||
Options (proceeds $16,208,267)
|
||||||||||||
Commodity futures
|
(3,000,833
|
)
|
(2.85
|
)%
|
||||||||
Currency futures
|
(4,179,480
|
)
|
(3.96
|
)%
|
||||||||
Interest rate futures
|
||||||||||||
Euro dollar March 2020 $98.50 Call
|
(1
|
)
|
(6,300,000
|
)
|
(5.97
|
)%
|
||||||
Euro dollar June 2020 $98.50 Call
|
(1
|
)
|
(5,500,000
|
)
|
(5.21
|
)%
|
||||||
Euro dollar December 2019 $98.13 Call
|
(1
|
)
|
(5,308,750
|
)
|
(5.03
|
)%
|
||||||
Other interest rate futures
|
(5,389,535
|
)
|
(5.11
|
)%
|
||||||||
U.S. index futures
|
(579,875
|
)
|
(0.55
|
)%
|
||||||||
Total options
|
(30,258,473
|
)
|
(28.68
|
)%
|
||||||||
Total derivative financial instruments
|
$
|
33,865,115
|
32.11
|
%
|
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
|
$
|
31,384,951
|
46.42
|
%
|
||||||
Total United States
|
31,384,951
|
46.42
|
%
|
|||||||||
Total bonds
|
31,384,951
|
46.42
|
%
|
|||||||||
Total fixed income securities owned
|
$
|
31,384,951
|
46.42
|
%
|
||||||||
Exchange memberships (cost $1,051,100)
|
||||||||||||
United States (cost $1,051,100)
|
||||||||||||
Financial services (cost $1,051,100)
|
$
|
672,000
|
0.99
|
%
|
||||||||
Total exchange memberships
|
$
|
672,000
|
0.99
|
%
|
||||||||
Derivative financial instruments
|
||||||||||||
Long contracts
|
||||||||||||
Futures
|
||||||||||||
Commodity
|
1,100,411
|
1.63
|
%
|
|||||||||
Currency
|
(128,873
|
)
|
(0.19
|
)%
|
||||||||
Foreign bond
|
5,337,243
|
7.88
|
%
|
|||||||||
Foreign index
|
1,905,688
|
2.82
|
%
|
|||||||||
Interest rate
|
1,547,679
|
2.29
|
%
|
|||||||||
U.S. bond
|
||||||||||||
U.S. 10 yr note September 2019
|
2,381
|
6,133,406
|
9.07
|
%
|
||||||||
U.S. long bond September 2019
|
1,042
|
5,298,455
|
7.84
|
%
|
||||||||
Other U.S. bond
|
1,986,049
|
2.94
|
%
|
|||||||||
U.S. index
|
1,033,291
|
1.53
|
%
|
|||||||||
Total futures
|
24,213,349
|
35.81
|
%
|
|||||||||
Forwards
|
||||||||||||
Foreign currency
|
597,960
|
0.88
|
%
|
|||||||||
Total forwards
|
597,960
|
0.88
|
%
|
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
|
$
|
(776,532
|
)
|
(1.14
|
)%
|
||||
Currency
|
(65,035
|
)
|
(0.10
|
)%
|
|||||
Foreign bond
|
(19,318
|
)
|
(0.03
|
)%
|
|||||
Foreign index
|
(19,754
|
)
|
(0.03
|
)%
|
|||||
Interest rate
|
(139
|
)
|
(0.00
|
)%
|
|||||
U.S. index
|
(449,217
|
)
|
(0.66
|
)%
|
|||||
Total futures
|
(1,329,995
|
)
|
(1.96
|
)%
|
|||||
Forwards
|
|||||||||
Foreign currency
|
(6,139,906
|
)
|
(9.08
|
)%
|
|||||
Total forwards
|
(6,139,906
|
)
|
(9.08
|
)%
|
|||||
Total derivative financial instruments
|
$
|
17,341,408
|
25.65
|
%
|
Graham
Commodity
Strategies LLC
|
Graham K4D
Trading Ltd.
|
|||||||
Assets
|
||||||||
Level 1:
|
||||||||
Commodity futures
|
$
|
9,169,656
|
$
|
5,266,124
|
||||
Commodity futures options
|
4,349,338
|
-
|
||||||
Currency futures
|
4,825
|
4,158
|
||||||
Exchange memberships
|
6,043,300
|
672,000
|
||||||
Foreign bond futures
|
37,632
|
5,337,243
|
||||||
Foreign index futures
|
1,322
|
2,027,930
|
||||||
Interest rate futures
|
17,290,487
|
1,547,679
|
||||||
Interest rate futures options
|
35,899,934
|
-
|
||||||
U.S. bond futures
|
846,914
|
13,417,910
|
||||||
U.S. index futures
|
410,518
|
1,291,847
|
||||||
U.S. index futures options
|
552,680
|
-
|
||||||
Total Level 1
|
74,606,606
|
29,564,891
|
||||||
Level 2:
|
||||||||
Foreign currency forwards
|
41,320,077
|
1,034,473
|
||||||
Foreign currency options
|
19,678,727
|
-
|
||||||
Government bonds*
|
-
|
31,384,951
|
||||||
Total Level 2
|
60,998,804
|
32,419,424
|
||||||
Total investment related assets
|
$
|
135,605,410
|
$
|
61,984,315
|
||||
Liabilities
|
||||||||
Level 1:
|
||||||||
Commodity futures
|
$
|
(1,847,353
|
)
|
$
|
(4,942,245
|
)
|
||
Commodity futures options
|
(3,000,833
|
)
|
-
|
|||||
Currency futures
|
190
|
(198,066
|
)
|
|||||
Foreign bond futures
|
(938,076
|
)
|
(19,318
|
)
|
||||
Foreign index futures
|
(553,336
|
)
|
(141,996
|
)
|
||||
Interest rate futures
|
(27,778,321
|
)
|
(139
|
)
|
||||
Interest rate futures options
|
(25,274,700
|
)
|
-
|
|||||
U.S. bond futures
|
(484,391
|
)
|
-
|
|||||
U.S. index futures
|
(229,840
|
)
|
(707,773
|
)
|
||||
U.S. index futures options
|
(579,875
|
)
|
-
|
|||||
Total Level 1
|
(60,686,535
|
)
|
(6,009,537
|
)
|
||||
Level 2:
|
||||||||
Foreign currency forwards
|
(30,830,980
|
)
|
(6,576,419
|
)
|
||||
Foreign currency options
|
(4,179,480
|
)
|
-
|
|||||
Total Level 2
|
(35,010,460
|
)
|
(6,576,419
|
)
|
||||
Total investment related liabilities
|
$
|
(95,696,995
|
)
|
$
|
(12,585,956
|
)
|
Long exposure
|
Short exposure
|
|||||||||||||||||||||||
Notional
amounts
|
Number
of
|
Notional
amounts
|
Number
of
|
Derivative
Assets
|
Derivative
Liabilities
|
|||||||||||||||||||
Commodity price
|
||||||||||||||||||||||||
Futures
|
$
|
305,369,525
|
3,585
|
$
|
(35,610,824
|
)
|
(744
|
)
|
$
|
9,169,656
|
$
|
(1,847,353
|
)
|
|||||||||||
Options(a)
|
46,562,089
|
2,544
|
(23,996,304
|
)
|
(1,232
|
)
|
4,349,338
|
(3,000,833
|
)
|
|||||||||||||||
351,931,614
|
6,129
|
(59,607,128
|
)
|
(1,976
|
)
|
13,518,994
|
(4,848,186
|
)
|
||||||||||||||||
Equity price
|
||||||||||||||||||||||||
Futures
|
209,543,159
|
2,080
|
(48,363,177
|
)
|
(951
|
)
|
411,840
|
(783,176
|
)
|
|||||||||||||||
Options(a)
|
104,606,034
|
2,919
|
(87,760,851
|
)
|
(5,419
|
)
|
552,680
|
(579,875
|
)
|
|||||||||||||||
314,149,193
|
4,999
|
(136,124,028
|
)
|
(6,370
|
)
|
964,520
|
(1,363,051
|
)
|
||||||||||||||||
Foreign currency exchange rate
|
||||||||||||||||||||||||
Forwards
|
6,054,095,196
|
N/A
|
(3,835,886,642
|
)
|
N/A
|
41,320,077
|
(30,830,980
|
)
|
||||||||||||||||
Futures
|
1,821,482
|
20
|
(478,330
|
)
|
(5
|
)
|
4,825
|
190
|
||||||||||||||||
Options(a)
|
1,170,970,323
|
62
|
(1,655,057,606
|
)
|
(62
|
)
|
19,678,727
|
(4,179,480
|
)
|
|||||||||||||||
7,226,887,001
|
82
|
(5,491,422,578
|
)
|
(67
|
)
|
61,003,629
|
(35,010,270
|
)
|
||||||||||||||||
Interest rate
|
||||||||||||||||||||||||
Futures
|
14,790,358,486
|
58,246
|
(9,812,550,292
|
)
|
(42,545
|
)
|
18,175,033
|
(29,200,788
|
)
|
|||||||||||||||
Options(a)
|
8,596,205,419
|
263,185
|
(5,554,212,407
|
)
|
(174,840
|
)
|
35,899,934
|
(25,274,700
|
)
|
|||||||||||||||
23,386,563,905
|
321,431
|
(15,366,762,699
|
)
|
(217,385
|
)
|
54,074,967
|
(54,475,488
|
)
|
||||||||||||||||
Total
|
$
|
31,279,531,713
|
332,641
|
$
|
(21,053,916,433
|
)
|
(225,798
|
)
|
$
|
129,562,110
|
$
|
(95,696,995
|
)
|
Long exposure
|
Short exposure
|
|||||||||||||||||||||||
Notional
amounts
|
Number
of
|
Notional
amounts
|
Number
of
|
Derivative
Assets
|
Derivative
Liabilities
|
|||||||||||||||||||
Commodity price
|
||||||||||||||||||||||||
Futures
|
$
|
151,415,393
|
1,715
|
$
|
(221,244,037
|
)
|
(4,580
|
)
|
$
|
5,266,124
|
$
|
(4,942,245
|
)
|
|||||||||||
151,415,393
|
1,715
|
(221,244,037
|
)
|
(4,580
|
)
|
5,266,124
|
(4,942,245
|
)
|
||||||||||||||||
Equity price
|
||||||||||||||||||||||||
Futures
|
506,476,629
|
5,538
|
(15,523,001
|
)
|
(204
|
)
|
3,319,777
|
(849,769
|
)
|
|||||||||||||||
506,476,629
|
5,538
|
(15,523,001
|
)
|
(204
|
)
|
3,319,777
|
(849,769
|
)
|
||||||||||||||||
Foreign currency exchange rate
|
||||||||||||||||||||||||
Forwards
|
234,095,451
|
N/A
|
(708,147,816
|
)
|
N/A
|
1,034,473
|
(6,576,419
|
)
|
||||||||||||||||
Futures
|
18,082,136
|
189
|
(6,700,519
|
)
|
(67
|
)
|
4,158
|
(198,066
|
)
|
|||||||||||||||
252,177,587
|
189
|
(714,848,335
|
)
|
(67
|
)
|
1,038,631
|
(6,774,485
|
)
|
||||||||||||||||
Interest rate
|
||||||||||||||||||||||||
Futures
|
2,889,849,962
|
15,795
|
(106,426,994
|
)
|
(649
|
)
|
20,302,832
|
(19,457
|
)
|
|||||||||||||||
2,889,849,962
|
15,795
|
(106,426,994
|
)
|
(649
|
)
|
20,302,832
|
(19,457
|
)
|
||||||||||||||||
Total
|
$
|
3,799,919,571
|
23,237
|
$
|
(1,058,042,367
|
)
|
(5,500
|
)
|
$
|
29,927,364
|
$
|
(12,585,956
|
)
|
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
|
$
|
129,562,110
|
$
|
(95,696,995
|
)
|
$
|
33,865,115
|
$
|
-
|
$
|
33,865,115
|
|||||||||
Derivative liabilities
|
(95,696,995
|
)
|
95,696,995
|
-
|
-
|
-
|
||||||||||||||
Graham K4D Trading Ltd.2
|
||||||||||||||||||||
Derivative assets
|
$
|
29,927,364
|
$
|
(7,044,010
|
)
|
$
|
22,883,354
|
-
|
$
|
22,883,354
|
||||||||||
Derivative liabilities
|
(12,585,956
|
)
|
7,044,010
|
(5,541,946
|
)
|
$
|
5,541,946
|
-
|
Graham
Commodity
Strategies LLC
|
Graham K4D
Trading Ltd.
|
|||||||
Net investment income
|
$
|
373,076
|
$
|
250,416
|
||||
Net realized gain on investments
|
61,580,622
|
26,314,581
|
||||||
Net increase (decrease) in unrealized appreciation on investments
|
35,901,899
|
(4,823,648
|
)
|
|||||
Brokerage commissions and fees
|
(4,691,324
|
)
|
(125,049
|
)
|
||||
Net gain on investments
|
92,791,197
|
21,365,884
|
||||||
Net income
|
$
|
93,164,273
|
$
|
21,616,300
|
Graham
Commodity
Strategies LLC
|
Graham K4D
Trading Ltd.
|
|||||||
Net investment income
|
$
|
909,009
|
$
|
459,494
|
||||
Net realized gain on investments
|
57,523,982
|
19,601,568
|
||||||
Net (decrease) increase in unrealized appreciation on investments
|
(1,213,359
|
)
|
24,878,710
|
|||||
Brokerage commissions and fees
|
(8,507,153
|
)
|
(244,501
|
)
|
||||
Net gain on investments
|
47,803,470
|
44,235,777
|
||||||
Net income
|
$
|
48,712,479
|
$
|
44,695,271
|
Graham
Commodity
Strategies LLC
|
Graham
K4D Trading
Ltd.
|
|||||||
Commodity price
|
||||||||
Futures
|
$
|
25,071,473
|
$
|
(17,576,667
|
)
|
|||
Options
|
1,222,199
|
-
|
||||||
26,293,672
|
(17,576,667
|
)
|
||||||
Equity price
|
||||||||
Equities
|
935,400
|
(4,000
|
)
|
|||||
Futures
|
23,121,232
|
9,247,806
|
||||||
Options
|
3,134,210
|
-
|
||||||
27,190,842
|
9,243,806
|
|||||||
Foreign currency exchange rate
|
||||||||
Forwards
|
21,275,103
|
(7,522,752
|
)
|
|||||
Futures
|
(44,429
|
)
|
(181,680
|
)
|
||||
Options
|
(9,650,840
|
)
|
-
|
|||||
11,579,834
|
(7,704,432
|
)
|
||||||
Interest rate
|
||||||||
Fixed income securities
|
-
|
139,043
|
||||||
Futures
|
16,363,877
|
37,389,183
|
||||||
Options
|
16,054,296
|
-
|
||||||
32,418,173
|
37,528,226
|
|||||||
Total
|
$
|
97,482,521
|
$
|
21,490,933
|
Graham
Commodity
Strategies LLC
|
Graham
K4D Trading
Ltd.
|
|||||||
Commodity price
|
||||||||
Futures
|
$
|
14,622,182
|
$
|
(29,391,963
|
)
|
|||
Options
|
686,545
|
-
|
||||||
15,308,727
|
(29,391,963
|
)
|
||||||
Equity price
|
||||||||
Equities
|
179,700
|
(84,500
|
)
|
|||||
Futures
|
8,927,652
|
24,881,903
|
||||||
Options
|
2,249,805
|
-
|
||||||
11,357,157
|
24,797,403
|
|||||||
Foreign currency exchange rate
|
||||||||
Forwards
|
13,298,891
|
(5,326,247
|
)
|
|||||
Futures
|
(96,440
|
)
|
181,677
|
|||||
Options
|
(20,987,119
|
)
|
-
|
|||||
(7,784,668
|
)
|
(5,144,570
|
)
|
|||||
Interest rate
|
||||||||
Fixed income securities
|
-
|
292,851
|
||||||
Futures
|
14,203,874
|
53,926,557
|
||||||
Options
|
23,225,533
|
-
|
||||||
37,429,407
|
54,219,408
|
|||||||
Total
|
$
|
56,310,623
|
$
|
44,480,278
|
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 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 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
|
$
|
380,177
|
$
|
272,903
|
||||
Net realized loss on investments
|
(446,605
|
)
|
(7,591,360
|
)
|
||||
Net (decrease) increase in unrealized appreciation on investments
|
(16,477,721
|
)
|
100,566
|
|||||
Brokerage commissions and fees
|
(4,537,300
|
)
|
(194,787
|
)
|
||||
Net loss on investments
|
(21,461,626
|
)
|
(7,685,581
|
)
|
||||
Net loss
|
$
|
(21,081,449
|
)
|
$
|
(7,412,678
|
)
|
Graham
Commodity
Strategies LLC
|
Graham K4D
Trading Ltd.
|
|||||||
Net investment income
|
$
|
662,775
|
$
|
597,126
|
||||
Net realized gain (loss) on investments
|
173,696,789
|
(21,620,724
|
)
|
|||||
Net decrease in unrealized appreciation on investments
|
(39,787,132
|
)
|
(30,441,693
|
)
|
||||
Brokerage commissions and fees
|
(10,374,875
|
)
|
(420,550
|
)
|
||||
Net gain (loss) on investments
|
123,534,782
|
(52,482,967
|
)
|
|||||
Net income (loss)
|
$
|
124,197,557
|
$
|
(51,885,841
|
)
|
Graham
Commodity
Strategies LLC
|
Graham
K4D Trading
Ltd.
|
|||||||
Commodity price
|
||||||||
Futures
|
$
|
(17,860,850
|
)
|
$
|
(3,098,231
|
)
|
||
Options
|
(7,011,483
|
)
|
-
|
|||||
(24,872,333
|
)
|
(3,098,231
|
)
|
|||||
Equity price
|
||||||||
Equities
|
45,900
|
94,500
|
||||||
Futures
|
(4,372,559
|
)
|
1,849,313
|
|||||
Options
|
(8,389,120
|
)
|
-
|
|||||
(12,715,779
|
)
|
1,943,813
|
||||||
Foreign currency exchange rate
|
||||||||
Forwards
|
43,020,336
|
(18,597,315
|
)
|
|||||
Futures
|
-
|
(803,406
|
)
|
|||||
Options
|
(7,264,896
|
)
|
-
|
|||||
35,755,440
|
(19,400,721
|
)
|
||||||
Interest rate
|
||||||||
Fixed income securities
|
-
|
22,764
|
||||||
Futures
|
(16,941,518
|
)
|
13,041,581
|
|||||
Options
|
1,849,864
|
-
|
||||||
(15,091,654
|
)
|
13,064,345
|
||||||
Total
|
$
|
(16,924,326
|
)
|
$
|
(7,490,794
|
)
|
Graham
Commodity
Strategies LLC
|
Graham
K4D Trading
Ltd.
|
|||||||
Commodity price
|
||||||||
Futures
|
$
|
(17,824,166
|
)
|
$
|
(17,555,363
|
)
|
||
Options
|
45,819
|
-
|
||||||
(17,778,347
|
)
|
(17,555,363
|
)
|
|||||
Equity price
|
||||||||
Equities
|
536,600
|
(87,000
|
)
|
|||||
Futures
|
23,888,794
|
(13,113,442
|
)
|
|||||
Options
|
(3,530,125
|
)
|
-
|
|||||
20,895,269
|
(13,200,442
|
)
|
||||||
Foreign currency exchange rate
|
||||||||
Forwards
|
51,590,338
|
(26,470,723
|
)
|
|||||
Futures
|
(62,925
|
)
|
(600,215
|
)
|
||||
Options
|
(15,625,243
|
)
|
-
|
|||||
35,902,170
|
(27,070,938
|
)
|
||||||
Interest rate
|
||||||||
Fixed income securities
|
-
|
(62,138
|
)
|
|||||
Futures
|
88,978,697
|
5,826,464
|
||||||
Options
|
5,911,868
|
-
|
||||||
94,890,565
|
5,764,326
|
|||||||
Total
|
$
|
133,909,657
|
$
|
(52,062,417
|
)
|
Assets:
|
||||||||
Cash and cash equivalents
|
$
|
800,601,776
|
$
|
727,311,005
|
||||
Investments in fixed income securities (amortized cost $3,858,183,203 and $3,678,136,029, respectively)
|
3,858,183,203
|
3,678,136,029
|
||||||
Interest receivable
|
10,252,085
|
12,116,133
|
||||||
Total assets
|
4,669,037,064
|
4,417,563,167
|
||||||
Liabilities:
|
||||||||
Accrued bank fee expense
|
16,744
|
-
|
||||||
Total liabilities
|
16,744
|
-
|
||||||
Members’ capital
|
$
|
4,669,020,320
|
$
|
4,417,563,167
|
Three Months Ended
June 30,
|
Six Months Ended
|
|||||||||||||||
2018
|
2019
|
2018
|
||||||||||||||
Investment income
|
||||||||||||||||
Interest income
|
$
|
24,237,521
|
$
|
20,916,009
|
$
|
46,272,502
|
$
|
39,234,494
|
||||||||
Total investment income
|
24,237,521
|
20,916,009
|
46,272,502
|
39,234,494
|
||||||||||||
Expenses:
|
||||||||||||||||
Bank fee expense
|
13,061
|
21,421
|
45,907
|
45,161
|
||||||||||||
Total expenses
|
13,061
|
21,421
|
45,907
|
45,161
|
||||||||||||
Net investment income
|
24,224,460
|
20,894,588
|
46,226,595
|
39,189,333
|
||||||||||||
Net income
|
$
|
24,224,460
|
$
|
20,894,588
|
$
|
46,226,595
|
$
|
39,189,333
|
Description
|
Principal
Amount
|
Fair Value
|
Percentage of
Members’
Capital
|
|||||||||
Investments in Fixed Income Securities (amortized cost $3,858,183,203)
|
||||||||||||
United States
|
||||||||||||
Government Bonds (amortized cost $3,185,487,534)
|
||||||||||||
U.S. Treasury bonds 0.75% – 1.63% due 07/15/2019 – 10/31/2020
|
$
|
3,200,000,000
|
$
|
3,185,487,534
|
68.22
|
%
|
||||||
Total Government Bonds
|
3,185,487,534
|
68.22
|
%
|
|||||||||
Treasury Bills (amortized cost $672,695,669) U.S. Treasury bills 0.00% due 07/09/2019 – 11/21/2019
|
675,000,000
|
672,695,669
|
14.41
|
%
|
||||||||
Total Treasury Bills
|
672,695,669
|
14.41
|
%
|
|||||||||
Total United States
|
3,858,183,203
|
82.63
|
%
|
|||||||||
Total Investments in Fixed Income Securities
|
$
|
3,858,183,203
|
82.63
|
%
|
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
|
$
|
3,185,487,534
|
$
|
3,678,136,029
|
||||
Treasury bills
|
672,695,669
|
-
|
||||||
Total fixed income securities
|
3,858,183,203
|
3,678,136,029
|
||||||
Total Level 2
|
3,858,183,203
|
3,678,136,029
|
||||||
Total assets
|
$
|
3,858,183,203
|
$
|
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, March 31, 2018
|
$
|
143.24
|
$
|
103.44
|
||||
Net loss:
|
||||||||
Net investment loss
|
(0.33
|
)
|
(0.43
|
)
|
||||
Net loss on investments
|
(1.83
|
)
|
(1.32
|
)
|
||||
Net loss
|
(2.16
|
)
|
(1.75
|
)
|
||||
Net asset value per unit, June 30, 2018
|
$
|
141.08
|
$
|
101.69
|
||||
Net asset value per unit, March 31, 2019
|
$
|
133.70
|
$
|
95.82
|
||||
Net gain:
|
||||||||
Net investment loss
|
(0.23
|
)
|
(0.35
|
)
|
||||
Net gain on investments
|
8.74
|
6.27
|
||||||
Net income
|
8.51
|
5.92
|
||||||
Net asset value per unit, June 30, 2019
|
$
|
142.21
|
$
|
101.74
|
Class 0
|
Class 2
|
|||||||||||||||
2019
|
2018
|
2019
|
2018
|
|||||||||||||
Total return before Incentive Allocation
|
6.36
|
%
|
(1.51
|
)%
|
6.18
|
%
|
(1.69
|
)%
|
||||||||
Incentive Allocation
|
0.00
|
0.00
|
0.00
|
0.00
|
||||||||||||
Total return after Incentive Allocation
|
6.36
|
%
|
(1.51
|
)%
|
6.18
|
%
|
(1.69
|
)%
|
||||||||
Net investment loss before Incentive Allocation
|
(0.16
|
)%
|
(0.23
|
)%
|
(0.35
|
)%
|
(0.42
|
)%
|
||||||||
Incentive Allocation
|
0.00
|
0.00
|
0.00
|
0.00
|
||||||||||||
Net investment loss after Incentive Allocation
|
(0.16
|
)%
|
(0.23
|
)%
|
(0.35
|
)%
|
(0.42
|
)%
|
||||||||
Total expenses before Incentive Allocation
|
0.69
|
%
|
0.61
|
%
|
0.88
|
%
|
0.81
|
%
|
||||||||
Incentive Allocation
|
0.00
|
0.00
|
0.00
|
0.00
|
||||||||||||
Total expenses after Incentive Allocation
|
0.69
|
%
|
0.61
|
%
|
0.88
|
%
|
0.81
|
%
|
Class 0
|
Class 2
|
|||||||
Per unit operating performance
|
||||||||
Net asset value per unit, December 31, 2017
|
$
|
140.90
|
$
|
101.94
|
||||
Net income (loss):
|
||||||||
Net investment loss
|
(0.71
|
)
|
(0.91
|
)
|
||||
Net gain on investments
|
0.89
|
0.66
|
||||||
Net income (loss)
|
0.18
|
(0.25
|
)
|
|||||
Net asset value per unit, June 30, 2018
|
$
|
141.08
|
$
|
101.69
|
||||
Net asset value per unit, December 31, 2018
|
$
|
133.70
|
$
|
96.01
|
||||
Net gain:
|
||||||||
Net investment loss
|
(0.43
|
)
|
(0.67
|
)
|
||||
Net gain on investments
|
8.94
|
6.40
|
||||||
Net gain
|
8.51
|
5.73
|
||||||
Net asset value per unit, June 30, 2019
|
$
|
142.21
|
$
|
101.74
|
Class 0
|
Class 2
|
|||||||||||||||
2019
|
2018
|
2019
|
2018
|
|||||||||||||
Total return before Incentive Allocation
|
6.36
|
%
|
0.13
|
%
|
5.97
|
%
|
(0.25
|
)%
|
||||||||
Incentive Allocation
|
0.00
|
0.00
|
0.00
|
0.00
|
||||||||||||
Total return after Incentive Allocation
|
6.36
|
%
|
0.13
|
%
|
5.97
|
%
|
(0.25
|
)%
|
||||||||
Net investment loss before Incentive Allocation
|
(0.32
|
)%
|
(0.49
|
)%
|
(0.69
|
)%
|
(0.87
|
)%
|
||||||||
Incentive Allocation
|
0.00
|
0.00
|
0.00
|
0.00
|
||||||||||||
Net investment loss after Incentive Allocation
|
(0.32
|
)%
|
(0.49
|
)%
|
(0.69
|
)%
|
(0.87
|
)%
|
||||||||
Total expenses before Incentive Allocation
|
1.33
|
%
|
1.21
|
%
|
1.70
|
%
|
1.59
|
%
|
||||||||
Incentive Allocation
|
0.00
|
0.00
|
0.00
|
0.00
|
||||||||||||
Total expenses after Incentive Allocation
|
1.33
|
%
|
1.21
|
%
|
1.70
|
%
|
1.59
|
%
|
Agriculture / Softs
|
$
|
(134,837
|
)
|
|
Base Metals
|
(42,713
|
)
|
||
Energy
|
(268,443
|
)
|
||
Equities
|
616,554
|
|||
Foreign Exchange
|
(53,096
|
)
|
||
Long Term / Intermediate Rates
|
1,032,141
|
|||
Precious Metals
|
282,743
|
|||
Short Term Rates
|
422,738
|
|||
$
|
1,855,087
|
Agriculture / Softs
|
$
|
(89,438
|
)
|
|
Base Metals
|
(145,265
|
)
|
||
Energy
|
(604,038
|
)
|
||
Equities
|
879,039
|
|||
Foreign Exchange
|
(228,803
|
)
|
||
Long term / Intermediate Rates
|
1,208,061
|
|||
Precious Metals
|
158,678
|
|||
Short Term Rates
|
754,245
|
|||
$
|
1,932,479
|
Agriculture / Softs
|
(0.7
|
)%
|
||
Base Metals
|
2.7
|
%
|
||
Energy
|
0.4
|
%
|
||
Equities
|
2.5
|
%
|
||
Foreign Exchange
|
24.5
|
%
|
||
Long Term / Intermediate Rates
|
19.5
|
%
|
||
Precious Metals
|
8.4
|
%
|
||
Short Term Rates
|
42.7
|
%
|
||
100.0
|
%
|
Agriculture / Softs
|
$
|
(473,510
|
)
|
|
Base Metals
|
(416,692
|
)
|
||
Energy
|
700,550
|
|||
Equities
|
(121,238
|
)
|
||
Foreign Exchange
|
(24,102
|
)
|
||
Long Term / Intermediate Rates
|
79,293
|
|||
Precious Metals
|
(199,243
|
)
|
||
Short Term Rates
|
23,413
|
|||
$
|
(431,529
|
)
|
Agriculture / Softs
|
$
|
(797,931
|
)
|
|
Base Metals
|
(1,009,081
|
)
|
||
Energy
|
1,213,729
|
|||
Equities
|
(132,000
|
)
|
||
Foreign Exchange
|
(314,266
|
)
|
||
Long Term / Intermediate Rates
|
(384,396
|
)
|
||
Precious Metals
|
(463,726
|
)
|
||
Short Term Rates
|
2,466,240
|
|||
$
|
578,569
|
Agriculture / Softs
|
(3.5
|
)%
|
||
Base Metals
|
(7.1
|
)%
|
||
Energy
|
(15.1
|
)%
|
||
Equities
|
(4.2
|
)%
|
||
Foreign Exchange
|
72.4
|
%
|
||
Long Term / Intermediate Rates
|
11.4
|
%
|
||
Precious Metals
|
6.1
|
%
|
||
Short Term Rates
|
40.0
|
%
|
||
100.0
|
%
|
Blended Strategies
Portfolio
|
||||
11.18
|
%
|
|||
9.46
|
%
|
|||
10.64
|
%
|
Period (as of)
|
Blended Strategies Portfolio
Total
Number of
Units Issued
|
|||
April 2019
|
934.934
|
|||
May 2019
|
-
|
|||
June 2019
|
-
|
Date
|
(a) Total
Number of
Units
Purchased1
|
(b) Average
Price Paid
per Unit
|
(c) Total Number of
Units Purchased
as Part of Publicly
Announced Plans
or Programs
|
(d) Maximum Number
of Approximate
Dollar Value of
Units that May Yet
Be Purchased
Under the Plans or
Programs
|
|||||||||||||||
April 1 – April 30, 2019
|
6,684.904
|
$
|
122.68
|
N/A
|
N/A
|
||||||||||||||
May 1 - May 31, 2019
|
10,642.677
|
$
|
136.18
|
N/A
|
N/A
|
||||||||||||||
June 1 - June 30, 2019
|
3,178.991
|
$
|
124.86
|
N/A
|
N/A
|
||||||||||||||
TOTAL
|
20,506.572
|
$
|
124.90
|
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: August 14, 2019
|
GRAHAM ALTERNATIVE INVESTMENT FUND I 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: | 8/14/19 | |||
8/1/19 | ||||
7/1/19 | ||||
For Period end: | 6/30/19 | |||
5/31/19 | ||||
4/30/19 | ||||
3/31/19 | 10-Q | |||
3/29/19 | 10-K, D/A | |||
12/31/18 | 10-K | |||
6/30/18 | 10-Q | |||
3/31/18 | 10-Q | |||
12/31/17 | 10-K | |||
6/30/17 | 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 |